<PAGE> 1
SEMI-ANNUAL REPORT
NOVMEBER 27, 1996
AMERICAN
GENERAL
SERIES
PORTFOLIO
COMPANY
-------------------------
<PAGE> 2
===============================================================================
AMERICAN GENERAL SERIES PORTFOLIO COMPANY SEMI-ANNUAL REPORT NOVEMBER 27, 1996
- -------------------------------------------------------------------------------
TABLE OF CONTENTS
<TABLE>
<S> <C>
President's Letter ........................................................ 1
Stock Index Fund .......................................................... 5
MidCap Index Fund ......................................................... 14
Small Cap Index Fund ...................................................... 22
International Equities Fund ............................................... 43
Growth Fund ............................................................... 50
Growth & Income Fund ...................................................... 53
Science & Technology Fund ................................................. 57
Social Awareness Fund ..................................................... 60
Timed Opportunity Fund .................................................... 66
Capital Conservation Fund ................................................. 75
Government Securities Fund ................................................ 78
International Government Bond Fund ........................................ 81
Money Market Fund ......................................................... 85
Notes to Financial Statements ............................................. 89
Financial Highlights ...................................................... 94
</TABLE>
<PAGE> 3
================================================================================
AGSPC PRESIDENT'S LETTER
- --------------------------------------------------------------------------------
We are pleased to provide the November 27, 1996 Semi-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 period ended November 27, 1996. Your variable annuity contract
permits you to invest in one or more of the funds described in this report. The
funds that are available under your contract are shown on the chart on page 4.
MARKET CONDITIONS
Securities markets, on average, produced very positive returns for the period
ended November 27, 1996. The large capitalization sector of the stock market as
measured by the Standard & Poor's 500 Index (S&P 500(R)) provided a total
return of 14% for the period. Corporate bonds generated a total return of
nearly 8% while Treasury Securities provided 6.5%. The markets were responding
to 1) an accommodative Federal Reserve Policy, holding the Federal Funds rate
at 5.25% throughout the year; 2) a modest but positive Gross Domestic Product
growth approximating 2.25%; and 3) contained inflation, with the Consumer Price
Index averaging an annual rate of 3%.
Returns in the equity markets were quite diverse. The S&P 500 return of 14.07%
was substantially above the 7.50% return of the Standard & Poor's MidCap 400
Index. In contrast the Russell 2000(R) Index produced a negative return of
1.75%.
Bond yields, as measured by the long term U.S. Treasury, fluctuated in a range
of 6.7% to 7.2% for the first three months of the period and then proceeded to
decline to 6.4% at the end of November. For the period, the Merrill Lynch
Corporate Bond Index returned 7.94% and the Lehman Brothers U.S. Treasury Index
yielded a total of 6.53%. The subdued economic growth rate combined with the
modest inflation rate, referred to above, were the major drivers of the bond
market returns.
European equities benefited from weakening local currencies that increased
international competitiveness. Poorly capitalized firms and financial companies
with credit problems were penalized. In Japan, major exporting companies and
credit sensitive financial companies did very well. Economic growth in China
benefited companies throughout the Asian region. The Morgan Stanley Capital
International Index of Europe, Australia, and Far East (EAFE) rose a modest
3.60% in dollar terms as the strength in the U.S. currency reduced total
returns.
FUND RETURNS
INDEXED FUNDS
The Stock Index Fund performance was 0.09% above its relevant index. The
absolute return was well above the average of funds in the Growth and Income
category. The MidCap Index Fund generated a return of 7.35%, 0.15% below its
relevant index. The Small Cap Index Fund return exceeded its relevant index by
0.72%. The International Equities Fund had a positive tracking difference of
0.11%.
MANAGED FUNDS
The AGSPC Growth Fund recorded a total return of 6.61%, 7.46% below its
relevant index. The fund concentrates on companies with above average growth
potential in the service sectors. Consumer stocks and those of health care
providers lagged the S&P 500 which benefited from a preponderance of large
capitalization mature issues.
The AGSPC Growth & Income Fund had a total return of 9.93%, 4.14% below the S&P
500. The fund utilizes the stock selection process of the Value Line Ranking
System which tends to emphasize small and mid-sized companies. Those sectors of
the market lagged the larger companies that predominate in the S&P 500.
The AGSPC Science & Technology Fund's return was 4.38%, 9.69% below the S&P
500. The fund's concentration in the science and technology sectors creates a
lower capitalization weighting. The median market value of the fund's holdings
is $3.3 billion compared to the median market value of the Stock Index Fund's
holdings of $25.3 billion. During periods when smaller capitalization stocks
are disadvantaged in the market the fund will underperform the major market
index.
The Social Awareness Fund's return exceeded the S&P 500 by 1.46%. Concentration
in the large capitalization sectors and overweighting bank and oil service
issues contributed to the outperformance.
1
<PAGE> 4
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AGSPC PRESIDENT'S LETTER - CONTINUED
- --------------------------------------------------------------------------------
The Timed Opportunity Fund underperformed the 55% stock, 35% bond, and 10% cash
benchmark by 2.87%. Underweighting of banks, business machines, and
international oils restrained equity performance. The Bankers Trust Model
weighting was a positive factor over this time frame.
BOND FUNDS
The Capital Conservation Fund tracked its relevant index very closely with only
a 0.23% negative divergence. Performance was affected by a duration slightly in
excess of the index and below average returns in the media sector.
The Government Securities Fund surpassed its index's return by 0.07%. The
benefit from a modest extension of maturities in relation to the index was
nearly offset by the relatively small position in mortgage backed securities.
The International Government Bond Fund outperformed its relevant index by 0.44%
providing a fund level return of 7.05%. Generally, international markets had
positive returns owing to two factors. The first was the decline in the
inflation risk premium and the second was the pursuit of higher returns which
were available in several foreign markets. A negative factor, over this period,
was the strengthening of the U.S. dollar that diminished some local returns.
FUTURE OUTLOOK
The excellent performance of the equity and bond markets in 1995 and 1996 has
led to the expectation of a correction in domestic markets. Historically high
valuations in terms of price/earnings and price to book value ratios support
that expectation. However, substantial inflows to mutual funds are directed to
the equity markets as the managers of these funds are generally required to
invest the cash. Those who have not invested the money have been severely
penalized during this extended time of stock market advances. These cash flows
are believed to emanate from increased awareness of the need to save for
retirement or other family needs and are expected to continue on a recurring
basis. If that does persist it should mitigate any short term declines in the
equity market.
Fixed income markets will benefit if the world-wide moderation of inflation
continues. Support for that expectation is driven by adequate supplies of raw
materials and labor. In the United States both the legislative and monetary
policies appear to be restraining inflationary pressures.
Respectfully,
/s/ STEPHEN D. BICKEL
Stephen D. Bickel, President
American General Series Portfolio Company
January 17, 1997
2
<PAGE> 5
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AGSPC PRESIDENT'S LETTER - CONTINUED
- --------------------------------------------------------------------------------
FUND RETURNS AND TRACKING DIFFERENCES
FOR THE PERIOD ENDED NOVEMBER 27, 1996
<TABLE>
<CAPTION>
(1) (2) (3) (4) (5)
FUND TOTAL
PERFORMANCE INDEX
BEFORE RETURN
SUBTRACTING INCLUDING TRACKING
FUND FUND EXPENSES REINVESTED DIFFERENCE
AGSPC FUND/RELEVANT MARKET INDEX RETURN(A) EXPENSES (1) + (2) DIVIDENDS (3) - (4)
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
INDEXED FUNDS:
Stock Index Fund / S&P 500....................................... 13.99% 0.17% 14.16% 14.07% 0.09%
MidCap Index Fund / Standard & Poor's MidCap 400................. 7.15 0.20 7.35 7.50 (0.15)
Small Cap Index Fund / Russell 2000.............................. (1.23) 0.20 (1.03) (1.75) 0.72
International Equities Fund / EAFE............................... 3.50 0.21 3.71 3.60 0.11
MANAGED FUNDS:
Growth Fund / S&P 500............................................ 6.19 0.42 6.61 14.07 (7.46)
Growth & Income Fund / S&P 500................................... 9.53 0.40 9.93 14.07 (4.14)
Science & Technology Fund / S&P 500.............................. 3.91 0.47 4.38 14.07 (9.69)
Social Awareness Fund / S&P 500.................................. 15.26 0.27 15.53 14.07 1.46
Timed Opportunity Fund / Benchmark(b)............................ 7.24 0.28 7.52 10.39 (2.87)
Capital Conservation Fund / Merrill Lynch Corporate Master Bond.. 7.43 0.28 7.71 7.94 (0.23)
Government Securities Fund / Lehman Brothers U.S. Treasury....... 6.32 0.28 6.60 6.53 0.07
Int'l Gov't Bond Fund / Salomon Non U.S. Gov't Bond.............. 6.77 0.28 7.05 6.61 0.44
Money Market Fund / 30 Day Certificate of Deposit
Primary Offering Rate by New York City Banks
(NYC 30 Day CD Rate).......................................... 2.48 0.27 2.75 2.24 0.51
</TABLE>
(a) Fund level returns are net of investment management fees and other fund
expenses, but do not reflect charges specified in annuity contracts for
mortality and expense guarantees (1.00%), administrative fees, or
surrender charges.
(b) Benchmark consists of 55% S&P 500 Index, 35% Merrill Lynch Corporate and
Government Master Index, and 10% NYC 30 Day CD Rate.
3
<PAGE> 6
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AGSPC PRESIDENT'S LETTER - CONTINUED
- --------------------------------------------------------------------------------
SUMMARY OF NET ASSET VALUES PER SHARE
AND PER SHARE DISTRIBUTIONS
<TABLE>
<CAPTION>
DISTRIBUTIONS FROM NET
INVESTMENT INCOME AND
NET REALIZED GAINS
NET ASSET VALUES ON SECURITIES
-----------------------------------------------------------
NOVEMBER 30, NOVEMBER 27,
1995 MAY 31, 1996 12/1/95 TO 6/1/96 TO
FUND (UNAUDITED) 1996 (UNAUDITED) 5/31/96 11/27/96
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index (emulate S & P 500).................................. $19.10 $20.69 $23.37 $0.59 $0.19
MidCap Index (emulate MidCap 400)................................ 18.04 19.09 20.33 0.77 0.12
Small Cap Index (emulate Russell 2000)........................... 14.22 16.25 15.94 0.39 0.11
International Equities (foreign long term growth stocks)......... 10.53 11.15 11.43 0.33 0.11
Growth Fund (long term growth of capital)........................ 14.64 16.49 17.51 0.30 0.00
Growth & Income Fund (long term growth of capital
and current income)........................................... 12.99 14.78 16.13 0.12 0.04
Science & Technology Fund (long term growth of capital).......... 20.29 20.48 21.28 2.01 0.00
Social Awareness (social criteria growth stocks)................. 14.88 15.49 17.72 1.03 0.12
Timed Opportunity (asset allocation)............................. 12.15 12.55 13.23 0.43 0.21
Capital Conservation (quality corporate bonds)................... 9.79 9.23 9.59 0.31 0.30
Government Securities (intermediate and
long term government bonds)................................... 10.12 9.61 9.91 0.30 0.29
International Government Bond (high quality
foreign government debt securities)........................... 12.25 11.79 12.27 0.36 0.31
Money Market (money market instruments).......................... 1.00 1.00 1.00 0.02 0.02
</TABLE>
The change in net asset value of the funds will not be the same as the change
in the accumulation unit value of your annuity contract because (1) the change
in net asset value does not reflect the reinvestment of income and capital gain
distributions and (2) the mortality and expense charges described in your
annuity contract are not included.
FUNDS AVAILABLE UNDER
VARIABLE ANNUITY CONTRACTS
<TABLE>
<CAPTION>
VALIC SEPARATE ACCOUNT A
--------------------------------------------------
CONTRACT FORM AG LIFE
-------------------------------------------------- SEPARATE ACCOUNT A AG LIFE AG LIFE
PORTFOLIO PORTFOLIO INDEPENDENCE GROUP ------------------- SEPARATE SEPARATE
DIRECTOR DIRECTOR PLUS IMPACT UNIT NON ACCOUNT ACCOUNT
FUND 2* 1* UIT(G)-585 UIT-981 PURCHASE** QUALIFIED QUALIFIED B D
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Stock Index (emulate S & P 500)............ Yes Yes Yes Yes Yes Yes Yes Yes Yes
MidCap Index (emulate MidCap 400).......... No Yes Yes Yes No Yes Yes Yes No
Small Cap Index (emulate Russell 2000)..... No Yes Yes No No No No No No
International Equities (foreign long term
growth stocks).......................... No Yes Yes No No No No No Yes
Growth Fund (long term growth of capital). Yes Yes No No No No No No No
Growth & Income Fund (long term growth
of capital and current income).......... No Yes No No No No No No No
Science & Technology Fund (long term
growth of capital)...................... Yes Yes No No No No No No No
Social Awareness (social criteria growth
stocks)................................. Yes Yes Yes No No No No No Yes
Timed Opportunity (asset allocation)....... No Yes Yes Yes No Yes Yes Yes No
Capital Conservation (quality corporate
bonds).................................. No Yes Yes Yes No Yes Yes Yes No
Government Securities (intermediate and
long term government bonds)............. No Yes Yes No No Yes Yes Yes No
Int'l Government Bond (high quality
foreign government debt securities)..... Yes Yes Yes No No No No No No
Money Market (money market instruments).... Yes Yes Yes Yes No Yes Yes Yes No
</TABLE>
*UIT(G)194, UITN-194, UIT-IRA-194, UIT-SEP-194
**GUP, IVA, GVA SA-1, GVA SA-2
4
<PAGE> 7
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STOCK INDEX FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
COMMON STOCKS - 98.79%
ADVERTISING - 0.05%
21,700 Interpublic Group
of Companies, Inc.............. $ 1,068,725
-------------
AEROSPACE/DEFENSE - 2.16%
127,750 Boeing Co........................ 12,711,125
29,000 EG & G, Inc...................... 532,875
18,880 General Dynamics Corp............ 1,399,480
73,376 Lockheed Martin Corp............. 6,631,356
77,600 McDonnell Douglas Corp........... 4,074,000
18,100 Northrop Grumman Corp............ 1,495,512
89,900 Raytheon Co...................... 4,652,325
76,900 Rockwell International Corp...... 4,940,825
22,000 TRW Inc.......................... 2,136,750
45,300 United Technologies Corp......... 6,330,675
-------------
44,904,923
-------------
AIRLINES - 0.38%
35,400 * AMR Corp......................... 3,177,150
31,600 Delta Air Lines, Inc............. 2,354,200
55,200 Southwest Airlines Co............ 1,359,300
41,400 * USAir Group, Inc................. 957,375
-------------
7,848,025
-------------
APPAREL & PRODUCTS - 0.10%
16,500 * Fruit of the Loom, Inc. Class A.. 587,813
32,900 Liz Claiborne, Inc............... 1,394,137
-------------
1,981,950
-------------
APPLIANCES/FURNISHINGS - 0.09%
21,800 Maytag Corp...................... 414,200
30,200 Whirlpool Corp................... 1,498,675
-------------
1,912,875
-------------
AUTO - CARS - 1.90%
269,174 Chrysler Corp.................... 9,555,677
433,400 Ford Motor Co.................... 14,085,500
276,500 General Motors Corp.............. 15,795,062
-------------
39,436,239
-------------
AUTO - REPLACEMENT PARTS - 0.32%
18,700 Cooper Tire & Rubber Co.......... 385,688
14,300 Echlin Inc....................... 480,838
49,600 Genuine Parts Co................. 2,256,800
60,500 Goodyear Tire & Rubber Co........ 2,941,812
15,800 Pep Boys- Manny, Moe & Jack...... 574,725
-------------
6,639,863
-------------
BANKS - NEW YORK CITY - 2.21%
148,600 Bank of New York Co., Inc........ 5,219,575
160,282 Chase Manhattan Corp............. 15,066,508
175,700 CitiCorp......................... 19,041,487
70,700 J.P. Morgan & Co. Inc............ 6,663,475
-------------
45,991,045
-------------
BANKS - OTHER - 2.80%
60,100 Bank of Boston Corp.............. $ 4,146,900
132,668 BankAmerica Corp................. 13,532,136
120,623 First Chicago Corp............... 6,996,134
103,897 First Union Corp................. 8,000,069
100,693 Fleet Financial Group, Inc....... 5,626,221
51,500 Mellon Bank Corp................. 3,675,812
69,700 National City Corp............... 3,214,913
14,000 Republic of New York Corp........ 1,232,000
44,400 US Bancorp....................... 1,903,650
35,033 Wells Fargo & Co................. 9,914,339
-------------
58,242,174
-------------
BANKS - REGIONAL - 2.92%
165,472 Banc One Corp.................... 7,735,816
75,000 Barnett Banks, Inc............... 3,271,875
61,600 Boatmen's Bancshares, Inc........ 4,096,400
32,700 Comerica Inc..................... 1,908,863
81,400 CoreStates Financial Corp........ 4,385,425
30,200 Fifth Third Bancorp.............. 2,159,300
53,500 First Bank System, Inc........... 3,872,063
83,770 KeyCorp.......................... 4,418,867
108,302 NationsBank Corp................. 11,209,257
139,100 Norwest Corp..................... 6,329,050
110,100 PNC Bank Corp.................... 4,307,662
72,200 SunTrust Banks, Inc.............. 3,646,100
55,513 Wachovia Corp.................... 3,282,206
-------------
60,622,884
-------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.67%
11,900 Adolph Coors Class B............. 230,563
182,700 Anheuser- Busch Companies, Inc... 7,787,587
18,915 Brown-Forman Corp Class B........ 870,090
121,700 Seagram Co. Ltd.................. 4,974,487
-------------
13,862,727
-------------
BEVERAGE - SOFT DRINKS - 3.04%
899,700 Coca-Cola Co..................... 45,997,162
565,900 PepsiCo, Inc..................... 17,118,475
-------------
63,115,637
-------------
BROADCASTING - 0.65%
78,550 Comcast Corp. Class A Special.... 1,325,531
45,300 * General Instrument Corp.......... 985,275
229,000 * Tele-Communications, Inc. Class A 3,091,500
210,600 * U S West Media Group............. 3,948,750
113,900 * Viacom Inc. Class B.............. 4,242,775
-------------
13,593,831
-------------
BUILDING MATERIALS - 0.42%
8,900 Armstrong World Industries, Inc.. 660,825
67,100 Lowe's Companies, Inc............ 2,742,712
66,589 Martin Marietta Materials, Inc... 1,556,518
57,500 Masco Corp....................... 2,105,938
28,200 Sherwin-Williams Co.............. 1,614,450
-------------
8,680,443
-------------
</TABLE>
5
<PAGE> 8
================================================================================
STOCK INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
CHEMICAL - MAJOR - 2.40%
91,100 Dow Chemical Co.................. $ 7,652,400
204,100 E.I. du Pont de Nemours
and Co......................... 19,134,375
11,800 Goodrich (B.F.) Co............... 526,575
39,300 Hercules Inc..................... 1,901,138
216,800 Monsanto Co...................... 8,672,000
54,900 Morton International, Inc........ 2,237,175
66,500 PPG Industries Inc............... 4,098,062
16,600 Rohm and Haas Co................. 1,325,925
51,600 Union Carbide Corp............... 2,360,700
37,800 W.R. Grace & Co.................. 2,003,400
-------------
49,911,750
-------------
CHEMICAL - MISCELLANEOUS - 0.55%
41,100 Air Products and Chemicals, Inc.. 2,871,862
30,637 Eastman Chemical Co.............. 1,765,457
8,550 Ecolab Inc....................... 331,313
8,200 * FMC Corp......................... 633,450
26,500 Great Lakes Chemical Corp........ 1,427,688
9,328 Millipore Corp................... 380,116
20,300 Nalco Chemical Co................ 771,400
46,300 Praxair, Inc..................... 2,245,550
16,200 Sigma Aldrich Corp............... 1,018,575
-------------
11,445,411
-------------
CONGLOMERATES - 1.11%
104,900 AlliedSignal Inc................. 7,592,137
47,700 * ITT Corp......................... 2,182,275
38,800 ITT Inds, Inc.................... 902,100
35,000 Loews Corp....................... 3,246,250
65,200 Tenneco Inc...................... 3,341,500
24,300 Textron Inc...................... 2,338,875
50,400 Tyco International Ltd........... 2,746,800
25,900 Whitman Corp..................... 595,700
-------------
22,945,637
-------------
CONSUMER FINANCE - 0.17%
11,600 Beneficial Corp.................. 719,200
69,700 MBNA Corp........................ 2,814,138
-------------
3,533,338
-------------
CONTAINERS - METAL/GLASS - 0.13%
4,700 Ball Corp........................ 114,563
46,900 Crown Cork & Seal Co., Inc....... 2,491,562
-------------
2,606,125
-------------
CONTAINERS - PAPER - 0.05%
6,500 Bemis Co., Inc................... 231,563
13,300 Temple-Inland Inc................ 713,212
-------------
944,775
-------------
COSMETICS/TOILETRIES - 0.78%
3,400 Alberto-Culver Co. Class B....... 161,500
41,400 Avon Products, Inc............... 2,302,875
163,500 Gillette Co...................... $ 12,099,000
34,800 International Flavors &
Fragrances, Inc................ 1,566,000
-------------
16,129,375
-------------
DRUGS - 6.82%
14,200 Allergan, Inc.................... 450,850
31,600 * ALZA Corp........................ 892,700
233,200 American Home Products Corp...... 14,924,800
99,400 * Amgen Inc........................ 6,075,825
182,300 Bristol Myers Squibb Co.......... 20,850,562
44,100 CVS Corp......................... 1,819,125
199,700 Eli Lilly and Co................. 15,177,200
435,700 Merck & Co., Inc................. 36,489,875
233,700 Pfizer Inc....................... 20,770,088
136,600 Schering-Plough Corp............. 9,783,975
189,270 Upjohn Co........................ 7,263,236
100,900 Warner-Lambert Co................ 7,214,350
-------------
141,712,586
-------------
ELECTRICAL EQUIPMENT - 4.07%
78,100 AMP Inc.......................... 2,987,325
62,000 * Cabletron Systems, Inc........... 2,526,500
83,000 Emerson Electric Co.............. 8,144,375
595,100 General Electric Co.............. 60,997,750
9,200 National Service Industries, Inc. 322,000
20,200 Raychem Corp..................... 1,717,000
83,400 * Seagate Technology............... 3,283,875
6,800 Thomas & Betts Corp.............. 306,850
14,200 W. W. Grainger Inc............... 1,127,125
165,700 Westinghouse Electric Corp....... 3,065,450
-------------
84,478,250
-------------
ELECTRONIC INSTRUMENTS - 0.13%
22,800 General Signal Corp.............. 977,550
28,400 * Intergraph Corp.................. 255,600
19,400 Perkin-Elmer Corp................ 1,193,100
3,600 Tektronix, Inc................... 175,950
-------------
2,602,200
-------------
ENTERTAINMENT - 1.58%
39,400 * Harrah's Entertainment, Inc...... 694,425
35,350 Hasbro, Inc...................... 1,444,931
16,200 * King World Productions, Inc...... 611,550
106,387 Mattel, Inc...................... 3,311,296
210,200 Time Warner Inc.................. 8,539,375
246,952 Walt Disney Co................... 18,274,448
-------------
32,876,025
-------------
FINANCE COMPANIES - 0.23%
40,400 Green Tree Financial Corp........ 1,691,750
32,100 Household International, Inc..... 3,049,500
-------------
4,741,250
-------------
</TABLE>
6
<PAGE> 9
================================================================================
STOCK INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
FOODS - 2.56%
204,945 Archer Daniels Midland Co........ $ 4,508,790
86,950 Campbell Soup Co................. 7,205,981
89,350 ConAgra, Inc..................... 4,780,225
54,200 CPC International Inc............ 4,525,700
60,000 General Mills, Inc............... 3,825,000
136,650 H J Heinz Co..................... 5,158,537
47,000 Hershey Foods Corp............... 2,350,000
77,700 Kellogg Co....................... 5,264,175
24,100 Pioneer Hi-Bred International,
Inc. .......................... 1,680,975
45,000 Quaker Oats Co................... 1,676,250
37,700 Ralston Purina Co................ 2,888,763
181,200 Sara Lee Corp.................... 7,112,100
37,100 Wm. Wrigley Jr. Co............... 2,161,075
-------------
53,137,571
-------------
FOOTWEAR - 0.23%
71,100 NIKE Inc. Class B................ 3,963,825
18,900 Reebok International Ltd......... 722,925
3,800 Stride Rite Corp................. 37,525
-------------
4,724,275
-------------
FREIGHT - 0.09%
41,200 * Federal Express Corp............. 1,802,500
-------------
GOLD MINING - 0.36%
137,400 Barrick Gold Corp................ 4,053,300
52,100 Battle Mountain Gold Co.......... 390,750
21,800 Echo Bay Mines Ltd............... 134,888
53,900 Homestake Mining Co.............. 815,238
88,900 Placer Dome Inc.................. 2,166,937
-------------
7,561,113
-------------
GOVERNMENT SPONSORED - 1.15%
66,500 Federal Home Loan
Mortgage Corp.................. 7,581,000
398,400 Federal National
Mortgage Association........... 16,334,400
-------------
23,915,400
-------------
HARDWARE & TOOLS - 0.09%
22,200 Black & Decker Corp.............. 843,600
11,550 Snap-on Inc...................... 417,244
22,800 Stanley Works.................... 675,450
-------------
1,936,294
-------------
HEALTHCARE - 0.15%
72,000 United HealthCare Corp........... 3,096,000
-------------
HEAVY DUTY TRUCKS/PARTS - 0.26%
19,700 Cummins Engine Co., Inc.......... 891,425
27,100 Dana Corp........................ 846,875
31,300 Eaton Corp....................... 2,171,438
39,010 * Navistar International Corp...... 370,595
16,355 PACCAR Inc....................... 1,114,184
-------------
5,394,517
-------------
HOME BUILDERS - 0.05%
16,600 Centex Corp...................... $ 597,600
14,456 Kaufman & Broad Home Corp........ 186,121
7,900 Pulte Corp....................... 242,925
-------------
1,026,646
-------------
HOSPITAL MANAGEMENT - 0.64%
8,000 * Beverly Enterprises, Inc......... 104,000
247,384 Columbia/HCA Healthcare Corp..... 10,019,052
45,800 * Humana Inc....................... 864,475
13,000 Manor Care, Inc.................. 331,500
13,100 Shared Medical Systems Corp...... 651,725
54,900 * Tenet Healthcare Corp............ 1,228,387
-------------
13,199,139
-------------
HOSPITAL SUPPLIES - 3.05%
284,900 Abbott Laboratories.............. 15,883,175
8,400 Bard (C. R.), Inc................ 234,150
23,900 Bausch & Lomb Inc................ 866,375
103,800 Baxter International Inc......... 4,398,525
46,400 Becton, Dickinson and Co......... 1,948,800
29,000 Biomet, Inc...................... 485,750
67,677 * Boston Scientific Corp........... 3,942,185
483,200 Johnson & Johnson................ 25,851,200
30,800 Mallinckrodt, Inc................ 1,370,600
89,700 Medtronic, Inc................... 5,953,837
35,350 * St. Jude Medical, Inc............ 1,458,188
25,700 United States Surgical Corp...... 1,021,575
-------------
63,414,360
-------------
HOUSEHOLD PRODUCTS - 2.96%
14,400 Clorox Co........................ 1,519,200
55,400 Colgate-Palmolive Co............. 5,145,275
153,500 Minnesota Mining &
Manufacturing Co............... 12,836,437
59,000 Newell Co........................ 1,843,750
248,126 Procter & Gamble Co.............. 27,045,734
63,100 Rubbermaid, Inc.................. 1,538,063
24,200 Tupperware Corp.................. 1,288,650
58,900 Unilever N V- ADR................ 10,167,612
-------------
61,384,721
-------------
INFORMATION PROCESSING - 10.68%
53,500 * Amdahl Corp...................... 628,625
53,700 * Apple Computer, Inc.............. 1,315,650
22,200 Autodesk, Inc.................... 610,500
105,200 Automatic Data Processing, Inc... 4,510,450
77,600 * Bay Networks, Inc................ 2,066,100
21,152 * Ceridian Corp.................... 1,015,296
236,900 * Cisco Systems, Inc............... 16,109,200
68,600 Cognizant Corp................... 2,409,575
100,300 * Compaq Computer Corp............. 7,848,475
135,087 Computer Associates
International, Inc............. 8,797,541
24,700 * Computer Sciences Corp........... 1,951,300
34,900 * Dell Computer Corp............... 3,490,000
</TABLE>
7
<PAGE> 10
================================================================================
STOCK INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
INFORMATION PROCESSING - Continued
62,800 * Digital Equipment Corp........... $ 2,276,500
91,900 * EMC Corp......................... 2,757,000
166,754 First Data Corp.................. 6,732,693
40,100 H&R Block Inc.................... 1,177,938
370,300 Hewlett-Packard Co............... 19,996,200
48,700 Honeywell Inc.................... 3,348,125
298,800 Intel Corp....................... 37,835,550
191,000 International Business
Machines Corp.................. 30,201,875
215,900 * Microsoft Corp................... 33,572,450
142,500 * Novell, Inc...................... 1,567,500
241,425 * Oracle Corp...................... 11,890,181
52,800 Pitney Bowes Inc................. 3,128,400
58,100 * Silicon Graphics, Inc............ 1,132,950
71,200 * Sun Microsystems, Inc............ 4,085,100
26,800 * Tandem Computers Inc............. 371,850
64,500 * 3Com Corp........................ 4,861,687
37,700 * Unisys Corp...................... 245,050
121,900 Xerox Corp....................... 5,957,862
-------------
221,891,623
-------------
INSURANCE - CASUALTY - 0.35%
67,600 Chubb Corp....................... 3,633,500
47,400 SAFECO Corp...................... 1,931,550
24,300 St. Paul Companies, Inc.......... 1,442,812
13,900 USF & G Corp..................... 276,263
-------------
7,284,125
-------------
INSURANCE - LIFE - 0.52%
60,092 Aetna Inc........................ 4,349,159
30,375 Jefferson-Pilot Corp............. 1,754,156
37,300 Lincoln National Corp............ 1,995,550
20,200 Torchmark Corp................... 1,042,825
21,109 Transamerica Corp................ 1,670,250
2,550 USLIFE Corp...................... 77,456
-------------
10,889,396
-------------
INSURANCE - MISCELLANEOUS - 0.42%
3,200 Alexander & Alexander
Services Inc................... 46,000
31,300 General Reinsurance Corp......... 5,293,612
18,100 MGIC Investment Corp............. 1,355,238
28,800 UNUM Corp........................ 2,041,200
-------------
8,736,050
-------------
INSURANCE - MULTILINE - 2.61%
164,320 Allstate Corp.................... 9,879,740
170,918 American International Group, Inc. 19,655,570
33,000 Aon Corp......................... 2,013,000
29,100 CIGNA Corp....................... 4,081,275
46,300 ITT Hartford Group, Inc.......... 3,131,037
21,700 Marsh & McLennan
Companies, Inc................. 2,465,663
44,500 Providian Corp................... $ 2,369,625
235,511 Travelers Group, Inc............. 10,627,419
-------------
54,223,329
-------------
LEISURE TIME - 0.05%
23,600 Bally Entertainment Corp......... 675,550
17,900 Brunswick Corp................... 454,213
-------------
1,129,763
-------------
LODGING - 0.36%
48,200 * HFS Inc.......................... 3,084,800
76,800 Hilton Hotels Corp............... 2,227,200
38,100 Marriot International, Inc....... 2,100,263
-------------
7,412,263
-------------
MACHINE TOOLS - 0.02%
4,700 Cincinnati Milacron Inc.......... 96,938
22,800 Giddings & Lewis, Inc............ 262,200
-------------
359,138
-------------
MACHINERY - AGRICULTURE - 0.26%
19,200 Case Corp........................ 1,015,200
98,600 Deere & Co....................... 4,437,000
-------------
5,452,200
-------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.42%
72,600 Caterpillar Inc.................. 5,780,775
33,600 Fluor Corp....................... 2,305,800
2,600 Foster Wheeler Corp.............. 95,225
10,800 Harnischfeger Industries, Inc.... 480,600
-------------
8,662,400
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.58%
14,600 Briggs & Stratton Corp........... 598,600
42,700 Cooper Industries, Inc........... 1,782,725
32,400 Dover Corp....................... 1,737,450
39,600 Illinois Tool Works Inc.......... 3,336,300
33,200 Ingersoll-Rand Co................ 1,547,950
16,000 Johnson Controls, Inc............ 1,226,000
25,633 Pall Corp........................ 679,274
16,350 Parker Hannifin Corp............. 672,394
6,400 Timken Co........................ 292,800
1,600 TRINOVA Corp..................... 58,800
-------------
11,932,293
-------------
MERCHANDISE - DRUG - 0.23%
8,300 Longs Drug Stores Corp........... 415,000
24,200 Rite Aid Corp.................... 958,925
82,400 Walgreen Co...................... 3,440,200
-------------
4,814,125
-------------
</TABLE>
8
<PAGE> 11
================================================================================
STOCK INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
MERCHANDISE - SPECIALTY - 1.09%
32,900 American Greetings Corp.
Class A........................ $ 927,369
29,500 * Charming Shoppes, Inc............ 147,500
27,100 Circuit City Stores, Inc......... 894,300
109,800 Gap, Inc......................... 3,527,325
176,800 Home Depot, Inc.................. 9,127,300
973 Jostens Inc...................... 20,798
70,598 Limited, Inc..................... 1,279,589
34,000 Nordstrom, Inc................... 1,487,500
16,800 Tandy Corp....................... 705,600
18,600 TJX Companies, Inc............... 834,675
105,925 * Toys "R" Us, Inc................. 3,694,134
-------------
22,646,090
-------------
MERCHANDISING - DEPARTMENT - 0.57%
81,000 Dayton Hudson Corp............... 3,128,625
30,800 Dillard Department Stores, Inc.
Class A........................ 935,550
81,200 * Federated Department Stores, Inc. 2,750,650
89,100 May Department Stores Co......... 4,287,938
16,000 Mercantile Stores Co., Inc....... 808,000
-------------
11,910,763
-------------
MERCHANDISING - FOOD - 0.64%
97,400 Albertsons, Inc.................. 3,396,825
46,600 American Stores Co............... 1,869,825
6,900 Fleming Companies, Inc........... 109,538
15,500 Giant Food Inc. Class A.......... 519,250
15,300 Great Atlantic & Pacific Tea Co., Inc. 504,900
47,800 * Kroger Co........................ 2,151,000
16,700 Supervalu Inc.................... 494,737
71,900 SYSCO Corp....................... 2,471,562
52,000 Winn-Dixie Stores, Inc........... 1,774,500
-------------
13,292,137
-------------
MERCHANDISING - MASS - 1.82%
87,700 J.C. Penney Co., Inc............. 4,659,062
190,300 * KMart Corp....................... 2,069,512
82,622 * Price/Costco, Inc................ 1,920,962
145,800 Sears Roebuck and Co............. 7,144,200
833,600 Wal-Mart Stores, Inc............. 21,152,600
35,000 * Woolworth Corp................... 831,250
-------------
37,777,586
-------------
METALS - ALUMINUM - 0.40%
68,000 Alcan Aluminium Ltd.............. 2,397,000
66,300 Aluminum Co. of America.......... 4,201,763
26,800 Reynolds Metals Co............... 1,608,000
-------------
8,206,763
-------------
METALS - COPPER - 0.20%
9,200 ASARCO Inc....................... 257,600
39,249 Newmont Mining Corp.............. 1,879,046
27,200 Phelps Dodge Corp................ 1,995,800
-------------
4,132,446
-------------
METALS - MISCELLANEOUS - 0.25%
31,350 Cyprus Amax Minerals Co.......... $ 787,669
57,075 Engelhard Corp................... 1,105,828
47,000 Freeport-McMoRan
Copper & Gold Inc. Class B..... 1,504,000
52,400 Inco Limited..................... 1,827,450
-------------
5,224,947
-------------
METALS - STEEL - 0.19%
22,300 * Armco Inc........................ 94,775
21,900 * Bethlehem Steel Corp............. 197,100
20,200 Inland Steel Industries, Inc..... 376,225
31,100 Nucor Corp....................... 1,683,288
29,620 USX-US Steel Group, Inc.......... 903,410
38,925 Worthington Industries, Inc...... 773,634
-------------
4,028,432
-------------
MISCELLANEOUS - 0.54%
1 * ACNielson Corp................... 18
51,125 Allegheny Teldyne Inc............ 1,169,484
85,900 Corning Inc...................... 3,478,950
149,100 * CUC International Inc............ 3,857,962
12,100 Owens Corning.................... 511,225
72,700 Service Corp. International...... 2,190,088
-------------
11,207,727
-------------
MOBILE HOMES - 0.02%
14,600 Fleetwood Enterprises, Inc....... 447,125
-------------
NATURAL GAS - DIVERSIFIED - 0.26%
26,000 Coastal Corp..................... 1,257,750
11,200 ENSEARCH Corp.................... 261,800
32,300 NorAm Energy Corp................ 492,575
47,929 PanEnergy Corp................... 2,096,894
23,700 Sonat Inc........................ 1,241,287
-------------
5,350,306
-------------
OIL - INTEGRATED DOMESTIC - 2.14%
35,700 Amerada Hess Corp................ 2,097,375
181,700 Amoco Corp....................... 14,104,462
10,000 Ashland Oil, Inc................. 470,000
59,600 Atlantic Richfield Co............ 8,262,050
49,200 Burlington Resources Inc......... 2,613,750
11,100 Kerr-McGee Corp.................. 774,225
117,700 Occidental Petroleum Corp........ 2,810,088
40,800 * Oryx Energy Co................... 836,400
11,000 Pennzoil Co...................... 620,125
96,300 Phillips Petroleum Co............ 4,309,425
40,202 * Santa Fe Energy Resources, Inc... 582,929
29,016 Sun Co., Inc..................... 721,773
95,300 Unocal Corp...................... 3,823,912
109,000 USX-Marathon Group............... 2,507,000
-------------
44,533,514
-------------
OIL - INTEGRATED
INTERNATIONAL - 5.65%
238,300 Chevron Corp..................... 15,876,738
448,500 Exxon Corp....................... 42,102,937
</TABLE>
9
<PAGE> 12
================================================================================
STOCK INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
OIL - INTEGRATED
INTERNATIONAL - Continued
143,600 Mobil Corp....................... $ 17,321,750
193,900 Royal Dutch Petroleum Co. - ADR.. 32,478,250
97,400 Texaco Inc....................... 9,630,425
-------------
117,410,100
-------------
OIL - SERVICES - 0.92%
58,700 Baker Hughes Inc................. 2,157,225
70,900 Dresser Industries, Inc.......... 2,348,562
49,000 Halliburton Co................... 2,946,125
24,000 McDermott International, Inc..... 426,000
18,900 * Rowan Companies, Inc............. 444,150
90,300 Schlumberger Ltd................. 9,413,775
18,500 * Western Atlas Inc................ 1,308,875
-------------
19,044,712
-------------
OIL/GAS PRODUCERS - 0.03%
3,000 Helmerich & Payne, Inc........... 159,750
8,700 Louisiana Land & Exploration Co.. 520,913
-------------
680,663
-------------
PAPER/FOREST PRODUCTS - 1.63%
49,600 Alco Standard Corp............... 2,542,000
24,100 Avery Dennison Corp.............. 1,708,087
8,366 Boise Cascade Corp............... 259,346
37,900 Champion International Corp...... 1,615,488
36,300 Georgia-Pacific Corp............. 2,640,825
113,418 International Paper Co........... 4,735,201
33,100 James River Corp. of Virginia.... 1,075,750
103,666 Kimberly-Clark Corp.............. 10,107,435
41,600 Louisiana Pacific Corp........... 920,400
16,000 Mead Corp........................ 948,000
4,900 Potlatch Corp.................... 214,375
23,364 Stone Container Corp............. 359,222
27,250 Union Camp Corp.................. 1,328,438
26,850 Westvaco Corp.................... 755,156
74,300 Weyerhaeuser Co.................. 3,417,800
17,500 Willamette Industries, Inc....... 1,185,625
-------------
33,813,148
-------------
PHOTOGRAPHY - 0.50%
122,950 Eastman Kodak Co................. 9,912,844
10,400 Polaroid Corp.................... 440,700
-------------
10,353,544
-------------
POLLUTION CONTROL - 0.47%
82,500 Browning-Ferris Industries, Inc.. 2,217,187
71,800 Laidlaw Inc Class B.............. 870,575
50 Safety-Kleen Corp................ 788
183,700 WMX Technologies, Inc............ 6,613,200
-------------
9,701,750
-------------
PUBLISHING - NEWS - 0.54%
31,600 Dow Jones & Co., Inc............. 1,094,150
53,900 Gannett Co., Inc................. 4,109,875
42,400 Knight-Ridder, Inc............... 1,749,000
22,200 New York Times Co. Class A....... 829,725
PUBLISHING - NEWS - Continued
39,732 Times Mirror Co.................. $ 2,080,964
15,600 Tribune Co....................... 1,343,550
-------------
11,207,264
-------------
PUBLISHING/PRINTING - 0.29%
21,700 Deluxe Corp...................... 669,988
64,500 Dun & Bradstreet Corp............ 1,459,312
19,217 Harcourt General, Inc............ 1,054,533
24,000 McGraw-Hill, Inc................. 1,092,000
21,600 Moore Corp. Ltd.................. 456,300
39,200 R. R. Donnelley & Sons Co........ 1,303,400
-------------
6,035,533
-------------
RAILROAD - 1.18%
57,317 Burlington Northern Inc.......... 5,065,390
31,700 Conrail Inc...................... 3,059,050
73,600 CSX Corp......................... 3,431,600
48,300 Norfolk Southern Corp............ 4,316,812
45,309 Santa Fe Pacific Gold Corp....... 515,390
90,000 Union Pacific Corp............... 5,220,000
98,542 Union Pacific Resources Group Inc. 2,980,896
-------------
24,589,138
-------------
RESTAURANTS - 0.63%
55,800 Darden Restaurants, Inc.......... 495,225
7,550 Luby's Cafeterias, Inc........... 165,156
256,200 McDonald's Corp.................. 11,817,225
7,800 * Shoney's, Inc.................... 63,375
30,000 Wendy's International, Inc....... 637,500
-------------
13,178,481
-------------
SAVINGS & LOAN - 0.19%
25,100 Golden West Financial Corp....... 1,684,837
47,050 Great Western Financial Corp..... 1,452,669
24,900 H.F. Ahmanson & Co............... 818,588
-------------
3,956,094
-------------
SECURITIES RELATED - 1.15%
175,200 American Express Co.............. 9,198,000
62,748 Dean Witter, Discover & Co....... 4,259,020
63,700 Merrill Lynch & Co., Inc......... 5,103,962
57,700 Morgan Stanley Group Inc......... 3,476,425
41,500 Salomon Inc...................... 1,903,813
-------------
23,941,220
-------------
SEMICONDUCTORS - 1.25%
37,000 * Advanced Micro Devices, Inc...... 901,875
72,500 * Applied Materials, Inc........... 2,718,750
55,500 * LSI Logic Corp................... 1,678,875
84,100 Micron Technology, Inc........... 2,796,325
217,300 Motorola, Inc.................... 12,114,475
46,700 * National Semiconductor Corp...... 1,144,150
72,800 Texas Instruments Inc............ 4,641,000
-------------
25,995,450
-------------
</TABLE>
10
<PAGE> 13
================================================================================
STOCK INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
TELECOMMUNICATIONS - 1.60%
188,800 * Airtouch Communications, Inc..... $ 4,767,200
56,300 ALLTEL Corp...................... 1,794,562
15,490 * Andrew Corp...................... 886,803
55,800 * DSC Communications Corp.......... 983,475
6,600 Harris Corp...................... 454,575
233,490 Lucent Technologies, Inc......... 11,966,362
85,800 Northern Telecommunications
Corp........................... 5,609,175
29,500 Scientific-Atlanta, Inc.......... 453,563
69,900 * Tellabs, Inc..................... 2,796,000
152,800 * WorldCom, Inc.................... 3,571,700
-------------
33,283,415
-------------
TEXTILE - PRODUCTS - 0.07%
11,400 Russell Corp..................... 327,750
17,600 VF Corp.......................... 1,179,200
-------------
1,506,950
-------------
TOBACCO - 1.74%
62,800 American Brands, Inc............. 3,006,550
296,300 Philip Morris Cos Inc............ 30,778,162
73,300 UST Corp......................... 2,400,575
-------------
36,185,287
-------------
TRUCKERS - 0.04%
14,200 Caliber System, Inc.............. 275,125
2,300 Consolidated Freightways, Inc.... 55,488
15,900 Ryder System, Inc................ 484,950
-------------
815,563
-------------
UTILITIES - COMMUNICATION - 5.74%
201,900 Ameritech Corp................... 11,861,625
588,326 AT & T Corp...................... 23,018,255
161,200 Bell Atlantic Corp............... 10,054,850
363,900 BellSouth Corp................... 14,646,975
352,800 GTE Corp......................... 15,787,800
255,700 MCI Communications Corp.......... 7,734,925
164,200 NYNEX Corp....................... 7,635,300
156,100 Pacific Telesis Group............ 5,775,700
223,800 SBC Communications, Inc.......... 11,749,500
130,600 Sprint Corp...................... 5,436,225
180,800 US West Communications Group..... 5,604,800
-------------
119,305,955
-------------
UTILITIES - ELECTRIC - 2.70%
58,900 American Electric Power, Inc..... 2,436,987
35,200 Baltimore Gas and Electric Co.... 981,200
60,100 Carolina Power & Light Co........ 2,201,163
70,100 Central & South West Corp........ 1,866,413
41,164 Cinergy Corp..................... 1,384,140
89,400 Consolidated Edison Co.
