<PAGE> 1
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AMERICAN GENERAL SERIES PORTFOLIO COMPANY - ANNUAL REPORT MAY 31, 1997
================================================================================
TABLE OF CONTENTS
<TABLE>
<S> <C>
President's Letter . . . . . . . . . . . . . . . . . . . . . . . . . 1
Stock Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . . 4
MidCap Index Fund . . . . . . . . . . . . . . . . . . . . . . . . . . 12
Small Cap Index Fund . . . . . . . . . . . . . . . . . . . . . . . . 19
International Equities Fund . . . . . . . . . . . . . . . . . . . . . 36
Growth Fund . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42
Growth & Income Fund . . . . . . . . . . . . . . . . . . . . . . . . 45
Science & Technology Fund . . . . . . . . . . . . . . . . . . . . . . 49
Social Awareness Fund . . . . . . . . . . . . . . . . . . . . . . . . 52
Timed Opportunity Fund . . . . . . . . . . . . . . . . . . . . . . . 57
Capital Conservation Fund . . . . . . . . . . . . . . . . . . . . . . 65
Government Securities Fund . . . . . . . . . . . . . . . . . . . . . 68
International Government Bond Fund . . . . . . . . . . . . . . . . . 70
Money Market Fund . . . . . . . . . . . . . . . . . . . . . . . . . . 74
Notes to Financial Statements . . . . . . . . . . . . . . . . . . . . 77
Financial Highlights . . . . . . . . . . . . . . . . . . . . . . . . 80
Report of Independent Auditors . . . . . . . . . . . . . . . . . . . 86
</TABLE>
<PAGE> 2
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AGSPC PRESIDENT'S LETTER 1
================================================================================
We are pleased to provide the May 31, 1997 Annual Report of the American
General Series Portfolio Company. This report details the investments of each
of the thirteen funds that comprise the American General Series Portfolio
Company and provides financial and performance information for each fund for
the fiscal year ended May 31, 1997.
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 2.
MARKET CONDITIONS
Domestic large capitalization equity returns exceeded 20% for the third
consecutive year. The Standard & Poor's 500 Stock Index (S&P 500) provided a
total return of 29.43%. An unusual aspect of the market this year, was the
wide divergence in performance of market sectors by market value of company.
In contrast to the return of the S&P, the Standard & Poor's MidCap 400 Index
(MidCap 400) returned 18.21%, an 11.22% difference. The performance of smaller
companies, as measured by the Russell 2000, was even greater with that index
returning 6.97%, a 22.46% difference. The bond markets also presented a wide
range of performance. As the economy continued to grow at a moderate pace with
very low levels of inflation, high quality corporate bonds earned 8.85%. Less
than investment grade bonds, reflecting investor confidence, produced a return
of 13.2%.
International returns, as measured by the Morgan Stanley Capital International
Index of Europe, Australia, and Far East (EAFE) were 7.54%. Stock market
rallies in Europe and Japan were offset somewhat by currency weakness.
FUND RETURNS
INDEXED FUNDS
The Stock Index Fund achieved a total return of 29.58%, 0.15% above its index.
The MidCap Index Fund returned 17.88%, 0.33% below its index. The Small Cap
Index Fund surpassed its index by 0.95% with a return of 7.92%. The
International Equities Fund achieved a return of 8.16%, 0.62% above its index.
MANAGED FUNDS
The managed funds' returns varied widely as concentration in different market
sectors produced the results consistent with the indexes discussed above.
The AGSPC Growth Fund returned 9.86%, under performing the S&P 500 by 19.57%.
The fund's focus on non-cyclical growth companies in service industries was not
in favor as a strong economy permitted better earnings performance among more
cyclical sectors. Continuing to emphasize higher growth, medium capitalization
issues should result in better performance if the economy slows or the market
leadership broadens.
The AGSPC Growth & Income Fund returned 17.89%, 11.54% less than the S&P 500.
The performance was closer to the MidCap 400 as mid-sized and smaller
capitalization stocks are heavily represented in the 1,700 issues that
constitute the Value Line Timeliness Ranking System. It is that system that
drives the investment selections for the AGSPC Growth & Income Fund.
The AGSPC Science & Technology Fund delivered a modest gain of 2.77% before
expenses. The principal deterrents to performance were a valuation compression
across all sectors of technology stocks, concern over the level of business
activity overseas and the general health of the personal computer industry.
Although the near term outlook is somewhat clouded, key industry product cycles
should positively impact the all important PC industry in 1988.
The Social Awareness Fund reported a gain of 31.04% for the fiscal year. This
was 1.61% above its index. Concentration on the larger capitalization growth
sectors and avoidance of the volatile tobacco industry aided performance.
The Timed Opportunity Fund earned 16.46% before expenses, 2.67% less than its
benchmark. An over weighting of some mid-cap stocks during the first half of
the year caused the equity portion of the fund to underperform. That strategy
was changed and subsequent performance has more closely paralleled the relevant
index.
BOND FUNDS
The Capital Conservation Fund yielded 8.32%, under performing its index by
0.53%. The shortfall was the result of an increase in credit quality with an
attendant lower yield on those issues. As credit concerns diminish higher
yields may be obtainable.
The Government Securities Fund achieved a return of 7.50%, 0.12% above its
index. Positions in callable agency notes and collateralized mortgage
obligations allowed the fund to achieve an enhanced yield.
The International Government Bond Fund recorded a return of 1.69%, 0.44% above
its index. The yield was reduced by the strong dollar versus all currencies in
which the fund is invested.
FUTURE OUTLOOK
The U.S. economic performance has been extremely favorable for investors.
Growth has proceeded at modest levels with Gross Domestic Product averaging
3.7% over the past five quarters. Inflation has been well contained with the
Consumer Price Index approximating 3% or less. Expectations of leading
economists are for Gross Domestic Product to rise at 2.4% in the second half of
1997 and to proceed at 2.2% in the first six months of 1988. Inflation is
projected at 2.7% for the second half of this year with an increase to 3.1% for
the first half of next year. Those conditions should result in long term
interest rates remaining in the current range of 6.3% to 7.2%. With relatively
stable interest rates, the stock market could improve from current levels.
Respectfully,
/s/ STEPHEN D. BICKEL
Stephen D. Bickel, President
American General Series Portfolio Company
July 10, 1997
<PAGE> 3
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2 AGSPC PRESIDENT'S LETTER CONTINUED
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FUND RETURNS AND TRACKING DIFFERENCES
For the period ended May 31, 1997
<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 ...................... 29.24% 0.34% 29.58% 29.43% 0.15%
MidCap Index Fund /
Standard & Poor's MidCap 400 .................. 17.48 0.40 17.88 18.21 (0.33)
Small Cap Index Fund / Russell 2000 ............. 7.51 0.41 7.92 6.97 0.95
International Equities Fund / EAFE .............. 7.74 0.42 8.16 7.54 0.62
Managed Funds:
Growth Fund / S&P 500 ........................... 9.00 0.86 9.86 29.43 (19.57)
Growth & Income Fund / S&P 500 .................. 17.08 0.81 17.89 29.43 (11.54)
Science & Technology Fund / S&P 500 ............. 1.81 0.96 2.77 29.43 (26.66)
Social Awareness Fund / S&P 500 ................. 30.48 0.56 31.04 29.43 1.61
Timed Opportunity Fund / Benchmark(b)............ 15.89 0.57 16.46 19.13 (2.67)
Capital Conservation Fund /
Merrill Lynch Corporate Master Bond ........... 7.75 0.57 8.32 8.85 (0.53)
Government Securities Fund /
Lehman Brothers U.S. Treasury ................. 6.94 0.56 7.50 7.38 0.12
Int'l Gov't Bond Fund /
Salomon Non U.S. Gov't Bond ................... 1.13 0.56 1.69 1.25 0.44
Money Market Fund / 30 Day Certificate of Deposit
Primary Offering Rate by New York City Banks
(NYC 30 Day CD Rate) .......................... 5.02 0.57 5.59 4.62 0.97
</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, 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.
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
- -----------------------------------------------------------------------------------------------------------
(UNAUDITED)
MAY 31, NOVEMBER 27, MAY 31, 6/1/96 TO 11/28/96 TO
FUND 1996 1996 1997 11/27/96 5/31/97
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index (emulate S&P 500) .................. $ 20.69 $ 23.37 $ 26.09 $ 0.19 $ 0.37
MidCap Index (emulate MidCap 400) .............. 19.09 20.33 20.83 0.12 1.33
Small Cap Index (emulate Russell 2000).......... 16.25 15.94 16.18 0.11 1.08
International Equities
(foreign long term growth stocks) ............ 11.15 11.43 11.44 0.11 0.43
Growth Fund (long term growth of capital) ...... 16.49 17.51 17.62 0.00 0.34
Growth & Income Fund (long term growth
of capital and current income) ............... 14.78 16.13 16.87 0.04 0.35
Science & Technology Fund (long term growth
of capital) .................................. 20.48 21.28 19.88 0.00 0.93
Social Awareness (social criteria growth
stocks)....................................... 15.49 17.72 17.90 0.12 1.90
Timed Opportunity (asset allocation) ........... 12.55 13.23 12.57 0.21 1.98
Capital Conservation (quality corporate
bonds) ....................................... 9.23 9.59 9.31 0.30 0.32
Government Securities (intermediate and
long term government bonds) .................. 9.61 9.91 9.67 0.29 0.30
International Government Bond (high quality
foreign government debt securities) .......... 11.79 12.27 11.33 0.31 0.29
Money Market (money market instruments) ........ 1.00 1.00 1.00 0.02 0.03
</TABLE>
The change in net asset value of the funds will not be the same as the change
in the accumulation unit value of your annuity contract because (1) the change
in net asset value does not reflect the reinvestment of income and capital gain
distributions and (2) the mortality and expense charges described in your
annuity contract are not included.
<PAGE> 4
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AGSPC PRESIDENT'S LETTER CONTINUED 3
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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 INDEPEN- GROUP SEPARATE SEPARATE
DIRECTOR DIRECTOR DENCE PLUS IMPACT UNIT PUR- NON ACCOUNT ACCOUNT
FUND 2* 1* UIT(G)-585 UIT-981 CHASE** 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
<PAGE> 5
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4 STOCK INDEX FUND - STATEMENT OF NET ASSETS May 31, 1997
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<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.75%
ADVERTISING - 0.08%
28,900 Interpublic Group Cos., Inc....$ 1,730,388
-------------
AEROSPACE/DEFENSE - 1.82%
130,279 Boeing Co...................... 13,711,865
29,000 EG & G, Inc.................... 565,500
27,980 General Dynamics Corp.......... 2,095,003
75,076 Lockheed Martin Corp........... 7,028,991
80,500 McDonnell Douglas Corp......... 5,182,188
22,800 Northrop Grumman Corp.......... 1,932,300
91,200 Raytheon Co.................... 4,354,800
44,000 TRW Inc........................ 2,354,000
91,100 United Technologies Corp....... 7,322,163
-------------
44,546,810
-------------
AIRLINES - 0.38%
35,700 *AMR Corp....................... 3,547,687
31,600 Delta Air Lines, Inc........... 2,962,500
55,200 Southwest Airlines Co.......... 1,421,400
41,400 *US Airways Group, Inc.......... 1,438,649
-------------
9,370,236
-------------
APPAREL & PRODUCTS - 0.10%
27,000 *Fruit of the Loom, Inc. Class A 941,624
32,900 Liz Claiborne, Inc............. 1,501,062
-------------
2,442,686
-------------
APPLIANCES/FURNISHINGS - 0.10%
35,000 Maytag Corp.................... 936,250
30,200 Whirlpool Corp................. 1,506,225
-------------
2,442,475
-------------
AUTO - CARS - 1.67%
270,274 Chrysler Corp.................. 8,581,199
437,300 Ford Motor Co.................. 16,398,750
278,200 General Motors Corp............ 15,926,949
-------------
40,906,898
-------------
AUTO - REPLACEMENT PARTS - 0.36%
44,200 *AutoZone, Inc.................. 1,033,175
18,700 Cooper Tire & Rubber Co........ 418,412
14,300 Echlin Inc..................... 477,263
AUTO - REPLACEMENT PARTS - Continued
74,400 Genuine Parts Co...............$ 2,492,399
65,800 Goodyear Tire & Rubber Co...... 3,849,300
15,800 Pep Boys-Manny, Moe & Jack..... 493,749
-------------
8,764,298
-------------
BANKS - NEW YORK CITY - 2.04%
148,600 Bank of New York Co., Inc...... 6,334,075
162,782 Chase Manhattan Corp........... 15,382,899
175,700 CitiCorp....................... 20,095,687
74,300 J. P. Morgan & Co. Inc......... 7,987,250
-------------
49,799,911
-------------
BANKS - OTHER - 2.70%
133,368 BankAmerica Corp............... 15,587,384
60,400 BankBoston Corp................ 4,409,200
121,923 First Chicago Corp............. 7,223,938
104,497 First Union Corp............... 8,973,679
105,393 *Fleet Financial Group, Inc..... 6,442,147
54,500 Mellon Bank Corp............... 4,768,750
73,200 National City Corp............. 3,769,799
14,000 Republic of New York Corp...... 1,396,500
66,000 US Bancorp..................... 4,050,750
35,233 Wells Fargo & Co............... 9,283,896
-------------
65,906,043
-------------
BANKS - REGIONAL - 2.71%
165,472 BANC ONE CORP.................. 7,156,664
75,000 Barnett Banks, Inc............. 3,946,874
32,700 Comerica Inc................... 2,043,750
81,400 CoreStates Financial Corp...... 4,304,025
45,100 Fifth Third Bancorp............ 3,483,974
53,500 First Bank System, Inc......... 4,387,000
85,170 KeyCorp........................ 4,631,119
287,792 NationsBank Corp............... 16,943,753
139,100 Norwest Corp................... 7,441,850
110,100 PNC Bank Corp.................. 4,610,437
72,200 SunTrust Banks, Inc............ 3,853,675
55,513 Wachovia Corp.................. 3,379,354
-------------
66,182,475
-------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.58%
11,900 Adolph Coors Class B...........$ 290,063
186,100 Anheuser-Busch Companies, Inc.. 7,979,037
18,915 Brown-Forman Corp Class B...... 967,029
124,600 Seagram Co. Ltd................ 5,015,150
-------------
14,251,279
-------------
BEVERAGE - SOFT DRINKS - 3.44%
923,100 Coca-Cola Co................... 63,001,575
571,200 PepsiCo, Inc................... 20,991,600
-------------
83,993,175
-------------
BROADCASTING - 0.85%
78,550 Comcast Corp. Class A Special.. 1,364,806
45,300 *General Instrument Corp........ 1,098,525
229,000 *Tele-Communications, Inc.
Class A ...................... 3,463,625
191,300 U S West Communications Group.. 7,006,363
210,600 *U S West Media Group........... 4,185,675
122,700 *Viacom, Inc. Class B........... 3,642,656
-------------
20,761,650
-------------
BUILDING MATERIALS - 0.32%
8,900 Armstrong World Industries,
Inc. ......................... 605,200
67,100 Lowe's Companies, Inc.......... 2,642,063
70,100 Masco Corp..................... 2,725,138
60,700 Sherwin-Williams Co............ 1,821,000
-------------
7,793,401
-------------
CHEMICAL - MAJOR - 2.13%
95,500 Dow Chemical Co................ 7,962,313
206,300 E.I. du Pont de Nemours and Co. 22,460,913
15,400 Goodrich (B.F.) Co............. 662,200
39,300 Hercules, Inc.................. 1,842,188
218,500 Monsanto Co.................... 9,614,000
54,900 Morton International, Inc...... 1,770,525
66,500 PPG Industries, Inc............ 3,865,313
18,300 Rohm and Haas Co............... 1,578,375
51,600 Union Carbide Corp............. 2,412,300
-------------
52,168,127
-------------
</TABLE>
<PAGE> 6
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May 31, 1997 STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 5
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
CHEMICAL - MISCELLANEOUS - 0.59%
41,100 Air Products and Chemicals,
Inc. .........................$ 3,195,525
30,637 Eastman Chemical Co............ 1,822,902
8,550 Ecolab Inc..................... 355,894
8,200 FMC Corp....................... 590,400
26,500 Great Lakes Chemical Corp...... 1,295,187
9,328 Millipore Corp................. 402,270
20,300 Nalco Chemical Co.............. 753,638
59,200 Praxair, Inc................... 3,115,400
32,400 Sigma Aldrich Corp............. 992,250
37,800 W. R. Grace & Co............... 1,975,050
------------
14,498,516
------------
CONGLOMERATES - 1.00%
105,800 Allied Signal Inc.............. 8,120,150
38,800 ITT Industries, Inc............ 960,300
36,500 Loews Corp..................... 3,549,625
65,200 Tenneco Inc.................... 2,917,700
27,600 Textron Inc.................... 3,270,600
69,600 Tyco International Ltd......... 4,419,600
53,900 Whitman Corp................... 1,300,337
------------
24,538,312
------------
CONSUMER FINANCE - 0.21%
20,400 Beneficial Corp................ 1,310,700
112,650 MBNA Corp...................... 3,816,019
------------
5,126,719
------------
CONTAINERS - METAL/
GLASS - 0.35%
4,700 Ball Corp...................... 136,887
93,500 Corning Inc.................... 4,710,063
55,700 Crown Cork & Seal Co., Inc..... 3,244,525
12,100 Owens Corning.................. 505,175
------------
8,596,650
------------
CONTAINERS - PAPER - 0.05%
6,500 Bemis Co., Inc................. 260,000
17,700 Temple-Inland Inc.............. 1,070,850
------------
1,330,850
------------
COSMETICS/TOILETRIES - 0.98%
6,800 Alberto-Culver Co. Class B.....$ 193,800
57,800 Avon Products, Inc............. 3,684,750
204,100 Gillette Co.................... 18,139,387
45,300 International Flavors &
Fragrances, Inc............... 2,010,188
------------
24,028,125
------------
DRUGS - 7.01%
14,200 Allergan, Inc.................. 420,675
31,600 *ALZA Corp...................... 932,200
235,600 American Home Products Corp.... 17,964,500
104,400 *Amgen Inc...................... 6,981,750
23,900 Bausch & Lomb Inc.............. 961,975
367,000 Bristol Myers Squibb Co........ 26,928,625
48,200 CVS Corp....................... 2,307,575
203,100 Eli Lilly and Co............... 18,888,300
444,300 Merck & Co., Inc............... 39,931,463
205,570 Pharmacia & Upjohn, Inc........ 7,117,861
250,900 Pfizer, Inc.................... 25,811,337
142,700 Schering-Plough Corp........... 12,950,025
101,600 Warner-Lambert Co.............. 10,236,200
------------
171,432,486
------------
ELECTRICAL EQUIPMENT - 4.00%
93,700 AMP Inc........................ 3,853,413
62,000 *Cabletron Systems, Inc......... 2,728,000
175,000 Emerson Electric Co............ 9,450,000
1,208,000 General Electric Co............ 72,933,000
28,400 *Intergraph Corp................ 200,575
30,500 National Service Industries,
Inc. ......................... 1,338,187
21,600 Raychem Corp................... 1,601,100
6,800 Thomas & Betts Corp............ 345,950
199,258 Westinghouse Electric Corp..... 4,034,975
14,200 W. W. Grainger Inc............. 1,139,550
------------
97,624,750
------------
ELECTRONIC INSTRUMENTS - 0.20%
28,100 General Signal Corp............ 1,183,713
19,400 Perkin-Elmer Corp.............. 1,474,400
3,600 Tektronix, Inc................. 206,550
58,700 *Thermo Electron Corp........... 2,025,150
------------
4,889,813
------------
ENTERTAINMENT - 1.51%
39,400 *Harrah's Entertainment, Inc....$ 733,825
62,475 Hasbro, Inc.................... 1,811,775
16,200 *King World Productions, Inc.... 609,525
117,787 Mattel, Inc.................... 3,518,887
210,200 Time Warner Inc................ 9,774,300
248,552 Walt Disney Co................. 20,350,195
------------
36,798,507
------------
FINANCE COMPANIES - 0.23%
59,300 Green Tree Financial Corp...... 2,075,500
36,800 Household International, Inc... 3,615,600
------------
5,691,100
------------
FOODS - 2.33%
204,945 Archer Daniels Midland Co...... 4,098,899
173,900 Campbell Soup Co............... 7,999,400
89,350 ConAgra, Inc................... 5,372,169
54,200 CPC International Inc.......... 4,661,200
60,000 General Mills, Inc............. 3,795,000
136,650 H J Heinz Co................... 5,875,950
47,000 Hershey Foods Corp............. 2,637,875
77,700 Kellogg Co..................... 5,730,375
24,100 Pioneer Hi-Bred International,
Inc. ......................... 1,680,975
57,400 Quaker Oats Co................. 2,367,750
37,700 Ralston Purina Co.............. 3,213,925
181,200 Sara Lee Corp.................. 7,406,550
37,100 Wm. Wrigley Jr. Co............. 2,198,175
------------
57,038,243
------------
FOOTWEAR - 0.20%
71,400 NIKE, Inc. Class B............ 4,069,800
18,900 *Reebok International Ltd....... 774,900
3,800 Stride Rite Corp............... 57,950
------------
4,902,650
------------
FREIGHT - 0.14%
41,200 *Federal Express Corp........... 2,157,850
37,200 Ryder System, Inc.............. 1,232,250
------------
3,390,100
------------
FUNERAL SERVICES - 0.10%
72,700 Service Corp. International.... 2,562,675
------------
</TABLE>
<PAGE> 7
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6 STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
GOLD MINING - 0.27%
151,700 Barrick Gold Corp..............$ 3,830,425
52,100 Battle Mountain Gold Co........ 312,599
21,800 *Echo Bay Mines Ltd............. 133,525
53,900 Homestake Mining Co............ 747,863
88,900 Placer Dome Inc................ 1,622,425
------------
6,646,837
------------
GOVERNMENT SPONSORED - 1.08%
266,000 Federal Home Loan Mortgage
Corp. ........................ 8,778,000
402,000 Federal National Mortgage
Association................... 17,537,250
------------
26,315,250
------------
HARDWARE & TOOLS - 0.13%
31,300 Black & Decker Corp............ 1,087,675
11,550 Snap-on Inc.................... 460,556
42,600 Stanley Works.................. 1,746,600
------------
3,294,831
------------
HEALTHCARE - 0.42%
41,300 Cardinal Health, Inc........... 2,405,725
114,400 *HealthSouth Corp............... 2,616,900
45,800 *Humana Inc..................... 1,036,225
72,700 United HealthCare Corp......... 4,107,550
------------
10,166,400
------------
HEAVY DUTY TRUCKS/PARTS - 0.29%
19,700 Cummins Engine Co., Inc........ 1,255,875
27,100 Dana Corp...................... 978,988
31,300 Eaton Corp..................... 2,496,175
39,010 *Navistar International Corp.... 648,541
32,710 PACCAR Inc..................... 1,480,128
------------
6,859,707
------------
HOME BUILDERS - 0.05%
16,600 Centex Corp.................... 661,925
14,456 Kaufman & Broad Home Corp...... 216,840
7,900 Pulte Corp..................... 249,838
------------
1,128,603
------------
HOSPITAL MANAGEMENT - 0.53%
8,000 *Beverly Enterprises, Inc....... 113,000
249,584 Columbia/HCA Healthcare Corp... 9,141,014
HOSPITAL MANAGEMENT - Continued
13,000 Manor Care, Inc................$ 372,125
13,100 Shared Medical Systems Corp.... 694,300
94,700 *Tenet Healthcare Corp.......... 2,604,250
------------
12,924,689
------------
HOSPITAL SUPPLIES - 2.93%
291,900 Abbott Laboratories............ 18,389,700
8,400 Bard (C. R.), Inc.............. 268,800
109,700 Baxter International Inc....... 5,786,675
55,200 Becton, Dickinson and Co....... 2,718,600
64,100 Biomet, Inc.................... 1,197,869
67,677 *Boston Scientific Corp......... 3,612,260
487,200 Johnson & Johnson.............. 29,171,100
37,900 Mallinckrodt, Inc.............. 1,416,513
90,700 Medtronic, Inc................. 6,711,800
40,650 *St. Jude Medical, Inc.......... 1,377,019
25,700 United States Surgical Corp.... 867,375
------------
71,517,711
------------
HOUSEHOLD PRODUCTS - 3.06%
19,200 Clorox Co...................... 2,424,000
118,800 Colgate-Palmolive Co........... 7,365,600
154,600 Minnesota Mining &
Manufacturing Co.............. 14,184,550
59,000 Newell Co...................... 2,256,750
249,226 Procter & Gamble Co............ 34,362,035
63,100 Rubbermaid, Inc................ 1,758,913
27,600 Tupperware Corp................ 1,000,500
59,300 Unilever N V - ADR............. 11,489,375
------------
74,841,723
------------
INFORMATION PROCESSING - 9.21%
1 ACNielson...................... 17
58,400 Adobe Systems Inc.............. 2,606,100
53,500 *Amdahl Corp.................... 535,000
53,700 *Apple Computer, Inc............ 892,763
22,200 Autodesk, Inc.................. 863,025
105,200 Automatic Data Processing, Inc. 5,167,950
78,400 *Bay Networks, Inc.............. 1,920,800
27,452 *Ceridian Corp.................. 1,008,861
241,600 *Cisco Systems, Inc............. 16,368,400
68,600 Cognizant Corp................. 2,538,200
101,400 *Compaq Computer Corp........... 10,976,550
INFORMATION PROCESSING - Continued
137,687 Computer Associates
International, Inc............$ 7,538,363
24,700 *Computer Sciences Corp......... 1,911,163
67,400 *Dell Computer Corp............. 7,582,500
62,800 *Digital Equipment Corp......... 2,252,950
91,900 *E M C Corp..................... 3,664,513
166,754 First Data Corp................ 6,670,160
40,100 H & R Block Inc................ 1,323,300
373,000 Hewlett Packard Co............. 19,209,500
51,900 Honeywell Inc.................. 3,775,725
377,800 International Business
Machines Corp................. 32,679,700
444,000 *Microsoft Corp................. 55,056,000
142,500 *Novell, Inc ................... 1,122,188
244,125 *Oracle Corp.................... 11,382,328
49,900 *Parametric Technology Corp..... 2,239,263
52,800 Pitney Bowes Inc............... 3,709,200
96,300 *Seagate Technology............. 3,912,188
58,100 *Silicon Graphics, Inc.......... 1,096,638
142,100 *Sun Microsystems, Inc.......... 4,582,725
26,800 *Tandem Computers Inc........... 381,900
66,400 *3Com Corp...................... 3,220,400
37,700 Unisys Corp.................... 259,188
7 Wang Laboratories, Inc.
(Warrants) ................... 43
128,800 Xerox Corp..................... 8,726,200
------------
225,173,801
------------
INSURANCE - CASUALTY - 0.34%
67,800 Chubb Corp..................... 4,135,800
47,400 SAFECO Corp.................... 2,061,900
24,300 St. Paul Companies, Inc........ 1,740,488
13,900 USF & G Corp................... 298,850
------------
8,237,038
------------
INSURANCE - LIFE - 0.76%
60,292 Aetna Inc...................... 6,089,492
72,400 Conseco Inc.................... 2,896,000
30,375 Jefferson-Pilot Corp........... 1,932,609
47,800 Lincoln National Corp.......... 2,909,825
20,200 Torchmark Corp................. 1,325,625
21,109 Transamerica Corp.............. 1,918,280
30,150 USLIFE Corp.................... 1,469,813
------------
18,541,644
------------
</TABLE>
<PAGE> 8
================================================================================
May 31, 1997 STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 7
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
INSURANCE - MISCELLANEOUS - 0.49%
31,600 General Reinsurance Corp.......$ 5,537,900
15,800 MBIA, Inc...................... 1,696,525
21,800 MGIC Investment Corp........... 1,940,200
33,700 UNUM Corp...................... 2,666,513
------------
11,841,138
------------
INSURANCE - MULTILINE - 2.80%
165,520 Allstate Corp.................. 12,186,409
172,418 American International Group,
Inc. ......................... 23,341,087
49,500 Aon Corp....................... 2,413,125
33,600 CIGNA Corp..................... 5,838,000
55,200 Hartford Financial Services
Group ........................ 4,305,600
35,600 Marsh & McLennan Companies,
Inc........................... 4,690,300
44,500 Providian Corp................. 2,664,437
236,810 Travelers Group, Inc........... 12,994,949
------------
68,433,907
------------
LEISURE TIME - 0.02%
17,900 Brunswick Corp................. 545,950
------------
LODGING - 0.46%
58,600 *HFS, Inc....................... 3,157,075
100,400 Hilton Hotels Corp............. 2,836,300
47,700 *ITT Corp....................... 2,844,113
43,700 Marriott International, Inc.... 2,523,675
------------
11,361,163
------------
MACHINE TOOLS - 0.02%
4,700 Cincinnati Milacron Inc........ 108,688
22,800 Giddings & Lewis, Inc.......... 432,131
------------
540,819
------------
MACHINERY - AGRICULTURE - 0.29%
32,300 Case Corp...................... 1,905,700
100,200 Deere & Co..................... 5,122,725
------------
7,028,425
------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.39%
73,000 Caterpillar Inc................ 7,126,625
34,200 Fluor Corp..................... 1,808,325
2,600 Foster Wheeler Corp............ 100,750
MACHINERY - CONSTRUCTION &
CONTRACTS - Continued
10,800 Harnischfeger Industries Inc...$ 463,050
------------
9,498,750
------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.60%
1,600 Aeroquip-Vickers, Inc.......... 69,400
14,600 Briggs & Stratton Corp......... 753,725
42,700 Cooper Industries, Inc......... 2,177,700
32,400 Dover Corp..................... 1,854,900
79,200 Illinois Tool Works Inc........ 3,930,300
33,200 Ingersoll-Rand Co.............. 1,809,400
32,000 Johnson Controls, Inc.......... 1,356,000
51,733 Pall Corp...................... 1,222,192
19,050 Parker Hannifin Corp........... 1,002,506
6,400 Timken Co...................... 439,200
------------
14,615,323
------------
MEDICAL TECHNOLOGY - 0.10%
32,500 Guidant Corp................... 2,522,813
------------
MERCHANDISE - DRUG - 0.27%
16,600 Longs Drug Stores Corp......... 394,250
49,000 Rite Aid Corp.................. 2,278,500
82,400 Walgreen Co.................... 3,852,200
------------
6,524,950
------------
MERCHANDISE - SPECIALTY - 1.28%
41,000 American Greetings Corp.
Class A ...................... 1,404,250
29,500 Charming Shoppes, Inc.......... 154,875
27,100 Circuit City Stores, Inc....... 1,070,450
90,722 *CostCo Companies, Inc.......... 3,061,868
109,800 Gap, Inc....................... 3,760,650
186,400 Home Depot, Inc................ 11,743,200
49,600 Ikon Office Solutions Inc...... 1,438,400
973 Jostens, Inc................... 23,960
79,398 Limited, Inc................... 1,607,810
34,000 Nordstrom, Inc................. 1,632,000
16,800 Tandy Corp..................... 907,200
21,800 TJX Companies, Inc............. 1,046,400
106,625 *Toys "R" Us, Inc............... 3,318,703
------------
31,169,766
------------
MERCHANDISING - DEPARTMENT - 0.55%
81,000 Dayton Hudson Corp.............$ 3,898,125
30,800 Dillards, Inc. Class A......... 1,039,500
87,300 *Federated Department Stores,
Inc . ........................ 3,230,100
94,300 May Department Stores Co....... 4,443,888
16,000 Mercantile Stores Co., Inc..... 860,000
------------
13,471,613
------------
MERCHANDISING - FOOD - 0.60%
108,100 Albertsons, Inc................ 3,621,350
56,700 American Stores Co............. 2,579,850
6,900 Fleming Companies, Inc......... 131,100
15,500 Giant Food Inc. Class A........ 510,531
15,300 Great Atlantic & Pacific Tea
Co., Inc. .................... 422,663
95,600 *Kroger Co...................... 2,449,750
16,700 Supervalu Inc.................. 557,363
71,900 SYSCO Corp..................... 2,507,513
52,000 Winn-Dixie Stores, Inc......... 1,989,000
------------
14,769,120
------------
MERCHANDISING - MASS - 1.83%
149,100 *CUC International Inc.......... 3,429,300
107,000 J.C. Penney Co., Inc........... 5,510,500
190,300 KMart Corp..................... 2,664,200
147,200 Sears Roebuck and Co........... 7,231,200
841,600 Wal-Mart Stores, Inc........... 25,037,600
35,000 *Woolworth Corp................. 844,375
------------
44,717,175
------------
METALS - ALUMINUM - 0.39%
68,000 Alcan Aluminium Ltd............ 2,439,500
66,600 Aluminum Co. of America........ 4,903,425
33,100 Reynolds Metals Co............. 2,246,663
------------
9,589,588
------------
METALS - COPPER - 0.21%
19,300 ASARCO Inc..................... 600,713
58,732 Newmont Mining Corp............ 2,297,884
27,200 Phelps Dodge Corp.............. 2,274,600
------------
5,173,197
------------
METALS - MISCELLANEOUS - 0.21%
31,350 Cyprus Amax Minerals Co........ 764,156
57,075 Engelhard Corp................. 1,234,247
</TABLE>
<PAGE> 9
================================================================================
8 STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
METALS - MISCELLANEOUS - Continued
47,000 Freeport-McMoran Copper & Gold
Inc. Class B..................$ 1,368,875
52,400 Inco Limited................... 1,729,200
------------
5,096,478
------------
METALS - STEEL - 0.25%
51,125 Allegheny Teldyne Inc.......... 1,316,469
22,300 Armco Inc...................... 83,625
21,900 *Bethlehem Steel Corp........... 219,000
20,200 Inland Steel Industries, Inc... 497,425
31,100 Nucor Corp..................... 1,834,900
38,620 USX-US Steel Group, Inc........ 1,245,495
53,625 Worthington Industries, Inc.... 992,063
------------
6,188,977
------------
MISCELLANEOUS - 0.50%
176,200 American Express Co............ 12,245,900
------------
MOBILE HOMES - 0.02%
14,600 Fleetwood Enterprises, Inc..... 394,200
------------
NATURAL GAS - DIVERSIFIED - 0.30%
37,900 Coastal Corp................... 1,899,738
11,200 ENSEARCH Corp.................. 239,400
55,200 NorAm Energy Corp.............. 841,800
65,829 PanEnergy Corp................. 3,077,506
23,700 Sonat Inc...................... 1,362,750
------------
7,421,194
------------
OIL - INTEGRATED DOMESTIC - 2.02%
35,700 Amerada Hess Corp.............. 1,909,950
183,100 Amoco Corp..................... 16,364,562
26,900 Ashland Oil, Inc............... 1,287,837
60,100 Atlantic Richfield Co.......... 8,744,550
49,200 Burlington Resources, Inc..... 2,287,800
11,100 Kerr-McGee Corp................ 718,725
117,700 Occidental Petroleum Corp...... 2,736,525
40,800 *Oryx Energy Co................. 943,500
18,500 Pennzoil Co.................... 1,024,437
96,300 Phillips Petroleum Co.......... 4,092,749
40,202 *Santa Fe Energy Resources, Inc. 608,055
40,916 Sun Co., Inc................... 1,222,366
96,000 Unocal Corp.................... 4,092,000
114,000 USX-Marathon Group............. 3,391,500
------------
49,424,556
------------
OIL - INTEGRATED
INTERNATIONAL - 5.79%
240,000 Chevron Corp...................$ 16,800,000
912,000 Exxon Corp..................... 54,036,000
150,900 Mobil Corp..................... 21,107,138
195,500 Royal Dutch Petroleum
Co. - ADR ................... 38,171,375
104,500 Texaco Inc..................... 11,403,563
------------
141,518,076
------------
OIL - SERVICE - PRODUCTS - 0.45%
91,500 Schlumberger Ltd............... 10,899,938
------------
OIL - SERVICES - 0.48%
58,800 Baker Hughes Inc............... 2,205,000
70,900 Dresser Industries, Inc........ 2,428,325
49,500 Halliburton Co................. 3,830,063
34,300 McDermott International, Inc... 951,825
25,500 *Rowan Companies, Inc........... 589,688
26,800 *Western Atlas Inc.............. 1,819,050
------------
11,823,951
------------
OIL/GAS PRODUCERS - 0.14%
3,000 Helmerich & Payne, Inc......... 168,375
8,700 Louisiana Land & Exploration
Co. .......................... 448,050
98,842 Union Pacific Resources Group
Inc. ......................... 2,854,063
------------
3,470,488
------------
PAPER/FOREST PRODUCTS - 1.43%
48,200 Avery Dennison Corp............ 1,813,525
8,366 Boise Cascade Corp............. 317,908
37,900 Champion International Corp.... 1,871,313
39,200 Georgia-Pacific Corp........... 3,459,400
114,918 International Paper Co......... 5,516,064
42,400 James River Corp. of Virginia.. 1,489,300
209,732 Kimberly-Clark Corp............ 10,512,817
41,600 Louisiana Pacific Corp......... 811,200
16,000 Mead Corp...................... 1,020,000
4,900 Potlatch Corp.................. 210,088
23,364 *Stone Container Corp........... 321,255
35,450 Union Camp Corp................ 1,861,125
26,850 Westvaco Corp.................. 839,063
74,300 Weyerhaeuser Co................ 3,705,713
17,500 Willamette Industries, Inc..... 1,303,750
------------
35,052,521
------------
PHOTOGRAPHY - 0.46%
123,850 Eastman Kodak Co...............$ 10,264,069
18,100 Polaroid Corp.................. 923,100
------------
11,187,169
------------
POLLUTION CONTROL - 0.39%
82,500 Browning-Ferris Industries Inc. 2,701,875
71,800 Laidlaw Inc. Class B........... 969,300
50 Safety-Kleen Corp.............. 781
183,700 Waste Management, Inc.......... 5,832,475
------------
9,504,431
------------
PUBLISHING - NEWS - 0.53%
35,100 Dow Jones & Co., Inc........... 1,364,513
53,900 Gannett Co., Inc............... 4,985,750
42,400 Knight-Ridder, Inc............. 1,828,500
24,800 New York Times Co. Class A..... 1,142,350
39,732 Times Mirror Co................ 2,229,959
31,200 Tribune Co..................... 1,349,400
------------
12,900,472
------------
PUBLISHING/PRINTING - 0.35%
44,800 Deluxe Corp.................... 1,456,000
64,500 Dun & Bradstreet Corp.......... 1,685,063
19,217 Harcourt General, Inc.......... 910,405
24,000 McGraw-Hill, Inc............... 1,311,000
21,600 Moore Corp. Ltd................ 480,600
71,800 RR Donnelley & Sons Co......... 2,665,575
------------
8,508,643
------------
RAILROAD - 0.80%
57,317 Burlington Northern Santa Fe... 4,757,310
73,600 CSX Corp...................... 3,900,800
48,300 Norfolk Southern Corp.......... 4,691,138
90,000 Union Pacific Corp............. 6,097,500
------------
19,446,748
------------
RESTAURANTS - 0.58%
55,800 Darden Restaurants, Inc........ 467,325
258,500 McDonald's Corp................ 12,989,624
30,000 Wendy's International, Inc..... 701,250
------------
14,158,199
------------
</TABLE>
<PAGE> 10
================================================================================
May 31, 1997 STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 9
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
SAVINGS & LOAN - 0.22%
25,100 Golden West Financial Corp.....$ 1,700,525
53,250 Great Western Financial Corp... 2,582,625
24,900 H.F. Ahmanson & Co............. 1,014,675
------------
5,297,825
------------
SECURITIES RELATED - 0.85%
65,100 Charles Schwab Corp............ 2,644,688
125,496 Dean Witter, Discover & Co..... 5,176,711
63,700 Merrill Lynch & Co., Inc....... 6,752,200
57,700 Morgan Stanley Group Inc....... 3,894,749
41,500 Salomon Inc.................... 2,225,438
------------
20,693,786
------------
SEMICONDUCTORS - 3.52%
57,700 *Advanced Micro Devices, Inc.... 2,308,000
72,500 *Applied Materials, Inc......... 4,730,625
302,000 Intel Corp..................... 45,753,000
55,500 *LSI Logic Corp................. 2,317,125
84,100 *Micron Technology, Inc......... 3,574,250
218,900 Motorola, Inc.................. 14,529,488
46,700 *National Semiconductor Corp.... 1,313,438
76,900 Rockwell International Corp.... 4,960,050
72,800 Texas Instruments Inc.......... 6,542,900
------------
86,028,876
------------
TELECOMMUNICATIONS - 2.02%
202,100 *Airtouch Communications, Inc... 5,633,537
56,300 ALLTEL Corp.................... 1,850,862
32,335 *Andrew Corp.................... 881,129
57,000 *DSC Communications Corp........ 1,457,063
47,300 Frontier Corp.................. 869,138
20,100 Harris Corp.................... 1,781,363
236,090 Lucent Technologies, Inc....... 15,021,226
89,300 Northern Telecom Ltd........... 7,501,200
29,500 Scientific-Atlanta, Inc........ 534,688
70,800 *Tellabs, Inc................... 3,557,699
345,800 *WorldCom, Inc.................. 10,244,324
------------
49,332,229
------------
TEXTILE - PRODUCTS - 0.10%
26,100 Russell Corp................... 799,313
19,700 V F Corp....................... 1,539,063
------------
2,338,376
------------
TOBACCO - 1.85%
74,400 Fortune Brands, Inc............$ 3,645,600
891,000 Philip Morris Cos Inc.......... 39,204,000
85,600 UST Inc........................ 2,439,600
------------
45,289,200
------------
TRUCKERS - 0.02%
14,200 Caliber System, Inc............ 454,400
------------
UTILITIES - COMMUNICATION - 5.07%
593,226 AT & T Corp.................... 21,875,209
201,900 Ameritech Corp................. 13,224,449
161,200 Bell Atlantic Corp............. 11,284,000
365,100 BellSouth Corp................. 16,566,412
355,200 GTE Corp....................... 15,673,199
269,100 MCI Communications Corp........ 10,326,712
164,200 NYNEX Corp..................... 8,825,750
339,279 SBC Communications, Inc........ 19,847,822
130,600 Sprint Corp.................... 6,383,075
------------
124,006,628
------------
UTILITIES - ELECTRIC - 2.35%
58,900 American Electric Power, Inc... 2,400,175
35,200 Baltimore Gas and Electric Co.. 923,999
60,100 Carolina Power & Light Co...... 2,088,474
105,700 Central & South West Corp...... 2,246,125
41,164 Cinergy Corp................... 1,440,740
89,400 Consolidated Edison Co. of
New York, Inc................. 2,603,775
42,300 DTE Energy Co.................. 1,126,238
57,650 Dominion Resources, Inc........ 1,996,130
78,700 Duke Power Co.................. 3,541,499
170,200 Edison International........... 3,978,425
110,500 Entergy Corp................... 2,914,438
68,900 FPL Group, Inc................. 3,203,850
32,600 GPU Inc........................ 1,141,000
127,600 Houston Industries, Inc........ 2,647,699
37,500 *Niagara Mohawk Power Corp...... 328,124
26,000 Northern States Power Co....... 1,274,000
35,900 Ohio Edison Co................. 762,875
161,400 P G & E Corp................... 3,732,375
44,500 P P & L Resources Inc.......... 895,563
83,900 PacifiCorp..................... 1,667,513
109,300 Peco Energy Co................. 2,076,700
112,550 Public Service Enterprise
Group ........................ 2,785,613
UTILITIES - ELECTRIC - Continued
254,700 Southern Co....................$ 5,412,374
100,400 Texas Utilities Co............. 3,451,249
81,400 Unicom Corp.................... 1,851,850
28,800 Union Electric Co.............. 1,054,800
------------
57,545,603
------------
UTILITIES - GAS, DISTRIBUTION - 0.03%
23,700 NICOR Inc...................... 814,688
------------
UTILITIES - GAS, PIPELINE - 0.47%
22,000 Columbia Gas System, Inc....... 1,416,250
44,100 Consolidated Natural Gas Co.... 2,342,812
98,000 Enron Corp..................... 3,993,499
18,300 ONEOK Inc...................... 553,575
15,000 Pacific Enterprises............ 491,249
2,200 Peoples Energy Corp............ 78,100
60,150 Williams Companies, Inc........ 2,654,119
------------
11,529,604
------------
TOTAL COMMON STOCKS
(Cost $1,341,383,385).........2,413,534,435
-------------
PAR
VALUE
- -----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.00%
CONSUMER FINANCE - 0.20%
$5,000,000 Beneficial Corp.,
5.48% due 06/03/97............ 4,998,477
------------
FINANCE COMPANIES - 0.69%
7,223,000 Ford Motor Credit Co.,
5.55% due 06/05/97............ 7,218,543
9,682,000 General Motors Acceptance
Corp., 5.53% due 06/03/97..... 9,679,023
------------
16,897,566
------------
SECURITIES RELATED - 0.11%
2,688,000 Merrill Lynch & Co., Inc.,
5.65% due 06/02/97............ 2,687,578
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $24,583,621)............. 24,583,621
------------
</TABLE>
<PAGE> 11
================================================================================
10 STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
<S> <C> <C>
UNITED STATES GOVERNMENT -
SHORT TERM - 0.05%
U.S. TREASURY BILLS - 0.05%
United States Treasury Bills:
$1,000,000 4.99% due 08/21/97.......... $ 988,756
200,000 4.81% due 08/21/97.......... 197,835
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $1,186,591)........... 1,186,591
--------------
TOTAL INVESTMENTS
(Cost $1,367,153,597) -
99.80% .................... 2,439,304,647
Other assets and liabilities,
net - 0.20%................. 4,894,878
--------------
NET ASSETS (equivalent
to $26.09 per share on
93,687,435 shares
outstanding) - 100%......... $2,444,199,525
==============
*Non-income producing
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- --------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/97)
57(2) S&P 500 Index Futures
(June/$850.60)...............$ 323,500
==============
(1)U.S.Treasury Bills with a market value of
approximately $1,200,000 were maintained in a
segregated account with a portion placed as
collateral for futures contracts.
(2)Per 500
<CAPTION>
MARKET
VALUE
------
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
93,687,435 shares outstanding.......... $ 936,874
Additional paid in capital............... 1,357,087,077
Undistributed net realized gain on
securities ............................. 13,320,453
Undistributed net investment income...... 380,571
Unrealized appreciation of:
Investments........... $1,072,151,050
Futures .............. 323,500 1,072,474,550
-------------- --------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................ $2,444,199,525
==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 12
================================================================================
STOCK INDEX FUND - FINANCIAL STATEMENTS 11
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ....................................................................... $ 40,617,795
Interest ........................................................................ 1,650,621
-------------
Total investment income ....................................................... 42,268,416
-------------
EXPENSES:
Advisory fees ................................................................... 5,543,535
Custodian and accounting services ............................................... 712,922
Reports to shareholders ......................................................... 278,292
Audit fees and tax services ..................................................... 74,760
Directors' fees and expenses .................................................... 47,386
Miscellaneous ................................................................... 118,984
-------------
Total expenses ................................................................ 6,775,879
NET INVESTMENT INCOME ........................................................... 35,492,537
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on:
Investments ................................................... $ 9,929,103
Futures contracts ............................................. 4,849,795 14,778,898
------------- -------------
Net unrealized appreciation (depreciation) of securities
during the year:
Investments ................................................... 489,223,396
-------------
Futures contracts ............................................. (95,175) 489,128,221
------------- -------------
Net realized and unrealized gain on securities during the year................ 503,907,119
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................................ $ 539,399,656
=============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
--------------- ---------------
<S> <C> <C>
OPERATIONS:
Net investment income ............................... $ 35,492,537 $ 30,725,263
--------------- ---------------
Net realized gain on securities ..................... 14,778,898 14,548,606
Net unrealized appreciation of securities
during the year .................................... 489,128,221 322,971,346
--------------- ---------------
Increase in net assets resulting from operations .. 539,399,656 368,245,215
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................... (35,484,625) (30,481,712)
Net realized gain on securities ..................... (14,806,928) (30,841,988)
--------------- ---------------
Decrease in net assets resulting from distributions
to shareholders .................................. (50,291,553) (61,323,700)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold .................... 241,746,270 195,841,204
Proceeds from capital stock issued for distributions
reinvested ........................................ 50,291,553 61,323,700
--------------- ---------------
292,037,823 257,164,904
Cost of capital stock repurchased ................... (97,732,690) (71,292,243)
--------------- ---------------
Increase in net assets resulting from capital stock
transactions ..................................... 194,305,133 185,872,661
--------------- ---------------
TOTAL INCREASE IN NET ASSETS ........................ 683,413,236 492,794,176
NET ASSETS:
Beginning of year ................................... 1,760,786,289 1,267,992,113
--------------- ---------------
End of year (including undistributed net
investment income of $380,571 and $372,659) ....... $ 2,444,199,525 $ 1,760,786,289
=============== ===============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ........................ 10,718,393 10,230,862
Shares issued for distributions reinvested .......... 2,200,590 3,223,528
Shares of capital stock repurchased ................. (4,348,853) (3,788,544)
--------------- ---------------
Increase in shares outstanding .................... 8,570,130 9,665,846
Shares outstanding:
Beginning of year ................................. 85,117,305 75,451,459
--------------- ---------------
End of year ....................................... 93,687,435 85,117,305
=============== ===============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 13
================================================================================
12 MIDCAP INDEX FUND - STATEMENT OF NET ASSETS May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 98.92%
ADVERTISING - 0.60%
62,764 Omnicom Group, Inc.............$ 3,640,312
------------
AEROSPACE/DEFENSE - 1.03%
21,780 Gencorp Inc.................... 460,102
19,371 OEA, Inc....................... 731,254
18,155 *Rohr, Inc...................... 383,523
5,900 Sequa Corp. Class A............ 287,624
48,674 Sunstrand Corp................. 2,421,531
12,210 Teleflex Inc................... 752,440
16,661 Thiokol Corp................... 1,197,508
------------
6,233,982
------------
AIRLINES - 0.15%
11,721 *Alaska Air Group, Inc.......... 291,560
24,274 ASA Holdings, Inc.............. 634,158
------------
925,718
------------
APPAREL & PRODUCTS - 0.95%
20,900 *Ann Taylor Stores Corp......... 485,924
38,553 Cintas Corp.................... 2,390,285
39,271 Claire's Stores, Inc........... 755,966
25,424 Land's End, Inc................ 765,897
42,700 Warnaco Group Inc. Class A..... 1,398,424
------------
5,796,496
------------
APPLIANCES/FURNISHINGS - 1.04%
39,859 Heilig-Meyers Co............... 657,673
41,528 Herman Miller, Inc............. 1,484,625
27,501 Lancaster Colony Corp.......... 1,237,545
72,076 Leggett & Platt, Inc........... 2,720,868
6,104 National Presto Industries,
Inc. ......................... 230,425
------------
6,331,136
------------
AUTO - ORIGINAL EQUIPMENT - 1.23%
16,925 Arvin Industries, Inc.......... 469,668
20,400 Carlisle Cos Inc............... 622,199
46,542 Danaher Corp................... 2,257,286
17,418 Donaldson Co., Inc............. 637,933
31,470 Federal-Mogul Corp............. 916,563
50,245 Mark IV Industries, Inc........ 1,174,476
26,928 Modine Manufacturing Co........ 787,643
23,200 Superior Industries
International, Inc. ......... 591,599
------------
7,457,367
------------
AUTO - OTHER - 0.45%
61,070 Harley-Davidson, Inc...........$ 2,732,883
------------
AUTO - REPLACEMENT PARTS - 0.13%
16,121 Kaydon Corp.................... 800,005
------------
BANKS - OTHER - 1.38%
54,302 First Tennessee National Corp.. 2,450,377
117,200 Firstar Corp................... 3,501,349
50,800 Union Planters Corp............ 2,400,299
------------
8,352,025
------------
BANKS - REGIONAL - 7.54%
46,428 Central Fidelity Banks, Inc.... 1,358,018
40,955 City National Corp............. 988,038
86,972 Crestar Financial Corp......... 3,304,935
22,018 Dauphin Deposit Corp........... 971,543
48,643 First of America Bank Corp..... 3,350,286
92,341 First Security Corp............ 2,262,354
26,575 First Virginia Banks, Inc...... 1,488,199
106,200 Hibernia Corp. Class A......... 1,407,149
74,048 Marshall & Ilsley Corp......... 2,952,663
58,334 Mercantile Bankcorporation Inc. 3,441,705
35,756 Mercantile Bankshares Corp..... 1,421,301
90,306 Northern Trust Corp............ 4,436,282
32,834 Pacific Century Financial Corp. 1,510,364
49,909 Regions Financial Corp......... 2,982,063
76,487 SouthTrust Corp................ 2,973,432
130,344 State Street Corp.............. 5,816,601
75,403 Summit Bancorporation.......... 3,723,023
31,878 Wilmington Trust Corp.......... 1,422,556
------------
45,810,512
------------
BEVERAGE - SOFT DRINKS - 1.39%
309,309 Coca Cola Enterprises, Inc..... 6,534,153
61,200 *Starbucks Corp................. 1,927,800
------------
8,461,953
------------
BROADCASTING - 0.65%
52,428 A.H. Belo Corp. ............... 2,018,478
25,130 *Chris-Craft Industries, Inc.... 1,074,308
24,416 TCA Cable TV, Inc.............. 824,040
------------
3,916,826
------------
BUILDING MATERIALS - 1.14%
12,766 CalMat Co......................$ 253,724
33,600 Fastenal Co.................... 1,570,800
23,125 HON INDUSTRIES, Inc............ 1,121,563
72,465 RPM, Inc....................... 1,376,835
15,200 Southdown, Inc................. 613,700
27,000 Vulcan Materials Co............ 1,971,000
------------
6,907,622
------------
CHEMICAL - MAJOR - 0.15%
49,625 Albemarle Corp................. 930,469
------------
CHEMICAL - MISCELLANEOUS - 2.85%
30,373 A. Schulman Inc................ 675,799
51,800 *Airgas, Inc.................... 880,600
22,580 Betz Laboratories, Inc......... 1,439,475
64,637 Crompton & Knowles Corp........ 1,510,890
35,900 *Cytec Industries, Inc.......... 1,404,588
19,068 Dexter Corp.................... 574,424
95,700 Ethyl Corp..................... 897,188
22,547 Ferro Corp..................... 842,694
28,233 Georgia Gulf Corp.............. 779,937
11,364 H.B. Fuller Co................. 627,861
41,836 M.A. Hanna Co.................. 967,458
28,193 Lawter International, Inc...... 324,220
48,119 Lubrizol Corp.................. 1,714,239
67,278 Lyondell Petrochemical Co...... 1,480,116
18,700 Minerals Technologies Inc...... 738,650
4,355 NCH Corp....................... 283,619
40,342 Olin Corp...................... 1,654,022
26,525 Rollins, Inc................... 517,238
------------
17,313,018
------------
CONGLOMERATES - 1.05%
43,398 Alexander & Baldwin, Inc....... 1,177,171
71,200 Dial Corp...................... 1,192,600
37,600 *Litton Industries, Inc......... 1,701,400
5,100 *MAXXAM, Inc.................... 224,400
40,200 Ogden Corp..................... 783,900
75,300 Viad Corp...................... 1,308,338
------------
6,387,809
------------
CONSUMER FINANCE - 0.36%
68,700 Capital One Financial.......... 2,206,988
------------
</TABLE>
<PAGE> 14
===============================================================================
May 31, 1997 MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 13
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
CONTAINERS - PAPER - 0.71%
19,814 Chesapeake Utilities Corp......$ 663,769
34,122 *Sealed Air Corp................ 1,565,347
71,536 Sonoco Products Co............. 2,083,486
------------
4,312,602
------------
COSMETICS/TOILETRIES - 0.25%
31,188 Tambrands Inc.................. 1,504,821
------------
DRUGS - 3.35%
29,904 Bergen Brunswig Corp. Class A.. 1,136,352
58,652 *Biogen, Inc.................... 1,946,513
42,046 Carter-Wallace Inc............. 693,759
55,788 *Centocor, Inc.................. 1,966,527
137,580 Chiron Corp.................... 2,596,823
41,125 *Covance Inc.................... 765,953
47,658 CVS Corp....................... 2,281,645
34,141 *Forest Laboratories, Inc....... 1,442,457
55,442 *Genzyme Corp................... 1,323,678
97,736 *IVAX Corp...................... 1,050,662
34,100 McKesson Corp.................. 2,561,763
104,734 Mylan Laboratories Inc......... 1,584,102
18,900 R.P. Scherer Corp.............. 992,250
------------
20,342,484
------------
ELECTRICAL EQUIPMENT - 2.27%
75,186 *American Power Conversion Corp. 1,748,075
32,431 AMETEK, Inc.................... 758,075
55,270 Hubbell Inc. Class B........... 2,514,785
101,666 Molex Inc...................... 3,964,974
50,396 *Quantum Corp................... 1,959,145
68,446 *Teradyne, Inc.................. 2,806,286
------------
13,751,340
------------
ELECTRONIC INSTRUMENTS - 1.92%
40,676 *Arrow Electronics, Inc......... 2,323,618
17,966 *Exabyte Corp................... 253,770
38,750 *Imation Corp................... 930,000
63,000 *Integrated Device Technology,
Inc. ......................... 885,938
25,521 *MagnaTek, Inc.................. 446,618
31,300 Pittston Brink's Group......... 978,125
59,779 Sensormatic Electronics Corp... 934,047
31,909 Symbol Technologies, Inc....... 1,001,145
25,116 Varian Associates, Inc......... 1,331,148
20,273 *VeriFone, Inc.................. 1,036,457
ELECTRONIC INSTRUMENTS - Continued
51,928 *Vishay Intertechnology, Inc...$ 1,525,378
------------
11,646,244
------------
ENTERTAINMENT - 0.19%
34,800 *GTECH Holdings Corp............ 1,144,050
------------
FERTILIZERS - 0.48%
74,746 IMC Global, Inc................ 2,924,437
------------
FINANCE COMPANIES - 0.76%
97,100 SunAmerica, Inc................ 4,587,975
------------
FOODS - 3.01%
32,182 Dean Foods Co.................. 1,222,916
48,509 Dole Food Co., Inc............. 2,061,633
14,118 Dreyer's Grand Ice Cream, Inc.. 518,837
78,504 Flowers Industries, Inc........ 1,383,633
57,900 Hormel Foods Corp.............. 1,461,975
77,500 IBP, Inc....................... 1,821,250
10,312 International Multifoods Corp.. 291,314
28,200 Interstate Bakeries Corp....... 1,515,750
18,171 J.M. Smucker Co. Class A....... 352,063
23,271 Lance, Inc..................... 459,602
63,778 McCormick & Co., Inc........... 1,666,200
34,721 Trinity Industries, Inc........ 1,041,630
174,486 Tyson Foods, Inc. Class A...... 3,576,963
25,229 Universal Foods Corp........... 905,090
------------
18,278,856
------------
FOOTWEAR - 0.44%
28,900 *Nine West Group, Inc........... 1,112,650
33,100 *Payless ShoeSource, Inc........ 1,568,113
------------
2,680,763
------------
FREIGHT - 0.40%
17,573 Airborne Freight Corp.......... 672,167
20,160 APL Ltd........................ 609,840
37,300 J.B. Hunt Transport Services,
Inc. ......................... 568,825
30,371 Overseas Shipholding Group
Inc. ......................... 573,253
------------
2,424,085
------------
HARDWARE & TOOLS - 0.03%
7,355 Lawson Products, Inc........... 183,875
HEALTHCARE - 2.62%
46,400 Allegiance Corp................$ 1,258,600
40,800 *Apria Healthcare Group, Inc.... 734,400
96,949 *Foundation Health Systems
Class A ...................... 2,896,351
27,186 Healthcare COMPARE Corp........ 1,342,309
42,100 *Horizon/CMS Healthcare Corp.... 768,325
111,880 Laboratory Corp. of America
Holdings...................... 321,654
51,191 *NovaCare, Inc.................. 646,286
62,600 *Oxford Health Plans, Inc....... 4,413,300
32,874 *PacifiCare Health System, Inc.
Class B....................... 2,605,265
44,185 *Value Health, Inc.............. 894,746
------------
15,881,236
------------
HEAVY DUTY TRUCKS/PARTS - 0.15%
36,704 Federal Signal Corp............ 935,952
------------
HOME BUILDERS - 0.24%
96,825 Clayton Homes, Inc............. 1,464,478
------------
HOSPITAL MANAGEMENT - 0.87%
40,400 *Health Care & Retirement Corp.. 1,373,600
50,500 *Healthsource, Inc.............. 1,085,750
67,100 *Medaphis Corp.................. 532,606
55,900 *Vencor, Inc.................... 2,277,925
------------
5,269,881
------------
HOSPITAL SUPPLIES - 1.66%
19,835 *Acuson Corp.................... 515,710
14,510 *Advanced Technology
Laboratories, Inc............. 562,263
20,833 Beckman Instruments, Inc....... 971,339
17,568 *Datascope Corp................. 333,792
21,900 DENTSPLY International Inc..... 1,100,475
9,309 Diagnostic Products Corp....... 278,106
54,000 Hillenbrand Industries, Inc.... 2,544,750
48,636 *Nellcor Puritan Bennett, Inc... 1,039,595
78,182 Stryker Corp................... 2,726,597
------------
10,072,627
------------
HOUSEHOLD PRODUCTS - 0.55%
58,400 *Bed Bath & Beyond, Inc......... 1,657,100
12,914 Church & Dwight Co., Inc....... 342,221
31,646 First Brands Corp.............. 830,708
</TABLE>
<PAGE> 15
================================================================================
14 MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
HOUSEHOLD PRODUCTS - Continued
15,764 Stanhome Inc...................$ 494,596
------------
3,324,625
------------
HUMAN RESOURCES - 1.19%
30,303 Kelly Services Inc. Class A.... 890,151
66,300 Manpower Inc................... 2,966,925
61,750 Olsten Corp.................... 1,211,844
49,700 *Robert Half International, Inc. 2,130,888
------------
7,199,808
------------
INFORMATION PROCESSING - 8.14%
48,373 ACNielson...................... 816,294
76,400 *America Online, Inc............ 4,221,100
35,262 *AST Research, Inc.............. 185,126
81,504 *BMC Software, Inc.............. 4,411,404
65,878 *Cadence Design Systems, Inc.... 2,190,444
39,439 Comdisco, Inc.................. 1,454,313
69,600 *Compuware Corp................. 3,227,700
59,251 Diebold, Inc................... 2,221,913
43,300 *Electronic Arts................ 1,385,600
36,764 *FIserv, Inc.................... 1,511,920
29,268 *Information Resources, Inc..... 439,020
121,200 *Informix Corp.................. 1,090,800
52,707 *Mentor Graphics Corp........... 401,891
82,173 *NCR Corp....................... 2,670,623
91,257 Paychex, Inc................... 3,353,696
17,018 *Policy Management Systems Corp. 808,355
71,608 Reynolds and Reynolds Co.
Class A ...................... 1,673,837
27,525 Sequent Computer Systems, Inc.. 464,484
44,300 *Solectron Corp................. 2,768,750
74,752 *Sterling Commerce Inc.......... 2,485,504
47,890 *Storage Technology Corp........ 1,951,518
19,025 *Stratus Computer, Inc.......... 870,394
26,773 *Structural Dynamics Research
Corp. ........................ 655,939
31,800 *SunGard Data Systems, Inc...... 1,351,500
44,712 *Symantec Corp.................. 852,323
71,100 *U.S. Robotics Corp............. 5,972,400
------------
49,436,848
------------
INSURANCE - CASUALTY - 1.32%
49,333 American Financial Group, Inc.. 1,874,654
58,062 Progressive Corp............... 4,594,156
17,218 Transatlantic Holdings, Inc.... 1,543,163
------------
8,011,973
------------
INSURANCE - MISCELLANEOUS - 0.72%
25,700 AMBAC Inc.....................$ 1,927,500
17,766 Hartford Steam Boiler Inspection
& Insurance Co................ 906,066
28,100 PMI Group Inc.................. 1,541,988
------------
4,375,554
------------
INSURANCE - MULTILINE - 1.39%
111,325 AFLAC Inc...................... 5,677,575
51,586 Provident Companies Inc........ 2,772,748
------------
8,450,323
------------
LEISURE TIME - 1.51%
57,100 Callaway Golf Co............... 1,841,475
79,425 *Circus Circus Enterprises, Inc. 2,065,050
101,402 International Game Technology.. 1,799,886
146,190 *Mirage Resorts, Inc............ 3,490,286
------------
9,196,697
------------
LODGING - 0.24%
1 Deltic Timber Corp............. 12
39,900 *Promus Hotel Corp.............. 1,441,388
------------
1,441,400
------------
MACHINERY - AGRICULTURE - 0.25%
47,500 Agco Corp...................... 1,514,063
------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.14%
17,271 Granite Construction, Inc...... 345,420
18,168 *Jacobs Engineering Group, Inc.. 488,265
------------
833,685
------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.15%
24,573 Albany International Corp.
Class A ...................... 559,036
23,818 Durco International, Inc....... 672,859
29,576 Keystone International, Inc.... 964,917
28,000 Newport News Shipbuilding...... 465,500
12,714 Nordson Corp................... 686,556
27,133 Stewart & Stevenson Services,
Inc. ......................... 725,808
17,500 Tecumseh Products Co. Class A.. 990,938
32,500 *Watson Pharmaceuticals, Inc.... 1,271,563
26,324 Watts Industries, Inc. Class
A ............................ 654,810
------------
6,991,987
------------
MERCHANDISE - DRUG - 0.13%
66,600 *Perrigo Co.....................$ 799,200
------------
MERCHANDISE - SPECIALTY - 3.74%
34,900 *Best Buy Co., Inc.............. 475,513
53,875 *Consolidated Stores Corp....... 2,060,719
74,182 Dollar General Corp............ 2,494,369
17,723 Duty Free International, Inc... 276,922
38,100 Fingerhut Companies, Inc....... 671,513
16,171 *Gibson Greetings, Inc.......... 351,719
10,157 Hancock Fabrics, Inc........... 124,423
29,027 *Intelligent Electronics, Inc... 78,010
62,000 *Kohl's Corp.................... 3,340,250
23,821 *Mac Frugal's Bargains
Close-outs Inc. .............. 708,675
28,400 *Micro Warehouse, Inc........... 489,900
128,337 *Office Depot, Inc.............. 2,213,813
97,700 *OfficeMax, Inc................. 1,355,588
53,711 Sotheby's Holdings, Inc.
Class A ...................... 832,521
130,050 *Staples, Inc................... 2,861,100
28,236 Tiffany & Co................... 1,309,445
54,716 Unisource Worldwide, Inc....... 950,691
67,500 *Viking Office Products, inc.... 1,274,063
26,786 *Waban Inc...................... 813,625
------------
22,682,859
------------
MERCHANDISING - FOOD - 0.29%
31,300 Hannaford Bros. Co............. 1,091,588
30,400 Ruddick Corp................... 459,800
15,268 Savannah Foods & Industries,
Inc. ......................... 238,563
------------
1,789,951
------------
MERCHANDISING - MASS - 0.41%
45,707 Family Dollar Stores, Inc...... 1,176,955
22,300 Fred Meyer, Inc................ 1,023,013
81,724 *Service Merchandise Co., Inc... 265,603
------------
2,465,571
------------
METALS - ALUMINUM - 0.26%
40,667 *Alumax Inc..................... 1,570,763
------------
METALS - MISCELLANEOUS - 0.39%
13,700 Brush Wellman Inc.............. 291,125
21,606 Kennametal, Inc................ 858,839
19,450 Precision Castparts Corp....... 1,215,625
------------
2,365,589
------------
</TABLE>
<PAGE> 16
===============================================================================
May 31, 1997 MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 15
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
METALS - STEEL - 0.55%
12,610 Carpenter Technology Corp......$ 545,383
13,457 Cleveland-Cliffs Inc........... 568,558
39,742 Harsco Corp.................... 1,549,938
15,516 Lukens Inc..................... 304,502
18,323 Oregon Steel Mills, Inc........ 343,556
------------
3,311,937
------------
MISCELLANEOUS - 0.64%
124,500 Equifax Inc.................... 3,890,625
------------
NATURAL GAS - DIVERSIFIED - 1.03%
44,100 El Paso Natural Gas Co......... 2,612,925
37,743 Questar Corp................... 1,481,413
48,832 *Seagull Energy Corp............ 878,976
34,991 Valero Energy Corp............. 1,250,928
------------
6,224,242
------------
OIL - INTEGRATED DOMESTIC - 0.29%
45,160 MAPCO Inc...................... 1,433,830
22,414 Quaker State Corp.............. 339,012
------------
1,772,842
------------
OIL - INTEGRATED
INTERNATIONAL - 0.28%
36,046 Murphy Oil Corp................ 1,671,633
------------
OIL - SERVICE - PRODUCTS - 1.07%
30,021 *BJ Services Co................. 1,658,660
102,300 *Noble Drilling Corp............ 2,225,025
55,625 *Parker Drilling Co............. 535,391
22,586 *Varco International, Inc....... 621,115
42,082 *Weatherford Enterra, Inc....... 1,436,049
------------
6,476,240
------------
OIL - SERVICES - 2.93%
58,800 *ENSCO International, Inc....... 2,932,650
139,115 *Global Marine Inc.............. 3,130,088
71,639 *Nabors Industries, Inc......... 1,607,400
33,346 *Smith International, Inc....... 1,746,497
50,492 Tidewater, Inc................. 2,126,976
41,800 Transocean Offshore, Inc....... 2,884,200
46,146 Witco Corp..................... 1,707,402
33,900 York International Corp........ 1,644,150
------------
17,779,363
------------
OIL/GAS PRODUCERS - 2.09%
49,555 Anadarko Petroleum Corp........$ 3,121,965
72,798 Apache Corp.................... 2,493,332
57,680 Cabot Corp..................... 1,478,050
44,435 Noble Affiliates, Inc.......... 1,871,824
29,500 Parker & Parsley Petroleum Co.. 1,003,000
70,866 Ranger Oil Ltd................. 744,093
60,280 Ultramar Diamond Shamrock Corp. 1,989,240
------------
12,701,504
------------
PAPER/FOREST PRODUCTS - 1.29%
30,639 Bowater Inc.................... 1,512,801
35,135 Consolidated Papers, Inc....... 1,914,858
36,739 Longview Fibre Co.............. 619,971
29,200 P. H. Glatfelter Co............ 511,000
32,376 Pentair Inc.................... 1,064,361
24,900 Rayonier Inc................... 1,067,588
19,770 Standard Register Co........... 689,479
25,561 Wausau Paper Mills Co.......... 479,269
------------
7,859,327
------------
PHOTOGRAPHY - 0.02%
6,453 CPI Corp....................... 120,994
------------
POLLUTION CONTROL - 1.05%
25,533 Calgon Carbon Corp............. 357,462
57,600 *United States Filter Corp...... 1,814,400
115,900 *USA Waste Services, Inc........ 4,201,375
------------
6,373,237
------------
PUBLISHING - NEWS - 0.79%
33,600 Lee Enterprises, Inc........... 848,400
18,868 Media General, Inc. Class A.... 576,653
8,761 Washington Post Co. Class B.... 3,378,461
------------
4,803,514
------------
PUBLISHING/PRINTING - 0.55%
29,886 Banta Corp..................... 829,337
24,625 *Golden Books Family
Entertainment, Inc............ 280,109
14,616 Houghton Mifflin Co............ 865,998
12,900 *Scholastic Corp................ 383,775
35,428 Wallace Computer Services,
Inc. ......................... 991,984
------------
3,351,203
------------
RAILROAD - 0.72%
16,212 GATX Corp......................$ 920,031
49,577 Illinois Central Corp.......... 1,790,969
30,332 Kansas City Southern
Industries, Inc. ............. 1,664,469
------------
4,375,469
------------
RESTAURANTS - 0.94%
38,533 Bob Evans Farms, Inc........... 544,279
58,955 *Brinker International, Inc..... 818,001
37,432 *Buffets, Inc................... 332,209
49,266 Cracker Barrel Old Country
Store, Inc.................... 1,428,714
12,880 *International Dairy Queen,
Inc. Class A.................. 299,460
34,200 *Lone Star Steakhouse & Saloon.. 786,600
39,100 *Outback Steakhouse Inc......... 909,075
19,788 Sbarro, Inc.................... 578,799
------------
5,697,137
------------
SECURITIES RELATED - 2.53%
66,476 A.G. Edwards, Inc.............. 2,467,922
98,484 Bear Stearns Co. Inc........... 3,200,729
103,602 Franklin Resources, Inc........ 6,708,230
83,600 Paine Webber Group Inc......... 2,967,800
------------
15,344,681
------------
SEMICONDUCTORS - 3.66%
71,440 *Altera Corp.................... 3,786,320
126,038 *Analog Devices, Inc............ 3,371,508
80,400 *Atmel Corp..................... 2,311,500
35,088 Avnet, Inc..................... 2,210,544
53,836 *Cirrus Logic, Inc.............. 646,032
65,582 *Cypress Semiconductor Corp..... 934,544
62,254 Linear Technology Corp......... 3,120,482
49,600 *Maxim Integrated Products...... 2,666,000
58,881 *Xilinx, Inc.................... 3,157,494
------------
22,204,424
------------
TELECOMMUNICATIONS - 1.99%
107,228 ADC Communications, Inc........ 3,672,559
39,242 COMSAT Corp.................... 882,945
63,200 *LCI International, Inc......... 1,532,600
187,900 *Nextel Communications, Inc.