of New York, Inc............... 2,603,775
57,650 Dominion Resources, Inc.......... 2,205,112
42,300 DTE Energy Co.................... 1,353,600
61,200 Duke Power Co.................... 2,822,850
170,200 Edison International............. 3,382,725
86,000 Entergy Corp..................... 2,354,250
68,900 FPL Group, Inc................... 3,178,012
32,600 GPU Inc.......................... 1,096,175
101,800 Houston Industries, Inc.......... 2,252,325
37,500 * Niagara Mohawk Power Corp........ 332,813
26,000 Northern States Power Co......... 1,228,500
35,900 Ohio Edison Co................... 816,725
44,500 P P & L Resources Inc............ 1,023,500
160,100 Pacific Gas and Electric Co...... 3,842,400
83,900 PacifiCorp....................... 1,761,900
83,500 Peco Energy Co................... 2,129,250
90,850 Public Service Enterprise
Group, Inc..................... 2,589,225
253,800 Southern Co...................... 5,647,050
83,900 Texas Utilities Co............... 3,324,537
81,400 Unicom Corp...................... 2,167,275
28,800 Union Electric Co................ 1,148,400
-------------
56,130,302
-------------
UTILITIES - GAS, PIPELINE - 0.53%
13,000 Columbia Gas System Inc......... 836,875
28,800 Consolidated Natural Gas Co..... 1,656,000
97,200 Enron Corp...................... 4,434,750
23,700 NICOR Inc....................... 868,013
18,300 ONEOK Inc....................... 494,100
15,000 Pacific Enterprises............. 451,875
2,200 Peoples Energy Corp............. 80,025
40,100 Williams Companies, Inc......... 2,265,650
-------------
11,087,288
-------------
TOTAL COMMON STOCKS
(Cost $1,238,904,631)........... 2,052,186,997
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- -------------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 0.95%
FINANCE COMPANIES - 0.60%
$ 8,643,000 Ford Credit Europe plc,
5.31% due 12/3/96............. 8,636,626
3,740,000 Ford Motor Credit Co.,
5.38% due 12/4/96............. 3,736,646
-------------
12,373,272
-------------
SECURITIES RELATED - 0.35%
Merrill Lynch & Co., Inc.:
5,560,000 5.31% due 12/3/96............. 5,555,899
1,778,000 5.28% due 12/2/96............. 1,776,957
-------------
7,332,856
-------------
</TABLE>
11
<PAGE> 14
================================================================================
STOCK INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<S> <C>
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $19,706,128)............. $ 19,706,128
--------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.07%
U.S. TREASURY BILLS - 0.07%
$ 1,500,000 United States Treasury Bills,
5.14% due 12/19/96
(Cost $1,495,503).............. 1,495,503
--------------
TOTAL INVESTMENTS
(Cost $1,260,106,262) - 99.81%.. 2,073,388,628
Other assets and liabilities,
net - 0.19%................... 3,943,200
--------------
NET ASSETS (equivalent
to $23.37 per share on
88,882,439 shares
outstanding) - 100%.......... $2,077,331,828
--------------
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- --------------------------------------------------------------
<S> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/27/96)
53 (2) S&P 500 Index Futures
(December/$755.95)........... $ 862,975
--------------
</TABLE>
(1) U.S.Treasury Bills with a market value of approximately $1,500,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 500
NET ASSETS REPRESENTED BY:
<TABLE>
<S> <C>
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
88,882,439 shares outstanding............... $ 888,824
Additional paid in capital.................... 1,241,122,438
Undistributed net realized gain on securities. 20,377,269
Undistributed net investment income........... 797,956
Unrealized appreciation of:
Investments................. $ 813,282,366
--------------
Futures .................... 862,975 814,145,341
------------- --------------
NET ASSETS APPLICABLETOSHARES
OUTSTANDING ............................ $2,077,331,828
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE> 15
================================================================================
STOCK INDEX FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<S> <C> <C>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996 INVESTMENT INCOME:
Dividends.................................................................................................... $ 19,398,294
Interest..................................................................................................... 1,068,298
-------------
Total investment income................................................................................... 20,466,592
-------------
EXPENSES:
Advisory fees................................................................................................ 2,509,428
Custodian and accounting services............................................................................ 322,053
Reports to shareholders...................................................................................... 117,035
Audit fees and tax services.................................................................................. 32,435
Directors' fees and expenses................................................................................. 23,444
Miscellaneous................................................................................................ 61,798
-------------
Total expenses............................................................................................ 3,066,193
-------------
NET INVESTMENT INCOME........................................................................................ $ 17,400,399
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments............................................................................. $ 3,994,270
Futures contracts....................................................................... 3,034,516 7,028,786
---------------
Net unrealized appreciation of securities during the period:
Investments ............................................................................ 230,354,712
Futures contracts....................................................................... 444,300 230,799,012
--------------- -------------
Net realized and unrealized gain on securities during the period....................................... 237,827,798
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 255,228,197
-------------
</TABLE>
<TABLE>
<CAPTION>
For the For the fiscal
period ended year ended
STATEMENT OF CHANGES IN NET ASSETS November 27, 1996 May 31, 1996
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 17,400,399 $ 30,725,263
Net realized gain on securities............................................................. 7,028,786 14,548,606
Net unrealized appreciation of securities during the period................................. 230,799,012 322,971,346
-------------------------------
Increase in net assets resulting from operations......................................... 255,228,197 368,245,215
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (16,975,102) (30,481,712)
Net realized gain on securities ............................................................ - (30,841,988)
-------------------------------
Decrease in net assets resulting from distributions to shareholders...................... (16,975,102) (61,323,700)
-------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 110,403,181 195,841,204
Proceeds from capital stock issued for distributions reinvested............................. 16,975,102 61,323,700
-------------------------------
127,378,283 257,164,904
Cost of capital stock repurchased........................................................... (49,085,839) (71,292,243)
-------------------------------
Increase in net assets resulting from capital stock transactions......................... 78,292,444 185,872,661
-------------------------------
TOTAL INCREASE IN NET ASSETS................................................................ 316,545,539 492,794,176
NET ASSETS:
Beginning of period......................................................................... 1,760,786,289 1,267,992,113
-------------------------------
End of period (including undistributed net investment income of $797,956 and $372,659)...... $ 2,077,331,828 $1,760,786,289
-------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 5,277,287 10,230,862
Shares issued for distributions reinvested.................................................. 802,055 3,223,528
Shares of capital stock repurchased ........................................................ (2,314,208) (3,788,544)
-------------------------------
Increase in shares outstanding........................................................... 3,765,134 9,665,846
Shares outstanding:
Beginning of period...................................................................... 85,117,305 75,451,459
-------------------------------
End of period............................................................................ 88,882,439 85,117,305
-------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE> 16
================================================================================
MIDCAP INDEX FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
COMMON STOCKS - 99.46%
ADVERTISING - 0.57%
62,764 Omnicom Group, Inc............... $ 3,232,346
-------------
AEROSPACE/DEFENSE - 0.91%
20,380 Gencorp Inc...................... 371,935
20,971 OEA, Inc......................... 844,083
18,155 * Rohr Industries, Inc............. 295,019
5,900 * Sequa Corp. Class A.............. 238,950
50,674 Sundstrand Corp.................. 1,969,951
11,710 Teleflex Inc..................... 579,645
18,761 Thiokol Corp..................... 858,316
-------------
5,157,899
-------------
AIRLINES - 0.17%
12,021 * Alaska Air Group, Inc............ 285,499
30,074 Atlantic Southeast Airlines, Inc. 684,183
-------------
969,682
-------------
APPAREL & PRODUCTS - 0.97%
21,200 * Ann Taylor Stores Corp........... 418,700
41,453 Cintas Corp...................... 2,549,359
45,771 Claire's Stores, Inc............. 680,844
25,424 * Land's End, Inc.................. 699,160
43,300 Warnaco Group, Inc. Class A...... 1,142,038
-------------
5,490,101
-------------
APPLIANCES/FURNISHINGS - 0.95%
40,559 Heilig-Meyers Co................. 577,966
23,814 Herman Miller, Inc............... 1,131,165
29,101 Lancaster Colony Corp............ 1,274,987
72,076 Leggett & Platt, Inc............. 2,198,318
6,104 National Presto Industries, Inc.. 225,848
-------------
5,408,284
-------------
AUTO - ORIGINAL EQUIPMENT - 1.16%
16,925 Arvin Industries, Inc............ 404,084
10,100 Carlisle Cos Inc................. 584,538
46,542 Danaher Corp..................... 2,094,390
17,418 Donaldson Co., Inc............... 529,072
29,270 Federal-Mogul Corp............... 658,575
47,853 Mark IV Industries, Inc.......... 1,052,766
26,928 Modine Manufacturing Co.......... 673,200
23,200 Superior Industries
International, Inc............. 585,800
-------------
6,582,425
-------------
AUTO - OTHER - 0.49%
62,970 Harley-Davidson, Inc............. 2,778,551
-------------
AUTO - REPLACEMENT PARTS - 0.12%
16,221 Kaydon Corp...................... 665,061
-------------
BANKS - OTHER - 1.35%
58,600 Firstar Corp..................... 3,113,125
66,972 State Street Boston Corp......... 4,537,353
-------------
7,650,478
-------------
BANKS - REGIONAL - 6.60%
34,834 Bancorp Hawaii, Inc.............. $ 1,510,925
46,428 Central Fidelity Banks, Inc...... 1,259,360
43,055 City National Corp............... 882,628
34,986 Crestar Financial Corp........... 2,418,407
22,018 Dauphin Deposit Corp............. 726,594
51,343 First of America Bank Corp....... 3,093,416
64,361 First Security Corp.............. 2,091,732
56,002 First Tennessee National Corp.... 2,156,077
26,575 First Virginia Banks, Inc........ 1,295,531
113,400 Hibernia Corp. Class A........... 1,431,675
76,548 Marshall & Ilsley Corp........... 2,602,632
55,334 Mercantile Bancorporation Inc.... 2,925,785
35,756 Mercantile Bankshares Corp....... 1,175,479
46,953 Northern Trust Corp.............. 3,421,700
55,209 Regions Financial Corp........... 2,960,583
76,487 SouthTrust Corp.................. 2,715,288
78,003 Summit Bancorporation............ 3,480,884
33,678 Wilmington Trust Corp............ 1,355,539
-------------
37,504,235
-------------
BEVERAGE - SOFT DRINKS - 0.81%
102,903 Coca-Cola Enterprises Inc........ 4,617,772
-------------
BROADCASTING - 0.54%
34,128 A.H. Belo Corp................... 1,322,460
24,987 * Chris-Craft Industries, Inc...... 1,015,097
25,716 TCA Cable TV, Inc................ 752,193
-------------
3,089,750
-------------
BUILDING MATERIALS - 1.04%
12,766 CalMat Co........................ 234,575
35,600 Fastenal Co...................... 1,535,250
23,125 HON INDUSTRIES Inc............... 719,766
72,565 RPM, Inc......................... 1,322,043
12,000 Southdown, Inc................... 393,000
27,000 Vulcan Materials Co.............. 1,684,125
-------------
5,888,759
-------------
CHEMICAL - MAJOR - 0.16%
49,625 Albemarle Corp................... 899,453
-------------
CHEMICAL - MISCELLANEOUS - 3.16%
50,400 * Airgas, Inc...................... 1,310,400
24,780 Betz Laboratories, Inc........... 1,443,435
69,137 Crompton & Knowles Corp.......... 1,279,035
20,568 Dexter Corp...................... 676,173
109,100 Ethyl Corp....................... 981,900
22,547 Ferro Corp....................... 656,681
29,133 Georgia Gulf Corp................ 812,082
14,064 H.B. Fuller Co................... 661,008
28,193 Lawter International, Inc........ 341,840
26,680 Loctite Corp..................... 1,604,135
50,119 Lubrizol Corp.................... 1,534,894
67,278 Lyondell Petrochemical Co........ 1,530,575
50,236 M.A. Hanna Co.................... 1,061,236
20,400 Minerals Technologies Inc........ 795,600
4,355 NCH Corp......................... 246,058
</TABLE>
14
<PAGE> 17
================================================================================
MIDCAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
CHEMICAL - MISCELLANEOUS - Continued
41,542 Olin Corp........................ $ 1,651,294
26,525 Rollins, Inc..................... 494,028
37,273 Schulman A. Inc.................. 894,552
-------------
17,974,926
-------------
COAL - 0.14%
31,300 Pittston Brink's Group........... 805,975
-------------
CONGLOMERATES - 1.62%
43,498 Alexander & Baldwin, Inc......... 1,163,571
71,200 Dial Corp........................ 1,059,100
38,800 * Litton Industries, Inc........... 1,838,150
5,100 * MAXXAM, Inc...................... 233,963
51,200 Ogden Corp....................... 992,000
34,422 PHH Corp......................... 1,518,871
35,621 Trinity Industries, Inc.......... 1,233,377
75,300 Viad Corp........................ 1,167,150
-------------
9,206,182
-------------
CONTAINERS - PAPER - 0.74%
19,814 Chesapeake Utilities Corp........ 589,467
37,322 * Sealed Air Corp.................. 1,544,198
76,036 Sonoco Products Co............... 2,081,485
-------------
4,215,150
-------------
COSMETICS/TOILETRIES - 0.23%
30,688 Tambrands Inc.................... 1,323,420
-------------
DRUGS - 3.10%
29,904 Bergen Brunswig Corp. Class A.... 814,884
59,752 * Biogen, Inc...................... 2,263,107
42,046 Carter-Wallace Inc............... 667,480
56,588 * Centocor, Inc.................... 1,563,244
137,580 * Chiron Corp...................... 2,700,008
37,041 * Forest Laboratories, Inc......... 1,439,969
53,242 * Genzyme Corp..................... 1,177,979
97,736 IVAX Corp........................ 1,075,096
35,700 McKesson Corp.................... 1,999,200
109,934 Mylan Laboratories Inc........... 1,635,268
22,500 * R.P. Scherer Corp................ 1,023,750
33,700 * Watson Pharmaceuticals, Inc...... 1,280,600
-------------
17,640,585
-------------
ELECTRICAL EQUIPMENT - 1.93%
74,486 * American Power Conversion Corp... 1,796,975
34,331 AMETEK, Inc...................... 720,951
55,270 Hubbell Inc. Class B............. 2,321,340
84,033 Molex Inc........................ 3,319,303
44,196 * Quantum Corp..................... 1,187,767
69,346 * Teradyne, Inc.................... 1,655,636
-------------
11,001,972
-------------
ELECTRONIC INSTRUMENTS - 2.51%
42,476 * Arrow Electronics, Inc........... 2,283,085
21,266 * Exabyte Corp..................... 305,699
40,950 * Imation Corp..................... 1,264,331
63,000 * Integrated Device Technology, Inc. 795,375
20,821 * MagneTek, Inc.................... $ 255,057
59,779 Sensormatic Electronics Corp..... 1,203,052
21,673 * Symbol Technologies, Inc......... 1,024,049
113,560 Thermo Electron Corp............. 4,102,355
25,916 Varian Associates, Inc........... 1,279,603
20,973 * VeriFone, Inc.................... 707,839
51,155 * Vishay Intertechnology, Inc...... 1,055,072
-------------
14,275,517
-------------
ENTERTAINMENT - 0.20%
35,900 * GTECH Holdings Corp.............. 1,130,850
-------------
FERTILIZERS - 0.47%
75,246 IMC Global Inc................... 2,680,639
-------------
FINANCE COMPANIES - 0.72%
98,600 SunAmerica, Inc.................. 4,104,225
-------------
FOODS - 2.57%
35,882 Dean Foods Co.................... 1,004,696
49,209 Dole Food Co., Inc............... 1,925,302
15,118 Dreyer's Grand Ice Cream, Inc.... 411,965
56,336 Flowers Industries, Inc.......... 1,323,896
79,000 IBP, Inc......................... 1,965,125
8,212 International Multifoods Corp.... 128,313
18,171 J.M. Smucker Co. Class A......... 331,621
23,271 Lance, Inc....................... 424,696
75,478 McCormick & Co., Inc............. 1,886,950
20,676 Michaels Foods, Inc.............. 230,020
120,891 Tyson Foods, Inc. Class A........ 4,034,737
26,429 Universal Foods Corp............. 971,266
-------------
14,638,587
FOOTWEAR - 0.50%
29,700 * Nine West Group, Inc............. 1,410,750
36,300 * Payless ShoeSource, Inc.......... 1,433,850
-------------
2,844,600
-------------
FREIGHT - 0.34%
17,573 Airborne Freight Corp............ 375,623
21,460 APL Ltd.......................... 512,358
37,300 J.B. Hunt Transport Services, Inc. 526,862
30,371 Overseas Shipholding Group Inc... 493,529
-------------
1,908,372
-------------
HARDWARE & TOOLS - 0.03%
7,355 Lawson Products, Inc............. 160,891
-------------
HEALTHCARE - 2.94%
40,800 * Apria Healthcare Group, Inc...... 729,300
52,753 Cardinal Health, Inc............. 4,451,035
33,976 * FHP International Corp........... 1,214,642
29,186 * Healthcare COMPARE Corp.......... 1,247,702
130,001 * HealthSouth Corp................. 4,842,537
43,500 * Horizon/CMS Healthcare Corp...... 473,062
103,464 * Laboratory Corp. of
America Holdings............... 284,526
</TABLE>
15
<PAGE> 18
================================================================================
MIDCAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
HEALTHCARE - Continued
51,891 * NovaCare, Inc.................... $ 441,074
26,000 * PacifiCare Health System, Inc.
Class B........................ 2,174,250
47,585 * Value Health, Inc................ 874,374
-------------
16,732,502
-------------
HEAVY DUTY TRUCKS/PARTS - 0.18%
36,704 Federal Signal Corp.............. 1,004,772
-------------
HOME BUILDERS - 0.23%
79,220 Clayton Homes, Inc............... 1,287,325
-------------
HOSPITAL MANAGEMENT - 0.98%
46,500 * Foundation Health Corp........... 1,319,438
44,600 * Health Care & Retirement Corp.... 1,226,500
50,500 * Healthsource, Inc................ 561,812
59,900 * Medaphis Corp.................... 546,588
58,700 * Vencor, Inc...................... 1,900,412
-------------
5,554,750
-------------
HOSPITAL SUPPLIES - 1.17%
18,235 * Acuson Corp...................... 398,891
14,810 * Advanced Technology
Laboratories, Inc.............. 425,787
20,833 Beckman Instruments, Inc......... 749,988
17,568 * Datascope Corp................... 325,008
22,200 DENTSPLY International Inc....... 1,037,850
9,309 Diagnostic Products Corp......... 243,198
53,436 * Nellcor Puritan Bennett Inc...... 1,122,156
80,582 Stryker Corp..................... 2,346,951
-------------
6,649,829
-------------
HOUSEHOLD PRODUCTS - 0.58%
61,900 * Bed Bath & Beyond, Inc........... 1,628,744
12,914 Church & Dwight Co., Inc......... 290,565
31,646 First Brands Corp................ 921,690
15,764 Stanhome Inc..................... 435,480
-------------
3,276,479
-------------
INFORMATION PROCESSING - 9.00%
60,350 Adobe Systems Inc................ 2,383,825
75,300 * America Online, Inc.............. 2,626,087
33,062 * AST Research, Inc................ 138,447
83,704 * BMC Software, Inc................ 3,662,050
26,221 * Borland International, Inc....... 221,240
64,878 * Cadence Design Systems, Inc...... 2,538,352
39,439 Comdisco, Inc.................... 1,286,697
35,400 * Compuware Corp................... 2,017,800
41,234 Diebold, Inc..................... 2,437,960
44,300 * Electronic Arts.................. 1,434,213
38,864 * Fiserv, Inc...................... 1,476,832
30,968 * Information Resources, Inc....... 352,261
124,400 * Informix Corp.................... 2,892,300
13,014 Measurex Corp.................... 323,723
53,707 * Mentor Graphics Corp............. 516,930
105,784 * Parametric Technology Corp....... 5,685,890
61,238 Paychex Inc...................... 3,306,852
17,418 * Policy Management
Systems Corp................... $ 694,543
75,308 Reynolds and Reynolds Co.
Class A........................ 2,099,210
28,025 * Sequent Computer Systems, Inc.... 476,425
42,200 * Solectron Corp................... 2,458,150
88,263 * Sterling Commerce, Inc........... 2,780,292
49,090 * Storage Technology Corp.......... 2,380,865
19,725 * Stratus Computer, Inc............ 502,988
27,173 * Structural Dynamics
Research Corp.................. 528,175
45,312 * Symantec Corp.................... 657,024
72,100 * U. S. Robotics Corp.............. 5,299,350
-------------
51,178,481
-------------
INSURANCE - CASUALTY - 1.33%
54,633 American Financial Group, Inc.... 2,041,909
59,462 Progressive Corp................. 4,154,907
17,218 Transatlantic Holdings, Inc...... 1,379,592
-------------
7,576,408
-------------
INSURANCE - MISCELLANEOUS - 0.44%
17,766 Hartford Steam Boiler
Inspection & Insurance Co...... 808,353
29,200 PMI Group Inc.................... 1,700,900
-------------
2,509,253
-------------
INSURANCE - MULTILINE - 1.15%
116,325 AFLAC Inc........................ 4,943,813
37,986 Provident Companies Inc.......... 1,600,160
-------------
6,543,973
-------------
LEISURE TIME - 1.87%
57,100 Callaway Golf Co................. 1,734,413
86,425 * Circus Circus Enterprises, Inc... 3,154,512
104,702 International Game Technology.... 2,067,864
152,990 * Mirage Resorts Inc............... 3,671,760
-------------
10,628,549
-------------
LODGING - 0.23%
39,900 * Promus Hotel Corp................ 1,291,762
-------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.14%
17,271 Granite Construction Inc......... 360,532
18,168 * Jacobs Engineering Group Inc..... 440,574
-------------
801,106
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.68%
27,573 Albany International Corp. Class A 606,606
25,918 Duriron Co., Inc................. 706,266
25,225 Goulds Pumps, Inc................ 614,859
29,576 Keystone International, Inc...... 584,126
12,714 Nordson Corp..................... 692,913
27,633 Stewart & Stevenson Services, Inc. 697,733
18,300 Tecumseh Products Co. Class A.... 1,070,550
</TABLE>
16
<PAGE> 19
================================================================================
MIDCAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
MACHINERY - INDUSTRIAL/
SPECIALTY - Continued
50,592 Tidewater Inc.................... $ 2,213,400
27,624 Watts Industries, Inc. Class A... 607,728
33,900 York International Corp.......... 1,788,225
-------------
9,582,406
-------------
MERCHANDISE - DRUG - 0.45%
66,600 * Perrigo Co....................... 641,025
53,900 * Revco D.S., Inc.................. 1,920,187
-------------
2,561,212
-------------
MERCHANDISE - SPECIALTY - 3.81%
36,000 * Best Buy Co., Inc................ 454,500
43,100 * Consolidated Stores Corp......... 1,616,250
5,557 Cross (A.T.) Co. Class A......... 61,822
60,346 Dollar General Corp.............. 1,742,491
17,723 Duty Free International, Inc..... 281,353
41,100 Fingerhut Companies, Inc......... 518,888
22,171 * Gibson Greetings, Inc............ 418,478
6,657 Hancock Fabrics, Inc............. 62,409
79,064 * Home Shopping Network, Inc....... 899,353
29,027 * Intelligent Electronics, Inc..... 224,959
65,400 * Kohl's Corp...................... 2,632,350
23,821 * Mac Frugal's Bargains
Close-outs Inc................. 592,547
28,600 * Micro Warehouse, Inc............. 700,700
129,537 * Office Depot, Inc................ 2,574,548
97,700 * OfficeMax, Inc................... 1,416,650
53,711 Sotheby's Holdings, Inc.......... 953,370
130,050 * Staples, Inc..................... 2,617,256
28,936 Tiffany & Co..................... 1,056,164
69,300 * Viking Office Products, Inc...... 2,148,300
27,286 * Waban Inc........................ 716,257
-------------
21,688,645
-------------
MERCHANDISING - FOOD - 0.63%
31,300 Hannaford Bros. Co............... 1,017,250
30,100 Ruddick Corp..................... 398,825
15,268 Savannah Foods & Industries, Inc. 215,661
36,988 * Vons Companies, Inc.............. 1,955,740
-------------
3,587,476
-------------
MERCHANDISING - MASS - 0.37%
45,707 Family Dollar Stores, Inc........ 862,720
22,300 * Fred Meyer, Inc.................. 766,562
83,224 * Service Merchandise Co.,Inc...... 457,732
-------------
2,087,014
-------------
METALS - ALUMINUM - 0.21%
37,467 * Alumax Inc....................... 1,194,261
-------------
METALS - MISCELLANEOUS - 0.35%
13,700 Brush Wellman Inc................ 231,188
23,106 Kennametal Inc................... 826,039
19,950 Precision Castparts Corp......... 932,662
-------------
1,989,889
-------------
METALS - STEEL - 0.55%
12,610 Carpenter Technology Corp........ $ 444,503
14,657 Cleveland-Cliffs Inc............. 652,236
20,821 Harsco Corp...................... 1,457,470
15,516 Lukens Inc....................... 283,167
18,323 Oregon Steel Mills, Inc.......... 318,362
-------------
3,155,738
-------------
MISCELLANEOUS - 2.03%
52,473 * ACNielson Corp................... 931,396
126,700 Equifax Inc...................... 4,117,750
24,286 FlightSafety International, Inc.. 1,202,157
44,700 * Jones Apparel Group, Inc......... 1,413,637
30,303 Kelly Services Inc. Class A...... 803,030
68,100 Manpower Inc..................... 2,187,712
61,750 Olsten Corp...................... 864,500
-------------
11,520,182
-------------
NATURAL GAS - DIVERSIFIED - 0.90%
34,400 El Paso Natural Gas Co........... 1,720,000
39,843 Questar Corp..................... 1,568,818
36,032 * Seagull Energy Corp.............. 828,736
34,191 Valero Energy Corp............... 991,539
-------------
5,109,093
-------------
OIL - INTEGRATED DOMESTIC - 0.50%
25,373 Diamond Shamrock, Inc............ 827,794
47,960 MAPCO Inc........................ 1,630,640
22,414 Quaker State Corp................ 381,038
-------------
2,839,472
-------------
OIL - INTEGRATED
INTERNATIONAL - 0.34%
37,646 Murphy Oil Corp.................. 1,929,357
-------------
OIL - SERVICE - PRODUCTS - 0.44%
67,025 * Parker Drilling Co............... 628,359
21,386 * Varco International, Inc......... 489,205
43,482 * Weatherford Enterra, Inc......... 1,358,813
-------------
2,476,377
-------------
OIL - SERVICES - 2.40%
30,021 * BJ Services Co................... 1,433,503
59,000 * ENSCO International, Inc......... 2,610,750
139,115 * Global Marine Inc................ 2,712,742
68,339 * Nabors Industries, Inc........... 1,341,153
33,346 * Smith International, Inc......... 1,350,513
45,200 Transocean Offshore Inc.......... 2,728,950
47,246 Witco Corp....................... 1,452,815
-------------
13,630,426
-------------
OIL/GAS PRODUCERS - 2.01%
50,355 Anadarko Petroleum Corp.......... 3,386,374
76,898 Apache Corp...................... 2,835,614
59,580 Cabot Corp....................... 1,549,080
44,435 Noble Affiliates, Inc............ 2,105,108
</TABLE>
17
<PAGE> 20
================================================================================
MIDCAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
OIL/GAS PRODUCERS - Continued
28,300 Parker & Parsley Petroleum Co.... $ 930,362
68,866 Ranger Oil Ltd................... 611,186
-------------
11,417,724
-------------
PAPER/FOREST PRODUCTS - 1.28%
32,639 Bowater Inc...................... 1,232,122
35,135 Consolidated Papers, Inc......... 1,747,966
36,739 Longview Fibre Co................ 661,302
29,200 P H Glatfelter Co................ 540,200
32,376 Pentair Inc...................... 938,904
27,800 Rayonier Inc..................... 1,084,200
19,670 Standard Register Co............. 558,136
25,561 Wausau Paper Mills Co............ 520,806
-------------
7,283,636
-------------
PHOTOGRAPHY - 0.02%
6,453 CPI Corp......................... 110,508
-------------
POLLUTION CONTROL - 0.64%
25,133 Calgon Carbon Corp............... 292,171
103,400 * USA Waste Services, Inc.......... 3,373,425
-------------
3,665,596
-------------
PUBLISHING - NEWS - 0.80%
33,600 Lee Enterprises, Inc............. 756,000
18,868 Media General, Inc. Class A...... 591,983
9,161 Washington Post Co. Class B...... 3,205,205
-------------
4,553,188
-------------
PUBLISHING/PRINTING - 0.83%
31,586 Banta Corp....................... 765,961
4,857 Ennis Business Forms, Inc........ 50,391
24,625 * Golden Books Family
Entertainment, Inc............. 280,109
15,116 Houghton Mifflin Co.............. 793,590
13,200 * Scholastic Corp.................. 983,400
53,800 * Topps Co. Inc.................... 235,375
44,728 Wallace Computer Services, Inc... 1,587,844
-------------
4,696,670
-------------
RAILROAD - 0.76%
16,312 GATX Corp........................ 803,366
56,977 Illinois Central Corp............ 1,930,096
31,432 Kansas City Southern
Industries, Inc................ 1,583,387
-------------
4,316,849
-------------
RESTAURANTS - 1.08%
38,533 Bob Evans Farms, Inc............. 486,479
58,955 * Brinker International, Inc....... 1,098,037
37,432 * Buffets, Inc..................... 350,925
50,466 Cracker Barrel Old Country
Store, Inc..................... 1,211,184
12,880 * International Dairy Queen, Inc.
Class A........................ 244,720
36,800 * Lone Star Steakhouse &
Saloon, Inc.................... $ 1,085,600
40,000 * Outback Steakhouse Inc........... 1,160,000
19,788 Sbarro, Inc...................... 519,435
-------------
6,156,380
-------------
SECURITIES RELATED - 2.99%
68,976 A.G. Edwards, Inc................ 2,164,122
104,504 Bear Stearns Co. Inc............. 2,873,860
146,152 Charles Schwab Corp.............. 4,421,098
74,868 Franklin Resources, Inc.......... 5,324,986
81,800 Paine Webber Group Inc........... 2,229,050
-------------
17,013,116
-------------
SEMICONDUCTORS - 3.55%
36,520 * Altera Corp...................... 2,739,000
94,529 * Analog Devices, Inc.............. 2,989,480
81,500 * Atmel Corp....................... 2,658,937
36,188 Avnet, Inc....................... 2,116,998
50,736 * Cirrus Logic, Inc................ 1,014,720
66,782 * Cypress Semiconductor Corp....... 826,427
62,454 Linear Technology Corp........... 2,974,372
50,300 * Maxim Integrated Products, Inc... 2,244,638
59,581 * Xilinx, Inc...................... 2,621,564
-------------
20,186,136
-------------
TELECOMMUNICATIONS - 2.70%
108,128 * ADC Telecommunications, Inc...... 4,014,252
46,442 COMSAT Corp...................... 1,190,076
135,946 Frontier Corp.................... 3,551,589
193,200 * Nextel Communications, Inc.
Class A........................ 2,728,950
42,340 * Octel Communications Corp........ 767,413
101,101 * 360 Communications Co............ 2,401,149
41,340 * Vanguard Cellular Systems, Inc.
Class A........................ 702,780
-------------
15,356,209
-------------
TEXTILE - PRODUCTS - 0.70%
49,900 * Burlington Industries, Inc....... 536,425
111,510 Shaw Industries Inc.............. 1,324,181
54,921 Unifi, Inc....................... 1,668,226
26,384 Wellman, Inc..................... 432,038
-------------
3,960,870
-------------
TOBACCO - 0.16%
31,835 Universal Corp................... 931,174
-------------
TRUCKERS - 0.05%
17,614 Arnold Industries, Inc........... 286,228
-------------
</TABLE>
18
<PAGE> 21
================================================================================
MIDCAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
UTILITIES - COMMUNICATION - 1.07%
23,318 Aliant Communications, Inc....... $ 373,088
52,750 Century Telephone Enterprises, Inc. 1,694,594
54,064 Southern New England
Telecommunications Corp........ 2,162,560
49,291 Telephone and Data Systems, Inc.. 1,842,251
-------------
6,072,493
-------------
UTILITIES - ELECTRIC - 10.18%
60,836 * AES Corp......................... 2,950,546
101,114 Allegheny Power System, Inc...... 3,071,338
44,235 Atlantic Energy, Inc............. 790,701
3,853 Black Hills Corp................. 100,178
42,700 * Calenergy, Inc................... 1,281,000
16,159 Central Louisiana Electric Co., Inc. 460,532
30,416 Central Maine Power Co........... 364,992
78,664 CMS Energy Corp.................. 2,576,246
54,537 Delmarva Power & Light Co........ 1,111,191
86,462 Florida Progress Corp............ 2,810,015
18,566 Hawaiian Electric Industries, Inc. 675,338
26,223 Idaho Power Co................... 812,913
63,100 Illinova Corp.................... 1,680,037
13,859 Indiana Energy, Inc.............. 337,813
51,264 IPALCO Enterprises, Inc.......... 1,403,352
62,819 Kansas City Power & Light Co..... 1,790,341
62,542 LG&E Energy Corp................. 1,532,279
75,334 MidAmerican Energy Co............ 1,130,010
18,018 Minnesota Power & Light Co....... 506,756
57,557 Montana Power Co................. 1,237,476
28,333 Nevada Power Co.................. 584,368
54,117 New England Electric System...... 1,860,272
59,621 New York State Electric & Gas Corp. 1,296,757
56,872 NIPSCO Industries, Inc........... 2,203,790
118,133 Northeast Utilities.............. 1,402,829
40,146 Oklahoma Gas and Electric Co..... 1,656,023
72,923 Pinnacle West Capital Corp....... 2,287,959
42,691 Portland General Corp............ 1,846,386
105,864 Potomac Electric Power Co........ 2,739,231
57,112 Public Service Co. of Colorado... 2,234,507
41,437 Public Service Co. of New Mexico. 797,662
60,162 Puget Sound Power & Light Co..... 1,376,206
87,988 SCANA Corp....................... 2,364,677
40,048 Southwestern Public Service Co... 1,416,698
104,520 TECO Energy, Inc................. 2,560,740
33,788 UtiliCorp United Inc............. 912,276
29,424 Washington Gas Light Co.......... 720,888
92,452 Wisconsin Energy Corp............ 2,473,091
18,416 WPL Holdings, Inc................ 522,554
-------------
57,879,968
-------------
UTILITIES - GAS, DISTRIBUTION - 1.44%
46,436 AGL Resources, Inc............... $ 986,765
38,505 Brooklyn Union Gas Co............ 1,217,721
60,168 MCN Corp......................... 1,759,914
31,578 National Fuel Gas Co............. 1,349,959
37,282 Tosco Corp....................... 2,852,073
-------------
8,166,432
-------------
WATER SERVICES - 0.20%
58,800 American Water Works Co., Inc.... 1,168,650
-------------
TOTAL COMMON STOCKS
(Cost $430,896,903).............. 565,455,251
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- -------------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 0.46%
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.32%
$ 1,811,000 Cooper Industries, Inc.,
5.40% due 12/2/96.............. 1,809,913
-------------
SECURITIES RELATED - 0.14%
820,000 Merrill Lynch & Co., Inc.,
5.32% due 12/2/96.............. 819,515
-------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $2,629,428)................ 2,629,428
-------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.05%
U.S. TREASURY BILLS - 0.05%
300,000 United States Treasury Bills,
5.14% due 12/19/96
(Cost $299,101)................ 299,101
-------------
TOTAL INVESTMENTS
(Cost $433,825,432) - 99.97%..... 568,383,780
Other assets and liabilities,
net - 0.03%.................... 154,267
-------------
NET ASSETS (equivalent
to $20.33 per share on
27,959,689 shares
outstanding) - 100%............ $ 568,538,047
-------------
</TABLE>
* Non-income producing
19
<PAGE> 22
================================================================================
MIDCAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- --------------------------------------------------------------
<S> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/27/96)
23 (2) S&P MidCap 400 Index Futures
(December/$256.75)............. $ 127,843
-------------
</TABLE>
(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:
<TABLE>
<S> <C>
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
27,959,689 shares outstanding................. $ 279,597
Additional paid in capital...................... 384,707,293
Undistributed net realized gain on securities... 48,641,952
Undistributed net investment income............. 223,014
Unrealized appreciation of:
Investments.................... $ 134,558,348
Futures........................ 127,843 134,686,191
------------- -------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING .................................. $ 568,538,047
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE> 23
================================================================================
MIDCAP INDEX FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<S> <C> <C>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996 INVESTMENT INCOME:
Dividends.................................................................................................... $ 4,284,421
Interest..................................................................................................... 286,558
-------------
Total investment income................................................................................... 4,570,979
-------------
EXPENSES:
Advisory fees................................................................................................ 925,872
Custodian and accounting services............................................................................ 96,292
Reports to shareholders...................................................................................... 34,857
Audit fees and tax services.................................................................................. 9,429
Directors' fees and expenses................................................................................. 7,063
Miscellaneous................................................................................................ 19,520
-------------
Total expenses............................................................................................ 1,093,033
-------------
NET INVESTMENT INCOME........................................................................................ $ 3,477,946
-------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments.............................................................................. $ 14,973,782
Futures contracts........................................................................ 537,253 15,511,035
-------------
Net unrealized appreciation during the period:
Investments.............................................................................. 19,492,862
Futures contracts........................................................................ 72,168 19,565,030
------------- -------------
Net realized and unrealized gain on securities during the period....................................... 35,076,065
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 38,554,011
-------------
</TABLE>
<TABLE>
For the For the fiscal
period ended year ended
STATEMENT OF CHANGES IN NET ASSETS November 27, 1996 May 31, 1996
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 3,477,946 $ 6,480,259
Net realized gain on securities............................................................. 15,511,035 33,442,786
Net unrealized appreciation of securities during the period................................. 19,565,030 76,393,023
-----------------------------
Increase in net assets resulting from operations......................................... 38,554,011 116,316,068
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (3,309,235) (6,584,543)
Net realized gain on securities............................................................. - (17,378,059)
-----------------------------
Decrease in net assets resulting from distributions to shareholders...................... (3,309,235) (23,962,602)
-----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 20,027,299 43,226,671
Proceeds from capital stock issued for distributions reinvested............................. 3,309,235 23,962,602
-----------------------------
23,336,534 67,189,273
Cost of capital stock repurchased........................................................... (30,730,822) (26,411,830)
-----------------------------
Increase (decrease) in net assets resulting from capital stock transactions.............. (7,394,288) 40,777,443
-----------------------------
TOTAL INCREASE IN NET ASSETS................................................................ 27,850,488 133,130,909
NET ASSETS:
Beginning of period......................................................................... 540,687,559 407,556,650
-----------------------------
End of period (including undistributed net investment income of $223,014 and $54,303) ...... $ 568,538,047 $ 540,687,559
-----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 1,083,504 2,455,783
Shares issued for distributions reinvested.................................................. 175,211 1,381,367
Shares of capital stock repurchased ........................................................ (1,620,753) (1,503,393)
-----------------------------
Increase (decrease) in shares outstanding................................................ (362,038) 2,333,757
Shares outstanding:
Beginning of period...................................................................... 28,321,727 25,987,970
-----------------------------
End of period............................................................................ 27,959,689 28,321,727
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE> 24
================================================================================
SMALL CAP INDEX FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
COMMON STOCKS - 98.79%
ADVERTISING - 0.71%
13,800 * Acxiom Corp...................... $ 317,400
5,025 ADVO, Inc........................ 63,441
2,700 * American Business
Information, Inc............... 45,900
5,600 * Catalina Marketing Corp.......... 284,200
400 Grey Advertising, Inc............ 92,000
1,300 * HA- LO Industries, Inc........... 48,100
2,550 Harte-Hanks Communications....... 64,706
4,700 * National Media Corp.............. 37,600
1,100 * Robert Mondavi Corp. Class A..... 40,150
6,100 True North Communications Inc.... 138,012
8,100 * Westwood One, Inc................ 134,663
-------------
1,266,172
-------------
AEROSPACE/DEFENSE - 1.26%
3,400 * Alliant Techsystems Inc.......... 181,900
6,700 Aviall, Inc...................... 65,325
4,600 * BE Aerospace, Inc................ 105,225
10,800 * Coltec Industries, Inc........... 198,450
600 Cubic Corp....................... 12,525
5,200 * Fairchild Corp. Class A.......... 85,150
6,900 Gencorp Inc...................... 125,925
14,500 * Geotek Communications, Inc....... 94,250
3,200 * GRC International, Inc........... 46,800
4,400 Logicon, Inc..................... 181,500
5,200 OEA, Inc......................... 209,300
6,200 * Orbital Sciences Corp............ 118,575
8,400 * Power Control Technologies, Inc.. 66,150
5,700 * Rohr Industries, Inc............. 92,625
2,800 * Sequa Corp. Class A.............. 113,400
2,000 * Tech-Sym Corp.................... 57,000
3,700 Teleflex Inc..................... 183,150
4,800 Thiokol Corp..................... 219,600
6,600 * Trimble Navigation Ltd........... 87,450
700 * Whittaker Corp................... 9,800
-------------
2,254,100
-------------
AIRLINES - 0.71%
3,800 * Alaska Air Group, Inc............ 90,250
12,300 * America West Airlines, Inc. Class B 178,350
4,800 Atlantic Southeast Airlines, Inc. 109,200
13,000 * Continental Airlines, Inc. Class B 362,375
4,050 Expeditors International of
Washington, Inc................ 182,250
3,500 Harper Group, Inc................ 81,375
6,700 * Mesa Airlines, Inc............... 66,162
4,200 Pittston Burlington Group........ 83,475
1,800 SkyWest, Inc..................... 25,200
7,900 * ValuJet, Inc..................... 71,100
2,700 * Western Pacific Airlines, Inc.... 22,950
-------------
1,272,687
-------------
APPAREL & PRODUCTS - 1.41%
2,100 * American Eagle Outfitters........ 49,875
3,400 Angelica Corp.................... 65,025
5,100 * Ann Taylor Stores Corp........... 100,725
5,600 Authentic Fitness Corp........... $ 60,900
2,200 Blair Corp....................... 45,375
1,200 * Buckle, Inc...................... 34,350
5,950 Cato Corp........................ 29,750
11,925 Claire's Stores, Inc............. 177,384
8,700 CML Group, Inc................... 33,713
2,100 * Donnkenny, Inc................... 8,400
6,900 * Dress Barn, Inc.................. 99,188
1,200 Fab Industries, Inc.............. 32,250
2,900 * Gadzooks, Inc.................... 79,025
7,500 * Gymboree Corp.................... 204,375
2,700 * Hartmarx Corp.................... 13,500
5,550 Kellwood Co...................... 99,900
5,700 * Land's End, Inc.................. 156,750
3,700 * Men's Wearhouse, Inc............. 85,100
10,800 * Nautica Enterprises, Inc......... 341,550
5,000 OshKosh B'Gosh, Inc. Class A..... 77,500
5,700 Phillips-Van Heusen Corp......... 74,100
6,500 Ross Stores, Inc................. 329,062
3,600 St. John Knits, Inc.............. 153,900
6,600 UniFirst Corp.................... 136,950
2,000 * Urban Outfitters, Inc............ 29,500
-------------
2,518,147
-------------
APPLIANCES/FURNISHINGS - 1.25%
4,100 Aaron Rents, Inc. Class A........ 60,987
3,750 Bassett Furniture Industries, Inc. 85,312
4,100 * CORT Business Services Corp...... 91,225
3,800 Ethan Allen Interiors Inc........ 125,875
4,300 * Falcon Building Products, Inc.
Class A........................ 52,138
18,600 * Furniture Brands International, Inc. 227,850
11,097 * Griffon Corp..................... 117,906
11,000 Hechinger Co. Class A............ 29,563
11,200 Heilig-Meyers Co................. 159,600
2,900 * Helen of Troy Ltd................ 61,625
6,300 Herman Miller, Inc............... 299,250
4,100 Hunt Manufacturing Co............ 70,725
6,400 Kimball International, Inc. Class B 262,400
2,200 La-Z-Boy Chair Co................ 66,000
7,385 * Metromedia International Group... 86,774
1,500 National Presto Industries, Inc.. 55,500
3,600 Oneida Ltd....................... 61,200
3,600 * Renters Choice, Inc.............. 69,750
4,400 Rival Co......................... 99,000
4,900 Windmere Corp.................... 67,987
6,623 * Zenith Electronics Corp.......... 86,099
-------------
2,236,766
-------------
AUTO - CARS - 0.02%
1,400 * Oxford Resources Corp. Class A... 35,875
-------------
AUTO - ORIGINAL EQUIPMENT - 0.72%
7,100 * Allen Group Inc.................. 156,200
5,900 Arvin Industries, Inc............ 140,862
2,900 BREED Technologies, Inc.......... 77,938
4,600 Carlisle Cos Inc................. 266,225
6,600 Donaldson Co., Inc............... 200,475
</TABLE>
22
<PAGE> 25
================================================================================
SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
AUTO - ORIGINAL EQUIPMENT - Continued
7,900 Federal-Mogul Corp............... $ 177,750
1,700 * Miller Industries, Inc........... 48,450
4,400 Modine Manufacturing Co.......... 110,000
4,000 Superior Industries
International, Inc............. 101,000
-------------
1,278,900
-------------
AUTO - REPLACEMENT PARTS - 0.88%
3,300 A.O. Smith Corp.................. 94,875
4,900 * APS Holding Corp. Class A........ 94,938
15,700 * Collins & Aikman Corp............ 96,163
1,075 Dart Group Corp. Class A......... 101,587
3,900 * Discount Auto Parts, Inc......... 99,937
2,700 Furon Co......................... 55,350
5,400 Handy & Harman................... 91,800
5,500 Kaydon Corp...................... 225,500
1,343 Myers Industries, Inc............ 20,145
5,350 Simpson Industries, Inc.......... 55,506
4,000 SPX Corp......................... 129,500
4,400 Standard Motor Products, Inc.
Class A........................ 60,500
5,050 Standard Products Co. Class A.... 116,781
6,900 Stant Corp....................... 81,938
9,600 * TBC Corp......................... 68,400
3,300 Walbro Corp...................... 66,000
3,675 Wynn's International, Inc........ 107,494
-------------
1,566,414
-------------
BANKS - NEW YORK CITY - 0.07%
3,700 New York Bancorp Inc............. 126,263
-------------
BANKS - OTHER - 0.17%
1 Bank of Boston Corp.............. 69
3,678 First Union Corp................. 283,180
400 Irwin Financial Corp............. 19,600
-------------
302,849
-------------
BANKS - REGIONAL - 6.34%
3,100 AMCORE Financial, Inc............ 70,525
2,425 Anchor BanCorp Wisconsin Inc..... 84,875
3,918 Associated Banc-Corp............. 169,453
6,200 BancorpSouth, Inc................ 162,750
985 Bank of Granite Corp............. 31,520
900 Banknorth Group, Inc............. 34,425
2,472 * BOK Financial Corp............... 65,817
4,412 CCB Financial Corp............... 292,295
6,600 Centura Banks, Inc............... 297,825
2,300 Chemical Financial Corp.......... 83,663
4,400 Citizens Bancorp................. 251,900
4,700 Citizens Banking Corp............ 142,175
12,600 City National Corp............... 258,300
5,152 CNB Bancshares, Inc.............. 184,184
3,100 Cole Taylor Financial Group, Inc. 88,350
5,349 Collective Bancorp, Inc.......... 191,227
3,300 Colonial BancGroup, Inc.......... 131,588
2,812 Commerce Bancorp, Inc............ 80,845
5,100 Commercial Federal Corp.......... 247,350
4,900 Community First Bankshares, Inc.. $ 134,138
3,250 Corus Bankshares, Inc............ 104,000
7,940 Cullen/Frost Bankers, Inc........ 269,960
6,100 Dauphin Deposit Corp............. 201,300
6,500 Deposit Guaranty Corp............ 367,250
2,142 F & M National Corp.............. 42,037
3,124 First American Financial Corp.... 114,417
3,250 First Citizens BancShares, Inc... 260,812
425 First Commerce Bancshares, Inc... 10,625
7,797 First Commercial Corp............ 280,692
7,400 First Commonwealth Financial Corp.
Pennsylvania................... 135,975
3,520 First Financial Bancorp.......... 107,360
220 First Financial Corp.of Indiana.. 7,700
9,900 First Financial Corp.of Wisconsin 294,525
4,000 First Hawaiian, Inc.............. 127,000
7,778 First Michigan Bank Corp......... 219,728
3,100 First Midwest Bancorp, Inc....... 111,988
3,972 First Western Bancorp, Inc....... 105,258
737 Firstbank of Illinois Co......... 24,966
1,000 FirstBank Puerto Rico............ 25,125
7,500 FirstMerit Corp.................. 264,375
4,987 Fort Wayne National Corp......... 188,259
8,525 Fulton Financial Corp............ 176,894
5,000 Great Financial Corp............. 147,500
330 Harleysville National Corp....... 8,456
3,500 Heritage Financial Services, Inc. 73,500
5,175 HUBCO, Inc....................... 127,111
6,930 * Imperial Bancorp................. 155,925
3,230 Jefferson Bankshares, Inc........ 95,285
3,100 Liberty Bancorp, Inc............. 127,100
7,900 Magna Group, Inc................. 236,012
3,300 Mark Twain Bancshares, Inc....... 163,350
5,199 Mid-Am, Inc...................... 92,282
1,025 National Bancorp of Alaska, Inc.. 71,238
630 National City Bancshares, Inc.... 18,821
6,287 National Commerce Bancorporation. 231,047
3,516 National Penn Bancshares, Inc.... 91,416
6,100 North Fork Bancorporation, Inc... 207,400
1,612 North Side Savings Bank.......... 83,824
4,700 Old National Bancorp Indiana..... 172,725
4,860 ONBANCorp, Inc................... 180,427
6,467 One Valley Bancorp of
West Virginia, Inc............. 237,662
220 Peoples First Corp............... 5,005
600 Pikeville National Corp.......... 13,200
4,512 Provident Bancorp Inc............ 232,368
5,200 Riggs National Corp.............. 89,700
9,018 Roosevelt Financial Group, Inc... 173,596
1,100 S&T Bancorp, Inc................. 33,275
4,800 St. Paul Bancorp, Inc............ 135,000
1,400 Sumitomo Bank of California...... 37,100
4,075 Susquehanna Bancshares, Inc...... 142,625
2,800 Trans Financial, Inc............. 59,850
4,900 Trust Co. of New Jersey.......... 72,888
5,211 TrustCo Bank Corp. N Y........... 113,014
8,350 Trustmark Corp................... 219,187
</TABLE>
23
<PAGE> 26
================================================================================
SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
BANKS - REGIONAL - Continued
3,899 UMB Financial Corp............... $ 153,523
3,000 United Bankshares Inc.
West Virginia.................. 94,500
7,487 United Carolina Bancshares Corp.. 298,544
7,300 UST Corp......................... 132,313
3,100 Westamerica Bankcorporation...... 179,025
694 Westcorp......................... 16,222
4,000 Whitney Holding Corp............. 142,000
-------------
11,307,467
-------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.19%
9,900 Adolph Coors Class B............. 191,813
3,200 * Boston Beer Co., Inc. Class A.... 36,800
3,600 * Canandaigua Wine, Inc. Class B... 102,600
-------------
331,213
-------------
BEVERAGE - SOFT DRINKS - 0.08%
2,200 Coca-Cola Bottling Co............ 102,300
7,100 Pepsi-Cola Puerto Rico Bottling Co.
Class B........................ 32,838
-------------
135,138
-------------
BROADCASTING - 1.35%
3,200 Ackerley Inc..................... 41,200
3,300 * Adelphia Communications Corp.
Class A........................ 21,863
5,300 * American Mobile Satellite Corp... 63,600
3,200 * American Radio Systems, Corp.
Class A........................ 89,600
4,900 * American Telecasting, Inc........ 36,444
5,700 * ANTEC Corp....................... 55,575
2,000 * Argyle Television, Inc........... 51,000
5,900 * CAI Wireless Systems, Inc........ 16,963
4,000 * Cellularvision USA, Inc.......... 26,500
4,800 * Century Communications Corp.
Class A........................ 32,925
3,900 * Chancellor Corp. Class A......... 114,075
4,500 * Cyrix Corp....................... 84,937
8,900 * Data Broadcasting Corp........... 68,975
2,000 * Emmis Broadcasting Corp. Class A. 67,500
5,550 * Evergreen Media Corp............. 140,137
1,300 * EZ Communications, Inc........... 47,450
2,200 * Heartland Wireless
Communications, Inc............ 26,125
1,300 * Heftel Broadcasting Corp......... 45,500
7,200 * Heritage Media Corp. Class A..... 100,800
8,250 * International Family Entertainment
Inc. Class B................... 123,750
1,700 * Jacor Communications, Inc........ 41,225
3,500 * Jones Intercable Inc............. 36,750
2,400 * Lin Television Corp.............. 96,300
2,800 * Paxson Communications Corp....... 19,075
4,200 * People's Choice TV Corp.......... 28,350
4,600 * Renaissance Communication Corp... 162,725
3,500 * SAGA Communications, Inc.
Class A........................ 67,375
2,500 * SFX Broadcasting, Inc............ 79,375
2,000 * Silver King Communications, Inc.. $ 49,500
4,300 TCA Cable TV, Inc................ 125,775
8,700 * United International Holdings, Inc.
Class A........................ 117,450
1,700 United Television, Inc........... 157,250
4,400 * United Video Satellite Group, Inc.