Class A ...................... 2,771,525
</TABLE>
<PAGE> 17
===============================================================================
16 MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
TELECOMMUNICATIONS - Continued
41,640 *Octel Communications Corp......$ 801,570
99,601 *360 Communications Co.......... 1,879,969
40,740 *Vanguard Cellular Systems, Inc.
Class A....................... 534,713
------------
12,075,881
------------
TEXTILE - PRODUCTS - 0.99%
49,900 *Burlington Industries, Inc..... 548,900
43,500 *Jones Apparel Group, Inc....... 2,039,063
108,510 Shaw Industries Inc............ 1,356,375
49,429 Unifi, Inc..................... 1,594,085
25,184 Wellman, Inc................... 450,164
------------
5,988,587
------------
TOBACCO - 0.18%
30,635 Universal Corp................. 1,114,348
------------
TRUCKERS - 0.24%
17,614 Arnold Industries, Inc......... 295,035
35,600 CNF Transportation, Inc........ 1,148,100
------------
1,443,135
------------
UTILITIES - COMMUNICATION - 0.97%
23,318 Aliant Communications, Inc..... 478,019
48,050 Century Telephone Enterprises,
Inc. ......................... 1,453,513
52,964 Southern New England
Telecommunications Corp....... 2,065,596
49,291 Telephone and Data Systems,
Inc. ......................... 1,913,107
------------
5,910,235
------------
UTILITIES - ELECTRIC - 9.13 %
61,336 *AES Corp....................... 4,400,858
97,514 Allegheny Power System, Inc.... 2,547,553
44,235 Atlantic Energy, Inc........... 729,878
5,253 Black Hills Corp............... 151,024
50,100 *Calenergy, Inc................. 2,066,625
16,159 Central Louisiana Electric Co.. 408,015
30,416 Central Maine Power Co......... 338,378
74,264 CMS Energy Corp................ 2,497,127
48,537 Delmarva Power & Light Co...... 843,330
77,862 Florida Progress Corp.......... 2,287,196
18,866 Hawaiian Electric Industries,
Inc. ......................... 653,235
26,223 Idaho Power Co................. 786,690
61,100 Illinova Corp.................. 1,336,563
UTILITIES - ELECTRIC - Continued
13,859 Indiana Energy, Inc............$ 330,884
45,764 IPALCO Enterprises, Inc........ 1,424,405
58,419 Kansas City Power & Light Co... 1,628,430
62,542 LG&E Energy Corp............... 1,438,466
75,334 MidAmerican Energy Co.......... 1,271,261
18,718 Minnesota Power & Light Co..... 542,822
43,857 Montana Power Co............... 997,747
28,833 Nevada Power Co................ 594,681
52,017 New England Electrical System.. 1,801,089
56,621 New York State Electric &
Gas Corp...................... 1,231,507
47,972 NIPSCO Industries, Inc......... 1,942,866
117,333 *Northeast Utilities............ 1,070,664
32,446 OGE Energy Corp................ 1,395,178
70,123 Pinnacle West Capital Corp..... 2,059,863
41,591 Portland General Corp.......... 1,663,640
96,364 Potomac Electric Power Co...... 2,216,372
51,912 Public Service Co. of Colorado. 2,095,947
37,837 Public Service Co. of New
Mexico ....................... 666,877
69,562 Puget Sound Energy Inc......... 1,730,355
84,688 SCANA Corp..................... 2,117,200
39,848 Southwestern Public Service Co. 1,494,300
94,220 TECO Energy, Inc............... 2,343,723
35,188 UtiliCorp United Inc........... 950,076
29,424 Washington Gas Light Co........ 724,566
89,252 Wisconsin Energy Corp.......... 2,153,205
18,416 WPL Holdings, Inc.............. 508,742
------------
55,441,338
------------
UTILITIES - GAS, DISTRIBUTION - 1.52%
46,436 AGL Resources, Inc............. 888,089
38,505 Brooklyn Union Gas Co.......... 1,073,327
60,168 MCN Energy Group Inc........... 1,782,477
31,578 National Fuel Gas Co........... 1,306,540
127,246 Tosco Corp..................... 4,151,401
------------
9,201,834
------------
WATER SERVICES - 0.21%
58,800 American Water Works Co., Inc.. 1,264,200
------------
TOTAL COMMON STOCKS
(Cost $439,854,680)............ 600,459,653
------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 0.96%
FINANCE COMPANIES - 0.18%
$1,086,000 Ford Motor Credit Co.,
5.60% due 06/03/97............$ 1,085,662
------------
SECURITIES RELATED - 0.78%
4,744,000 Merrill Lynch & Co., Inc.,
5.50% 06/02/97................ 4,743,275
------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $5,828,937).............. 5,828,937
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.02%
U.S. TREASURY BILLS - 0.02%
150,000 United States Treasury Bills,
4.99% due 08/21/97
(Cost $148,313)............... 148,313
------------
TOTAL INVESTMENTS
(Cost $445,831,930) - 99.90%... 606,436,903
Other assets and liabilities,
net - 0.10% .................. 624,443
------------
NET ASSETS (equivalent
to $20.83 per share on
29,137,334 shares
outstanding) - 100%...........$607,061,346
============
</TABLE>
*Non-income producing
<PAGE> 18
===============================================================================
May 31, 1997 MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 17
===============================================================================
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- -------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/97)
43(2) S&P MidCap 400 Index Futures
(June/$279.65).................$ 119,855
============
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
29,137,334 shares outstanding........... $ 291,373
Additional paid in capital................ 406,838,519
Undistributed net realized gain on
securities ............................. 39,149,762
Undistributed net investment income....... 56,864
Unrealized appreciation of:
Investments........... $160,604,973
Futures............... 119,855 160,724,828
------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $607,061,346
============
</TABLE>
(1) U.S.Treasury Bills with a market value of
approximately $150,000 were maintained in a
segregated account with a portion placed as
collateral for futures contracts.
(2) Per 500
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 19
================================================================================
18 MIDCAP INDEX FUND - FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ...................................................................... $ 8,574,566
Interest ....................................................................... 557,965
-------------
Total investment income ...................................................... 9,132,531
-------------
EXPENSES:
Advisory fees .................................................................. 1,880,085
Custodian and accounting services .............................................. 203,871
Reports to shareholders ........................................................ 76,689
Audit fees and tax services .................................................... 19,667
Directors' fees and expenses ................................................... 13,603
Miscellaneous .................................................................. 43,796
-------------
Total expenses ............................................................... 2,237,711
NET INVESTMENT INCOME .......................................................... $ 6,894,820
-------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments ................................................... $ 38,698,502
Futures contracts ............................................. 1,010,640 39,709,142
------------- -------------
Net unrealized appreciation during the year:
Investments ................................................... 45,539,487
Futures contracts ............................................. 64,180 45,603,667
------------- -------------
Net realized and unrealized gain on securities during the year............... 85,312,809
-------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............................... $ 92,207,629
=============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ............................................ $ 6,894,820 $ 6,480,259
Net realized gain on securities .................................. 39,709,142 33,442,786
Net unrealized appreciation of securities during the year ........ 45,603,667 76,393,023
------------- -------------
Increase in net assets resulting from operations ............... 92,207,629 116,316,068
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................................ (6,892,259) (6,584,543)
Net realized gain on securities .................................. (33,690,297) (17,378,059)
------------- -------------
Decrease in net assets resulting from distributions
to shareholders ............................................... (40,582,556) (23,962,602)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ................................. 33,601,532 43,226,671
Proceeds from capital stock issued for distributions reinvested .. 40,582,556 23,962,602
------------- -------------
74,184,088 67,189,273
Cost of capital stock repurchased ................................ (59,435,374) (26,411,830)
------------- -------------
Increase in net assets resulting from
capital stock transactions .................................... 14,748,714 40,777,443
------------- -------------
TOTAL INCREASE IN NET ASSETS ..................................... 66,373,787 133,130,909
NET ASSETS:
Beginning of year ................................................ 540,687,559 407,556,650
------------- -------------
End of year (including undistributed net investment income
of $56,864 and $54,303) ........................................ $ 607,061,346 $ 540,687,559
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ..................................... 1,775,391 2,455,783
Shares issued for distributions reinvested ....................... 2,124,784 1,381,367
Shares of capital stock repurchased .............................. (3,084,568) (1,503,393)
------------- -------------
Increase in shares outstanding ................................. 815,607 2,333,757
Shares outstanding:
Beginning of year .............................................. 28,321,727 25,987,970
------------- -------------
End of year .................................................... 29,137,334 28,321,727
============= =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 20
================================================================================
May 31, 1997 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS 19
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 96.66%
ADVERTISING - 0.62%
13,800 *Acxiom Corp. .................. $ 234,600
5,025 *ADVO, Inc. .................... 69,722
2,700 *American Business Information,
Inc. ......................... 55,350
5,200 *Catalina Marketing Corp. ...... 191,750
400 Grey Advertising, Inc. ........ 116,800
1,625 *HA-LO Industries, Inc. ........ 37,984
2,650 Harte-Hanks Communications..... 79,169
4,700 *National Media Corp. .......... 34,663
1,300 *Robert Mondavi Corp. Class A .. 57,850
4,900 True North Communications
Inc. ......................... 97,387
8,100 *Westwood One, Inc. ............ 220,725
-----------
1,196,000
-----------
AEROSPACE/DEFENSE - 1.29%
3,400 *Alliant Techsystems Inc. ...... 163,625
6,700 *Aviall, Inc. .................. 98,825
4,600 *BE Aerospace, Inc. ............ 111,550
11,100 *Coltec Industries, Inc. ....... 217,837
600 Cubic Corp. ................... 14,100
5,200 *Fairchild Corp. Class A ....... 85,150
6,900 Gencorp Inc. .................. 145,762
14,500 *Geotek Communications, Inc. ... 64,797
3,200 *GRC International, Inc. ....... 16,800
4,400 Logicon, Inc. ................. 221,100
5,200 OEA, Inc. ..................... 196,300
6,200 *Orbital Sciences Corp. ........ 103,075
7,500 *Rohr, Inc. .................... 158,437
2,800 *Sequa Corp. Class A ........... 136,500
1,700 *Tech-Sym Corp. ................ 54,188
3,800 Teleflex Inc. ................. 234,175
4,800 Thiokol Corp. ................. 345,000
6,600 *Trimble Navigation Ltd. ....... 101,475
700 *Whittaker Corp. ............... 7,788
-----------
2,476,484
-----------
AIRLINES - 0.72%
3,800 *Alaska Air Group, Inc. ........ 94,525
12,300 America West Airlines, Inc.
Class B ...................... 189,112
4,900 ASA Holdings, Inc. ............ 128,013
3,500 Circle International Group Inc. 97,125
13,000 *Continental Airlines, Inc.
Class B ...................... 455,000
6,300 Expeditors International of
Washington, Inc. ............. 181,912
AIRLINES - Continued
6,700 *Mesa Airlines, Inc. ........... $ 33,500
4,200 Pittston Burlington Group ..... 108,150
1,800 SkyWest, Inc. ................. 27,225
7,900 *ValuJet, Inc. ................. 54,313
2,000 *Western Pacific
Airlines, Inc. ............... 11,500
-----------
1,380,375
-----------
APPAREL & PRODUCTS - 1.35%
1,000 *American Eagle Outfitters...... 11,313
3,400 Angelica Corp. ................ 61,200
5,100 *Ann Taylor Stores Corp. ....... 118,575
5,600 Authentic Fitness Corp. ....... 81,900
2,200 Blair Corp. ................... 35,475
1,000 *Buckle, Inc. .................. 21,250
5,950 Cato Corp. .................... 29,750
11,925 Claire's Stores, Inc. ......... 229,556
8,700 CML Group, Inc. ............... 20,663
2,100 *Donnkenny, Inc. ............... 8,663
6,500 *Dress Barn, Inc. .............. 112,125
1,200 Fab Industries, Inc. .......... 37,500
2,900 *Gadzooks, Inc. ................ 96,244
6,700 *Gymboree Corp. ................ 167,500
2,700 *Hartmarx Corp. ................ 26,662
5,550 Kellwood Co. .................. 145,687
5,700 *Land's End, Inc. .............. 171,712
3,700 *Men's Wearhouse, Inc. ......... 123,487
10,800 *Nautica Enterprises, Inc. ..... 253,800
5,000 OshKosh B'Gosh, Inc. Class A .. 84,375
5,700 Phillips-Van Heusen Corp. ..... 79,800
13,000 Ross Stores, Inc. ............. 365,625
3,600 St. John Knits, Inc. .......... 153,000
6,600 UniFirst Corp. ................ 129,525
2,000 *Urban Outfitters, Inc. ........ 32,500
-----------
2,597,887
-----------
APPLIANCES/FURNISHINGS - 1.29%
4,100 Aaron Rents, Inc. Class A ..... 50,225
3,750 Bassett Furniture Industries,
Inc. ......................... 93,574
4,100 *CORT Business Services Corp. .. 113,775
3,800 Ethan Allen Interiors Inc. .... 198,550
1,600 *Falcon Building Products, Inc.
Class A ...................... 28,000
18,100 *Furniture Brands International,
Inc. ......................... 282,813
11,097 *Griffon Corp. ................. 151,197
8,000 Hechinger Co. Class A ......... 10,000
APPLIANCES/FURNISHINGS - Continued
11,200 Heilig-Meyers Co. ............. $ 184,800
2,900 *Helen of Troy Ltd. ............ 77,575
12,600 Herman Miller, Inc. ........... 450,450
4,100 Hunt Manufacturing Co. ........ 76,875
4,700 Kimball International, Inc.
Class B ...................... 185,650
2,200 La-Z-Boy Chair Co. ............ 75,625
7,385 *Metromedia International Group. 80,773
1,500 National Presto Industries,
Inc. ......................... 56,625
3,600 Oneida Ltd. ................... 85,950
3,600 *Renters Choice, Inc. .......... 69,300
4,400 Rival Co. ..................... 61,600
4,900 Windmere Corp. ................ 72,275
6,623 *Zenith Electronics Corp. ...... 72,853
-----------
2,478,485
-----------
AUTO - ORIGINAL EQUIPMENT - 0.72%
8,000 Arvin Industries, Inc. ........ 222,000
2,900 BREED Technologies, Inc. ...... 56,913
9,200 Carlisle Cos. Inc. ............ 280,600
6,600 Donaldson Co., Inc. ........... 241,725
7,900 Federal-Mogul Corp. ........... 230,087
3,150 *Miller Industries, Inc. ....... 51,581
5,800 Modine Manufacturing Co. ...... 169,650
4,000 Superior Industries
International, Inc. .......... 102,000
1,000 *Tower Automotive Inc. ......... 39,625
-----------
1,394,181
-----------
AUTO - REPLACEMENT PARTS - 0.86%
3,300 A.O. Smith Corp. .............. 121,275
4,900 *APS Holding Corp. Class A ..... 49,000
15,700 *Collins & Aikman Corp. ........ 182,512
975 Dart Group Corp. Class A ...... 99,450
3,900 *Discount Auto Parts, Inc. ..... 72,638
2,700 Furon Co. ..................... 68,850
5,400 Handy & Harman................. 89,775
4,800 Kaydon Corp. .................. 238,200
1,343 Myers Industries, Inc. ........ 23,503
5,350 Simpson Industries, Inc. ...... 54,503
3,100 *SPX Corp. ..................... 184,837
4,400 Standard Motor Products, Inc.
Class A ...................... 60,500
5,050 Standard Products Co.
Class A ...................... 125,619
9,600 *TBC Corp. ..................... 73,200
3,300 Walbro Corp. .................. 66,000
</TABLE>
<PAGE> 21
================================================================================
20 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
AUTO - REPLACEMENT PARTS - Continued
5,512 Wynn's International, Inc. .... $ 136,422
-----------
1,646,284
-----------
BANKS - NEW YORK CITY - 0.09%
5,450 New York Bancorp Inc. ......... 178,488
-----------
BANKS - OTHER - 0.02%
1 BankBoston Corp. .............. 73
1,120 *Fleet Financial Group, Inc.
(Warrants) ................... 25,480
800 Irwin Financial Corp. ......... 21,600
-----------
47,153
-----------
BANKS - REGIONAL - 6.47%
3,100 AMCORE Financial, Inc. ........ 88,350
2,425 Anchor BanCorp Wisconsin
Inc. ......................... 103,214
4,701 Associated Banc-Corp. ......... 178,638
7,000 BancorpSouth, Inc. ............ 203,875
985 Bank of Granite Corp. ......... 28,319
1,000 Banknorth Group, Inc. ......... 43,500
2,472 *BOK Financial Corp. ........... 83,121
4,012 CCB Financial Corp. ........... 281,843
6,200 Centura Banks, Inc. ........... 268,150
2,415 Chemical Financial Corp. ...... 86,336
4,700 Citizens Banking Corp. ........ 151,575
10,800 City National Corp. ........... 260,550
5,152 CNB Bancshares, Inc. .......... 226,044
5,349 Collective Bancorp, Inc. ...... 230,007
6,600 Colonial BancGroup, Inc. ...... 159,225
2,952 Commerce Bancorp, Inc. ........ 101,106
7,350 Commercial Federal Corp. ...... 256,331
2,000 Commonwealth Bancorp, Inc. .... 30,000
4,900 Community First Bankshares,
Inc. ......................... 169,050
660 Community Trust Bancorp, Inc. . 16,500
3,250 Corus Bankshares, Inc. ........ 83,281
7,540 Cullen/Frost Bankers, Inc. .... 296,887
6,800 Dauphin Deposit Corp. ......... 300,050
12,100 Deposit Guaranty Corp. ........ 379,637
2,542 F & M National Corp. .......... 60,055
3,124 First American Financial Corp. 111,293
3,250 First Citizens BancShares,
Inc. ......................... 269,750
1,125 First Commerce Bancshares,
Inc. ......................... 28,125
5,697 First Commercial Corp. ........ 233,577
7,400 First Commonwealth Financial
Corp. Pennsylvania ........... 143,375
BANKS - REGIONAL - Continued
3,520 First Financial BanCorp. ...... $ 132,880
220 First Financial Corp. of
Indiana ...................... 7,700
12,375 First Financial Corp. of
Wisconsin .................... 344,953
4,200 First Hawaiian, Inc. .......... 148,838
8,167 First Michigan Bank Corp. ..... 234,798
3,875 First Midwest Bancorp, Inc. ... 126,906
3,972 First Western Bancorp, Inc. ... 140,013
937 Firstbank of Illinois Co. ..... 35,255
1,300 FirstBank Puerto Rico. ........ 32,013
7,500 FirstMerit Corp. .............. 344,062
4,687 Fort Wayne National Corp. ..... 209,743
9,378 Fulton Financial Corp. ........ 246,159
5,000 Great Financial Corp. ......... 165,000
330 Harleysville National Corp. ... 9,983
3,500 Heritage Financial Services,
Inc. ......................... 93,625
5,175 HUBCO, Inc. ................... 135,197
6,793 *Imperial BanCorp. ............. 168,976
3,230 Jefferson Bankshares, Inc. .... 94,478
2,500 Liberty Bancorp, Inc. ......... 124,688
7,900 Magna Group, Inc. ............. 254,775
3,141 Mercantile Bancorporation
Inc. ......................... 185,319
5,199 Mid-Am, Inc. .................. 92,282
1,025 National Bancorp of Alaska,
Inc. ......................... 80,463
830 National City Bancshares,
Inc. ......................... 30,918
12,574 National Commerce
Bancorporation ............... 298,632
3,516 National Penn Bancshares,
Inc. ......................... 107,238
16,416 North Fork Bancorporation,
Inc. ......................... 344,736
5,135 Old National Bancorp Indiana .. 206,042
4,660 ONBANCorp, Inc. ............... 219,602
6,467 One Valley Bancorp of West
Virginia, Inc. ............... 261,105
331 Peoples First Corp. ........... 8,854
6,068 Provident Bancorp Inc. ........ 244,237
5,200 Riggs National Corp. .......... 96,200
9,018 Roosevelt Financial Group,
Inc. ......................... 209,668
1,200 S&T Bancorp, Inc. ............. 43,500
1,300 *Silicon Valley Bancshares ..... 51,350
5,900 St. Paul Bancorp, Inc. ........ 187,325
1,400 Sumitomo Bank of California ... 38,850
4,075 Susquehanna Bancshares, Inc. .. 159,944
2,800 Trans Financial, Inc. ......... 69,650
4,900 Trust Co. of New Jersey........ 90,650
5,211 Trustco Bank Corp. of
New York ..................... 107,477
8,350 Trustmark Corp. ............... 227,537
4,293 UMB Financial Corp. ........... 171,720
BANKS - REGIONAL - Continued
3,500 United Bankshares Inc.
West Virginia ................ $ 131,250
6,387 United Carolina Bancshares
Corp. ........................ 287,415
6,600 UST Corp. ..................... 138,600
3,087 Westamerica Bankcorporation ... 210,688
694 WestCorp. ..................... 11,625
5,500 Whitney Holding Corp. ......... 211,750
-----------
12,446,433
-----------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.22%
9,900 Adolph Coors Class B .......... 241,313
3,200 *Boston Beer Co., Inc.
Class A ...................... 28,800
4,300 *Canandaigua Wine, Inc.
Class B ...................... 153,725
-----------
423,838
-----------
BEVERAGE - SOFT DRINKS - 0.07%
2,200 Coca-Cola Bottling Co. ........ 99,000
7,100 *Pepsi-Cola Puerto Rico
Bottling Co. Class B ......... 35,500
-----------
134,500
-----------
BROADCASTING - 1.52%
3,200 Ackerley Inc. ................. 39,600
3,300 *Adelphia Communications Corp.
Class A ...................... 18,975
5,300 *American Mobile Satellite Corp. 47,700
6,570 *American Radio Systems, Corp.
Class A ...................... 244,732
7,300 *American Telecasting, Inc. .... 7,984
5,700 *ANTEC Corp. ................... 70,537
2,000 *Argyle Television, Inc. ....... 46,750
5,900 *CAI Wireless Systems, Inc. .... 8,666
1,300 *Cellularvision USA, Inc. ...... 9,263
4,800 *Century Communications Corp.
Class A ...................... 26,400
3,900 *Chancellor Corp. Class A ...... 134,550
4,300 *Cyrix Corp. ................... 108,575
8,900 *Data Broadcasting Corp. ....... 43,387
2,000 *Emmis Broadcasting Corp.
Class A ...................... 76,750
5,550 *Evergreen Media Corp. ......... 215,756
2,200 *Heartland Wireless
Communications, Inc. ......... 6,463
1,300 *Heftel Broadcasting Corp.
Class A ...................... 64,350
7,200 *Heritage Media Corp. Class A .. 131,400
</TABLE>
<PAGE> 22
================================================================================
May 31, 1997 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 21
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
BROADCASTING - Continued
11,876 *HSN, Inc. ..................... $ 363,702
8,250 *International Family
Entertainment, Inc. Class B .. 229,969
1,700 *Jacor Communications, Inc. .... 58,650
3,500 *Jones Intercable Inc. ......... 37,188
4,500 *Lin Television Corp. .......... 195,187
2,500 *Paxson Communications Corp. ... 25,313
2,900 *People's Choice TV Corp. ...... 3,988
4,375 *SAGA Communications, Inc.
Class A ...................... 80,391
2,500 *SFX Broadcasting, Inc.
Class A ...................... 80,625
4,200 TCA Cable TV, Inc. ............ 141,750
8,700 *United International Holdings,
Inc. Class A ................. 87,000
1,700 United Television, Inc. ....... 151,300
4,400 *United Video Satellite Group,
Inc. Class A ................. 74,800
3,600 *Young Broadcasting Inc.
Class A ...................... 96,750
-----------
2,928,451
-----------
BUILDING MATERIALS - 1.17%
3,100 *ABT Building Products Corp. ... 77,500
1,500 Ameron, Inc. .................. 83,250
9,100 Apogee Enterprises, Inc. ...... 168,350
2,450 Butler Manufacturing Co. ...... 87,894
5,000 CalMat Co. .................... 99,375
3,000 Centex Construction
Productions, Inc. ............ 60,375
2,300 Elcor Corp. ................... 64,400
15,200 Fedders USA Inc. .............. 96,900
1,500 *Fibreboard Corp. .............. 81,563
1,700 Florida Rock Industries,
Inc. ......................... 56,950
5,300 HON INDUSTRIES, Inc. .......... 257,050
5,000 Interface, Inc. Class A ....... 116,250
3,200 Lone Star Industries, Inc. .... 127,200
1,900 LSI Industries, Inc. .......... 28,975
4,200 Medusa Corp. .................. 162,225
700 *NCI Building Systems, Inc. .... 20,388
13,800 *Payless Cashways Inc. ......... 22,425
1,000 Puerto Rican Cement Co. Inc. .. 32,750
5,900 Southdown, Inc. ............... 238,212
6,000 Texas Industries, Inc. ........ 144,000
5,500 *Triangle Pacific Corp. ........ 164,312
2,200 Watsco, Inc. .................. 63,800
-----------
2,254,144
-----------
CHEMICAL - MAJOR - 0.36%
4,800 Borg-Warner Automotive, Inc. .. $ 234,000
4,000 Chemed Corp. .................. 146,000
8,409 *Hexcel Corp. .................. 151,362
4,100 *Synetic, Inc. ................. 159,388
-----------
690,750
-----------
CHEMICAL - MISCELLANEOUS - 1.97%
8,300 A. Schulman Inc. .............. 184,675
3,600 *Buckeye Cellulose Corp. ....... 113,400
1,950 Cambrex Corp. ................. 70,444
6,900 ChemFirst Inc. ................ 178,537
18,167 Crompton & Knowles Corp. ...... 424,654
6,200 Dexter Corp. .................. 186,775
5,300 Ferro Corp. ................... 198,087
5,300 Fisher Scientific
International Inc. ........... 192,125
3,700 *Foamex International Inc. ..... 55,962
5,600 Geon Co. ...................... 121,800
3,600 H.B. Fuller Co. ............... 198,900
3,800 *Landec Corp. .................. 20,900
10,400 Lawter International, Inc. .... 119,600
3,400 LeaRonal, Inc. ................ 91,800
2,500 MacDermid, Inc. ............... 113,125
3,700 *McWhorter Technologies, Inc. .. 81,400
4,900 Minerals Technologies Inc. .... 193,550
4,800 *Mycogen Corp. ................. 112,800
1,200 NCH Corp. ..................... 78,150
8,700 *NL Industries, Inc. ........... 110,925
6,700 Om Group Inc. ................. 211,050
2,600 O'Sullivan Corp. .............. 23,400
925 Petrolite Corp. ............... 55,616
3,200 Rollins, Inc. ................. 62,400
2,000 Stepan Co. .................... 39,250
6,200 Valspar Corp. ................. 173,600
4,450 VWR Scientific Products
Corp. ........................ 68,975
6,150 W.H. Brady Co. Class A ........ 175,275
2,500 WD-40 Co. ..................... 141,875
-----------
3,799,050
-----------
COAL - 0.14%
3,200 Ashland Coal, Inc. ............ 85,600
2,534 NACCO Industries, Inc.
Class A ...................... 128,917
2,600 Zeigler Coal Holding Co. ...... 60,450
-----------
274,967
-----------
CONGLOMERATES - 0.27%
1,500 *MAXXAM, Inc. .................. $ 66,000
12,900 Ogden Corp. ................... 251,550
2,600 *PEC Israel Economic Corp. ..... 59,150
10,600 *Walter Industries, Inc. ....... 151,050
-----------
527,750
-----------
CONSUMER FINANCE - 0.42%
7,900 *AmeriCredit Corp. ............. 148,125
8,200 *Arcadia Financial Limited ..... 85,075
200 Chittenden Corp. .............. 5,950
6,200 Eaton Vance Corp. ............. 152,675
1,500 Fund American Enterprises,
Inc. ......................... 152,250
7,800 *Jayhawk Acceptance Corp. ...... 12,675
6,430 *National Auto Credit, Inc. .... 62,693
5,100 SEI Corp. ..................... 114,750
700 WesBanco, Inc. ................ 25,725
9,000 *World Acceptance Corp. ........ 55,125
-----------
815,043
-----------
CONTAINERS - METAL/GLASS - 0.47%
3,600 *Alltrista Corp. ............... 86,400
4,700 AptarGroup, Inc. .............. 208,563
7,900 Ball Corp. .................... 230,087
2,800 CLARCOR Inc. .................. 65,800
600 *CSS Industries, Inc. .......... 18,075
6,500 Greif Brothers Corp. Class A .. 182,000
1,125 Liqui-Box Corp. ............... 37,406
473 *Omega Environmental, Inc. ..... 207
4,900 *U. S. Can Corp. ............... 79,625
-----------
908,163
-----------
CONTAINERS - PAPER - 0.26%
5,400 Chesapeake Utilities Corp. .... 180,900
12,600 *Gaylord Container Corp.
Class A ...................... 103,163
8,890 Rock-Tenn Co. Class A ......... 134,461
3,600 *Shorewood Packaging Corp. ..... 72,900
-----------
491,424
-----------
COSMETICS/TOILETRIES - 0.10%
4,050 *INBRAND Corp. ................. 106,819
9,100 *Playtex Products, Inc. ........ 87,587
-----------
194,406
-----------
</TABLE>
<PAGE> 23
================================================================================
22 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
DRUGS - 2.98%
3,500 A.L. Pharma Inc. Class A ...... $ 58,625
3,400 *Agouron Pharmaceuticals,
Inc. ......................... 272,425
3,100 Alkermes, Inc. ................ 51,150
8,700 *Alliance Pharmaceutical
Corp. ........................ 88,087
267 *Alpha 1 Biomedicals, Inc. ..... 28
2,100 *Alteon, Inc. .................. 8,400
5,700 *AmeriSource Health Corp.
Class A ...................... 242,962
6,300 *Amylin Pharmaceuticals, Inc. .. 81,900
2,500 *Aphton Corp. .................. 36,250
444 *Aquila Biopharmaceuticals,
Inc. ......................... 2,109
4,100 Bindley Western Industries,
Inc. ......................... 90,200
1,200 *Carrington Laboratories,
Inc. ......................... 9,150
3,700 Carter-Wallace Inc. ........... 61,050
3,500 *CellPro, Inc. ................. 22,750
7,400 *Cephalon, Inc. ................ 92,500
4,017 *Chad Therapeutics, Inc. ....... 32,387
2,000 *Chronimed, Inc. ............... 19,750
4,000 *CNS, Inc. ..................... 35,000
7,500 *Cocensys, Inc. ................ 30,000
5,500 *Columbia Laboratories, Inc. ... 107,250
3,598 *Copley Pharmaceutical, Inc. ... 22,937
3,000 *COR Therapeutics, Inc. ........ 26,813
5,300 *Cygnus, Inc. .................. 87,450
8,200 *Cytel Corp. ................... 16,913
1,900 *DepoTech Corp. ................ 26,600
10,900 *Dura Pharmaceuticals, Inc. .... 433,275
2,600 *GelTex Pharmaceuticals, Inc. .. 49,400
10,400 *Genelabs Technologies, Inc. ... 24,700
10,900 *Gensia, Inc. .................. 50,413
7,200 *Gilead Sciences, Inc. ......... 195,300
2,700 Herbalife International,
Inc. ......................... 56,025
4,900 *Human Genome Sciences, Inc. ... 189,875
9,265 ICN Pharmaceuticals, Inc. ..... 200,356
7,400 *ICOS Corp. .................... 59,662
4,100 *IDEC Pharmaceuticals Corp. .... 92,250
7,100 *ImmuLogic Pharmaceutical
Corp. ........................ 28,400
5,900 *Immune Response Corp. ......... 50,150
5,700 *Immunex Corp. ................. 178,837
2,300 *Incyte Pharmacuticals, Inc. ... 150,650
3,900 *Inhale Therapeutic Systems..... 78,975
1,500 *Intercardia, Inc. ............. 28,500
5,700 Jones Medical Industries,
Inc. ......................... 204,487
4,050 Life Technologies, Inc. ....... 109,350
4,358 *Ligand Pharmaceuticals Inc.
Class B ...................... 51,751
DRUGS - Continued
4,400 *Martek Biosciences Corp. ...... $ 74,800
3,100 *Matrix Pharmaceuticals, Inc. .. 21,700
5,130 Natures Sunshine Products,
Inc. ......................... 86,569
4,300 *Neoprobe Corp. ................ 65,037
3,700 *Neose Technologies, Inc. ...... 48,100
2,600 *Neurogen Corp. ................ 49,725
7,100 *NeXstar Pharmaceuticals,
Inc. ......................... 77,212
5,900 *Noven Pharmaceuticals, Inc. ... 46,463
3,400 *Parexel International Corp. ... 111,775
3,800 *PathoGensis Corp. ............. 104,975
2,400 *PDT Inc. ...................... 67,200
5,300 *R.P. Scherer Corp. ............ 278,250
6,600 *Regeneron Pharmaceuticals
Inc. ......................... 70,125
2,700 *Roberts Pharmaceutical Corp. .. 33,413
4,300 *SangStat Medical Corp. ........ 107,500
7,100 *Sepracor Inc. ................. 173,950
9,300 *SEQUUS Pharmaceuticals, Inc. .. 65,681
6,500 *Somatogen, Inc. ............... 35,750
4,500 *Vertex Pharmaceuticals Inc. ... 182,250
2,150 *Vitalink Pharmacy Services,
Inc. ......................... 41,119
4,600 *Vivus Inc. .................... 188,025
9,100 *Xoma Corp. .................... 46,638
-----------
5,731,299
-----------
ELECTRICAL EQUIPMENT - 2.05%
10,800 AMETEK, Inc. .................. 252,450
12,300 *Anixter International, Inc. ... 209,100
1,200 *Applied Digital Access, Inc. .. 7,500
2,400 *Applied Innovation Inc. ....... 14,400
7,157 *BancTec, Inc. ................. 180,714
7,000 Belden Inc. ................... 254,625
1,200 *Brite Voice Systems, Inc. ..... 10,050
3,950 *C-COR Electronics, Inc. ....... 38,513
4,600 *Cable Design Technologies
Corp. ........................ 126,500
4,300 *California Microwave, Inc. .... 52,675
7,233 *Chyron Corp. .................. 33,453
5,000 *Computer Products, Inc. ....... 111,250
4,900 *Digital Microwave Corp. ....... 151,900
3,475 *Electro Rent Corp. ............ 79,925
3,400 *Energy Conversion Devices,
Inc. 51,850
3,600 *Esterline Technologies Corp. .. 108,450
5,300 *Executive Telecard Ltd. ....... 38,425
700 *Franklin Electronic
Publishers, Inc. ............. 7,088
1,500 *Galileo Corp. ................. 10,500
6,900 *GenRad, Inc. .................. 128,512
ELECTRICAL EQUIPMENT - Continued
2,800 *Holophane Corp. ............... $ 59,500
4,400 *Hutchinson Technology Inc. .... 121,000
2,800 *Identix, Inc. ................. 28,350
5,400 *Integrated Silicon Solution,
Inc. ......................... 52,650
10,500 *Intergraph Corp. .............. 74,156
1,200 *Jabil Circuit, Inc. ........... 70,275
4,800 Juno Lighting, Inc. ........... 76,800
9,100 *Kemet Corp. ................... 230,912
5,500 *Kent Electronics Corp. ........ 178,750
2,000 Kuhlman Corporation ........... 55,250
3,100 *Littelfuse, Inc. .............. 160,425
3,500 *Semitool, Inc. ................ 43,312
9,200 *Sierra Semiconductor Corp. .... 221,950
4,800 Standex International Corp. ... 130,800
593 *Sulcus Computer Corp. ......... 1,038
5,200 *TCSI Corp. .................... 33,800
1,200 *Thermo Ecotek Corp. ........... 19,200
1,100 Thomas Industries Inc. ........ 30,938
4,200 *Uniphase Corp. ................ 220,500
7,000 *Vicor Corp. ................... 138,250
5,100 X-Rite, Inc. .................. 94,987
1,800 *Zytec Corp. ................... 31,950
-----------
3,942,673
-----------
ELECTRONIC INSTRUMENTS - 2.68%
10,000 *Ampex Corp. ................... 64,375
3,150 Analogic Corp. ................ 102,769
6,200 *Applied Magnetics Corp. ....... 154,225
2,700 *Berg Electronics Corp. ........ 93,825
6,400 BMC Industries, Inc. .......... 210,400
8,500 *Cognex Corp. .................. 221,531
2,000 CTS Corp. ..................... 138,000
5,400 Daniel Industries, Inc. ....... 72,225
3,300 *Dionex Corp. .................. 174,900
4,600 *Dynatech Corp. ................ 172,500
2,400 *Eltron International, Inc. .... 65,400
4,000 *Evans & Sutherland Computer
Corp. ........................ 105,000
4,600 *Exabyte Corp. ................. 64,975
1,600 Fluke Corp. ................... 79,800
7,800 *Gentex Corp. .................. 156,975
5,500 *Genus, Inc. ................... 31,625
6,300 Gerber Scientific, Inc. ....... 118,912
2,200 *HADCO Corp. ................... 132,137
4,575 Harman International
Industries, Inc. ............. 191,006
</TABLE>
<PAGE> 24
================================================================================
May 31, 1997 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 23
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
ELECTRONIC INSTRUMENTS - Continued
3,600 *Harmonic Lightwaves, Inc. ..... $ 59,400
5,300 *IMP, Inc. ..................... 9,275
18,400 *Integrated Device Technology,
Inc. ......................... 258,750
12,000 *InterDigital Communications
Corp. ........................ 79,500
1,400 *ITI Technologies, Inc. ........ 22,400
5,850 *Lattice Semiconductor Corp. ... 339,300
8,300 *LoJack Corp. .................. 96,487
10,200 *LTX Corp. ..................... 62,475
7,700 *MagneTek, Inc. ................ 134,750
4,400 *Marshall Industries ........... 160,050
9,850 Methode Electronics, Inc.
Class A ...................... 166,219
5,100 National Computer Systems,
Inc. ......................... 128,775
5,400 *Nimbus CD International,
Inc. ......................... 60,750
3,300 Park Electrochemical Corp. .... 82,913
4,200 *Performance Food Group Co. .... 87,150
8,237 Pioneer-Standard Electronics,
Inc. ......................... 101,933
5,100 *Robotic Vision Systems, Inc. .. 59,288
5,700 *Standard Microsystems Corp. ... 51,300
400 Technitrol, Inc. .............. 10,000
6,200 Telxon Corp. .................. 114,894
6,400 *3DO Co. ....................... 28,800
4,200 *Tracor, Inc. .................. 106,575
5,800 *Waters Corp. .................. 187,050
2,900 Watkins-Johnson Co. ........... 91,713
4,000 Wyle Electronics .............. 148,000
5,100 ZERO Corp. .................... 117,300
1,600 *Zygo Corp. .................... 46,400
-----------
5,162,027
-----------
ENTERTAINMENT - 0.56%
800 *AMC Entertainment, Inc. ....... 18,400
3,800 *Argosy Gaming Co. ............. 11,875
79 *Autotote Corp. Class A ........ 89
11,000 *Aztar Corp. ................... 77,000
2,200 *BET Holdings, Inc. Class A .... 70,675
1,800 *Carmike Cinemas, Inc. ......... 62,550
2,300 *GC Companies, Inc. ............ 97,750
3,000 Harveys Casino Resorts ........ 50,625
6,700 *Hollywood Entertainment Corp. . 134,837
3,900 NN Ball & Roller, Inc. ........ 45,338
3,000 *Penn National Gaming, Inc. .... 54,000
3,300 *Playboy Enterprises Inc.
Class B ...................... 38,775
3,300 *Primadonna Resorts, Inc. ...... 72,600
2,100 *Recoton Corp. ................. 26,775
5,925 *Regal Cinemas, Inc. ........... 194,784
ENTERTAINMENT - Continued
1,150 *Shuffle Master, Inc. .......... $ 9,631
3,400 *Sodak Gaming, Inc. ............ 49,938
5,900 *Toy Biz, Inc. Class A ......... 52,362
-----------
1,068,004
-----------
FERTILIZERS - 0.20%
8,065 Delta & Pine Land Co. ......... 244,974
6,504 Mississippi Chemical Corp. .... 147,966
-----------
392,940
-----------
FINANCE COMPANIES - 0.62%
5,300 Aames Financial Corp. ......... 68,238
3,400 *Amresco, Inc. ................. 59,925
1,300 *Cityscape Financial Corp. ..... 18,850
5,400 *Credit Acceptance Corp. ....... 76,275
2,000 *FIRSTPLUS Financial Group,
Inc. ......................... 51,000
5,734 *Imperial Credit Industries,
Inc. ......................... 108,229
9,150 Keystone Financial, Inc. ...... 272,212
7,300 Phoenix Duff & Phelps Corp. ... 54,750
140 Phoenix Duff & Phelps Corp.
(Preferred) .................. 3,570
3,100 Reliance Acceptance Group,
Inc. ......................... 17,825
1,900 Sirrom Capital Corp. .......... 73,863
2,000 Student Loan Corp. ............ 76,500
5,000 U. S. Trust Corp. ............. 235,000
2,530 *WFS Financial, Inc. ........... 32,890
1,200 Winthrop Resources Corp. ...... 38,250
-----------
1,187,377
-----------
FOODS - 1.28%
7,400 Chiquita Brands International . 113,775
9,200 Dean Foods Co. ................ 349,600
3,200 Dreyer's Grand Ice Cream,
Inc. ......................... 117,600
2,000 Earthgrains Co. ............... 114,000
22,275 Flowers Industries, Inc. ...... 392,597
5,550 Hudson Foods, Inc. Class A .... 88,106
4,100 International Multifoods Corp. 115,825
9,800 J.M. Smucker Co. Class A ...... 189,875
2,300 *JP Foodservice, Inc. .......... 66,700
4,200 Lance, Inc. ................... 82,950
8,400 M & F Worldwide Corp. ......... 65,100
3,200 Michael Foods, Inc. ........... 45,400
3,700 *Morningstar Group Inc. ........ 97,125
3,400 *NBTY, Inc. .................... 79,900
2,000 Northland Cranberries, Inc. ... 26,000
FOODS - Continued
1,100 Pilgrims Pride Corp. .......... $ 13,750
8,000 *Ralcorp Holdings, Inc. ........ 97,000
4,667 Tootsie Roll Industries,
Inc. ......................... 225,183
5,300 Universal Foods Corp. ......... 190,137
-----------
2,470,623
-----------
FOOTWEAR - 0.52%
4,400 Brown Group, Inc. ............. 79,200
6,150 *Just For Feet Inc. ............ 120,694
8,000 Justin Industries, Inc. ....... 95,000
3,400 *Kenneth Cole Productions, Inc.
Class A ...................... 53,975
13,000 Stride Rite Corp. ............. 198,250
2,100 *Timberland Co. Class A ........ 123,112
12,488 Wolverine World Wide, Inc. .... 323,114
-----------
993,345
-----------
FREIGHT - 0.68%
4,100 Air Express International Corp. 149,650
3,900 Airborne Freight Corp. ........ 149,175
8,200 APL Ltd. ...................... 248,050
2,500 *Eagle USA Airfreight, Inc. .... 50,625
10,200 *Greyhound Lines, Inc. ......... 42,713
5,400 Interpool, Inc. ............... 75,600
5,500 J.B. Hunt Transport Services,
Inc. ......................... 83,875
6,300 *Kirby Corp. ................... 118,912
10,700 *OMI Corp. ..................... 102,988
9,700 Overseas Shipholding Group
Inc. ......................... 183,087
2,100 *SEACOR Holdings, Inc. ......... 108,675
-----------
1,313,350
-----------
GOLD MINING - 0.45%
12,800 *Amax Gold Inc. ................ 84,800
64,700 Battle Mountain Gold Co. ...... 396,288
5,600 Coeur d'Alene Mines Corp. ..... 76,300
6,630 *Getchell Gold Corp. ........... 264,371
65,500 *Sunshine Mining Co. ........... 53,219
-----------
874,978
-----------
HARDWARE & TOOLS - 0.08%
600 Barnes Group, Inc. ............ 16,125
2,500 *Barnett, Inc. ................. 55,625
3,200 Lawson Products, Inc. ......... 80,000
-----------
151,750
-----------
</TABLE>
<PAGE> 25
================================================================================
24 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
HEALTHCARE - 2.60%
4,300 *Access Health, Inc. ........... $ 94,600
11,300 *Advanced Tissue Sciences,
Inc. ......................... 145,488
10,700 *American Oncology Resources,
Inc. ......................... 151,137
2,400 *Arbor Health Care Co. ......... 68,400
2,536 Block Drug Co., Inc. Class A .. 112,535
4,100 Collagen Corp. ................ 69,700
8,300 *Coram Healthcare Corp. ........ 22,825
2,800 *Curative Technologies, Inc. ... 77,875
8,902 *CYTOGEN Corp. ................. 50,074
8,300 *Genesis Health Ventures,
Inc. ......................... 272,862
4,500 *GranCare, Inc. ................ 41,625
12,462 *Horizon/CMS Healthcare Corp. .. 227,431
5,800 Integrated Health Services,
Inc. ......................... 208,800
6,600 Invacare Corp. ................ 141,900
2,300 Kinetic Concepts, Inc. ........ 37,950
17,000 *Laboratory Corp. of America
Holdings ..................... 48,875
1,383 *Laboratory Corp. of America
Holdings (Rights) ............ 11,062
3,400 *LCA-Vision, Inc. .............. 14,025
3,600 *Living Centers of America,
Inc. ......................... 137,250
7,400 *Mariner Health Group, Inc. .... 88,800
5,500 *Matria Healthcare, Inc. ....... 24,063
5,500 *Maxicare Health Plans Inc. .... 132,000
7,300 Mentor Corp. .................. 192,537
5,100 *Multicare Companies, Inc. ..... 126,863
1,500 *National Surgery Centers,
Inc. ......................... 57,750
16,500 *NovaCare, Inc. ................ 208,312
3,750 *Patterson Dental Co. .......... 129,375
4,499 *Pharmaceutical Product
Development, Inc. ............ 86,043
3,000 *PHP Healthcare Corp. .......... 45,375
8,300 *Physician Corp. of America .... 59,138
3,000 *Physicians Health Services,
Inc. Class A ................. 79,125
4,300 *Regency Health Services,
Inc. ......................... 52,675
6,600 *Renal Treatment Centers Inc. .. 189,750
1,800 *ReSound Corp. ................. 8,775
3,300 *Respironics Inc. .............. 66,825
1,000 *RightCHOICE Managed Care, Inc.
Class A ...................... 11,750
6,600 *RoTech Medical Corp. .......... 111,375
2,300 *Rural/Metro Corp. ............. 73,600
5,000 *Sierra Health Services, Inc. .. 155,625
4,400 *SpaceLabs Medical, Inc. ....... 98,450
HEALTHCARE - Continued
1,000 *Summit Care Corp. ............. $ 12,000
10,488 *Sun Healthcare Group, Inc. .... 175,674
5,500 *Sunrise Medical Inc. .......... 70,813
3,850 *TECNOL Medical Products,
Inc. ......................... 74,113
11,493 *Transitional Hospitals Corp. .. 182,451
8,700 *Universal Health Services, Inc.
Class B ...................... 352,350
5,000 *Veterinary Centers of America,
Inc. ......................... 61,250
3,500 *VISX, Inc. .................... 103,250
2,300 Vital Signs, Inc. ............. 45,713
-----------
5,010,234
-----------
HEAVY DUTY TRUCKS/PARTS - 0.25%
800 Cascade Corp. ................. 13,500
4,000 *Detroit Diesel Corp. .......... 88,000
16,600 *Navistar International Corp. .. 275,975
4,450 Wabash National Corp. ......... 98,456
-----------
475,931
-----------
HOME BUILDERS - 0.76%
1,250 Cavalier Homes, Inc. .......... 14,063
7,600 Centex Corp. .................. 303,050
3,300 Continental Homes Holding
Corp. ........................ 54,037
7,905 D R Horton Inc. ............... 76,086
6,600 Del Webb Corp. ................ 100,650
10,200 Kaufman & Broad Home Corp. .... 153,000
5,300 *NVR Inc. ...................... 81,819
3,500 *Palm Harbor Homes, Inc. ....... 98,875
5,900 Pulte Corp. ................... 186,587
4,200 Ryland Group, Inc. ............ 54,600
10,200 Standard Pacific Corp. ........ 104,550
6,200 *Toll Brothers, Inc. ........... 113,150
4,370 *U. S. Home Corp. .............. 115,259
-----------
1,455,726
-----------
HOSPITAL MANAGEMENT - 0.65%
4,500 *ABR Information Services,
Inc. ......................... 144,562
1,700 *Coastal Physician Group Inc. .. 1,594
7,500 *Coventry Corp. ................ 109,219
2,900 *EmCare Holdings Inc. .......... 87,000
1,900 *Enterprise Systems, Inc. ...... 55,219
3,700 *Equimed, Inc. ................. 12,141
5,000 *Health Management Systems,
Inc. ......................... 28,125
52 *Hospital Staffing Services,
Inc. ......................... 123
4,100 *Inphynet Medical Management,
Inc. ......................... 89,175
HOSPITAL MANAGEMENT - Continued
7,100 *Magellan Health Services,
Inc. ......................... $ 193,475
2,000 *MedCath Inc. .................. 30,250
6,600 *OccuSystems, Inc. ............. 173,250
5,500 *Orthodontic Centers of America
Inc. ......................... 92,125
3,000 *Pediatrix Medical Group ....... 119,250
4,400 *Physicians Resource Group,
Inc. ......................... 51,700
3,800 *Prime Medical Services, Inc. .. 42,275
6,400 *Transcend Services, Inc. ...... 25,600
-----------
1,255,083
-----------
HOSPITAL SUPPLIES - 1.32%
5,700 *Acuson Corp. .................. 148,200
3,400 *Advanced Technology
Laboratories, Inc. ........... 131,750
2,100 Arrow International, Inc. ..... 67,725
1,400 *ArthroCare Corp. .............. 10,675
7,000 Ballard Medical Products ...... 134,750
11,200 *Bio-Technology General Corp. .. 162,400
3,531 *Boston Scientific Corp. ....... 188,467
3,500 *Coherent, Inc. ................ 153,125
2,700 *CONMED Corp. .................. 50,625
5,200 *Datascope Corp. ............... 98,800
3,600 Diagnostic Products Corp. ..... 107,550
3,700 *Gulf South Medical Supply,
Inc. ......................... 73,075
3,250 *Healthdyne Technologies Inc. .. 47,937
3,600 *ICU Medical, Inc. ............. 31,950
7,800 *Immunomedics, Inc. ............ 41,437
8,100 *Isis Pharmaceuticals, Inc. .... 127,575
600 Landauer, Inc. ................ 13,650
4,900 *Marquette Medical Systems ..... 112,700
4,400 Meridian Diagnostics, Inc. .... 37,400
2,100 *MiniMed, Inc. ................. 52,500
3,900 *OrthoLogic Corp. .............. 22,913
2,000 *Ostex International, Inc. ..... 4,000
9,750 Owens & Minor, Inc. ........... 123,094
165 *PerSeptive Biosystems Inc. .... 1,052
93 *PerSeptive Biosystems Inc.
(Warrants) ................... 105
3,200 *Physio-Control International
Corp. ........................ 40,800
2,800 *Protocol Systems, Inc. ........ 21,350
3,400 *Safeskin Corp. ................ 85,425
3,000 *St. Jude Medical, Inc. ........ 101,625
9,500 *Summit Technology, Inc. ....... 73,031
1,800 *TECHNE Corp. .................. 49,725
3,600 *Theragenics Corp. ............. 80,100
</TABLE>
<PAGE> 26
================================================================================
May 31, 1997 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 25
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
HOSPITAL SUPPLIES - Continued
8,000 *Uromed Corp. .................. $ 38,000
3,800 West Co., Inc. ................ 112,100
-----------
2,545,611
-----------
HOUSEHOLD PRODUCTS - 0.71%
3,100 Church & Dwight Co., Inc. ..... 82,150
3,900 *Culligan Water Technologies,
Inc. ......................... 173,550
5,300 Libbey Inc. ................... 176,887
4,050 Pittway Corp. Class A ......... 214,650
13,900 Premark International Inc. .... 378,775
9,750 Rykoff-Sexton, Inc. ........... 186,469
4,700 Stanhome Inc. ................. 147,463
1,100 *USA Detergents, Inc. .......... 14,300
-----------
1,374,244
-----------
HUMAN RESOURCES - 0.18%
2,400 *COREStaff, Inc. ............... 57,000
5,800 *Employee Solutions, Inc. ...... 30,813
4,200 *Interim Services Inc. ......... 163,800
3,300 *Personal Group of America,
Inc. ......................... 100,238
-----------
351,851
-----------
INFORMATION PROCESSING - 7.56%
2,100 *ACT Networks, Inc. ............ 37,013
3,200 *Activision, Inc. .............. 41,600
4,333 *ADAC Laboratories ............. 112,658
5,400 *Affiliated Computer Services,
Inc. Class A ................. 143,100
3,400 *Amisys Managed Care Systems
Inc. ......................... 74,800
3,800 Analysts International Corp. .. 137,750
3,100 *Applix, Inc. .................. 13,950
2,500 *Arbor Software Corp. .......... 74,375
4,400 *Aspen Technologies, Inc. ...... 168,300
11,503 *AST Research, Inc. ............ 60,391
4,600 *Astea International, Inc. ..... 14,950
7,900 *Auspex Systems, Inc. .......... 81,962
4,308 *Avant! Corp. .................. 99,084
2,000 *Barra, Inc. ................... 59,000
6,600 *BBN Corp. ..................... 190,575
6,800 *BDM International.............. 176,800
2,400 *Bell & Howell Co. ............. 64,200
5,800 *BISYS Group, Inc. ............. 221,125
5,400 *Black Box Corp. ............... 190,350
6,025 *Boole & Babbage, Inc. ......... 125,019
10,100 *Borland International, Inc. ... 73,225
INFORMATION PROCESSING - Continued
7,100 *Boston Technology, Inc. ....... $ 204,125
1,300 *BRC Holdings, Inc. ............ 48,750
5,400 *Broderbund Software Inc. ...... 135,675
3,300 *Brooktrout Technology, Inc. ... 44,550
2,295 *Cadence Design Systems, Inc. .. 76,309
3,300 *Caere Corp. ................... 27,225
4,200 *Centennial Technologies,
Inc. ......................... 12,075
340 *Centura Software Corp. ........ 510
4,900 *Cerner Corp. .................. 95,550
6,700 *Checkfree Corp. ............... 117,250
2,600 *Ciber, Inc. ................... 107,575
6,800 *Citrix Systems, Inc. .......... 255,850
2,200 *Clarify, Inc. ................. 26,675
1,100 *COMFORCE Corp. ................ 6,463
4,750 *Computer Horizons Corp. ....... 264,812
800 Computer Language Research,
Inc. ......................... 8,750
1,150 *Computer Management Sciences,
Inc. ......................... 23,000
7,000 *Computer Network Technology
Corp. ........................ 33,688
1,100 Computer Task Group, Inc. ..... 67,237
14,900 *Computervision Corp. .......... 72,637
1,600 *ComShare, Inc. ................ 22,000
5,600 *Comverse Technology, Inc. ..... 256,200
3,700 *Control Data Systems, Inc. .... 54,112
15,900 *CopyTele, Inc. ................ 82,481
800 *CSG Systems International,
Inc. ......................... 19,000
1,000 *Cybercash, Inc. ............... 13,000
11,400 *Data General Corp. ............ 243,675
800 *Data Translation, Inc. ........ 3,000
2,700 *Dialogic Corp. ................ 78,975
6,900 *Diamond Multimedia Systems,
Inc. ......................... 55,200
1,900 *Documentum, Inc. .............. 37,288
7,100 *Egghead, Inc. ................. 33,281
4,200 *Envoy Corp. ................... 126,525
3,600 *Excalibur Technologies Corp. .. 15,750
1,300 Fair Issac & Co., Inc. ........ 51,350
4,000 *FileNet Corp. ................. 66,500
202 First Data Corp. .............. 8,080
6,500 *FTP Software, Inc. ............ 36,563
6,800 *General DataComm Industries,
Inc. ......................... 61,200
3,900 *Geoworks ...................... 24,375
2,700 *Harbinger Corp. ............... 83,700
800 *HCIA, Inc. .................... 19,800
4,350 Henry Jack & Associates ....... 97,331
3,700 *HMT Technology Corp. .......... 49,487
INFORMATION PROCESSING - Continued
4,800 *HNC Software, Inc. ............ $ 158,400
5,700 *Hyperion Software Corp. ....... 102,600
2,000 *IDX Systems Corp. ............. 64,500
3,000 *IKOS Systems, Inc. ............ 74,250
3,300 *Imnet Systems, Inc. ........... 82,500
3,100 *In Focus Systems, Inc. ........ 80,600
1,200 *Individual, Inc. .............. 6,675
10,000 *Information Resources, Inc. ... 150,000
2,600 *Inso Corp. .................... 73,125
700 *Integrated Measurment Systems,
Inc. ......................... 11,725
3,200 *Integrated Systems, Inc.
Class A ...................... 46,400
7,200 *INTERSOLV, Inc. ............... 71,100
700 *JDA Software Group, Inc. ...... 19,425
8,600 *Keane, Inc. ................... 484,825
1,300 *Kronos, Inc. .................. 33,800
3,000 *Learning Tree International,
Inc. ......................... 117,000
4,900 *Legato Systems, Inc. .......... 98,000
2,500 *Manugistics Group, Inc. ....... 162,500
3,200 *Media 100 Inc. ................ 18,400
5,800 *Mercury Interactive Corp. ..... 101,500
1,300 MetaCreations, Inc. ........... 15,600
14,200 *Microchip Technology, Inc. .... 504,100
1,400 *MICROS Systems Inc. ........... 55,650
1,600 *Microware Systems Corp. ....... 12,400
4,200 MTS Systems Corp. ............. 108,675
3,800 *Mylex Corp. ................... 37,525
6,650 National Data Corp. ........... 291,769
3,600 *National Instruments Corp. .... 119,250
2,300 *NETCOM On-Line Communication
Services, Inc. ............... 32,631
9,900 *NetManage, Inc. ............... 34,031
4,500 *Network Appliance, Inc. ....... 182,531
4,100 *Network Peripherals, Inc. ..... 39,463
9,200 *Oak Technology, Inc. .......... 86,250
3,100 *ODS Networks Inc. ............. 50,181
4,316 *Paxar Corp. ................... 83,083
2,600 *Perceptron, Inc. .............. 73,450
1,900 *Periphonics Corp. ............. 35,388
4,700 *Phoenix Technologies Ltd. ..... 65,212
6,200 *Physician Computer Network,
Inc. ......................... 35,650
1,100 *Pinnacle Systems, Inc. ........ 20,075
800 *Planar Systems, Inc. .......... 9,500
333 *Platinum Software Corp. ....... 3,018
11,600 *PLATINUM technology, Inc. ..... 168,200
</TABLE>
<PAGE> 27
================================================================================
26 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
INFORMATION PROCESSING - Continued
6,400 *PMT Services, Inc. ............ $ 102,400
3,400 *Policy Management Systems
Corp. ........................ 161,500
2,900 *Premenos Technology Corp. ..... 19,575
5,800 *Primark Corp. ................. 137,750
1,200 *Prism Solutions, Inc. ......... 8,400
4,400 *Progress Software Corp. ....... 77,000
2,300 *Project Software &
Development, Inc. ............ 44,562
7,800 *PsiNet, Inc. .................. 58,987
7,470 *Pure Atria Corp. .............. 119,520
6,600 *Quarterdeck Corp. ............. 17,738
1,900 *RadiSys Corp. ................. 69,825
2,300 *Red Brick Systems, Inc. ....... 20,269
3,600 *Remedy Corp. .................. 145,350
1,400 *Renaissance Solutions, Inc. ... 51,800
12,300 *S3, Inc. ...................... 150,675
2,700 *Sandisk Corp. ................. 38,813
1,900 *Santa Cruz Operation, Inc. .... 8,550
400 *Sapient Corp. ................. 17,900
2,700 *Scopus Technology, Inc. ....... 81,506
9,700 *Sequent Computer Systems,
Inc. ......................... 163,687
3,800 *SMART Modular Technologies,
Inc. ......................... 128,250
4,900 *Smith Micro Software, Inc. .... 15,925
5,100 *Spectrum HoloByte, Inc. ....... 32,513
2,700 *SPSS, Inc. .................... 87,075
8,100 *Stac, Inc. .................... 33,413
1,000 *Storage Computer Corp. ........ 13,625
3,700 *StorMedia, Inc. Class A ....... 43,937
5,800 *Stratus Computer, Inc. ........ 265,350
10,100 *Structural Dynamics Research
Corp. ........................ 247,450
13,100 *Symantec Corp. ................ 249,719
5,000 *Sync Research, Inc. ........... 20,938
7,350 *System Software Associates,
Inc. ......................... 67,987
3,600 *Systems & Computer
Technology Corp. ............. 86,400
4,000 *Systemsoft Corp. .............. 48,000
9,400 *Tech Data Corp. ............... 278,475
5,300 *Technology Solutions Co. ...... 192,125
6,200 *Transaction Systems Architects,
Inc. Class A ................. 260,400
4,200 *Trident Microsystems, Inc. .... 60,375
5,100 *Tseng Labs, Inc. .............. 19,763
1,600 *USDATA Corp., Inc. ............ 7,800
5,000 *Vanstar Corp. ................. 50,000
3,200 *Vantive Corp. ................. 86,000
INFORMATION PROCESSING - Continued
3,200 *Veritas Software Corp. ........ $ 159,200
4,600 *Viasoft, Inc. ................. 243,800
4,100 *VideoServer, Inc. ............. 71,237
6,300 *Viewlogic Systems, Inc. ....... 94,500
1,600 *Visio Corp. ................... 92,000
5,800 *Visioneer Communications Inc. . 20,300
3,100 *Wall Data, Inc. ............... 77,500
8,500 *Wang Laboratories, Inc. ....... 174,250
3,150 *Wind River Systems Inc. ....... 107,100
3,200 *Wonderware Corp. .............. 43,800
6,600 *Workgroup Technology Corp. .... 28,875
5,500 *Xircom, Inc. .................. 79,664
1,800 *Yahoo!, Inc. .................. 58,050
5,000 *Zebra Technologies Corp.
Class A ...................... 153,750
-----------
14,544,116
-----------
INSURANCE - CASUALTY - 1.27%
3,000 *Acceptance Insurance
Companies, Inc. .............. 63,000
900 Baldwin & Lyons, Inc.
Class B ...................... 15,750
4,000 *Capsure Holdings Corp. ........ 50,000
3,500 Citizens Corp. ................ 88,813
6,600 Commerce Group, Inc. .......... 148,500
2,600 E.W. Blanch Holdings, Inc. .... 64,350
3,485 Frontier Insurance Group,
Inc. ......................... 191,239
4,473 Gainsco, Inc. ................. 36,902
6,400 HCC Insurance Holdings, Inc. .. 167,200
1,700 *Highlands Insurance Group,
Inc. ......................... 34,000
3,900 NAC Re Corp. .................. 155,512
200 Nymagic, Inc. ................. 3,875
3,181 Orion Capital Corp. ........... 212,729
16,100 Reliance Group Holdings Inc. .. 197,225
7,600 *RISCORP, Inc. ................. 27,550
5,800 *Risk Capital Holdings, Inc. ... 110,200
900 RLI Corp. ..................... 28,688
3,800 Selective Insurance Group,
Inc. ......................... 168,150
3,150 Trenwick Group Inc. ........... 106,313
10,200 20th Century Industries ....... 196,350
1,405 United Fire & Casualty Co. .... 50,580
5,700 Vesta Insurance Group, Inc. ... 261,487
1,600 Zurich Reinsurance Centre
Holdings, Inc. ............... 62,200
-----------
2,440,613
-----------
INSURANCE - LIFE - 0.58%
450 American Heritage Life Investment
Corp. ........................ $ 13,050
2,000 *Compdent Corp. ................ 36,250
300 Kansas City Life Insurance Co. 21,750
7,100 *Life USA Holding, Inc. ........ 85,644
500 *National Western Life
Insurance Co. Class A ........ 43,500
6,500 Presidential Life Corp. ....... 93,437
3,700 Reinsurance Group of
America Inc. ................. 199,800
435 Seafield Capital Corp. ........ 14,029
2,200 Security-Connecticut Corp. .... 106,975
7,600 *UICI........................... 204,250
6,870 United Companies Financial
Corp. ........................ 157,151
2,800 W.R. Berkley Corp. ............ 145,250
-----------
1,121,086
-----------
INSURANCE - MISCELLANEOUS - 1.42%
3,600 Acordia, Inc. ................. 127,800
5,175 ALLIED Group, Inc. ............ 205,706
6,800 *Amerin Corp. .................. 159,800
3,600 Arthur J. Gallagher & Co. ..... 114,300
3,700 Capital Re Corp. .............. 162,338
6,800 CMAC Investment Corp. ......... 283,050
10,300 Crawford & Co. Class B ........ 169,950
3,600 Executive Risk Inc. ........... 187,650
3,877 Fidelity National Financial,
Inc. ......................... 49,916
2,900 Foremost Corp. of America ..... 163,850
5,512 Fremont General Corp. ......... 193,609
1,770 Guaranty National Corp. ....... 38,055
3,300 Harleysville Group ............ 120,450
4,300 Hartford Steam Boiler
Inspection & Insurance Co. ... 219,300
2,250 Hilb, Rogal & Hamilton Co. .... 33,188
4,200 Integon Corp. ................. 52,500
3,900 Liberty Corp. ................. 155,025
9,200 *Mid Atlantic Medical
Services, Inc. ............... 118,450
2,200 MMI Companies, Inc. ........... 52,250
525 Poe & Brown Inc. .............. 15,750
4,100 Zenith National Insurance
Corp. ........................ 102,500
-----------
2,725,437
-----------
INSURANCE - MULTILINE - 0.98%
2,450 Alfa Corp. .................... 30,625
4,678 American Annuity Group, Inc. .. 87,128
</TABLE>
<PAGE> 28
================================================================================
May 31, 1997 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 27
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
INSURANCE - MULTILINE - Continued
5,500 American Bankers Insurance
Group, Inc. .................. $ 312,125
5,700 AmVestors Financial Corp. ..... 100,462
3,300 Argonaut Group, Inc. .......... 97,350
3,427 *Delphi Financial Group, Inc. .. 130,234
5,400 Horace Mann Educators Corp. ... 260,550
5,300 John Alden Financial Corp. .... 112,625
3,700 Life Re Corp. ................. 159,100
550 *Markel Corp. .................. 68,200
2,000 Meadowbrook Insurance Group,
Inc. ......................... 49,000
2,272 Medican Assum Inc. ............ 86,336
5,900 PennCorp Financial Group,
Inc. ......................... 201,337
1,700 United Wisconsin Services,
Inc. ......................... 60,563
4,900 *Washington National Corp. ..... 137,200
-----------
1,892,835
-----------
LEISURE TIME - 0.73%
6,500 *Acclaim Entertainment, Inc. ... 26,813
3,300 *Action Performance Companies,
Inc. ......................... 79,406
4,800 *Ameristar Casinos ............. 25,800
2,300 *Anchor Gaming ................. 97,750
400 *Bally's Grand, Inc. ........... 15,700
4,100 *Boyd Gaming Corp. ............. 24,088
2,682 *Casino America, Inc. .......... 6,286
10,700 *Casino Magic Corp. ............ 15,047
12,500 *Handleman Co. ................. 82,812
6,400 *Hollywood Park, Inc. .......... 89,600
5,000 Huffy Corp. ................... 65,000
3,100 Lewis Galoob Toys, Inc. ....... 55,800
5,200 *Outboard Marine Corp. ......... 76,700
7,500 *Players International, Inc. ... 29,062
5,600 Polaris Industries, Inc. ...... 165,900
5,600 *Rio Hotel & Casino Inc. ....... 81,900
4,800 *Scotts Co. Class A ............ 140,400
5,600 Showboat Inc. ................. 110,600
2,200 *Station Casinos, Inc. ......... 19,525
4,900 *Trump Hotels & Casino
Resorts, Inc. ................ 47,775
1,900 Winnebago Industries, Inc. .... 13,063
6,500 *WMS Industries Inc. ........... 134,875
-----------
1,403,902
-----------
LODGING - 0.52%
4,400 *Bristol Hotel Co. ............. 161,700
9,542 *Doubletree Corp. .............. 427,004
7,400 *Extended Stay America, Inc. ... 102,675
LODGING - Continued
3,900 *Host Marriott Services Corp. .. $ 39,000
2,993 Marcus Corp. .................. 73,329
10,100 *Prime Hospitality Corp. ....... 188,112
1,625 *WHG Resorts & Casinos Inc. .... 17,063
-----------
1,008,883
-----------
MACHINE TOOLS - 0.54%
10,400 Cincinnati Milacron Inc. ...... 240,500
7,000 Giddings & Lewis, Inc. ........ 132,672
2,000 Gleason Corp. ................. 74,250
5,000 Greenfield Industries ......... 130,000
5,600 Lincoln Electric Co. .......... 219,100
2,200 *PRI Automation Inc. ........... 83,875
3,400 Roper Industries, Inc. ........ 167,025
-----------
1,047,422
-----------
MACHINERY - AGRICULTURE - 0.16%
1,500 Allied Products Corp. ......... 48,750
2,700 Lindsay Manufacturing Co. ..... 97,200
4,100 Toro Co. ...................... 153,750
-----------
299,700
-----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.62%
1,100 *American Buildings Co. ........ 31,075
1,900 Blount, Inc. Class A .......... 78,375
3,700 CDI Corp. ..................... 149,387
4,400 Granite Construction, Inc. .... 88,000
5,345 *Insituform Technologies
Class A ...................... 32,070
3,900 *J. Ray McDermott, S.A ......... 106,275
5,500 *Jacobs Engineering Group,
Inc. ......................... 147,813
8,200 Kaman Corp. Class A ........... 112,238
7,100 Lennar Corp. .................. 186,375
3,522 *Morrison Knudsen Corp. ........ 44,465
6 *Morrison Knudsen Corp.
(Warrants).................... 38
3,000 Stone & Webster, Inc. ......... 128,625
3,900 TJ International Inc. ......... 91,163
-----------
1,195,899
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 2.38%
4,900 AAR Corp. ..................... 151,900
3,700 *ABC Rail Products Corp. ....... 61,050
6,100 Aeroquip-Vickers, Inc. ........ 264,587
MACHINERY - INDUSTRIAL/
SPECIALTY - Continued
8,800 Albany International Corp.
Class A ...................... $ 200,200
3,225 Applied Power Inc. Class A .... 141,900
7,480 Baldor Electric Co. ........... 209,440
3,300 *Burlington Coat Factory
Warehouse .................... 58,988
9,000 BW/IP, Inc. Class A ........... 172,125
3,000 *DII Group, Inc. ............... 95,250
6,350 Durco International, Inc. ..... 179,387
4,600 Exide Corp. ................... 100,625
3,000 *GaSonics International Corp. .. 35,625
475 General Binding Corp. ......... 14,013
2,000 Graco Inc. .................... 56,000
2,400 Greenwich Air Services, Inc. .. 69,300
2,700 Helix Technology Corp. ........ 109,350
2,200 Hughes Supply Inc. ............ 84,150
6,750 IDEX Corp. .................... 191,531
3,300 *Insilco Corp. ................. 124,162
4,300 *Integrated Process
Equipment Corp. .............. 79,013
3,200 *International Imaging
Materials, Inc. .............. 56,000
3,700 *Ionics, Inc. .................. 176,675
7,900 Keystone International, Inc. .. 257,737
6,300 *Kulicke & Soffa
Industries Inc. .............. 212,625
5,050 Lilly Industries, Inc.
Class A ...................... 106,050
4,250 Manitowoc Co., Inc. ........... 190,187
4,040 *Oak Industries Inc. ........... 99,990
1,500 *Ortel Corp. ................... 20,438
900 *Osmonics, Inc. ................ 14,738
5,100 Pacific Scientific Co. ........ 68,213
3,500 *Park-Ohio Industries Inc. ..... 45,500
7,300 Regal-Beloit Corp. ............ 194,362
800 Robbins & Myers, Inc. ......... 27,500
1,300 Scotsman Industries Inc. ...... 34,613
4,700 *Specialty Equipment Companies,
Inc. ......................... 64,625
2,200 *SPS Technologies, Inc. ........ 161,700
6,800 Stewart & Stevenson Services,
Inc. ......................... 181,900
3,500 Tennant Co. ................... 105,000
1,200 *Thermo Power Corp. ............ 7,200
3,300 Watts Industries, Inc.
Class A ...................... 82,087
2,300 *Zoltek Companies, Inc. ........ 71,875
-----------
4,577,611
-----------
MEDICAL TECHNOLOGY - 1.55%
2,100 *ATS Medical, Inc. ............. 12,830
3,600 *Bio-Rad Laboratories, Inc.
Class A ...................... 91,800
</TABLE>
<PAGE> 29
================================================================================
28 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
MEDICAL TECHNOLOGY - Continued
3,100 *Biomatrix, Inc. ............... $ 53,475
5,400 *Capstone Pharmacy Services .... 54,000
5,600 *Creative BioMolecules, Inc. ... 56,700
3,200 Dekalb Genetics Corp.