Class A........................ 62,700
3,600 * Young Broadcasting Inc. Class A.. 108,450
-------------
2,407,219
-------------
BUILDING MATERIALS - 1.04%
3,100 * ABT Building Products Corp....... 72,075
1,500 Ameron, Inc...................... 71,813
3,600 Apogee Enterprises, Inc.......... 158,400
2,450 Butler Manufacturing Co.......... 78,706
5,000 CalMat Co........................ 91,875
3,200 Centex Construction Productions
Inc............................ 49,200
4,300 Elcor Corp....................... 89,762
15,200 Fedders USA Inc.................. 87,400
1,500 * Fibreboard Corp.................. 51,750
1,700 Florida Rock Industries, Inc..... 51,850
5,300 HON INDUSTRIES Inc............... 164,962
5,000 Interface, Inc. Class A.......... 99,375
3,200 Lone Star Industries, Inc........ 118,800
3,700 LSI Industries, Inc.............. 43,244
4,200 Medusa Corp...................... 146,475
700 * NCI Building Systems, Inc........ 20,125
13,800 * Payless Cashways Inc............. 25,875
1,000 Puerto Rican Cement Co. Inc...... 28,375
3,600 Southdown, Inc................... 117,900
3,000 Texas Industries, Inc............ 167,625
5,900 * Triangle Pacific Corp............ 128,325
-------------
1,863,912
-------------
CHEMICAL - MAJOR - 0.35%
3,600 Borg-Warner Automotive, Inc...... 143,100
4,000 Chemed Corp...................... 150,500
8,309 * Hexcel Corp...................... 148,523
3,900 * Synetic, Inc..................... 183,788
-------------
625,911
-------------
CHEMICAL - MISCELLANEOUS - 1.90%
3,600 * Buckeye Cellulose Corp........... 96,750
1,850 Cambrex Corp..................... 58,738
18,167 Crompton & Knowles Corp.......... 336,089
8,100 Dexter Corp...................... 266,287
5,300 Ferro Corp....................... 154,362
5,400 Fisher Scientific International Inc. 247,050
3,700 * Foamex International Inc......... 61,513
5,600 Geon Co.......................... 106,400
4,200 H.B. Fuller Co................... 197,400
2,600 * Landec Corp...................... 22,750
10,400 Lawter International, Inc........ 126,100
3,400 LeaRonal, Inc.................... 79,475
2,700 MacDermid, Inc................... 97,200
3,700 * McWhorter Technologies, Inc...... 74,000
4,900 Minerals Technologies Inc........ 191,100
</TABLE>
24
<PAGE> 27
================================================================================
SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
CHEMICAL - MISCELLANEOUS - Continued
4,800 * Mycogen Corp..................... $ 80,400
1,200 NCH Corp......................... 67,800
8,700 NL Industries, Inc............... 80,475
2,600 O'Sullivan Corp.................. 28,925
4,000 Om Group Inc..................... 166,000
925 Petrolite Corp................... 40,700
3,200 Rollins, Inc..................... 59,600
8,300 Schulman A. Inc.................. 199,200
2,000 Stepan Co........................ 37,000
3,100 Valspar Corp..................... 178,637
4,450 * VWR Scientific Products Corp..... 72,313
6,150 W.H. Brady Co. Class A........... 135,300
2,500 WD-40 Co......................... 128,125
-------------
3,389,689
-------------
COAL - 0.28%
1,900 * Addington Resources, Inc......... 56,288
3,200 Ashland Inc...................... 82,800
5,300 Eastern Enterprises.............. 196,762
2,800 NACCO Industries, Inc. Class A... 133,700
2,100 Zeigler Coal Holding Co.......... 37,800
-------------
507,350
-------------
CONGLOMERATES - 0.51%
1,500 * MAXXAM, Inc...................... 68,813
12,900 Ogden Corp....................... 249,937
2,600 * PEC Israel Economic Corp......... 42,250
9,100 PHH Corp......................... 401,537
11,700 * Walter Industries, Inc........... 150,638
-------------
913,175
-------------
CONSUMER FINANCE - 0.48%
9,500 * AmeriCredit Corp................. 186,437
200 Chittenden Corp.................. 5,050
3,100 Eaton Vance Corp................. 134,850
1,120 * Fleet Financial Group, Inc....... 23,240
1,500 Fund American Enterprises, Inc... 137,625
6,430 * National Auto Credit, Inc........ 65,908
7,700 * Olympic Financial Ltd............ 105,875
5,100 SEI Corp......................... 114,113
600 WesBanco, Inc.................... 17,850
9,000 * World Acceptance Corp............ 58,500
-------------
849,448
-------------
CONTAINERS - METAL/GLASS - 0.44%
3,600 * Alltrista Corp................... 88,200
4,700 AptarGroup, Inc.................. 165,675
7,900 Ball Corp........................ 192,562
2,800 CLARCOR Inc...................... 62,300
600 * CSS Industries, Inc.............. 14,475
4,800 Greif Brothers Corp. Class A..... 139,200
1,125 Liqui-Box Corp................... 36,281
4,900 * U. S. Can Corp................... 82,688
-------------
781,381
-------------
CONTAINERS - PAPER - 0.31%
5,800 Chesapeake Utilities Corp........ 172,550
12,600 * Gaylord Container Corp. Class A.. $ 80,325
10,890 Rock-Tenn Co. Class A............ 225,287
3,600 * Shorewood Packaging Corp......... 67,950
-------------
546,112
-------------
COSMETICS/TOILETRIES - 0.10%
4,050 * INBRAND Corp..................... 95,175
9,100 * Playtex Products, Inc............ 75,075
-------------
170,250
-------------
DRUGS - 3.11%
3,500 A.L. Pharma Inc. Class A......... 44,188
3,800 * Agouron Pharmaceuticals, Inc..... 210,900
8,700 * Alliance Pharmaceutical Corp..... 109,837
2,100 * Alteon, Inc...................... 13,913
5,300 * AmeriSource Health Corp. Class A. 208,687
6,300 * Amylin Pharmaceuticals, Inc...... 76,387
2,500 * Aphton Corp...................... 45,625
444 * Aquila Biopharmaceuticals, Inc... 1,998
4,100 Bindley Western Industries, Inc.. 71,237
1,200 * Carrington Laboratories, Inc..... 10,875
3,700 Carter-Wallace Inc............... 58,737
3,500 * CellPro, Inc..................... 43,313
7,400 * Cephalon, Inc.................... 124,875
4,017 * Chad Therapeutics, Inc........... 63,770
2,000 * Chronimed, Inc................... 30,500
4,000 * CNS, Inc......................... 55,000
7,500 * Cocensys, Inc.................... 46,875
5,500 * Columbia Laboratories, Inc....... 66,000
3,598 * Copley Pharmaceutical, Inc....... 46,774
3,000 * COR Therapeutics, Inc............ 29,625
5,300 * Cygnus, Inc...................... 63,600
8,200 * Cytel Corp....................... 26,650
1,900 * DepoTech Corp.................... 25,175
11,800 * Dura Pharmaceuticals, Inc........ 451,350
2,100 * GelTex Pharmaceuticals, Inc...... 37,800
10,400 * Genelabs Technologies, Inc....... 40,300
10,900 * Gensia, Inc...................... 50,413
6,700 * Gilead Sciences, Inc............. 170,012
2,400 Herbalife International, Inc..... 58,500
5,600 * Human Genome Sciences, Inc....... 205,800
9,265 ICN Pharmaceuticals, Inc......... 179,509
7,400 * ICOS Corp........................ 55,500
4,100 * IDEC Pharmaceuticals Corp........ 96,350
7,100 * ImmuLogic Pharmaceutical Corp.... 62,125
5,900 * Immune Response Corp............. 45,725
6,800 * Immunex Corp..................... 91,800
2,500 * Incyte Pharmacuticals, Inc....... 91,250
3,900 * Inhale Therapeutic Systems....... 57,525
1,500 * Intercardia, Inc................. 26,813
5,700 Jones Medical Industries, Inc.... 223,725
4,050 Life Technologies, Inc........... 87,075
4,358 * Ligand Pharmaceuticals Inc.
Class B........................ 52,841
4,400 * Martek Biosciences Corp.......... 76,450
3,100 * Matrix Pharmaceuticals, Inc...... 25,963
5,130 Natures Sunshine Products, Inc... 103,882
</TABLE>
25
<PAGE> 28
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
DRUGS - Continued
4,300 * Neoprobe Corp.................... $ 58,587
3,700 * Neose Technologies, Inc.......... 55,963
2,600 * Neurogen Corp.................... 47,613
7,100 * NeXstar Pharmaceuticals, Inc..... 97,625
5,900 * Noven Pharmaceuticals, Inc....... 79,650
1,700 * Parexel International Corp....... 88,400
4,300 * PathoGensis Corp................. 112,337
2,400 * PDT Inc.......................... 74,400
5,000 * R.P. Scherer Corp................ 227,500
6,600 * Regeneron Pharmaceuticals Inc.... 126,225
2,700 * Roberts Pharmaceutical Corp...... 30,713
4,300 * SangStat Medical Corp............ 92,987
6,400 * Sepracor Inc..................... 106,000
9,300 * SEQUUS Pharmaceuticals, Inc...... 130,200
6,500 * Somatogen, Inc................... 70,687
2,300 * SyStemix, Inc.................... 34,788
4,200 * Vertex Pharmaceuticals Inc....... 135,450
5,500 * Vivus Inc........................ 182,875
9,100 * Xoma Corp........................ 34,694
-------------
5,551,943
-------------
ELECTRICAL EQUIPMENT - 1.93%
10,800 AMETEK, Inc...................... 226,800
7,800 * Anixter International Inc........ 127,725
1,200 * Applied Digital Access, Inc...... 9,000
4,200 * Applied Innovation Inc........... 28,350
7,357 * BancTec, Inc..................... 145,301
7,600 Belden Inc....................... 258,400
1,200 * Brite Voice Systems, Inc......... 17,250
3,950 * C-COR Electronics, Inc........... 59,744
4,600 * Cable Design Technologies Corp... 135,700
4,300 * California Microwave, Inc........ 64,500
5,000 * Computer Products, Inc........... 100,625
5,300 * Digital Microwave Corp........... 127,200
3,475 * Electro Rent Corp................ 80,794
3,400 * Energy Conversion Devices, Inc... 50,575
3,600 * Esterline Technologies Corp...... 89,550
5,300 * Executive Telecard Ltd........... 37,762
700 * Franklin Electronic Publishers, Inc. 8,400
1,500 * Galileo Corp..................... 35,625
6,800 * GenRad, Inc...................... 143,650
3,000 * Holophane Corp................... 57,000
1,400 * Hutchinson Technology Inc........ 73,500
2,800 * Identix, Inc..................... 21,700
5,400 * Integrated Silicon Solution, Inc. 53,831
4,800 Juno Lighting, Inc............... 76,200
8,800 * Kemet Corp....................... 202,400
5,500 * Kent Electronics Corp............ 144,375
2,200 * Littelfuse, Inc.................. 96,800
3,500 * Semitool, Inc.................... 37,625
9,200 * Sierra Semiconductor Corp........ 133,400
4,800 Standex International Corp....... 150,000
5,200 * TCSI Corp........................ 44,850
4,200 * Thermo Ecotek Corp............... 66,150
900 Thomas Industries Inc............ 18,000
4,200 * Uniphase Corp.................... 242,550
7,000 * Vicor Corp....................... $ 138,250
5,100 X-Rite, Inc...................... 95,625
3,600 * Zytec Corp....................... 37,800
-------------
3,437,007
-------------
ELECTRONIC INSTRUMENTS - 3.03%
10,000 * Ampex Corp....................... 98,750
3,150 Analogic Corp.................... 87,412
6,200 * Applied Magnetics Corp........... 170,500
5,000 Augat Inc........................ 141,250
2,800 * Berg Electronics Corp............ 83,300
6,400 BMC Industries, Inc.............. 184,800
10,000 * Cognex Corp...................... 192,500
2,000 CTS Corp......................... 79,250
5,400 Daniel Industries, Inc........... 75,600
4,600 * Dionex Corp...................... 166,750
5,300 * Dynatech Corp.................... 253,075
2,400 * Eltron International, Inc........ 71,400
4,000 * Evans & Sutherland Computer
Corp........................... 101,000
4,600 * Exabyte Corp..................... 66,125
2,100 Fluke Corp....................... 90,825
9,300 * Gentex Corp...................... 183,675
5,500 * Genus, Inc....................... 37,813
6,300 Gerber Scientific, Inc........... 96,075
2,200 * HADCO Corp....................... 100,100
4,575 Harman International Industries
Inc............................ 232,753
3,600 * Harmonic Lightwaves, Inc......... 65,700
5,300 * IMP, Inc......................... 15,238
18,100 * Integrated Device Technology, Inc. 228,512
12,000 * InterDigital Communications Corp. 89,250
10,500 * Intergraph Corp.................. 94,500
1,400 * ITI Technologies, Inc............ 17,325
5,850 * Lattice Semiconductor Corp....... 264,712
8,300 * LoJack Corp...................... 77,813
10,200 * LTX Corp......................... 59,288
8,400 * MagneTek, Inc.................... 102,900
5,000 * Marshall Industries.............. 155,625
9,850 Methode Electronics, Inc. Class A 197,000
5,100 National Computer Systems, Inc... 116,662
5,400 * Nimbus CD International, Inc..... 46,575
3,300 Park Electrochemical Corp........ 75,075
4,200 * Performance Food Group Co........ 52,500
8,237 Pioneer-Standard Electronics, Inc. 94,725
5,100 * Robotic Vision Systems, Inc...... 66,300
5,700 * Standard Microsystems Corp....... 61,988
2,600 Technitrol, Inc.................. 94,250
6,600 Telxon Corp...................... 79,613
7,000 * Tencor Instruments............... 188,125
6,400 * 3DO Co........................... 41,600
4,200 * Tracor, Inc...................... 92,925
5,800 * Waters Corp...................... 156,600
2,900 Watkins-Johnson Co............... 74,313
4,000 Wyle Electronics................. 144,500
</TABLE>
26
<PAGE> 29
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
ELECTRONIC INSTRUMENTS - Continued
5,100 ZERO Corp........................ $ 101,362
800 * Zygo Corp........................ 31,800
-------------
5,399,729
-------------
ENTERTAINMENT - 0.72%
2,700 * AMC Entertainment, Inc........... 50,963
4,400 * Argosy Gaming Co................. 24,200
11,000 * Aztar Corp....................... 79,750
2,200 * BET Holdings, Inc. Class A....... 60,775
1,800 * Carmike Cinemas, Inc............. 49,050
2,300 * GC Companies, Inc................ 79,925
3,000 Harveys Casino Resorts........... 49,500
6,700 * Hollywood Entertainment Corp..... 134,419
3,900 NN Ball & Roller, Inc............ 51,675
1,500 * Penn National Gaming, Inc........ 58,500
3,300 * Primadonna Resorts, Inc.......... 61,050
2,100 * Recoton Corp..................... 32,025
5,925 * Regal Cinemas, Inc............... 179,972
3,400 * Savoy Pictures Entertainment, Inc. 11,050
1,150 * Shuffle Master, Inc.............. 10,925
3,400 * Sodak Gaming, Inc................ 56,950
4,500 * Sports & Recreation, Inc......... 38,250
6,200 * StarSight Telecast, Inc.......... 47,275
5,900 * Toy Biz, Inc. Class A............ 109,150
8,300 * Tyco Toys, Inc................... 98,562
-------------
1,283,966
-------------
FERTILIZERS - 0.41%
8,800 Arcadian Corp.................... 223,300
6,049 Delta & Pine Land Co............. 195,836
6,900 First Mississippi Corp........... 199,238
4,200 Mississippi Chemical Corp........ 104,475
-------------
722,849
-------------
FINANCE COMPANIES - 0.75%
3,200 Aames Financial Corp............. 138,400
3,400 * Amresco, Inc..................... 73,950
1,300 * Cityscape Financial Corp......... 34,450
4,400 * Credit Acceptance Corp........... 113,850
5,734 * Imperial Credit Industries, Inc.. 113,246
9,150 Keystone Financial, Inc.......... 244,762
6,600 Phoenix Duff & Phelps Corp....... 45,375
140 Phoenix Duff & Phelps Corp.
(Preferred).................... 3,500
1,000 * RAC Financial Group, Inc......... 54,500
1,900 Sirrom Capital Corp.............. 69,350
2,000 Student Loan Corp................ 77,750
3,300 U. S. Trust Corp................. 245,025
2,530 * WFS Financial, Inc............... 58,823
2,200 Winthrop Resources Corp.......... 62,700
-------------
1,335,681
-------------
FOODS - 1.22%
7,400 Chiquita Brands International.... 98,975
8,800 Dean Foods Co.................... 246,400
3,200 Dreyer's Grand Ice Cream, Inc.... 87,200
1,900 Earthgrains Co................... $ 98,562
15,050 Flowers Industries, Inc.......... 353,675
3,100 * FoodBrands America, Inc.......... 41,463
5,550 Hudson Foods, Inc. Class A....... 99,900
4,100 International Multifoods Corp.... 64,062
9,800 J.M. Smucker Co. Class A......... 178,850
4,200 Lance, Inc....................... 76,650
3,200 Michaels Foods, Inc.............. 35,600
4,200 * Morningstar Group Inc............ 71,925
2,900 * NBTY, Inc........................ 46,400
1,900 Northland Cranberries, Inc....... 44,175
5,000 Pilgrims Pride Corp.............. 44,375
8,000 * Ralcorp Holdings Inc............. 155,000
6,085 Tootsie Roll Industries, Inc..... 231,991
5,300 Universal Foods Corp............. 194,775
-------------
2,169,978
-------------
FOOTWEAR - 0.43%
4,400 Brown Group, Inc................. 82,500
6,150 * Just For Feet Inc................ 143,756
8,000 Justin Industries, Inc........... 84,500
3,400 * Kenneth Cole Productions, Inc.
Class A........................ 52,700
9,700 Stride Rite Corp................. 95,788
2,100 * Timberland Co. Class A........... 79,013
8,325 Wolverine World Wide, Inc........ 220,612
-------------
758,869
-------------
FREIGHT - 0.63%
4,100 Air Express International Corp... 132,225
3,900 Airborne Freight Corp............ 83,362
6,000 APL Ltd.......................... 143,250
2,500 * Eagle USA Airfreight, Inc........ 68,125
10,200 * Greyhound Lines, Inc............. 37,613
3,600 Interpool, Inc................... 85,950
5,500 J.B. Hunt Transport Services, Inc. 77,688
6,300 * Kirby Corp....................... 126,000
10,700 * OMI Corp......................... 80,250
9,700 Overseas Shipholding Group Inc... 157,625
2,100 * SEACOR Holdings, Inc............. 132,037
-------------
1,124,125
-------------
GOLD MINING - 0.55%
12,800 * Amax Gold Inc.................... 78,400
64,900 Battle Mountain Gold Co.......... 486,750
6,200 Coeur d'Alene Mines Corp......... 89,900
6,630 * Getchell Gold Corp............... 257,741
65,500 * Sunshine Mining Co............... 73,688
-------------
986,479
-------------
HARDWARE & TOOLS - 0.07%
100 Barnes Group, Inc................ 5,675
2,300 * Barnett, Inc..................... 56,925
3,200 Lawson Products, Inc............. 70,000
-------------
132,600
-------------
</TABLE>
27
<PAGE> 30
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
HEALTHCARE - 2.53%
3,800 * Access Health, Inc............... $ 145,350
11,300 * Advanced Tissue Sciences, Inc.... 132,775
4,900 * American Medical Response, Inc... 147,000
10,400 * American Oncology Resources
Inc............................ 100,100
2,400 * Arbor Health Care Co............. 57,600
2,537 Block Drug Co., Inc. Class A..... 116,063
4,100 Collagen Corp.................... 82,000
8,300 * Coram Healthcare Corp............ 36,313
3,500 * Curative Technologies, Inc....... 91,875
8,902 * CYTOGEN Corp..................... 45,066
6,400 * Genesis Health Ventures, Inc..... 175,200
4,500 * GranCare Inc..................... 79,312
12,462 * Horizon/CMS Healthcare Corp...... 135,524
5,900 Integrated Health Services, Inc.. 133,487
6,500 Invacare Corp.................... 167,375
2,300 Kinetic Concepts, Inc............ 28,750
17,000 * Laboratory Corp. of
America Holdings............... 46,750
2,200 * LCA-Vision, Inc.................. 5,500
3,600 * Living Centers of America, Inc... 91,350
7,400 * Mariner Health Group, Inc........ 52,263
5,500 * Matria Healthcare, Inc........... 33,000
5,500 * Maxicare Health Plans Inc........ 113,437
7,300 Mentor Corp...................... 205,312
5,100 * Multicare Companies, Inc......... 100,725
16,500 * NovaCare, Inc.................... 140,250
4,600 * Owen Healthcare, Inc............. 114,425
3,750 * Patterson Dental Co.............. 97,500
4,699 Pharmaceutical Product
Development, Inc............... 99,854
3,000 * PHP Healthcare Corp.............. 69,375
8,300 * Physician Corp. of America....... 84,037
3,000 * Physicians Health Services, Inc.
Class A........................ 43,500
4,300 * Regency Health Services, Inc..... 45,688
6,600 * Renal Treatment Centers Inc...... 172,425
1,800 * ReSound Corp..................... 14,850
3,000 * Respironics Inc.................. 44,625
3,900 * RightCHOICE Managed Care, Inc.
Class A........................ 35,588
8,300 * RoTech Medical Corp.............. 133,319
2,300 * Rural/Metro Corp................. 81,937
5,000 * Sierra Health Services, Inc...... 123,125
4,400 * SpaceLabs Medical, Inc........... 90,200
2,700 * Summit Care Corp................. 39,488
10,088 * Sun Healthcare Group, Inc........ 127,361
5,500 * Sunrise Medical Inc.............. 77,687
3,850 * TECNOL Medical Products, Inc..... 51,975
4,600 * TheraTx, Inc..................... 47,725
10,000 * Universal Health Services, Inc.
Class B........................ 277,500
5,000 * Veterinary Centers of America, Inc. 52,813
3,500 * VISX, Inc........................ 84,000
2,300 Vital Signs, Inc................. 51,175
-------------
4,522,549
-------------
HEAVY DUTY TRUCKS/PARTS - 0.18%
800 Cascade Corp..................... $ 11,400
4,000 * Detroit Diesel Corp.............. 79,500
16,600 * Navistar International Corp...... 157,700
4,450 Wabash National Corp............. 80,100
-------------
328,700
-------------
HOME BUILDERS - 0.75%
1,250 Cavalier Homes, Inc.............. 14,219
7,600 Centex Corp...................... 273,600
3,300 Continental Homes Holding Corp... 66,000
7,905 * D R Horton Inc................... 80,038
6,600 Del Webb Corp.................... 112,200
7,600 Kaufman & Broad Home Corp........ 97,850
5,800 * NVR Inc.......................... 59,450
3,500 * Palm Harbor Homes, Inc........... 94,063
6,000 Pulte Corp....................... 184,500
4,200 Ryland Group, Inc................ 58,800
10,200 Standard Pacific Corp............ 57,375
6,200 * Toll Brothers, Inc............... 123,225
4,370 * U. S. Home Corp.................. 108,157
-------------
1,329,477
-------------
HOSPITAL MANAGEMENT - 0.67%
2,250 * ABR Information Services, Inc.... 95,625
1,700 * Coastal Physician Group Inc...... 6,588
11,493 Community Psychiatric Centers.... 102,000
7,500 * Coventry Corp.................... 73,125
2,900 * EmCare Holdings Inc.............. 56,913
1,900 * Enterprise Systems, Inc.......... 30,400
6,200 * Equimed, Inc..................... 25,963
5,000 * Health Management Systems, Inc... 77,500
52 * Hospital Staffing Services, Inc.. 124
4,400 * Inphynet Medical Management, Inc. 79,750
7,100 * Magellan Health Services, Inc.... 148,212
2,000 * MedCath Inc...................... 30,000
4,500 * OccuSystems, Inc................. 130,500
5,500 * Orthodontic Centers of America Inc. 69,437
3,000 * Pediatrix Medical Group.......... 112,500
3,700 * Physicians Resource Group, Inc... 74,462
3,800 * Prime Medical Services, Inc...... 43,700
6,400 * Transcend Services, Inc.......... 38,400
-------------
1,195,199
-------------
HOSPITAL SUPPLIES - 1.32%
7,100 * Acuson Corp...................... 155,312
3,400 * Advanced Technology Laboratories
Inc............................ 97,750
2,100 Arrow International, Inc......... 58,275
3,300 * ArthroCare Corp.................. 32,588
8,500 Ballard Medical Products......... 157,250
10,200 * Bio-Technology General Corp...... 93,713
3,500 * Coherent, Inc.................... 149,625
2,700 * CONMED Corp...................... 46,913
5,200 * Datascope Corp................... 96,200
3,600 Diagnostic Products Corp......... 94,050
3,700 * Gulf South Medical Supply, Inc... 106,375
5,650 * Healthdyne Technologies Inc...... 51,556
3,600 * ICU Medical, Inc................. 28,350
</TABLE>
28
<PAGE> 31
================================================================================
SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
HOSPITAL SUPPLIES - Continued
7,800 * Immunomedics, Inc................ $ 51,675
8,100 * Isis Pharmaceuticals, Inc........ 133,144
600 Landauer, Inc.................... 12,675
4,900 * Marquette Medical Systems........ 88,200
4,400 Meridian Diagnostics, Inc........ 48,950
2,100 * MiniMed, Inc..................... 56,700
3,900 * OrthoLogic Corp.................. 23,156
2,000 * Ostex International, Inc......... 11,000
9,750 Owens & Minor, Inc............... 103,594
165 PerSeptive Biosystems Inc........ 1,134
93 PerSeptive Biosystems Inc.
(Warrants)..................... 12
3,200 * Physio-Control International Corp. 59,200
2,800 * Protocol Systems, Inc............ 36,750
1,700 * Safeskin Corp.................... 88,400
9,500 * Summit Technology, Inc........... 46,312
3,600 * Target Therapeutics, Inc......... 121,950
1,800 * TECHNE Corp...................... 42,300
3,600 * Theragenics Corp................. 81,225
8,000 * Uromed Corp...................... 73,000
3,800 West Co., Inc.................... 107,350
-------------
2,354,684
-------------
HOUSEHOLD PRODUCTS - 0.74%
4,200 Armor All Products Corp.......... 79,341
2,800 Church & Dwight Co., Inc......... 63,000
3,900 * Culligan Water Technologies, Inc. 144,787
5,300 Libbey Inc....................... 143,100
4,050 Pittway Corp. Class A............ 217,687
13,800 Premark International Inc........ 334,650
9,750 Rykoff-Sexton, Inc............... 141,375
4,700 Stanhome Inc..................... 129,838
1,000 * Syratech Corp.................... 31,000
1,000 * USA Detergents, Inc.............. 38,125
-------------
1,322,903
-------------
INFORMATION PROCESSING - 8.42%
2,100 * ACT Networks, Inc................ 60,900
4,500 * Activision, Inc.................. 52,313
4,333 ADAC Laboratories................ 94,243
5,400 * Affiliated Computer Services, Inc.
Class A........................ 156,600
3,400 * Amisys Managed Care Systems Inc.. 47,600
5,000 Analysts International Corp...... 141,250
3,100 * Applix, Inc...................... 57,738
2,300 * Arbor Software Corp.............. 58,937
2,200 * Aspen Technologies, Inc.......... 177,100
11,503 * AST Research, Inc................ 48,169
3,700 * Astea International, Inc......... 20,350
7,900 * Auspex Systems, Inc.............. 91,837
3,408 * Avant! Corp...................... 92,868
2,000 * Barra, Inc....................... 51,000
4,600 * BBN Corp......................... 104,650
3,400 * BDM International................ 159,800
2,400 * Bell & Howell Co................. 63,300
5,800 * BISYS Group, Inc................. 215,325
5,400 * Black Box Corp................... $ 213,300
4,350 * Boole & Babbage, Inc............. 122,887
10,100 * Borland International, Inc....... 85,219
7,100 * Boston Technology, Inc........... 141,112
1,300 * BRC Holdings, Inc................ 54,275
3,600 * Broderbund Software Inc.......... 108,450
3,300 * Brooktrout Technology, Inc....... 105,600
3,300 * Caere Corp....................... 28,050
4,200 * Centennial Technologies, Inc..... 145,425
4,900 * Cerner Corp...................... 68,600
21,700 * Chyron Corp...................... 84,087
2,600 * Ciber, Inc....................... 83,200
7,200 * Citrix Systems, Inc.............. 325,800
2,200 * Clarify, Inc..................... 100,100
1,600 * COMFORCE Corp.................... 21,200
4,250 * Computer Horizons Corp........... 133,875
3,500 Computer Language Research, Inc.. 34,563
2,550 * Computer Management Sciences
Inc............................ 43,350
7,000 * Computer Network Technology
Corp........................... 43,750
1,000 Computer Task Group, Inc......... 41,500
14,900 * Computervision Corp.............. 139,687
1,600 * ComShare, Inc.................... 23,600
5,600 * Comverse Technology, Inc......... 189,000
3,700 * Control Data Systems, Inc........ 73,537
2,700 * Cooper & Chyan Technology, Inc... 88,087
15,900 * CopyTele, Inc.................... 93,412
1,900 * CSG Systems International, Inc... 32,300
1,000 * Cybercash, Inc................... 25,875
9,300 * Data General Corp................ 134,850
3,200 Data Translation, Inc............ 36,800
2,700 * Dialogic Corp.................... 81,000
6,900 * Diamond Multimedia Systems, Inc.. 77,625
1,900 * Documentum, Inc.................. 72,200
2,300 * Edmark Corp...................... 35,075
7,100 * Egghead, Inc..................... 43,488
4,400 * Envoy Corp....................... 157,300
4,400 * Epic Design Technology, Inc...... 109,450
3,600 * Excalibur Technologies Corp...... 57,600
1,300 Fair Issac & Co., Inc............ 45,988
4,000 * FileNet Corp..................... 136,000
202 First Data Corp.................. 8,156
6,500 * FTP Software, Inc................ 49,664
6,800 * General DataComm Industries, Inc. 74,800
3,900 * Geoworks......................... 88,237
1,600 * Harbinger Corp................... 41,200
860 HBO & Co......................... 48,483
800 * HCIA, Inc........................ 21,500
2,900 Henry Jack & Associates.......... 109,475
3,700 * HMT Technology Corp.............. 64,750
4,700 * HNC Software, Inc................ 137,475
5,800 * Hyperion Software Corp........... 123,250
2,000 * IDX Systems Corp................. 48,750
3,000 * IKOS Systems, Inc................ 58,500
3,300 * Imnet Systems, Inc............... 59,400
3,100 * In Focus Systems, Inc............ 65,875
</TABLE>
29
<PAGE> 32
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
INFORMATION PROCESSING - Continued
3,000 * Individual, Inc.................. $ 15,375
10,200 * Information Resources, Inc....... 116,025
2,600 * Inso Corp........................ 105,137
1,900 * Integrated Measurment Systems
Inc............................ 33,725
3,200 * Integrated Systems, Inc. Class A. 66,400
7,200 * INTERSOLV, Inc................... 64,800
1,700 * JDA Software Group, Inc.......... 45,475
5,000 * Keane, Inc....................... 259,375
1,300 * Kronos, Inc...................... 37,050
2,000 * Learning Tree International, Inc. 91,000
5,400 * Legato Systems, Inc.............. 186,975
2,500 * Manugistics Group Inc............ 93,750
5,100 Measurex Corp.................... 126,862
5,800 * Mercury Interactive Corp......... 58,725
1,000 * MetaTools, Inc................... 18,125
10,000 * Microchip Technology Inc......... 482,500
6,000 * Microcom, Inc.................... 66,750
1,400 * MICROS Systems Inc............... 41,475
2,900 * Microware Systems Corp........... 42,775
4,200 MTS Systems Corp................. 84,000
3,800 * Mylex Corp....................... 46,550
6,650 National Data Corp............... 262,675
3,700 * National Instruments Corp........ 115,625
2,300 * NETCOM On-Line Communication
Services, Inc.................. 39,100
9,900 * NetManage, Inc................... 59,400
4,800 * Network Appliance, Inc........... 172,800
4,100 * Network Peripherals, Inc......... 63,806
10,600 * Oak Technology, Inc.............. 104,675
3,100 * Optical Data Systems, Inc........ 41,850
4,316 * Paxar Corp....................... 72,832
5,200 * Phoenix Technologies Ltd......... 88,400
6,200 * Physician Computer Network, Inc.. 50,375
1,100 * Pinnacle Systems, Inc............ 11,550
800 * Planar Systems, Inc.............. 8,300
333 * Platinum Software Corp........... 3,996
11,600 * PLATINUM technology, Inc......... 140,650
6,400 * PMT Services, Inc................ 131,200
3,400 * Policy Management Systems Corp... 135,575
2,900 * Premenos Technology Corp......... 30,088
5,800 * Primark Corp..................... 153,700
2,200 * Prism Solutions, Inc............. 17,050
4,400 * Progress Software Corp........... 71,500
2,300 * Project Software & Development
Inc............................ 95,450
7,800 * PsiNet, Inc...................... 102,375
7,270 * Pure Atria Corp.................. 203,560
6,600 * Quarterdeck Corp................. 40,013
1,900 * RadiSys Corp..................... 83,600
2,200 * Red Brick Systems, Inc........... 52,250
3,700 * Remedy Corp...................... 170,662
1,400 * Renaissance Solutions, Inc....... 52,238
12,300 * S3, Inc.......................... 205,256
2,700 * Sandisk Corp..................... 36,956
1,900 * Santa Cruz Operation, Inc........ $ 12,113
1,000 * Sapient Corp..................... 41,000
1,500 * Scopus Technology, Inc........... 56,250
7,800 * Sequent Computer Systems, Inc.... 132,600
3,800 * SMART Modular Technologies, Inc.. 85,025
3,100 * Smith Micro Software, Inc........ 15,888
3,800 * Spectrum HoloByte, Inc........... 18,525
2,700 * SPSS, Inc........................ 77,625
8,100 * Stac, Inc........................ 54,675
2,300 * Storage Computer Corp............ 25,013
5,800 * Stratus Computer, Inc............ 147,900
10,100 * Structural Dynamics Research
Corp........................... 196,319
12,400 * Symantec Corp.................... 179,800
5,000 * Sync Research, Inc............... 87,500
7,350 System Software Associates, Inc.. 102,900
5,400 * Systems & Computer Technology
Corp........................... 78,300
4,000 * Systemsoft Corp.................. 74,500
9,000 * Tech Data Corp................... 270,000
3,900 * Technology Solutions Co.......... 176,475
5,800 * Transaction Systems Architects, Inc.
Class A........................ 213,875
4,200 * Trident Microsystems, Inc........ 88,200
5,100 * Tseng Labs, Inc.................. 32,513
3,100 * USDATA Corp., Inc................ 20,538
5,000 * Vanstar Corp..................... 130,000
3,200 * Vantive Corp..................... 110,800
3,200 * Veritas Software Corp............ 147,200
5,000 * Viasoft, Inc..................... 223,125
3,900 * VideoServer, Inc................. 194,512
6,300 * Viewlogic Systems, Inc........... 63,000
1,600 * Visio Corp....................... 78,000
3,100 * Wall Data, Inc................... 48,050
8,500 * Wang Laboratories, Inc........... 179,562
1,700 * Wind River Systems Inc........... 83,725
3,200 * Wonderware Corp.................. 29,600
1,000 * Workgroup Technology Corp........ 5,250
5,900 * Xircom, Inc...................... 118,000
2,200 * Yahoo!, Inc...................... 40,838
6,000 * Zebra Technologies Corp. Class A. 156,000
-------------
15,026,264
-------------
INSURANCE - CASUALTY - 1.20%
3,000 * Acceptance Insurance Companies
Inc............................ 61,500
900 Baldwin & Lyons, Inc. Class B.... 16,144
4,000 Capsure Holdings Corp............ 36,000
3,500 Citizens Corp.................... 75,250
6,600 Commerce Group, Inc.............. 159,225
2,600 E.W. Blanch Holdings, Inc........ 51,025
3,485 Frontier Insurance Group, Inc.... 132,866
4,473 Gainsco, Inc..................... 41,934
6,400 HCC Insurance Holdings, Inc...... 176,800
1,700 * Highlands Insurance Group, Inc... 32,938
</TABLE>
30
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
INSURANCE - CASUALTY - Continued
3,900 NAC Re Corp...................... $ 140,400
200 Nymagic, Inc..................... 3,575
3,181 Orion Capital Corp............... 198,812
15,100 Reliance Group Holdings Inc...... 134,012
7,600 * RISCORP, Inc..................... 29,450
5,800 * Risk Capital Holdings, Inc....... 101,500
900 RLI Corp......................... 28,238
3,800 Selective Insurance Group, Inc... 129,200
3,100 Transnational Re Corp. Class A... 77,888
2,100 Trenwick Group Inc............... 103,950
9,900 * 20th Century Industries.......... 147,262
1,405 United Fire & Casualty Co........ 43,555
5,700 Vesta Insurance Group, Inc....... 181,687
1,100 Zurich Reinsurance Centre
Holdings, Inc.................. 33,825
-------------
2,137,036
-------------
INSURANCE - LIFE - 0.63%
450 American Heritage Life Investment
Corp........................... 10,125
2,000 * Compdent Corp.................... 55,000
300 Kansas City Life Insurance Co.... 17,850
7,100 * Life USA Holding, Inc............ 68,338
500 * National Western Life Insurance Co.
Class A........................ 43,500
6,500 Presidential Life Corp........... 77,187
3,700 Reinsurance Group of America Inc. 174,362
435 Seafield Capital Corp............ 15,008
3,000 Security-Connecticut Corp........ 102,000
7,400 * UICI............................. 209,975
6,870 United Companies Financial Corp.. 206,100
2,800 W.R. Berkley Corp................ 148,050
-------------
1,127,495
-------------
INSURANCE - MISCELLANEOUS - 1.51%
3,600 Acordia, Inc..................... 107,550
13,200 Alexander & Alexander Services
Inc............................ 189,750
3,450 ALLIED Group, Inc................ 151,369
6,800 * Amerin Corp...................... 153,000
3,600 Arthur J. Gallagher & Co......... 110,250
3,700 Capital Re Corp.................. 141,987
3,400 CMAC Investment Corp............. 257,975
6,700 Crawford & Co. Class B........... 135,675
3,800 Executive Risk Inc............... 152,000
3,525 Fidelity National Financial, Inc. 56,841
2,900 Foremost Corp. of America........ 161,675
5,212 Fremont General Corp............. 159,617
1,770 Guaranty National Corp........... 29,426
3,300 Harleysville Group............... 100,650
4,300 Hartford Steam Boiler Inspection &
Insurance Co................... 195,650
2,250 Hilb, Rogal & Hamilton Co........ 30,094
4,200 Integon Corp..................... 80,850
4,800 Liberty Corp..................... 183,600
9,200 * Mid Atlantic Medical Services, Inc. 109,250
2,200 MMI Companies, Inc............... $ 67,100
525 Poe & Brown Inc.................. 13,650
4,100 Zenith National Insurance Corp... 112,750
-------------
2,700,709
-------------
INSURANCE - MULTILINE - 1.13%
2,450 Alfa Corp........................ 29,400
4,678 American Annuity Group, Inc...... 61,984
5,500 American Bankers Insurance
Group Inc...................... 270,187
3,700 * American Travellers Corp......... 130,425
5,700 AmVestors Financial Corp......... 81,938
3,300 Argonaut Group, Inc.............. 97,350
3,000 Bankers Life Holding Corp........ 73,875
2,100 Capitol American Financial Corp.. 75,600
3,360 * Delphi Financial Group, Inc...... 93,660
3,000 Home Beneficial Corp. Class B.... 74,250
5,400 Horace Mann Educators Corp....... 202,500
5,300 John Alden Financial Corp........ 93,412
3,900 Life Re Corp..................... 141,375
2,144 * Maic Holdings Inc................ 69,948
550 * Markel Corp...................... 47,850
2,000 Meadowbrook Insurance Group
Inc............................ 42,000
7,300 PennCorp Financial Group, Inc.... 248,200
1,700 United Wisconsin Services, Inc... 43,350
4,900 Washington National Corp......... 137,200
-------------
2,014,504
-------------
LEISURE TIME - 0.81%
6,500 * Acclaim Entertainment, Inc....... 33,719
3,300 * Action Performance
Companies Inc.................. 55,688
2,300 * Ameristar Casinos................ 11,500
2,300 * Anchor Gaming.................... 92,287
1,000 * Bally's Grand, Inc............... 32,563
4,100 * Boyd Gaming Corp................. 32,800
2,682 * Casino America, Inc.............. 9,052
10,700 * Casino Magic Corp................ 30,094
12,500 Handleman Co..................... 100,000
7,100 * Hollywood Park, Inc.............. 82,537
5,000 Huffy Corp....................... 67,500
3,100 Lewis Galoob Toys, Inc........... 91,062
5,200 Outboard Marine Corp............. 83,200
8,100 * Players International, Inc....... 51,638
5,600 Polaris Industries, Inc.......... 121,800
5,600 * Rio Hotel & Casino Inc........... 84,000
4,800 * Scotts Co. Class A............... 86,400
5,600 Showboat Inc..................... 102,900
2,200 * Station Casinos, Inc............. 22,825
4,900 * Trump Hotels & Casino
Resorts Inc.................... 71,662
1,900 Winnebago Industries, Inc........ 14,250
6,500 * WMS Industries Inc............... 164,125
-------------
1,441,602
-------------
</TABLE>
31
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
LODGING - 0.44%
3,400 * Bristol Hotel Co................. $ 91,800
8,842 * Doubletree Corp.................. 369,154
7,400 * Extended Stay America, Inc....... 157,250
2,993 Marcus Corp...................... 68,839
6,200 * Prime Hospitality Corp........... 102,300
-------------
789,343
-------------
MACHINE TOOLS - 0.54%
3,900 * Chase Brass Industries, Inc...... 70,688
10,400 Cincinnati Milacron Inc.......... 214,500
7,000 Giddings & Lewis, Inc............ 80,500
2,000 Gleason Corp..................... 58,750
5,000 Greenfield Industries............ 145,000
5,500 Lincoln Electric Co.............. 171,875
900 * PRI Automation Inc............... 43,200
4,000 Roper Industries, Inc............ 173,500
-------------
958,013
-------------
MACHINERY - AGRICULTURE - 0.14%
1,500 Allied Products Corp............. 36,188
1,800 Lindsay Manufacturing Co......... 73,800
4,100 Toro Co.......................... 145,550
-------------
255,538
-------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.61%
2,300 * American Buildings Co............ 49,306
1,900 Blount, Inc. Class A............. 70,063
3,700 * CDI Corp......................... 107,762
4,400 Granite Construction Inc......... 91,850
5,345 * Insituform Technologies Class A.. 42,092
3,900 * J. Ray McDermott, S.A............ 94,575
5,400 * Jacobs Engineering Group Inc..... 130,950
8,600 Kaman Corp. Class A.............. 107,500
7,100 Lennar Corp...................... 186,375
3,500 * Morrison Knudsen Corp............ 31,500
77 Morrison Knudsen Corp. (Rights).. 341
6 Morrison Knudsen Corp. (Warrants) 29
3,000 Stone & Webster, Inc............. 98,625
3,900 TJ International Inc............. 85,800
-------------
1,096,768
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 2.51%
4,900 AAR Corp......................... 145,775
3,700 * ABC Rail Products Corp........... 69,375
6,400 Albany International Corp. Class A 140,800
4,125 Applied Power Inc. Class A....... 147,469
7,480 Baldor Electric Co............... 173,910
4,050 Bearings, Inc.................... 112,388
3,300 * Burlington Coat Factory
Warehouse...................... 39,600
9,000 BW/IP, Inc. Class A.............. 137,250
3,000 * DII Group, Inc................... 74,250
8,050 Duriron Co., Inc................. 219,362
4,600 Exide Corp....................... 117,300
3,000 * GaSonics International Corp...... 31,125
475 General Binding Corp............. $ 13,063
6,700 Goulds Pumps, Inc................ 163,312
1,600 Graco Inc........................ 41,000
2,400 Greenwich Air Services, Inc...... 61,200
2,700 Helix Technology Corp............ 86,400
2,200 Hughes Supply Inc................ 95,425
5,100 IDEX Corp........................ 198,262
3,300 * Insilco Corp..................... 128,700
4,300 * Integrated Process Equipment
Corp........................... 75,250
3,200 * International Imaging Materials
Inc............................ 79,200
3,700 * Ionics, Inc...................... 180,837
10,400 Keystone International, Inc...... 205,400
6,700 * Kulicke & Soffa Industries Inc... 137,350
7,350 Lilly Industries, Inc. Class A... 136,894
4,250 Manitowoc Co., Inc............... 184,344
4,040 * Oak Industries Inc............... 92,920
1,500 * Ortel Corp....................... 30,750
900 * Osmonics, Inc.................... 19,463
5,100 Pacific Scientific Co............ 59,288
3,500 * Park-Ohio Industries Inc......... 51,625
7,300 Regal-Beloit Corp................ 141,437
700 Robbins & Myers, Inc............. 15,225
800 Scotsman Industries Inc.......... 18,500
4,700 * Specialty Equipment Companies
Inc............................ 56,400
2,400 * SPS Technologies, Inc............ 146,400
6,700 Stewart & Stevenson Services, Inc. 169,175
3,500 Tennant Co....................... 87,500
3,800 * Thermo Power Corp................ 34,200
5,800 TRINOVA Corp..................... 213,150
3,200 Watts Industries, Inc. Class A... 70,400
2,300 * Zoltek Companies, Inc............ 81,075
-------------
4,482,749
-------------
MEDICAL TECHNOLOGY - 1.50%
2,100 * ATS Medical, Inc................. 15,488
3,600 * Bio-Rad Laboratories, Inc. Class A 106,650
3,100 * Biomatrix, Inc................... 47,275
12,200 * Calgene, Inc..................... 65,575
5,400 * Capstone Pharmacy Services....... 56,700
5,600 * Creative BioMolecules, Inc....... 44,100
3,200 Dekalb Genetics Corp. Class B.... 119,200
4,900 * Endosonics Corp.................. 56,350
6,300 * Enzo Biochem, Inc................ 118,912
4,800 * Epitope, Inc..................... 55,800
800 * Gelman Sciences, Inc............. 25,500
7,500 * Haemonetics Corp................. 129,375
3,500 * Hologic, Inc..................... 84,875
4,400 * i- STAT Corp..................... 103,400
16,600 * Imatron, Inc..................... 51,875
5,000 * InControl, Inc................... 43,750
10,200 * Liposome Co., Inc................ 181,050
2,300 * Lunar Corp....................... 73,025
3,300 * Myriad Genetics, Inc............. 79,612
</TABLE>
32
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
MEDICAL TECHNOLOGY - Continued
8,400 * NABI Inc......................... $ 72,450
4,500 * NeoPath, Inc..................... 74,250
4,600 * Neurex Corp...................... 55,775
6,300 * Neuromedical Systems, Inc........ 81,506
3,100 * Northfield Laboratories Inc...... 38,750
4,800 * Organogenesis Inc................ 97,200
3,900 * Protein Design Labs, Inc......... 94,087
5,500 * SciClone Pharmaceuticals, Inc.... 44,688
12,924 * Scios Nova Inc................... 71,284
1,300 * Serologicals Corp................ 40,300
4,600 * Sofamor Danek Group, Inc......... 125,925
3,600 * Spine-Tech, Inc.................. 93,600
3,400 ThermoTrex Corp.................. 116,450
3,700 * Thoratec Laboratories Corp....... 35,381
4,300 * US Bioscience, Inc............... 49,988
6,000 * Ventritex, Inc................... 135,000
-------------
2,685,146
-------------
MERCHANDISE - DRUG - 0.60%
6,150 Arbor Drugs, Inc................. 156,825
3,800 * Express Scripts, Inc. Class A.... 134,900
4,439 * Foxmeyer Health Corp............. 9,988
3,400 Longs Drug Stores Corp........... 170,000
4,200 * MedImmune, Inc................... 63,000
14,100 * Perrigo Co....................... 135,712
15,900 * Thrifty PayLess Holdings, Inc.
Class B........................ 405,450
-------------
1,075,875
-------------
MERCHANDISE - SPECIALTY - 2.86%
8,100 * Alliance Entertainment Corp...... 16,200
6,818 Arctic Cat, Inc.................. 65,623
10,700 * Aura Systems, Inc................ 25,413
5,100 * Avid Technology, Inc............. 65,663
2,100 * Baby Superstore, Inc............. 59,063
7,200 * Best Buy Co., Inc................ 90,900
2,550 * BMC West Corp.................... 30,600
9,600 * Bombay Co., Inc.................. 46,800
5,300 * Books-A-Million, Inc............. 35,775
3,000 * Bush Boake Allen Inc............. 77,250
6,100 Casey's General Stores, Inc...... 105,225
8,200 Cash America International, Inc.. 65,600
28,200 * Charming Shoppes, Inc............ 141,000
1,700 * Cole National Corp. Class A...... 43,350
3,700 * Compucom Systems, Inc............ 43,475
1,000 * Copart, Inc...................... 17,250
3,300 Cross (A.T.) Co. Class A......... 36,713
1,800 * Daisytek International Corp...... 63,675
4,500 * Department 56, Inc............... 105,187
600 * DH Technology, Inc............... 14,550
3,400 Duty Free International, Inc..... 53,975
4,900 * Eagle Hardware & Garden, Inc..... 120,662
13,400 Fingerhut Companies, Inc......... 169,175
3,000 * Fossil, Inc...................... 39,000
5,500 * Franklin Quest Co................ 115,500
4,900 * Friedman's Inc. Class A.......... 66,762
6,350 * Garden Ridge Corp................ $ 53,181
4,100 * Gibson Greetings, Inc............ 77,387
7,100 Hancock Fabrics, Inc............. 66,563
2,700 Hancock Holding Co............... 117,450
13,000 * HEARx, Ltd....................... 25,188
1,800 * Inacom Corp...................... 56,138
10,000 * Intelligent Electronics, Inc..... 77,500
3,648 * Jenny Craig, Inc................. 34,200
7,800 Jostens Inc...................... 166,725
3,178 K2, Inc.......................... 82,231
3,400 * L.L. Knickerbocker Co............ 30,175
2,800 LabOne, Inc...................... 44,450
8,100 * Mac Frugal's Bargains Close-outs
Inc............................ 201,487
4,700 * Michaels Stores Inc.............. 47,514
2,700 * MicroAge Inc..................... 61,763
2,000 * Movie Gallery, Inc............... 29,500
3,800 * Paragon Trade Brands, Inc........ 103,550
2,600 * Petco Animal Supplies, Inc....... 57,200
10,800 Petroleum Heat & Power Co., Inc.
Class A........................ 75,600
6,700 Price Enterprises Inc............ 117,250
3,400 * Rexall Sundown, Inc.............. 87,125
4,000 Russ Berrie and Co. Inc.......... 72,000
3,200 * Seitel, Inc...................... 131,200
3,500 * Sitel Corp....................... 64,750
8,500 Sotheby's Holdings, Inc.......... 150,875
6,950 * Sports Authority, Inc............ 172,012
5,200 Sturm, Ruger & Co. Inc........... 93,600
2,300 * Tractor Supply Co................ 50,025
5,100 * United Stationers Inc............ 112,200
3,900 Unitog Co........................ 105,787
8,100 * US Office Products, Co........... 250,594
7,700 * Waban Inc........................ 202,125
1,300 * West Marine, Inc................. 43,875
4,900 * Williams-Sonoma, Inc............. 167,825
8,400 * Zale Corp........................ 168,000
-------------
5,111,431
-------------
MERCHANDISING - DEPARTMENT - 0.37%
1,300 * Alexander's, Inc................. 93,112
5,300 * Carson Pirie Scott & Co.......... 133,162
11,715 Pier 1 Imports, Inc.............. 159,617
4,246 * Proffitt's Inc................... 170,371
3,850 * Stein Mart, Inc.................. 74,113
1,812 Strawbridge & Clothier........... 30,351
-------------
660,726
-------------
MERCHANDISING - FOOD - 0.69%
2,000 Delchamps, Inc................... 41,500
75 Farmer Bros. Co.................. 11,025
7,800 Fleming Companies, Inc........... 123,825
3,100 * IHOP Corp........................ 75,950
1,800 Ingles Markets, Inc.............. 26,100
3,375 Nash Finch Co.................... 65,813
1,334 * Quality Food Centers Inc......... 50,359
</TABLE>
33
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================================================================================
SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
MERCHANDISING - FOOD - Continued
4,200 Ruddick Corp..................... $ 55,650
4,900 Sanderson Farms, Inc............. 78,400
7,800 Savannah Foods & Industries, Inc. 110,175
4,500 * ShowBiz Pizza Time, Inc.......... 72,563
3,700 Smart & Final Inc................ 80,937
3,098 Smith's Food & Drug Centers, Inc.
Class B........................ 91,391
4,900 * Smithfield Foods, Inc............ 159,862
4,300 * Whole Foods Market, Inc.......... 96,212
7,037 WLR Foods, Inc................... 90,601
-------------
1,230,363
-------------
MERCHANDISING - MASS - 0.34%
9,000 Family Dollar Stores, Inc........ 169,875
6,300 * Fred Meyer, Inc.................. 216,563
26,400 * Service Merchandise Co.,Inc...... 145,200
4,500 ShopKo Stores, Inc............... 70,875
-------------
602,513
-------------
METALS - ALUMINUM - 0.20%
5,800 * ACX Technologies, Inc............ 104,400
200 Commonwealth Aluminum Corp....... 3,225
4,400 IMCO Recycling Inc............... 71,500
6,000 * Kaiser Aluminum Corp............. 64,500
2,706 Tredegar Industries, Inc......... 108,240
-------------
351,865
-------------
METALS - COPPER - 0.09%
4,500 * Wolverine Tube, Inc.............. 167,625
-------------
METALS - MISCELLANEOUS - 0.76%
4,337 A.M. Castle & Co................. 78,608
4,000 Brush Wellman Inc................ 67,500
4,033 Commercial Metals Co............. 127,544
3,500 * Dravo Corp....................... 47,250
5,900 Freeport McMoRan, Inc............ 181,425
3,700 Greenbrier Companies, Inc........ 35,150
12,600 * Hecla Mining Co.................. 72,450
1,530 * Intermagnetics General Corp...... 20,846
5,800 Kennametal Inc................... 207,350
5,350 * Material Sciences Corp........... 88,275
5,600 Precision Castparts Corp......... 261,800
2,400 * RMI Titanium Co.................. 54,000
2,700 * Stillwater Mining Co............. 46,575
2,000 * Tremont Corporation Delaware..... 70,000
-------------
1,358,773
-------------
METALS - STEEL - 1.28%
4,700 * Acme Metals, Inc................. 95,763
4,000 Amcast Industrial Corp........... 94,500
28,500 * Armco Inc........................ 121,125
7,100 Birmingham Steel Corp............ 124,250
4,100 Carpenter Technology Corp........ 144,525
800 Chaparral Steel Co............... 10,400
4,200 * Citation Corp.................... 42,000
2,800 Cleveland-Cliffs Inc............. $ 124,600
1,850 Commercial Intertech Corp........ 18,731
8,300 * Geneva Steel Co. Class A......... 29,050
2,600 * Gibraltar Steel Corp............. 59,800
3,300 Huntco Inc. Class A.............. 51,562
3,400 * Intermedia Communications Inc.... 99,025
6,700 Intermet Corp.................... 92,125
4,500 J & L Specialty Steel, Inc....... 56,250
2,600 Lukens Inc....................... 47,450
5,200 * Mueller Industries, Inc.......... 204,750
3,100 * National Steel Corp. Class B..... 28,288
5,900 Oregon Steel Mills, Inc.......... 102,512
3,400 Quanex Corp...................... 90,100
1,200 Reliance Steel & Aluminum Co..... 45,150
3,300 * Shiloh Industries, Inc........... 54,450
2,250 Steel Technologies Inc........... 28,125
5,900 TriMas Corp...................... 148,975
7,200 UNR Industries, Inc.............. 48,600
3,400 Valmont Industries, Inc.......... 132,600
4,600 WCI Steel, Inc................... 45,425
5,700 * WHX Corp......................... 52,013
4,800 * Wyman-Gordon Co.................. 100,800
-------------
2,292,944
-------------
MISCELLANEOUS - 2.08%
7,344 * AccuStaff, Inc................... 147,798
4,800 * Alternative Resources Corp....... 82,800
6,300 AMCOL International Corp......... 87,412
5,300 * AMERCO Inc....................... 257,050
700 * Associated Group, Inc. Class A... 21,350
1,400 * Avondale Industries, Inc......... 24,413
2,600 * Bacou U.S.A., Inc................ 40,625
3,800 Barefoot Inc..................... 47,500
4,900 * Billing Information Concepts..... 145,162
6,100 * Borg-Warner Security Corp........ 63,288
2,100 Central Parking Corp............. 70,875
6,700 * Checkfree Corp................... 114,737
1,200 * ClinTrials Inc................... 25,500
2,400 * COREStaff, Inc................... 60,300
1,500 * CRA Managed Care, Inc............ 67,500
4,500 * DeVry, Inc....................... 202,500
5,800 * Employee Solutions, Inc.......... 103,675
3,000 * Encad, Inc....................... 115,500
2,100 * Equity Corp. International....... 43,050
6,400 * Figgie International Inc. Class A 81,600
4,500 * Interim Services Inc............. 174,375
2,775 * ITT Educational Services, Inc.... 51,338
3,000 * KinderCare Learning Centers, Inc. 59,438
3,055 MAF Bancorp, Inc................. 105,397
1,800 Mathews International Corp.
Class A........................ 51,525
8,900 * National Education Corp.......... 124,600
3,300 Norrell Corp..................... 75,487
2,600 * Perceptron, Inc.................. 91,650
3,300 * Personal Group of America, Inc... 74,662
</TABLE>
34
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
MISCELLANEOUS - Continued
2,600 * Pinkerton's, Inc................. $ 64,025
7,100 * Prepaid Legal Services, Inc...... 97,625
4,000 Regis Corp....................... 100,000
5,600 * Rexel, Inc....................... 77,700
2,000 * RTW, Inc......................... 33,000
3,000 * Samsonite Corp................... 113,250
5,500 * Sola International, Inc.......... 196,625
5,400 * Solv-Ex Corp..................... 74,250
2,600 * Strategic Distribution, Inc...... 17,225
4,050 * Sylvan Learning Systems, Inc..... 106,312
2,900 * The Profit Recovery Group
International, Inc............. 40,963
3,400 * Veritas DGC Inc.................. 68,000
1,400 Wackenhut Corp................... 22,925
2,800 * Wackenhut Corrections Corp....... 48,300
2,900 * Youth Services International, Inc. 36,975
-------------
3,708,282
-------------
MOBILE HOMES - 0.27%
12,752 * Champion Enterprises, Inc........ 269,386
2,800 Coachmen Industries, Inc......... 73,850
400 McGrath Rentcorp................. 10,200
4,200 Skyline Corp..................... 108,150
750 Thor Industries, Inc............. 17,906
-------------
479,492
-------------
NATURAL GAS - DIVERSIFIED - 1.08%
3,750 Atmos Energy Corp................ 92,344
3,400 Bay State Gas Co................. 98,175
5,204 K N Energy, Inc.................. 212,713
5,800 Laclede Gas Co................... 139,200
5,700 New Jersey Resources Corp........ 170,287
13,968 * Seagull Energy Corp.............. 321,264
1,996 * Southern Union Co................ 48,654
6,400 Southwest Gas Corp............... 125,600
4,072 * Tejas Gas Corp................... 178,659
11,300 UGI Corp......................... 251,425
5,600 United Cities Gas Co............. 130,200
4,400 WICOR, Inc....................... 160,050
-------------
1,928,571
-------------
OIL - INTEGRATED DOMESTIC - 0.32%
2,500 Cross Timbers Oil Co............. 60,937
3,800 * Crown Central Petroleum Corp.
Class A........................ 54,150
4,800 Diamond Shamrock, Inc............ 156,600
2,500 * Hondo Oil & Gas Co............... 29,688
10,500 Quaker State Corp................ 178,500
6,200 * Tesoro Petroleum Corp............ 89,900
-------------
569,775
-------------
OIL - SERVICE - PRODUCTS - 0.59%
3,375 * Energy Ventures, Inc............. 164,531
3,600 Getty Petroleum Corp............. 56,700
7,800 * Global Industrial Technologies, Inc. 156,975
7,400 * Global Industries Inc............ 130,425
15,400 * Kelley Oil & Gas Corp............ 42,350
7,400 * Lone Star Technologies, Inc...... $ 130,425
18,300 * Parker Drilling Co............... 171,562
5,900 * Pride Petroleum Services, Inc.... 108,413
4,163 * Varco International, Inc......... 95,229
-------------
1,056,610
-------------
OIL - SERVICES - 0.97%
9,000 * BJ Services Co................... 429,750
6,300 Camco International, Inc......... 259,875
2,100 Lomak Petroleum, Inc............. 34,913
11,900 * Marine Drilling Companies, Inc... 197,837
7,200 Mascotech, Inc................... 118,800
7,900 * Oceaneering International Inc.... 130,350
4,900 * Offshore Logistics, Inc.......... 94,019
3,075 Pennsylvania Enterprises Inc..... 137,222
3,600 * Pool Energy Services Co.......... 53,325
3,000 Production Operators Corp........ 135,000
9,300 * Tuboscope Vetco International
Corp........................... 144,150
-------------
1,735,241
-------------
OIL/GAS PRODUCERS - 2.22%
700 * Atwood Oceanics, Inc............. 38,500
160 * Aztec Energy Corp................ 1
8,950 * Barrett Resources Corp........... 364,712
2,100 * Belden & Blake Corp.............. 53,288
8,300 * Benton Oil and Gas Co............ 209,575
3,400 Berry Petroleum Co. Class A...... 45,050
7,800 * Box Energy Corp. Class B......... 69,225
5,900 Cabot Oil & Gas Corp. Class A.... 103,988
1,200 * Cliffs Drilling Co............... 60,600
6,100 Devon Energy Corp................ 219,600
2,300 * Falcon Drilling Co., Inc......... 90,850
2,800 * Flores & Rucks, Inc.............. 137,200
3,800 * Forest Oil Corp.................. 59,850
12,000 * Harken Energy Corp............... 33,750
7,500 Helmerich & Payne, Inc........... 399,375
500 Holly Corp....................... 13,250
3,400 KCS Energy, Inc.................. 116,450
2,600 * Louis Dreyfus Natural Gas Corp... 44,525
20,700 * MESA Inc......................... 106,088
7,500 Mitchell Energy & Development
Corp. Class A.................. 161,250
5,500 * Newfield Exploration Co.......... 277,062
2,500 * Nuevo Energy Co.................. 125,000
9,400 Parker & Parsley Petroleum Co.... 309,025
9,900 Snyder Oil Corp.................. 172,012
3,800 * Stone Energy Corp................ 87,400
2,600 * Swift Energy Co.................. 81,900
6,100 * Tom Brown, Inc................... 115,138
7,700 * United Meridian Corp............. 389,812
2,500 Vintage Petroleum, Inc........... 83,750
-------------
3,968,226
-------------
PAPER/FOREST PRODUCTS - 0.80%
7,000 Caraustar Industries, Inc........ 237,125
10,800 Longview Fibre Co................ 194,400
</TABLE>
35
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- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
PAPER/FOREST PRODUCTS - Continued
2,293 Mosinee Paper Corp............... $ 75,382
4,500 P H Glatfelter Co................ 83,250
8,300 Pentair Inc...................... 240,700
3,200 Ply Gem Industries Inc........... 42,000
4,700 Pope & Talbot, Inc............... 74,613
3,400 Schweitzer-Mauduit International
Inc............................ 111,350
5,200 Standard Register Co............. 147,550
1,700 Universal Forest Products, Inc... 20,825
9,400 Wausau Paper Mills Co............ 191,525
-------------
1,418,720
-------------
PHOTOGRAPHY - 0.13%
3,800 CPI Corp......................... 65,075
1,950 * Photronics Inc................... 58,988
1,200 * Seattle Filmworks, Inc........... 23,400
3,500 * Ultratech Stepper, Inc........... 80,500
-------------
227,963
-------------
POLLUTION CONTROL - 1.16%
9,600 * Air & Water Technologies Corp.
Class A........................ 58,800
12,600 * Allied Waste Industries, Inc..... 111,825
5,700 * Allwaste, Inc.................... 25,650
7,800 Calgon Carbon Corp............... 90,675
900 * Continental Waste Industries, Inc. 23,625
2,050 * Cuno Inc......................... 31,775
7,700 Dames & Moore, Inc............... 103,950
546 Heidemij NV...................... 6,211
5,300 * KFX, Inc......................... 34,450
1,925 Mine Safety Appliances Co........ 98,175
3,900 * Molten Metal Technology, Inc..... 58,012
4,050 * Newpark Resources, Inc........... 141,244
5,200 * OHM Corp......................... 42,900
15,800 * Rollins Environmental Services, Inc. 31,600
12,000 Safety-Kleen Corp................ 189,000
2,800 * Superior Services, Inc........... 47,600
5,000 * Tetra Tech, Inc.................. 95,000
4,900 * Tetra Technologies, Inc.......... 126,175
4,300 * Thermo TerraTech, Inc............ 41,387
9,100 * United States Filter Corp........ 309,400
9,100 * United Waste Systems, Inc........ 307,125
3,200 Zurn Industries, Inc............. 92,000
-------------
2,066,579
-------------
PUBLISHING - NEWS - 0.27%
6,300 McClatchy Newspapers, Inc.
Class A........................ 191,362
1,900 Media General, Inc. Class A...... 59,613
6,500 * Network Equipment Technologies
Inc............................ 98,313
2,933 Pulitzer Publishing Co........... 133,451
18 * Radius, Inc...................... 15
-------------
482,754
-------------
PUBLISHING/PRINTING - 1.28%
1,400 American Business Products, Inc.. $ 31,150
5,900 * ATC Communications, Inc.......... 92,187
7,950 Banta Corp....................... 192,787
800 * Berlitz International, Inc....... 15,400
2,800 Bowne & Co., Inc................. 66,500
2,700 * Devon Group, Inc................. 68,175
7,600 Ennis Business Forms, Inc........ 78,850
6,700 * Golden Books Family Entertainment
Inc............................ 76,212
3,800 Houghton Mifflin Co.............. 199,500
8,000 John H. Harland Co............... 247,000
4,300 John Wiley & Sons Inc. Class A... 125,237
3,100 Merrill Corp..................... 72,850
3,300 New England Business Service, Inc. 64,763
5,700 * Nu-kote Holding, Inc. Class A.... 58,425
2,700 * Scholastic Corp.................. 201,150
4,400 * Scientific Games Holdings Corp... 116,600
3,200 * Steck-Vaughn Publishing Corp..... 35,200
5,509 Thomas Nelson, Inc............... 68,863
17,600 * Topps Co. Inc.................... 77,000
8,200 * Valassis Communications, Inc..... 148,625
9,000 * ValueVision International, Inc.
Class A........................ 50,063
900 Waverly, Inc..................... 22,050
7,800 * World Color Press, Inc........... 183,300
-------------
2,291,887
-------------
RAILROAD - 0.24%
1,500 Florida East Coast Industries, Inc. 132,188
4,100 GATX Corp........................ 201,925
3,700 * RailTex, Inc..................... 91,575
-------------
425,688
-------------
REAL ESTATE - 0.68%
2,400 * Avatar Holdings Inc.............. 76,200
2,500 * Castle & Cooke, Inc.............. 39,375
23,000 * Catellus Development Corp........ 232,875
7,575 Cousins Properties Inc........... 176,119
1,400 Forest City Enterprises, Inc..... 74,725
7,600 * Insignia Financial Group, Inc.
Class A........................ 168,150
3,200 Mercer International Inc......... 36,800
8,800 Merry Land & Investment Co., Inc. 177,100
5,000 North American Mortgage Co....... 115,000
8,589 Republic Bancorp Inc............. 101,995
500 Tejon Ranch Co................... 7,750
-------------
1,206,089
-------------
REAL ESTATE INVESTMENT TRUSTS - 6.92%
3,600 Allied Capital Commercial Corp... 81,900
6,800 American Health Properties, Inc.. 150,450
500 Apartment Investment &
Management Co.................. 12,500
2,600 Associated Estates Realty Corp... 58,500
8,800 Avalon Properties, Inc........... 224,400
4,200 Bay Apartment Communities, Inc... 133,350
5,500 Beacon Properties Corp........... 173,250
</TABLE>
36
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
REAL ESTATE INVESTMENT TRUSTS - Continued
12,500 Berkshire Realty Co., Inc........ $ 117,188
5,373 Bradley Real Estate, Inc......... 94,699
9,730 BRE Properties, Inc.............. 212,844
2,300 Burnham Pacific Properties, Inc.. 29,900
2,300 Cali Realty Corp................. 64,113
2,300 Camden Property Trust............ 63,825
9,450 Capstead Mortgage Corp........... 226,800
6,400 CarrAmerica Realty Corp.......... 166,400
6,300 CBL & Associates Properties, Inc. 152,775
2,800 CenterPoint Properties Corp...... 75,950
2,400 Chelsea GCA Properties........... 75,300
3,000 Colonial Properties Trust........ 81,000
3,000 Columbus Realty Trust............ 63,750
5,900 Commercial Net Lease Realty, Inc. 85,550
4,500 Crescent Real Estate Equities, Inc. 196,312
4,100 Criimi Mae, Inc.................. 50,738
6,100 Crown American Realty Trust...... 47,275
12,000 CWM Mortgage Holdings, Inc....... 247,500
5,500 Developers Diversified Realty Corp. 182,875
7,400 Duke Realty Investments, Inc..... 265,475
6,000 Equity Inns Inc.................. 71,250
1,800 Evans Withycombe Residential, Inc. 36,900
3,900 Excel Realty Trust, Inc.......... 87,750
7,200 Federal Realty Investment Trust.. 186,300
6,100 FelCor Suite Hotels, Inc......... 215,025
6,100 First Industrial Realty Trust, Inc. 174,612
7,900 Franchise Finance Corp. of America 201,450
6,700 Gables Residential Trust......... 177,550
6,800 General Growth Properties, Inc... 186,150
7,300 Glimcher Realty Trust............ 142,350
6,100 Health Care Property Investors, Inc. 208,925
1,800 Health Care REIT, Inc............ 45,000
1,400 Healthcare Realty Trust, Inc..... 35,175
6,100 Highwoods Properties, Inc........ 185,287
3,392 Horizon Group, Inc............... 65,720
4,700 Hospitality Properties Trust..... 126,900
7,300 IRT Property Co.................. 79,388
4,900 Irvine Apartment Communities, Inc. 117,600
3,200 JDN Realty Corp.................. 82,000
3,300 JP Realty, Inc................... 80,025
4,800 Kimco Realty Corp................ 139,800
6,400 * Koger Equity, Inc................ 104,000
6,100 Liberty Property Trust........... 142,587
4,600 LTC Properties, Inc.............. 79,350
3,500 Macerich Co...................... 81,375
5,400 Manufactured Home Communities
Inc............................ 107,325
6,500 MGI Properties................... 131,625
2,800 Mid-America Apartment
Communities, Inc............... 71,400
7,200 Mills Corp....................... 150,300
5,200 National Golf Properties, Inc.... 146,250
6,700 National Health Investors, Inc... 239,525
10,900 Nationwide Health Properties, Inc. 245,250
3,200 Oasis Residential, Inc........... 67,200
4,186 Omega Healthcare Investors,Inc... 134,998
7,700 Paragon Group, Inc............... 122,238
3,700 Patriot American Hospitality, Inc. 140,137
4,800 Pennsylvania Real Estate
Investment Trust............... 110,400
4,800 Post Properties, Inc............. 186,000
500 Price REIT, Inc.................. 17,313
16,900 Public Storage, Inc.............. 422,500
7,000 Realty Income Corp............... 166,250
500 Reckson Associates Realty Corp... 19,000
1,200 Redwood Trust, Inc............... 42,600
2,300 Regency Realty Corp.............. 56,063
5,600 Resource Mortgage Capital Inc.... 150,500
9,000 RFS Hotel Investors, Inc......... 146,250
3,300 ROC Communities, Inc............. 81,675
6,600 Saul Centers, Inc................ 99,825
8,600 Shurgard Storage Centers, Inc.
Class A........................ 239,725
5,300 South West Property Trust Inc.... 82,150
6,500 Spieker Properties, Inc.......... 199,062
2,200 Storage Trust Realty............. 52,525
5,100 Storage USA, Inc................. 192,525
7,100 Summit Properties, Inc........... 138,450
5,100 Sun Communities, Inc............. 160,650
4,600 Taubman Centers, Inc............. 52,900
3,900 Thornburg Mortgage Asset Corp.... 67,763
1,600 Town and Country Trust........... 23,400
5,000 TriNet Corporate Realty Trust, Inc. 171,250
14,500 United Dominion Realty Trust, Inc. 213,875
4,000 Universal Health Realty Income
Trust.......................... 76,500
1,600 Urban Shopping Centers, Inc...... 42,000
7,500 Vornado Realty Trust............. 332,812
2,800 Walden Residential Properties, Inc. 63,700
10,200 Washington Real Estate Investment
Trust.......................... 169,575
5,400 Weeks Corp....................... 152,550
7,000 Weingarten Realty Investors...... 273,000
6,200 Wellsford Residential Property Trust 151,125
4,300 Western Investment Real Estate
Trust.......................... 56,975
-------------
12,354,224
-------------
RESTAURANTS - 1.22%
6,562 Apple South, Inc................. 95,149
8,650 Applebee's International, Inc.... 255,175
14,400 Bob Evans Farms, Inc............. 181,800
12,180 * Buffets, Inc..................... 114,187
6,100 CKE Restaurants, Inc............. 184,525
2,200 * Daka International, Inc.......... 20,350
7,200 * Foodmaker, Inc................... 67,500
3,200 * International Dairy Queen, Inc.
Class A........................ 60,800
4,700 * Landry's Seafood Restaurants, Inc. 110,450
8,300 Luby's Cafeterias, Inc........... 181,562
4,800 Morrison Health Care, Inc........ 66,600
7,400 * NPC International Inc............ 61,975
4,425 * Papa John's International, Inc... 145,472
</TABLE>
37
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
RESTAURANTS - Continued
200 * Quality Dining, Inc.............. $ 4,600
3,200 * Rainforest Cafe, Inc............. 93,200
4,900 Ruby Tuesday, Inc................ 79,013
18,600 * Ryan's Family Steak Houses, Inc.. 127,875
2,700 Sbarro, Inc...................... 70,875
12,200 * Shoney's, Inc.................... 99,125
4,750 * Sonic Corp....................... 110,437
3,900 * Triarc Companies Inc. Class A.... 44,363
-------------
2,175,033
-------------
SAVINGS & LOAN - 1.83%
5,720 ALBANK Financial Corp............ 181,610
6,200 American Federal Bank Fsb
Greenville..................... 117,800
4,500 Astoria Financial Corp........... 168,750
3,612 Bankers Corp..................... 69,982
1,600 Bay View Capital Corp............ 66,000
11,920 * Cal Fed Bancorp Inc.............. 287,570
2,000 CitFed Bancorp, Inc.............. 93,500
4,900 * Coast Savings Financial Inc...... 173,950
1,785 Downey Financial Corp............ 51,542
1,910 Financial Trust Corp............. 53,480
3,700 * FirstFed Financial Corp.......... 86,487
11,492 * Glendale Federal Bank FSB........ 241,332
2,900 JSB Financial, Inc............... 105,850
5,100 Klamath First Bancorp............ 75,862
6,000 Long Island Bancorp, Inc......... 192,750
1,800 Magna Bancorp, Inc............... 31,500
800 ML Bancorp, Inc.................. 11,800
2,000 Peoples Bank of Bridgeport
Connecticut.................... 56,000
5,324 Peoples Heritage Financial Group
Inc............................ 147,741
3,459 Provident Bankshares Corp........ 131,442
1,466 Queens County Bancorp, Inc....... 68,536
3,100 RCSB Financial, Inc.............. 93,097
2,700 Security Capital Corp............ 191,025
11,700 Sovereign Bancorp, Inc........... 154,294
3,500 Standard Financial, Inc.......... 68,688
2,200 TR Financial Corp................ 63,250
10,600 Washington Federal, Inc.......... 284,875
-------------
3,268,713
-------------
SECURITIES RELATED - 0.85%
3,100 Alex Brown Inc................... 186,000
3,700 Enhance Financial Services Group
Inc............................ 125,338
8,817 Financial Security Assurance
Holdings Ltd................... 277,735
2,700 Inter-Regional Financial Group, Inc. 95,513
199 Investors Financial Services Corp.
Class A........................ 3,980
2,600 Jefferies Group, Inc............. 93,275
3,250 Legg Mason, Inc.................. 125,937
1,206 Liberty Financial Companies, Inc. 42,662
900 Mc Donald & Co. Investments, Inc. 27,450
3,900 Morgan Keegan, Inc............... $ 67,763
5,600 Pioneer Group, Inc............... 135,100
5,500 Piper Jaffray Companies, Inc..... 74,250
2,821 Quick & Reilly Group Inc......... 79,693
3,600 Raymond James Financial Inc...... 100,800
1,400 * White River Corp................. 80,675
-------------
1,516,171
-------------
SEMICONDUCTORS - 1.87%
6,100 * Actel Corp....................... 131,912
8,100 * Alliance Semiconductor Corp...... 64,800
4,800 * Altron, Inc...................... 89,700
5,500 * Burr Brown Corp.................. 133,375
5,800 * Chips & Technologies, Inc........ 119,625
3,800 Cohu, Inc........................ 89,300
7,350 * Credence Systems Corp............ 145,162
3,300 * Cree Research, Inc............... 32,175
8,300 Dallas Semiconductor Corp........ 181,562
6,200 * Electroglas, Inc................. 112,375
5,800 * ESS Technology, Inc.............. 111,650
4,000 * Etec Systems, Inc................ 114,000
5,600 * FSI International, Inc........... 81,200
1,900 * Fusion Systems Corp.............. 35,625
6,000 * Integrated Packaging Assembly
Corp........................... 47,250
4,400 * Level One Communications, Inc.... 151,250
4,300 * Mattson Technology, Inc.......... 45,688
4,800 * MRV Communications Inc........... 97,200
4,300 * Novellus Systems, Inc............ 249,400
2,600 * OnTrak Systems, Inc.............. 46,150
5,300 * Quickturn Design System, Inc..... 90,100
9,200 * Ramtron International Corp....... 69,575
1,850 * SDL, Inc......................... 41,163
6,300 * Silicon Valley Group Inc......... 130,331
3,200 * Siliconix, Inc................... 68,800
2,600 * Speedfam International, Inc...... 52,325
2,900 * Triquint Semiconductor, Inc...... 61,988
3,900 * Unitrode Corp.................... 104,325
5,400 * Vitesse Semiconductor Corp....... 255,825
11,000 * VLSIi Technology, Inc............ 253,000
5,850 * Zilog, Inc....................... 129,431
-------------
3,336,262
-------------
TELECOMMUNICATIONS - 2.23%
6,000 ABM Industries Inc............... 102,750
2,900 * ACC Corp......................... 85,595
5,400 * American Paging, Inc............. 31,725
2,500 * Ancor Communications, Inc........ 36,563
4,600 * Arch Communications Group, Inc... 49,450
1,000 * Atlantic Tele-Network, Inc....... 19,500
3,600 * BroadBand Technologies, Inc...... 64,800
4,900 * California Amplifier, Inc........ 32,463
4,800 * CellStar Corp.................... 54,000
3,500 * Cellular Communications
International, Inc............. 93,187
</TABLE>
38
<PAGE> 41
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SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
TELECOMMUNICATIONS - Continued
3,700 * Cellular Communications of
Puerto Rico, Inc............... $ 75,850
6,580 * Cellular Technical Services Inc.. 108,570
4,800 * Centennial Cellular Corp. Class A 54,600
3,800 * Cidco, Inc....................... 66,975
1,400 * CKS Group, Inc................... 28,525
3,500 * Coherent, Inc.................... 70,437
4,900 * CommNet Cellular Inc............. 138,731
1,100 * Diana Corp....................... 37,813
4,200 * Digi International Inc........... 55,125
2,900 * Digital Systems International, Inc. 44,588
6,800 * DSP Communications, Inc.......... 272,000
4,900 * HighwayMaster Communications
Inc............................ 101,675
4,600 * InteliData Technologies Corp..... 33,063
1,100 * Inter-Tel, Inc................... 19,663
9,066 * International CableTel Inc....... 226,650
5,400 * InterVoice, Inc.................. 70,875
2,800 * IPC Information Systems, Inc..... 46,200
3,400 * Itron, Inc....................... 67,150
1,400 * Mastec, Inc...................... 65,450
3,400 * Metricom, Inc.................... 45,475
9,615 * Metrocall, Inc................... 49,878
2,794 * Millicom International Cellular S.A. 108,267
16,100 * Mobile Telecommunications
Technologies Corp.............. 183,137
9,200 * MobileMedia Corp. Class A........ 10,925
4,800 * P-COM, Inc....................... 153,600
2,700 * Plantronics, Inc................. 110,700
6,640 * PriCellular Corp. Class A........ 73,870
5,300 * ProNet, Inc...................... 26,831
3,500 * Proxim, Inc...................... 65,625
3,300 * Quintel Entertainment, Inc....... 24,956
4,400 * Sanmina Corp..................... 191,400
6,100 * Symmetricom, Inc................. 114,756
3,200 * Tel-Save Holdings, Inc........... 68,800
2,600 * Teltrend, Inc.................... 72,475
4,100 * Transaction Network Services, Inc. 48,687
5,200 * TresCom International, Inc....... 54,600
5,300 U. S. Long Distance Corp......... 47,700
7,600 * Vanguard Cellular Systems, Inc.
Class A........................ 129,200
5,300 * VideoLan Technologies, Inc....... 9,441
6,400 * WinStar Communications, Inc...... 132,800
3,900 * Wireless One, Inc................ 36,075
1,700 Wireless Telecom Group........... 16,894
2,300 * Xpedite Systems, Inc............. 41,975
-------------
3,972,040
-------------
TEXTILE - PRODUCTS - 0.65%
14,200 * Burlington Industries, Inc....... 152,650
5,000 * Cone Mills Corp.................. 41,875
2,100 * Fabri-Centers of America, Inc.
Class A........................ 32,287
4,000 * Fieldcrest Cannon, Inc........... 56,500
6,250 G&K Services, Inc. Class A....... 221,875
2,900 Guilford Mills, Inc.............. $ 73,588
3,000 * Lydall, Inc...................... 68,625
600 * Marisa Christina, Inc............ 4,350
5,600 * Mohawk Industries, Inc........... 132,300
2,700 Springs Industries, Inc.......... 124,537
6,100 Wellman, Inc..................... 99,888
5,100 * WestPoint Stevens Inc. Class A... 153,000
-------------
1,161,475
-------------
TOBACCO - 0.34%
1,200 * Culbro Corp...................... 69,150
10,400 DIMON Inc........................ 213,200
2,200 * Mafco Consolidated Group......... 62,425
9,100 Universal Corp................... 266,175
-------------
610,950
-------------
TRUCKERS - 0.64%
6,200 * American Freightways Corp........ 65,875
4,950 Arnold Industries, Inc........... 80,438
5,521 Frozen Food Express Industries
Inc............................ 53,830
3,432 * Heartland Express, Inc........... 80,223
2,200 * Knight Transportation, Inc....... 51,150
4,200 * Landstar System Inc.............. 97,125
3,200 * M.S. Carriers, Inc............... 60,800
12,575 Rollins Truck Leasing Corp....... 149,328
4,600 * Swift Transportation Co., Inc.... 110,687
4,900 USFreightways Corp............... 127,094
3,150 Werner Enterprises, Inc.......... 50,400
3,100 Xtra Corp........................ 130,975
5,900 * Yellow Corp...................... 87,762
-------------
1,145,687
-------------
UTILITIES - COMMUNICATION - 0.21%
9,400 Aliant Communications, Inc....... 150,400
4,800 * C-Tec Corp....................... 120,000
1,400 CFW Communications Co............ 30,450
3,100 PXRE Corp........................ 75,950
-------------
376,800
-------------
UTILITIES - ELECTRIC - 1.77%
10,200 Atlantic Energy, Inc............. 182,325
3,600 Black Hills Corp................. 93,600
5,900 Central Louisiana Electric Co., Inc. 168,150
8,000 Central Maine Power Co........... 96,000
5,100 CILCORP, Inc..................... 184,237
6,500 Commonwealth Energy System
Companies...................... 159,250
2,300 * Destec Energy, Inc............... 35,650
5,200 Eastern Utilities Associates..... 87,750
11,400 * El Paso Electric Co.............. 66,263
2,100 Empire District Electric Co...... 39,900
5,900 Indiana Energy, Inc.............. 143,813
3,200 Interstate Power Co.............. 96,000
5,025 Madison Gas & Electric Co........ 106,153
5,800 Minnesota Power & Light Co....... 163,125
</TABLE>
39
<PAGE> 42
================================================================================
SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
UTILITIES - ELECTRIC - Continued
9,300 Nevada Power Co.................. $ 191,812
2,875 Otter Tail Power Co.............. 93,438
9,700 Public Service Co. of New Mexico. 186,725
6,800 Rochester Gas & Electric Corp.... 130,050
4,600 SIG Corp, Inc.................... 159,275
2,700 TNP Enterprises, Inc............. 68,513
10,320 * Tuscon Electric Power Co......... 193,500
3,700 United Illuminating Co........... 123,950
8,800 Washington Gas Light Co.......... 215,600
5,900 WPL Holdings, Inc................ 167,412
-------------
3,152,491
-------------
UTILITIES - GAS, DISTRIBUTION - 0.82%
11,600 AGL Resources, Inc............... 246,500
4,600 Colonial Gas Co.................. 106,950
1,800 Connecticut Energy Corp.......... 39,825
5,000 Connecticut Natural Gas Corp..... 118,125
3,600 Energen Corp..................... 97,200
234 NGC Corp......................... 5,060
5,700 Northwest Natural Gas Co......... 143,925
1,200 NUI Corp......................... 23,850
7,400 Piedmont Natural Gas Co., Inc.... 185,925
4,800 Public Service Co. of
North Carolina, Inc............ 90,600
1,514 South Jersey Industries, Inc..... 36,715
7,800 Southwestern Energy Co........... 126,750
10,100 Washington Energy Co............. 195,687
9 World Fuel Services Corp......... 171
2,150 Yankee Energy System, Inc........ 47,031
-------------
1,464,314
-------------
UTILITIES - GAS, PIPELINE - 0.13%
400 North Carolina Natural Gas Corp.. 11,700
8,400 ONEOK Inc........................ 226,800
-------------
238,500
-------------
UTILITIES - MISCELLANEOUS - 0.79%
5,200 Central Hudson Gas & Electric
Corp........................... 157,300
16,299 * Citizens Utilities Co. Class B... 185,397
6,800 IES Industries Inc............... 206,550
10,550 MDU Resources Group, Inc......... 237,375
1,000 Northwestern Public Service Co... 34,625
3,600 Orange and Rockland Utilities, Inc. 128,700
8,000 Sierra Pacific Resources......... $ 229,000
2,900 Trigen Energy Corp............... 79,750
5,400 WPS Resources Corp............... 157,950
-------------
1,416,647
-------------
WATER SERVICES - 0.19%
3,000 Aquarion Co...................... 76,500
400 California Water Service Co...... 15,550
1,300 E'Town Corp...................... 38,838
3,150 Philadelphia Suburban Corp....... 59,062
2,150 Southern California Water Co..... 50,525
6,200 United Water Resources........... 94,550
-------------
335,025
-------------
TOTAL COMMON STOCKS
(Cost $153,570,088).............. 176,300,667
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- -------------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.02%
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.02%
$ 1,819,000 Cooper Industries, Inc.,
5.40% due 12/2/96
(Cost $1,817,909).............. 1,817,909
-------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.11%
U.S. TREASURY BILLS - 0.11%
200,000 United States Treasury Bills,
5.14% due 12/19/96
(Cost $199,400)................ 199,400
-------------
TOTAL INVESTMENTS
(Cost $155,587,397) - 99.92%..... 178,317,976
Other assets and liabilities,
net - 0.08%.................... 139,025
-------------
NET ASSETS (equivalent
to $15.94 per share on
11,196,052 shares
outstanding) - 100%............ $ 178,457,001
-------------
</TABLE>
* Non-income producing
40
<PAGE> 43
================================================================================
SMALL CAP INDEX FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- --------------------------------------------------------------
<S> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/27/96)
10 (2) Russell 2000 Index Futures
(December/$354.75)............. $ 23,650
-------------
</TABLE>
(1) U.S.Treasury Bills with a market value of approximately $200,000 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 500
NET ASSETS REPRESENTED BY:
<TABLE>
<S> <C>
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
11,196,052 shares outstanding................. $ 111,961
Additional paid in capital...................... 130,482,645
Undistributed net realized gain on securities... 25,051,800
Undistributed net investment income............. 56,366
Unrealized appreciation of:
Investments................. $ 22,730,579
Futures .................... 23,650 22,754,229
------------ -------------
NET ASSETS APPLICABLETOSHARES
OUTSTANDING .............................. $ 178,457,001
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
41
<PAGE> 44
================================================================================
SMALL CAP INDEX FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<S> <C> <C>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996 INVESTMENT INCOME:
Dividends.................................................................................................... $ 1,355,649
Interest..................................................................................................... 242,013
-------------
Total investment income................................................................................... 1,597,662
-------------
EXPENSES:
Advisory fees................................................................................................ 300,614
Custodian and accounting services............................................................................ 32,363
Reports to shareholders...................................................................................... 11,627
Audit fees and tax services.................................................................................. 3,270
Directors' fees and expenses................................................................................. 2,329
Miscellaneous................................................................................................ 5,224
-------------
Total expenses............................................................................................ 355,427
-------------
NET INVESTMENT INCOME........................................................................................ 1,242,235
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments.............................................................................. $ 14,326,947
Futures contracts........................................................................ (70,211) 14,256,736
-------------
Net unrealized depreciation during the period:
Investments.............................................................................. (17,301,533)
Futures contracts........................................................................ (316,125) (17,617,658)
------------- -------------
Net realized and unrealized loss on securities during the period....................................... (3,360,922)
-------------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ (2,118,687)
-------------
</TABLE>
<TABLE>
<CAPTION>
For the For the fiscal
period ended year ended
STATEMENT OF CHANGES IN NET ASSETS November 27, 1996 May 31, 1996
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 1,242,235 $ 2,051,245
Net realized gain on securities............................................................. 14,256,736 10,949,662
Net unrealized appreciation (depreciation) of securities during the period.................. (17,617,658) 31,694,970
-----------------------------
Increase (decrease) in net assets resulting from operations.............................. (2,118,687) 44,695,877
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (1,201,985) (2,050,531)
Net realized gain on securities............................................................. - (2,945,819)
-----------------------------
Decrease in net assets resulting from capital stock transactions......................... (1,201,985) (4,996,350)
-----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 10,781,162 26,328,751
Proceeds from capital stock issued for distributions reinvested............................. 1,201,985 4,996,350
-----------------------------
11,983,147 31,325,101
Cost of capital stock repurchased........................................................... (10,990,956) (16,806,251)
-----------------------------
Increase in net assets resulting from capital stock transactions......................... 992,191 14,518,850
-----------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..................................................... (2,328,481) 54,218,377
NET ASSETS:
Beginning of period......................................................................... 180,785,482 126,567,105
-----------------------------
End of period (including undistributed net investment income of $56,366 and $16,116) ....... $ 178,457,001 $ 180,785,482
-----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 702,464 1,827,343
Shares issued for distributions reinvested.................................................. 78,769 350,648
Shares of capital stock repurchased ........................................................ (713,813) (1,185,615)
-----------------------------
Increase in shares outstanding........................................................... 67,420 992,376
Shares outstanding:
Beginning of period...................................................................... 11,128,632 10,136,256
-----------------------------
End of period............................................................................ 11,196,052 11,128,632
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
42
<PAGE> 45
================================================================================
INTERNATIONAL EQUITIES FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C>
COMMON STOCKS - 98.21%
AEROSPACE/DEFENSE - 0.15%
15,000 British Aerospace................ $ 291,351
--------------
AIRLINES - 0.74%
4,100 British Airways plc - ADR........ 406,925
40,000 * Japan Air Lines Co. Ltd.......... 241,483
25,000 Lufthansa AG..................... 323,198
60,000 Malay Airline System Bhd......... 155,551
35,000 Singapore Airlines............... 332,073
--------------
1,459,230
--------------
APPAREL & PRODUCTS - 0.48%
2,000 Hennes & Mauritz AB - Series B... 289,855
20,000 Onward Kashiyama Co., Ltd........ 284,201
163,039 Pacific Dunlop Ltd............... 372,978
--------------
947,034
--------------
APPLIANCES/FURNISHINGS - 2.07%
50,000 Brother Industries............... 247,132
22,000 Matsushita Electric Industrial Co.
Ltd............................ 386,408
4,200 Matsushita Electric Industrial Co.
Ltd. - ADR..................... 738,675
15,000 Philips Electronics NV........... 591,633
133,000 Sanyo Electric Co. Ltd........... 639,762
3,400 Sanyo Electric Co. Ltd. - ADR.... 80,325
30,000 Sharp Corp....................... 481,906
13,970 Sony Corp - ADR.................. 911,542
--------------
4,077,383
--------------
AUTO - CARS - 4.27%
20,000 * Daimler-Benz AG - ADR............ 1,295,000
100,000 Fiat S.p.A....................... 290,746
15,000 Fiat S.p.A. - ADR................ 219,375
12,500 Honda Motor Co., Ltd. - ADR...... 751,562
35,000 Nissan Motor Co., Ltd............ 256,708
18,000 Nissan Motor Co., Ltd. - ADR..... 261,000
500 Peugeot Citroen SA............... 60,276
13,200 Peugeot Citroen SA - ADR......... 398,317
98,000 Toyota Motor Corp................ 2,715,975
23,519 Toyota Motor Corp. - ADR......... 1,299,425
500 Volkswagen Ag.................... 196,783
32,000 Volvo AB......................... 678,626
--------------
8,423,793
--------------
AUTO - ORIGINAL EQUIPMENT - 0.09%
25,000 Calsonic Corp.................... 172,109
--------------
AUTO - REPLACEMENT PARTS - 1.13%
36,000 Bridgestone Corp................. 679,965
1,600 Bridgestone Corp. - ADR.......... 302,073
5,550 Denso Corp....................... 487,013
10,000 Michelin (CGDE) Class B.......... 507,708
20,000 Phoenix AG....................... 245,074
--------------
2,221,833
--------------
BANKS - OTHER - 15.07%
15,290 ABN Amro Holdings NV............. $ 966,163
60,000 AMMB Holdings BHD................ 520,087
50,000 Asahi Bank Ltd................... 489,850
3,190 Asahi Bank Ltd. - ADR............ 312,386
10,000 Banco de Santander SA............ 540,225
5,700 Banco de Santander SA - ADR...... 310,650
136,000 Bank of Tokyo - Mitsubishi....... 2,832,833
4,180 Bank of Tokyo Ltd. - ADR......... 696,544
68,000 Bank of Yokohama Ltd............. 505,349
2,296 Bank of Yokohama Ltd. - ADR...... 170,554
37,255 Barclays plc..................... 625,080
15,840 Barclays plc - ADR............... 1,083,060
40,000 Chiba Bank Ltd................... 306,443
45,000 Commerce Asset Holding........... 343,756
250,000 DCB Holdings BHD................. 855,927
50,000 DCB Holdings BHD (Warrants)...... 78,765
6,300 Den Danske Bank AF 1871 - ADR.... 475,327
42,500 Deutsche Bank AG - ADR........... 2,008,792
10,000 * Development Bank of Singapore
Ltd............................ 131,260
13,625 * Development Bank of Singapore
Ltd. - ADR..................... 715,381
52,000 Dresdner Bank AG - ADR........... 1,552,106
60,000 Fuji Bank Ltd.................... 1,069,726
4,830 Fuji Bank Ltd. - ADR............. 860,750
6,180 HSBC Holdings plc - ADR.......... 1,306,773
53,000 Industrial Bank of Japan Ltd..... 1,057,193
13,500 Istituto Mobiliare Italiano
S.p.A. - ADR................... 339,188
48,000 Joyo Bank........................ 323,248
800 Joyo Bank (Rights)............... 2,563
189,322 Lloyds TSB Group plc............. 1,282,033
29,078 National Australia Bank Ltd...... 348,172
9,319 National Australia Bank Ltd.
- ADR.......................... 555,645
10,147 National Westminster Bank plc.... 116,590
9,100 National Westminster Bank
plc - ADR...................... 632,450
98,000 Sakura Bank Ltd.................. 908,208
30,000 Shizuoka Bank.................... 346,867
74,000 Sumitomo Bank.................... 1,306,267
3,410 Sumitomo Bank - ADR.............. 601,676
46,000 Tokai Bank....................... 535,922
2,225 Tokai Bank - ADR................. 518,217
25,000 Tokyo Trust & Banking............ 225,066
1,300 Union Bank of Switzerland AG..... 1,218,593
21,300 Westpac Banking Corp.
Ltd. - ADR..................... 631,013
--------------
29,706,698
--------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 1.49%
38,800 Bass plc......................... 520,282
96,100 Guinness plc..................... 724,857
16,000 Kirin Brewery Co., Ltd........... 169,462
4,995 Kirin Brewery Co., Ltd. - ADR.... 524,475
</TABLE>
43
<PAGE> 46
================================================================================
INTERNATIONAL EQUITIES FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C>
BEVERAGE - BREWERS/
DISTRIBUTORS - Continued
12,000 LVMH ( Moet Hennessy Louis
Vuitton) - ADR................. $ 588,000
45,000 Sapporo Breweries................ 401,147
--------------
2,928,223
--------------
BROADCASTING - 0.48%
50,000 British Sky Broadcasting Group plc 435,803
750 Canal Plus....................... 173,583
100,000 * General Cable.................... 335,233
--------------
944,619
--------------
BUILDING MATERIALS - 1.99%
20,000 Asahi Glass Co. Ltd.............. 210,062
5,400 Asahi Glass Co. Ltd. - ADR....... 566,916
30,342 CRH plc.......................... 310,495
2,505 Fletcher Challenge Building
Division....................... 69,514
4,700 Glaverbel SA..................... 552,239
725 Holderbank Finance Glarus........ 512,365
40,000 Inax Corp........................ 341,395
4,116 Lafarge SA....................... 259,308
15,000 * Tostem Corp...................... 436,893
24,000 Toto Ltd......................... 317,740
525 Toto Ltd. - ADR.................. 69,475
38,000 Uralita, SA...................... 283,560
--------------
3,929,962
--------------
CHEMICAL - MAJOR - 2.22%
25,000 BASF Ag.......................... 891,045
10,000 Bayer AG......................... 391,765
18,000 Bayer AG - ADR................... 705,937
1,500 Ciba Geigy AG.................... 1,856,568
41,821 * Montedison S.p.A. - ADR.......... 297,975
20,000 Sekisui Chemical................. 227,714
--------------
4,371,004
--------------
CHEMICAL - MISCELLANEOUS - 1.96%
13,603 Air Liquide - ADR................ 418,896
5,100 Akzo Nobel N V- ADR.............. 334,050
8,500 Asahi Chemical Co. Ltd. - ADR.... 560,166
27,570 * BOC Group plc.................... 414,520
11,000 Imperial Chemical Industries
plc - ADR...................... 577,500
192,500 Nylex (Malaysia) Bhd............. 441,916
23,100 * Shin Etsu Chemical Co............ 432,233
50,000 Toray Industries Inc............. 326,567
5,500 Toray Industries Inc. - ADR...... 359,065
--------------
3,864,913
--------------
CONGLOMERATES - 3.42%
54,390 Broken Hill Proprietary Co.