Class B ...................... 227,600
4,900 *Endosonics Corp. .............. 54,512
6,300 *Enzo Biochem, Inc. ............ 94,500
4,800 *Epitope, Inc. ................. 42,000
7,500 *Haemonetics Corp. ............. 128,437
3,500 *Hologic, Inc. ................. 84,000
4,400 *i- STAT Corp. ................. 78,100
16,600 *Imatron, Inc. ................. 46,687
5,000 *InControl, Inc. ............... 46,875
7,700 *KLA-Tencor Corp. .............. 366,231
8,700 *Liposome Co., Inc. ............ 221,850
2,300 *Lunar Corp. ................... 46,000
3,000 *Myriad Genetics, Inc. ......... 79,500
8,400 *NABI Inc. ..................... 58,800
4,500 *NeoPath, Inc. ................. 88,875
4,600 *Neurex Corp. .................. 67,275
6,300 *Neuromedical Systems, Inc. .... 41,737
3,100 *Northfield Laboratories Inc. .. 30,613
6,000 *Organogenesis Inc. ............ 112,500
3,800 *Protein Design Labs, Inc. ..... 120,175
5,500 *SciClone Pharmaceuticals,
Inc. ......................... 37,813
12,924 *Scios Nova Inc. ............... 81,583
1,950 *Serologicals Corp. ............ 37,294
5,100 *Sofamor Danek Group, Inc. ..... 234,600
3,600 *Spine-Tech, Inc. .............. 124,425
3,400 *ThermoTrex Corp. .............. 98,175
2,100 *Thoratec Laboratories Corp. ... 12,075
4,300 US Bioscience, Inc. ........... 45,150
-----------
2,976,187
-----------
MERCHANDISE - DRUG - 0.41%
9,225 Arbor Drugs, Inc. ............. 181,040
4,439 *Avatex Corp. .................. 4,994
4,400 *Express Scripts, Inc.
Class A ...................... 200,750
6,800 Longs Drug Stores Corp. ....... 161,500
4,200 *MedImmune, Inc. ............... 65,100
14,500 *Perrigo Co. ................... 174,000
-----------
787,384
-----------
MERCHANDISE - SPECIALTY - 2.67%
4,500 *Alliance Entertainment Corp. .. 3,938
6,818 Arctic Cat, Inc. .............. 71,589
MERCHANDISE - SPECIALTY - Continued
10,700 *Aura Systems, Inc. ............ $ 19,728
5,100 *Avid Technology, Inc. ......... 119,850
7,200 *Best Buy Co., Inc. ............ 98,100
2,550 *BMC West Corp. ................ 33,788
9,600 *Bombay Co., Inc. .............. 43,200
2,700 *Books-A-Million, Inc. ......... 13,838
3,000 *Bush Boake Allen Inc. ......... 87,375
6,100 Casey's General Stores, Inc. .. 122,000
7,667 Cash America International,
Inc. ......................... 74,753
24,700 *Charming Shoppes, Inc. ........ 129,675
2,100 *Cole National Corp. Class A ... 79,537
3,700 *Compucom Systems, Inc. ........ 26,825
1,000 *Copart, Inc. .................. 15,500
3,300 Cross (A.T.) Co. Class A ...... 36,712
1,800 *Daisytek International Corp. .. 56,700
4,500 *Department 56, Inc. ........... 95,062
600 *DH Technology, Inc. ........... 9,750
3,400 Duty Free International,
Inc. ......................... 53,125
4,900 *Eagle Hardware & Garden,
Inc. ......................... 117,906
15,100 Fingerhut Companies, Inc. ..... 266,137
1,300 *Fossil, Inc. .................. 21,938
5,500 Franklin Covey................. 132,000
4,900 *Friedman's Inc. Class A ....... 91,569
6,350 *Garden Ridge Corp. ............ 76,994
4,100 *Gibson Greetings, Inc. ........ 89,175
7,100 Hancock Fabrics, Inc. ......... 86,975
3,105 Hancock Holding Co. ........... 129,634
13,000 *HEARx, Ltd. ................... 22,750
1,800 *Inacom Corp. .................. 58,275
10,000 *Intelligent Electronics,
Inc. ......................... 26,875
1,848 *Jenny Craig, Inc. ............. 11,319
7,800 Jostens, Inc. ................. 192,075
4,500 *Jumbosports, Inc. ............. 19,688
3,178 K2, Inc. ...................... 91,765
1,800 *L.L. Knickerbocker Co. ........ 9,338
600 LabOne, Inc. .................. 10,500
6,700 *Mac Frugal's Bargains
Close-outs Inc. .............. 199,325
4,700 *Michaels Stores Inc. .......... 92,825
2,900 *MicroAge Inc. ................. 52,562
1,300 *Movie Gallery, Inc. ........... 8,938
3,800 *Paragon Trade Brands, Inc. .... 61,275
3,000 *Petco Animal Supplies, Inc. ... 80,250
10,800 Petroleum Heat & Power Co.,
Inc. Class A ................. 39,150
MERCHANDISE - SPECIALTY - Continued
6,200 Price Enterprises Inc. ........ $ 113,925
3,400 *Rexall Sundown, Inc. .......... 90,950
4,000 Russ Berrie and Co. Inc. ...... 83,000
72 *Score Board, Inc. ............. 81
3,200 *Seitel, Inc. .................. 118,800
4,400 *Sitel Corp. ................... 72,600
8,700 Sotheby's Holdings, Inc.
Class A ...................... 134,850
8,450 *Sports Authority, Inc. ........ 152,100
5,200 Sturm, Ruger & Co. Inc. ....... 98,150
1,100 *Tractor Supply Co. ............ 22,550
5,100 *United Stationers Inc. ........ 110,287
3,900 Unitog Co. .................... 91,650
9,900 US Office Products, Co. ....... 245,025
7,700 *Waban Inc. .................... 233,887
1,300 *West Marine, Inc. ............. 34,125
4,900 *Williams-Sonoma, Inc. ......... 180,687
8,600 *Zale Corp. .................... 173,075
-----------
5,136,025
-----------
MERCHANDISING - DEPARTMENT - 0.41%
1,300 *Alexander's, Inc. ............. 85,150
4,300 *Carson Pirie Scott & Co. ...... 138,675
11,715 Pier 1 Imports, Inc. .......... 262,123
4,246 *Proffitt's Inc. ............... 169,309
3,750 *Stein Mart, Inc. .............. 113,437
1,812 Strawbridge & Clothier ........ 29,672
-----------
798,366
-----------
MERCHANDISING - FOOD - 0.76%
2,000 Delchamps, Inc. ............... 54,500
75 Farmer Bros. Co. .............. 9,525
7,800 Fleming Companies, Inc. ....... 148,200
3,100 *IHOP Corp. .................... 86,800
1,800 Ingles Markets, Inc. .......... 25,988
3,375 Nash Finch Co. ................ 67,500
1,334 *Quality Food Centers Inc. ..... 50,692
4,400 Ruddick Corp. ................. 66,550
4,500 Sanderson Farms, Inc. ......... 66,375
7,800 Savannah Foods &
Industries, Inc. ............. 121,875
4,100 *ShowBiz Pizza Time, Inc. ...... 92,250
3,700 Smart & Final Inc. ............ 79,088
4,300 *Smithfield Foods, Inc. ........ 235,962
3,098 *Smith's Food & Drug
Centers, Inc. Class B ........ 146,380
4,300 *Whole Foods Market, Inc. ...... 134,913
</TABLE>
<PAGE> 30
================================================================================
May 31, 1997 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 29
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
MERCHANDISING - FOOD - Continued
7,073 WLR Foods, Inc. ............... $ 70,730
-----------
1,457,328
-----------
MERCHANDISING - MASS - 0.37%
9,300 Family Dollar Stores, Inc. .... 239,475
6,300 Fred Meyer, Inc. .............. 289,012
26,400 *Service Merchandise Co.,
Inc. ......................... 85,800
4,500 ShopKo Stores, Inc. ........... 106,313
-----------
720,600
-----------
METALS - ALUMINUM - 0.22%
5,600 *ACX Technologies, Inc. ........ 119,000
400 Commonwealth Industries Inc. .. 7,550
4,400 IMCO Recycling Inc. ........... 78,100
6,000 *Kaiser Aluminum Corp. ......... 69,000
2,706 Tredegar Industries, Inc. ..... 147,815
-----------
421,465
-----------
METALS - COPPER - 0.12%
3,900 *Chase Industries Inc. ......... 87,750
4,900 *Wolverine Tube, Inc. .......... 143,938
-----------
231,688
-----------
METALS - MISCELLANEOUS - 0.82%
4,337 A.M. Castle & Co. ............. 94,330
4,050 Applied Industrial
Technology, Inc. ............. 142,256
4,000 Brush Wellman Inc. ............ 85,000
4,033 Commercial Metals Co. ......... 119,478
3,500 *Dravo Corp. ................... 38,500
5,900 Freeport McMoRan, Inc. ........ 166,675
1,400 Greenbrier Companies, Inc. .... 15,750
12,600 *Hecla Mining Co. .............. 72,450
1,530 *Intermagnetics General Corp. .. 21,420
5,900 Kennametal, Inc. .............. 234,525
4,050 *Material Sciences Corp. ....... 56,700
5,400 Precision Castparts Corp. ..... 337,500
2,400 *RMI Titanium Co. .............. 55,800
2,800 *Stillwater Mining Co. ......... 65,100
2,000 *Tremont Corporation Delaware .. 82,000
-----------
1,587,484
-----------
METALS - STEEL - 1.15%
4,700 *Acme Metals, Inc. ............. 71,675
4,000 Amcast Industrial Corp. ....... 98,000
22,400 *Armco Inc. .................... 84,000
METALS - STEEL - Continued
9,600 Birmingham Steel Corp. ........ $ 153,600
4,100 Carpenter Technology Corp. .... 177,325
800 Chaparral Steel Co. ........... 12,000
1,900 *Citation Corp. ................ 28,262
2,800 Cleveland-Cliffs Inc. ......... 118,300
1,850 Commercial Intertech Corp. .... 24,050
10,700 *Geneva Steel Co. Class A ...... 25,413
800 *Gibraltar Steel Corp. ......... 17,400
1,500 Huntco Inc. Class A ........... 20,063
3,400 *Intermedia Communications Inc. 102,425
6,700 Intermet Corp. ................ 93,800
4,500 J & L Specialty Steel, Inc. ... 57,375
2,600 Lukens Inc. ................... 51,025
5,200 *Mueller Industries, Inc. ...... 207,350
3,100 *National Steel Corp. Class B .. 41,850
5,900 Oregon Steel Mills, Inc. ...... 110,625
3,400 Quanex Corp. .................. 92,650
1,200 Reliance Steel &
Aluminum Co. ................. 43,500
3,300 *Shiloh Industries, Inc. ....... 54,450
2,250 Steel Technologies Inc. ....... 23,625
5,900 TriMas Corp. .................. 167,412
6,000 UNR Industries, Inc. .......... 37,500
3,400 Valmont Industries, Inc. ...... 142,800
5,700 *WHX Corp. ..................... 37,762
4,800 *Wyman-Gordon Co. .............. 109,200
-----------
2,203,437
-----------
MISCELLANEOUS - 1.96%
4,800 *Alternative Resources Corp. ... 88,800
6,000 AMCOL International Corp. ..... 110,250
5,300 *AMERCO Inc. ................... 145,750
900 *Associated Group, Inc.
Class A ...................... 36,900
1,600 *Avondale Industries, Inc. ..... 30,400
800 *Bacou U.S.A., Inc. ............ 11,800
1,271 Barnett Banks, Inc. ........... 66,886
4,900 *Billing Information Concepts .. 142,100
5,800 *Borg-Warner Security Corp. .... 89,900
3,475 *Brightpoint, Inc. ............. 107,725
2,100 Central Parking Corp. ......... 65,625
1,500 *ClinTrials Inc. ............... 14,813
1,500 *CRA Managed Care, Inc. ........ 68,625
5,000 CTG Resources Inc. ............ 108,125
7,000 DeVry, Inc. ................... 193,375
3,000 *Encad, Inc. ................... 111,750
MISCELLANEOUS - Continued
2,100 *Equity Corp. International .... $ 50,400
4,800 *Figgie International Inc.
Class A ...................... 59,400
3,758 Gemstar Group Ltd. ............ 78,918
8,580 *HFS, Inc. ..................... 462,247
2,775 *ITT Educational Services,
Inc. ......................... 62,784
1,800 Mathews International Corp.
Class A ...................... 61,650
4,056 Mattel, Inc. .................. 121,164
9,600 *National Education Corp. ...... 201,600
3,300 Norrell Corp. ................. 106,425
2,600 *Pinkerton's, Inc. ............. 76,375
5,700 *Prepaid Legal Services, Inc. .. 115,069
4,000 Regis Corp. ................... 86,000
5,600 *Rexel, Inc. ................... 102,200
2,000 *RTW, Inc. ..................... 16,750
3,000 *Samsonite Corp. ............... 134,625
5,600 *Sola International, Inc. ...... 160,300
5,400 *Solv-Ex Corp. ................. 35,775
2,600 *Strategic Distribution, Inc. .. 10,075
5,950 *Sylvan Learning Systems,
Inc. ......................... 213,456
2,900 *The Profit Recovery Group
International, Inc. .......... 35,525
3,400 *Veritas DGC Inc. .............. 70,550
1,400 Wackenhut Corp. Class A ....... 24,675
2,800 *Wackenhut Corrections Corp. ... 54,950
2,900 *Youth Services International,
Inc. ......................... 40,238
-----------
3,773,975
-----------
MOBILE HOMES - 0.22%
12,752 *Champion Enterprises, Inc. .... 234,318
2,800 Coachmen Industries, Inc. ..... 47,600
800 McGrath RentCorp. ............. 15,000
4,200 Skyline Corp. ................. 103,425
750 Thor Industries, Inc. ......... 17,906
-----------
418,249
-----------
NATURAL GAS - DIVERSIFIED - 1.05%
3,750 Atmos Energy Corp. ............ 86,719
3,400 Bay State Gas Co. ............. 90,525
5,300 Eastern Enterprises ........... 182,850
5,204 K N Energy, Inc. .............. 219,218
5,800 Laclede Gas Co. ............... 125,425
4,600 New Jersey Resources Corp. .... 143,175
14,068 *Seagull Energy Corp. .......... 253,224
1,996 *Southern Union Co. ............ 47,156
</TABLE>
<PAGE> 31
================================================================================
30 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
NATURAL GAS - DIVERSIFIED - Continued
6,400 Southwest Gas Corp. ........... $ 109,600
3,772 *Tejas Gas Corp. ............... 176,812
11,300 UGI Corp. ..................... 254,250
5,600 United Cities Gas Co. ......... 126,700
2,300 Western Gas Resources, Inc. ... 45,425
4,400 WICOR, Inc. ................... 161,700
-----------
2,022,779
-----------
OIL - INTEGRATED DOMESTIC - 0.22%
3,750 Cross Timbers Oil Co. ......... 72,656
3,800 *Crown Central Petroleum Corp.
Class A ...................... 50,825
2,500 *Hondo Oil & Gas Co. ........... 22,813
12,700 Quaker State Corp. ............ 192,087
6,200 *Tesoro Petroleum Corp. ........ 81,375
-----------
419,756
-----------
OIL - SERVICE - PRODUCTS - 0.94%
9,800 *BJ Services Co. ............... 541,450
6,750 *EVI Inc. ...................... 253,969
3,600 Getty Petroleum Corp. ......... 60,300
3,600 *Getty Petroleum Marketing
Inc. ......................... 17,100
7,800 *Global Industrial
Technologies, Inc. ........... 144,300
7,400 *Global Industries Inc. ........ 162,800
14,500 *Kelley Oil & Gas Corp. ........ 35,344
7,100 *Lone Star Technologies, Inc. .. 167,737
18,300 *Parker Drilling Co. ........... 176,137
6,500 *Pride Petroleum
Services, Inc. ............... 144,625
4,163 *Varco International, Inc. ..... 114,483
-----------
1,818,245
-----------
OIL - SERVICES - 0.80%
6,300 Camco International, Inc. ..... 322,875
2,400 Lomak Petroleum, Inc. ......... 42,600
10,800 *Marine Drilling
Companies, Inc. .............. 217,350
7,200 Mascotech, Inc. ............... 161,100
7,900 *Oceaneering International
Inc. ......................... 134,300
4,900 *Offshore Logistics, Inc. ...... 88,813
6,150 Pennsylvania Enterprises Inc. . 152,212
3,600 *Pool Energy Services Co. ...... 59,850
3,000 Production Operators Corp. .... 200,625
9,300 *Tuboscope Vetco
International Corp. .......... 151,125
-----------
1,530,850
-----------
OIL/GAS PRODUCERS - 2.07%
800 *Atwood Oceanics, Inc. ......... $ 53,600
160 *Aztec Energy Corp. ............ 5
8,050 *Barrett Resources Corp. ....... 269,675
2,100 *Belden & Blake Corp. .......... 56,044
8,300 *Benton Oil and Gas Co. ........ 128,650
3,400 Berry Petroleum Co. Class A ... 51,000
7,800 *Box Energy Corp. Class B ...... 58,500
5,900 Cabot Oil & Gas Corp.
Class A ...................... 109,150
2,400 *Cliffs Drilling Co. ........... 167,700
5,000 Devon Energy Corp. ............ 186,250
2,600 *Falcon Drilling Co., Inc. ..... 119,275
3,700 *Flores & Rucks, Inc. .......... 181,300
1,400 *Forcenergy, Inc. .............. 49,000
4,600 *Forest Oil Corp. .............. 64,400
16,700 *Harken Energy Corp. ........... 79,325
6,500 Helmerich & Payne, Inc. ....... 364,812
500 Holly Corp. ................... 12,500
3,400 KCS Energy, Inc. .............. 141,525
2,600 *Louis Dreyfus Natural
Gas Corp. .................... 41,275
20,700 *MESA Inc. ..................... 113,850
7,700 Mitchell Energy & Development
Corp. Class A ................ 170,362
11,000 *Newfield Exploration Co. ...... 236,500
2,600 *Nuevo Energy Co. .............. 113,425
9,200 Parker & Parsley
Petroleum Co. ................ 312,800
3,100 *Plains Resources, Inc. ........ 44,175
9,400 Snyder Oil Corp. .............. 171,550
3,600 *Stone Energy Corp. ............ 100,800
3,500 *Swift Energy Co. .............. 93,625
6,100 *Tom Brown, Inc. ............... 122,763
7,700 *United Meridian Corp. ......... 277,200
2,500 Vintage Petroleum, Inc. ....... 85,000
-----------
3,976,036
-----------
PAPER/FOREST PRODUCTS - 0.77%
6,500 Caraustar Industries, Inc. .... 187,687
10,800 Longview Fibre Co. ............ 182,250
3,440 Mosinee Paper Corp. ........... 93,296
4,500 P. H. Glatfelter Co. .......... 78,750
8,400 Pentair Inc. .................. 276,150
2,900 Ply Gem Industries Inc. ....... 48,575
4,700 Pope & Talbot, Inc. ........... 77,550
5,700 Schweitzer-Mauduit
International, Inc. .......... 195,937
5,100 Standard Register Co. ......... 177,863
PAPER/FOREST PRODUCTS - Continued
1,700 Universal Forest
Products, Inc. ............... $ 23,588
7,400 Wausau Paper Mills Co. ........ 138,750
-----------
1,480,396
-----------
PHOTOGRAPHY - 0.15%
3,800 CPI Corp. ..................... 71,250
1,950 *Photronics Inc. ............... 87,019
1,800 *Seattle Filmworks, Inc. ....... 21,150
5,800 *Ultratech Stepper, Inc. ....... 118,175
-----------
297,594
-----------
POLLUTION CONTROL - 1.30%
9,600 *Air & Water Technologies Corp.
Class A ...................... 45,600
20,500 *Allied Waste
Industries, Inc. ............. 302,375
5,700 *Allwaste, Inc. ................ 47,737
7,800 Calgon Carbon Corp. ........... 109,200
2,050 *Cuno Inc. ..................... 33,825
7,700 Dames & Moore, Inc. ........... 90,475
546 Heidemij NV.................... 5,665
2,700 *KFX, Inc. ..................... 10,463
15,800 Laidlaw Environmental
Services Inc. ................ 45,425
1,725 Mine Safety Appliances Co. .... 104,794
3,900 *Molten Metal Technology,
Inc. ......................... 27,787
3,850 *Newpark Resources, Inc. ....... 202,125
5,200 *OHM Corp. ..................... 41,600
12,000 Safety-Kleen Corp. ............ 187,500
1,000 *Superior Services, Inc. ....... 21,500
5,000 *Tetra Tech, Inc. .............. 100,000
4,700 *Tetra Technologies, Inc. ...... 114,562
5,700 Thermo Remediation Inc. ....... 39,900
900 *Thermo TerraTech, Inc. ........ 9,844
14,900 *United States Filter Corp. .... 469,350
10,600 *United Waste Systems, Inc. .... 406,775
3,200 Zurn Industries, Inc. ......... 84,800
-----------
2,501,302
-----------
PUBLISHING - NEWS - 0.30%
3,200 Hollinger International,
Inc. Class A ................. 35,600
8,075 McClatchy Newspapers, Inc.
Class A ...................... 225,090
1,900 Media General, Inc. Class A ... 58,069
6,500 *Network Equipment
Technologies, Inc. ........... 112,125
</TABLE>
<PAGE> 32
================================================================================
May 31, 1997 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 31
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
PUBLISHING - NEWS - Continued
2,933 Pulitzer Publishing Co. ....... $ 142,617
18 *Radius, Inc. .................. 6
-----------
573,507
-----------
PUBLISHING/PRINTING - 1.16%
1,400 American Business
Products, Inc. ............... 34,475
5,900 *ATC Communications, Inc. ...... 23,600
7,950 Banta Corp. ................... 220,612
800 *Berlitz International, Inc. ... 19,100
2,600 *Big Flower Press
Holdings, Inc. ............... 55,575
3,000 Bowne & Co., Inc. ............. 89,625
2,700 *Devon Group, Inc. ............. 83,025
7,600 Ennis Business Forms, Inc. .... 75,050
6,700 *Golden Books Family
Entertainment, Inc. .......... 76,213
3,800 Houghton Mifflin Co. .......... 225,150
8,000 John H. Harland Co. ........... 183,000
4,300 John Wiley & Sons Inc.
Class A ...................... 136,525
3,100 Merrill Corp. ................. 101,137
3,300 New England Business
Service, Inc. ................ 96,113
5,700 *Nu-kote Holding, Inc.
Class A ...................... 14,250
2,700 *Scholastic Corp. .............. 80,325
4,400 *Scientific Games
Holdings Corp. ............... 107,800
700 *Steck-Vaughn
Publishing Corp. ............. 9,100
5,509 Thomas Nelson, Inc. ........... 57,156
17,600 *Topps Co. Inc. ................ 67,100
7,500 *Valassis Communications,
Inc. ......................... 208,125
9,000 *ValueVision International,
Inc. Class A ................. 34,875
900 Waverly, Inc. ................. 19,350
7,900 *World Color Press, Inc. ....... 207,375
-----------
2,224,656
-----------
RAILROAD - 0.24%
1,500 Florida East Coast
Industries, Inc. ............. 162,375
4,100 GATX Corp. .................... 232,675
3,700 *RailTex, Inc. ................. 68,450
-----------
463,500
-----------
REAL ESTATE - 0.67%
2,400 *Avatar Holdings Inc. .......... 78,600
2,500 *Castle & Cooke, Inc. .......... 38,125
19,800 *Catellus Development Corp. .... 334,125
6,075 Cousins Properties Inc. ....... 162,506
2,100 Forest City
Enterprises, Inc. ............ 92,663
REAL ESTATE - Continued
7,600 *Insignia Financial Group, Inc.
Class A ...................... $ 134,900
3,200 Mercer International Inc. ..... 36,600
8,800 Merry Land &
Investment Co., Inc. ......... 184,800
5,000 North American Mortgage Co. ... 100,625
8,289 Republic Bancorp Inc. ......... 108,793
500 Tejon Ranch Co. ............... 8,500
-----------
1,280,237
-----------
REAL ESTATE INVESTMENT
TRUSTS - 7.27%
3,600 Allied Capital
Commercial Corp. ............. 85,050
7,800 American Health
Properties, Inc. ............. 195,000
1,500 Apartment Investment &
Management Co. ............... 41,813
2,600 Associated Estates
Realty Corp. ................. 58,500
8,800 Avalon Properties, Inc. ....... 242,000
4,200 Bay Apartment
Communities, Inc. ............ 148,050
8,500 Beacon Properties Corp. ....... 263,500
12,500 Berkshire Realty Co., Inc. .... 134,375
5,373 Bradley Real Estate, Inc. ..... 101,415
9,730 BRE Properties, Inc. .......... 239,601
2,300 Burnham Pacific
Properties, Inc. ............. 30,475
4,800 Cali Realty Corp. ............. 142,200
7,228 Camden Property Trust ......... 212,322
9,450 Capstead Mortgage Corp. ....... 226,800
6,500 CarrAmerica Realty Corp. ...... 184,437
8,200 CBL & Associates
Properties, Inc. ............. 194,750
2,800 CenterPoint Properties Corp. .. 84,000
500 Charles E. Smith Residential
Realty, Inc. ................. 13,688
2,400 Chelsea GCA Properties ........ 87,300
7,000 Colonial Properties Trust ..... 204,750
3,000 Columbus Realty Trust ......... 66,000
5,900 Commercial Net Lease
Realty, Inc. ................. 88,500
17,400 Crescent Real Estate
Equities, Inc. ............... 474,150
4,600 Criimi Mae, Inc. .............. 75,325
6,100 Crown American Realty Trust.... 48,800
12,000 CWM Mortgage Holdings, Inc. ... 250,500
5,500 Developers Diversified
Realty Corp. ................. 204,875
7,400 Duke Realty Investments,
Inc. ......................... 282,125
10,800 Dynex Capital Inc. ............ 148,500
6,000 Equity Inns Inc. .............. 78,750
1,800 Evans Withycombe
Residential, Inc. ............ 36,900
3,900 Excel Realty Trust, Inc. ...... 100,913
REAL ESTATE INVESTMENT
TRUSTS - Continued
7,200 Federal Realty
Investment Trust ............. $ 188,100
6,100 FelCor Suite Hotels, Inc. ..... 227,225
6,100 First Industrial Realty
Trust, Inc. .................. 179,950
8,100 Franchise Finance Corp.
of America ................... 195,412
6,700 Gables Residential Trust....... 167,500
6,800 General Growth
Properties, Inc. ............. 219,300
7,300 Glimcher Realty Trust.......... 146,000
6,100 Health Care Property
Investors, Inc. .............. 205,875
1,800 Health Care REIT, Inc. ........ 43,200
1,400 Healthcare Realty
Trust, Inc. .................. 36,400
6,700 Highwoods Properties, Inc. .... 202,675
3,392 Horizon Group, Inc. ........... 44,096
4,700 Hospitality Properties Trust... 149,225
7,300 IRT Property Co. .............. 84,863
4,900 Irvine Apartment
Communities, Inc. ............ 137,813
3,200 JDN Realty Corp. .............. 92,400
3,300 JP Realty, Inc. ............... 85,388
5,100 Kimco Realty Corp. ............ 160,650
6,400 *Koger Equity, Inc. ............ 106,400
6,100 Liberty Property Trust......... 146,400
4,600 LTC Properties, Inc. .......... 81,650
3,500 Macerich Co. .................. 94,500
8,700 Manufactured Home
Communities, Inc. ............ 191,400
6,200 MGI Properties ................ 130,200
2,800 Mid-America Apartment
Communities, Inc. ............ 74,550
6,300 Mills Corp. ................... 159,862
5,100 National Golf
Properties, Inc. ............. 165,750
6,700 National Health
Investors, Inc. .............. 252,925
10,900 Nationwide Health
Properties, Inc. ............. 234,350
3,200 Oasis Residential, Inc. ....... 73,600
4,586 Omega Healthcare
Investors, Inc. .............. 150,191
8,800 Patriot American
Hospitality, Inc. ............ 190,300
4,700 Pennsylvania Real Estate
Investment Trust ............. 103,400
4,800 Post Properties, Inc. ......... 190,800
500 Price REIT, Inc. .............. 19,063
18,200 Public Storage, Inc. .......... 484,575
8,600 Realty Income Corp. ........... 220,375
2,400 Reckson Associates
Realty Corp. ................. 54,000
1,600 Redwood Trust, Inc. ........... 91,400
2,300 Regency Realty Corp. .......... 60,663
9,000 RFS Hotel Investors, Inc. ..... 167,625
</TABLE>
<PAGE> 33
================================================================================
32 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
REAL ESTATE INVESTMENT
TRUSTS - Continued
6,300 Saul Centers, Inc. ............ $ 103,163
6,400 Shurgard Storage Centers, Inc.
Class A ...................... 179,200
108 *SLH Corp. ..................... 5,886
500 Sovran Self Storage, Inc. ..... 14,500
6,500 Spieker Properties, Inc. ...... 239,687
2,200 Storage Trust Realty........... 55,000
5,100 Storage USA, Inc. ............. 194,437
7,100 Summit Properties, Inc. ....... 142,887
5,100 Sun Communities, Inc. ......... 166,387
4,600 Taubman Centers, Inc. ......... 59,800
3,900 Thornburg Mortgage
Asset Corp. .................. 78,488
1,600 Town and Country Trust ........ 23,800
5,000 TriNet Corporate Realty
Trust, Inc. .................. 163,750
20,241 United Dominion Realty
Trust, Inc. .................. 298,555
4,000 Universal Health Realty Income
Trust ........................ 77,000
1,600 Urban Shopping Centers, Inc. .. 46,400
6,300 Vornado Realty Trust........... 431,550
2,800 Walden Residential
Properties, Inc. ............. 66,500
11,700 Washington Real Estate
Investment Trust ............. 198,900
5,100 Weeks Corp. ................... 160,650
6,100 Weingarten Realty Investors ... 261,537
6,200 Wellsford Residential Property
Trust ........................ 200,725
4,300 Western Investment Real Estate
Trust ........................ 58,050
-----------
13,982,267
-----------
RESTAURANTS - 1.16%
6,562 Apple South, Inc. ............. 99,250
8,650 Applebee's International,
Inc. ......................... 215,169
11,100 Bob Evans Farms, Inc. ......... 156,787
12,180 *Buffets, Inc. ................. 108,098
7,750 CKE Restaurants, Inc. ......... 185,031
2,200 *Daka International, Inc. ...... 27,775
7,600 *Foodmaker, Inc. ............... 106,400
3,200 *International Dairy Queen, Inc.
Class A ...................... 74,400
4,700 *Landry's Seafood
Restaurants, Inc. ............ 86,950
8,300 Luby's Cafeterias, Inc. ....... 160,812
3,400 *Manhattan Bagel Inc. .......... 23,800
4,800 Morrison Health Care, Inc. .... 78,000
RESTAURANTS - Continued
7,400 *NPC International Inc. ........ $ 87,875
4,425 *Papa John's
International, Inc. .......... 141,047
500 *Quality Dining, Inc. .......... 2,906
3,200 *Rainforest Cafe, Inc. ......... 78,400
4,900 *Ruby Tuesday, Inc. ............ 105,350
18,600 *Ryan's Family Steak
Houses, Inc. ................. 169,725
2,700 Sbarro, Inc. .................. 78,975
12,200 *Shoney's, Inc. ................ 68,625
4,750 *Sonic Corp. ................... 83,125
3,900 *Triarc Companies Inc.
Class A ...................... 89,213
-----------
2,227,713
-----------
SAVINGS & LOAN - 1.95%
5,220 ALBANK Financial Corp. ........ 200,318
4,800 American Federal Bank
of Greenville ................ 147,600
4,500 Astoria Financial Corp. ....... 185,625
3,612 Bankers Corp. ................. 91,655
1,600 Bay View Capital Corp. ........ 80,400
3,000 CitFed Bancorp, Inc. .......... 111,750
4,900 *Coast Savings Financial Inc. .. 208,862
2,810 Downey Financial Corp. ........ 56,200
1,910 Financial Trust Corp. ......... 92,874
3,700 *FirstFed Financial Corp. ...... 100,825
11,292 *Glendale Federal Bank FSB ..... 287,946
2,900 JSB Financial, Inc. ........... 127,600
5,100 Klamath First BanCorp. ........ 94,350
6,000 Long Island Bancorp, Inc. ..... 209,250
2,855 MAF Bancorp, Inc. ............. 119,196
1,800 Magna Bancorp, Inc. ........... 42,750
800 ML Bancorp, Inc. .............. 13,900
3,000 Peoples Bank of Bridgeport
Connecticut .................. 70,875
5,324 Peoples Heritage Financial
Group, Inc. .................. 176,358
3,631 Provident Bankshares Corp. .... 137,070
2,199 Queens County Bancorp, Inc. ... 90,159
3,100 RCSB Financial, Inc. .......... 126,906
3,300 Security Capital Corp. ........ 303,600
14,400 Sovereign Bancorp, Inc. ....... 189,000
3,500 Standard Financial, Inc. ...... 81,594
4,400 TR Financial Corp. ............ 89,100
11,660 Washington Federal, Inc. ...... 307,532
-----------
3,743,295
-----------
SECURITIES RELATED - 1.01%
5,050 Alex Brown Inc. ............... $ 338,350
3,700 Enhance Financial Services
Group Inc. ................... 154,475
7,917 Financial Security Assurance
Holdings Ltd. ................ 286,002
3,300 Interra Financial, Inc. ....... 143,550
199 Investors Financial Services
Corp. Class A ................ 5,871
2,600 Jefferies Group, Inc. ......... 140,075
3,250 Legg Mason, Inc. .............. 149,906
1,206 Liberty Financial
Companies, Inc. .............. 54,119
1,400 Mc Donald & Co.
Investments, Inc. ............ 53,725
3,900 Morgan Keegan, Inc. ........... 70,200
5,600 Pioneer Group, Inc. ........... 140,700
5,200 Piper Jaffray Companies,
Inc. ......................... 102,050
4,231 Quick & Reilly Group Inc. ..... 97,313
5,400 Raymond James Financial Inc. .. 148,500
1,000 *White River Corp. ............. 64,000
-----------
1,948,836
-----------
SEMICONDUCTORS - 2.07%
6,100 *Actel Corp. ................... 128,100
8,100 *Alliance Semiconductor Corp. .. 67,838
4,800 *Altron, Inc. .................. 79,800
6,300 *Burr Brown Corp. .............. 197,662
5,800 *Chips & Technologies, Inc. .... 64,525
3,800 Cohu, Inc. .................... 130,625
6,950 *Credence Systems Corp. ........ 205,025
3,300 *Cree Research, Inc. ........... 41,250
7,300 Dallas Semiconductor Corp. .... 281,962
6,200 *Electroglas, Inc. ............. 155,969
5,600 *ESS Technology, Inc. .......... 86,800
4,600 *Etec Systems, Inc. ............ 204,700
5,600 *FSI International, Inc. ....... 78,400
1,900 *Fusion Systems Corp. .......... 58,663
2,400 *Integrated Packaging Assembly
Corp. ........................ 9,600
4,400 *Level One
Communications, Inc. ......... 166,100
4,300 *Mattson Technology, Inc. ...... 45,150
4,400 *MRV Communications Inc. ....... 108,900
4,300 *Novellus Systems, Inc. ........ 352,062
2,200 *OnTrak Systems, Inc. .......... 63,250
5,200 *Quickturn Design
System, Inc. ................. 53,300
6,900 *Ramtron International Corp. ... 34,500
</TABLE>
<PAGE> 34
================================================================================
May 31, 1997 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED 33
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
SEMICONDUCTORS - Continued
1,850 *SDL, Inc. ..................... $ 37,000
6,900 *Silicon Valley Group Inc. ..... 165,169
3,200 *Siliconix, Inc. ............... 80,000
1,900 *Speedfam International, Inc. .. 69,231
2,900 *Triquint Semiconductor, Inc. .. 114,913
3,900 *Unitrode Corp. ................ 193,538
8,100 *Vitesse Semiconductor Corp. ... 290,587
11,000 *VLSIi Technology, Inc. ........ 267,437
6,450 *Zilog, Inc. ................... 143,513
-----------
3,975,569
-----------
TELECOMMUNICATIONS - 1.93%
6,000 ABM Industries Inc. ........... 116,250
3,000 *ACC Corp. ..................... 77,250
7,100 *Allen Telecom Inc. ............ 165,075
7,600 *American Paging, Inc. ......... 17,100
2,500 *Ancor Communications, Inc. .... 14,688
4,600 *Arch Communications
Group, Inc. .................. 35,650
1,000 *Atlantic Tele-Network, Inc. ... 12,500
3,600 *BroadBand Technologies, Inc. .. 33,525
4,900 *California Amplifier, Inc. .... 19,600
3,400 *CellStar Corp. ................ 121,975
3,500 *Cellular Communications
International, Inc. .......... 93,187
6,580 *Cellular Technical
Services Inc. ................ 89,652
4,800 *Centennial Cellular Corp.
Class A ...................... 67,200
3,800 *Cidco, Inc. ................... 55,100
700 *CKS Group, Inc. ............... 20,213
3,500 *Coherent Communications
Systems Corp. ................ 76,125
4,900 *CommNet Cellular Inc. ......... 167,825
3,800 *Diana Corp. ................... 8,550
4,200 *Digi International Inc. ....... 38,325
12,700 *DSP Communications, Inc. ...... 141,287
4,900 *HighwayMaster Communications,
Inc. ......................... 67,375
4,600 *InteliData
Technologies Corp. ........... 23,575
1,100 *Inter-Tel, Inc. ............... 17,188
5,400 *InterVoice, Inc. .............. 59,400
1,000 *IPC Information
Systems, Inc. ................ 12,500
3,400 *Itron, Inc. ................... 91,375
2,250 *MasTec, Inc. .................. 91,406
3,400 *Metricom, Inc. ................ 27,413
8,815 *Metrocall, Inc. ............... 44,075
TELECOMMUNICATIONS - Continued
4,715 *Metrocall, Inc. (Rights)....... $ 23,575
2,794 *Millicom International
Cellular S.A. ................ 126,778
16,100 *Mobile Telecommunications
Technologies Corp. ........... 196,219
9,200 *MobileMedia Corp. Class A ..... 4,600
1,600 *Mosaix Inc. ................... 22,600
7,866 NTL Inc. ...................... 179,935
5,100 *P-COM, Inc. ................... 164,475
2,700 *Plantronics, Inc. ............. 118,800
6,640 *PriCellular Corp. Class A ..... 60,590
2,900 *ProNet, Inc. .................. 9,425
3,500 *Proxim, Inc. .................. 89,687
1,200 *Quintel Entertainment, Inc. ... 11,850
4,400 *Sanmina Corp. ................. 254,925
6,000 *Symmetricom, Inc. ............. 96,000
4,500 *Tel-Save Holdings, Inc. ....... 69,750
2,600 *Teltrend, Inc. ................ 43,550
4,100 *Transaction Network
Services, Inc. ............... 60,475
3,200 *TresCom International, Inc. ... 23,200
5,300 *U. S. Long Distance Corp. ..... 82,150
7,600 *Vanguard Cellular Systems, Inc.
Class A ...................... 99,750
3,200 *VideoLan Technologies, Inc. ... 1,700
6,400 *WinStar Communications, Inc. .. 90,000
3,900 *Wireless One, Inc. ............ 11,456
1,700 Wireless Telecom Group ........ 18,700
2,300 *Xpedite Systems, Inc. ......... 43,700
-----------
3,709,274
-----------
TEXTILE - PRODUCTS - 0.67%
14,200 *Burlington Industries, Inc. ... 156,200
5,000 *Cone Mills Corp. .............. 43,125
2,200 *Fabri-Centers of America, Inc.
Class A ...................... 51,700
4,000 *Fieldcrest Cannon, Inc. ....... 75,000
4,950 G&K Services, Inc. Class A .... 162,113
4,350 Guilford Mills, Inc. .......... 85,369
3,000 *Lydall, Inc. .................. 68,625
600 *Marisa Christina, Inc. ........ 5,850
5,600 *Mohawk Industries, Inc. ....... 119,000
3,600 Springs Industries, Inc. ...... 182,250
9,700 Wellman, Inc. ................. 173,387
4,500 *WestPoint Stevens Inc.
Class A ...................... 170,437
-----------
1,293,056
-----------
TOBACCO - 0.41%
1,100 *Culbro Corp. .................. $ 140,663
10,400 DIMON Inc. .................... 240,500
2,200 *Mafco Consolidated
Group Inc. ................... 72,875
8,400 *Mafco Consolidated Group Inc.
(Rights) ..................... 7,350
9,100 Universal Corp. ............... 331,012
-----------
792,400
-----------
TRUCKERS - 0.68%
6,200 *American Freightways Corp. .... 85,250
4,950 Arnold Industries, Inc. ....... 82,913
2,421 Frozen Food Express
Industries, Inc. ............. 21,486
3,432 *Heartland Express, Inc. ....... 74,646
500 *Knight Transportation, Inc. ... 11,875
4,200 *Landstar System Inc. .......... 112,875
3,200 *M.S. Carriers, Inc. ........... 67,200
2,300 Roadway Express Inc. .......... 43,700
12,575 Rollins Truck Leasing Corp. ... 172,906
4,600 *Swift Transportation
Co., Inc. .................... 148,350
7,500 USFreightways Corp. ........... 181,875
3,150 Werner Enterprises, Inc. ...... 61,425
3,100 Xtra Corp. .................... 132,912
5,900 *Yellow Corp. .................. 112,838
-----------
1,310,251
-----------
UTILITIES - COMMUNICATION - 0.27%
9,500 Aliant Communications, Inc. ... 194,750
3,100 *C-Tec Corp. ................... 94,550
1,400 CFW Communications Co. ........ 26,075
3,700 *CoreComm Inc. ................. 59,200
5,378 PXRE Corp. .................... 145,206
-----------
519,781
-----------
UTILITIES - ELECTRIC - 1.63%
10,200 Atlantic Energy, Inc. ......... 168,300
3,600 Black Hills Corp. ............. 103,500
5,800 Central Louisiana
Electric Co., Inc. ........... 146,450
8,000 Central Maine Power Co. ....... 89,000
5,100 CILCORP, Inc. ................. 197,625
6,500 Commonwealth Energy System
Companies .................... 141,375
2,300 *Destec Energy, Inc. ........... 48,875
5,200 Eastern Utilities Associates .. 91,650
12,200 *El Paso Electric Co. .......... 86,925
2,100 Empire District Electric Co. .. 36,488
</TABLE>
<PAGE> 35
================================================================================
34 SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
UTILITIES - ELECTRIC - Continued
5,900 Indiana Energy, Inc. .......... $ 140,863
3,200 Interstate Power Co. .......... 90,400
5,025 Madison Gas & Electric Co. .... 100,500
5,800 Minnesota Power & Light Co. ... 168,200
9,300 Nevada Power Co. .............. 191,812
2,875 Otter Tail Power Co. .......... 88,406
9,700 Public Service Co.
of New Mexico ................ 170,962
6,800 Rochester Gas &
Electric Corp. ............... 136,000
9,450 SIG Corp, Inc. ................ 238,612
2,700 TNP Enterprises, Inc. ......... 59,400
11,020 *Tuscon Electric Power Co. ..... 162,545
3,700 United Illuminating Co. ....... 105,913
8,800 Washington Gas Light Co. ...... 216,700
5,900 WPL Holdings, Inc. ............ 162,988
------------
3,143,489
------------
UTILITIES - GAS, DISTRIBUTION - 0.58%
11,600 AGL Resources, Inc. ........... 221,850
4,100 Colonial Gas Co. .............. 84,050
1,800 Connecticut Energy Corp. ...... 40,500
2,600 Energen Corp. ................. 85,800
234 NGC Corp. ..................... 4,212
8,300 Northwest Natural Gas Co. ..... 202,312
1,200 NUI Corp. ..................... 26,250
7,400 Piedmont Natural
Gas Co., Inc. ................ 180,375
4,800 Public Service Co. of
North Carolina, Inc. ......... 90,600
1,514 South Jersey
Industries, Inc. ............. 33,876
7,800 Southwestern Energy Co. ....... 103,350
9 World Fuel Services Corp. ..... 181
2,150 Yankee Energy System, Inc. .... 49,719
------------
1,123,075
------------
UTILITIES - GAS, PIPELINE - 0.10%
400 North Carolina Natural
Gas Corp. .................... 12,350
6,100 ONEOK Inc. .................... 184,525
------------
196,875
------------
UTILITIES - MISCELLANEOUS - 0.68%
5,100 Central Hudson Gas &
Electric Corp. ............... 164,475
16,559 *Citizens Utilities Co.
Class B ...................... 155,238
6,800 IES Industries Inc. ........... 198,050
7,450 MDU Resources Group, Inc. ..... 180,663
2,000 Northwestern Public
Service Co. .................. 39,250
UTILITIES - MISCELLANEOUS - Continued
3,600 Orange and Rockland
Utilities, Inc. .............. $ 114,300
8,000 Sierra Pacific Resources ...... 237,000
2,900 Trigen Energy Corp. ........... 68,875
5,400 WPS Resources Corp. ........... 143,100
------------
1,300,951
------------
WATER SERVICES - 0.19%
3,000 Aquarion Co. .................. 77,250
400 California Water Service Co. .. 18,250
1,300 E'Town Corp. .................. 43,063
3,150 Philadelphia Suburban Corp. ... 59,062
2,150 Southern California
Water Co. .................... 49,988
6,200 United Water Resources ........ 111,600
------------
359,213
------------
TOTAL COMMON STOCKS
(Cost $152,348,063) ........... 186,025,897
------------
PAR
VALUE
- -----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 3.27%
CONSUMER FINANCE - 1.74%
$1,790,000 Beneficial Corp.,
5.48% due 6/2/97 ............. 1,789,726
1,559,000 Sears Roebuck Acceptance Corp.,
5.59% due 6/6/97 ............. 1,557,789
------------
3,347,515
------------
SECURITIES RELATED - 1.53%
2,948,000 Merrill Lynch & Co., Inc.,
5.55% due 6/4/97 ............. 2,946,637
------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $6,294,152) ............. 6,294,152
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.10%
U.S. TREASURY BILLS - 0.10%
200,000 United States Treasury Bills,
4.99% due 8/21/97
(Cost $197,756) .............. 197,756
------------
TOTAL INVESTMENTS
(Cost $158,839,971) - 100.03%.. $192,517,805
Other assets and liabilities,
net - (0.03%) ................ (59,062)
------------
NET ASSETS (equivalent
to $16.18 per share on
11,893,324 shares
outstanding) - 100% ......... $192,458,743
============
*Non-income producing
UNREALIZED
CONTRACTS APPRECIATION
- --------- ------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/97)
35(2) Russell 2000 Index Futures
(June/$380.60) ............... $ 312,000
============
(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:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
11,893,324 shares outstanding ............ $ 118,933
Additional paid in capital ................ 141,230,121
Undistributed net realized gain
on securities ............................ 17,101,210
Undistributed net investment income ....... 18,645
Unrealized appreciation of:
Investments ........... $33,677,834
Futures ............... 312,000 33,989,834
----------- ------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $192,458,743
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 36
===============================================================================
SMALL CAP INDEX FUND - FINANCIAL STATEMENTS 35
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends............................................................ $ 2,740,363
Interest............................................................. 385,073
-----------
Total investment income............................................ 3,125,436
-----------
EXPENSES:
Advisory fees........................................................ 622,719
Custodian and accounting services.................................... 65,793
Reports to shareholders.............................................. 24,512
Audit fees and tax services.......................................... 6,366
Directors' fees and expenses......................................... 4,388
Miscellaneous........................................................ 13,184
-----------
Total expenses..................................................... 736,962
-----------
NET INVESTMENT INCOME................................................ 2,388,474
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments.......................................... $17,599,392
Futures contracts.................................... (76,255) 17,523,137
-----------
Net unrealized depreciation during the year:
Investments.......................................... (6,354,278)
Futures contracts.................................... (27,775) (6,382,053)
----------- -----------
Net realized and unrealized gain on securities
during the year................................................. 11,141,084
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $13,529,558
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ....................................... $ 2,388,474 $ 2,051,245
Net realized gain on securities ............................. 17,523,137 10,949,662
Net unrealized appreciation (depreciation) of securities
during the year ........................................... (6,382,053) 31,694,970
------------- -------------
Increase in net assets resulting from operations .......... 13,529,558 44,695,877
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....................................... (2,385,945) (2,050,531)
Net realized gain on securities ............................. (11,216,991) (2,945,819)
------------- -------------
Decrease in net assets resulting from distributions
to shareholders .......................................... (13,602,936) (4,996,350)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ............................ 20,665,121 26,328,751
Proceeds from capital stock issued for distributions
reinvested ............................................... 13,602,936 4,996,350
------------- -------------
34,268,057 31,325,101
Cost of capital stock repurchased ........................... (22,521,418) (16,806,251)
------------- -------------
Increase in net assets resulting from capital
stock transactions ........................................ 11,746,639 14,518,850
------------- -------------
TOTAL INCREASE IN NET ASSETS ................................ 11,673,261 54,218,377
------------- -------------
NET ASSETS:
Beginning of year ........................................... 180,785,482 126,567,105
------------- -------------
End of year (including undistributed net investment
income of $18,645 and $16,116) ............................ $ 192,458,743 $ 180,785,482
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ................................ 1,339,448 1,827,343
Shares issued for distributions reinvested .................. 890,371 350,648
Shares of capital stock repurchased ......................... (1,465,127) (1,185,615)
------------- -------------
Increase in shares outstanding ............................ 764,692 992,376
Shares outstanding:
Beginning of year ......................................... 11,128,632 10,136,256
------------- -------------
End of year ............................................... 11,893,324 11,128,632
============= =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 37
===============================================================================
36 INTERNATIONAL EQUITIES FUND -
STATEMENT OF NET ASSETS May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 97.93%
AEROSPACE/DEFENSE - 0.17%
15,089 British Aerospace..............$ 306,815
------------
AIRLINES - 0.82%
4,100 British Airways plc - ADR...... 482,263
40,000 *Japan Air Lines Co. Ltd........ 169,687
25,000 Lufthansa AG................... 398,017
60,000 Malay Airline System Bhd....... 138,496
35,000 Singapore Airlines............. 298,539
------------
1,487,002
------------
APPAREL & PRODUCTS - 0.59%
20,000 Onward Kashiyama Co., Ltd...... 302,276
163,039 Pacific Dunlop Ltd............. 455,749
140,000 Yue Yuen Industrial............ 307,156
------------
1,065,181
------------
APPLIANCES/FURNISHINGS - 2.15%
50,000 Brother Industries............. 195,363
22,000 Matsushita Electric Industrial
Co. Ltd. ..................... 413,740
4,200 Matsushita Electric Industrial
Co. Ltd. - ADR ............... 798,000
10,000 Philips Electronics NV......... 546,684
133,000 Sanyo Electric Co. Ltd......... 560,781
3,400 Sanyo Electric Co. Ltd. - ADR.. 72,250
30,000 Sharp Corp..................... 386,432
10,970 Sony Corp - ADR................ 935,193
------------
3,908,443
------------
AUTO - CARS - 4.36%
20,000 Daimler-Benz AG - ADR.......... 1,582,500
100,000 Fiat S.p.A..................... 327,835
15,000 Fiat S.p.A. - ADR.............. 253,125
12,500 Honda Motor Co., Ltd. - ADR.... 756,250
35,000 Nissan Motor Co., Ltd.......... 232,030
18,000 Nissan Motor Co., Ltd. - ADR... 240,750
500 Peugeot Citroen SA............. 49,441
98,000 Toyota Motor Corp.............. 2,810,820
13,519 Toyota Motor Corp. - ADR....... 777,343
500 Volkswagen Ag.................. 322,977
20,000 Volvo AB....................... 553,463
------------
7,906,534
------------
AUTO - ORIGINAL EQUIPMENT - 0.08%
25,000 Calsonic Corp..................$ 138,471
------------
AUTO - REPLACEMENT PARTS - 1.60%
36,000 Bridgestone Corp............... 813,053
1,600 Bridgestone Corp. - ADR........ 361,108
5,550 Denso Corp..................... 554,381
10,000 Michelin (CGDE) Class B........ 546,012
40,000 Phoenix AG..................... 633,082
------------
2,907,636
------------
BANKS - OTHER - 13.64%
60,000 AMMB Holdings BHD.............. 379,671
50,000 Asahi Bank Ltd................. 326,750
3,190 Asahi Bank Ltd. - ADR.......... 208,323
10,000 Banco de Santander SA.......... 852,933
126,000 Bank of Tokyo - Mitsubishi..... 2,185,659
4,180 Bank of Tokyo Ltd. - ADR....... 580,067
68,000 Bank of Yokohama Ltd........... 337,518
2,296 Bank of Yokohama Ltd. - ADR.... 113,884
37,922 Barclays plc................... 737,596
10,840 Barclays plc - ADR............. 850,940
40,000 Chiba Bank Ltd................. 207,815
90,000 Commerce Asset Holding......... 261,472
250,000 DCB Holdings BHD............... 805,906
50,000 DCB Holdings BHD (Warrants).... 69,248
6,300 Den Danske Bank AF 1871 - ADR.. 600,398
32,500 Deutsche Bank AG - ADR......... 1,804,537
10,000 Development Bank of
Singapore Ltd................. 125,149
13,625 Development Bank of
Singapore Ltd. - ADR ......... 682,429
32,000 Dresdner Bank AG - ADR......... 1,121,974
60,000 Fuji Bank Ltd.................. 772,864
4,830 Fuji Bank Ltd. - ADR........... 621,728
25,000 Hang Seng Bank................. 300,058
6,180 HSBC Holdings plc - ADR........ 1,874,290
13,500 Istituto Mobiliare Italiano
S.p.A. - ADR ................. 362,813
48,000 Joyo Bank...................... 234,951
164,322 Lloyds TSB Group plc........... 1,652,494
29,959 National Australia Bank Ltd.... 428,540
9,319 National Australia Bank
Ltd. - ADR ................... 666,309
10,412 National Westminster Bank plc.. 127,233
4,600 National Westminster Bank
plc - ADR..................... 339,825
BANKS - OTHER - Continued
20,000 Royal Bank Scot Group..........$ 196,957
98,000 Sakura Bank Ltd................ 586,569
2,000 Schweiz Bankverein............. 480,090
30,000 Shizuoka Bank.................. 288,536
74,000 Sumitomo Bank.................. 1,023,100
26,000 Tokai Bank..................... 213,894
2,225 Tokai Bank - ADR............... 365,837
25,000 Toyo Trust & Banking........... 177,544
1,300 Union Bank of Switzerland AG... 1,424,454
13,300 Westpac Banking Corp.
Ltd. - ADR ................... 359,100
------------
24,749,455
------------
BEVERAGE - BREWERS/
DISTRIBUTORS - 1.38%
38,800 Bass plc....................... 505,549
96,100 Guinness plc................... 894,502
16,000 Kirin Brewery Co., Ltd......... 158,008
12,000 LVMH (Moet Hennessy
Louis Vuitton) - ADR ......... 583,500
45,000 Sapporo Breweries.............. 358,995
------------
2,500,554
------------
BROADCASTING - 0.45%
50,000 British Sky Broadcasting
Group plc .................... 470,309
750 Canal Plus..................... 127,022
100,000 *General Cable.................. 224,113
------------
821,444
------------
BUILDING MATERIALS - 1.87%
20,000 Asahi Glass Co. Ltd............ 194,075
1,200 Cie De St Gobain............... 165,622
30,674 CRH plc........................ 302,068
2,505 Fletcher Challenge Building
Division ..................... 67,635
2,700 Glaverbel SA................... 361,887
725 Holderbank Finance Glarus...... 635,731
40,000 Inax Corp...................... 278,575
4,116 Lafarge SA..................... 263,015
15,000 Tostem Corp.................... 400,601
26,400 Toto Ltd....................... 296,986
578 Toto Ltd. - ADR................ 64,921
38,000 Uralita, SA.................... 368,012
------------
3,399,128
------------
</TABLE>
<PAGE> 38
===============================================================================
May 31,1997 INTERNATIONAL EQUITIES FUND - 37
STATEMENT OF NET ASSETS CONTINUED
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
CHEMICAL - MAJOR - 1.36%
25,000 BASF AG........................$ 921,538
10,000 Bayer AG....................... 387,631
18,000 Bayer AG - ADR................. 699,182
41,821 Montedison S.p.A. - ADR........ 256,154
20,000 Sekisui Chemical............... 207,815
------------
2,472,320
------------
CHEMICAL - MISCELLANEOUS - 2.03%
13,603 Air Liquide - ADR.............. 417,900
5,100 Akzo Nobel N V- ADR............ 342,975
8,500 Asahi Chemical Co. Ltd. - ADR.. 472,666
28,014 BOC Group plc.................. 470,643
7,500 Degussa Ag..................... 364,446
6,000 Imperial Chemical Industries
plc - ADR .................... 327,000
23,100 Shin Etsu Chemical Co.......... 579,236
50,000 Toray Industries Inc........... 340,060
5,500 Toray Industries Inc. - ADR.... 373,809
------------
3,688,735
------------
CONGLOMERATES - 2.95%
29,390 Broken Hill Proprietary Co.
Ltd. - ADR ................... 848,636
43,006 BTR plc........................ 140,000
37,426 BTR plc - ADR.................. 486,156
30,000 Hutchison Whampoa.............. 249,726
3,300 Itochu Corp. - ADR............. 167,931
71,250 Keppel Corp. Ltd............... 325,789
26,875 Keppel Corp. Ltd. - ADR........ 248,156
8,000 Lagardere Groupe............... 235,237
70,000 Marubeni Corp.................. 297,553
3,200 Marubeni Corp. - ADR........... 135,931
42,000 Mitsubishi Corp................ 494,118
50,000 Mitsui & Co.................... 442,250
60,000 Sime Darby Holdings Ltd........ 195,805
194,400 Sime Darby Holdings Ltd. - ADR. 634,405
105,728 Tomkins plc.................... 459,196
------------
5,360,889
------------
CONSUMER FINANCE - 0.07%
37,000 Nippon Shinpan Co.............. 127,729
------------
COSMETICS/TOILETRIES - 1.11%
1,100 Loreal Co......................$ 399,075
15,400 Loreal Co. - ADR............... 1,119,951
34,490 Shiseido Ltd. - ADR............ 503,157
------------
2,022,183
------------
DRUGS - 6.81%
26,667 Astra AB....................... 430,041
55,400 Glaxo Wellcome plc - ADR....... 2,229,850
7,700 Kissei Pharmaceutical Co....... 175,225
2,100 Novartis Ag.................... 2,846,653
5,000 Ono Pharmaceutical............. 171,318
250 Roche Holdings AG.............. 2,220,418
27,000 Sankyo Co. Ltd................. 855,560
78,564 SmithKline Beecham Plc......... 1,350,740
45,000 Takeda Chemical Industries Ltd. 1,139,974
10,300 Zeneca Group plc - ADR......... 943,738
------------
12,363,517
------------
ELECTRICAL EQUIPMENT - 1.52%
1,000 Barco.......................... 178,521
58,000 Delta plc...................... 305,513
15,000 Fanuc.......................... 534,564
30,000 Fujikura....................... 262,774
84,000 General Electric plc........... 479,568
10,400 General Electric plc - ADR..... 59,294
10,000 Murata Manufacturing Co........ 395,878
3,400 Sumitomo Electric Industries
Ltd. - ADR ................... 533,940
------------
2,750,052
------------
ELECTRONIC INSTRUMENTS - 3.27%
50,000 Hitachi Ltd.................... 532,417
8,550 Hitachi Ltd. - ADR............. 927,675
6,000 Kyocera Corp................... 432,289
144,000 Mitsubishi Electric Corp....... 816,144
600 Mitsubishi Electric Corp. - ADR 33,983
25,000 NEC Corp....................... 347,789
5,100 NEC Corp. - ADR................ 353,813
50,000 Racal Electronics plc.......... 188,942
7,110 Schneider SA................... 341,427
8,000 *Siemens AG..................... 450,904
23,000 *Siemens AG - ADR............... 1,299,038
25,000 Yokogawa Electric.............. 207,170
------------
5,931,591
------------
FINANCE COMPANIES - 2.05%
20,000 Abbey National.................$ 288,893
61,160 ABN Amro Holdings N V.......... 1,129,352
2,025 Compagnie Bancaire SA.......... 224,080
126 *Credit Local de France......... 11,761
7,992 Fortis Amev NV................. 327,994
19,664 ING Groep NV................... 868,387
7,758 Societe Generale............... 861,164
129 Societe Generale (Warrants).... 12,443
------------
3,724,074
------------
FOODS - 2.92%
25,000 Ajinomoto Inc.................. 251,181
1,900 Ajinomoto Inc. - ADR........... 190,766
21,799 Cadbury Schweppes plc.......... 195,420
13,634 Cadbury Schweppes plc - ADR.... 494,233
31,532 Coca Cola Amatil Ltd........... 365,059
10,000 Daiei, Inc..................... 65,264
11,500 Daiei, Inc. - ADR.............. 143,750
106,875 Grand Metropolitan............. 993,048
38,000 Nestle S A - ADR............... 2,363,801
30,750 Tate & Lyle plc................ 226,613
------------
5,289,135
------------
FOOTWEAR - 0.26%
4,500 Adidas AG...................... 472,617
------------
FREIGHT - 0.59%
98,000 *Mitsui Osk Lines Ltd........... 218,806
40,000 Nippon Yusen Kabushiki Kaish... 164,878
8,570 Nippon Yusen Kabushiki Kaish -
ADR........................... 353,008
31,683 P & O Steam Navigation......... 330,020
------------
1,066,712
------------
HOME BUILDERS - 0.22%
15,000 Daiwa House Industry Co. Ltd... 176,471
214 *Sekisui Homes Ltd. - ADR....... 20,935
20,000 Sekisui House Hokuriku, Ltd.... 195,792
------------
393,198
------------
HOSPITAL SUPPLIES - 0.51%
2,000 Novo-Nordisk A/S............... 214,155
12,800 Novo-Nordisk A/S - ADR......... 702,400
------------
916,555
------------
</TABLE>
<PAGE> 39
===============================================================================
38 INTERNATIONAL EQUITIES FUND - May 31, 1997
STATEMENT OF NET ASSETS CONTINUED
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
HOUSEHOLD PRODUCTS - 0.88%
7,000 Katokichi Co...................$ 129,240
7,600 Unilever N V- ADR.............. 1,472,500
------------
1,601,740
------------
INFORMATION PROCESSING - 0.70%
5,000 CSK Corp....................... 154,143
3,700 CSK Corp. - ADR................ 113,313
14,000 Fujitsu Ltd.................... 170,717
7,200 Fujitsu Ltd. - ADR............. 438,684
2,250 SAP AG......................... 401,264
------------
1,278,121
------------
INSURANCE - CASUALTY - 0.46%
25,000 Mitsui Marine & Fire........... 167,454
50,000 Nippon Fire & Marine Insurance. 237,441
25,000 Sumitomo Marine & Fire......... 188,922
20,000 *Tokio Marine & Fire
Insurance Co. ................ 235,294
------------
829,111
------------
INSURANCE - LIFE - 0.61%
65,312 Irish Life plc................. 334,412
15,240 Prudential plc - ADR........... 765,432
------------
1,099,844
------------
INSURANCE - MULTILINE - 2.11%
3,000 Allianz AG..................... 634,545
23,549 Assic Generali................. 403,034
15,962 AXA............................ 955,022
7,000 *Gan Group...................... 156,738
91,498 Royal Sun Alliance............. 690,014
154,095 Sedgwick Group plc............. 315,097
500 Swiss Reinsurance AG........... 670,714
------------
3,825,164
------------
LEISURE TIME - 1.63%
8,000 Canon, Inc. - ADR.............. 1,015,000
20,000 Fuji Photo..................... 774,581
150,000 Ladbroke Group plc............. 564,371
85,000 Rank Group..................... 597,906
------------
2,951,858
------------
LODGING - 0.43%
297,916 Hong Kong & Shanghai Hotels....$ 461,379
22,916 Hong Kong & Shanghai Hotels
(Warrants) ................... 4,495
180,000 Hotel Properties............... 308,327
------------
774,201
------------
MACHINE TOOLS - 0.51%
35,000 Amada Co., Ltd................. 296,050
16,000 Makita Corp. - ADR............. 232,000
40,000 Minebea Co. Ltd................ 391,584
------------
919,634
------------
MACHINERY - CONSTRUCTION &
CONTRACTS - 1.39%
200 BBC Brown Boveri Limited-AG.... 274,216
15,000 Bilfinger & Berger Bau AG...... 583,641
2,000 Jean Lefebvre SA............... 114,986
52,000 Kajima Corp.................... 290,700
2,340 Kajima Corp. - ADR............. 130,725
80,000 Kumagai Gumi Co................ 88,791
16,000 Kumagai Gumi Co. (Warrants).... 5,007
70,000 Shimizu Corp................... 416,574
5,324 Volker Stevin.................. 613,380
------------
2,518,020
------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 2.42%
10,000 Atlas Copco AB Series A........ 268,346
20,000 Atlas Copco AB Series B........ 527,660
125 Bobst SA....................... 207,392
8,000 Ebara Corp..................... 116,101
2,530 Ebara Corp. - ADR.............. 366,918
75,000 Halma plc...................... 217,160
50,000 Kawasaki Heavy Industries...... 216,402
34,000 Komatsu Ltd.................... 256,934
2,000 Komatsu Ltd. - ADR............. 60,414
70,000 Kubota Corp.................... 321,597
1,350 Kubota Corp. - ADR............. 128,250
750 Man AG......................... 214,587
1,000 Mannesmann AG.................. 406,062
612 Rauma Oy....................... 14,262
1,000 Rieter Holdings AG............. 324,767
80 Rieter Holdings AG (Warrants).. 26,320
78,595 Rolls Royce.................... 321,426
25,367 Siebe plc...................... 399,199
------------
4,393,797
------------
MEDICAL TECHNOLOGY - 0.04%
20,000 *Instrumentation Laboratory
S. p. A. ..................... 75,000
------------
MERCHANDISE - SPECIALTY - 1.22%
41,490 BAA plc........................ 359,720
150,000 Dickson Concepts
International Ltd. ........... 561,399
10,000 Esselte AB Series B............ 236,092
35,000 Great Universal Stores plc..... 369,295
10,000 Hennes and Mauritz............. 326,401
1,500 *Herlitz AG..................... 158,856
15,000 Takashimaya Co................. 195,792
------------
2,207,555
------------
MERCHANDISING - DEPARTMENT - 1.17%
500 Karstadt AG.................... 176,409
15,000 Marks & Spencer plc............ 124,714
25,033 Marks & Spencer plc - ADR...... 1,249,505
16,000 Marui Co., Ltd................. 298,154
36,000 Mitsukoshi Ltd................. 253,190
200 Mitsukoshi Ltd. - ADR.......... 14,056
------------
2,116,028
------------
MERCHANDISING - FOOD - 1.52%
2,550 Carrefour SA................... 1,673,622
10,000 Delhaize-Le Lion, S.A.......... 497,308
5,050 Koninklijke Ahold NV........... 383,248
15,000 Melco International Development
Limited ...................... 5,033
10,000 Uny Co. Ltd.................... 196,651
------------
2,755,862
------------
MERCHANDISING - MASS - 0.89%
32,666 Argos plc...................... 327,568
4,356 Familymart Co.................. 199,003
4,050 Ito-Yokado Co. Ltd. - ADR...... 925,425
20,000 Seiyu Ltd...................... 162,817
------------
1,614,813
------------
</TABLE>
<PAGE> 40
===============================================================================
May 31, 1997 INTERNATIONAL EQUITIES FUND -
STATEMENT OF NET ASSETS CONTINUED 39
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
METALS - COPPER - 0.61%
8,062 Rio Tinto Ltd. - ADR...........$ 528,558
6,432 Rio Tinto plc.................. 110,479
6,700 Rio Tinto plc - ADR............ 467,325
------------
1,106,362
------------
METALS - MISCELLANEOUS - 0.69%
400 Alusuisse Lonza Holdings....... 377,012
106,151 North Ltd...................... 405,879
71,596 *Western Mining................. 462,983
------------
1,245,874
------------
METALS - STEEL - 1.73%
500 Bekaert SA..................... 295,409
36,700 British Steel plc.............. 90,955
2,000 British Steel plc - ADR........ 51,750
50,000 Cockerill Sambre............... 189,855
60,000 Kawasaki Steel................. 176,213
15,420 Kawasaki Steel - ADR........... 452,555
200,000 Nippon Steel Co................ 585,659
155,000 NKK Corp....................... 304,809
178,000 Sumitomo Metal Industries Ltd.. 453,980
7,400 Sumitomo Metal Industries Ltd. -
ADR .......................... 188,602
50,000 Sumitomo Metal Mining.......... 348,218
------------
3,138,005
------------
MISCELLANEOUS - 0.32%
8,000 Secom Co....................... 575,698
------------
OIL - INTEGRATED
INTERNATIONAL - 4.41%
14,722 British Petroleum Co. plc - ADR 2,132,850
20,946 Elf Aquitaine SA - ADR......... 1,091,810
10,000 Repsol S A - ADR............... 421,250
17,098 Royal Dutch Petroleum Co. - ADR 3,338,385
11,207 Total.......................... 1,024,711
------------
8,009,006
------------
OIL/GAS PRODUCERS - 1.50%
225,000 Eni S.p.A...................... 1,122,046
2,505 Fletcher Challenge Energy
Division ..................... 80,160
13,500 Norsk Hydro A/S - ADR.......... 685,125
3,000 OMV AG......................... 380,590
OIL/GAS PRODUCERS - Continued
112,500 Santos Ltd.....................$ 461,383
------------
2,729,304
------------
PAPER/FOREST PRODUCTS - 0.73%
149,394 Fletcher Challenge Forest Ltd.. 196,788
3,926 *Fletcher Challenge Ltd. - ADR.. 51,038
5,010 Fletcher Challenge Paper
Division ..................... 115,230
22,000 New Oji Paper Co., Ltd......... 127,145
300 New Oji Paper Co., Ltd. - ADR.. 17,326
60,000 Nippon Paper Industries........ 319,966
22,000 UPM - Kymmene Corp............. 505,001
------------
1,332,494
------------
PUBLISHING - NEWS - 0.87%
69,356 Independent Newspapers plc..... 348,297
22,500 News Corp Ltd. - ADR........... 399,375
50,000 Reuters Holdings plc........... 561,099
20,952 United News & Media plc........ 265,285
------------
1,574,056
------------
PUBLISHING/PRINTING - 0.48%
30,000 Dai Nippon Printing Co. Ltd.... 600,258
100,000 *Seat S.p.A..................... 29,744
2,020 Wolters Kluwer NV.............. 242,820
------------
872,822
------------
RAILROAD - 0.99%
30,000 Fukuyama Transporting Co....... 202,233
90,000 Nagoya Railroad Co. Ltd........ 341,606
9,218 Nagoya Railroad Co. Ltd. - ADR. 349,639
101,970 Odakyu Electric Railway Co.
Ltd. ......................... 564,797
60,000 Tokyu Corp..................... 343,152
------------
1,801,427
------------
REAL ESTATE - 2.45%
41,076 Hammerson plc.................. 325,223
240,000 Hang Lung Development Co....... 459,960
63,000 Mitsubishi Estate Co. Ltd...... 860,198
35,000 Mitsui Fudosan................. 441,821
25,000 New World Development Co....... 158,740
132,600 Sun Hung Kai Properties Ltd.... 1,630,012
128,000 Wharf (Holdings) Ltd........... 573,221
------------
4,449,175
------------
SECURITIES RELATED - 1.19%
25,000 Daiwa Securities Co. Ltd.......$ 183,985
46,000 Mitsubishi Trust & Banking
Corp. ........................ 659,682
35,000 Nomura Securities Co. Ltd...... 414,770
3,800 Nomura Securities Co. Ltd.
- ADR ........................ 450,012
160,000 Peregrine Investment Holdings
Ltd. ......................... 284,958
16,000 Peregrine Investment Holdings
Ltd. (Warrants) .............. 4,440
6,000 *Yamaichi Securities Co.