Ltd. - ADR..................... $ 1,563,712
43,006 BTR plc.......................... 171,563
37,426 BTR plc - ADR.................... 597,543
3,300 Itochu Corp. - ADR............... 203,793
57,000 Keppel Corp. Ltd................. 459,481
21,500 Keppel Corp. Ltd. - ADR.......... 346,632
8,000 Lagardere Groupe................. 239,713
70,000 Marubeni Corp.................... 323,124
3,200 Marubeni Corp. - ADR............. 147,648
42,000 Mitsubishi Corp.................. 507,855
50,000 Mitsui & Co...................... 429,391
2,200 Mitsui & Co. - ADR............... 376,200
60,000 Sime Darby Holdings Ltd.......... 223,234
194,400 Sime Darby Holdings Ltd. - ADR... 723,421
104,567 Tomkins plc...................... 429,415
--------------
6,742,725
--------------
CONSUMER FINANCE - 0.12%
37,000 Nippon Shinpan Co................ 238,720
--------------
COSMETICS/TOILETRIES - 0.97%
1,100 Loreal Co........................ 392,083
15,400 Loreal Co. - ADR................. 1,099,200
34,490 Shiseido Ltd. - ADR.............. 413,818
--------------
1,905,101
--------------
DRUGS - 5.62%
20,000 Astra AB Series A................ 942,703
70,400 Glaxo Wellcome plc - ADR......... 2,358,400
7,700 Kissei Pharmaceutical Co......... 188,252
5,000 Ono Pharmaceutical............... 159,753
250 Roche Holdings AG................ 1,902,237
1,500 Sandoz AG........................ 1,746,265
27,000 Sankyo Co. Ltd................... 719,682
3,000 Sanofi SA........................ 269,503
77,461 SmithKline Beecham Plc........... 1,051,683
45,000 Takeda Chemical Industries Ltd... 869,815
10,300 * Zeneca Group plc - ADR........... 866,488
--------------
11,074,781
--------------
ELECTRICAL EQUIPMENT - 1.28%
58,000 Delta plc........................ 353,386
15,000 Fanuc............................ 487,202
30,000 Fujikura......................... 260,018
84,000 General Electric plc............. 536,440
10,400 General Electric plc - ADR....... 66,227
10,000 Murata Manufacturing Co.......... 334,510
3,400 Sumitomo Electric Industries
Ltd. - ADR..................... 491,927
--------------
2,529,710
--------------
</TABLE>
44
<PAGE> 47
================================================================================
INTERNATIONAL EQUITIES FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C>
ELECTRONIC INSTRUMENTS - 3.03%
50,000 Hitachi Ltd...................... $ 472,198
8,550 Hitachi Ltd. - ADR............... 809,044
6,000 Kyocera Corp..................... 389,232
144,000 Mitsubishi Electric Corp......... 868,067
600 Mitsubishi Electric Corp. - ADR.. 36,153
25,000 NEC Corp......................... 311,121
5,100 NEC Corp. - ADR.................. 317,475
50,000 Racal Electronics plc............ 220,416
7,110 Schneider SA..................... 343,124
8,000 Siemens AG....................... 377,456
28,000 Siemens AG - ADR................. 1,322,524
55,000 Yokogawa Electric................ 500,000
--------------
5,966,810
--------------
FINANCE COMPANIES - 1.29%
4,000 Compagnie Bancaire SA............ 440,478
126 Credit Local de France........... 11,528
17,992 Fortis Amev NV................... 578,423
19,664 ING Groep NV..................... 673,480
7,758 Societe Generale................. 840,817
--------------
2,544,726
--------------
FOODS - 2.88%
25,000 Ajinomoto Inc.................... 286,849
1,900 Ajinomoto Inc. - ADR............. 217,909
21,329 Cadbury Schweppes plc............ 185,190
13,634 Cadbury Schweppes plc - ADR...... 482,303
31,266 Coca Cola Amatil Ltd............. 333,534
10,000 Daiei, Inc....................... 84,643
11,500 Daiei, Inc. - ADR................ 184,000
124,098 Grand Metropolitan............... 963,080
5,346 KAO Corp - ADR................... 641,425
38,000 Nestle S A - ADR................. 2,063,947
30,000 Tate & Lyle plc.................. 240,362
--------------
5,683,242
--------------
FOOTWEAR - 0.31%
4,500 Adidas AG........................ 382,929
700,000 Yue Yuen Industrial Holdings..... 235,376
--------------
618,305
--------------
FREIGHT - 0.61%
98,000 * Mitsui Osk Lines Ltd............. 266,408
40,000 Nippon Yusen Kabushiki Kaish..... 199,117
8,570 Nippon Yusen Kabushiki
Kaish - ADR.................... 426,419
31,683 P & O Steam Navigation........... 317,574
--------------
1,209,518
--------------
HEALTHCARE - 0.33%
33,159 Eisai Ltd........................ 643,580
--------------
HOME BUILDERS - 0.23%
15,000 Daiwa House Industry Co. Ltd..... 211,827
214 Sekisui Homes Ltd. - ADR......... 23,600
20,000 Sekisui House Hokuriku, Ltd...... 220,653
--------------
456,080
--------------
HOSPITAL SUPPLIES - 0.39%
1,000 Novo-Nordisk A/S................. $ 184,134
12,800 Novo-Nordisk A/S - ADR........... 590,400
--------------
774,534
--------------
HOUSEHOLD PRODUCTS - 1.00%
7,000 Katokichi Co..................... 144,572
10,600 Unilever N V- ADR................ 1,829,825
--------------
1,974,397
--------------
INFORMATION PROCESSING - 0.66%
5,000 CSK Corp......................... 144,307
3,700 CSK Corp. - ADR.................. 106,375
14,000 * Fujitsu Ltd...................... 134,687
7,200 * Fujitsu Ltd. - ADR............... 346,184
750,000 * Ing C. Olivetti & C. S.p.A....... 272,574
2,250 SAP AG........................... 305,606
--------------
1,309,733
--------------
INSURANCE - CASUALTY - 0.80%
25,000 Mitsui Marine & Fire............. 162,180
50,000 * Nippon Fire & Marine Insurance... 280,229
25,000 Sumitomo Marine & Fire........... 178,950
20,000 Tokio Marine & Fire Insurance Co. 222,418
13,100 Tokio Marine & Fire Insurance
Co. - ADR...................... 735,238
--------------
1,579,015
--------------
INSURANCE - LIFE - 0.76%
63,625 Irish Life plc................... 283,678
30,240 Prudential plc - ADR............. 1,218,427
--------------
1,502,105
--------------
INSURANCE - MULTILINE - 2.17%
300 Allianz AG Holding............... 539,635
43,549 Assic Generali................... 851,786
17,962 AXA.............................. 1,079,899
7,000 * Gan Group........................ 154,302
104,864 Royal Sun Alliance............... 783,931
150,000 Sedgwick Group plc............... 319,310
500 Swiss Reinsurance AG............. 547,256
--------------
4,276,119
--------------
LEISURE TIME - 1.34%
8,000 * Canon, Inc. - ADR................ 878,000
20,000 Fuji Photo....................... 640,777
150,000 Ladbroke Group plc............... 517,935
85,000 Rank Group....................... 599,815
--------------
2,636,527
--------------
LODGING - 0.43%
275,000 Hong Kong & Shang Hai Hotels..... 537,033
22,917 Hong Kong & Shang Hai Hotels
(Rights)....................... 3,882
180,000 Hotel Properties................. 297,903
--------------
838,818
--------------
</TABLE>
45
<PAGE> 48
================================================================================
INTERNATIONAL EQUITIES FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C>
MACHINE TOOLS - 0.44%
35,000 Amada Co., Ltd................... $ 297,794
16,000 Makita Corp. - ADR............... 216,000
40,000 Minebea Co. Ltd.................. 345,984
--------------
859,778
--------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 1.35%
200 BBC Brown Boveri Limited-AG...... 248,471
15,000 Bilfinger & Berger Bau AG........ 553,283
2,000 Jean Lefebvre SA................. 102,817
52,000 Kajima Corp...................... 419,947
2,340 Kajima Corp. - ADR............... 188,893
16,000 Kumagai Gumi (Hong Kong)
Limited........................ 4,914
80,000 Kumagai Gumi Co.................. 90,012
70,000 Shimizu Corp..................... 596,205
5,200 Volker Stevin.................... 463,597
--------------
2,668,139
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 3.36%
10,000 Atlas Copco AB Series A.......... 233,053
20,000 Atlas Copco AB Series B.......... 463,109
125 Bobst SA......................... 171,259
10,250 CNIM............................. 366,340
8,000 Ebara Corp....................... 114,387
2,530 Ebara Corp. - ADR................ 361,588
75,000 Halma plc........................ 245,139
325,000 Johan Holdings Berhad............ 289,432
50,000 Kawasaki Heavy Industries........ 233,451
54,000 Komatsu Ltd...................... 467,079
400 Komatsu Ltd. - ADR............... 69,166
70,000 Kubota Corp...................... 404,060
1,350 Kubota Corp. - ADR............... 157,950
1,000 Mannesmann AG.................... 414,348
140,000 Mitsubishi Hvy Industries........ 1,176,346
1,000 Rieter Holdings AG............... 285,626
2,000 Rieter Holdings AG (Warrants).... 2,709
78,595 Rolls Royce...................... 335,274
70,000 SASIB S.p.A...................... 228,037
25,247 Siebe plc........................ 399,906
350 Sulzer AG........................ 198,584
--------------
6,616,843
--------------
MEDICAL TECHNOLOGY - 0.12%
20,000 Instrumentation Laboratory S. p. A. 245,000
--------------
MERCHANDISE - SPECIALTY - 1.02%
41,107 BAA plc.......................... 337,620
180,000 Dickson Concepts International Ltd. 664,615
10,000 Esselte AB Series B.............. 230,805
35,000 Great Universal Stores plc....... 389,541
1,500 Herlitz AG....................... 172,318
15,000 Takashimaya Co................... 209,179
--------------
2,004,078
--------------
MERCHANDISING - DEPARTMENT - 1.21%
500 Karstadt AG...................... $ 173,791
15,000 Marks & Spencer plc.............. 123,952
25,033 Marks & Spencer plc - ADR........ 1,238,002
16,000 Marui Co., Ltd................... 307,855
56,000 Mitsukoshi Ltd................... 514,034
200 Mitsukoshi Ltd. - ADR............ 18,350
--------------
2,375,984
--------------
MERCHANDISING - FOOD - 1.81%
2,550 * Carrefour SA..................... 1,567,578
15,000 Delhaize-Le Lion, S.A............ 885,996
100,000 J. Sainsbury plc................. 616,829
5,050 Koninklijke Ahold NV............. 303,194
15,000 Melco International Development
Limited........................ 4,947
10,000 Uny Co. Ltd...................... 186,231
--------------
3,564,775
--------------
MERCHANDISING - MASS - 0.82%
32,666 Argos plc........................ 418,318
3,960 Familymart Co.................... 156,233
4,050 * Ito-Yokado Co. Ltd. - ADR........ 825,187
20,000 Seiyu Ltd........................ 208,297
--------------
1,608,035
--------------
METALS - ALUMINUM - 0.10%
40,000 Showa Aluminium Corp............. 198,058
--------------
METALS - COPPER - 0.28%
6,379 RTZ Corp. plc.................... 102,966
6,700 RTZ Corp. plc - ADR.............. 440,525
--------------
543,491
--------------
METALS - MISCELLANEOUS - 0.97%
400 Alusuisse Lonza Holdings......... 314,885
8,062 CRA Ltd. - ADR................... 527,196
750 Degussa AG....................... 307,079
105,100 North Ltd........................ 312,052
71,022 * Western Mining................... 452,278
--------------
1,913,490
--------------
METALS - STEEL - 1.95%
500 Bekaert SA....................... 417,196
36,700 British Steel plc................ 103,038
2,000 British Steel plc - ADR.......... 56,500
50,000 Cockerill Sambre................. 198,476
60,000 Kawasaki Steel................... 193,292
15,420 Kawasaki Steel - ADR............. 496,539
200,000 * Nippon Steel Co.................. 623,125
255,000 * NKK Corp......................... 657,193
178,000 Sumitomo Metal Industries Ltd.... 496,452
7,400 Sumitomo Metal Industries
Ltd. - ADR..................... 206,299
50,000 * Sumitomo Metal Mining............ 393,204
--------------
3,841,314
--------------
</TABLE>
46
<PAGE> 49
================================================================================
INTERNATIONAL EQUITIES FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C>
MISCELLANEOUS - 0.25%
8,000 Secom Co......................... $ 485,084
--------------
OIL - INTEGRATED
INTERNATIONAL - 3.75%
17,062 British Petroleum Co. plc - ADR.. 2,350,290
20,946 Elf Aquitaine SA - ADR........... 911,151
10,000 Repsol S A - ADR................. 361,250
17,098 Royal Dutch Petroleum Co. - ADR.. 2,863,915
11,207 Total............................ 914,972
--------------
7,401,578
--------------
OIL/GAS PRODUCERS - 1.28%
160,000 Eni S.p.A........................ 833,647
2,505 Fletcher Challenge Energy Division 76,403
13,500 Norsk Hydro A/S - ADR............ 666,562
5,000 OMV AG........................... 531,089
100,000 Santos Limited................... 415,348
--------------
2,523,049
--------------
PAPER/FOREST PRODUCTS - 0.73%
149,394 Fletcher Challenge Forest Ltd.... 244,146
3,926 * Fletcher Challenge Ltd. - ADR.... 63,798
5,010 Fletcher Challenge Paper Division 90,180
22,000 New Oji Paper Co., Ltd........... 159,223
300 New Oji Paper Co., Ltd - ADR..... 22,012
60,000 Nippon Paper Industries.......... 335,216
27,000 * UPM - Kymmene Corp............... 525,875
--------------
1,440,450
--------------
PUBLISHING - NEWS - 1.02%
68,409 Independent Newspapers plc....... 344,283
22,500 News Corp Ltd. - ADR............. 478,125
80,000 Reuters Holdings plc............. 964,130
20,952 * United News & Media plc.......... 234,244
--------------
2,020,782
--------------
PUBLISHING/PRINTING - 0.89%
30,000 * Dai Nippon Printing Co. Ltd...... 558,694
1,000 * Dai Nippon Printing Co. Ltd. - ADR 186,149
61,380 Pearson plc...................... 754,132
2,000 Wolters Kluwer NV................ 260,225
--------------
1,759,200
--------------
RAILROAD - 1.03%
30,000 Fukuyama Transporting Co......... 244,925
90,000 Nagoya Railroad Co. Ltd.......... 366,990
9,218 Nagoya Railroad Co. Ltd. - ADR... 375,713
101,970 Odakyu Electric Railway Co. Ltd.. 630,900
60,000 Tokyu Corp....................... 408,826
--------------
2,027,354
--------------
REAL ESTATE - 2.63%
129,441 * Great Eagle Holdings Ltd......... 537,364
40,380 Hammerson plc.................... 257,197
240,000 Hang Lung Development Co......... 535,416
63,000 Mitsubishi Estate Co. Ltd........ 806,267
35,000 Mitsui Fudosan................... 432,480
REAL ESTATE - Continued
152,600 Sun Hung Kai Properties Ltd...... $ 1,934,069
128,000 Wharf (Holdings) Ltd............. 672,090
--------------
5,174,883
--------------
SECURITIES RELATED - 1.61%
25,000 Daiwa Securities Co. Ltd......... 278,023
61,000 Mitsubishi Trust & Banking Corp.. 1,001,412
35,000 Nomura Securities Co. Ltd........ 608,561
3,800 Nomura Securities Co. Ltd. - ADR. 660,432
160,000 Peregrine Investment Holdings Ltd. 304,179
16,000 Peregrine Investment Holdings
Ltd. (Warrants)................ 5,690
6,000 Yamaichi Securities Co. Ltd. - ADR 325,010
--------------
3,183,307
--------------
TELECOMMUNICATIONS - 5.20%
35,000 British Telecommunications plc... 221,170
16,379 British Telecommunications
plc - ADR...................... 1,040,066
30,000 * Cable & Wireless plc............. 247,653
46,982 Hong Kong Telecommunications
Ltd.- ADR...................... 804,567
15,395 Kon Ptt Nederland................ 573,978
12,000 Nokia AB OY...................... 665,912
100,000 Stet Societa' Finanziaria Telefonica
S.p.A.......................... 414,973
4,800 Telecom Corp. of New Zealand
Ltd. - ADR..................... 406,200
300,000 * Telecom Italia Mobile............ 691,843
335,000 Telecom Italia S.p.A............. 782,519
47,200 Telefonaktiebolage & LM Ericsson
Class B - ADR.................. 1,410,100
14,000 Telefonica de Espana............. 309,056
14,600 Telefonica de Espana - ADR....... 961,775
110,000 Telekom Malaysia Bhd............. 1,018,801
16,500 Vodafone Group plc - ADR......... 697,125
--------------
10,245,738
--------------
TEXTILE - PRODUCTS - 0.27%
20,000 Courtaulds Textiles plc.......... 83,808
4,000 * DMC Dollfus Mieg................. 88,868
30,000 Marzotto & Figli S.p.A........... 184,062
15,000 Wacoal Corp...................... 182,701
--------------
539,439
--------------
TOBACCO - 0.67%
74,376 B.A.T. Industries plc............ 580,322
40,100 B.A.T. Industries plc - ADR...... 636,588
32,000 * Swedish Match AB................. 105,031
--------------
1,321,941
--------------
UTILITIES - ELECTRIC - 4.30%
155,000 China Light & Power.............. 665,520
12,000 Empresa Nacional de Electridad
SA - ADR....................... 772,500
6,500 Hidroel Cantabrico............... 219,024
</TABLE>
47
<PAGE> 50
================================================================================
INTERNATIONAL EQUITIES FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C> <C>
UTILITIES - ELECTRIC - Continued
30,000 Iberdrola SA..................... $ 336,961
36,600 Kansai Electric Power Co. Inc.... 772,056
80,000 National Power................... 616,829
4,000 Oesterreichisch Elektrizitatswirt
Schafts - AG Class A........... 286,472
30,000 RWE AG - ADR..................... 1,338,744
48,488 Scottish Power plc............... 268,204
10,000 Sydkraft AB...................... 220,314
145,000 Tenaga Nasional Bhd.............. 660,004
25,200 Tokyo Electric Power............. 573,839
30,000 VEBA AG.......................... 1,749,296
--------------
8,479,763
--------------
UTILITIES - GAS, DISTRIBUTION - 0.20%
127,000 Osaka Gas Co..................... 397,926
--------------
WATER SERVICES - 1.17%
10,196 Eaux (Cie Generale).............. 1,258,692
20,000 Hyder plc........................ 246,396
25,857 Thames Water plc................. 248,342
54,483 United Utilities plc............. 543,368
--------------
2,296,798
--------------
TOTAL COMMON STOCKS
(Cost $159,265,169).............. 193,578,975
--------------
<CAPTION>
PAR
VALUE
- -----------
<S> <C> <C> <C>
UNITED STATES GOVERNMENT -
SHORT TERM - 0.12%
U.S. TREASURY BILLS - 0.12%
United States Treasury Bills:
$ 100,000 5.14% due 12/19/96............. 99,700
150,000 5.125% due 12/19/96............ 149,552
--------------
249,252
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $249,252).................. 249,252
--------------
TOTAL INVESTMENTS
(Cost $159,514,421) - 98.33%..... $ 193,828,227
Other assets and liabilities,
net - 1.67%.................... 3,284,301
--------------
NET ASSETS (equivalent
to $11.43 per share on
17,246,490 shares
outstanding) - 100%............ $ 197,112,528
--------------
* Non-income producing
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- ---------------------------------------------------------------
<S> <C> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/27/96)
27 (2) Nikkei 225 Futures
(December/$188.31)............. $ 118,938
--------------
(1)U.S.Treasury Bills with a market value of
approximately $250,000 were maintained in a
segregated account with a portion placed as
collateral for futures contracts.
(2)Per 500
- ----------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
17,246,490 shares outstanding................. $ 172,465
Additional paid in capital...................... 155,280,239
Undistributed net realized gain on securities... 7,137,125
Undistributed net investment income............. 113,982
Unrealized appreciation (depreciation) of:
Investments.................$ 34,313,806
Futures .................... 118,938
--------------
Foreign currency translation (24,027) 34,408,717
--------------- --------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING .............................. $ 197,112,528
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
48
<PAGE> 51
================================================================================
INTERNATIONAL EQUITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $275,195)................................................... $ 1,784,033
Interest................................................................................................... 421,009
--------------
Total investment income................................................................................. 2,205,042
--------------
EXPENSES:
Advisory fees.............................................................................................. 346,811
Custodian and accounting services.......................................................................... 37,410
Reports to shareholders.................................................................................... 12,518
Audit fees and tax services................................................................................ 3,101
Directors' fees and expenses............................................................................... 2,738
Miscellaneous.............................................................................................. 13,136
-------------
Total expenses.......................................................................................... 415,714
-------------
NET INVESTMENT INCOME...................................................................................... 1,789,328
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments.............................................................................. $ 2,757,132
Foreign currency transactions............................................................ (28,610)
Futures.................................................................................. (87,024) 2,641,498
Net unrealized appreciation (depreciation) during the period:
Investments.............................................................................. 2,401,497
Foreign currency translation............................................................. (25,775)
Futures.................................................................................. (52,298) 2,323,424
Net realized and unrealized gain on securities and foreign currencies during the period.............. 4,964,922
--------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........................................................... $ 6,754,250
-------------
<CAPTION>
For the For the fiscal
STATEMENT OF CHANGES IN NET ASSETS period ended year ended
OPERATIONS: November 27, 1996 May 31, 1996
--------------------------------
<S> <C> <C>
Net investment income....................................................................... $ 1,789,328 $ 3,381,202
Net realized gain on securities and foreign currency transactions........................... 2,641,498 7,822,417
Net unrealized appreciation of securities and translation of foreign currencies
during the period........................................................................ 2,323,424 10,529,705
--------------------------------
Increase in net assets resulting from operations......................................... 6,754,250 21,733,324
--------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (1,937,625) (3,224,568)
Net realized gain on securities............................................................. - (4,471,011)
--------------------------------
Decrease in net assets resulting from distributions to shareholders...................... (1,937,625) (7,695,579)
--------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 29,970,856 67,168,258
Proceeds from capital stock issued for distributions reinvested............................. 1,937,625 7,695,579
--------------------------------
31,908,481 74,863,837
Cost of capital stock repurchased........................................................... (45,871,914) (91,733,125)
--------------------------------
Decrease in net assets resulting from capital stock transactions......................... (13,963,433) (16,869,288)
--------------------------------
TOTAL DECREASE IN NET ASSETS................................................................ (9,146,808) (2,831,543)
NET ASSETS:
Beginning of period......................................................................... 206,259,336 209,090,879
--------------------------------
End of period (including undistributed net investment income of $113,982 and $262,279) ..... $ 197,112,528 $ 206,259,336
================================
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 2,729,389 6,277,440
Shares issued for distributions reinvested.................................................. 175,942 721,434
Shares of capital stock repurchased ........................................................ (4,155,373) (8,576,096)
--------------------------------
Decrease in shares outstanding........................................................... (1,250,042) (1,577,222)
Shares outstanding:
Beginning of period...................................................................... 18,496,532 20,073,754
--------------------------------
End of period............................................................................ 17,246,490 18,496,532
--------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49
<PAGE> 52
================================================================================
GROWTH FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
COMMON STOCKS - 89.26%
ADVERTISING - 1.85%
225,000 ADVO, Inc........................ $ 2,840,625
170,000 * Catalina Marketing Corp.......... 8,627,500
-------------
11,468,125
-------------
APPAREL & PRODUCTS - 0.87%
100,000 * Tommy Hilfiger Corp.............. 5,375,000
-------------
AUTO - REPLACEMENT PARTS - 0.91%
225,000 * AutoZone, Inc.................... 5,625,000
-------------
BANKS - REGIONAL - 1.65%
225,000 Norwest Corp..................... 10,237,500
-------------
BROADCASTING - 3.69%
100,000 Comcast Corp. Class A............ 1,681,250
625,000 Comcast Corp.
Class A Special................ 10,546,875
50,000 * Cox Communications, Inc.
Class A........................ 1,000,000
375,000 Gaylord Entertainment Co.
Class A........................ 7,968,750
67,700 * Sinclair Broadcast Group, Inc.... 1,616,338
-------------
22,813,213
-------------
CONSUMER FINANCE - 0.80%
415,000 Mercury Finance Co............... 4,928,125
-------------
ENTERTAINMENT - 0.96%
80,000 Walt Disney Co................... 5,920,000
-------------
FINANCE COMPANIES - 4.24%
60,000 Associates First Capital Corp.... 2,895,000
250,000 Green Tree Financial Corp........ 10,468,750
85,000 Household International, Inc..... 8,075,000
160,000 Money Store Inc.................. 4,820,000
-------------
26,258,750
-------------
GOVERNMENT SPONSORED - 2.72%
90,000 Federal Home Loan
Mortgage Corp.................. 10,260,000
160,000 Federal National Mortgage
Association.................... 6,560,000
-------------
16,820,000
-------------
HEALTHCARE - 6.65%
310,000 * Apria Healthcare Group, Inc...... 5,541,250
125,000 Cardinal Health, Inc............. 10,546,875
105,000 * PacifiCare Health System, Inc.
Class B........................ 8,780,625
168,300 * Patterson Dental Co.............. 4,375,800
425,000 * Quorum Health Group Inc.......... 11,900,000
-------------
41,144,550
-------------
HOSPITAL MANAGEMENT - 2.86%
277,500 Columbia/HCA Healthcare Corp..... $ 11,238,750
200,000 * Vencor, Inc...................... 6,475,000
-------------
17,713,750
-------------
INFORMATION PROCESSING - 6.13%
222,500 * BISYS Group, Inc................. 8,260,312
123,300 * Ceridian Corp.................... 5,918,400
127,500 Electronic Data Systems Corp..... 6,088,125
200,000 First Data Corp.................. 8,075,000
225,000 * SunGard Data Systems, Inc........ 9,618,750
-------------
37,960,587
-------------
INSURANCE - MISCELLANEOUS - 7.20%
225,000 Ace Limited...................... 12,909,375
125,000 MGIC Investment Corp............. 9,359,375
200,000 PMI Group Inc.................... 11,650,000
150,000 UNUM Corp........................ 10,631,250
-------------
44,550,000
-------------
LEISURE TIME - 1.42%
187,000 Carnival Corp.................... 5,890,500
100,000 * Sabre Group Holdings Inc......... 2,900,000
-------------
8,790,500
-------------
LODGING - 4.15%
262,500 * HFS Inc.......................... 16,800,000
475,000 La Quinta Inns, Inc.............. 8,906,250
-------------
25,706,250
-------------
MERCHANDISE - DRUG - 3.98%
375,000 * Eckerd Corp...................... 12,937,500
329,000 * Revco D.S., Inc.................. 11,720,625
-------------
24,658,125
-------------
MERCHANDISE - SPECIALTY - 8.17%
200,000 Circuit City Stores, Inc......... 6,600,000
245,000 * Cole National Corp. Class A...... 6,247,500
375,000 * Corporate Express, Inc........... 10,500,000
650,000 * General Nutrition Cos, Inc....... 11,293,750
120,000 Home Depot, Inc.................. 6,195,000
175,000 * Kohl's Corp...................... 7,043,750
110,000 * Micro Warehouse, Inc............. 2,695,000
-------------
50,575,000
-------------
MERCHANDISING - MASS - 1.88%
500,000 * Price/Costco, Inc................ 11,625,000
-------------
MISCELLANEOUS - 7.50%
700,000 * ADT Ltd.......................... 14,437,500
575,000 * CUC International Inc............ 14,878,125
170,000 * Interim Services Inc............. 6,587,500
105,000 Olsten Corp...................... 1,470,000
300,000 Service Corp. International...... 9,037,500
-------------
46,410,625
-------------
50
<PAGE> 53
================================================================================
GROWTH FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
OIL - SERVICES - 5.56%
150,000 * BJ Services Co................... $ 7,162,500
125,000 Camco International, Inc......... 5,156,250
45,000 Schlumberger Ltd................. 4,691,250
150,000 * Smith International, Inc......... 6,075,000
160,000 * Western Atlas Inc................ 11,320,000
-------------
34,405,000
-------------
PAPER/FOREST PRODUCTS - 2.07%
250,000 Alco Standard Corp............... 12,812,500
-------------
POLLUTION CONTROL - 3.24%
200,000 * Republic Industries Inc.......... 6,625,000
412,000 * USA Waste Services, Inc.......... 13,441,500
-------------
20,066,500
-------------
PUBLISHING/PRINTING - 1.32%
110,100 * Scholastic Corp.................. 8,202,450
-------------
RESTAURANTS - 4.74%
325,000 * Boston Chicken, Inc.............. 12,553,125
200,000 * Lone Star Steakhouse &
Saloon, Inc.................... 5,900,000
375,000 * Outback Steakhouse Inc........... 10,875,000
-------------
29,328,125
-------------
SECURITIES RELATED - 2.30%
200,000 Franklin Resources, Inc.......... 14,225,000
-------------
TELECOMMUNICATIONS - 2.40%
225,000 * Airtouch Communications, Inc..... 5,681,250
291,900 * Paging Network, Inc.............. 4,852,838
150,000 * PanAmSat Corp.................... 4,350,000
-------------
14,884,088
-------------
TOTAL COMMON STOCKS
(Cost $444,120,312).............. 552,503,763
================================================================================
GROWTH FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 10.22%
CONSUMER FINANCE - 1.87%
$ 11,577,000 Beneficial Corp.,
5.15% due 12/2/96.............. $ 11,570,375
-------------
FINANCE COMPANIES - 3.88%
7,753,000 Ford Motor Credit Co.,
5.38% due 12/5/96.............. 7,744,890
16,307,000 General Electric Capital Corp.,
5.20% due 12/2/96.............. 16,297,578
-------------
24,042,468
-------------
SECURITIES RELATED - 4.47% Merrill Lynch & Co., Inc:
14,400,000 5.32% due 12/4/96.............. 14,387,232
13,315,000 5.31% due 12/3/96.............. 13,305,180
-------------
27,692,412
-------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $63,305,255)............... 63,305,255
-------------
TOTAL INVESTMENTS
(Cost $507,425,567) - 99.48%..... 615,809,018
Other assets and liabilities,
net - 0.52%.................... 3,191,245
-------------
NET ASSETS (equivalent
to $17.51 per share on
35,357,627 shares
outstanding) - 100%............ $ 619,000,263
-------------
* Non-income producing
- ---------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
35,357,627 shares outstanding................. $ 353,576
Additional paid in capital...................... 497,871,246
Undistributed net realized gain on securities... 11,984,918
Undistributed net investment income............. 407,072
Unrealized appreciation of securities........... 108,383,451
-------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING .................................. $ 619,000,263
-------------
SEE NOTES TO FINANCIAL STATEMENTS.
51
<PAGE> 54
<TABLE>
<CAPTION>
================================================================================
GROWTH FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<S> <C> <C>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996 INVESTMENT INCOME:
Dividends.................................................................................................... $ 1,021,327
Interest..................................................................................................... 1,284,215
-------------
Total investment income................................................................................... 2,305,542
-------------
EXPENSES:
Advisory fees................................................................................................ 1,996,428
Custodian and accounting services............................................................................ 90,226
Reports to shareholders...................................................................................... 36,053
Audit fees and tax services.................................................................................. 12,295
Directors' fees and expenses................................................................................. 5,931
Miscellaneous................................................................................................ 11,555
-------------
Total expenses............................................................................................ 2,152,488
-------------
NET INVESTMENT INCOME........................................................................................ 153,054
REALIZED AND UNREALIZED GAINON SECURITIES:
Net realized gain on securities.............................................................................. 2,548,468
Net unrealized appreciation of securities during the period.................................................. 33,773,307
-------------
Net realized and unrealized gain on securities during the period.......................................... 36,321,775
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 36,474,829
-------------
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS For the For the fiscal
period ended year ended
November 27, 1996 May 31, 1996
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 153,054 $ 2,125,410
Net realized gain on securities............................................................. 2,548,468 12,920,523
Net unrealized appreciation of securities during the period................................. 33,773,307 65,916,187
------------- -------------
Increase in net assets resulting from operations......................................... 36,474,829 80,962,120
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... - (1,871,667)
Net realized gain on securities............................................................. - (3,757,835)
------------- -------------
Decrease in net assets resulting from distributions to shareholders...................... - (5,629,502)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 157,030,999 258,993,562
Proceeds from capital stock issued for distributions reinvested............................. - 5,629,502
------------- -------------
157,030,999 264,623,064
Cost of capital stock repurchased........................................................... (292,632) (14,782,740)
------------- -------------
Increase in net assets resulting from capital stock transactions......................... 156,738,367 249,840,324
------------- -------------
TOTAL INCREASE IN NET ASSETS................................................................ 193,213,196 325,172,942
NET ASSETS:
Beginning of period......................................................................... 425,787,067 100,614,125
------------- -------------
End of period (including undistributed net investment income of $407,072 and $254,018) ..... $ 619,000,263 $ 425,787,067
------------- -------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 9,549,113 17,658,112
Shares issued for distributions reinvested.................................................. - 382,244
Shares of capital stock repurchased ........................................................ (17,133) (1,014,547)
------------- -------------
Increase in shares outstanding........................................................... 9,531,980 17,025,809
Shares outstanding:
Beginning of period...................................................................... 25,825,647 8,799,838
------------- -------------
End of period............................................................................ 35,357,627 25,825,647
------------- -------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
52
<PAGE> 55
================================================================================
GROWTH & INCOME FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C> <C>
COMMON STOCKS - 86.01%
ADVERTISING - 1.15%
38,000 Omnicom Group, Inc............... $ 1,957,000
--------------
AEROSPACE/DEFENSE - 3.86%
9,000 Logicon, Inc..................... 371,250
50,200 McDonnell Douglas Corp........... 2,635,500
25,000 * SCI Systems, Inc................. 1,337,500
16,000 United Technologies Corp......... 2,236,000
--------------
6,580,250
--------------
AUTO - ORIGINAL EQUIPMENT - 1.11%
42,000 Danaher Corp..................... 1,890,000
--------------
AUTO - OTHER - 0.57%
22,000 Harley-Davidson, Inc............. 970,750
--------------
BANKS - NEW YORK CITY - 1.02%
16,000 CitiCorp......................... 1,734,000
--------------
BANKS - OTHER - 2.24%
20,000 BankAmerica Corp................. 2,040,000
25,000 Mellon Bank Corp................. 1,784,375
--------------
3,824,375
--------------
BANKS - REGIONAL - 1.35%
20,000 Norwest Corp..................... 910,000
15,000 Star Banc Corp................... 1,381,875
--------------
2,291,875
--------------
BEVERAGE - SOFT DRINKS - 1.65%
55,000 Coca-Cola Co..................... 2,811,875
--------------
BROADCASTING - 0.44%
30,000 * Evergreen Media Corp............. 757,500
--------------
BUILDING MATERIALS - 0.20%
6,000 Texas Industries, Inc............ 335,250
--------------
CHEMICAL - MAJOR - 0.72%
27,000 Goodrich (B.F.) Co............... 1,204,875
600 Hercules Inc..................... 29,025
--------------
1,233,900
--------------
CHEMICAL - MISCELLANEOUS - 3.37%
30,000 * Airgas, Inc...................... 780,000
50,000 Olin Corp........................ 1,987,500
34,000 Praxair, Inc..................... 1,649,000
21,000 Sigma Aldrich Corp............... 1,320,375
--------------
5,736,875
--------------
CONTAINERS - PAPER - 0.39%
16,000 * Sealed Air Corp.................. 662,000
--------------
DRUGS - 1.29%
24,800 Pfizer Inc....................... 2,204,100
--------------
ELECTRONIC INSTRUMENTS - 1.91%
7,200 * Dionex Corp...................... $ 261,000
45,000 * Dynatech Corp.................... 2,148,750
18,000 * Symbol Technologies, Inc......... 850,500
--------------
3,260,250
--------------
FINANCE COMPANIES - 2.11%
15,000 Green Tree Financial Corp........ 628,125
7,000 Household International, Inc..... 665,000
21,000 Money Store Inc.................. 632,625
40,000 SunAmerica, Inc.................. 1,665,000
--------------
3,590,750
--------------
FOOTWEAR - 0.65%
20,000 NIKE Inc. Class B................ 1,115,000
--------------
HARDWARE & TOOLS - 0.89%
40,000 Black & Decker Corp.............. 1,520,000
--------------
HEALTHCARE - 3.74%
30,000 Cardinal Health, Inc............. 2,531,250
18,000 * Healthcare COMPARE Corp.......... 769,500
39,162 * HealthSouth Corp................. 1,458,784
55,000 Omnicare, Inc.................... 1,615,625
--------------
6,375,159
--------------
HOSPITAL SUPPLIES - 2.73%
30,200 Becton, Dickinson and Co......... 1,268,400
46,000 Johnson & Johnson................ 2,461,000
23,000 United States Surgical Corp...... 914,250
--------------
4,643,650
--------------
INFORMATION PROCESSING - 11.84%
40,000 * Adaptec, Inc..................... 1,495,000
66,000 * BMC Software, Inc................ 2,887,500
26,000 * Ceridian Corp.................... 1,248,000
39,000 * Cisco Systems, Inc............... 2,652,000
50,000 Computer Associates
International, Inc............. 3,256,250
40,000 First Data Corp.................. 1,615,000
27,000 * Gateway 2000, Inc................ 1,447,875
18,000 HBO & Co......................... 1,014,750
33,000 Paychex Inc...................... 1,782,000
53,000 Reynolds and Reynolds Co.
Class A........................ 1,477,375
41,417 * Sterling Commerce, Inc........... 1,304,648
--------------
20,180,398
--------------
INSURANCE - CASUALTY - 0.72%
32,000 Frontier Insurance Group, Inc.... 1,220,000
--------------
INSURANCE - LIFE - 1.63%
50,000 Conseco Inc...................... 2,768,750
--------------
INSURANCE - MULTILINE - 3.71%
50,000 Allstate Corp.................... 3,006,250
16,000 American Bankers Insurance
Group, Inc..................... 786,000
</TABLE>
53
<PAGE> 56
================================================================================
GROWTH & INCOME FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C> <C>
INSURANCE - MULTILINE - Continued
4,000 * CNA Financial Corp............... $ 428,500
46,667 Travelers Group, Inc............. 2,105,833
--------------
6,326,583
--------------
LEISURE TIME - 0.42%
30,000 * Mirage Resorts Inc............... 720,000
--------------
LODGING - 0.60%
16,000 * HFS Inc.......................... 1,024,000
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.66%
20,000 Dover Corp....................... 1,072,500
40,000 Tidewater Inc.................... 1,750,000
--------------
2,822,500
--------------
MERCHANDISE - SPECIALTY - 2.21%
29,000 * Consolidated Stores Corp......... 1,087,500
40,000 Dollar General Corp.............. 1,155,000
75,375 * Staples, Inc..................... 1,516,922
--------------
3,759,422
--------------
MERCHANDISING - FOOD - 1.85%
16,000 * Kroger Co........................ 720,000
60,000 * Safeway Inc...................... 2,437,500
--------------
3,157,500
--------------
METALS - MISCELLANEOUS - 2.03%
37,000 Oregon Metallurgical Corp........ 1,313,500
45,900 Precision Castparts Corp......... 2,145,825
--------------
3,459,325
--------------
MISCELLANEOUS - 1.61%
53,000 Equifax Inc...................... 1,722,500
28,000 * Robert Half International Inc.... 1,029,000
--------------
2,751,500
--------------
MOBILE HOMES - 0.66%
50,200 Oakwood Homes Corp............... 1,116,950
--------------
NATURAL GAS - DIVERSIFIED - 1.03%
40,000 PanEnergy Corp................... 1,750,000
--------------
OIL - INTEGRATED DOMESTIC - 1.71%
35,000 Occidental Petroleum Corp........ 835,625
35,000 * Oryx Energy Co................... 717,500
15,000 Phillips Petroleum Co............ 671,250
30,000 USX-Marathon Group............... 690,000
--------------
2,914,375
--------------
OIL - INTEGRATED
INTERNATIONAL - 0.90%
11,090 British Petroleum Co. plc - ADR.. 1,527,648
--------------
OIL - SERVICES - 5.15%
43,000 Baker Hughes Inc................. 1,580,250
40,000 * BJ Services Co................... 1,910,000
50,000 * Rowan Companies, Inc............. 1,175,000
OIL - SERVICES - Continued
30,000 * Smith International, Inc......... $ 1,215,000
48,000 Transocean Offshore Inc.......... 2,898,000
--------------
8,778,250
--------------
OIL/GAS PRODUCERS - 3.20%
22,000 Helmerich & Payne, Inc........... 1,171,500
50,000 Louisiana Land & Exploration Co.. 2,993,750
27,285 Noble Affiliates, Inc............ 1,292,627
--------------
5,457,877
--------------
PAPER/FOREST PRODUCTS - 0.83%
20,000 Avery Dennison Corp.............. 1,417,500
--------------
POLLUTION CONTROL - 1.28%
25,000 * United Waste Systems, Inc........ 843,750
40,800 * USA Waste Services, Inc.......... 1,331,100
--------------
2,174,850
--------------
PUBLISHING - NEWS - 0.51%
12,000 Reuters Holdings Plc - ADR....... 868,500
--------------
SEMICONDUCTORS - 0.36%
20,000 * LSI Logic Corp................... 605,000
--------------
TELECOMMUNICATIONS - 5.72%
40,000 * ADC Telecommunications, Inc...... 1,485,000
35,475 * Andrew Corp...................... 2,030,944
45,000 * Cascade Communications Corp...... 3,116,250
44,000 * Tellabs, Inc..................... 1,760,000
58,000 * WorldCom, Inc.................... 1,355,750
--------------
9,747,944
--------------
TOBACCO - 0.91%
15,000 Philip Morris Cos Inc............ 1,558,125
--------------
UTILITIES - COMMUNICATION - 1.23%
19,000 Century Telephone Enterprises, Inc. 610,375
25,000 Cincinnati Bell, Inc............. 1,493,750
--------------
2,104,125
--------------
UTILITIES - ELECTRIC - 1.86%
30,000 * AES Corp......................... 1,455,000
20,000 Illinova Corp.................... 532,500
30,000 Texas Utilities Co............... 1,188,750
--------------
3,176,250
--------------
UTILITIES - GAS, PIPELINE - 0.99%
30,000 Williams Companies, Inc.......... 1,695,000
--------------
TOTAL COMMON STOCKS
(Cost $112,280,133).............. 146,576,931
--------------
</TABLE>
54
<PAGE> 57
================================================================================
GROWTH & INCOME FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE BONDS - 5.39%
AEROSPACE/DEFENSE - 0.50%
$ 500,000 Rohr Inc.,
7.75% due 5/15/04.............. $ 850,000
--------------
AIRLINES - 0.37%
500,000 Alaska Air Group Inc.,
6.50% due 6/15/05.............. 623,750
--------------
DRUGS - 0.30%
500,000 ALZA Corp.,
5.00% due 5/1/06............... 505,000
--------------
ELECTRONIC INSTRUMENTS - 0.24%
300,000 C-Cube Microsystems Inc.,
5.875% due 11/1/05............. 414,000
--------------
HEALTHCARE - 0.59%
500,000 HealthSouth Corp.,
5.00% due 4/1/01............... 1,007,500
--------------
INFORMATION PROCESSING - 1.07%
500,000 National Data Corp.,
5.00% due 11/1/03.............. 498,750
500,000 Sci Systems Inc.,
5.00% due 5/1/06............... 646,250
500,000 Storage Technology Corp.,
8.00% due 5/31/15.............. 680,000
--------------
1,825,000
--------------
INSURANCE - MULTILINE - 0.68%
1,000,000 Equitable Cos Inc.,
6.125% due 12/15/24............ 1,150,000
--------------
LODGING - 0.69%
500,000 HFS Inc.,
4.75% due 3/1/03............... 633,750
500,000 Hilton Hotels Corp.,
5.00% due 5/15/06.............. 540,000
--------------
1,173,750
--------------
MERCHANDISE - SPECIALTY - 0.29%
500,000 Home Depot Inc.,
3.25% due 10/1/01.............. 497,500
--------------
MERCHANDISING - MASS - 0.30%
500,000 Price Co.,
6.75% due 3/1/01............... 511,250
--------------
OIL - SERVICES - 0.36%
$ 500,000 Nabors Industries, Inc.,
5.00% due 5/15/06.............. $ 620,000
--------------
TOTAL CORPORATE BONDS
(Cost $9,098,670)................ 9,177,750
--------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 7.92%
FINANCE COMPANIES - 2.74%
4,676,000 Ford Motor Credit Co.,
5.38% due 12/4/96.............. 4,671,807
--------------
MERCHANDISING - MASS - 0.72%
1,224,000 Toys "R" Us Inc.,
5.23% due 12/2/96.............. 1,223,289
--------------
SECURITIES RELATED - 4.46%
7,600,000 Merrill Lynch & Co., Inc.,
5.32% due 12/3/96.............. 7,594,384
--------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $13,489,480)............... 13,489,480
--------------
TOTAL INVESTMENTS
(Cost $134,868,283) - 99.32%..... 169,244,161
Other assets and liabilities,
net - 0.68%.................... 1,165,444
--------------
NET ASSETS (equivalent
to $16.13 per share on
10,564,047 shares
outstanding) - 100%............ $ 170,409,605
--------------
* Non-income producing
- ---------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
10,564,047 shares outstanding................. $ 105,640
Additional paid in capital...................... 131,535,988
Accumulated net realized gain on securities..... 4,249,440
Undistributed net investment income............. 142,659
Unrealized appreciation of securities........... 34,375,878
--------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING .............................. $ 170,409,605
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55
<PAGE> 58
================================================================================
GROWTH & INCOME FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996
<S> <C>
INVESTMENT INCOME:
Dividends.................................................................................................... $ 502,121
Interest..................................................................................................... 531,447
--------------
Total investment income................................................................................... 1,033,568
--------------
EXPENSES:
Advisory fees................................................................................................ 511,197
Custodian and accounting fees................................................................................ 24,285
Reports to shareholders...................................................................................... 9,419
Audit fees and tax services.................................................................................. 2,994
Directors' fees and expenses................................................................................. 1,593
Miscellaneous................................................................................................ 3,270
--------------
Total expenses............................................................................................ 552,758
--------------
NET INVESTMENT INCOME........................................................................................ 480,810
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities.............................................................................. 1,127,513
Net unrealized appreciation on securities during the period.................................................. 12,952,466
--------------
Net realized and unrealized gain on securities during the period....................................... 14,079,979
--------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 14,560,789
--------------
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS For the For the fiscal
period ended year ended
November 27, 1996 May 31, 1996
-------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 480,810 $ 475,333
Net realized gain on securities............................................................. 1,127,513 4,151,221
Net unrealized appreciation of securities during the period................................. 12,952,466 17,414,828
-------------------------------
Increase in net assets resulting from operations......................................... 14,560,789 22,041,382
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (423,427) (392,678)
Net realized gain on securities............................................................. - (556,363)
-------------------------------
Decrease in net assets resulting from distributions to shareholders...................... (423,427) (949,041)
-------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 43,288,004 62,680,575
Proceeds from capital stock issued for distributions reinvested............................. 423,427 949,041
-------------------------------
43,711,431 63,629,616
Cost of capital stock repurchased........................................................... (985,467) (14,042,186)
-------------------------------
Increase in net assets resulting from capital stock transactions......................... 42,725,964 49,587,430
-------------------------------
TOTAL INCREASE IN NET ASSETS................................................................ 56,863,326 70,679,771
NET ASSETS:
Beginning of period......................................................................... 113,546,279 42,866,508
-------------------------------
End of period (including undistributed net investment income of $142,659 and $85,276) ...... $ 170,409,605 $ 113,546,279
-------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 2,914,935 4,772,881
Shares issued for distributions reinvested.................................................. 27,975 73,503
Shares of capital stock repurchased ........................................................ (63,487) (1,028,347)
-------------------------------
Increase in shares outstanding........................................................... 2,879,423 3,818,037
Shares outstanding:
Beginning of period...................................................................... 7,684,624 3,866,587
-------------------------------
End of period............................................................................ 10,564,047 7,684,624
-------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
56
<PAGE> 59
================================================================================
SCIENCE & TECHNOLOGY FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 92.78%
AEROSPACE/DEFENSE - 1.26%
225,000 OEA, Inc. ......................... $ 9,056,250
------------
DRUGS - 1.84%
250,000 * ALZA Corp. ........................ 7,062,500
100,000 * Amgen Inc. ........................ 6,112,500
------------
13,175,000
------------
ELECTRICAL EQUIPMENT - 0.16%
71,600 * Anixter International Inc. ........ 1,172,450
------------
HOSPITAL SUPPLIES - 3.92%
200,000 * Boston Scientific Corp. ........... 11,650,000
225,000 Stryker Corp. ..................... 6,553,125
250,000 United States Surgical Corp. ...... 9,937,500
------------
28,140,625
------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 24.50%
168,700 Adobe Systems Inc. ................ 6,663,650
60,000 * Baan Co ........................... 2,152,500
900,000 * BMC Software, Inc. ................ 39,375,000
200,000 * Cadence Design Systems, Inc. ...... 7,825,000
240,000 * Epic Design Technology, Inc. ...... 5,970,000
50,000 * HNC Software, Inc. ................ 1,462,500
500,000 * Informix Corp. .................... 11,625,000
175,000 Intel Corp. ....................... 22,159,375
200,000 * Medic Computer Systems, Inc. ...... 6,800,000
100,000 * Microsoft Corp .................... 15,550,000
550,000 * Oracle Corp ....................... 27,087,500
80,000 * Peoplesoft Inc. ................... 7,200,000
650,000 * PLATINUM technology, Inc. ......... 7,881,250
250,000 * Synopsys Inc. ..................... 11,140,625
65,000 * Veritas Software Corp.............. 2,990,000
------------
175,882,400
------------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 1.92%
150,000 * Adaptec, Inc. ..................... 5,606,250
200,000 * Silicon Graphics, Inc. ............ 3,900,000
75,000 * Sun Microsystems, Inc. ............ 4,303,125
------------
13,809,375
------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 16.88%
500,000 * America Online, Inc. .............. 17,437,500
43,200 * Aurum Software, Inc. .............. 1,479,600
130,000 Automatic Data Processing, Inc. ... 5,573,750
100,000 * Cambridge Technology Partners,
Inc. ......................... 3,050,000
75,000 * Ceridian Corp. .................... 3,600,000
250,000 * Checkfree Corp. ................... 4,281,250
139,800 * Cognos, Inc. ...................... 5,102,700
300,000 Electronic Data Systems Corp....... 14,325,000
349,600 First Data Corp. .................. 14,115,100
78,300 * Gartner Group, Inc. ............... 2,897,100
50,000 * Harbinger Corp. ................... 1,287,500
125,000 National Data Corp. ............... 4,937,500
100,000 * Netscape Communications Corp. ..... 5,587,500
400,000 * Premenos Technology Corp. ......... 4,150,000
40,000 * Rational Software Corp. ........... 1,355,000
30,000 * Renaissance Solutions, Inc. ....... 1,119,375
80,000 * Security Dynamics Technologies,
Inc. ......................... 3,300,000
140,000 * Sterling Commerce, Inc. ........... 4,410,000
100,000 Sterling Software, Inc. ........... 3,300,000
290,800 * SunGard Data Systems, Inc. ........ 12,431,700
150,000 * Vantive Corp. ..................... 5,193,750
50,000 * Viasoft, Inc. ..................... 2,231,250
------------
121,165,575
------------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 4.80%
60,000 * CBT Group PLC ..................... 3,480,000
207,600 * Expert Software Inc. .............. 921,225
75,000 * Inso Corp ......................... 3,032,813
350,000 * Intuit ............................ 12,687,500
250,000 * Macromedia, Inc. .................. 4,437,500
150,000 * Platinum Software Corp. ........... 1,800,000
290,000 * Pure Atria Corp. .................. 8,120,000
------------
34,479,038
------------
INFORMATION PROCESSING -
NETWORKING - 16.23%
200,000 * Ascend Communications Inc. ........ 14,475,000
75,000 * Cascade Communications Corp........ 5,193,750
330,000 * Cisco Systems, Inc. ............... 22,440,000
50,000 * Citrix Systems, Inc. .............. 2,262,500
150,000 * FORE Systems, Inc. ................ 5,906,250
300,000 * Network General Corp. ............. 7,087,500
300,000 * Newbridge Networks Corp. .......... 8,587,500
50,000 * Remedy Corp. ...................... 2,306,250
230,000 * Shiva Corp. ....................... 9,315,000
400,000 * Sync Research, Inc. ............... 7,000,000
400,000 * 3Com Corp. ........................ 30,150,000
60,000 * Verilink Corp. .................... 1,777,500
------------
116,501,250
------------
MEDICAL TECHNOLOGY - 0.19%
60,000 * Heartport, Inc. ................... 1,372,500
------------
MISCELLANEOUS - 0.99%
275,000 * CUC International Inc. ............ 7,115,625
------------
SECURITIES RELATED - 0.32%
123,200 * Investment Technology Group Inc. .. 2,310,000
------------
SEMICONDUCTORS - 11.83%
100,000 * Altera Corp. ...................... 7,500,000
600,000 * Analog Devices, Inc. .............. 18,975,000
350,000 Linear Technology Corp. ........... 16,668,750
450,000 * Maxim Integrated Products, Inc. ... 20,081,250
494,000 * Xilinx, Inc. ...................... 21,736,000
------------
84,961,000
------------
</TABLE>
57
<PAGE> 60
<TABLE>
<CAPTION>
==================================================================================
SCIENCE & TECHNOLOGY FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- ----------------------------------------------------------------------------------
(Unaudited)
NUMBER MARKET
OF SHARES VALUE
- ---------------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS-7.94%
165,300 *ADC Telcommunications, Inc. ....... $ 6,136,762
300,000 *Airtouch Communications, Inc. ..... 7,575,000
20,200 *ANADIGICS, Inc. ................... 727,200
170,600 *Centennial Cellular Corp.