Ltd. - ADR ................... 169,913
------------
2,167,760
------------
TELECOMMUNICATIONS - 6.23%
35,000 British Telecommunications
plc. ......................... 253,640
16,379 British Telecommunications
plc - ADR .................... 1,201,809
45,222 Cable & Wireless plc........... 369,144
15,000 Deutsche Telekom............... 332,631
48,204 Hong Kong Telecommunications
Ltd.- ADR .................... 1,090,616
15,395 Kon Ptt Nederland.............. 538,124
9,000 Nokia AB OY.................... 588,138
100,000 Stet Societa' Finanziaria
Telefonica S.p.A. ............ 504,589
5,600 Telecom Corp. of New Zealand
Ltd. - ADR ................... 214,900
300,000 *Telecom Italia Mobile.......... 879,932
335,000 Telecom Italia S.p.A........... 922,290
40,200 Telefonaktiebolage & LM
Ericsson Class B - ADR ....... 1,432,125
14,000 Telefonica de Espana........... 403,846
11,600 Telefonica de Espana - ADR..... 1,013,550
110,000 Telekom Malaysia Berhad........ 814,264
16,500 Vodafone Group plc - ADR....... 736,313
------------
11,295,911
------------
TEXTILE - PRODUCTS - 0.33%
20,000 Courtaulds Textiles plc........ 91,935
4,000 DMC Dollfus Mieg............... 82,430
30,000 Marzotto & Figli S.p.A......... 247,248
15,000 Wacoal Corp.................... 182,911
------------
604,524
------------
</TABLE>
<PAGE> 41
===============================================================================
40 INTERNATIONAL EQUITIES FUND -
STATEMENT OF NET ASSETS CONTINUED May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
TOBACCO - 0.74%
75,977 B.A.T. Industries plc.........$ 680,475
30,100 B.A.T. Industries plc - ADR... 553,088
32,000 Swedish Match AB............... 104,036
------------
1,337,599
------------
UTILITIES - ELECTRIC - 4.36%
155,000 China Light & Power............ 776,150
12,000 Empresa Nacional de Electridad
SA - ADR ..................... 931,500
6,500 Hidroel Cantabrico............. 253,597
30,000 Iberdrola SA................... 368,359
16,600 Kansai Electric Power Co. Inc.. 312,185
80,000 National Power................. 723,704
4,000 Oesterreichisch
Elektrizitatswirt Schafts
- AG Class A ................. 287,635
20,000 RWE AG - ADR................... 853,676
48,488 Scottish Power plc............. 303,794
10,000 Sydkraft AB.................... 258,025
145,000 Tenaga Nasional Berhad......... 663,629
25,200 Tokyo Electric Power........... 480,412
30,000 VEBA AG........................ 1,695,629
------------
7,908,295
------------
UTILITIES - GAS, DISTRIBUTION - 0.18%
127,000 Osaka Gas Co................... 333,723
------------
WATER SERVICES - 1.36%
10,196 Eaux (Cie Generale)............ 1,253,621
10,196 Eaux (Cie Generale) (Warrants). 6,974
20,395 Hyder plc...................... 270,743
26,385 Thames Water plc............... 296,416
55,611 United Utilities plc........... 635,892
------------
2,463,646
------------
TOTAL COMMON STOCKS
(Cost $141,960,324)............ 177,676,399
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.15%
U.S. TREASURY BILLS - 0.15%
$275,000 United States Treasury Bills,
4.99% due 8/21/97
(Cost $271,912)...............$ 271,912
------------
TOTAL INVESTMENTS
(Cost $142,232,236) - 98.08%... 177,948,311
Other assets and liabilities,
net - 1.92% .................. 3,488,672
------------
NET ASSETS (equivalent
to $11.44 per share on
15,857,442 shares
outstanding) - 100% ..........$181,436,983
============
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- ---------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 05/31/97)
30 (2) Nikkei 225 Futures
(June/$172.99)................$ 302,018
============
(1) U.S.Treasury Bills with a market value of
approximately $275,000 were maintained in a
segregated account with a portion placed as
collateral for futures contracts.
(2) Per 500
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
- ---------------------------------------------------------
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
15,857,442 shares outstanding........... $ 158,574
-------------
Additional paid in capital................ 140,297,784
Undistributed net realized gain on
securities ............................. 4,489,559
Undistributed net investment income....... 448,887
Unrealized appreciation of:
Investments................ $35,716,075
Futures ................... 302,018
Foreign currency translation 24,086 36,042,179
----------- -------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $ 181,436,983
=============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 42
===============================================================================
INTERNATIONAL EQUITIES FUND - FINANCIAL STATEMENTS 41
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $557,737)............. $ 3,666,126
Interest............................................................. 481,858
-----------
Total investment income............................................ 4,147,984
-----------
EXPENSES:
Advisory fees........................................................ 668,871
Custodian and accounting services.................................... 76,611
Reports to shareholders.............................................. 25,220
Audit fees and tax services.......................................... 5,808
Directors' fees and expenses......................................... 4,916
Miscellaneous........................................................ 26,567
-----------
Total expenses..................................................... 807,993
-----------
NET INVESTMENT INCOME................................................ 3,339,991
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments.......................................... $ 6,661,147
Foreign currency transactions........................ (182,088)
Futures.............................................. (401,648) 6,077,411
-----------
Net unrealized appreciation during the year:
Investments.......................................... 3,803,766
Foreign currency translation......................... 22,338
Futures.............................................. 130,782 3,956,886
----------- -----------
Net realized and unrealized gain on securities and
foreign currencies during the year.............................. 10,034,297
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $13,374,288
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................. $ 3,339,991 $ 3,381,202
Net realized gain on securities and foreign currency
transactions ....................................... 6,077,411 7,822,417
Net unrealized appreciation of securities and
translation of foreign currencies during the year.... 3,956,886 10,529,705
------------ ------------
Increase in net assets resulting from operations.... 13,374,288 21,733,324
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................. (3,206,176) (3,224,568)
Net realized gain on securities........................ (6,030,686) (4,471,011)
------------ ------------
Decrease in net assets resulting from distributions
to shareholders..................................... (9,236,862) (7,695,579)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold....................... 74,488,255 67,168,258
Proceeds from capital stock issued for distributions
reinvested .......................................... 9,236,862 7,695,579
------------ ------------
83,725,117 74,863,837
Cost of capital stock repurchased...................... (112,684,896) (91,733,125)
------------ ------------
Decrease in net assets resulting from capital stock
transactions....................................... (28,959,779) (16,869,288)
TOTAL DECREASE IN NET ASSETS........................... (24,822,353) (2,831,543)
NET ASSETS:
Beginning of year...................................... 206,259,336 209,090,879
------------ ------------
End of year (including undistributed net investment
income of $448,887 and $262,279) ................. $181,436,983 $206,259,336
------------ ------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold........................... 6,846,567 6,277,440
Shares issued for distributions reinvested............. 848,956 721,434
Shares of capital stock repurchased ................... (10,334,613) (8,576,096)
------------ ------------
Decrease in shares outstanding....................... (2,639,090) (1,577,222)
Shares outstanding:
Beginning of year.................................... 18,496,532 20,073,754
------------ ------------
End of year.......................................... 15,857,442 18,496,532
------------ ------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 43
===============================================================================
42 GROWTH FUND - STATEMENT OF NET ASSETS May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------------------------------------------------------------------------
COMMON STOCKS - 87.37%
ADVERTISING - 3.07%
<S> <C>
350,000 *ADVO, Inc.............................. $ 4,856,249
290,000 *Catalina Marketing Corp................ 10,693,750
222,500 *Outdoor Systems Inc.................... 7,370,313
22,920,312
-----------
APPAREL & PRODUCTS - 0.80%
134,500 *Tommy Hilfiger Corp.................... 5,985,250
-----------
AUTO - REPLACEMENT PARTS - 0.94%
300,000 *AutoZone, Inc.......................... 7,012,500
-----------
BANKS - REGIONAL - 1.54%
215,000 Norwest Corp........................... 11,502,500
-----------
BROADCASTING - 1.89%
625,000 Comcast Corp. Class A Special.......... 10,859,375
146,100 Gaylord Entertainment Co. Class A...... 3,250,725
-----------
14,110,100
-----------
CONSUMER FINANCE - 0.18%
470,000 Mercury Finance Co..................... 1,233,750
-----------
ELECTRONIC INSTRUMENTS - 0.92%
236,000 *ADT Ltd................................ 6,873,500
-----------
ENTERTAINMENT - 3.01%
290,000 Carnival Corp. Class A................. 11,020,000
140,000 Walt Disney Co......................... 11,462,501
-----------
22,482,501
-----------
FINANCE COMPANIES - 3.61%
325,000 Green Tree Financial Corp.............. 11,375,000
100,000 Household International, Inc........... 9,825,000
225,000 Money Store, Inc....................... 5,765,625
-----------
26,965,625
FOODS - 1.06%
650,000 *Petsmart Inc........................... 7,962,500
-----------
FUNERAL SERVICES - 2.00%
425,000 Service Corp. International............ 14,981,250
-----------
GOVERNMENT SPONSORED - 2.93%
400,000 Federal Home Loan Mortgage Corp........ $13,200,000
200,000 Federal National Mortgage
Association........................... 8,725,000
-----------
21,925,000
-----------
HEALTHCARE - 6.97%
330,000 *Apria Healthcare Group, Inc............ 5,940,000
225,000 Cardinal Health, Inc................... 13,106,250
90,000 *PacifiCare Health System, Inc.
Class B............................... 7,132,500
168,900 *Patterson Dental Co.................... 5,827,050
190,000 *Phycor, Inc............................ 5,438,750
415,000 *Quorum Health Group Inc................ 14,680,625
-----------
52,125,175
-----------
HOSPITAL MANAGEMENT - 4.67%
250,000 Columbia/HCA Healthcare Corp........... 9,156,250
350,000 *Vencor, Inc............................ 14,262,500
325,000 *Vivra, Inc............................. 11,496,875
-----------
34,915,625
-----------
HUMAN RESOURCES - 4.64%
550,000 Accustaff, Inc......................... 13,200,000
350,000 *COREStaff, Inc......................... 8,312,500
282,800 *Employee Solutions, Inc................ 1,502,375
300,000 Interim Services Inc................... 11,700,000
-----------
34,714,875
-----------
INFORMATION PROCESSING - 6.59%
300,000 *BISYS Group, Inc....................... 11,437,500
485,000 First Data Corp........................ 19,400,000
225,000 Paychex, Inc........................... 8,268,750
240,000 *SunGard Data Systems, Inc.............. 10,200,000
-----------
49,306,250
-----------
INSURANCE - LIFE - 0.05%
13,600 *UICI................................... 365,500
-----------
INSURANCE- MISCELLANEOUS - 6.18%
250,000 Ace Limited............................ 16,000,000
90,000 MGIC Investment Corp................... 8,010,000
130,000 PMI Group Inc.......................... 7,133,750
190,000 UNUM Corp.............................. 15,033,750
-----------
46,177,500
-----------
LEISURE TIME - 0.93%
200,000 *Sabre Group Holdings, Inc.............. $ 5,575,000
59,000 *Vail Resorts Inc....................... 1,408,625
-----------
6,983,625
-----------
LODGING - 4.83%
335,000 *Extended Stay America, Inc............. 4,648,125
275,000 *HFS, Inc............................... 14,815,625
725,000 La Quinta Inns, Inc.................... 16,675,000
-----------
36,138,750
-----------
MERCHANDISE - SPECIALTY - 11.77%
250,000 Circuit City Stores, Inc............... 9,875,000
300,000 *Cole National Corp. Class A............ 11,362,500
744,600 *Corporate Express, Inc................. 10,238,250
370,000 *CostCo Companies, Inc.................. 12,487,500
650,000 *General Nutrition Cos., Inc............ 15,112,500
125,000 Home Depot, Inc........................ 7,875,000
475,000 Ikon Office Solutions Inc.............. 13,775,000
135,000 Kohl's Corp............................ 7,273,125
-----------
87,998,875
-----------
MERCHANDISING - MASS - 2.50%
811,600 *CUC International Inc.................. 18,666,800
-----------
MISCELLANEOUS - 0.21%
44,800 *Sylvan Learning Systems, Inc........... 1,607,200
-----------
OIL - SERVICE - PRODUCTS - 1.53%
110,000 *BJ Services Co......................... 6,077,500
45,000 Schlumberger Ltd....................... 5,360,625
-----------
11,438,125
-----------
OIL - SERVICES - 3.96%
175,000 Camco International, Inc............... 8,968,750
200,000 *Smith International, Inc............... 10,475,000
150,000 *Western Atlas Inc...................... 10,181,250
-----------
29,625,000
-----------
POLLUTION CONTROL - 2.65%
370,000 *Republic Industries, Inc............... 8,903,125
300,000 *USA Waste Services, Inc................ 10,875,000
-----------
19,778,125
-----------
</TABLE>
<PAGE> 44
===============================================================================
May 31, 1997 GROWTH FUND - STATEMENT OF NET ASSETS CONTINUED 43
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -----------------------------------------------------------------------------
<S> <C>
PUBLISHING - NEWS - 0.69%
120,000 Tribune Co............................. $ 5,190,000
-------------
RESTAURANTS - 2.81%
425,000 *Boston Chicken, Inc.................... 7,650,000
125,000 *Lone Star Steakhouse & Saloon.......... 2,875,000
450,000 *Outback Steakhouse Inc................. 10,462,500
-------------
20,987,500
-------------
SECURITIES RELATED - 2.86%
330,000 Franklin Resources, Inc................ 21,367,500
-------------
TELECOMMUNICATIONS - 1.58%
425,000 *Airtouch Communications, Inc........... 11,846,875
-------------
TOTAL COMMON STOCKS
(Cost $538,978,043).................... 653,188,088
-------------
PAR
VALUE
- ------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 11.69%
CONSUMER FINANCE - 3.72%
Sears Roebuck Acceptance Corp:
$10,000,000 5.55% due 06/09/97 ................... 9,987,660
9,000,000 5.53% due 06/03/97.................... 8,997,231
8,903,000 5.53% due 06/05/97.................... 8,897,525
-------------
27,882,416
-------------
FINANCE COMPANIES - 5.57%
9,814,000 Ford Motor Credit Co.,
5.52 % due 06/10/97................... 9,800,450
15,972,000 General Electric Capital Services Inc.,
5.50 % due 06/02/97................... 15,969,555
General Motors Acceptance Corp:
7,891,000 5.53% due 06/06/97.................... 7,884,935
7,979,000 5.48% due 06/04/97.................... 7,975,351
-------------
41,630,291
-------------
SECURITIES RELATED - 2.40%
17,941,000 Merrill Lynch & Co. Inc.,
5.62% due 06/11/97.................... 17,912,982
-------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $ 87,425,689).................... $ 87,425,689
-------------
TOTAL INVESTMENTS
(Cost $626,403,732) - 99.06%........... 740,613,777
Other assets less liabilities,
net - 0.94%........................... 7,040,236
-------------
NET ASSETS (equivalent
to $17.62 per share on
42,421,874 shares
outstanding) - 100%................... $747,654,013
=============
*Non-income producing
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
42,421,874 shares outstanding.................... $ 424,219
Additional paid in capital......................... 618,177,079
Undistributed net realized gain on securities 14,539,455
Undistributed net investment income................ 303,215
Unrealized appreciation of securities.............. 114,210,045
-------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING...................................... $747,654,013
=============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 45
===============================================================================
44 GROWTH FUND - FINANCIAL STATEMENTS
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends ............................................................ $ 2,226,275
Interest ............................................................. 3,365,118
-----------
Total investment income ............................................ 5,591,393
-----------
EXPENSES:
Advisory fees ........................................................ 4,704,380
Custodian and accounting services .................................... 182,315
Reports to shareholders .............................................. 85,619
Audit fees and tax services .......................................... 26,695
Directors' fees and expenses ......................................... 13,226
Miscellaneous ........................................................ 26,765
-----------
Total expenses ..................................................... 5,039,000
-----------
NET INVESTMENT INCOME ................................................ 552,393
-----------
REALIZED AND UNREALIZED GAINON SECURITIES:
Net realized gain on securities ...................................... 16,994,556
Net unrealized appreciation of securities during the year ............ 39,599,901
-----------
Net realized and unrealized gain on securities during the year ..... 56,594,457
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ..................... $57,146,850
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income ................................................ $ 552,393 $ 2,125,410
Net realized gain on securities ...................................... 16,994,556 12,920,523
Net unrealized appreciation of securities during the year ............ 39,599,901 65,916,187
-------------- --------------
Increase in net assets resulting from operations ................... 57,146,850 80,962,120
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (503,196) (1,871,667)
Net realized gain on securities ...................................... (11,891,551) (3,757,835)
-------------- --------------
Decrease in net assets resulting from distributions
to shareholders ................................................... (12,394,747) (5,629,502)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ..................................... 268,628,198 258,993,562
Proceeds from capital stock issued for distributions reinvested ...... 12,394,747 5,629,502
-------------- --------------
281,022,945 264,623,064
Cost of capital stock repurchased .................................... (3,908,102) (14,782,740)
-------------- --------------
Increase in net assets resulting from capital stock transactions ... 277,114,843 249,840,324
-------------- --------------
TOTAL INCREASE IN NET ASSETS ......................................... 321,866,946 325,172,942
NET ASSETS:
Beginning of year .................................................... 425,787,067 100,614,125
-------------- --------------
End of year (including undistributed net investment income
of $303,215 and $254,018) .......................................... $ 747,654,013 $ 425,787,067
============== ==============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ......................................... 16,096,764 17,658,112
Shares issued for distributions reinvested ........................... 733,851 382,244
Shares of capital stock repurchased .................................. (234,388) (1,014,547)
-------------- --------------
Increase in shares outstanding ..................................... 16,596,227 17,025,809
Shares outstanding:
Beginning of year .................................................. 25,825,647 8,799,838
-------------- --------------
End of year ........................................................ 42,421,874 25,825,647
============== ==============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 46
===============================================================================
May 31, 1997 GROWTH & INCOME FUND - STATEMENT OF NET ASSETS 45
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------------------------------------------------------------------
<S> <C>
COMMON STOCKS - 90.54%
ADVERTISING - 1.05%
38,000 Omnicom Group, Inc. .................... $ 2,204,000
-----------
AEROSPACE/DEFENSE - 3.29%
9,000 Logicon, Inc. .......................... 452,250
50,200 McDonnell Douglas Corp. ................ 3,231,625
40,000 United Technologies Corp. .............. 3,215,000
-----------
6,898,875
-----------
APPAREL & PRODUCTS - 0.75%
45,000* Fruit of the Loom, Inc. Class A ........ 1,569,375
-----------
AUTO - ORIGINAL EQUIPMENT - 0.97%
42,000 Danaher Corp. .......................... 2,037,000
-----------
BANKS - NEW YORK CITY - 1.26 %
23,000 CitiCorp ............................... 2,630,625
-----------
BANKS - OTHER - 2.93%
30,000 BankAmerica Corp. ...................... 3,506,250
30,000 Mellon Bank Corp. ...................... 2,625,000
-----------
6,131,250
-----------
BANKS - REGIONAL - 2.21%
45,000 Norwest Corp. .......................... 2,407,500
54,000 Star Banc Corp. ........................ 2,227,500
-----------
4,635,000
-----------
BEVERAGE - SOFT DRINKS - 1.79%
55,000 Coca-Cola Co. .......................... 3,753,750
-----------
CHEMICAL - MAJOR - 0.90%
17,000 E.I. du Pont de Nemours and Co. ........ 1,850,875
600 Hercules, Inc. ......................... 28,125
-----------
1,879,000
-----------
CHEMICAL - MISCELLANEOUS - 1.21%
48,000 Pra air, Inc. .......................... 2,526,000
-----------
CONTAINERS - PAPER - 0.35%
16,000* Sealed Air Corp. ....................... 734,000
-----------
DRUGS - 2.57%
50,000* Dura Pharmaceuticals, Inc. ............. $1,987,500
33,000 Pfizer, Inc. ........................... 3,394,875
-----------
5,382,375
-----------
ELECTRONIC INSTRUMENTS - 1.30%
50,000* Dynatech Corp. ......................... 1,875,000
27,000 Symbol Technologies, Inc. .............. 847,125
-----------
2,722,125
-----------
FINANCE COMPANIES - 1.74%
15,000 Green Tree Financial Corp. ............. 525,000
7,000 Household International, Inc. .......... 687,750
21,000 Money Store, Inc. ...................... 538,125
40,000 SunAmerica, Inc. ....................... 1,890,000
-----------
3,640,875
-----------
FOODS - 2.57%
56,000 Campbell Soup Co. ...................... 2,576,000
50,000 Hershey Foods Corp. .................... 2,806,250
-----------
5,382,250
-----------
FOOTWEAR - 0.54%
20,000 NIKE, Inc. Class B ..................... 1,140,000
-----------
GOVERNMENT SPONSORED - 0.87%
15,000 Student Loan Marketing
Association ............................ 1,824,375
-----------
HEALTHCARE - 3.55%
45,000 Cardinal Health, Inc. .................. 2,621,250
141,480* HealthSouth Corp. ...................... 3,236,355
55,000 Omnicare, Inc. ......................... 1,574,375
-----------
...................................... 7,431,980
-----------
HOSPITAL SUPPLIES - 2.81%
43,200 Becton, Dickinson and Co. .............. 2,127,600
50,000 Johnson & Johnson ...................... 2,993,750
23,000 United States Surgical Corp. ........... 776,250
-----------
5,897,600
-----------
HOUSEHOLD PRODUCTS - 1.32%
20,000 Procter & Gamble Co. ................... 2,757,500
-----------
INFORMATION PROCESSING - 9.15%
55,000* Adaptec, Inc............................ $ 2,021,250
50,000* Ascend Communications Inc. ............. 2,787,500
70,000* BMC Software, Inc. ..................... 3,788,750
35,000* Cisco Systems, Inc. .................... 2,371,250
50,000 Computer Associates
International, Inc. .................... 2,737,500
35,000* Gateway 2000, Inc. ..................... 2,323,125
5,000 Microsoft Corp. (Preferred) ............ 430,625
60,000 Reynolds and Reynolds Co. ..............
Class A ................................ 1,402,500
14,183* Storage Technology Corp. ............... 577,957
15,000* 3Com Corp. ............................. 727,500
----------
$19,167,957
-----------
INSURANCE - CASUALTY - 1.70% ...........
65,000 Frontier Insurance Group, Inc. ......... 3,566,875
-----------
INSURANCE - LIFE - 2.10% ...............
110,000 Conseco Inc. ........................... 4,400,000
-----------
INSURANCE - MULTILINE - 4.25% ..........
50,000 Allstate Corp. ......................... 3,681,250
4,000* CNA Financial Corp. .................... 409,500
35,000 Reliastar Financial Corp. .............. 2,244,375
46,666 Travelers Group, Inc. .................. 2,560,795
-----------
8,895,920
-----------
LODGING - 0.49% ........................
19,000* HFS, Inc. .............................. 1,023,625
-----------
MACHINERY - INDUSTRIAL/ ................
SPECIALTY - 1.78% ......................
36,000 Illinois Tool Works Inc. ............... 1,786,500
30,000* SCI Systems, Inc. ...................... 1,950,000
-----------
3,736,500
-----------
MERCHANDISE - SPECIALTY - 3.68% ........
44,250* Consolidated Stores Corp. .............. 1,692,563
70,000 Dollar General Corp. ................... 2,353,750
75,375* Staples, Inc. .......................... 1,658,250
42,000 TJX Companies, Inc. .................... 2,016,000
-----------
7,720,563
-----------
</TABLE>
<PAGE> 47
===============================================================================
46 GROWTH & INCOME FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
MERCHANDISING - FOOD - 1.68%
32,000 *Kroger Co. .................... $ 820,000
60,000 *Safeway, Inc. ................. 2,700,000
------------
3,520,000
------------
METALS - MISCELLANEOUS - 1.37%
45,900 Precision Castparts Corp. ..... 2,868,750
------------
NATURAL GAS - DIVERSIFIED - 0.89%
40,000 PanEnergy Corp. ............... 1,870,000
------------
OIL - INTEGRATED DOMESTIC - 2.44%
40,000 Occidental Petroleum Corp. .... 930,000
45,000 *Oryx Energy Co. ............... 1,040,625
25,000 Phillips Petroleum Co. ........ 1,062,500
70,000 USX-Marathon Group ............ 2,082,500
------------
5,115,625
------------
OIL - INTEGRATED
INTERNATIONAL - 1.04%
15,090 British Petroleum Co.
plc - ADR .................... 2,186,164
------------
OIL - SERVICE - PRODUCTS - 1.05%
40,000 *BJ Services Co. ............... 2,210,000
------------
OIL - SERVICES - 6.93%
60,000 Baker Hughes Inc. ............. 2,250,000
45,000 *ENSCO International, Inc. ..... 2,244,375
80,000 *Rowan Companies, Inc. ......... 1,850,000
50,000 *Smith International, Inc. ..... 2,618,750
50,000 Tidewater, Inc. ............... 2,106,250
50,000 Transocean Offshore, Inc. ..... 3,450,000
------------
14,519,375
------------
OIL/GAS PRODUCERS - 4.42%
45,000 *Falcon Drilling Co., Inc. ..... 2,064,375
48,000 Helmerich & Payne, Inc. ....... 2,694,000
65,000 Louisiana Land &
Exploration Co. .............. 3,347,500
27,285 Noble Affiliates, Inc. ........ 1,149,381
------------
9,255,256
------------
PAPER/FOREST PRODUCTS - 0.72%
40,000 Avery Dennison Corp. .......... 1,505,000
------------
POLLUTION CONTROL - 0.46%
25,000 *United Waste Systems, Inc. .... 959,375
------------
SEMICONDUCTORS - 2.09%
35,000 *Applied Materials, Inc. ....... $ 2,283,750
50,000 *LSI Logic Corp. ............... 2,087,500
------------
4,371,250
------------
TELECOMMUNICATIONS - 4.73%
40,000 *ADC Communications, Inc. ...... 1,370,000
47,850 *Andrew Corp. .................. 1,303,913
125,000 *Pairgain Technologies Inc. .... 2,609,375
48,000 *Tellabs, Inc. ................. 2,412,000
75,000 *WorldCom, Inc. ................ 2,221,875
------------
9,917,163
------------
TOBACCO - 1.89%
90,000 Philip Morris Cos Inc. ........ 3,960,000
------------
UTILITIES - COMMUNICATION - 0.73%
25,000 Cincinnati Bell, Inc. ......... 1,537,500
------------
UTILITIES - ELECTRIC - 1.71%
50,000 *AES Corp. ..................... 3,587,500
------------
UTILITIES - GAS, PIPELINE - 1.26%
60,000 Williams Companies, Inc. ...... 2,647,500
------------
TOTAL COMMON STOCKS
(Cost $144,555,813) ........... 189,719,853
------------
PAR
VALUE
- -----------
CONVERTIBLE BONDS - 6.58%
AEROSPACE/DEFENSE - 0.39%
$ 500,000 Rohr, Inc.,
7.75% due 05/15/04 ........... 825,000
------------
AIRLINES - 0.30%
500,000 Alaska Air Group, Inc.,
6.50% due 06/15/05 ........... 622,500
------------
DRUGS - 0.77%
500,000 ALZA Corp.,
5.00% due 05/01/06 ........... 500,000
1,000,000 ICN Pharmaceuticals, Inc.,
8.50% due 11/15/99 ........... 1,105,000
------------
1,605,000
------------
ELECTRONIC INSTRUMENTS - 0.12%
$ 300,000 C-Cube Microsystems, Inc.,
5.88% due 11/01/05 ........... $ 280,500
------------
HEALTHCARE - 0.47%
1,000,000 Phycor, Inc.,
4.50% due 02/15/03 ........... 985,000
------------
INFORMATION PROCESSING - 1.68%
500,000 Adaptec, Inc.,
4.75% due 02/01/04 .......... 498,750
Data General Corp:
1,000,000 7.75% due 06/01/01 ........... 1,150,000
300,000 6.00% due 05/15/04 ........... 322,500
1,500,000 National Data Corp.,
5.00% due 11/01/03 ........... 1,545,000
------------
3,516,250
------------
INSURANCE - LIFE - 0.58%
1,000,000 Equitable Cos., Inc.
6.13% due 12/15/24 ........... 1,207,500
------------
LODGING - 0.52%
500,000 HFS, Inc.,
4.75% due 03/01/03 ........... 552,500
500,000 Hilton Hotels Corp.,
5.00% due 05/15/06 ........... 542,500
------------
1,095,000
------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.34%
500,000 SCI Systems, Inc.,
5.00% due 05/01/06 ........... 708,750
------------
MERCHANDISE - SPECIALTY - 0.26%
500,000 Home Depot, Inc.,
3.25% due 10/01/01 ........... 535,000
------------
OIL - INTEGRATED DOMESTIC - 0.59%
1,000,000 Pennzoil Co.,
4.75% due 10/01/03 ........... 1,232,500
------------
OIL - SERVICES - 0.30%
500,000 Nabors Industries, Inc.,
5.00% due 05/15/06 ........... 635,000
------------
</TABLE>
<PAGE> 48
===============================================================================
May 31, 1997 GROWTH & INCOME FUND - STATEMENT OF NET ASSETS CONTINUED 47
===============================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
<S> <C> <C>
OIL/GAS PRODUCERS - 0.26%
$ 500,000 Diamond Offshore Drilling, Inc.,
3.75% due 02/15/07 ........... $ 548,750
------------
TOTAL CONVERTIBLE BONDS
(Cost $13,515,369) ............ 13,796,750
------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 2.92%
CONSUMER FINANCE - 1.61%
3,371,000 Beneficial Corp.,
5.48% due 06/02/97 ........... 3,370,486
------------
FINANCE COMPANIES - 1.31%
2,746,000 Ford Motor Credit Co.,
5.60% due 06/03/97 ........... 2,745,146
------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $6,115,632) ............. 6,115,632
------------
TOTAL INVESTMENTS
(Cost $164,186,814) - 100.04% . 209,632,235
Other assets less liabilities,
net - (0.04%) ................ (87,111)
------------
NET ASSETS (equivalent
to $16.87 per share on
12,422,162 shares
outstanding) - 100% .......... $209,545,124
============
*Non-income producing
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
12,422,162 shares outstanding ........... $ 124,222
Additional paid in capital ............... 161,101,892
Accumulated net realized gain
on securities ........................... 2,712,317
Undistributed net investment income ...... 161,272
Unrealized appreciation of securities .... 45,445,421
------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING ............................. $209,545,124
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 49
================================================================================
48 GROWTH & INCOME FUND - FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ....................................................... $ 1,272,521
Interest ........................................................ 1,167,033
-----------
Total investment income ....................................... 2,439,554
-----------
EXPENSES:
Advisory fees ................................................... 1,211,524
Custodian and accounting fees ................................... 51,399
Reports to shareholders ......................................... 23,351
Audit fees and tax services ..................................... 7,005
Directors' fees and expenses .................................... 3,616
Miscellaneous ................................................... 8,014
-----------
Total expenses ................................................ 1,304,909
-----------
NET INVESTMENT INCOME ........................................... 1,134,645
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities ................................. 2,722,032
Net unrealized appreciation on securities during the year ....... 24,022,009
-----------
Net realized and unrealized gain on securities during
the year.................................................... 26,744,041
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................ $27,878,686
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ............................................... $ 1,134,645 $ 475,333
Net realized gain on securities ..................................... 2,722,032 4,151,221
Net unrealized appreciation of securities during the year ........... 24,022,009 17,414,828
------------- -------------
Increase in net assets resulting from operations .................. 27,878,686 22,041,382
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................................... (1,058,649) (392,678)
Net realized gain on securities ..................................... (3,131,642) (556,363)
------------- -------------
Decrease in net assets resulting from distributions
to shareholders .................................................. (4,190,291) (949,041)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold .................................... 70,892,821 62,680,575
Proceeds from capital stock issued for distributions reinvested ..... 4,190,291 949,041
------------- -------------
75,083,112 63,629,616
Cost of capital stock repurchased ................................... (2,772,662) (14,042,186)
------------- -------------
Increase in net assets resulting from capital stock transactions .. 72,310,450 49,587,430
------------- -------------
TOTAL INCREASE IN NET ASSETS ........................................ 95,998,845 70,679,771
NET ASSETS:
Beginning of year ................................................... 113,546,279 42,866,508
------------- -------------
End of year (including undistributed net investment income
of $161,272 and $85,276) .......................................... $ 209,545,124 $ 113,546,279
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ........................................ 4,647,143 4,772,881
Shares issued for distributions reinvested .......................... 268,315 73,503
Shares of capital stock repurchased ................................. (177,920) (1,028,347)
------------- -------------
Increase in shares outstanding .................................... 4,737,538 3,818,037
Shares outstanding:
Beginning of year ................................................. 7,684,624 3,866,587
------------- -------------
End of year ....................................................... 12,422,162 7,684,624
============= =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 50
===============================================================================
May 31, 1997 SCIENCE & TECHNOLOGY FUND - STATEMENT OF NET ASSETS 49
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
COMMON STOCKS - 82.74%
AEROSPACE/DEFENSE - 0.94%
<S> <C>
200,000 OEA, Inc.......................$ 7,550,000
------------
ELECTRICAL EQUIPMENT - 1.37%
500,000 *Anixter International, Inc..... 8,500,000
152,000 *FORE Systems, Inc.............. 2,517,497
------------
11,017,497
------------
ELECTRONIC INSTRUMENTS - 0.90%
200,000 *LAM Research Corp.............. 7,275,000
------------
HOSPITAL SUPPLIES - 3.54%
250,000 *Boston Scientific Corp......... 13,343,750
450,000 United States Surgical Corp.... 15,187,500
------------
28,531,250
------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 16.85%
750,000 *BMC Software, Inc.............. 40,593,750
100,000 *Citrix Systems, Inc............ 3,762,500
58,500 *Clarify, Inc................... 709,313
400,000 *Medic Computer Systems, Inc.... 6,925,000
125,000 *Microsoft Corp................. 15,500,000
700,000 *Oracle Corp.................... 32,637,500
800,000 *PLATINUM technology, inc....... 11,600,000
300,000 *Premenos Technology Corp....... 2,025,000
500,000 *Synopsys Inc................... 18,687,500
65,000 *Veritas Software Corp.......... 3,233,750
------------
135,674,313
------------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 3.99%
300,000 *Adaptec, Inc................... 11,025,000
80,000 *Dell Computer Corp............. 9,000,000
340,000 *Microchip Technology, Inc...... 12,070,000
------------
32,095,000
------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 20.67%
440,000 *America Online, Inc............ 24,310,000
250,000 *Checkfree Corp................. 4,375,000
225,000 *Cognos Inc..................... 7,031,250
200,000 Electronic Data Systems Corp... 7,475,000
INFORMATION PROCESSING -
COMPUTER SERVICES - Continued
800,000 First Data Corp................$ 32,000,000
550,000 *Gartner Group, Inc............. 16,018,750
300,000 National Data Corp............. 13,162,500
350,000 *Parametric Technology Corp..... 15,706,250
6,800 *Rationale Software Corp........ 128,350
250,000 *Security Dynamics Technology... 9,218,750
500,000 *Sterling Commerce Inc.......... 16,625,000
300,000 *SunGard Data Systems, Inc...... 12,750,000
285,000 *Vantive Corp................... 7,659,375
------------
166,460,225
------------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 0.99%
72,200 *CBT Group PLC.................. 3,934,900
250,000 *Pure Atria Corp................ 4,000,000
------------
7,934,900
------------
INFORMATION PROCESSING -
NETWORKING - 8.96%
125,000 *Ascend Communications Inc...... 6,968,750
250,000 *Cascade Communications Corp.... 9,562,500
250,000 *Cisco Systems, Inc............. 16,937,500
350,000 *Network Gen Corp............... 6,431,250
90,000 *Remedy Corp.................... 3,633,750
300,000 *Sync Research, Inc............. 1,256,250
325,000 *U.S. Robotics Corp............. 27,300,000
------------
72,090,000
------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.52%
80,000 *ASM Lithography Holding NV..... 4,180,000
------------
MERCHANDISING - MASS - 2.43%
850,000 *CUC International Inc.......... 19,550,000
------------
SEMICONDUCTORS - 15.59%
300,000 *Altera Corp.................... 15,900,000
1,000,000 *Analog Devices, Inc............ 26,750,000
60,000 *Applied Materials, Inc......... 3,915,000
55,000 Intel Corp..................... 8,332,500
75,000 *KLA-Tencor Corp................ 3,567,187
275,000 Linear Technology Corp......... 13,784,375
SEMICONDUCTORS - Continued
400,000 *Maxim Integrated Products......$ 21,500,000
60,000 *Novellus Systems, Inc.......... 4,912,500
500,000 *Xilinx, Inc.................... 26,812,500
------------
125,474,062
------------
TELECOMMUNICATIONS - 5.99%
450,000 *ADC Communications, Inc........ 15,412,500
600,000 *Airtouch Communications, Inc... 16,725,000
250,000 *Omnipoint Corp................. 3,437,500
22,782 Panamsat....................... 652,135
160,700 Vodafone Group plc - ADR....... 7,171,237
162,700 *WorldCom, Inc.................. 4,819,987
------------
48,218,359
------------
TOTAL COMMON STOCKS
(Cost $538,754,380)............ 666,050,606
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- -----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 15.04%
CONSUMER FINANCE - 11.76%
<C> <C>
8,662,000 Ford Motor Credit Co.,
5.52% due 06/12/97 ........... 8,647,383
General Electric Capital Corp:
15,973,000 5.50% due 06/06/97 ........... 15,960,779
15,391,000 5.47% due 06/09/97 ........... 15,372,265
General Motors Acceptance Corp:
5,186,000 5.62% due 06/11/97............ 5,177,901
17,462,000 5.53% due 06/10/97............ 17,437,839
9,772,000 Pactel Capital Resources.,
5.52% due 06/11/97............ 9,757,007
Sears Roebuck Acceptance Corp:
7,279,000 5.63% due 06/04/97 .......... 7,276,763
15,000,000 5.57% due 06/02/97 .......... 14,996,489
----------
94,626,426
----------
SECURITIES RELATED - 3.28%
Merrill Lynch & Co:
10,000,000 5.62% due 06/03/97............ 9,996,872
16,482,000 5.52% due 06/05/97............ 16,471,873
----------
26,468,745
----------
</TABLE>
<PAGE> 51
================================================================================
50 SCIENCE & TECHNOLOGY FUND - STATEMENT OF NET ASSETS CONTINUED May 31,1997
================================================================================
<TABLE>
<CAPTION>
MARKET
VALUE
- --------------------------------------------------------
TOTAL SHORT TERM
COMMERCIAL PAPER
<S> <C>
(Cost $121,095,171)............$121,095,171
------------
TOTAL INVESTMENTS
(Cost $659,849,551) - 97.78%... 787,145,777
Other assets and liabilities,
net - 2.22%................... 17,836,170
------------
NET ASSETS (equivalent
to $19.88 per share on
40,484,129 shares
outstanding) - 100%...........$804,981,947
============
*Non-income producing
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
40,484,129 shares outstanding........... $ 404,841
Additional paid in capital................ 691,474,318
Accumulated net realized loss on
securities.............................. (12,258,083)
Accumulated net investment loss........... (1,935,355)
Unrealized appreciation of securities..... 127,296,226
------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $804,981,947
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 52
===============================================================================
SCIENCE & TECHNOLOGY FUND - FINANCIAL STATEMENTS 51
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ...................................................... $ 764,508
Interest ....................................................... 3,692,989
------------
Total investment income ...................................... 4,457,497
------------
EXPENSES:
Advisory fees .................................................. 5,973,280
Custodian and accounting services .............................. 212,011
Reports to shareholders ........................................ 97,009
Audit fees and tax services .................................... 28,366
Directors' fees and expenses ................................... 15,717
Miscellaneous .................................................. 50,905
------------
Total expenses ............................................... 6,377,288
------------
NET INVESTMENT LOSS ............................................ (1,919,791)
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments ...................................... $(8,891,536)
Foreign currency transactions .................... 1,633
----------- (8,889,903)
Net unrealized appreciation of securities during the year ...... 33,692,829
------------
Net realized and unrealized gain on securities during the
year ....................................................... 24,802,926
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............... $ 22,883,135
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
---------------------------
<S> <C> <C>
OPERATIONS:
Net investment loss.................................... $ (1,919,791) $ (250,091)
Net realized gain (loss) on securities................. (8,889,903) 59,379,986
Net unrealized appreciation of securities
during the year ................................... 33,692,829 79,262,122
------------ ------------
Increase in net assets resulting from operations..... 22,883,135 138,392,017
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................. - (30,219)
Net realized gain on securities........................ (32,117,202) (39,016,725)
------------ ------------
Decrease in net assets resulting from distributions
to shareholders..................................... (32,117,202) (39,046,944)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold....................... 286,682,331 310,357,765
Proceeds from capital stock issued for
distributions reinvested............................. 32,117,202 39,046,944
------------ ------------
318,799,533 349,404,709
Cost of capital stock repurchased...................... (71,770,130) (48,246,211)
------------ ------------
Increase in net assets resulting from
capital stock transactions......................... 247,029,403 301,158,498
------------ ------------
TOTAL INCREASE IN NET ASSETS........................... 237,795,336 400,503,571
NET ASSETS:
Beginning of year...................................... 567,186,611 166,683,040
------------ ------------
End of year (including undistributed net
investment income of ($1,935,355) and $0) ........... $804,981,947 $567,186,611
============ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold........................... 14,868,580 16,506,873
Shares issued for distributions reinvested............. 1,636,128 2,210,100
Shares of capital stock repurchased ................... (3,716,452) (2,571,296)
------------ ------------
Increase in shares outstanding....................... 12,788,256 16,145,677
Shares outstanding:
Beginning of year.................................... 27,695,873 11,550,196
------------ ------------
End of year.......................................... 40,484,129 27,695,873
============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 53
===============================================================================
52 SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 95.43%
ADVERTISING - 0.16%
4,060 Interpublic Group Cos., Inc.... $ 243,093
----------
AIRLINES - 0.35%
3,193 *AMR Corp....................... 317,304
2,482 Delta Air Lines, Inc........... 232,687
----------
549,991
----------
APPLIANCES/FURNISHINGS - 0.18%
5,674 Whirlpool Corp................. 282,991
----------
AUTO - CARS - 1.01%
49,511 Chrysler Corp.................. 1,571,974
----------
AUTO - REPLACEMENT PARTS - 0.86%
1,722 Echlin Inc..................... 57,472
10,961 Genuine Parts Co............... 367,194
15,555 Goodyear Tire & Rubber Co...... 909,967
----------
1,334,633
----------
BANKS - NEW YORK CITY - 3.08%
7,006 Bank of New York Co., Inc...... 298,631
17,975 Chase Manhattan Corp........... 1,698,637
15,421 CitiCorp....................... 1,763,777
9,692 J. P. Morgan & Co. Inc......... 1,041,890
----------
4,802,935
----------
BANKS - OTHER - 2.96%
9,850 BankAmerica Corp............... 1,151,219
1,062 BankBoston Corp................ 77,526
9,889 First Chicago Corp............. 585,923
11,193 First Union Corp............... 961,199
8,329 *Fleet Financial Group, Inc..... 509,110
272 Mellon Bank Corp............... 23,800
4,279 National City Corp............. 220,369
480 US Bancorp..................... 29,460
3,920 Wells Fargo & Co............... 1,032,920
----------
4,591,526
----------
BANKS - REGIONAL - 2.68%
15,677 BANC ONE CORP.................. 678,030
3,358 Barnett Banks, Inc............. 176,715
5,846 CoreStates Financial Corp...... 309,107
318 Fifth Third Bancorp............ 24,566
253 First Bank System, Inc......... 20,746
BANKS - REGIONAL - Continued
6,971 KeyCorp........................ $ 379,047
25,343 NationsBank Corp............... 1,492,069
9,556 Norwest Corp................... 511,246
12,069 PNC Bank Corp.................. 505,389
1,125 Wachovia Corp.................. 68,484
----------
4,165,399
----------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.88%
15,965 Anheuser-Busch Companies, Inc.. 684,499
16,991 Seagram Co. Ltd................ 683,887
----------
1,368,386
----------
BEVERAGE - SOFT DRINKS - 4.14%
67,784 Coca-Cola Co................... 4,626,257
49,374 PepsiCo, Inc................... 1,814,495
----------
6,440,752
----------
BROADCASTING - 1.13%
4,201 Comcast Corp. Class A Special.. 72,992
9,756 *Tele-Communications, Inc.