Class A ........................... 1,940,575
85,000 *EchoStar Communications
Corp.............................. 2,295,000
483,400 *Glenayre Technologies, Inc. ....... 11,843,300
96,000 *Millicom International
Cellular S.A ..................... 3,720,000
180,000 *Omnipoint Corp. ................... 4,747,500
234,000 *PanAmSat Corp. .................... 6,786,000
35,100 *Summa Four, Inc. .................. 318,094
40,000 *Tellabs, Inc. ..................... 1,600,000
170,000 Vodafone Group plc-ADR ............ 7,182,500
150,000 *Western Wireless Corp. ............ 2,100,000
-------------
56,971,931
-------------
TOTAL COMMON STOCKS
(Cost $540,058,590) ............... 666,113,019
-------------
PAR
VALUE
CORPORATE SHORT TERM
COMMERCIAL PAPER - 6.39%
FINANCE COMPANIES - 3.29%
Ford Motor Credit Co.:
$9,430,000 5.38% due 12/4/96.................. 9,421,544
14,239,000 5.25% due 12/2/96.................. 14,230,694
-------------
23,652,238
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.61%
$4,346,000 Cooper Industries, Inc.,
5.40% due 12/2/96 ................ $ 4,343,393
-------------
SECURITIES RELATED - 2.49%
17,867,00 Merrill Lynch & Co., Inc.,
5.32% due 12/3/96 ................ 17,853,798
-------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $45,849,429)................. 45,849,429
-------------
TOTAL INVESTMENTS
(Cost $585,908,019) - 99.17%....... 711,962,448
Other assets and liabilities,
net - 0.83% ...................... 5,940,454
-------------
NET ASSETS (equivalent to
$21.28 per share on
33,739,714 shares
outstanding) - 100% .............. $ 717,902,902
-------------
* Non-income producing
- ---------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
33,739,714 shares outstanding................. $ 337,397
Additional paid in capital .................... 561,375,704
Undistributed net realized gain on securities . 30,656,542
Accumulated net investment loss .............. (521,170)
Unrealized appreciation of securities ......... 126,054,429
-------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING ................................ $ 717,902,902
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
58
<PAGE> 61
================================================================================
SCIENCE & TECHNOLOGY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<S> <C>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $20,679)...................................................... $ 439,901
Interest..................................................................................................... 1,925,856
-------------
Total investment income................................................................................... 2,365,757
-------------
EXPENSES:
Advisory fees................................................................................................ 2,691,919
Custodian and accounting services............................................................................ 105,960
Reports to shareholders...................................................................................... 42,316
Audit fees and tax services.................................................................................. 13,460
Directors fees and expenses.................................................................................. 7,409
Miscellaneous................................................................................................ 25,863
-------------
Total expenses............................................................................................ 2,886,927
-------------
NET INVESTMENT LOSS.......................................................................................... (521,170)
REALIZED AND UNREALIZED GAIN ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain on:
Investments............................................................................. $ 1,921,451
Foreign currency transactions........................................................... 1,633 1,923,084
-------------- -------------
Net unrealized appreciation of securities during the period.................................................. 32,451,032
-------------
Net realized and unrealized gain on securities during the period.......................................... 34,374,116
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 33,852,946
-------------
</TABLE>
<TABLE>
<CAPTION>
For the For the fiscal
period ended year ended
November 27, 1996 May 31, 1996
-----------------------------
<S> <C> <C>
STATEMENT OF CHANGES IN NET ASSETS
OPERATIONS:
Net investment loss......................................................................... $ (521,170) $ (250,091)
Net realized gain on securities............................................................. 1,923,084 59,379,986
Net unrealized appreciation of securities during the period................................. 32,451,032 79,262,122
-----------------------------
Increase in net assets resulting from operations......................................... 33,852,946 138,392,017
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... - (30,219)
Net realized gain on securities............................................................. - (39,016,725)
-----------------------------
Decrease in net assets resulting from distributions to shareholders...................... - (39,046,944)
-----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 152,086,898 310,357,765
Proceeds from capital stock issued for distributions reinvested............................. - 39,046,944
-----------------------------
152,086,898 349,404,709
Cost of capital stock repurchased........................................................... (35,223,553) (48,246,211)
-----------------------------
Increase in net assets resulting from capital stock transactions......................... 116,863,345 301,158,498
-----------------------------
TOTAL INCREASE IN NET ASSETS................................................................ 150,716,291 400,503,571
NET ASSETS:
Beginning of period......................................................................... 567,186,611 166,683,040
-----------------------------
End of period (including undistributed net investment income of ($521,170) and $0) ......... $ 717,902,902 $ 567,186,611
-----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 7,829,419 16,506,873
Shares issued for distributions reinvested.................................................. - 2,210,100
Shares of capital stock repurchased ........................................................ (1,785,578) (2,571,296)
-----------------------------
Increase in shares outstanding........................................................... 6,043,841 16,145,677
Shares outstanding:
Beginning of period...................................................................... 27,695,873 11,550,196
-----------------------------
End of period............................................................................ 33,739,714 27,695,873
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
59
<PAGE> 62
================================================================================
SOCIAL AWARENESS FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 96.51%
AIRLINES - 0.42%
3,420 *AMR Corp......................... $ 306,945
1,750 Delta Air Lines, Inc............. 130,375
-------------
437,320
-------------
APPLIANCES/FURNISHINGS - 0.18%
3,697 Whirlpool Corp................... 183,464
-------------
AUTO - CARS - 0.91%
26,805 Chrysler Corp.................... 951,577
-------------
AUTO - ORIGINAL EQUIPMENT - 0.01%
180 Arvin Industries, Inc............ 4,298
-------------
AUTO - REPLACEMENT PARTS - 0.90%
1,910 Echlin Inc....................... 64,224
8,679 Genuine Parts Co................. 394,894
9,830 Goodyear Tire & Rubber Co........ 477,984
-------------
937,102
-------------
BANKS - NEW YORK CITY - 3.30%
4,393 Bank of New York Co., Inc........ 154,304
11,246 Chase Manhattan Corp............. 1,057,124
11,453 CitiCorp......................... 1,241,219
10,520 J.P. Morgan & Co. Inc............ 991,510
-------------
3,444,157
-------------
BANKS - OTHER - 3.25%
1,131 Bank of Boston Corp.............. 78,039
10,042 BankAmerica Corp................. 1,024,284
4,426 First Chicago Corp............... 256,708
9,247 First Union Corp................. 712,019
3,856 Fleet Financial Group, Inc....... 215,454
2,936 Mellon Bank Corp................. 209,557
5,022 National City Corp............... 231,639
1,122 US Bancorp....................... 48,106
2,156 Wells Fargo & Co................. 610,148
-------------
3,385,954
-------------
BANKS - REGIONAL - 2.99%
13,281 Banc One Corp.................... 620,887
2,042 Boatmen's Bancshares, Inc........ 135,793
227 Comerica Inc..................... 13,251
925 CoreStates Financial Corp........ 49,834
2,419 First Bank System, Inc........... 175,075
5,576 KeyCorp.......................... 294,134
9,500 NationsBank Corp................. 983,250
9,782 Norwest Corp..................... 445,081
8,795 PNC Bank Corp.................... 344,105
1,034 Wachovia Corp.................... 61,135
-------------
3,122,545
-------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 1.09%
14,094 Anheuser- Busch Companies, Inc... 600,757
12,988 Seagram Co. Ltd.................. 530,884
-------------
1,131,641
-------------
BEVERAGE - SOFT DRINKS - 3.94%
56,585 Coca-Cola Co..................... $ 2,892,908
40,282 PepsiCo, Inc..................... 1,218,531
-------------
4,111,439
-------------
BROADCASTING - 0.72%
15,508 *Tele-Communications, Inc. Class A 209,358
12,118 *U S West Media Group............. 227,213
8,441 *Viacom Inc. Class B.............. 314,427
-------------
750,998
-------------
BUILDING MATERIALS - 0.13%
262 Lowe's Companies, Inc............ 10,709
3,488 Masco Corp....................... 127,748
-------------
138,457
-------------
CHEMICAL - MAJOR - 1.09%
4,181 Goodrich (B.F.) Co............... 186,577
5,103 Morton International, Inc........ 207,947
9,247 PPG Industries Inc............... 569,847
2,105 Rohm and Haas Co................. 168,137
-------------
1,132,508
-------------
CHEMICAL - MISCELLANEOUS - 0.95%
3,787 Air Products and Chemicals, Inc.. 264,616
10,026 Ethyl Corp....................... 90,234
4,625 Great Lakes Chemical Corp........ 249,172
113 Lubrizol Corp.................... 3,461
4,989 Lyondell Petrochemical Co........ 113,500
1,501 Nalco Chemical Co................ 57,038
4,097 Praxair, Inc..................... 198,704
372 Schulman A Inc................... 8,928
-------------
985,653
-------------
CONGLOMERATES - 0.11%
1,368 *ITT Corp......................... 62,586
1,041 Tyco International Ltd........... 56,735
-------------
119,321
-------------
CONSUMER FINANCE - 0.25%
2,351 Beneficial Corp.................. 145,762
2,796 MBNA Corp........................ 112,888
-------------
258,650
-------------
CONTAINERS - METAL/GLASS - 0.24%
4,700 Crown Cork & Seal Co., Inc....... 249,687
-------------
CONTAINERS - PAPER - 0.27%
993 Sonoco Products Co............... 27,183
4,694 Temple-Inland Inc................ 251,716
-------------
278,899
-------------
COSMETICS/TOILETRIES - 1.29%
3,144 Avon Products, Inc............... 174,885
13,117 Gillette Co...................... 970,658
4,488 International Flavors &
Fragrances, Inc................ 201,960
-------------
1,347,503
-------------
</TABLE>
60
<PAGE> 63
================================================================================
SOCIAL AWARENESS FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
DRUGS - 7.24%
19,673 American Home Products Corp...... $ 1,259,072
4,022 *Amgen Inc........................ 245,845
13,259 Bristol Myers Squibb Co.......... 1,516,498
552 CVS Corp......................... 22,770
26,979 Merck & Co., Inc................. 2,259,491
13,663 Pfizer Inc....................... 1,214,299
7,241 Schering-Plough Corp............. 518,637
7,232 Warner-Lambert Co................ 517,088
-------------
7,553,700
-------------
ELECTRICAL EQUIPMENT - 1.66%
16,555 AMP Inc.......................... 633,229
200 *Cabletron Systems, Inc........... 8,150
10,265 Emerson Electric Co.............. 1,007,253
926 National Service Industries, Inc. 32,410
456 Raychem Corp..................... 38,760
302 *Seagate Technology............... 11,891
-------------
1,731,693
-------------
ELECTRONIC INSTRUMENTS - 0.18%
712 Perkin Elmer Corp................ 43,788
3,871 Thermo Electron Corp............. 139,840
-------------
183,628
-------------
ENTERTAINMENT - 1.86%
578 Hasbro, Inc...................... 23,626
3,801 Mattel, Inc...................... 118,306
14,624 Time Warner Inc.................. 594,100
16,270 Walt Disney Co................... 1,203,980
-------------
1,940,012
-------------
FINANCE COMPANIES - 0.22%
2,365 Household International, Inc..... 224,675
-------------
FOODS - 2.44%
8,174 Archer Daniels Midland Co........ 179,828
5,361 Campbell Soup Co................. 444,293
4,690 ConAgra, Inc..................... 250,915
3,869 CPC International Inc............ 323,061
4,664 General Mills, Inc............... 297,330
12,080 H J Heinz Co..................... 456,020
1,223 Hershey Foods Corp............... 61,150
6,245 Kellogg Co....................... 423,099
878 Ralston Purina Co................ 67,277
648 Wm. Wrigley Jr. Co............... 37,746
-------------
2,540,719
-------------
FOOTWEAR - 0.45%
8,475 NIKE Inc. Class B................ 472,481
-------------
FREIGHT - 0.23%
5,462 *Federal Express Corp............. 238,962
-------------
GOLD MINING - 0.37%
10,346 Barrick Gold Corp................ 305,207
3,133 Placer Dome Inc.................. 76,367
-------------
381,574
-------------
GOVERNMENT SPONSORED - 1.53%
3,638 Federal Home Loan
Mortgage Corp.................. $ 414,732
28,680 Federal National Mortgage
Association.................... 1,175,880
-------------
1,590,612
-------------
HARDWARE & TOOLS - 0.14%
3,260 Black & Decker Corp.............. 123,880
705 Stanley Works.................... 20,886
-------------
144,766
-------------
HEALTHCARE - 0.10%
2,533 United HealthCare Corp........... 108,919
-------------
HEAVY DUTY TRUCKS/PARTS - 0.25%
8,281 Dana Corp........................ 258,781
-------------
HOSPITAL MANAGEMENT - 0.58%
14,108 Columbia/HCA Healthcare Corp..... 571,374
1,456 *Tenet Healthcare Corp............ 32,578
-------------
603,952
-------------
HOSPITAL SUPPLIES - 3.81%
20,271 Abbott Laboratories.............. 1,130,108
1,446 Bausch & Lomb Inc................ 52,418
13,275 Baxter International Inc......... 562,528
982 Becton, Dickinson and Co......... 41,244
37,051 Johnson & Johnson................ 1,982,229
3,137 Medtronic, Inc................... 208,218
-------------
3,976,745
-------------
HOUSEHOLD PRODUCTS - 2.10%
5,285 Colgate-Palmolive Co............. 490,844
4,687 Newell Co........................ 146,469
2,586 Rubbermaid, Inc.................. 63,034
8,645 Unilever N V- ADR................ 1,492,343
-------------
2,192,690
-------------
INFORMATION PROCESSING - 11.84%
5,705 Automatic Data Processing, Inc... 244,602
2,557 *Bay Networks, Inc................ 68,080
14,004 *Cisco Systems, Inc............... 952,272
4,787 *Compaq Computer Corp............. 374,583
7,079 Computer Associates
International, Inc............. 461,020
987 *Dell Computer Corp............... 98,700
4,580 *Digital Equipment Corp........... 166,025
6,914 First Data Corp.................. 279,153
1,501 H&R Block Inc.................... 44,092
25,890 Hewlett-Packard Co............... 1,398,060
16,513 Intel Corp....................... 2,090,959
13,275 International Business
Machines Corp.................. 2,099,109
11,809 *Microsoft Corp................... 1,836,299
1,239 *Novell, Inc...................... 13,629
11,593 *Oracle Corp...................... 570,955
5,277 Pitney Bowes Inc................. 312,662
3,462 *Silicon Graphics, Inc............ 67,509
</TABLE>
61
<PAGE> 64
================================================================================
SOCIAL AWARENESS FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
INFORMATION PROCESSING - Continued
3,391 *Sun Microsystems, Inc............ $ 194,559
1,707 *3Com Corp........................ 128,665
324 *U. S. Robotics Corp.............. 23,814
19,033 Xerox Corp....................... 930,238
-------------
12,354,985
-------------
INSURANCE - CASUALTY - 0.20%
3,504 Chubb Corp....................... 188,340
318 St Paul Cos Inc.................. 18,881
-------------
207,221
-------------
INSURANCE - LIFE - 0.64%
5,484 Aetna Inc........................ 396,904
2,172 Lincoln National Corp............ 116,202
1,909 Transamerica Corp................ 151,050
-------------
664,156
-------------
INSURANCE - MISCELLANEOUS - 0.23%
1,445 General Reinsurance Corp......... 244,386
-------------
INSURANCE - MULTILINE - 2.78%
6,654 Allstate Corp.................... 400,072
13,225 American International Group, Inc. 1,520,875
1,784 CIGNA Corp....................... 250,206
1,330 ITT Hartford Group, Inc.......... 89,941
14,147 Travelers Group, Inc............. 638,368
-------------
2,899,462
-------------
LEISURE TIME - 0.03%
1,388 Brunswick Corp................... 35,221
-------------
LODGING - 0.03%
500 *HFS Inc.......................... 32,000
-------------
MACHINERY - AGRICULTURE - 0.52%
813 Case Corp........................ 42,987
11,079 Deere & Co....................... 498,555
-------------
541,542
-------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.77%
8,562 Caterpillar Inc.................. 681,749
3,438 Foster Wheeler Corp.............. 125,917
-------------
807,666
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.61%
9,144 Cooper Industries, Inc........... 381,762
2,783 Dover Corp....................... 149,238
4,457 Illinois Tool Works Inc.......... 375,502
8,823 Ingersoll-Rand Co................ 411,373
3,507 Johnson Controls, Inc............ 268,724
3,022 Pall Corp........................ 80,083
184 Tecumseh Products Co. Class A.... 10,764
-------------
1,677,446
-------------
MERCHANDISE - SPECIALTY - 0.65%
2,452 Gap, Inc......................... $ 78,770
11,350 Home Depot, Inc.................. 585,944
163 TJX Companies, Inc............... 7,315
307 *Toys "R" Us, Inc................. 10,707
-------------
682,736
-------------
MERCHANDISING - DEPARTMENT - 0.37%
1,664 Dayton Hudson Corp............... 64,272
6,732 May Department Stores Co......... 323,977
-------------
388,249
-------------
MERCHANDISING - FOOD - 0.47%
9,965 Albertsons, Inc.................. 347,530
2,786 American Stores Co............... 111,788
914 Winn-Dixie Stores, Inc........... 31,190
-------------
490,508
-------------
MERCHANDISING - MASS - 2.44%
8,722 J.C. Penney Co., Inc............. 463,356
8,273 *KMart Corp....................... 89,969
12,988 Sears Roebuck and Co............. 636,412
53,393 Wal-Mart Stores, Inc............. 1,354,848
-------------
2,544,585
-------------
METALS - ALUMINUM - 0.98%
12,014 Alcan Aluminium Ltd.............. 423,494
9,473 Aluminum Co. of America.......... 600,351
-------------
1,023,845
-------------
METALS - MISCELLANEOUS - 0.57%
1,218 Cyprus Amax Minerals Co.......... 30,602
5,527 Engelhard Corp................... 107,086
11,952 Freeport-McMoRan Copper &
Gold Inc. Class B.............. 382,464
2,244 Inco Limited..................... 78,259
-------------
598,411
-------------
METALS - STEEL - 0.12%
1,184 Nucor Corp....................... 64,084
2,013 USX-US Steel Group, Inc.......... 61,396
-------------
125,480
-------------
MISCELLANEOUS - 0.34%
6,656 Corning Inc...................... 269,568
2,797 Service Corp. International...... 84,260
-------------
353,828
-------------
NATURAL GAS - DIVERSIFIED - 0.24%
3,186 PanEnergy Corp................... 139,387
2,144 Sonat Inc........................ 112,292
-------------
251,679
-------------
OIL - INTEGRATED DOMESTIC - 2.16%
4,896 Amerada Hess Corp................ 287,640
3,370 Ashland Oil, Inc................. 158,390
2,981 Burlington Resources Inc......... 158,366
1,247 MAPCO Inc. (Rights).............. 42,398
</TABLE>
62
<PAGE> 65
================================================================================
SOCIAL AWARENESS FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
OIL - INTEGRATED DOMESTIC - Continued
1,302 *Oryx Energy Co................... $ 26,691
3,438 Pennzoil Co...................... 193,817
18,269 Phillips Petroleum Co............ 817,538
6,261 Sun Co., Inc..................... 155,742
18,073 USX-Marathon Group............... 415,679
-------------
2,256,261
-------------
OIL - INTEGRATED
INTERNATIONAL - 2.24%
2,425 Murphy Oil Corp.................. 124,281
22,342 Texaco Inc....................... 2,209,065
-------------
2,333,346
-------------
OIL - SERVICES - 1.47%
3,581 Baker Hughes Inc................. 131,602
7,432 Dresser Industries, Inc.......... 246,185
2,887 Halliburton Co................... 173,581
4,635 McDermott International, Inc..... 82,271
8,595 Schlumberger Ltd................. 896,029
-------------
1,529,668
-------------
PAPER/FOREST PRODUCTS - 1.34%
4,551 Alco Standard Corp............... 233,239
1,530 James River Corp. of Virginia.... 49,725
8,718 Kimberly-Clark Corp.............. 850,005
2,075 Mead Corp........................ 122,944
2,034 Willamette Industries, Inc....... 137,803
-------------
1,393,716
-------------
PHOTOGRAPHY - 0.05%
1,240 Polaroid Corp.................... 52,545
-------------
POLLUTION CONTROL - 0.91%
7,427 Browning-Ferris Industries, Inc.. 199,601
20,807 WMX Technologies, Inc............ 749,052
-------------
948,653
-------------
PUBLISHING - NEWS - 0.45%
7,004 Dow Jones & Co., Inc............. 242,513
2,803 Gannett Co., Inc................. 213,729
159 Times Mirror Co.................. 8,328
-------------
464,570
-------------
PUBLISHING/PRINTING - 0.40%
2,902 Deluxe Corp...................... 89,599
10,349 Dun & Bradstreet Corp............ 234,146
1,555 Harcourt General, Inc............ 85,331
218 McGraw-Hill, Inc................. 9,919
-------------
418,995
-------------
RAILROAD - 1.85%
2,898 Burlington Northern Inc.......... 256,111
10,195 CSX Corp......................... 475,342
4,441 Norfolk Southern Corp............ 396,914
9,164 Union Pacific Corp............... 531,512
8,827 Union Pacific Resources Group Inc. 267,017
-------------
1,926,896
-------------
RESTAURANTS - 0.85%
19,113 McDonald's Corp.................. $ 881,587
-------------
SAVINGS & LOAN - 0.16%
5,516 Great Western Financial Corp..... 170,306
-------------
SECURITIES RELATED - 2.25%
17,203 American Express Co.............. 903,158
3,588 Bear Stearns Co. Inc............. 98,670
2,694 Dean Witter, Discover & Co....... 182,855
5,865 Merrill Lynch & Co., Inc......... 469,933
5,792 Morgan Stanley Group Inc......... 348,968
7,510 Salomon Inc...................... 344,521
-------------
2,348,105
-------------
SEMICONDUCTORS - 0.22%
2,584 *Applied Materials, Inc........... 96,900
3,526 Micron Technology, Inc........... 117,239
757 *National Semiconductor Corp...... 18,547
-------------
232,686
-------------
TELECOMMUNICATIONS - 1.08%
2,716 *DSC Communications Corp.......... 47,870
11,042 Lucent Technologies, Inc......... 565,902
7,074 Northern Telecommunications Corp. 462,463
1,306 Tellabs, Inc..................... 52,240
-------------
1,128,475
-------------
TRUCKERS - 0.01%
772 Caliber System, Inc.............. 14,958
-------------
UTILITIES - COMMUNICATION - 7.78%
17,919 Ameritech Corp................... 1,052,741
39,853 AT & T Corp...................... 1,559,249
15,944 Bell Atlantic Corp............... 994,507
25,487 BellSouth Corp................... 1,025,852
5,877 MCI Communications Corp.......... 177,779
16,310 NYNEX Corp....................... 758,415
11,144 Pacific Telesis Group............ 412,328
19,988 SBC Communications, Inc.......... 1,049,370
8,963 Sprint Corp...................... 373,085
22,942 US West Communications Group..... 711,202
-------------
8,114,528
-------------
UTILITIES - ELECTRIC - 1.90%
10,057 Allegheny Power System, Inc...... 305,481
11,012 Cinergy Corp..................... 370,278
4,630 Montana Power Co................. 99,545
2,902 Oklahoma Gas and Electric Co..... 119,708
23,922 PacifiCorp....................... 502,362
9,726 Potomac Electric Power Co........ 251,660
2,392 Public Service Co. of Colorado... 93,587
5,387 Puget Sound Power & Light Co..... 123,228
326 TECO Energy, Inc................. 7,987
3,894 Utilicorp United Inc............. 105,138
-------------
1,978,974
-------------
</TABLE>
63
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SOCIAL AWARENESS FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C> <C>
UTILITIES - GAS, DISTRIBUTION - 0.17%
1,027 MCN Corp......................... $ 30,040
2,149 National Fuel Gas Co............. 91,870
709 Tosco Corp....................... 54,238
-------------
176,148
-------------
UTILITIES - GAS, PIPELINE - 1.19%
6,249 Consolidated Natural Gas Co...... 359,318
7,711 Enron Corp....................... 351,814
5,255 Pacific Enterprises.............. 158,307
6,570 Williams Companies, Inc.......... 371,205
-------------
1,240,644
-------------
TOTAL COMMON STOCKS
(Cost $81,309,043)............... 100,649,549
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- -------------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 3.13%
SECURITIES RELATED - 3.13%
Merrill Lynch & Co Inc:
$ 1,676,000 5.38% due 12/3/96.............. 1,674,748
1,594,000 5.32% due 12/2/96.............. 1,593,058
-------------
3,267,806
-------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $3,267,806)................ 3,267,806
-------------
TOTAL INVESTMENTS
(Cost $84,576,849) - 99.64%...... $ 103,917,355
Other assets and liabilities,
net - 0.36%.................... 378,277
-------------
NET ASSETS (equivalent
to $17.72 per share on
5,885,762 shares
outstanding) - 100%............ $ 104,295,632
-------------
</TABLE>
*Non-income producing
NET ASSETS REPRESENTED BY:
<TABLE>
<S> <C>
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
5,885,762 shares outstanding.................. $ 58,858
Additional paid in capital...................... 73,329,533
Undistributed net realized gain on securities... 11,478,274
Undistributed net investment income............. 88,461
Unrealized appreciation of investments.......... 19,340,506
-------------
NET ASSETS APPLICABLETOSHARES
OUTSTANDING .............................. $ 104,295,632
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
64
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SOCIAL AWARENESS FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<S> <C>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996 INVESTMENT INCOME:
Dividends.................................................................................................... $ 912,144
Interest..................................................................................................... 28,056
-------------
Total investment income................................................................................... 940,200
-------------
EXPENSES:
Advisory fees................................................................................................ 213,521
Custodian and accounting services............................................................................ 14,961
Reports to shareholders...................................................................................... 5,459
Audit fees and tax services.................................................................................. 1,503
Directors' fees and expenses................................................................................. 1,080
Miscellaneous................................................................................................ 3,516
-------------
Total expenses............................................................................................ 240,040
-------------
NET INVESTMENT INCOME........................................................................................ 700,160
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities.............................................................................. 5,345,535
Net unrealized appreciation of securities during the period.................................................. 7,210,583
-------------
Net realized and unrealized gain on securities during the period.......................................... 12,556,118
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 13,256,278
-------------
</TABLE>
<TABLE>
<CAPTION>
For the For the fiscal
period ended year ended
STATEMENT OF CHANGES IN NET ASSETS November 27, 1996 May 31, 1996
---------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 700,160 $ 1,207,110
Net realized gain on securities............................................................. 5,345,535 9,289,840
Net unrealized appreciation of securities during the period................................. 7,210,583 6,259,077
-----------------------------
Increase in net assets resulting from operations......................................... 13,256,278 16,756,027
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (662,371) (1,156,438)
Net realized gain on securities............................................................. - (4,173,232)
-----------------------------
Decrease in net assets resulting from distributions to shareholders...................... (662,371) (5,329,670)
-----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 16,881,625 17,740,343
Proceeds from capital stock issued for distributions reinvested............................. 662,371 5,329,670
-----------------------------
17,543,996 23,070,013
Cost of capital stock repurchased........................................................... (6,729,711) (7,536,021)
-----------------------------
Increase in net assets resulting from capital stock transactions......................... 10,814,285 15,533,992
-----------------------------
TOTAL INCREASE IN NET ASSETS................................................................ 23,408,192 26,960,349
NET ASSETS:
Beginning of period......................................................................... 80,887,440 53,927,091
-----------------------------
End of period (including undistributed net investment income of $88,461 and $50,672) ....... $ 104,295,632 $ 80,887,440
-----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 1,055,882 1,209,065
Shares issued for distributions reinvested.................................................. 41,606 376,165
Shares of capital stock repurchased ........................................................ (432,171) (507,806)
-----------------------------
Increase in shares outstanding........................................................... 665,317 1,077,424
Shares outstanding:
Beginning of period...................................................................... 5,220,445 4,143,021
-----------------------------
End of period............................................................................ 5,885,762 5,220,445
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
65
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TIMED OPPORTUNITY FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
COMMON STOCKS - 61.78%
AEROSPACE/DEFENSE - 1.32%
6,808 Boeing Co........................ $ 677,396
1,888 General Dynamics Corp............ 139,948
4,188 Lockheed Martin Corp............. 378,491
4,446 McDonnell Douglas Corp........... 233,415
1,424 Northrop Grumman Corp............ 117,658
4,819 Raytheon Co...................... 249,383
3,317 Rockwell International Corp...... 213,117
1,139 TRW Inc.......................... 110,625
2,452 United Technologies Corp......... 342,667
-------------
2,462,700
-------------
AIRLINES - 0.18%
2,177 * AMR Corp......................... 195,386
1,981 Delta Air Lines, Inc............. 147,584
-------------
342,970
-------------
APPAREL & PRODUCTS - 0.06%
1,366 * Fruit of the Loom, Inc. Class A.. 48,664
1,310 Liz Claiborne, Inc............... 55,511
-------------
104,175
-------------
AUTO - CARS - 1.15%
17,829 Chrysler Corp.................... 632,929
18,256 Ford Motor Co.................... 593,320
16,239 General Motors Corp.............. 927,653
-------------
2,153,902
-------------
AUTO - REPLACEMENT PARTS - 0.47%
6,943 Cooper Tire & Rubber Co.......... 143,200
5,746 Echlin Inc....................... 193,209
6,266 Genuine Parts Co................. 285,103
4,890 Goodyear Tire & Rubber Co........ 237,776
618 Pep Boys-Manny, Moe & Jack....... 22,480
-------------
881,768
-------------
BANKS - NEW YORK CITY - 1.48%
9,638 Bank of New York Co., Inc........ 338,535
9,330 Chase Manhattan Corp............. 877,020
10,040 CitiCorp......................... 1,088,085
4,961 J.P. Morgan & Co. Inc............ 467,574
-------------
2,771,214
-------------
BANKS - OTHER - 1.58%
3,093 Bank of Boston Corp.............. 213,417
7,381 BankAmerica Corp................. 752,862
4,254 First Chicago Corp............... 246,732
4,931 First Union Corp................. 379,687
8,287 Fleet Financial Group, Inc....... 463,036
1,645 Mellon Bank Corp................. 117,412
2,160 National City Corp............... 99,630
342 Republic of New York Corp........ 30,096
851 US Bancorp....................... 36,487
2,172 Wells Fargo & Co................. 614,676
-------------
2,954,035
-------------
BANKS - REGIONAL - 1.92%
6,237 Banc One Corp.................... $ 291,580
11,380 Barnett Banks, Inc............... 496,452
2,776 Boatmen's Bancshares, Inc........ 184,604
1,475 Comerica Inc..................... 86,103
1,959 CoreStates Financial Corp........ 105,541
2,039 Fifth Third Bancorp.............. 145,789
3,305 First Bank System, Inc........... 239,199
2,338 KeyCorp.......................... 123,330
6,023 NationsBank Corp................. 623,380
13,713 Norwest Corp..................... 623,941
1,669 PNC Bank Corp.................... 65,300
7,174 SunTrust Banks, Inc.............. 362,287
3,943 Wachovia Corp.................... 233,130
-------------
3,580,636
-------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.53%
15,660 Anheuser- Busch
Companies, Inc................. 667,507
7,704 Seagram Co. Ltd.................. 314,901
-------------
982,408
-------------
BEVERAGE - SOFT DRINKS - 1.90%
46,280 Coca-Cola Co..................... 2,366,065
39,351 PepsiCo, Inc..................... 1,190,368
-------------
3,556,433
-------------
BROADCASTING - 0.39%
639 * General Instrument Corp.......... 13,898
20,280 * Tele-Communications, Inc.
Class A........................ 273,780
6,602 * U S West Media Group............. 123,788
8,560 * Viacom Inc. Class B.............. 318,860
-------------
730,326
-------------
BUILDING MATERIALS - 0.24%
805 Armstrong World
Industries, Inc................ 59,771
3,210 Lowe's Companies, Inc............ 131,209
4,048 Masco Corp....................... 148,258
1,866 Sherwin-Williams Co.............. 106,829
-------------
446,067
-------------
CHEMICAL - MAJOR - 1.51%
4,419 Dow Chemical Co.................. 371,196
12,858 E.I. du Pont de Nemours and Co... 1,205,437
174 Goodrich (B.F.) Co............... 7,765
1,753 Hercules Inc..................... 84,801
11,162 Monsanto Co...................... 446,480
1,810 Morton International, Inc........ 73,758
3,335 PPG Industries Inc............... 205,519
2,772 Rohm and Haas Co................. 221,414
2,020 Union Carbide Corp............... 92,415
1,929 W.R. Grace & Co.................. 102,237
-------------
2,811,022
-------------
</TABLE>
66
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- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
CHEMICAL - MISCELLANEOUS - 0.47%
2,061 Air Products and Chemicals, Inc.. $ 144,012
437 Eastman Chemical Co.............. 25,182
3,316 Ecolab Inc....................... 128,495
811 * FMC Corp......................... 62,650
3,351 Great Lakes Chemical Corp........ 180,535
4,130 Millipore Corp................... 168,298
2,685 Praxair, Inc..................... 130,223
655 Sigma Aldrich Corp............... 41,183
-------------
880,578
-------------
CONGLOMERATES - 0.79%
5,662 AlliedSignal Inc................. 409,787
4,320 * ITT Corp......................... 197,640
1,893 Loews Corp....................... 175,576
2,144 Tenneco Inc...................... 109,880
1,769 Textron Inc...................... 170,266
2,409 Tyco International Ltd........... 131,291
11,995 Whitman Corp..................... 275,885
-------------
1,470,325
-------------
CONSUMER FINANCE - 0.09%
4,041 MBNA Corp........................ 163,155
-------------
CONTAINERS - METAL/GLASS - 0.05%
1,929 Crown Cork & Seal Co., Inc....... 102,478
-------------
CONTAINERS - PAPER - 0.03%
1,111 Temple-Inland Inc................ 59,577
-------------
COSMETICS/TOILETRIES - 0.45%
1,037 Avon Products, Inc............... 57,683
8,063 Gillette Co...................... 596,662
4,300 International Flavors &
Fragrances, Inc................ 193,500
-------------
847,845
-------------
DRUGS - 4.29%
5,462 Allergan, Inc.................... 173,419
15,844 American Home Products Corp...... 1,014,016
5,149 * Amgen Inc........................ 314,733
11,340 Bristol Myers Squibb Co.......... 1,297,012
2,194 CVS Corp......................... 90,503
10,546 Eli Lilly and Co................. 801,496
23,951 Merck & Co., Inc................. 2,005,896
12,548 Pfizer Inc....................... 1,115,203
6,527 Schering-Plough Corp............. 467,496
11,095 Upjohn Co........................ 425,771
4,368 Warner-Lambert Co................ 312,312
-------------
8,017,857
-------------
ELECTRICAL EQUIPMENT - 2.53%
485 AMP Inc.......................... 18,551
3,318 * Cabletron Systems, Inc........... 135,209
4,753 Emerson Electric Co.............. 466,388
34,437 General Electric Co.............. 3,529,793
1,392 Raychem Corp..................... 118,320
ELECTRICAL EQUIPMENT - Continued
4,750 * Seagate Technology............... $ 187,031
2,965 W. W. Grainger Inc............... 235,347
1,268 Westinghouse Electric Corp....... 23,458
-------------
4,714,097
-------------
ELECTRONIC INSTRUMENTS - 0.12%
705 General Signal Corp.............. 30,227
17,748 * Intergraph Corp.................. 159,732
573 Perkin-Elmer Corp................ 35,239
-------------
225,198
-------------
ENTERTAINMENT - 0.97%
9,159 * Harrah's Entertainment, Inc...... 161,427
6,685 Mattel, Inc...................... 208,071
10,063 Time Warner Inc.................. 408,809
13,934 Walt Disney Co................... 1,031,116
-------------
1,809,423
-------------
FINANCE COMPANIES - 0.17%
2,969 Green Tree Financial Corp........ 124,327
2,041 Household International, Inc..... 193,895
-------------
318,222
-------------
FOODS - 1.66%
3,213 Archer Daniels Midland Co........ 70,686
4,680 Campbell Soup Co................. 387,855
4,426 ConAgra, Inc..................... 236,791
4,253 CPC International Inc............ 355,126
3,371 General Mills, Inc............... 214,901
2,604 H J Heinz Co..................... 98,301
2,906 Hershey Foods Corp............... 145,300
6,103 Kellogg Co....................... 413,478
1,262 Pioneer Hi-Bred International, Inc. 88,025
6,665 Quaker Oats Co................... 248,271
2,549 Ralston Purina Co................ 195,317
14,194 Sara Lee Corp.................... 557,114
1,590 Wm. Wrigley Jr. Co............... 92,618
-------------
3,103,783
-------------
FOOTWEAR - 0.18%
5,905 NIKE Inc. Class B................ 329,204
-------------
FREIGHT - 0.04%
1,774 * Federal Express Corp............. 77,613
-------------
GOLD MINING - 0.23%
9,191 Barrick Gold Corp................ 271,134
6,786 Placer Dome Inc.................. 165,409
-------------
436,543
-------------
GOVERNMENT SPONSORED - 0.70%
4,211 Federal Home Loan Mortgage Corp.. 480,054
20,269 Federal National Mortgage
Association.................... 831,029
-------------
1,311,083
-------------
</TABLE>
67
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TIMED OPPORTUNITY FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
HARDWARE & TOOLS - 0.14%
689 Black & Decker Corp.............. $ 26,182
7,759 Stanley Works.................... 229,860
-------------
256,042
-------------
HEALTHCARE - 0.07%
3,205 United HealthCare Corp........... 137,815
-------------
HEAVY DUTY TRUCKS/PARTS - 0.04%
550 Eaton Corp....................... 38,156
489 PACCAR Inc....................... 33,313
-------------
71,469
-------------
HOME BUILDERS - 0.03%
1,683 Pulte Corp....................... 51,752
-------------
HOSPITAL MANAGEMENT - 0.37%
12,036 Columbia/HCA Healthcare Corp..... 487,458
3,354 Manor Care, Inc.................. 85,527
2,538 Shared Medical Systems Corp...... 126,266
-------------
699,251
-------------
HOSPITAL SUPPLIES - 1.81%
13,529 Abbott Laboratories.............. 754,242
716 Bard (C. R.), Inc................ 19,959
4,282 Bausch & Lomb Inc................ 155,222
2,709 Baxter International Inc......... 114,794
6,217 Becton, Dickinson and Co......... 261,114
5,144 * Boston Scientific Corp........... 299,638
27,036 Johnson & Johnson................ 1,446,426
4,316 Medtronic, Inc................... 286,474
200 * St. Jude Medical, Inc............ 8,250
885 United States Surgical Corp...... 35,179
-------------
3,381,298
-------------
HOUSEHOLD PRODUCTS - 1.79%
1,266 Clorox Co........................ 133,563
2,142 Colgate-Palmolive Co............. 198,938
7,725 Minnesota Mining &
Manufacturing Co............... 646,003
14,540 Procter & Gamble Co.............. 1,584,860
11,091 Rubbermaid, Inc.................. 270,343
1,951 * Tupperware Corp.................. 103,891
2,317 Unilever N V- ADR................ 399,972
-------------
3,337,570
-------------
INFORMATION PROCESSING - 6.65%
1,144 * Apple Computer, Inc.............. 28,028
4,829 Automatic Data Processing, Inc... 207,043
1,482 * Bay Networks, Inc................ 39,458
482 * Ceridian Corp.................... 23,136
13,374 * Cisco Systems, Inc............... 909,432
395 Cognizant Corp................... 13,874
5,526 * Compaq Computer Corp............. 432,409
7,490 Computer Associates
International, Inc............. 487,786
1,335 * Computer Sciences Corp........... 105,465
INFORMATION PROCESSING - Continued
5,705 * Data General Corp................ $ 82,723
2,067 * Dell Computer Corp............... 206,700
4,742 * Digital Equipment Corp........... 171,898
3,432 * EMC Corp......................... 102,960
9,788 First Data Corp.................. 395,191
6,834 H&R Block Inc.................... 200,749
19,831 Hewlett-Packard Co............... 1,070,874
2,552 Honeywell Inc.................... 175,450
16,846 Intel Corp....................... 2,133,125
10,699 International Business
Machines Corp.................. 1,691,779
12,882 * Microsoft Corp................... 2,003,151
30,458 Novell, Inc...................... 335,038
12,244 * Oracle Corp...................... 603,017
2,815 Pitney Bowes Inc................. 166,789
5,061 * Sun Microsystems, Inc............ 290,375
3,581 * 3Com Corp........................ 269,918
5,383 Xerox Corp....................... 263,094
-------------
12,409,462
-------------
INSURANCE - CASUALTY - 0.18%
1,910 Chubb Corp....................... 102,663
2,678 SAFECO Corp...................... 109,128
6,510 USF & G Corp..................... 129,386
-------------
341,177
-------------
INSURANCE - LIFE - 0.45%
3,383 Aetna Inc........................ 244,845
422 Jefferson-Pilot Corp............. 24,370
2,860 Lincoln National Corp............ 153,010
2,993 Transamerica Corp................ 236,821
5,703 USLIFE Corp...................... 173,229
-------------
832,275
-------------
INSURANCE - MISCELLANEOUS - 0.38%
14,708 Alexander & Alexander
Services Inc................... 211,427
1,621 General Reinsurance Corp......... 274,152
1,539 MGIC Investment Corp............. 115,233
1,525 UNUM Corp........................ 108,084
-------------
708,896
-------------
INSURANCE - MULTILINE - 1.51%
8,671 Allstate Corp.................... 521,344
9,165 American International Group, Inc. 1,053,975
1,701 Aon Corp......................... 103,761
1,611 Cigna Corp....................... 225,943
4,268 ITT Hartford Group, Inc.......... 288,623
596 Marsh & McLennan
Companies, Inc................. 67,721
12,369 Travelers Group, Inc............. 558,166
-------------
2,819,533
-------------
LEISURE TIME - 0.02%
1,131 Bally Entertainment Corp......... 32,375
-------------
</TABLE>
68
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================================================================================
TIMED OPPORTUNITY FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
LODGING - 0.24%
3,354 * Choice Hotels Holdings Inc....... $ 50,729
2,702 * HFS Inc.......................... 172,928
3,210 Hilton Hotels Corp............... 93,090
2,426 Marriot International, Inc....... 133,734
-------------
450,481
-------------
MACHINERY - AGRICULTURE - 0.13%
777 Case Corp........................ 41,084
4,670 Deere & Co....................... 210,150
-------------
251,234
-------------
MACHINERY -
CONSTRUCTION & CONTRACTS - 0.23%
3,520 Caterpillar Inc.................. 280,280
1,327 Fluor Corp....................... 91,065
1,123 Foster Wheeler Corp.............. 41,130
177 Harnischfeger Industries, Inc.... 7,877
-------------
420,352
-------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.28%
2,143 Dover Corp....................... 114,918
2,280 Illinois Tool Works Inc.......... 192,090
708 Ingersoll-Rand Co................ 33,011
521 Johnson Controls, Inc............ 39,922
138 Parker Hannifin Corp............. 5,675
2,838 Timken Co........................ 129,838
-------------
515,454
-------------
MERCHANDISE - DRUG - 0.07%
3,313 Walgreen Co...................... 138,318
-------------
MERCHANDISE - SPECIALTY - 0.86%
5,934 Circuit City Stores, Inc......... 195,822
4,765 Gap, Inc......................... 153,076
9,718 Home Depot, Inc.................. 501,692
15,536 Limited, Inc..................... 281,590
361 Nordstrom, Inc................... 15,794
3,660 Tandy Corp....................... 153,720
4,284 TJX Companies, Inc............... 192,244
3,433 * Toys "R" Us, Inc................. 119,726
-------------
1,613,664
-------------
MERCHANDISING - DEPARTMENT - 0.44%
4,082 Dayton Hudson Corp............... 157,667
6,779 Dillard Department Stores, Inc.
Class A........................ 205,912
2,955 * Federated Department Stores, Inc. 100,101
4,257 May Department Stores Co......... 204,868
3,173 Mercantile Stores Co., Inc....... 160,237
-------------
828,785
-------------
MERCHANDISING - FOOD - 0.56%
10,467 Albertsons, Inc.................. 365,036
1,014 American Stores Co............... 40,687
MERCHANDISING - FOOD - Continued
2,121 * Kroger Co........................ $ 95,445
7,157 Supervalu Inc.................... 212,026
9,117 SYSCO Corp....................... 313,397
616 Winn-Dixie Stores, Inc........... 21,021
-------------
1,047,612
-------------
MERCHANDISING - MASS - 0.86%
3,348 J.C. Penney Co., Inc............. 177,863
7,373 Sears Roebuck and Co............. 361,277
41,987 Wal-Mart Stores, Inc............. 1,065,420
-------------
1,604,560
-------------
METALS - ALUMINUM - 0.27%
10,949 Alcan Aluminium Ltd.............. 385,953
1,878 Aluminum Co. of America.......... 119,018
-------------
504,971
-------------
METALS - COPPER - 0.20%
4,205 Newmont Mining Corp.............. 201,315
2,430 Phelps Dodge Corp................ 178,301
-------------
379,616
-------------
METALS - MISCELLANEOUS - 0.13%
718 Freeport-McMoRan
Copper & Gold Inc. Class B..... 22,976
6,385 Inco Limited..................... 222,677
-------------
245,653
-------------
METALS - STEEL - 0.07%
2,294 Nucor Corp....................... 124,163
-------------
MISCELLANEOUS - 0.17%
131 * ACNielson Corp................... 2,325
3,892 Corning Inc...................... 157,626
3,900 * CUC International Inc............ 100,912
707 Owens Corning.................... 29,871
1,126 Service Corp. International...... 33,921
-------------
324,655
-------------
NATURAL GAS - DIVERSIFIED - 0.17%
1,150 Coastal Corp..................... 55,631
4,153 PanEnergy Corp................... 181,694
1,350 Sonat Inc........................ 70,706
-------------
308,031
-------------
OIL - INTEGRATED DOMESTIC - 1.39%
830 Amerada Hess Corp................ 48,762
12,153 Amoco Corp....................... 943,377
3,206 Atlantic Richfield Co............ 444,432
2,835 Burlington Resources Inc......... 150,609
3,739 Kerr-McGee Corp.................. 260,795
561 Occidental Petroleum Corp........ 13,394
2,152 Pennzoil Co...................... 121,319
3,584 Phillips Petroleum Co............ 160,384
7,257 Sun Co., Inc..................... 180,518
</TABLE>
69
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TIMED OPPORTUNITY FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
OIL - INTEGRATED DOMESTIC - Continued
3,760 Unocal Corp...................... $ 150,870
5,111 USX-Marathon Group............... 117,553
-------------
2,592,013
-------------
OIL - INTEGRATED
INTERNATIONAL - 3.48%
12,813 Chevron Corp..................... 853,666
23,500 Exxon Corp....................... 2,206,062
8,787 Mobil Corp....................... 1,059,932
10,975 Royal Dutch Petroleum Co. - ADR.. 1,838,313
5,367 Texaco Inc....................... 530,662
-------------
6,488,635
-------------
OIL - SERVICES - 0.48%
1,586 Baker Hughes Inc................. 58,286
227 Dresser Industries, Inc.......... 7,519
1,907 Halliburton Co................... 114,658
800 * Rowan Companies, Inc............. 18,800
6,316 Schlumberger Ltd................. 658,443
432 * Western Atlas Inc................ 30,564
-------------
888,270
-------------
OIL/GAS PRODUCERS - 0.04%
1,161 Louisiana Land & Exploration Co.. 69,515
-------------
PAPER/FOREST PRODUCTS - 0.97%
6,189 Alco Standard Corp............... 317,186
1,110 Avery Dennison Corp.............. 78,671
1,423 Champion International Corp...... 60,656
2,499 Georgia-Pacific Corp............. 181,802
4,627 International Paper Co........... 193,177
944 James River Corp. of Virginia.... 30,680
6,403 Kimberly-Clark Corp.............. 624,293
1,225 Mead Corp........................ 72,581
365 Union Camp Corp.................. 17,794
2,786 Weyerhaeuser Co.................. 128,156
1,591 Willamette Industries, Inc....... 107,790
-------------
1,812,786
-------------
PHOTOGRAPHY - 0.30%
6,565 Eastman Kodak Co................. 529,303
546 Polaroid Corp.................... 23,137
-------------
552,440
-------------
POLLUTION CONTROL - 0.49%
24,994 Laidlaw Inc Class B.............. 303,052
12,945 Safety-Kleen Corp................ 203,884
11,355 WMX Technologies, Inc............ 408,780
-------------
915,716
-------------
PUBLISHING - NEWS - 0.40%
4,260 Dow Jones & Co., Inc............. 147,502
3,642 Gannett Co., Inc................. 277,702
388 New York Times Co. Class A....... 14,502
2,799 Times Mirror Co.................. 146,598
PUBLISHING - NEWS - Continued
1,759 Tribune Co....................... $ 151,494
-------------
737,798
-------------
PUBLISHING/PRINTING - 0.18%
395 Dun & Bradstreet Corp............ 8,937
1,087 Harcourt General, Inc............ 59,649
2,360 McGraw-Hill, Inc................. 107,380
401 Meredith Corp.................... 20,601
4,080 R. R. Donnelley & Sons Co........ 135,660
-------------
332,227
-------------
RAILROAD - 0.66%
3,651 Burlington Northern Inc.......... 322,657
1,821 Conrail Inc...................... 175,726
2,753 CSX Corp......................... 128,359
2,797 Norfolk Southern Corp............ 249,982
4,570 Union Pacific Corp............... 265,060
3,111 Union Pacific Resources
Group Inc...................... 94,108
-------------
1,235,892
-------------
RESTAURANTS - 0.31%
4,937 Darden Restaurants, Inc.......... 43,816
11,661 McDonald's Corp.................. 537,864
-------------
581,680
-------------
SAVINGS & LOAN - 0.13%
174 Golden West Financial Corp....... 11,680
3,500 Great Western Financial Corp..... 108,062
3,904 H.F. Ahmanson & Co............... 128,344
-------------
248,086
-------------
SECURITIES RELATED - 0.67%
10,578 American Express Co.............. 555,345
2,859 Dean Witter, Discover & Co....... 194,055
3,012 Merrill Lynch & Co., Inc......... 241,336
3,908 Morgan Stanley Group Inc......... 235,457
623 Salomon Inc...................... 28,580
-------------
1,254,773
-------------
SEMICONDUCTORS - 0.89%
806 * Advanced Micro Devices, Inc...... 19,646
6,177 * Applied Materials, Inc........... 231,637
4,787 * LSI Logic Corp................... 144,807
3,956 Micron Technology, Inc........... 131,537
14,292 Motorola, Inc.................... 796,779
285 * National Semiconductor Corp...... 6,983
5,314 Texas Instruments Inc............ 338,767
-------------
1,670,156
-------------
TELECOMMUNICATIONS - 0.97%
4,005 * Airtouch Communications, Inc..... 101,126
1,282 * Andrew Corp...................... 73,394
586 Harris Corp...................... 40,361
13,227 Lucent Technologies, Inc......... 677,884
</TABLE>
70
<PAGE> 73
================================================================================
TIMED OPPORTUNITY FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------------
<S> <C>
TELECOMMUNICATIONS - Continued
5,222 Northern
Telecommunications Corp........ $ 341,388
6,494 Scientific-Atlanta, Inc.......... 99,845
4,216 * Tellabs, Inc..................... 168,640
13,050 * WorldCom, Inc.................... 305,044
-------------
1,807,682
-------------
TEXTILE - PRODUCTS - 0.02%
520 VF Corp.......................... 34,840
-------------
TOBACCO - 1.06%
16,814 Philip Morris Cos Inc............ 1,746,554
6,822 UST Corp......................... 223,421
-------------
1,969,975
-------------
UTILITIES - COMMUNICATION - 3.57%
13,648 Ameritech Corp................... 801,820
32,469 AT & T Corp...................... 1,270,350
8,979 Bell Atlantic Corp............... 560,065
16,627 BellSouth Corp................... 669,237
26,291 GTE Corp......................... 1,176,522
7,900 MCI Communications Corp.......... 238,975
9,025 NYNEX Corp....................... 419,662
4,652 Pacific Telesis Group............ 172,124
9,655 SBC Communications, Inc.......... 506,887
7,220 Sprint Corp...................... 300,533
17,773 US West Communications Group..... 550,963
-------------
6,667,138
-------------
UTILITIES - ELECTRIC - 1.77%
134 American Electric Power, Inc..... 5,544
2,698 Baltimore Gas and Electric Co.... 75,207
3,046 Central & South West Corp........ 81,100
4,373 Cinergy Corp..................... 147,042
10,006 Consolidated Edison
Co. of New York, Inc........... 291,425
8,484 Dominion Resources, Inc.......... 324,513
7,258 Duke Power Co.................... 334,775
8,674 Entergy Corp..................... 237,451
1,629 FPL Group, Inc................... 75,137
3,022 Houston Industries, Inc.......... 66,862
4,945 PacifiCorp....................... 103,845
11,817 Public Service Enterprise
Group, Inc..................... 336,784
24,239 Southern Co...................... 539,318
15,642 Unicom Corp...................... 416,468
6,649 Union Electric Co................ 265,129
-------------
3,300,600
-------------
UTILITIES - GAS, PIPELINE - 0.38%
1,555 Columbia Gas System Inc.......... 100,103
1,175 Consolidated Natural Gas Co...... 67,563
8,881 Enron Corp....................... 405,196
1,400 Pacific Enterprises.............. 42,175
1,599 Williams Companies, Inc.......... 90,343
-------------
705,380
-------------
TOTAL COMMON STOCKS
(Cost $94,146,366)............... $ 115,346,703
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- -------------
<S> <C> <C>
CORPORATE BONDS - 20.74%
AEROSPACE/DEFENSE - 0.93%
$ 1,750,000 Raytheon Co.,
6.50% due 7/15/05.............. 1,732,430
-------------
BANKS - OTHER - 2.22%
1,700,000 ABN Amro Bank N V,
7.00% due 4/1/08............... 1,724,514
1,000,000 BankAmerica Corp.,
6.625% due 5/30/01............. 1,013,010
1,500,000 Santander Finance Issuances,
6.375% due 2/15/11............. 1,405,590
-------------
4,143,114
-------------
BANKS - REGIONAL - 1.13%
2,000,000 NationsBank Corp.,
7.75% due 8/15/15.............. 2,101,800
-------------
CONSUMER FINANCE - 0.90%
1,700,000 Associates Corp.
of North America,
6.00% due 6/15/00.............. 1,686,383
-------------
ENTERTAINMENT - 2.27%
3,000,000 News America Holdings Inc.,
9.125% due 10/15/99............ 3,225,330
1,000,000 Walt Disney Co.,
6.375% due 3/30/01............. 1,006,000
-------------
4,231,330
-------------
FINANCE COMPANIES - 4.34%
2,000,000 CIT Group Holdings, Inc.,
6.625% due 6/28/99............. 2,021,220
2,000,000 Ford Motor Co.,
7.25% due 10/1/08.............. 2,060,020
1,000,000 Ford Motor Credit Co.,
6.25% due 11/8/00.............. 998,640
3,000,000 International Lease Finance Corp.,
6.45% due 9/11/00.............. 3,014,970
-------------
8,094,850
-------------
HOSPITAL MANAGEMENT - 0.89%
1,650,000 Columbia/HCA Healthcare Corp.,
7.19% due 11/15/15............. 1,657,194
-------------
MERCHANDISING - MASS - 0.55%
1,000,000 Sears Roebuck and Co.,
7.35% due 3/23/00.............. 1,033,760
-------------
OIL - INTEGRATED DOMESTIC - 1.10%
2,000,000 Union Oil Co. California,
7.20% due 5/15/05.............. 2,057,980
-------------
</TABLE>
71
<PAGE> 74
================================================================================
TIMED OPPORTUNITY FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<S> <C>
SECURITIES RELATED - 2.55%
$ 2,000,000 Bear Stearns Co. Inc.,
6.75% due 5/1/01............... $ 2,025,480
2,500,000 Lehman Brothers Holdings Inc.,
8.50% due 5/1/07............... 2,740,050
-------------
4,765,530
-------------
UTILITIES - COMMUNICATION - 2.18%
2,000,000 Bellsouth Telecommunications,
7.00% due 10/1/25.............. 2,007,860
2,000,000 GTE California Inc.,
7.00% due 5/1/08............... 2,065,720
-------------
4,073,580
-------------
UTILITIES - ELECTRIC - 1.07%
2,000,000 Texas Utilities Electric Co.,
6.75% due 7/1/05............... 1,992,980
-------------
UTILITIES - GAS, PIPELINE - 0.61%
1,000,000 Williams Cos Inc.,
8.875% due 9/15/12............. 1,143,830
-------------
TOTAL CORPORATE BONDS
(Cost $38,219,718)............... 38,714,761
-------------
UNITED STATES GOVERNMENT -
LONG TERM - 14.44%
GOVERNMENT SPONSORED - 1.94%
Federal Home Loan Mortgage
Corp. (Pools/REMICS):
192,762 7.50% due 9/1/25............... 195,050
492,825 7.50% due 9/1/25............... 498,674
377,037 7.50% due 9/1/25............... 381,513
502,605 7.50% due 9/1/25............... 509,199
2,000,000 Federal National Mortgage
Association,
7.00% due 5/10/01.............. 2,037,180
-------------
3,621,616
-------------
UNITED STATES TREASURY NOTES - 12.50%
United States Treasury Notes:
1,000,000 8.00% due 8/15/99.............. 1,055,620
2,000,000 7.00% due 7/15/06.............. 2,120,000
1,000,000 6.75% due 5/31/99.............. 1,023,590
4,000,000 6.50% due 8/15/05.............. 4,100,000
2,000,000 6.375% due 3/31/01............. 2,037,180
2,000,000 6.25% due 2/15/03.............. 2,027,180
4,000,000 6.125% due 5/15/98............. 4,030,640
3,000,000 5.875% due 11/15/99............ 3,008,910
3,000,000 5.75% due 8/15/03.............. 2,955,000
1,000,000 5.50% due 4/15/00.............. 990,470
-------------
23,348,590
-------------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $26,344,217)............... 26,970,206
-------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 2.42%
BEVERAGE - SOFT DRINKS - 0.87%
$ 1,637,000 Coca-Cola Co.,
5.34% due 1/27/97.............. $ 1,622,431
-------------
FINANCE COMPANIES - 0.54%
1,000,000 International Lease Finance Corp.,
6.47% due 1/20/97.............. 1,001,213
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.60%
1,120,000 Cooper Industries, Inc.,
5.40% due 12/2/96.............. 1,119,328
-------------
SECURITIES RELATED - 0.41%
776,000 Merrill Lynch & Co., Inc.,
5.32% due 12/2/96.............. 775,541
-------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $4,518,513)................ 4,518,513
-------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.16%
U.S. TREASURY BILLS - 0.16%
300,000 United States Treasury Bills,
5.14% due 12/19/96
(Cost $299,100)................ 299,100
-------------
TOTAL INVESTMENTS
(Cost $163,527,914) - 99.54%..... 185,849,283
Other assets and liabilities,
net - 0.46%.................... 854,880
-------------
NET ASSETS (equivalent
to $13.23 per share on
14,107,185 shares
outstanding) - 100%............ $ 186,704,163
-------------
</TABLE>
* Non-income producing
72
<PAGE> 75
================================================================================
TIMED OPPORTUNITY FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
CONTRACTS (DEPRECIATION)
- --------------------------------------------------------------
<S> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/27/96)
1 (2) S&P 500 Index Futures
(December/$755.95)............. $ 29,225
16 (3) U.S. Treasury 2 Year Notes
(March/$103.83)................ (500 )
-------------
$ 28,725
-------------
</TABLE>
(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
(3) Per 2,000
NET ASSETS REPRESENTED BY:
<TABLE>
<S> <C>
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
14,107,185 shares outstanding................. $ 141,072
Additional paid in capital...................... 141,703,944
Undistributed net realized gain on securities... 22,438,084
Undistributed net investment income............. 70,969
Unrealized appreciation of:
Investments................. $ 22,321,369
Futures .................... 28,725 22,350,094
------------- -------------
NET ASSETS APPLICABLETOSHARES
OUTSTANDING................................... $ 186,704,163
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
73
<PAGE> 76
================================================================================
TIMED OPPORTUNITY FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<S> <C> <C>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996
INVESTMENT INCOME:
Dividends.................................................................................................... $ 1,171,680
Interest..................................................................................................... 2,367,827
-------------
Total investment income................................................................................... 3,539,507
-------------
EXPENSES:
Advisory fees................................................................................................ 454,828
Custodian and accounting services............................................................................ 33,972
Reports to shareholders...................................................................................... 10,780
Audit fees and tax services.................................................................................. 2,652
Directors' fees and expenses................................................................................. 2,431
Miscellaneous................................................................................................ 7,970
-------------
Total expenses............................................................................................ 512,633
-------------
NET INVESTMENT INCOME........................................................................................ 3,026,874
-------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments.............................................................................. $ 3,205,882
Futures contracts........................................................................ 116,978 3,322,860
-------------
Net unrealized appreciation during the period:
Investments.............................................................................. 6,339,968
Futures contracts........................................................................ 27,225 6,367,193
------------- -------------
Net realized and unrealized gain during the period..................................................... 9,690,053
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 12,716,927
-------------
</TABLE>
<TABLE>
<CAPTION>
For the For the fiscal
period ended year ended
STATEMENT OF CHANGES IN NET ASSETS November 27, 1996 May 31, 1996
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 3,026,874 $ 6,782,286
Net realized gain on securities............................................................. 3,322,860 20,179,137
Net unrealized appreciation of securities during the period................................. 6,367,193 3,925,617
-----------------------------
Increase in net assets resulting from operations......................................... 12,716,927 30,887,040
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (3,011,140) (6,883,971)
Net realized gain on securities............................................................. - (3,314,027)
-----------------------------
Decrease in net assets resulting from distributions to shareholders...................... (3,011,140) (10,197,998)
-----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 1,861,609 4,919,015
Proceeds from capital stock issued for distributions reinvested............................. 3,011,140 10,197,998
-----------------------------
4,872,749 15,117,013
Cost of capital stock repurchased........................................................... (17,898,244) (29,175,524)
-----------------------------
Decrease in net assets resulting from capital stock transactions......................... (13,025,495) (14,058,511)
-----------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..................................................... (3,319,708) 6,630,531
NET ASSETS:
Beginning of period......................................................................... 190,023,871 183,393,340
-----------------------------
End of period (including undistributed net investment income of $70,969 and $55,235) ....... $ 186,704,163 $ 190,023,871
-----------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 148,663 406,767
Shares issued for distributions reinvested.................................................. 240,616 849,188
Shares of capital stock repurchased ........................................................ (1,424,359) (2,433,033)
-----------------------------
Decrease in shares outstanding........................................................... (1,035,080) (1,177,078)
Shares outstanding:
Beginning of period...................................................................... 15,142,265 16,319,343
-----------------------------
End of period............................................................................ 14,107,185 15,142,265
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
74
<PAGE> 77
================================================================================
CAPITAL CONSERVATION FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS - 78.71%
AEROSPACE/DEFENSE - 0.78%
$ 500,000 Boeing Co.,
8.10% due 11/15/06............. $ 556,070
--------------
AIRLINES - 3.12%
2,000,000 Southwest Airlines Co.,
8.75% due 10/15/03............. 2,223,920
--------------
BANKS - OTHER - 4.84%
1,000,000 BankAmerica Corp.,
7.20% due 4/15/06.............. 1,030,500
1,500,000 Santander Finance Issuances,
7.25% due 11/1/15.............. 1,473,090
1,000,000 Toronto Dominion Bank Ont,
6.125% due 11/1/08............. 943,590
--------------
3,447,180
--------------
BANKS - REGIONAL - 6.46%
1,000,000 Barnett Banks Inc.,
6.90% due 9/1/05............... 1,006,130
NationsBank Corp.:
1,500,000 7.75% due 8/15/15.............. 1,576,350
1,000,000 6.50% due 3/15/06.............. 980,570
1,000,000 SouthTrust Corp.,
7.625% due 5/1/04.............. 1,044,740
--------------
4,607,790
--------------
BUILDING MATERIALS - 2.82%
2,000,000 CSR America Inc.,
6.875% due 7/21/05............. 2,012,880
--------------
ENTERTAINMENT - 5.66%
2,000,000 News America Holdings Inc.,
8.25% due 8/10/18.............. 2,057,580
2,000,000 Viacom Inc,
7.75% due 6/1/05............... 1,978,820
--------------
4,036,400
--------------
FINANCE COMPANIES - 9.43%
2,000,000 Capital One Bank,
8.125% due 3/1/00.............. 2,096,280
1,000,000 CIT Group Holdings, Inc.,
8.375% due 11/1/01............. 1,085,980
2,000,000 Finova Capital Corp.,
9.125% due 2/27/02............. 2,225,100
500,000 Ford Motor Credit Co.,
6.375% due 11/5/08............. 480,295
750,000 General Electric Capital Corp.,
8.125% due 5/15/12............. 834,652
--------------
6,722,307
--------------
LODGING - 2.06%
1,500,000 ITT Corp.,
7.375% due 11/15/15............ 1,466,730
--------------
MERCHANDISE - DRUG - 0.68%
$ 500,000 IMCERA Group Inc.,
6.00% due 10/15/03............. $ 486,355
--------------
MERCHANDISING - DEPARTMENT - 3.23%
2,000,000 Associated Dry Goods Corp.,
8.85% due 3/1/06............... 2,298,740
--------------
MERCHANDISING - MASS - 4.45%
1,000,000 Sears Roebuck and Co.,
6.25% due 1/15/04.............. 981,900
2,000,000 Wal-Mart Stores, Inc.,
9.10% due 7/15/00.............. 2,191,220
--------------
3,173,120
--------------
METALS - STEEL - 2.93%
2,000,000 Pohang Iron & Steel Limited,
7.50% due 8/1/02............... 2,085,980
--------------
MISCELLANEOUS - 2.05%
1,500,000 Hertz Corp.,
6.00% due 1/15/03.............. 1,461,360
--------------
OIL - INTEGRATED DOMESTIC - 0.72%
500,000 Texaco Inc.,
9.00% due 11/15/97............. 514,635
--------------
OIL/GAS PRODUCERS - 2.98%
2,000,000 Enron Corp.,
7.625% due 9/10/04............. 2,125,940
--------------
PAPER/FOREST PRODUCTS - 3.34%
2,000,000 Georgia-Pacific Corp.,
9.50% due 12/1/11.............. 2,378,000
--------------
SECURITIES RELATED - 4.90%
Lehman Brothers Holdings Inc.:
1,500,000 7.125% due 9/15/03............. 1,523,700
2,000,000 6.125% due 2/1/01.............. 1,971,080
--------------
3,494,780
--------------
UTILITIES - COMMUNICATION - 11.28%
2,000,000 Airtouch Communications, Inc.,
7.50% due 7/15/06.............. 2,101,240
2,500,000 Century Telephone Enterprises, Inc.,
7.20% due 12/1/25.............. 2,448,950
1,500,000 GTE South, Inc.,
6.00% due 2/15/08.............. 1,415,370
2,000,000 Southern Bell Telephone &
Telegraph Co.,
7.625% due 3/15/13............. 2,072,520
--------------
8,038,080
--------------
</TABLE>
75
<PAGE> 78
================================================================================
CAPITAL CONSERVATION FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------------
<S> <C> <C>
UTILITIES - ELECTRIC - 4.19%
$ 1,000,000 Georgia Power Co.,
6.125% due 9/1/99.............. $ 1,000,580
1,000,000 PSI Energy Inc.,
5.35% due 9/23/98.............. 987,330
1,000,000 West Penn Power Co.,
5.50% due 6/1/98............... 995,990
--------------
2,983,900
--------------
UTILITIES - GAS, DISTRIBUTION - 2.79%
2,000,000 Columbia Gas System, Inc.,
7.62% due 11/28/25............. 1,989,060
--------------
TOTAL CORPORATE BONDS
(Cost $55,684,355)............... 56,103,227
--------------
UNITED STATES GOVERNMENT -
LONG TERM - 17.31%
FEDERAL AGENCIES - 2.44%
Government National Mortgage
Association:
123,627 Pool #233862,
9.50% due 5/15/18.............. 134,559
7,427 Pool #248341,
9.50% due 6/15/18.............. 8,086
3,767 Pool #252064,
9.50% due 6/15/18.............. 4,101
185,596 Pool #247397,
9.50% due 7/15/18.............. 202,008
43,160 Pool #256190,
9.50% due 8/15/18.............. 46,977
14,320 Pool #253172,
9.50% due 10/15/18............. 15,587
297,466 Pool #185210,
8.00% due 1/15/22.............. 308,154
988,574 Pool #421496,
8.00% due 9/15/26.............. 1,016,679
--------------
1,736,151
--------------
GOVERNMENT SPONSORED - 9.78%
1,000,000 Federal Home Loan Mortgage,
5.75% due 12/15/16............. 987,500
Federal National Mortgage
Association:
1,000,855 7.50% due 7/1/26............... 1,009,923
2,000,000 7.23% due 3/30/06.............. 2,012,500
1,960,705 7.00% due 5/1/11............... 1,972,331
980,318 7.00% due 6/1/11............... 986,132
--------------
6,968,386
--------------
UNITED STATES NOTES - 5.09%
United States Treasury Notes:
1,000,000 6.875% due 2/28/97............. 1,003,910
2,500,000 6.875% due 5/15/06............. 2,628,125
--------------
3,632,035
--------------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $12,058,095)............... $ 12,336,572
--------------
FOREIGN GOVERNMENT BOND - 0.73%
CANADA - 0.73%
$ 500,000 New Brunswick Province,
7.125% due 10/1/02
(Cost $498,944)................ 517,210
--------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.59%
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.59%
1,154,000 Cooper Industries, Inc.,
5.40% due 12/2/96
(Cost $1,136,707).............. 1,136,707
--------------
TOTAL INVESTMENTS
(Cost $69,378,101) - 98.34%...... 70,093,716
Other assets and liabilities,
net - 1.66%.................... 1,181,686
--------------
NET ASSETS (equivalent
to $9.59 per share on
7,432,909 shares
outstanding) - 100%............ $ 71,275,402
--------------
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- ---------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/27/96)
8 (2) U.S. Treasury 30 Year Notes
(March/$114.97)................ $ (2,000)
--------------
(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
- ---------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
7,432,909 shares outstanding.................. $ 74,329
Additional paid in capital...................... 71,012,712
Accumulated net realized loss on securities..... (550,487)
Undistributed net investment income............. 25,233
Unrealized appreciation (depreciation) of:
Investments.................$ 715,615
--------------
Futures .................... (2,000) 713,615
--------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING .............................. $ 71,275,402
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
76
<PAGE> 79
================================================================================
CAPITAL CONSERVATION FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996
<S> <C> <C>
INVESTMENT INCOME:
Interest..................................................................................................... $ 2,476,851
--------------
EXPENSES:
Advisory fees................................................................................................ 173,634
Custodian and accounting services............................................................................ 12,918
Reports to shareholders...................................................................................... 3,630
Audit fees and tax services.................................................................................. 905
Directors' fees and expenses................................................................................. 969
Miscellaneous................................................................................................ 3,460
--------------
Total expenses............................................................................................ 195,516
NET INVESTMENT INCOME........................................................................................ 2,281,335
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments.............................................................................. $ 100,663
Futures contracts........................................................................ (2,462) 98,201
--------------
Net unrealized appreciation during the period:
Investments.............................................................................. 2,542,572
--------------
Futures contracts........................................................................ 34,094 2,576,666
-------------- --------------
Net realized and unrealized gain on securities during the period....................................... 2,674,867
--------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 4,956,202
--------------
STATEMENT OF CHANGES IN NET ASSETS
For the For the Fiscal
Period Ended Year Ended
November 27, May 31,
1996 1996
------------- -------------
OPERATIONS:
Net investment income....................................................................... $ 2,281,335 $ 4,543,523
Net realized gain on securities............................................................. 98,201 2,248,102
Net unrealized appreciation (depreciation) of securities during the period.................. 2,576,666 (4,541,924)
-------------- --------------
Increase in net assets resulting from operations......................................... 4,956,202 2,249,701
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (2,269,908) (4,530,909)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 3,344,356 14,391,888
Proceeds from capital stock issued for distributions reinvested............................. 2,269,908 4,530,909
-------------- --------------
5,614,264 18,922,797
Cost of capital stock repurchased........................................................... (7,236,996) (12,460,655)
-------------- --------------
Increase (decrease) in net assets resulting from capital stock transactions.............. (1,622,732) 6,462,142
TOTAL INCREASE IN NET ASSETS................................................................ 1,063,562 4,180,934
NET ASSETS:
Beginning of period......................................................................... 70,211,840 66,030,906
-------------- --------------
End of period (including undistributed net investment income of $25,233 and $13,806) ....... $ 71,275,402 $ 70,211,840
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 358,687 1,491,047
Shares issued for distributions reinvested.................................................. 243,452 474,239
Shares of capital stock repurchased ........................................................ (773,719) (1,296,137)
-------------- --------------
Increase (decrease) in shares outstanding................................................ (171,580) 669,149
Shares outstanding:
Beginning of period...................................................................... 7,604,489 6,935,340
-------------- --------------
End of period............................................................................ 7,432,909 7,604,489
-------------- --------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
77
<PAGE> 80
================================================================================
GOVERNMENT SECURITIES FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------
<S> <C> <C>
UNITED STATES GOVERNMENT -
LONG TERM - 90.94%
FEDERAL AGENCIES - 5.02%
$ 297,466 Government National Mortgage
Association Pool #185210,
8.00% due 1/15/22.............. $ 308,154
4,000,000 Tennessee Valley Authority,
6.375% due 6/15/05............. 4,008,120
---------------
4,316,274
---------------
GOVERNMENT SPONSORED - 54.58%
Federal Farm Credit Banks:
1,150,000 7.10% due 11/2/02.............. 1,204,981
1,500,000 6.92% due 5/13/02.............. 1,554,840
Federal Home Loan Banks:
3,700,000 7.93% due 1/20/98.............. 3,792,500
1,155,000 7.26% due 9/6/01............... 1,210,579
3,000,000 5.695% due 12/19/00............ 2,967,660
Federal Home Loan Mortgage Corp.:
1,500,000 7.09% due 6/1/05............... 1,514,295
1,500,000 6.90% due 3/26/03.............. 1,513,125
3,500,000 6.705% due 11/9/05............. 3,487,960
1,500,000 6.37% due 1/23/06.............. 1,468,125
Federal Home Loan Mortgage
Corp. (Pools/REMICS):
1,414,147 8.50% due 3/1/25............... 1,473,810
1,023,265 8.00% due 2/1/25............... 1,053,318
124,946 7.50% due 9/1/25............... 126,429
454,673 7.50% due 9/1/25............... 460,070
204,911 7.50% due 9/1/25............... 207,600
2,000,000 7.00% due 9/15/23.............. 2,035,620
175,000 5.50% due 2/25/19.............. 169,475
Federal National Mortgage
Association:
1,000,000 9.05% due 4/10/00.............. 1,093,280
2,000,000 7.27% due 8/24/05.............. 2,050,620
3,500,000 7.17% due 6/12/01.............. 3,556,315
2,000,000 6.85% due 9/12/05.............. 2,003,120
1,000,000 6.78% due 7/28/00.............. 1,004,060
2,000,000 6.70% due 11/10/05............. 1,980,320
3,000,000 6.45% due 6/10/03.............. 2,956,410
2,000,000 6.41% due 3/8/06............... 2,002,500
Student Loan Marketing
Association:
1,000,000 7.50% due 3/8/00............... 1,045,620
3,000,000 7.00% due 3/3/98............... 3,048,270
2,000,000 5.88% due 2/6/01............... 1,968,740
---------------
46,949,642
---------------
UNITED STATES BONDS,
NOTES & STRIPS - 31.34%
United States Treasury Bonds:
$ 1,800,000 9.00% due 11/15/18............. $ 2,311,308
4,000,000 8.75% due 8/15/20.............. 5,045,000
3,500,000 8.50% due 2/15/20.............. 4,302,795
United States Treasury Notes:
1,000,000 8.25% due 7/15/98.............. 1,040,780
2,000,000 8.125% due 2/15/98............. 2,059,380
2,500,000 6.75% due 4/30/00.............. 2,570,300
1,000,000 6.50% due 5/15/97.............. 1,005,310
1,000,000 6.375% due 1/15/00............. 1,016,560
3,000,000 5.875% due 11/15/99............ 3,008,910
3,000,000 5.75% due 8/15/03.............. 2,955,000
1,000,000 5.25% due 12/31/97............. 997,500
1,500,000 United States Treasury Strips,
0.00% due 11/15/09............. 647,325
---------------
26,960,168
---------------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $76,507,605)............... 78,226,084
---------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 7.49%
CONSUMER FINANCE - 0.66%
566,000 Sears Roebuck Acceptance Corp.,
5.30% due 12/3/96.............. 565,583
---------------
FINANCE COMPANIES - 4.47%
3,851,000 Ford Motor Credit Co.,
5.38% due 12/4/96.............. 3,847,547
---------------
MERCHANDISING - MASS - 2.36%
2,026,000 Toys "R" Us Inc.,
5.23% due 12/2/96.............. 2,024,823
---------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $6,437,953)................ 6,437,953
---------------
TOTAL INVESTMENTS
(Cost $82,945,558) - 98.43%...... 84,664,037
Other assets and liabilities,
net - 1.57%.................... 1,353,365
---------------
NET ASSETS (equivalent
to $9.91 per share on
8,676,963 shares
outstanding) - 100%............ $ 86,017,402
---------------
</TABLE>
78
<PAGE> 81
================================================================================
GOVERNMENT SECURITIES FUND-CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- ----------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
<S> <C> <C>
(Delivery month/Value at 11/27/96)
7 (2) U.S. Treasury 2 Year Notes
(March/$103.83)................ $ (219)
7 (3) U.S. Treasury 5 Year Notes
(March/$107.88)................ (437)
15 (3) U.S. Treasury 10 Year Notes
(March/$110.94)................ (2,812)
23 (3) U.S. Treasury 30 Year Notes
(March/$114.97)................ (3,938)
---------------
$ (7,406)
---------------
(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 2,000
(3)Per 1,000
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
8,676,963 shares outstanding.................. $ 86,770
Additional paid in capital...................... 86,108,691
Accumulated net realized loss on securities .... (1,917,218)
Undistributed net investment income............. 28,086
Unrealized appreciation (depreciation) of:
Investments.................$ 1,718,479
-------------- --------------
Futures .................... (7,406) 1,711,073
-------------- --------------
NET ASSETS APPLICABLE TO
SHARES OUTSTANDING............................ $ 86,017,402
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
79
<PAGE> 82
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GOVERNMENT SECURITIES FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996
<S> <C>
INVESTMENT INCOME:
Interest..................................................................................................... $ 2,681,078
--------------
EXPENSES:
Advisory fees................................................................................................ 202,839
Custodian and accounting services............................................................................ 14,708
Reports to shareholders...................................................................................... 4,925
Audit fees and tax services.................................................................................. 1,423
Directors' fees and expenses................................................................................. 1,069
Miscellaneous................................................................................................ 3,593
--------------
Total expenses............................................................................................ 228,557
--------------
NET INVESTMENT INCOME........................................................................................ 2,452,521
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments.............................................................................. $ 116,032
Futures contracts........................................................................ 63,490 179,522
------------- ---------------
Net unrealized appreciation during the period:
Investments.............................................................................. 2,434,840
------------- ---------------
Futures contracts........................................................................ 10,812 2,445,652
Net realized and unrealized gain on securities during the period.......................................... 2,625,174
---------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 5,077,695
---------------
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
For the For the fiscal
period ended year ended
November 27, 1996 May 31, 1996
--------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 2,452,521 $ 4,226,813
Net realized gain on securities............................................................. 179,522 788,071
Net unrealized appreciation (depreciation) of securities during the period.................. 2,445,652 (3,244,466)
--------------------------------
Increase in net assets resulting from operations......................................... 5,077,695 1,770,418
--------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (2,440,676) (4,221,098)
--------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 7,814,431 29,935,878
Proceeds from capital stock issued for distributions reinvested............................. 2,440,676 4,221,098
--------------------------------
10,255,107 34,156,976
Cost of capital stock repurchased........................................................... (5,297,773) (7,457,426)
--------------------------------
Increase in net assets resulting from capital stock transactions......................... 4,957,334 26,699,550
--------------------------------
TOTAL INCREASE IN NET ASSETS................................................................ 7,594,353 24,248,870
NET ASSETS:
Beginning of period......................................................................... 78,423,049 54,174,179
--------------------------------
End of period (including undistributed net investment income of $28,086 and $16,241) ....... $ 86,017,402 $ 78,423,049
--------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 808,012 3,005,467
Shares issued for distributions reinvested.................................................. 251,536 426,047
Shares of capital stock repurchased ........................................................ (546,259) (745,798)
--------------------------------
Increase in shares outstanding........................................................... 513,289 2,685,716
Shares outstanding:
Beginning of period...................................................................... 8,163,674 5,477,958
--------------------------------
End of period............................................................................ 8,676,963 8,163,674
--------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
80
<PAGE> 83
================================================================================
INTERNATIONAL GOVERNMENT BOND FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------
GOVERNMENT BONDS - 85.33%
AUSTRALIA - 2.64%
Commonwealth:
<S> <C> <C> <C>
A$ 1,000,000 12.00% due 7/15/99............. $ 917,060
A$ 400,000 10.00% due 10/15/07............ 394,549
A$ 500,000 9.75% due 3/15/02.............. 457,471
A$ 500,000 9.00% due 9/15/04.............. 452,113
A$ 500,000 8.75% due 1/15/01.............. 434,469
A$ 750,000 7.50% due 7/15/05.............. 624,246
A$ 500,000 7.00% due 4/15/00.............. 410,298
A$ 300,000 South Australia Finance Authority,
12.50% due 5/8/01.............. 292,346
A$ 400,000 South Australian Government,
7.75% due 4/15/98.............. 329,212
A$ 200,000 State Bank of New South Wales,
7.00% due 6/30/99.............. 164,071
A$ 150,000 State Bank of South Australia,
7.25% due 6/15/00.............. 123,738
--------------
4,599,573
--------------
AUSTRIA - 2.16%
Republic of Austria:
As 2,500,000 8.50% due 2/21/01.............. 264,847
As 2,000,000 7.125% due 7/12/04............. 201,553
As 1,500,000 7.00% due 2/14/00.............. 150,398
As 2,200,000 7.00% due 1/20/03.............. 221,197
As 2,000,000 7.00% due 5/16/05.............. 199,879
As 2,000,000 6.875% due 4/19/02............. 201,460
As 2,000,000 6.50% due 11/17/05............. 194,577
As 6,000,000 6.25% due 5/31/06.............. 573,046
As 1,000,000 5.75% due 3/22/99.............. 96,684
As 1,500,000 5.375% due 11/23/98............ 143,561
Y. 100MM 4.75% due 12/20/04............. 1,020,521
Y. 50MM 4.50% due 9/28/05.............. 505,296
--------------
3,773,019
--------------
BELGIUM - 3.67%
Kingdom of Belgium:
BF. 10,000,000 10.00% due 8/2/00.............. 376,881
BF. 15,000,000 9.00% due 7/30/98.............. 518,307
BF. 25,000,000 8.75% due 6/25/02.............. 932,598
BF. 10,000,000 8.00% due 12/24/12............. 361,003
BF. 10,000,000 8.00% due 3/28/15.............. 360,686
BF. 10,000,000 7.75% due 12/22/00............. 354,271
BF. 25,000,000 7.75% due 10/15/04............. 897,983
BF. 10,000,000 7.50% due 7/29/08.............. 349,794
BF. 22,000,000 7.00% due 4/29/99.............. 749,216
BF. 15,000,000 7.00% due 5/15/06.............. 512,163
BF. 20,000,000 6.50% due 3/31/05.............. 665,418
BF. 10,000,000 5.00% due 3/28/01.............. 321,213
--------------
6,399,533
--------------
CANADA - 4.74%
C$ 800,000 British Columbia Province,
9.85% due 5/1/98............... 645,417
CANADA - Continued
Government of Canada:
C$ 550,000 9.50% due 6/1/10............... $ 521,233
C$ 500,000 9.00% due 12/1/04.............. 445,169
C$ 500,000 9.00% due 6/1/25............... 475,115
C$ 500,000 8.75% due 12/1/05.............. 441,742
C$ 500,000 8.50% due 3/1/00............... 415,067
C$ 1,000,000 8.50% due 4/1/02............... 851,715
C$ 1,000,000 8.00% due 6/1/23............... 858,829
C$ 1,000,000 7.75% due 9/1/99............... 808,168
C$ 1,000,000 7.50% due 3/1/01............... 813,173
C$ 1,000,000 7.25% due 6/1/03............... 807,923
C$ 1,000,000 7.00% due 12/1/06.............. 793,479
C$ 500,000 6.50% due 6/1/04............... 386,499
--------------
8,263,529
--------------
DENMARK - 3.34%
Kingdom of Denmark:
DK 2,500,000 9.00% due 11/15/98............. 463,190
DK 2,500,000 9.00% due 11/15/00............. 481,476
DK 5,000,000 8.00% due 11/15/01............. 937,207
DK 2,500,000 8.00% due 5/15/03.............. 468,433
DK 3,000,000 8.00% due 3/15/06.............. 554,447
DK 3,000,000 7.00% due 12/15/04............. 528,106
DK 1,250,000 7.00% due 11/10/24............. 198,050
L. 250,000 6.75% due 8/24/98.............. 418,256
DK 2,000,000 6.00% due 12/10/99............. 351,968
DK 2,500,000 6.00% due 11/15/02............. 430,285
FF. 5,000,000 5.50% due 10/26/99............. 999,469
--------------
5,830,887
--------------
FINLAND - 2.18%
Republic of Finland:
FIM 1,000,000 11.00% due 1/15/99............. 248,764
FIM 2,000,000 10.00% due 9/15/01............. 525,640
FIM 1,000,000 9.50% due 3/15/04.............. 262,872
L. 250,000 8.00% due 4/7/03............... 428,732
FIM 1,000,000 7.25% due 4/18/06.............. 231,152
FF. 5,000,000 7.00% due 6/15/04.............. 1,045,651
Y. 100MM 6.00% due 1/29/02.............. 1,059,135
--------------
3,801,946
--------------
FRANCE - 4.76%
Government of France:
FF. 4,600,000 9.50% due 1/25/01.............. 1,050,868
FF. 3,500,000 8.50% due 11/25/02............. 794,029
FF. 1,500,000 8.50% due 12/26/12............. 356,352
FF. 8,000,000 7.75% due 4/12/00.............. 1,709,053
FF. 3,000,000 7.25% due 4/25/06.............. 643,503
FF. 7,000,000 6.75% due 10/25/03............. 1,465,940
FF. 2,000,000 6.50% due 10/25/06............. 407,140
FF. 8,500,000 6.00% due 10/25/25............. 1,492,697
FF. 2,000,000 5.50% due 4/25/04.............. 387,775
--------------
8,307,357
--------------
</TABLE>
81
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INTERNATIONAL GOVERNMENT BOND FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------
<S> <C> <C> <C>
GERMANY - 12.19%
Federal Republic of Germany:
DM 1,000,000 7.75% due 10/1/02.............. $ 737,514
DM 2,000,000 7.50% due 9/9/04............... 1,459,449
DM 3,100,000 7.125% due 12/20/02............ 2,223,388
DM 1,500,000 7.00% due 1/13/00.............. 1,061,399
DM 3,000,000 6.875% due 2/24/99............. 2,091,379
DM 1,000,000 6.75% due 7/15/04.............. 700,268
DM 3,000,000 6.50% due 3/15/00.............. 2,096,681
DM 3,000,000 6.50% due 7/15/03.............. 2,081,757
DM 2,000,000 6.50% due 10/14/05............. 1,373,175
DM 1,000,000 6.25% due 4/26/06.............. 676,507
DM 2,000,000 6.25% due 1/4/24............... 1,238,856
DM 2,500,000 6.00% due 2/20/98.............. 1,686,195
DM 1,000,000 6.00% due 11/12/03............. 674,210
DM 4,000,000 6.00% due 6/20/16.............. 2,474,308
DM 1,000,000 5.00% due 1/14/99.............. 671,597
--------------
21,246,683
--------------
ITALY - 7.39%
Republic of Italy:
Lit 1,500MM 12.00% due 9/18/98............. 1,075,429
Lit 1,000MM 12.00% due 6/1/01.............. 786,996
Lit 500MM 12.00% due 1/1/02.............. 398,123
Lit 2,000MM 10.50% due 4/1/00.............. 1,463,773
Lit 500MM 10.50% due 7/15/00............. 369,049
Lit 500MM 10.50% due 4/1/05.............. 390,524
Lit 500MM 10.50% due 9/1/05.............. 389,897
Lit 1,400MM 10.00% due 8/1/03.............. 1,049,989
Lit 2,000MM 9.50% due 12/1/97.............. 1,348,531
Lit 500MM 9.50% due 1/1/05............... 368,388
Lit 500MM 9.50% due 2/1/06............... 371,362
Lit 2,000MM 9.00% due 11/1/23.............. 1,469,587
Lit 1,400MM 8.50% due 1/1/99............... 961,086
Lit 1,000MM 8.50% due 4/1/99............... 688,869
Lit 500MM 8.50% due 8/1/99............... 344,897
Lit 1,000MM 8.50% due 4/1/04............... 700,829
Lit 1,000MM 8.50% due 8/1/04............... 700,069
--------------
12,877,398
--------------
JAPAN - 20.50%
Government of Japan:
Y. 250MM 6.60% due 6/20/01.............. 2,697,926
Y. 320MM 6.40% due 3/20/00.............. 3,310,715
Y. 105MM 6.00% due 12/20/01............. 1,120,062
Y. 365MM 5.50% due 3/20/02.............. 3,830,728
Y. 30MM 5.00% due 12/22/97............. 277,626
Y. 120MM 5.00% due 12/20/02............. 1,243,001
Y. 100MM 5.00% due 9/21/09.............. 1,076,346
Y. 100MM 5.00% due 3/20/15.............. 1,087,290
Y. 250MM 4.90% due 9/20/99.............. 2,449,912
Y. 130MM 4.80% due 6/21/99.............. 1,262,480
Y. 170MM 4.60% due 6/22/98.............. 1,594,969
Y. 127MM 4.50% due 6/20/03.............. 1,286,814
Y. 75MM 4.50% due 12/20/04............. 763,835
Y. 150MM 4.40% due 9/22/03.............. 1,514,563
Y. 200MM 4.20% due 9/21/15.............. 1,980,583
Y. 150MM 4.10% due 6/21/04.............. 1,490,865
Y. 100MM 3.90% due 6/21/04.............. 982,083
JAPAN - Continued
Y. 250MM 3.50% due 3/21/16.............. $ 2,253,089
Y. 100MM 3.30% due 6/20/06.............. 934,863
Y. 200MM 3.20% due 3/20/06.............. 1,852,374
Y. 150MM 3.00% due 9/20/05.............. 1,374,625
Y. 150MM 2.90% due 12/20/05............. 1,360,459
--------------
35,745,208
--------------
NETHERLANDS - 4.68%
Government of the Netherlands:
NG 1,050,000 9.00% due 10/16/00............. 707,842
NG 1,000,000 8.75% due 9/15/01.............. 679,444
NG 500,000 8.50% due 3/15/01.............. 333,888
NG 500,000 8.25% due 2/15/02.............. 334,909
NG 500,000 8.25% due 6/15/02.............. 336,367
NG 500,000 8.25% due 2/15/07.............. 345,119
NG 1,000,000 7.75% due 3/1/05............... 663,691
NG 500,000 7.50% due 6/15/99.............. 316,092
NG 500,000 7.50% due 4/15/10.............. 330,387
NG 750,000 7.50% due 1/15/23.............. 492,298
NG 1,250,000 6.50% due 7/15/98.............. 762,151
NG 1,250,000 6.50% due 4/15/03.............. 777,102
NG 1,500,000 6.00% due 1/15/06.............. 892,263
NG 2,000,000 5.75% due 1/15/04.............. 1,186,767
--------------
8,158,320
--------------
SPAIN - 4.34%
Government of Spain:
Pst 40MM 12.25% due 3/25/00............. 365,861
Pst 55MM 11.45% due 8/30/98............. 464,022
Pst 100MM 10.50% due 10/30/03............ 929,421
Pst 100MM 10.30% due 6/15/02............. 907,423
Pst 100MM 10.15% due 1/31/06............. 932,996
Pst 100MM 10.10% due 2/28/01............. 883,793
Pst 50MM 10.00% due 2/28/05............. 458,764
Pst 50MM 8.30% due 12/15/98............. 404,431
Pst 70MM 8.20% due 2/28/09.............. 585,084
Pst 50MM 8.00% due 5/30/04.............. 413,681
Pst 100MM 7.40% due 7/30/99.............. 802,176
FF. 2,000,000 6.50% due 6/20/01.............. 412,465
--------------
7,560,117
--------------
SWEDEN - 2.98%
Kingdom of Sweden:
SK 2,000,000 13.00% due 6/15/01............. 380,007
SK 3,500,000 11.00% due 1/21/99............. 585,106
SK 3,000,000 10.25% due 5/5/00.............. 511,973
SK 6,000,000 10.25% due 5/5/03.............. 1,069,098
SK 5,000,000 9.00% due 4/20/09.............. 855,635
SK 6,000,000 6.00% due 2/9/05............... 848,541
Y. 100MM 3.875% due 6/21/99............. 946,602
--------------
5,196,962
--------------
SWITZERLAND - 0.46%
Government of Switzerland:
Chf 500,000 4.50% due 4/8/06............... 402,663
Chf 500,000 4.00% due 3/10/99.............. 401,772
--------------
804,435
--------------
</TABLE>
82
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<TABLE>
============================================================================================
INTERNATIONAL GOVERNMENT BOND FUND - CONTINUED November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------------------
(Unaudited)
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------------
<S> <C> C> <C>
UNITED KINGDOM - 7.79%
Government of United Kingdom:
L. 250,000 10.00% due 2/26/01............. $ 461,993
L. 500,000 9.75% due 8/27/02.............. 932,628
L. 325,000 9.00% due 3/3/00............... 575,736
L. 400,000 9.00% due 10/13/08............. 743,798
L. 400,000 9.00% due 8/6/12............... 749,665
L. 750,000 8.75% due 8/25/17.............. 1,388,728
L. 500,000 8.50% due 12/7/05.............. 894,653
L. 500,000 8.00% due 12/7/00.............. 865,582
L. 550,000 8.00% due 6/10/03.............. 955,597
L. 500,000 8.00% due 9/25/09.............. 862,177
L. 500,000 8.00% due 12/7/15.............. 869,248
L. 500,000 7.50% due 12/7/06.............. 838,344
L. 100,000 7.25% due 3/30/98.............. 168,978
L. 500,000 7.00% due 11/6/01.............. 831,928
L. 750,000 6.75% due 11/26/04............. 1,213,517
L. 750,000 6.00% due 8/10/99.............. 1,231,588
--------------
13,584,160
--------------
UNITED STATES - 1.51%
DM 4,000,000 Federal National Mortgage Association,
5.00% due 2/16/01.............. 2,638,764
--------------
TOTAL GOVERNMENT BONDS
(Cost $142,071,965).............. 148,787,891
--------------
SUPRANATIONAL - 7.35%
Asian Development Bank:
Y. 50MM 5.00% due 2/5/03............... 512,467
Y. 150MM 3.125% due 6/29/05............. 1,371,911
Eurofima:
FF. 5,000,000 9.875% due 8/21/00............. 1,138,026
FF. 1,600,000 9.25% due 12/18/03............. 377,304
L. 250,000 7.50% due 2/5/98............... 422,970
European Investment Bank:
Lit 400MM 10.50% due 4/30/98............. 277,935
Lit 1,100MM 10.50% due 2/7/02.............. 884,411
L. 250,000 9.00% due 5/14/02.............. 453,088
FF. 5,000,000 6.75% due 5/14/98.............. 1,007,013
Y. 25MM 6.625% due 3/15/00............. 258,716
FF. 2,000,000 6.125% due 10/8/04............. 399,907
Y. 100MM 4.625% due 2/26/03............. 1,007,281
Y. 100MM 3.00% due 9/20/06.............. 899,903
Y. 55MM Inter America Development Bank,
6.75% due 2/20/01.............. 586,772
International Bank for
Reconstruction & Development:
Lit 150MM 10.80% due 11/13/01............ 119,809
Lit 1,000MM 10.625% due 3/27/98............ 693,693
Lit 200MM 9.45% due 8/11/03.............. 149,750
L. 400,000 9.25% due 7/20/07.............. 751,861
Y. 50MM 4.50% due 6/20/00.............. 490,126
Y. 100MM 4.50% due 3/20/03.............. 1,005,626
--------------
TOTAL SUPRANATIONAL
(Cost $12,989,801)............... 12,808,569
--------------
CORPORATE BONDS - 4.27%
FRANCE - 3.80%
Credit Local de France:
FF. 2,500,000 9.25% due 12/7/99.............. $ 549,389
Lit 2,000MM 9.00% due 6/14/01.............. 1,426,504
FF. 5,000,000 8.875% due 6/10/02............. 1,136,210
FF. 3,000,000 6.25% due 9/27/05.............. 596,601
FF. 4,000,000 6.00% due 11/15/01............. 806,816
FF. 10,000,000 Elf Aquitaine SA,
7.125% due 8/11/03............. 2,104,585
--------------
6,620,105
--------------
NETHERLANDS - 0.26%
NG 750,000 Aegon NV,
7.125% due 9/1/98.............. 461,119
--------------
SWITZERLAND - 0.21%
Lit 500MM Union Bank of Switzerland AG,
9.25% due 8/23/00.............. 357,773
--------------
TOTAL CORPORATE BONDS
(Cost $7,055,631)................ 7,438,997
--------------
TOTAL INVESTMENTS
(Cost $162,117,397) - 96.95%..... 169,035,457
Other assets and liabilities,
net - 3.05%.................... 5,323,635
--------------
NET ASSETS (equivalent
to $12.27 per share on
14,211,350 shares
outstanding) - 100%............ $ 174,359,092
--------------
- ----------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
14,211,350 shares outstanding................. $ 142,114
Additional paid in capital...................... 166,863,926
Undistributed net realized gain on securities... 354,463
Undistributed net investment income............. 103,813
Unrealized appreciation of securities and
foreign currency translation.................. 6,894,776
--------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING .................................. $ 174,359,092
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
83
<PAGE> 86
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INTERNATIONAL GOVERNMENT BOND FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996
<S> <C>
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of $163,162)...................................................... $ 4,549,904
--------------
EXPENSES:
Advisory fees ............................................................................................... 391,756
Custodian and accounting services............................................................................ 27,260
Reports to shareholders...................................................................................... 10,181
Audit fees and tax services.................................................................................. 2,826
Directors fees and expenses.................................................................................. 2,011
Miscellaneous................................................................................................ 6,259
--------------
Total expenses............................................................................................ 440,293
--------------
NET INVESTMENT INCOME........................................................................................ 4,109,611
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Securities............................................................................... $ 99,414
Foreign currency transactions............................................................ (29,404) 70,010
-------------- -------------
Net unrealized appreciation during the period:
Securities............................................................................... 6,260,283
Foreign currency translation............................................................. 30,530 6,290,813
-------------- -------------
Net realized and unrealized gain on securities and foreign currencies during the period................ 6,360,823
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 10,470,434
STATEMENT OF CHANGES IN NET ASSETS
<CAPTION>
For the For the fiscal
period ended year ended
November 27, 1996 May 31, 1996
--------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 4,109,611 $ 6,255,004
Net realized gain on securities and foreign currency transactions........................... 70,010 795,235
Net unrealized appreciation (depreciation) of securities and translation
of foreign currencies during the period.................................................. 6,290,813 (8,649,971)
--------------------------------
Increase (decrease) in net assets resulting from operations........................... 10,470,434 (1,599,732)
--------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (4,157,682) (6,585,664)
Net realized gain on securities............................................................. - (127,626)
--------------------------------
Decrease in net assets resulting from distributions to shareholders...................... (4,157,682) (6,713,290)
--------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 35,373,386 95,539,705
Proceeds from capital stock issued for distributions reinvested............................. 4,157,682 6,713,290
--------------------------------
39,531,068 102,252,995
Cost of capital stock repurchased........................................................... (13,867,993) (29,290,511)
--------------------------------
Increase in net assets resulting from capital stock transactions......................... 25,663,075 72,962,484
--------------------------------
TOTAL INCREASE IN NET ASSETS................................................................ 31,975,827 64,649,462
NET ASSETS:
Beginning of period......................................................................... 142,383,265 77,733,803
--------------------------------
End of period (including undistributed net investment income of $103,813 and $151,884) ..... $ 174,359,092 $ 142,383,265
--------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................................................................ 2,944,025 7,828,955
Shares issued for distributions reinvested.................................................. 343,728 556,598
Shares of capital stock repurchased ........................................................ (1,149,078) (2,423,786)
--------------------------------
Increase in shares outstanding........................................................... 2,138,675 5,961,767
Shares outstanding:
Beginning of period...................................................................... 12,072,675 6,110,908
--------------------------------
End of period............................................................................ 14,211,350 12,072,675
--------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
84
<PAGE> 87
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MONEY MARKET FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<C> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 84.47%
BANKS - REGIONAL - 2.06%
BANC ONE CORP.:
$ 1,000,000 5.29% due 1/10/97.............. $ 993,682
1,500,000 5.24% due 12/12/96............. 1,496,943
-------------
2,490,625
-------------
BEVERAGE - SOFT DRINKS - 3.30%
Coca-Cola Enterprises Inc.:
1,500,000 5.46% due 12/11/96............. 1,497,042
1,000,000 5.34% due 1/27/97.............. 991,100
1,500,000 5.33% due 12/3/96.............. 1,498,890
-------------
3,987,032
-------------
CHEMICAL - MAJOR - 3.69%
E. I. du Pont de Nemours and Co.:
1,300,000 5.52% due 2/5/97............... 1,286,246
1,200,000 5.28% due 3/4/97............... 1,183,104
1,000,000 5.26% due 12/18/96............. 997,078
1,000,000 5.25% due 2/24/97.............. 987,166
-------------
4,453,594
-------------
CHEMICAL - MISCELLANEOUS - 2.48%
3,000,000 PPG Industries, Inc.,
5.24% due 12/18/96............. 2,991,267
-------------
CONSUMER FINANCE - 10.96%
Associates Corp of North America:
1,500,000 5.37% due 1/7/97............... 1,491,050
1,000,000 5.31% due 2/6/97............... 989,675
Beneficial Corp.:
1,200,000 5.31% due 12/2/96.............. 1,199,292
1,500,000 5.29% due 2/10/97.............. 1,483,689
2,000,000 5.27% due 2/26/97.............. 1,973,650
1,500,000 Commercial Credit Corp.,
5.32% due 12/5/96.............. 1,498,449
Sears Roebuck Acceptance Corp.:
1,500,000 5.60% due 3/3/97............... 1,477,833
703,000 5.58% due 3/24/97.............. 690,360
500,000 5.43% due 1/24/97.............. 495,701
1,100,000 5.40% due 1/21/97.............. 1,091,090
850,000 5.25% due 12/23/96............. 846,902
-------------
13,237,691
-------------
DRUGS - 3.43% Schering Corp.:
2,000,000 5.40% due 2/18/97.............. 1,975,400
1,200,000 5.35% due 1/29/97.............. 1,188,943
1,000,000 5.30% due 4/22/97.............. 978,653
-------------
4,142,996
-------------
ELECTRICAL EQUIPMENT - 0.41%
500,000 General Electric Co.,
5.25% due 12/26/96............. 497,958
-------------
ENTERTAINMENT - 4.62%
$ 1,000,000 Mattel, Inc.,
5.38% due 12/2/96.............. $ 999,402
Walt Disney Co.:
1,300,000 5.48% due 2/3/97............... 1,286,742
2,105,000 5.41% due 1/6/97............... 2,092,663
1,200,000 5.21% due 12/19/96............. 1,196,353
-------------
5,575,160
-------------
FINANCE COMPANIES - 14.41%
CIESCO L P:
1,179,000 5.35% due 1/14/97.............. 1,170,765
900,000 5.28% due 1/17/97.............. 893,400
1,200,000 5.28% due 2/13/97.............. 1,186,448
785,000 CIT Group Holdings, Inc.,
5.25% due 2/27/97.............. 774,582
1,000,000 Ford Motor Credit Co.,
5.25% due 12/24/96............. 996,208
General Electric Capital Corp.:
900,000 5.54% due 1/13/97.............. 893,629
670,000 5.27% due 2/21/97.............. 661,663
2,000,000 General Electric Capital
Services Inc.,
5.28% due 2/20/97.............. 1,975,360
International Lease Finance
Corp.:
1,000,000 5.55% due 2/12/97.............. 988,283
1,000,000 5.38% due 1/30/97.............. 990,585
2,000,000 5.28% due 3/21/97.............. 1,966,853
Transamerica Finance Corp.:
1,625,000 5.38% due 1/10/97.............. 1,614,558
845,000 5.29% due 3/6/97............... 832,832
1,500,000 5.27% due 3/17/97.............. 1,476,066
1,000,000 Whirlpool Financial Corp.,
5.40% due 1/8/97............... 993,850
-------------
17,415,082
-------------
HOSPITAL SUPPLIES - 2.22%
Abbott Laboratories:
1,500,000 5.22% due 12/30/96............. 1,493,040
1,200,000 5.22% due 12/31/96............. 1,194,258
-------------
2,687,298
-------------
HOUSEHOLD PRODUCTS - 0.83%
1,000,000 Colgate Palmolive Co.,
6.27% due 12/1/96.............. 1,000,043
-------------
INFORMATION PROCESSING - 5.64%
2,000,000 Intel Corp.,
5.27% due 12/2/96.............. 1,998,829
International Business Machines
Corp.:
641,000 5.32% due 12/16/96............. 639,295
1,500,000 5.29% due 2/7/97............... 1,484,350
1,200,000 5.27% due 12/20/96............. 1,196,135
1,500,000 5.26% due 12/17/96............. 1,495,836
-------------
6,814,445
-------------
</TABLE>
85
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================================================================================
MONEY MARKET FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<C> <C> <C>
INSURANCE - MULTILINE - 1.77%
Marsh & McLennan Companies,
Inc.:
$ 1,200,000 5.38% due 5/6/97............... $ 1,171,486
1,000,000 5.36% due 6/25/97.............. 968,882
-------------
2,140,368
-------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 3.10%
3,750,000 Cooper Industries, Inc.,
5.40% due 12/2/96.............. 3,747,750
-------------
OIL - INTEGRATED DOMESTIC - 1.64%
2,000,000 Atlantic Richfield Co.,
5.27% due 1/17/97.............. 1,985,361
-------------
PUBLISHING/PRINTING - 1.78%
2,152,000 R.R. Donnelley & Sons Co.,
5.29% due 12/10/96............. 2,148,205
-------------
SECURITIES RELATED - 4.05%
Merrill Lynch & Co., Inc.:
502,000 5.58% due 2/10/97.............. 496,242
2,000,000 5.40% due 1/9/97............... 1,987,400
500,000 5.37% due 4/9/97............... 490,155
1,200,000 5.32% due 2/19/97.............. 1,185,281
750,000 5.32% due 5/19/97.............. 730,937
-------------
4,890,015
-------------
TOBACCO - 6.48%
American Brands, Inc.:
1,100,000 5.38% due 2/11/97.............. 1,087,671
1,200,000 5.33% due 3/12/97.............. 1,181,523
1,000,000 5.29% due 3/5/97............... 985,746
Philip Morris Companies Inc.:
1,200,000 5.42% due 12/9/96.............. 1,198,013
1,000,000 5.30% due 1/16/97.............. 992,786
2,400,000 5.30% due 1/23/97.............. 2,380,213
-------------
7,825,952
-------------
UTILITIES - COMMUNICATION - 6.72%
Bellsouth Telecomm Inc.:
2,000,000 5.28% due 1/24/97.............. 1,983,280
2,000,000 5.27% due 2/25/97.............. 1,973,943
GTE Corp.:
2,000,000 5.32% due 12/9/96.............. 1,996,749
1,500,000 5.32% due 12/16/96............. 1,496,010
669,000 5.30% due 12/16/96............. 667,227
-------------
8,117,209
-------------
UTILITIES - ELECTRIC - 4.88%
1,000,000 Central & South West,
5.38% due 12/4/96.............. 999,103
Southern California Edison Co.:
1,500,000 5.43% due 12/4/96.............. 1,498,643
1,000,000 5.32% due 1/31/97.............. 990,542
1,500,000 5.30% due 2/4/97............... 1,484,983
944,000 5.28% due 4/4/97............... 926,417
-------------
5,899,688
-------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $102,047,739).............. $ 102,047,739
-------------
CORPORATE SHORT TERM
OBLIGATIONS - 3.31%
FINANCE COMPANIES - 0.83%
$ 1,000,000 Ford Motor Credit Co.,
Floating rate note due 2/18/97,
5.65% at 11/27/96 ............ 1,001,590
-------------
SECURITIES RELATED - 2.48%
Bear Stearns Co. Inc.:
1,000,000 Floating rate note due 5/14/97,
5.425% due 11/27/96 .......... 1,000,000
2,000,000 Floating rate note due 1/22/97,
5.425% due 11/27/96........... 2,000,000
-------------
3,000,000
-------------
TOTAL CORPORATE SHORT
TERM OBLIGATIONS
(Cost $4,001,590)................ 4,001,590
-------------
FOREIGN GOVERNMENT BONDS - 2.43%
CANADA - 2.43% British Columbia Province:
1,500,000 5.35% due 4/2/97............... 1,472,136
1,500,000 5.25% due 5/7/97............... 1,465,000
-------------
2,937,136
-------------
TOTAL FOREIGN GOVERNMENT
BONDS
(Cost $2,937,136)................ 2,937,136
-------------
UNITED STATES GOVERNMENT -
SHORT TERM - 7.46%
GOVERNMENT SPONSORED - 7.46%
Federal Farm Credit Banks:
1,000,000 5.56% due 1/2/97............... 1,000,008
1,000,000 5.40% due 4/1/97............... 1,000,000
Federal Home Loan Banks:
1,000,000 5.705% due 5/1/97.............. 1,000,000
1,000,000 5.66% due 11/26/97............. 1,000,000
1,000,000 5.65% due 8/12/97.............. 1,000,000
1,000,000 Federal Home Loan Mortgage Corp.,
7.86% due 1/15/97.............. 1,003,759
Federal National Mortgage
Association:
1,000,000 7.88% due 12/20/96............. 1,001,431
1,000,000 6.75% due 4/22/97.............. 1,004,493
1,000,000 5.765% due 6/20/97............. 1,000,698
-------------
9,010,389
-------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $9,010,389)................ 9,010,389
-------------
</TABLE>
86
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================================================================================
MONEY MARKET FUND November 27, 1996 STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<C> <C> <C>
TOTAL INVESTMENTS
(Cost $117,996,854) - 97.67%..... $ 117,996,854
Other assets and liabilities,
net - 2.33%.................... 2,816,889
-------------
NET ASSETS (equivalent
to $1.00 per share on
120,813,743 shares
outstanding) - 100% ........... $ 120,813,743
-------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
120,813,743 shares outstanding................ $ 1,208,137
Additional paid in capital...................... 119,605,606
-------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING ............................... $ 120,813,743
-------------
SEE NOTES TO FINANCIAL STATEMENTS.
</TABLE>
87
<PAGE> 90
================================================================================
MONEY MARKET FUND FINANCIAL STATEMENTS
- --------------------------------------------------------------------------------
(Unaudited)
<TABLE>
<S> <C>
STATEMENT OF OPERATIONS
For the period ended November 27, 1996 INVESTMENT INCOME:
Interest..................................................................................................... $ 2,673,808
-------------
EXPENSES:
Advisory fees................................................................................................ 244,350
Custodian and accounting services............................................................................ 17,982
Reports to shareholders...................................................................................... 6,082
Audit fees and tax services.................................................................................. 1,449
Directors' fees and expenses................................................................................. 1,207
Miscellaneous................................................................................................ 3,979
-------------
Total expenses............................................................................................ 275,049
-------------
NET INVESTMENT INCOME........................................................................................ 2,398,759
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............................................................. $ 2,398,759
-------------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the For the fiscal
period ended year ended
November 27, 1996 May 31, 1996
-------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income....................................................................... $ 2,398,759 $ 4,331,892
Net realized gain on securities............................................................. - 1,796
-----------------------------
Increase in net assets resulting from operations......................................... 2,398,759 4,333,688
-----------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................................................................... (2,398,759) (4,331,892)
-----------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............................................................ 141,977,043 150,153,912
Proceeds from capital stock issued for distributions reinvested............................. 2,398,759 4,331,892
-----------------------------
144,375,802 154,485,804
Cost of capital stock repurchased........................................................... (107,179,704) (153,123,752)
-----------------------------
Increase in net assets resulting from capital stock transactions......................... 37,196,098 1,362,052
-----------------------------
TOTAL INCREASE IN NET ASSETS................................................................ 37,196,098 1,363,848
NET ASSETS:
Beginning of period......................................................................... 83,617,645 82,253,797
-----------------------------
End of period............................................................................... $ 120,813,743 $ 83,617,645
-----------------------------
CHANGE IN SHARES OUTSTANDING
Shares of capital stock sold................................................................ 141,977,043 150,153,912
Shares issued for distributions reinvested.................................................. 2,398,759 4,331,892
Shares of capital stock repurchased ........................................................ (107,179,704) (153,123,752)
-----------------------------
Increase in shares outstanding........................................................... 37,196,098 1,362,052
Shares outstanding:
Beginning of period...................................................................... 83,617,645 82,255,593
-----------------------------
End of period............................................................................ 120,813,743 83,617,645
-----------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
88
<PAGE> 91
================================================================================
NOTES TO FINANCIAL STATEMENTS (Unaudited)
- --------------------------------------------------------------------------------
NOTE 1 -- ORGANIZATION
The American General Series Portfolio Company (the "Series") consists of
thirteen separate investment portfolios (the "Funds"):
Stock Index Fund
MidCap Index Fund
Small Cap Index Fund
International Equities Fund
Growth Fund
Growth & Income Fund
Science & Technology Fund
Social Awareness Fund
Timed Opportunity Fund
Capital Conservation Fund
Government Securities Fund
International Government Bond Fund
Money Market Fund
The Series is registered under the Investment Company Act of 1940 (the
"1940 Act"), as amended, as an open-end management investment company. Each
Fund is diversified with the exception of International Government Bond Fund
which is non-diversified as defined by the 1940 Act.
NOTE 2 -- SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with generally
accepted accounting principles ("GAAP"). GAAP requires accruals which
occasionally are based upon management estimates. The following is a summary of
significant accounting policies consistently followed by each Fund in the
preparation of its financial statements.
A. INVESTMENT VALUATION
Securities listed or traded on a national exchange are valued daily at
their last reported sale price. In the absence of any exchange sales on that
day and for unlisted issues, securities are valued at the last sale price on
the NASDAQ National Market System. In the absence of any National Market System
sales on that day, securities are valued at the last reported bid price.
However, options written for which other over-the-counter market quotations are
readily available are valued at the last reported asked price, in the absence
of any National Market System sales on that day. Futures contracts, options
thereon, and options on stock indexes are valued at the amount which would be
received upon a current disposition of such investments (i.e., their fair
market value), in the absence of any sales on that day. Short term debt
securities for which market quotations are readily available are valued at the
last reported bid price. However, any short term security with a remaining
maturity of 60 days or less and all investments of the Money Market Fund are
valued by the amortized cost method which approximates fair market value.
Investments for which market quotations are not readily available are valued at
fair value as determined in good faith by, or under authority delegated by, the
Series' Board of Directors.
B. OPTIONS AND FUTURES
CALL AND PUT OPTIONS. When a Fund writes a call or a put option, an amount
equal to the premium received is recorded as a liability. The liability is
"marked to market" daily to reflect the current market value of the option
written. When a written option expires, the Fund realizes a gain in the amount
of the premium originally received. If the Fund enters into a closing purchase
transaction, the Fund realizes a gain or loss in the amount of the original
premium less the cost of the closing transaction. If a written call option is
exercised, the Fund realizes a gain or loss from the sale of the underlying
security, and the proceeds from such sale are increased by the premium
originally received. If a written put option is exercised, the amount of the
premium originally received reduces the cost of the security which the Fund
purchases upon exercise of the option.
Purchased options are recorded as investments. If a purchased option
expires, the Fund realizes a loss in the amount of the cost of the option. If
the Fund enters into a closing transaction, it realizes a gain (or loss), to
the extent that the proceeds from the sale are greater (or less) than the cost
of the option. If the Fund exercises a put option, it realizes a gain or loss
from the sale of the underlying security by adjusting the proceeds from such
sale by the amount of the premium originally paid. If the Fund exercises a call
option, the cost of the security purchased upon exercise is increased by the
premium originally paid.
FUTURES CONTRACTS. The initial margin deposit made upon entering into a
futures contract is held by the custodian, in a segregated account, in the name
of the broker (the Fund's agent in acquiring the futures position). During the
period the futures contract is open, changes in the value of the contract are
recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are received or made daily, as unrealized
gains or losses are incurred. When the contract is closed, the Fund realizes a
gain or loss in the amount of the cost of or proceeds from the closing
transaction less the Fund's basis in the contract.
C. REPURCHASE AGREEMENTS
The seller of a repurchase agreement collateralizes the agreement with
securities delivered to the Fund's custodian bank. The Adviser determines,
on a daily basis, that the seller maintains collateral of at least 100% of
the repurchase proceeds due to the Fund at maturity.
89
<PAGE> 92
================================================================================
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
D. FOREIGN CURRENCY TRANSLATION
The accounting records of each Fund are maintained in U.S. dollars.
Transactions denominated in foreign currencies ("local currencies") are
translated into U.S. dollars at prevailing exchange rates on transaction date.
Net realized gains or losses on foreign currency transactions include
exchange rate gains and losses from disposition of foreign currencies, currency
gains and losses realized between trade and settlement dates of security
transactions, and currency gains and losses realized on settlement of other
assets and liabilities settled in local currencies.
In determining realized and unrealized gains or losses on foreign
securities for the period, the Funds do not isolate exchange rate fluctuations
from local security price fluctuations. Foreign currencies and other assets and
liabilities denominated in local currencies are marked-to-market daily to
reflect fluctuations in foreign exchange rates.
E. FEDERAL INCOME TAXES
Each Fund intends to qualify as a "regulated investment company" under
Subchapter M of the Internal Revenue Code and to distribute all of its taxable
net investment income and taxable net realized capital gains, in excess of any
available capital loss carryovers. Therefore no federal income tax provision is
required.
F. INVESTMENT TRANSACTIONS AND RELATED
INVESTMENT INCOME
Investment transactions are accounted for on the trade date. Realized
gains and losses are determined on the basis of identified cost. Dividend
income is recorded on the ex-dividend date, except for dividend income on
certain foreign securities which is recorded when the Fund becomes aware of the
dividend. Interest income on investments is accrued daily.
G. DISTRIBUTIONS TO SHAREHOLDERS
Distributions to shareholders are recorded on the record date. The Funds
declare distributions from net investment income monthly, except for the Money
Market Fund, which declares daily. Capital gains distributions are declared
annually.
Investment income and capital gains and losses are recognized in
accordance with generally accepted accounting principles ("book").
Distributions from net investment income and realized capital gains are based
on earnings as determined in accordance with federal tax regulations ("tax")
which may differ from book basis earnings. At the end of the year, offsetting
adjustments to undistributed net investment income and undistributed net
realized gains (losses) are made to eliminate permanent book/tax differences
arising in the current year.
NOTE 3 -- ADVISORY FEES AND OTHER
TRANSACTIONS WITH AFFILIATES
VALIC (the "Adviser") serves as investment adviser to the Series. VALIC is
an indirect wholly-owned subsidiary of American General Corporation, Houston,
Texas. On May 1, 1992, the Adviser entered into a sub-advisory agreement with
Bankers Trust Company ("Bankers Trust"), a wholly-owned subsidiary of Bankers
Trust New York Corporation, to serve as investment sub-adviser to Stock Index
Fund, MidCap Index Fund, and Small Cap Index Fund. On April 29, 1994, the
Adviser entered into sub-advisory agreements with T. Rowe Price Associates,
Inc. to serve as investment sub-adviser to Growth Fund and Science & Technology
Fund, and with Value Line, Inc., to serve as investment sub-adviser to Growth &
Income Fund. Sub-advisers are compensated for such services by the Adviser.
The Adviser receives from the Series a monthly fee based on each Fund's
average daily net asset value at the following annual rates: for Stock Index
Fund, MidCap Index Fund, Small Cap Index Fund and International Equities Fund
.35% on the first $500 million and .25% on the excess over $500 million; for
Social Awareness Fund, Timed Opportunity Fund, Capital Conservation Fund,
Government Securities Fund, International Government Bond Fund, and Money
Market Fund, .50%; for Growth & Income Fund, .75%; for Growth Fund, .80%; for
Science & Technology Fund, .90%.
To the extent that any Fund's accrued expenses for a given month exceed,
on an annualized basis, 2% of the Fund's average daily net assets, the Adviser
will voluntarily reduce expenses of any such Fund by the amount of the excess.
The Adviser may withdraw this voluntary undertaking upon 30 days written notice
to the Series.
The Adviser provided to the Series, at cost, certain services associated
with the printing of reports to shareholders. During the period ended November
27, 1996, the Series paid $5,770 for such services.
90
<PAGE> 93
================================================================================
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
During the period ended November 27, 1996, security transactions were
affected between the following Funds at the then current market price with no
brokerage commissions incurred:
<TABLE>
<CAPTION>
SELLER PURCHASER COST TO PURCHASER NET GAIN TO SELLER
------ --------- ----------------- ------------------
<S> <C> <C> <C>
MidCap Index Fund Stock Index Fund $8,546,638 $5,563,501
Stock Index Fund MidCap Index Fund 1,022,831 294,619
</TABLE>
At November 27, 1996, VALIC Separate Account A (a registered separate
account of VALIC) and VALIC owned over five percent of the outstanding shares
of the following Funds:
<TABLE>
<CAPTION>
VALIC
SEPARATE
ACCOUNT A VALIC
---------------------
<S> <C> <C>
Stock Index Fund ......................... 96.77%
MidCap Index Fund ........................ 99.99
Small Cap Index Fund ..................... 100.00
International Equities Fund .............. 99.83
Growth Fund .............................. 100.00
Growth & Income Fund ..................... 100.00
Science & Technology Fund ................ 100.00
Social Awareness Fund .................... 99.89
Timed Opportunity Fund ................... 95.29
Capital Conservation Fund ................ 88.04 11.95
Government Securities Fund ............... 99.99
International Government Bond Fund........ 100.00
Money Market Fund ........................ 99.90
</TABLE>
Certain officers and directors of the Series are officers and directors of
VALIC or American General Corporation.
NOTE 4 -- INVESTMENT ACTIVITY
The information in the following table is presented on the basis of cost for
federal income tax purposes at November 27, 1996.
<TABLE>
<CAPTION>
IDENTIFIED COST GROSS GROSS
OF INVESTMENTS UNREALIZED UNREALIZED NET UNREALIZED
OWNED APPRECIATION DEPRECIATION APPRECIATION
-----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Stock Index Fund.................................. $ 1,262,009,007 $ 831,848,268 $ 19,605,672 $ 812,242,596
MidCap Index Fund................................. 434,456,980 163,831,879 29,777,236 134,054,643
Small Cap Index Fund.............................. 155,693,201 37,899,764 15,251,339 22,648,425
International Equities Fund....................... 159,514,421 43,467,418 9,153,612 34,313,806
Growth Fund....................................... 507,426,930 121,678,895 13,296,807 108,382,088
Growth & Income Fund.............................. 134,877,997 35,203,982 837,818 34,366,164
Science & Technology Fund......................... 589,291,763 146,082,505 23,411,820 122,670,685
Social Awareness Fund............................. 84,782,198 19,660,182 525,025 19,135,157
Timed Opportunity Fund............................ 164,104,086 22,877,694 1,103,772 21,773,922
Capital Conservation Fund......................... 69,376,101 1,334,793 619,178 715,615
Government Securities Fund........................ 82,944,169 1,997,764 285,302 1,712,462
International Government Bond Fund................ 162,117,397 11,086,278 4,168,218 6,918,060
Money Market Fund................................. 117,996,854 - - -
</TABLE>
The following net realized capital loss carryforwards at May 31, 1996, may
be utilized to offset future capital gains.
<TABLE>
<CAPTION>
CAPITAL LOSS EXPIRATION
CARRYFORWARD THROUGH:
------------------------------------
<S> <C> <C>
Capital Conservation Fund........................ $ 684,782 May 31, 2003
Government Securities Fund....................... 2,108,943 May 31, 2003
Money Market Fund................................ 3,089 May 31, 2004
</TABLE>
91
<PAGE> 94
================================================================================
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
During the period, the cost of purchases and proceeds from sales of securities,
excluding short term securities were:
<TABLE>
<CAPTION>
COST OF PROCEEDS FROM
SECURITIES SECURITIES SOLD
PURCHASED OR MATURED
-----------------------------------
<S> <C> <C>
Stock Index Fund...................................................................... $ 122,731,690 $ 31,868,780
MidCap Index Fund..................................................................... 45,259,399 46,568,120
Small Cap Index Fund.................................................................. 62,787,626 55,866,408
International Equities Fund........................................................... 14,280,888 29,062,557
Growth Fund........................................................................... 180,594,814 67,247,957
Growth & Income Fund.................................................................. 71,436,028 29,325,538
Science &Technology Fund.............................................................. 409,407,331 298,710,191
Social Awareness Fund................................................................. 56,676,474 48,356,505
Timed Opportunity Fund................................................................ 135,735,916 130,619,598
Capital Conservation Fund............................................................. 15,275,409 15,497,553
Government Securities Fund............................................................ 21,109,781 14,258,093
International Government Bond Fund.................................................... 28,111,654 2,726,951
</TABLE>
NOTE 5 -- PORTFOLIO SECURITIES LOANED
To realize additional income, a Fund may lend portfolio securities with a
value of up to 30% (33 1/3% in the case of Growth Fund and Science & Technology
Fund) of its total assets. Any such loans will be continuously secured by
collateral consisting of cash or U.S. Government securities, maintained in a
segregated account, at least equal to the market value of the securities
loaned. The risks in lending portfolio securities, as with other extensions of
secured credit, consist of possible delays in receiving additional collateral
or in the recovery of the securities or possible loss of rights in the
collateral should the borrower fail financially. Loans by a Fund will only be
made to broker-dealers deemed by the Adviser to be creditworthy and will not be
made unless, in the judgment of the Adviser, the consideration to be earned
from such loans would justify the risk. Each Fund receives income earned on the
securities loaned during the lending period and a portion of the interest or
rebate earned on the collateral received.
<TABLE>
<CAPTION>
Portfolio securities on loan at November 27, 1996 are summarized as follows: MARKET VALUE COLLATERAL VALUE
---------------------------------
<S> <C> <C>
Stock Index Fund...................................................................... $ 9,071,717 $ 9,341,761
MidCap Index Fund..................................................................... 20,034,828 20,544,561
Small Cap Index Fund.................................................................. 9,732,101 10,253,555
International Equities Fund........................................................... 10,954,203 11,378,455
Growth Fund........................................................................... 41,659,862 42,854,200
Growth & Income Fund.................................................................. 5,673,238 5,901,975
Science & Technology Fund............................................................. 45,953,874 47,591,441
Social Awareness Fund................................................................. 665,241 678,470
Timed Opportunity Fund................................................................ 3,973,217 4,062,074
Capital Conservation Fund............................................................. 805,162 822,270
Government Securities Fund............................................................ 319,577 323,250
---------------------------------
Total........................................................................... $ 148,843,020 $ 153,752,012
---------------------------------
</TABLE>
NOTE 6 -- INVESTMENT CONCENTRATION
A significant portion of Government Securities Fund's investments may be
in U.S. Government sponsored securities. No assurance can be given that the
U.S. Government will provide support to such U.S. Government sponsored agencies
or instrumentalities in the future since it is not required to do so by law. As
a result of the Fund's concentration in such investments, it may be subject to
risks associated with U.S. Government sponsored securities. At November 27,
1996, Government Securities Fund had 55% of its net assets invested in such
securities.
At November 27, 1996, International Government Bond Fund had 21% of its
net assets invested in securities issued by the Government of Japan and an
additional 6% in issues of companies located in Japan and/or denominated in
Japanese Yen. Future economic and political developments in a foreign country
could adversely affect the liquidity and value of foreign securities or the
currency exchange rates from which foreign currencies are translated.
92
<PAGE> 95
================================================================================
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
NOTE 7 - SUBSEQUENT EVENT
On December 30, 1996, annual distributions from undistributed net realized
gains on investments were declared payable on December 31, 1996, to
shareholders of record December 30, 1996, as follows:
<TABLE>
<CAPTION>
RATE PER
SHARE
--------
<S> <C>
Stock Index Fund.................................... 0.1661
MidCap Index Fund................................... 1.2101
Small Cap Index Fund................................ 0.9984
International Equities Fund......................... 0.3539
Growth Fund......................................... 0.3257
Growth & Income Fund................................ 0.2898
Science & Technology Fund........................... 0.9280
Social Awareness Fund............................... 1.7760
Timed Opportunity Fund.............................. 1.4133
International Government Bond Fund.................. 0.0203
</TABLE>
93
<PAGE> 96
================================================================================
FINANCIAL HIGHLIGHTS (Unaudited)
- --------------------------------------------------------------------------------
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. The average commission rate paid on equity securities is presented
for the period beginning June 1, 1996.
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED FISCAL YEAR ENDED MAY 31,
STOCK INDEX FUND NOVEMBER 27, -------------------------------------------------
1996 1996 1995 1994 1993 1992
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period................... $20.69 $16.81 $14.39 $14.36 $13.34 $12.60
-------------------------------------------------------------
Income from investment operations:
Net investment income............................... 0.20 0.39 0.37 0.35 0.34 0.32
Net realized and unrealized gain on securities...... 2.67 4.26 2.45 0.12 1.20 0.74
-------------------------------------------------------------
Total income from investment operations............. 2.87 4.65 2.82 0.47 1.54 1.06
-------------------------------------------------------------
Distributions:
Distributions from net investment income............ (0.19) (0.38) (0.37) (0.35) (0.34) (0.32)
Distributions from net realized gain on securities.. - (0.39) (0.03) (0.09) (0.18) -
-------------------------------------------------------------
Total distributions................................. (0.19) (0.77) (0.40) (0.44) (0.52) (0.32)
-------------------------------------------------------------
Net asset value at end of period......................... $23.37 $20.69 $16.81 $14.39 $14.36 $13.34
TOTAL RETURN............................................. 13.99% 28.17% 19.98% 3.29% 11.74% 8.57%
-------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets............... 0.17% 0.35% 0.38% 0.39% 0.43% 0.50%
Ratio of net investment income to average net assets.. 0.94% 2.05% 2.44% 2.44% 2.52% 3.12%
Portfolio turnover rate............................... 2% 3% 14% 3% 1% 45%
Number of shares outstanding at end of period (000's). 88,882 85,117 75,451 75,494 66,224 55,598
Net assets at end of period (000's)................... $2,077,332 $1,760,786 $1,267,992 $1,086,459 $951,200 $741,667
Average net assets during the period (000's).......... $1,845,385 $1,498,398 $1,140,085 $1,030,581 $836,510 $167,262
Average commission rate paid.......................... $0.0288 n/a n/a n/a n/a n/a
</TABLE>
<TABLE>
<CAPTION>
<CAPTION>
FOR THE PERIOD
ENDED FISCAL YEAR ENDED MAY 31,
MIDCAP INDEX FUND(1) NOVEMBER 27, -------------------------------------------------
1996 1996 1995 1994 1993 1992
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period................... $19.09 $15.68 $14.54 $14.38 $12.86 $12.51
Income from investment operations:
Net investment income............................... 0.12 0.24 0.26 0.23 0.24 0.23
Net realized and unrealized gain on securities...... 1.24 4.06 1.59 0.28 1.93 0.39
-------------------------------------------------------------
Total income from investment operations............. 1.36 4.30 1.85 0.51 2.17 0.62
-------------------------------------------------------------
Distributions:
Distributions from net investment income............ (0.12) (0.24) (0.26) (0.23) (0.24) (0.23)
Distributions from net realized gain on securities.. - (0.65) (0.45) (0.12) (0.41) (0.04)
-------------------------------------------------------------
Total distributions................................. (0.12) (0.89) (0.71) (0.35) (0.65) (0.27)
-------------------------------------------------------------
Net asset value at end of period......................... $20.33 $19.09 $15.68 $14.54 $14.38 $12.86
-------------------------------------------------------------
TOTAL RETURN............................................. 7.15% 28.10% 13.26% 3.52% 17.21% 5.01%
-------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets............... 0.20% 0.41% 0.44% 0.46% 0.47% 0.54%
Ratio of net investment income to average net assets.. 0.65% 1.36% 1.73% 1.62% 1.79% 1.82%
Portfolio turnover rate............................... 9% 21% 23% 17% 5% 112%
Number of shares outstanding at end of period (000's). 27,960 28,322 25,988 24,001 14,673 8,862
Net assets at end of period (000's)................... $568,538 $540,688 $407,557 $349,041 $210,931 $113,992
Average net assets during the period (000's).......... $538,430 $477,372 $376,486 $285,247 $154,979 $ 88,456
Average commission rate paid.......................... $ 0.0308 n/a n/a n/a n/a n/a
</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.
94
<PAGE> 97
================================================================================
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on equity securities is presented
for the period beginning June 1, 1996.
<TABLE>
<CAPTION>
FOR THE PERIOD PERIOD FROM
ENDED FISCAL YEAR ENDED MAY 31, MAY 1, 1992
SMALL CAP INDEX FUND NOVEMBER 27, -------------------------------------- TO
1996 1996 1995 1994 1993 MAY 31, 1992
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period.................... $16.25 $12.49 $11.52 $11.28 $9.93 $10.00(1)
------------------------------------------------------------
Income (loss) from investment operations:
Net investment income................................ 0.11 0.20 0.17 0.13 0.15 0.02
Net realized and unrealized gain (loss) on securities (0.31) 4.04 0.97 0.58 1.48 (0.07)
------------------------------------------------------------
Total income (loss) from investment operations....... (0.20) 4.24 1.14 0.71 1.63 (0.05)
------------------------------------------------------------
Distributions:
Distributions from net investment income............. (0.11) (0.20) (0.17) (0.13) (0.15) (0.02)
Distributions from net realized gain on securities... - (0.28) - (0.34) (0.13) -
------------------------------------------------------------
Total distributions.................................. (0.11) (0.48) (0.17) (0.47) (0.28) (0.02)
------------------------------------------------------------
Net asset value at end of period.......................... $15.94 $16.25 $12.49 $11.52 $11.28 $9.93
------------------------------------------------------------
TOTAL RETURN.............................................. (1.23)% 34.50% 9.98% 6.18% 16.64% (0.50)%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets................ 0.20% 0.41% 0.44% 0.47% 0.47% 0.04%
Ratio of net investment income to average net assets... 0.71% 1.36% 1.44% 1.10% 1.40% 0.21%
Portfolio turnover rate................................ 33% 31% 34% 16% 20% 0%
Number of shares outstanding at end of period (000's).. 11,196 11,129 10,136 9,381 3,687 1,107
Net assets at end of period (000's).................... $178,457 $180,785 $126,567 $108,050 $41,581 $10,989
Average net assets during the period (000's)........... $176,082 $150,448 $120,298 $ 70,690 $22,142 $10,989
Average commission rate paid........................... $ 0.0305 n/a n/a n/a n/a n/a
</TABLE>
(1) The net asset value at the beginning of the period is as of commencement of
operations on May 1, 1992.
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED FISCAL YEAR ENDED MAY 31,
INTERNATIONAL EQUITIES FUND NOVEMBER 27, -------------------------------------------------
1996 1996 1995 1994 1993 1992
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period.................... $11.15 $10.42 $10.14 $8.99 $8.03 $8.58
------------------------------------------------------------
Income (loss) from investment operations:
Net investment income................................ 0.10 0.17 0.15 0.11 0.18 0.15
Net realized and unrealized gain (loss) on securities
and foreign currencies............................. 0.29 0.97 0.34 1.17 0.93 (0.55)
------------------------------------------------------------
Total income (loss) from investment operations....... 0.39 1.14 0.49 1.28 1.11 (0.40)
------------------------------------------------------------
Distributions:
Distributions from net investment income............. (0.11) (0.17) (0.15) (0.11) (0.15) (0.15)
Distributions from net realized gain on securities... - (0.24) (0.06) (0.02) - -
------------------------------------------------------------
Total distributions.................................. (0.11) (0.41) (0.21) (0.13) (0.15) (0.15)
------------------------------------------------------------
Net asset value at end of period.......................... $11.43 $11.15 $10.42 $10.14 $8.99 $8.03
------------------------------------------------------------
TOTAL RETURN.............................................. 3.50% 11.14% 4.92% 14.31% 14.18% (4.69)%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets................ 0.21% 0.42% 0.45% 0.47% 0.53% 0.65%
Ratio of net investment income to average net assets... 0.89% 1.65% 1.47% 1.43% 2.33% 1.84%
Portfolio turnover rate................................ 7% 20% 14% 7% 9% 5%
Number of shares outstanding at end of period (000's).. 17,246 18,497 20,074 17,273 7,429 4,256
Net assets at end of period (000's).................... $197,113 $206,259 $209,091 $175,183 $66,809 $34,182
Average net assets during the period (000's)........... $200,575 $204,792 $199,235 $117,264 $45,509 $26,542
Average commission rate paid........................... $ 0.0253 n/a n/a n/a n/a n/a
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
95
<PAGE> 98
================================================================================
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on equity securities is presented
for the period beginning June 1, 1996.
<TABLE>
<CAPTION>
FOR THE PERIOD PERIOD FROM
ENDED FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
GROWTH FUND NOVEMBER 27, ------------------------- TO
1996 1996 1995 MAY 31, 1994
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period........................ $16.49 $11.43 $9.87 $10.00(1)
------------------------------------------------------
Income (loss) from investment operations:
Net investment income.................................... 0.01 0.11 0.04 0.01
Net realized and unrealized gain (loss) on securities.... 1.01 5.27 1.56 (0.13)
------------------------------------------------------
Total income (loss) from investment operations........... 1.02 5.38 1.60 (0.12)
------------------------------------------------------
Distributions:
Distributions from net investment income................. - (0.09) (0.04) (0.01)
Distributions from net realized gain (loss) on securities - (0.23) - -
------------------------------------------------------
Total distributions...................................... - (0.32) (0.04) (0.01)
------------------------------------------------------
Net asset value at end of period.............................. $17.51 $16.49 $11.43 $9.87
------------------------------------------------------
TOTAL RETURN.................................................. 6.19% 47.46% 16.25% (1.19)%
------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets.................... 0.42% 0.83% 0.91% 0.08%
Ratio of net investment income to average net assets....... 0.03% 0.89% 0.41% 0.11%
Portfolio turnover rate.................................... 14% 36% 61% 0%
Number of shares outstanding at end of period (000's)...... 35,358 25,826 8,800 1,001
Net assets at end of period (000's)........................ $619,000 $425,787 $100,614 $ 9,885
Average net assets during the period (000's)............... $510,385 $238,228 $ 42,232 $ 9,944
Average commission rate paid............................... $ 0.0528 n/a n/a n/a
</TABLE>
(1)The net asset value at the beginning of the period is as of commencement of
operations on April 29, 1994.
<TABLE>
<CAPTION>
FOR THE PERIOD PERIOD FROM
ENDED FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
GROWTH & INCOME FUND NOVEMBER 27, ------------------------- TO
1996 1996 1995 MAY 31, 1994
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period........................ $14.78 $11.09 $9.87 $10.00(1)
------------------------------------------------------
Income (loss) from investment operations:
Net investment income.................................... 0.05 0.08 0.09 0.02
Net realized and unrealized gain (loss) on securities.... 1.34 3.77 1.22 (0.13)
------------------------------------------------------
Total income (loss) from investment operations........... 1.39 3.85 1.31 (0.11)
------------------------------------------------------
Distributions:
Distributions from net investment income................. (0.04) (0.07) (0.09) (0.02)
Distributions from net realized
gain (loss) on securities.............................. - (0.09) - -
------------------------------------------------------
Total distributions...................................... (0.04) (0.16) (0.09) (0.02)
------------------------------------------------------
Net asset value at end of period.............................. $16.13 $14.78 $11.09 $9.87
------------------------------------------------------
TOTAL RETURN.................................................. 9.53% 34.85% 13.35% (1.11)%
------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets.................... 0.40% 0.79% 0.86% 0.07%
Ratio of net investment income to average net assets....... 0.35% 0.63% 0.93% 0.22%
Portfolio turnover rate.................................... 24% 64% 97% 11%
Number of shares outstanding at end of period (000's)...... 10,564 7,685 3,867 1,002
Net assets at end of period (000's)........................ $170,410 $113,546 $42,867 $9,890
Average net assets during the period (000's)............... $139,082 $ 75,158 $21,910 $9,946
Average commission rate paid............................... $ 0.0500 n/a n/a n/a
</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.
96
<PAGE> 99
================================================================================
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on equity securities is presented
for the period beginning June 1, 1996.
<TABLE>
<CAPTION>
FOR THE PERIOD PERIOD FROM
ENDED FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
SCIENCE & TECHNOLOGY FUND NOVEMBER 27, ------------------------- TO
1996 1996 1995 MAY 31, 1994
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period.................... $20.48 $14.43 $9.83 $10.00(1)
---------------------------------------------------
Income (loss) from investment operations:
Net investment income................................ 0.01 - 0.03 -
Net realized and unrealized gain (loss) on securities and
foreign currencies................................. 0.79 8.08 4.72 (0.17)
---------------------------------------------------
Total income (loss) from investment operations....... 0.80 8.08 4.75 (0.17)
Distributions:
Distributions from net investment income............. - - (0.02) -
Distributions from net realized gain on securities... - (2.03) (0.13) -
---------------------------------------------------
Total distributions.................................. - (2.03) (0.15) -
---------------------------------------------------
Net asset value at end of period.......................... $21.28 $20.48 $14.43 $9.83
---------------------------------------------------
TOTAL RETURN.............................................. 3.91% 58.28% 48.61% (1.66)%
---------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets................ 0.47% 0.94% 1.00% 0.08%
Ratio of net investment income to average net assets... (0.08)% (0.07)% 0.36% 0.04%
Portfolio turnover rate................................ 54% 116% 121% 0%
Number of shares outstanding at end of period (000's).. 33,740 27,696 11,550 1,001
Net assets at end of period (000's).................... $717,903 $567,187 $166,683 $9,834
Average net assets during the period (000's)........... $615,093 $363,087 $ 64,974 $9,918
Average commission rate paid........................... $ 0.0442 n/a n/a n/a
</TABLE>
(1) The net asset value at the beginning of the period is as of commencement of
operations on April 29, 1994.
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED FISCAL YEAR ENDED MAY 31,
SOCIAL AWARENESS FUND NOVEMBER 27, -------------------------------------------------
1996 1996 1995 1994 1993 1992
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period.................... $15.49 $13.02 $11.98 $12.12 $11.43 $11.13
------------------------------------------------------------
Income from investment operations:
Net investment income................................ 0.13 0.26 0.27 0.26 0.24 0.26
Net realized and unrealized gain (loss) on securities 2.22 3.37 1.75 (0.02) 1.22 0.30
------------------------------------------------------------
Total income from investment operations.............. 2.35 3.63 2.02 0.24 1.46 0.56
------------------------------------------------------------
Distributions:
Distributions from net investment income............. (0.12) (0.25) (0.27) (0.26) (0.24) (0.26)
Distributions from net realized gain on securities... - (0.91) (0.71) (0.12) (0.53) -
------------------------------------------------------------
Total distributions.................................. (0.12) (1.16) (0.98) (0.38) (0.77) (0.26)
------------------------------------------------------------
Net asset value at end of period.......................... $17.72 $15.49 $13.02 $11.98 $12.12 $11.43
------------------------------------------------------------
TOTAL RETURN.............................................. 15.26% 28.85% 18.19% 1.97% 13.08% 5.08%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets................ 0.27% 0.56% 0.58% 0.60% 0.63% 0.16%
Ratio of net investment income to average net assets... 0.80% 1.80% 2.22% 2.19% 2.14% 2.34%
Portfolio turnover rate................................ 56% 117% 148% 83% 106% 203%
Number of shares outstanding at end of period (000's).. 5,886 5,220 4,143 3,817 2,819 1,799
Total net assets at end of period (000's).............. $104,296 $80,887 $53,927 $45,729 $34,166 $20,570
Average net assets during the period (000's)........... $ 87,511 $66,888 $47,942 $41,002 $26,920 $15,365
Average commission rate paid........................... $ 0.0400 n/a n/a n/a n/a n/a
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
97
<PAGE> 100
================================================================================
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on equity securities is presented
for the period beginning June 1, 1996.
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED FISCAL YEAR ENDED MAY 31,
TIMED OPPORTUNITY FUND NOVEMBER 27, -------------------------------------------------
1996 1996 1995 1994 1993 1992
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period................. $12.55 $11.24 $10.84 $11.18 $10.66 $11.05
------------------------------------------------------------
Income from investment operations:
Net investment income............................. 0.21 0.44 0.44 0.37 0.35 0.30
Net realized and unrealized gain (loss) on securities 0.68 1.53 0.82 (0.15) 0.61 (0.19)
------------------------------------------------------------
Total income from investment operations........... 0.89 1.97 1.26 0.22 0.96 0.11
------------------------------------------------------------
Distributions:
Distributions from net investment income.......... (0.21) (0.44) (0.44) (0.37) (0.35) (0.30)
Distributions from net realized gain on securities - (0.22) (0.42) (0.19) (0.09) (0.20)
------------------------------------------------------------
Total distributions............................... (0.21) (0.66) (0.86) (0.56) (0.44) (0.50)
------------------------------------------------------------
Net asset value at end of period....................... $13.23 $12.55 $11.24 $10.84 $11.18 $10.66
------------------------------------------------------------
TOTAL RETURN........................................... 7.24% 17.90% 12.43% 1.86% 9.17% 0.87%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets............. 0.28% 0.57% 0.58% 0.59% 0.70% 0.90%
Ratio of net investment income to average net assets 1.64% 3.62% 4.03% 3.24% 3.28% 2.72%
Portfolio turnover rate............................. 78% 119% 133% 76% 78% 111%
Number of shares outstanding at end of period (000's) 14,107 15,142 16,319 17,956 14,758 13,341
Total net assets at end of period (000's)........... $186,704 $190,024 $183,393 $194,576 $165,002 $142,213
Average net assets during the period (000's)........ $184,455 $187,576 $186,487 $185,036 $151,450 $137,179
Average commission rate paid........................ $ 0.0401 n/a n/a n/a n/a n/a
</TABLE>
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED FISCAL YEAR ENDED MAY 31,
CAPITAL CONSERVATION FUND NOVEMBER 27, -------------------------------------------------
1996 1996 1995 1994 1993 1992
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period................. $9.23 $9.52 $9.13 $9.87 $9.29 $8.81
-----------------------------------------------------------
Income (loss) from investment operations:
Net investment income............................. 0.30 0.62 0.63 0.61 0.65 0.69
Net realized and unrealized gain (loss) on securities 0.36 (0.29) 0.39 (0.69) 0.58 0.48
-----------------------------------------------------------
Total income (loss) from investment operations.... 0.66 0.33 1.02 (0.08) 1.23 1.17
-----------------------------------------------------------
Distributions:
Distributions from net investment income.......... (0.30) (0.62) (0.63) (0.61) (0.65) (0.69)
Distributions from net realized gain on securities - - - (0.05) - -
-----------------------------------------------------------
Total distributions............................... (0.30) (0.62) (0.63) (0.66) (0.65) (0.69)
-----------------------------------------------------------
Net asset value at end of period....................... $9.59 $9.23 $9.52 $9.13 $9.87 $9.29
-----------------------------------------------------------
TOTAL RETURN........................................... 7.43% 3.41% 11.80% (1.13)% 13.60% 13.72%
-----------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets............. 0.28% 0.57% 0.58% 0.59% 0.67% 0.77%
Ratio of net investment income to average net assets 3.24% 6.47% 6.88% 6.24% 6.77% 7.80%
Portfolio turnover rate............................. 23% 80% 100% 55% 58% 121%
Number of shares outstanding at end of period (000's) 7,433 7,604 6,935 6,712 5,095 3,939
Total net assets at end of period (000's)........... $71,275 $70,212 $66,031 $61,305 $50,290 $36,609
Average net assets during the period (000's)........ $70,423 $70,271 $61,568 $59,210 $43,316 $29,793
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
98
<PAGE> 101
================================================================================
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on equity securities is presented
for the period beginning June 1, 1996.
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED FISCAL YEAR ENDED MAY 31,
GOVERNMENT SECURITIES FUND NOVEMBER 27, -------------------------------------------------
1996 1996 1995 1994 1993 1992
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period................. $9.61 $9.89 $9.55 $10.30 $9.84 $9.34
-----------------------------------------------------------
Income (loss) from investment operations:
Net investment income............................. 0.29 0.61 0.60 0.55 0.61 0.65
Net realized and unrealized gain (loss) on securities 0.30 (0.28) 0.35 (0.59) 0.59 0.49
-----------------------------------------------------------
Total income (loss) from investment operations.... 0.59 0.33 0.95 (0.04) 1.20 1.14
-----------------------------------------------------------
Distributions:
Distributions from net investment income.......... (0.29) (0.61) (0.61) (0.55) (0.61) (0.64)
Distributions from net realized gain on securities - - - (0.16) (0.13) -
-----------------------------------------------------------
Total distributions............................... (0.29) (0.61) (0.61) (0.71) (0.74) (0.64)
-----------------------------------------------------------
Net asset value at end of period....................... $9.91 $9.61 $9.89 $9.55 $10.30 $9.84
-----------------------------------------------------------
TOTAL RETURN........................................... 6.32% 3.32% 10.43% (0.66)% 12.56% 12.60%
-----------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets............. 0.28% 0.56% 0.58% 0.59% 0.67% 0.76%
Ratio of net investment income to average net assets 2.98% 6.21% 6.36% 5.44% 6.08% 6.77%
Portfolio turnover rate............................. 20% 36% 229% 85% 105% 78%
Number of shares outstanding at end of period (000's) 8,677 8,164 5,478 4,544 3,110 2,090
Total net assets at end of period (000's)........... $86,017 $78,423 $54,174 $43,401 $32,023 $20,559
Average net assets during the period (000's)........ $82,319 $68,017 $45,200 $41,596 $26,145 $17,069
</TABLE>
<TABLE>
<CAPTION>
FOR THE PERIOD PERIOD FROM
ENDED FISCAL YEAR ENDED MAY 31, OCTOBER 1, 1991
INTERNATIONAL GOVERNMENT BOND FUND NOVEMBER 27, -------------------------------------- TO
1996 1996 1995 1994 1993 MAY 31, 1992
---------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period................. $11.79 $12.72 $10.97 $11.16 $10.43 $10.00(1)
------------------------------------------------------------
Income (loss) from investment operations:
Net investment income............................. 0.34 0.65 0.65 0.62 0.76 0.48
Net realized and unrealized gain (loss) on securities
and foreign currencies.......................... 0.45 (0.89) 1.80 (0.20) 0.70 0.42
------------------------------------------------------------
Total income (loss) from investment operations.... 0.79 (0.24) 2.45 0.42 1.46 0.90
------------------------------------------------------------
Distributions:
Distributions from net investment income.......... (0.31) (0.68) (0.70) (0.60) (0.73) (0.47)
Distributions from net realized gain on securities - (0.01) - (0.01) - -
------------------------------------------------------------
Total distributions............................. (0.31) (0.69) (0.70) (0.61) (0.73) (0.47)
------------------------------------------------------------
Net asset value at end of period....................... $12.27 $11.79 $12.72 $10.97 $11.16 $10.43
------------------------------------------------------------
TOTAL RETURN........................................... 6.77% (1.91)% 23.23% 3.87% 14.50% 9.18%
------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets............. 0.28% 0.56% 0.59% 0.48% 0.14% 0.08%
Ratio of net investment income to average net assets 2.58% 5.45% 5.83% 5.87% 7.02% 4.62%
Portfolio turnover rate............................. 2% 11% 6% 3% 26% 12%
Number of shares outstanding at end of period (000's) 14,211 12,073 6,111 3,741 2,062 1,259
Total net assets at end of period (000's)........... $174,359 $142,383 $77,734 $41,028 $23,009 $13,126
Average net assets during the period (000's)........ $159,263 $114,693 $51,451 $33,561 $18,135 $11,938
</TABLE>
(1) The net asset value at the beginning of the period is as of commencement of
operations on October 1, 1991.
SEE NOTES TO FINANCIAL STATEMENTS.
99
<PAGE> 102
================================================================================
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
- --------------------------------------------------------------------------------
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on equity securities is presented
for the period beginning June 1, 1996.
<TABLE>
<CAPTION>
FOR THE PERIOD
ENDED FISCAL YEAR ENDED MAY 31,
MONEY MARKET FUND NOVEMBER 27, -------------------------------------------------
1996 1996 1995 1994 1993 1992
-----------------------------------------------------------------
<S> <C> <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 $1.00
-----------------------------------------------------------
Income from investment operations:
Net investment income............................. 0.02 0.05 0.05 0.03 0.03 0.05
-----------------------------------------------------------
Distributions:
Distributions from net investment income.......... (0.02) (0.05) (0.05) (0.03) (0.03) (0.05)
-----------------------------------------------------------
Net asset value at end of period....................... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
-----------------------------------------------------------
TOTAL RETURN........................................... 2.48% 5.26% 4.90% 2.83% 2.85% 4.47%
-----------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets............. 0.27% 0.57% 0.57% 0.58% 0.63% 0.67%
Ratio of net investment income to average net assets 2.38% 5.14% 4.75% 2.78% 2.81% 4.42%
Number of shares outstanding at end of period (000's) 120,814 83,618 82,256 50,534 45,323 48,355
Total net assets at end of period (000's)........... $120,814 $83,618 $82,254 $50,533 $45,322 $48,353
Average net assets during the period (000's)........ $100,707 $84,271 $67,021 $46,222 $45,562 $46,305
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
100
<PAGE> 103
================================================================================
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
- --------------------------------------------------------------------------------
BOARD OF DIRECTORS
Stephen D. Bickel
Norman Hackerman
John W. Lancaster
Ben H. Love
Joe C. Osborne
F. Robert Paulsen
Peter V. Tuters
R. Miller Upton
Thomas L. West, Jr.
DISTRIBUTOR
The Variable Annuity Marketing
Company (VAMCO)
2929 Allen Parkway
Houston, Texas 77019
CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
INVESTMENT ADVISER
The Variable Annuity Life
Insurance Company (VALIC)
2929 Allen Parkway
Houston, Texas 77019
INVESTMENT SUB-ADVISERS
Bankers Trust Company
1 Bankers Trust Plaza
New York, New York 10006
T. Rowe Price Associates, Inc.
100 East Pratt Street
Baltimore, Maryland 21202
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
OFFICERS
Stephen D. Bickel,
Chairman and President
Thomas L. West, Jr.,
Executive Vice President
Norman Jaskol,
Vice President and
Senior Investment Officer
Brent C. Nelson,
Vice President
Teresa S. Moro,
Vice President and
Investment Officer
John W. Mossbarger,
Vice President and
Investment Officer
Leon A. Olver,
Vice President and
Investment Officer
William Trimbur, Jr.,
Vice President and
Investment Officer
Cynthia A. Toles,
General Counsel
and Secretary
Gregory R. Seward,
Treasurer
Kathryn A. Pearce,
Controller
Betty J. North,
Assistant Vice President
David H. den Boer,
Assistant Secretary
Debra A. Yeang,
Assistant Treasurer
Kay Kramer,
Assistant Controller
This report is for the information of the shareholders and variable
contract owners participating in the American General Series Portfolio Company.
It is authorized for distribution to other persons only when preceded or
accompanied by an effective prospectus which contains information on how to
purchase shares and other pertinent information.
If you would like further information about this material or products
issued by VALIC or American General Life Insurance Company, please contact your
account representative.
"Standard & Poor's(R)", "Standard & Poor's MidCap 400 Index" and "S&P 500(R)"
are trademarks of Standard & Poor's Corporation. The Stock Index Fund and
MidCap Index Fund are not sponsored, endorsed, sold or promoted by S&P and S&P
makes no representation regarding the advisability of investing in the funds.
The Russell 2000(R) Index is a trademark / service mark of the Frank Russell
Company. Russell(TM) is a trademark of the Frank Russell Company.
[LOGO]
(C) 1996 The Variable Annuity Life Insurance Company, Houston Texas
VALIC is a registered service mark of The
Variable Annuity Life Insurance Company
VA 4873 VER 11/96
<PAGE> 104
----------------
AMERICAN GENERAL SERIES PORTFOLIO COMPANY Bulk Rate
U.S. Postage
P.O. Box 3206 PAID
Houston, Texas 77253-3206 Permit No. 6748
Houston, Texas
----------------