Class A...................... 147,560
26,046 U S West Communications Group.. 953,935
9,997 *U S West Media Group........... 198,690
13,131 *Viacom, Inc. Class B........... 389,827
----------
1,763,004
----------
BUILDING MATERIALS - 0.29%
1,982 Armstrong World Industries,
Inc.......................... 134,776
424 Lowe's Companies, Inc.......... 16,695
7,703 Masco Corp..................... 299,454
----------
450,925
----------
CHEMICAL - MAJOR - 1.44%
3,831 Goodrich (B.F.) Co............. 164,733
19,907 Morton International, Inc...... 642,001
14,522 PPG Industries, Inc............ 844,091
3,219 Rohm and Haas Co............... 277,639
6,446 Union Carbide Corp............. 301,351
----------
2,229,815
----------
CHEMICAL - MISCELLANEOUS - 0.62%
5,445 Lubrizol Corp.................. 193,977
8,684 Lyondell Petrochemical Co...... 191,047
6,952 Nalco Chemical Co.............. 258,093
5,702 Praxair, Inc................... 300,067
CHEMICAL - MISCELLANEOUS - Continued
322 W. R. Grace & Co............... $ 16,825
----------
960,009
----------
CONGLOMERATES - 0.20%
5,396 Ogden Corp..................... 105,222
3,319 Tyco International Ltd......... 210,757
----------
315,979
----------
CONSUMER FINANCE - 0.22%
2,571 Beneficial Corp................ 165,187
5,169 MBNA Corp...................... 175,100
----------
340,287
----------
CONTAINERS - METAL/GLASS - 0.44%
3,338 Corning Inc.................... 168,152
8,861 Crown Cork & Seal Co., Inc..... 516,153
----------
684,305
----------
CONTAINERS - PAPER - 0.05%
2,586 Sonoco Products Co............. 75,317
----------
COSMETICS/TOILETRIES - 1.21%
17,986 Gillette Co.................... 1,598,506
6,314 International Flavors &
Fragrances, Inc............... 280,184
----------
1,878,690
----------
DRUGS - 6.98%
22,720 American Home Products Corp.... 1,732,400
2,922 *Amgen Inc...................... 195,409
32,971 Bristol Myers Squibb Co........ 2,419,247
16,894 Eli Lilly and Co............... 1,571,142
35,741 Merck & Co., Inc............... 3,212,222
9,254 Schering-Plough Corp........... 839,801
8,804 Warner-Lambert Co.............. 887,003
----------
10,857,224
----------
ELECTRICAL EQUIPMENT - 1.41%
15,056 AMP Inc........................ 619,177
25,264 Emerson Electric Co............ 1,364,256
2,674 Raychem Corp................... 198,210
191 W. W. Grainger Inc............. 15,327
----------
2,196,970
----------
</TABLE>
<PAGE> 54
===============================================================================
May 31, 1997 SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS CONTINUED 53
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
ENTERTAINMENT - 2.12%
10,232 Hasbro, Inc.................... $ 296,727
5,597 Mattel, Inc.................... 167,210
20,554 Time Warner Inc................ 955,761
22,797 Walt Disney Co................. 1,866,504
----------
3,286,202
----------
FINANCE COMPANIES - 0.29%
4,509 Household International, Inc... 443,009
----------
FOODS - 2.48%
16,570 Archer Daniels Midland Co...... 331,400
13,605 Campbell Soup Co............... 625,830
6,891 ConAgra, Inc................... 414,321
7,857 CPC International Inc.......... 675,702
5,972 General Mills, Inc............. 377,729
16,743 H J Heinz Co................... 719,949
329 Hershey Foods Corp............. 18,465
6,847 Kellogg Co..................... 504,966
1,469 Ralston Purina Co.............. 125,232
1,088 Wm. Wrigley Jr. Co............. 64,464
----------
3,858,058
----------
FOOTWEAR - 0.38%
10,243 NIKE, Inc. Class B............ 583,851
----------
FREIGHT - 0.24%
6,846 *Federal Express Corp........... 358,559
1,074 J.B. Hunt Transport Services,
Inc.......................... 16,379
----------
374,938
----------
FUNERAL SERVICES - 0.10%
4,408 Service Corp. International.... 155,382
----------
GOLD MINING - 0.36%
17,000 Barrick Gold Corp.............. 429,250
6,884 Placer Dome Inc................ 125,633
----------
554,883
----------
GOVERNMENT SPONSORED - 1.38%
15,723 Federal Home Loan Mortgage
Corp......................... 518,859
37,072 Federal National Mortgage
Association................... 1,617,266
----------
2,136,125
----------
HARDWARE & TOOLS - 0.21%
318 Black & Decker Corp............ $ 11,051
2,082 Snap-on Inc.................... 83,020
5,492 Stanley Works.................. 225,172
----------
319,243
----------
HEALTHCARE - 0.15%
4,034 United HealthCare Corp......... 227,921
----------
HEAVY DUTY TRUCKS/PARTS - 0.22%
9,304 Dana Corp...................... 336,107
----------
HOSPITAL MANAGEMENT - 0.50%
16,919 Columbia/HCA Healthcare Corp... 619,658
5,918 *Tenet Healthcare Corp.......... 162,745
----------
782,403
----------
HOSPITAL SUPPLIES - 3.64%
25,272 Abbott Laboratories............ 1,592,136
12,903 Baxter International Inc....... 680,633
5,376 Becton, Dickinson and Co....... 264,767
4,213 *Boston Scientific Corp......... 224,869
41,402 Johnson & Johnson.............. 2,478,945
1,434 Mallinckrodt, Inc.............. 53,596
4,877 Medtronic, Inc................. 360,897
----------
5,655,843
----------
HOUSEHOLD PRODUCTS - 3.64%
14,134 Colgate-Palmolive Co........... 876,308
23,807 Procter & Gamble Co............ 3,282,390
7,798 Unilever N V - ADR............. 1,510,863
----------
5,669,561
----------
INFORMATION PROCESSING - 9.38%
1,768 *Apple Computer, Inc............ 29,393
5,315 Automatic Data Processing,
Inc.......................... 261,099
14,652 *Cisco Systems, Inc............. 992,673
6,047 *Compaq Computer Corp........... 654,588
6,034 Computer Associates
International, Inc............ 330,362
2,741 *Dell Computer Corp............. 308,363
228 *Digital Equipment Corp......... 8,180
4,839 *E M C Corp..................... 192,955
11,139 First Data Corp................ 445,560
36,600 Hewlett Packard Co............. 1,884,900
INFORMATION PROCESSING - Continued
29,736 International Business Machines
Corp.......................... $2,572,164
28,639 *Microsoft Corp................. 3,551,236
3,059 *Novell, Inc ................... 24,090
16,567 *Oracle Corp.................... 772,436
5,997 Pitney Bowes Inc............... 421,289
6,087 *Seagate Technology............. 247,284
4,474 *Silicon Graphics, Inc.......... 84,447
9,349 Sun Microsystems, Inc.......... 301,505
2,579 *3Com Corp...................... 125,082
20,316 Xerox Corp..................... 1,376,409
----------
14,584,015
----------
INSURANCE - CASUALTY - 0.21%
3,029 Chubb Corp..................... 184,769
1,718 SAFECO Corp.................... 74,733
863 St. Paul Companies, Inc........ 61,812
----------
321,314
----------
INSURANCE - LIFE - 0.79%
4,755 Aetna Inc...................... 480,255
622 Conseco Inc.................... 24,880
2,595 Lincoln National Corp.......... 157,971
6,152 Transamerica Corp.............. 559,063
----------
1,222,169
----------
INSURANCE - MISCELLANEOUS - 0.18%
1,571 General Reinsurance Corp....... 275,318
----------
INSURANCE - MULTILINE - 3.38%
9,594 Allstate Corp.................. 706,358
15,549 American International Group,
Inc.......................... 2,104,946
3,188 CIGNA Corp..................... 553,915
3,832 Hartford Financial Services
Group........................ 298,896
4,434 Marsh & McLennan Companies,
Inc.......................... 584,180
18,278 Travelers Group, Inc........... 1,003,005
----------
5,251,300
----------
LEISURE TIME - 0.01%
272 Brunswick Corp................. 8,296
----------
LODGING - 0.09%
520 *HFS, Inc....................... 28,015
1,758 *ITT Corp....................... 104,821
----------
132,836
----------
</TABLE>
<PAGE> 55
===============================================================================
54 SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
MACHINERY - AGRICULTURE - 0.49%
14,879 Deere & Co..................... $ 760,689
----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.60%
8,367 Caterpillar Inc................ 816,828
2,657 Harnischfeger Industries Inc... 113,919
----------
930,747
----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.30%
6,946 Cooper Industries, Inc......... 354,246
4,300 Dover Corp..................... 246,175
11,832 Illinois Tool Works Inc........ 587,163
2,700 Ingersoll-Rand Co.............. 147,150
9,035 Johnson Controls, Inc.......... 382,858
9,531 Pall Corp...................... 225,170
1,439 Tecumseh Products Co. Class A.. 81,483
----------
2,024,245
----------
MERCHANDISE - SPECIALTY - 0.71%
5,321 Gap, Inc....................... 182,244
9,763 Home Depot, Inc................ 615,069
5,978 Ikon Office Solutions Inc...... 173,362
2,914 Limited, Inc................... 59,009
2,432 *Toys "R" Us, Inc............... 75,696
----------
1,105,380
----------
MERCHANDISING - DEPARTMENT - 0.46%
5,025 Dayton Hudson Corp............. 241,828
9,947 May Department Stores Co....... 468,752
----------
710,580
----------
MERCHANDISING - FOOD - 0.36%
8,554 Albertsons, Inc................ 286,559
2,891 American Stores Co............. 131,541
989 *Kroger Co...................... 25,343
3,430 SYSCO Corp..................... 119,621
----------
563,064
----------
MERCHANDISING - MASS - 2.54%
4,131 *CUC International Inc.......... 95,013
15,209 J.C. Penney Co., Inc........... 783,264
125 KMart Corp..................... 1,750
18,604 Sears Roebuck and Co........... 913,922
70,609 Wal-Mart Stores, Inc........... 2,100,618
MERCHANDISING - MASS - Continued
1,823 *Woolworth Corp................. $ 43,980
----------
3,938,547
----------
METALS - ALUMINUM - 0.51%
21,947 Alcan Aluminium Ltd............ 787,349
----------
METALS - MISCELLANEOUS - 0.36%
12,938 Freeport-McMoran Copper &
Gold Inc. Class B............. 376,819
5,627 Inco Limited................... 185,691
----------
562,510
----------
METALS - STEEL - 0.08%
7,100 Worthington Industries, Inc.... 131,350
----------
MISCELLANEOUS - 0.74%
16,446 American Express Co............ 1,142,997
----------
NATURAL GAS - DIVERSIFIED - 0.25%
5,467 PanEnergy Corp................. 255,582
2,219 Sonat Inc...................... 127,593
----------
383,175
----------
OIL - INTEGRATED DOMESTIC - 2.29%
8,222 Amerada Hess Corp.............. 439,877
4,660 Ashland Oil, Inc............... 223,098
6,055 Burlington Resources, Inc..... 281,558
4,252 MAPCO Inc...................... 135,001
11,379 *Oryx Energy Co................. 263,139
5,052 Pennzoil Co.................... 279,755
27,826 Phillips Petroleum Co.......... 1,182,605
3,802 Sun Co., Inc................... 113,585
21,609 USX-Marathon Group............. 642,868
----------
3,561,486
----------
OIL - INTEGRATED
INTERNATIONAL - 2.09%
2,528 Murphy Oil Corp................ 117,236
28,706 Texaco Inc..................... 3,132,542
----------
3,249,778
----------
OIL - SERVICE - PRODUCTS - 0.87%
11,286 Schlumberger Ltd............... 1,344,445
----------
OIL - SERVICES - 0.73%
6,003 Baker Hughes Inc............... $ 225,113
13,768 Dresser Industries, Inc........ 471,554
3,480 Halliburton Co................. 269,265
5,962 McDermott International, Inc... 165,446
----------
1,131,378
----------
OIL/GAS PRODUCERS - 0.45%
1,733 Apache Corp.................... 59,355
8,086 Ultramar Diamond Shamrock...... 266,838
12,821 Union Pacific Resources Group
Inc.......................... 370,206
----------
696,399
----------
PAPER/FOREST PRODUCTS - 1.03%
7,049 Avery Dennison Corp............ 265,219
954 James River Corp. of Virginia.. 33,509
25,934 Kimberly-Clark Corp............ 1,299,942
----------
1,598,670
----------
POLLUTION CONTROL - 0.57%
4,008 Browning-Ferris Industries,
Inc.......................... 131,262
23,702 Waste Management, Inc.......... 752,539
----------
883,801
----------
PUBLISHING - NEWS - 0.50%
6,920 Dow Jones & Co., Inc........... 269,015
5,152 Gannett Co., Inc............... 476,560
263 New York Times Co. Class A..... 12,114
363 Times Mirror Co................ 20,373
----------
778,062
----------
PUBLISHING/PRINTING - 0.52%
6,116 Deluxe Corp.................... 198,770
13,817 Dun & Bradstreet Corp.......... 360,969
3,819 McGraw-Hill, Inc............... 208,613
1,980 Moore Corp. Ltd................ 44,055
----------
812,407
----------
RAILROAD - 1.62%
5,481 Burlington Northern Santa Fe... 454,923
11,578 CSX Corp....................... 613,634
7,129 Norfolk Southern Corp.......... 692,404
11,105 Union Pacific Corp............. 752,364
----------
2,513,325
----------
</TABLE>
<PAGE> 56
===============================================================================
May 31, 1997 SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS CONTINUED 55
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------------------------------------------------------
<S> <C> <C>
RESTAURANTS - 0.72%
22,407 McDonald's Corp................ $ 1,125,952
-----------
SAVINGS & LOAN - 0.09%
3,025 Great Western Financial Corp... 146,713
-----------
SECURITIES RELATED - 1.32%
7,081 Dean Witter, Discover & Co..... 292,091
6,878 Merrill Lynch & Co., Inc....... 729,068
7,417 Morgan Stanley Group Inc....... 500,648
9,819 Salomon Inc.................... 526,544
-----------
2,048,351
-----------
SEMICONDUCTORS - 3.17%
2,697 *Advanced Micro Devices, Inc.... 107,880
4,141 *Applied Materials, Inc......... 270,200
21,374 Intel Corp..................... 3,238,161
264 *LSI Logic Corp................. 11,022
5,295 *Micron Technology, Inc......... 225,038
5,695 *National Semiconductor Corp.... 160,172
14,062 Rockwell International Corp.... 906,999
-----------
4,919,472
-----------
TELECOMMUNICATIONS - 1.54%
8,243 ALLTEL Corp.................... 270,989
822 *Andrew Corp.................... 22,400
239 *DSC Communications Corp........ 6,109
14,686 Lucent Technologies, Inc....... 934,397
8,216 Northern Telecom Ltd........... 690,144
15,712 *WorldCom, Inc.................. 465,468
-----------
2,389,507
-----------
UTILITIES - COMMUNICATION - 6.82%
77,098 AT & T Corp.................... 2,842,990
23,836 Ameritech Corp................. 1,561,258
14,288 Bell Atlantic Corp............. 1,000,160
33,532 BellSouth Corp................. 1,521,515
8,415 MCI Communications Corp........ 322,926
13,990 NYNEX Corp..................... 751,963
32,049 SBC Communications, Inc........ 1,874,867
14,806 Sprint Corp.................... 723,643
-----------
10,599,322
-----------
UTILITIES - ELECTRIC - 1.58%
13,195 Allegheny Power System, Inc.... 344,719
UTILITIES - ELECTRIC - Continued
17,115 Cinergy Corp................... $ 599,025
173 Hawaiian Electric Industries,
Inc.......................... 5,990
5,367 Montana Power Co............... 122,099
1,964 OGE Energy Corp................ 84,452
31,985 PacifiCorp..................... 635,702
12,863 Potomac Electric Power Co...... 295,849
2,756 Public Service Co. of Colorado. 111,274
9,169 Puget Sound Energy Inc......... 228,079
477 TECO Energy, Inc............... 11,865
521 UtiliCorp United Inc........... 14,067
-----------
2,453,121
-----------
UTILITIES - GAS, DISTRIBUTION - 0.03%
1,320 Tosco Corp..................... 43,065
-----------
UTILITIES - GAS, PIPELINE - 1.05%
9,247 Consolidated Natural Gas Co.... 491,247
15,457 Enron Corp..................... 629,873
1,479 Pacific Enterprises............ 48,437
10,508 Williams Companies, Inc........ 463,666
-----------
1,633,223
-----------
TOTAL COMMON STOCKS
(Cost $121,517,004)............ 148,252,089
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
-----
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 4.19%
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.63%
$ 980,000 Cooper Industries, Inc.,
5.67% due 06/02/97............ 979,846
-----------
SECURITIES RELATED - 3.56%
5,530,000 Merrill Lynch & Co., Inc.
5.65% due 06/03/97............ 5,528,263
-----------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $6,508,109).............. 6,508,109
-----------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.19%
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
<S> <C> <C>
U.S. TREASURY BILLS - 0.19%
United States Treasury Bills,
$ 200,000 5.02% due 08/21/97............ $ 197,752
100,000 4.99% due 08/21/97 ........... 98,862
------------
296,614
------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM (Cost $296,614)..... 296,614
------------
TOTAL INVESTMENTS
(Cost $128,321,727) - 99.81%... 155,056,812
Other assets less liabilities,
net - 0.19%................... 292,242
------------
NET ASSETS (equivalent
to $17.90 per share on
8,677,411 shares
outstanding) - 100 %.......... $155,349,054
============
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- ---------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/97)
13(2) S&P 500 Index Futures
(June/$850.60)................ $ 90,650
============
</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,
8,677,411 shares outstanding............ $ 86,774
Additional paid in capital................ 119,582,326
Undistributed net realized gain on
securities.............................. 8,762,191
Undistributed net investment income....... 92,028
Unrealized appreciation of:
Investments........... $26,735,085
Futures .............. 90,650 26,825,735
----------- ------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $155,349,054
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 57
===============================================================================
56 SOCIAL AWARENESS FUND - FINANCIAL STATEMENTS
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ................................................. $ 2,079,690
Interest .................................................. 130,703
-----------
Total investment income ................................. 2,210,393
-----------
EXPENSES:
Advisory fees ............................................. 525,440
Custodian and accounting services ......................... 35,707
Reports to shareholders ................................... 14,276
Audit fees and tax services ............................... 3,987
Directors' fees and expenses .............................. 2,322
Miscellaneous ............................................. 9,187
-----------
Total expenses .......................................... 590,919
-----------
NET INVESTMENT INCOME ..................................... 1,619,474
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments................................. 13,494,506
Futures Contracts.................... ...... (138,043) 13,356,463
----------
Net unrealized appreciation of securities
during the year:
Investments................................. 14,605,162
Futures Contracts........................... 90,650 14,695,812
---------- -----------
Net realized and unrealized gain on securities
during the year:..................................... 28,052,275
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........... $29,671,749
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ................................................ $ 1,619,474 $ 1,207,110
Net realized gain on securities ...................................... 13,356,463 9,289,840
Net unrealized appreciation of securities during the year ............ 14,695,812 6,259,077
------------- -------------
Increase in net assets resulting from operations ................... 29,671,749 16,756,027
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (1,578,118) (1,156,438)
Net realized gain on securities ...................................... (10,727,011) (4,173,232)
------------- -------------
Decrease in net assets resulting from distributions
to shareholders ................................................... (12,305,129) (5,329,670)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ..................................... 52,814,227 17,740,343
Proceeds from capital stock issued for distributions reinvested ...... 12,305,129 5,329,670
------------- -------------
65,119,356 23,070,013
Cost of capital stock repurchased .................................... (8,024,362) (7,536,021)
------------- -------------
Increase in net assets resulting from capital stock transactions ... 57,094,994 15,533,992
------------- -------------
TOTAL INCREASE IN NET ASSETS ......................................... 74,461,614 26,960,349
NET ASSETS:
Beginning of year .................................................... 80,887,440 53,927,091
------------- -------------
End of year (including undistributed net investment income
of $92,028 and $50,672) ............................................ $ 155,349,054 $ 80,887,440
------------- -------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ......................................... 3,190,691 1,209,065
Shares issued for distributions reinvested ........................... 775,715 376,165
Shares of capital stock repurchased .................................. (509,440) (507,806)
------------- -------------
Increase in shares outstanding ..................................... 3,456,966 1,077,424
Shares outstanding:
Beginning of year .................................................. 5,220,445 4,143,021
------------- -------------
End of year ........................................................ 8,677,411 5,220,445
============= =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 58
===============================================================================
May 31, 1997 TIMED OPPORTUNITY FUND - STATEMENT OF NET ASSETS 57
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - 61.32%
ADVERTISING - 0.05%
1,530 Interpublic Group Cos., Inc.... $ 91,609
----------
AEROSPACE/DEFENSE - 1.09%
6,264 Boeing Co...................... 659,285
321 Crane Co....................... 13,160
858 EG & G, Inc.................... 16,730
227 General Dynamics Corp.......... 16,996
2,783 Lockheed Martin Corp........... 260,557
3,895 McDonnell Douglas Corp......... 250,740
432 Northrop Grumman Corp.......... 36,611
4,218 Raytheon Co.................... 201,409
2,278 TRW Inc........................ 121,872
4,334 United Technologies Corp....... 348,344
----------
1,925,704
----------
AIRLINES - 0.19%
1,626 *AMR Corp....................... 161,584
1,307 Delta Air Lines, Inc........... 122,531
751 Southwest Airlines Co.......... 19,338
913 *US Airways Group, Inc.......... 31,727
----------
335,180
----------
APPAREL & PRODUCTS - 0.05%
1,370 *Fruit of the Loom, Inc.
Class A...................... 47,779
1,010 Liz Claiborne, Inc............. 46,081
----------
93,860
----------
APPLIANCES/FURNISHINGS - 0.05%
729 Maytag Corp.................... 19,501
1,329 Whirlpool Corp................. 66,284
----------
85,785
----------
AUTO - CARS - 1.05%
12,955 Chrysler Corp.................. 411,321
18,256 Ford Motor Co.................. 684,600
13,278 General Motors Corp............ 760,166
----------
1,856,087
----------
AUTO - REPLACEMENT PARTS - 0.22%
1,708 *AutoZone, Inc.................. 39,924
1,115 Echlin Inc..................... 37,212
3,226 Genuine Parts Co............... 108,070
2,876 Goodyear Tire & Rubber Co...... 168,245
AUTO - REPLACEMENT PARTS - Continued
1,082 Pep Boys-Manny, Moe & Jack..... $ 33,812
----------
387,263
----------
BANKS - NEW YORK CITY - 1.30%
5,908 Bank of New York Co., Inc...... 251,829
7,979 Chase Manhattan Corp........... 754,016
8,239 CitiCorp....................... 942,336
3,284 J. P. Morgan & Co. Inc......... 353,030
----------
2,301,211
----------
BANKS - OTHER - 1.64%
5,188 BankAmerica Corp............... 606,348
2,533 BankBoston Corp................ 184,909
4,954 First Chicago Corp............. 293,525
5,131 First Union Corp............... 440,625
4,788 *Fleet Financial Group, Inc..... 292,667
1,894 Mellon Bank Corp............... 165,725
3,797 National City Corp............. 195,546
1,005 Republic of New York Corp...... 100,249
2,789 US Bancorp..................... 171,175
1,750 Wells Fargo & Co............... 461,125
----------
2,911,894
----------
BANKS - REGIONAL - 1.72%
7,037 BANC ONE CORP.................. 304,350
3,830 Barnett Banks, Inc............. 201,554
2,020 Comerica Inc................... 126,250
4,118 CoreStates Financial Corp...... 217,739
1,992 Fifth Third Bancorp............ 153,882
2,404 First Bank System, Inc......... 197,128
3,940 KeyCorp........................ 214,238
12,250 NationsBank Corp............... 721,219
6,218 Norwest Corp................... 332,663
5,973 PNC Bank Corp.................. 250,119
3,185 SunTrust Banks, Inc............ 169,999
2,752 Wachovia Corp.................. 167,528
----------
3,056,669
----------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.40%
478 Adolph Coors Class B........... 11,651
8,896 Anheuser-Busch Companies, Inc.. 381,416
833 Brown-Forman Corp Class B...... 42,587
BEVERAGE - BREWERS/
DISTRIBUTORS - Continued
6,625 Seagram Co. Ltd................ $ 266,656
----------
702,310
----------
BEVERAGE - SOFT DRINKS - 2.12%
41,299 Coca-Cola Co................... 2,818,657
25,761 PepsiCo, Inc................... 946,717
----------
3,765,374
----------
BROADCASTING - 0.57
5,984 Comcast Corp. Class A Special.. 103,972
2,347 *General Instrument Corp........ 56,915
9,367 Tele-Communications, Inc.
Class A...................... 141,676
8,565 U S West Communications Group.. 313,693
10,363 *U S West Media Group........... 205,965
6,150 *Viacom, Inc. Class B........... 182,578
----------
1,004,799
----------
BUILDING MATERIALS - 0.22%
805 Armstrong World Industries,
Inc.......................... 54,740
3,192 Lowe's Companies, Inc.......... 125,685
2,967 Masco Corp..................... 115,342
2,868 Sherwin-Williams Co............ 86,040
----------
381,807
----------
CHEMICAL - MAJOR - 1.32%
4,119 Dow Chemical Co................ 343,422
9,331 E.I. du Pont de Nemours
and Co....................... 1,015,913
142 Goodrich (B.F.) Co............. 6,106
1,853 Hercules, Inc.................. 86,859
9,508 Monsanto Co.................... 418,352
2,610 Morton International, Inc...... 84,173
3,335 PPG Industries, Inc............ 193,847
1,043 Rohm and Haas Co............... 89,959
2,020 Union Carbide Corp............. 94,435
----------
2,333,066
----------
CHEMICAL - MISCELLANEOUS - 0.38%
1,961 Air Products and Chemicals,
Inc.......................... 152,468
1,388 Eastman Chemical Co............ 82,586
1,153 Ecolab Inc..................... 47,994
364 FMC Corp....................... 26,208
1,131 Great Lakes Chemical Corp...... 55,278
773 Millipore Corp................. 33,336
</TABLE>
<PAGE> 59
===============================================================================
58 TIMED OPPORTUNITY FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
CHEMICAL - MISCELLANEOUS - Continued
1,204 Nalco Chemical Co.............. $ 44,699
2,286 Praxair, Inc................... 120,301
1,836 Sigma Aldrich Corp............. 56,228
1,187 W. R. Grace & Co............... 62,021
----------
681,119
----------
COAL - 0.01%
190 NACCO Industries, Inc. Class A. 9,666
----------
CONGLOMERATES - 0.62%
4,980 Allied Signal Inc.............. 382,215
1,781 Loews Corp..................... 173,202
3,051 Tenneco Inc.................... 136,532
1,478 Textron Inc.................... 175,143
2,979 Tyco International Ltd......... 189,167
1,954 Whitman Corp................... 47,140
----------
1,103,399
----------
CONSUMER FINANCE - 0.15%
966 Beneficial Corp................ 62,066
5,761 MBNA Corp...................... 195,154
----------
257,220
----------
CONTAINERS - METAL/GLASS - 0.22%
545 Ball Corp...................... 15,873
3,892 Corning Inc.................... 196,060
2,393 Crown Cork & Seal Co., Inc..... 139,392
1,007 Owens Corning.................. 42,042
----------
393,367
----------
CONTAINERS - PAPER - 0.04%
432 Bemis Co., Inc................. 17,280
990 Temple-Inland Inc.............. 59,895
----------
77,175
----------
COSMETICS/TOILETRIES - 0.61%
999 Alberto-Culver Co. Class B..... 28,472
1,957 Avon Products, Inc............. 124,759
9,446 Gillette Co.................... 839,513
2,071 International Flavors &
Fragrances, Inc............... 91,901
----------
1,084,645
----------
DRUGS - 4.29%
1,175 Allergan, Inc.................. $ 34,809
1,414 *ALZA Corp...................... 41,713
10,378 American Home Products Corp.... 791,323
4,526 *Amgen Inc...................... 302,676
992 Bausch & Lomb Inc.............. 39,928
16,814 *Bristol Myers Squibb Co........ 1,233,727
1,889 CVS Corp....................... 90,436
9,380 Eli Lilly and Co............... 872,340
20,437 Merck & Co., Inc............... 1,836,775
10,171 Pfizer, Inc.................... 1,046,342
9,311 Pharmacia & Upjohn, Inc........ 322,393
5,927 Schering-Plough Corp........... 537,875
4,518 Warner-Lambert Co.............. 455,189
----------
7,605,526
----------
ELECTRICAL EQUIPMENT - 2.44%
2,737 AMP Inc........................ 112,559
1,984 *Cabletron Systems, Inc......... 87,296
7,988 Emerson Electric Co............ 431,352
54,102 General Electric Co............ 3,266,408
850 *Intergraph Corp................ 6,003
810 National Service Industries,
Inc.......................... 35,539
798 Raychem Corp................... 59,152
550 Thomas & Betts Corp............ 27,981
11,102 Westinghouse Electric Corp..... 224,816
948 W. W. Grainger Inc............. 76,077
----------
4,327,183
----------
ELECTRONIC INSTRUMENTS - 0.12%
891 General Signal Corp............ 37,533
806 Perkin-Elmer Corp.............. 61,256
590 Tektronix, Inc................. 33,851
2,376 *Thermo Electron Corp........... 81,972
----------
214,612
----------
ENTERTAINMENT - 0.92%
1,939 *Harrah's Entertainment, Inc.... 36,114
2,366 Hasbro, Inc.................... 68,614
668 *King World Productions, Inc.... 25,134
4,261 Mattel, Inc.................... 127,297
10,063 Time Warner Inc................ 467,930
11,104 Walt Disney Co................. 909,140
----------
1,634,229
----------
FINANCE COMPANIES - 0.15%
2,556 Green Tree Financial Corp...... $ 89,460
1,778 Household International, Inc... 174,689
----------
264,149
----------
FOODS - 1.52%
8,113 Archer Daniels Midland Co...... 162,260
8,350 Campbell Soup Co............... 384,100
4,291 Conagra, Inc................... 257,996
2,669 CPC International Inc.......... 229,534
2,934 General Mills, Inc............. 185,576
6,434 H J Heinz Co................... 276,662
2,744 Hershey Foods Corp............. 154,007
3,366 Kellogg Co..................... 248,243
972 Pioneer Hi-Bred International,
Inc.......................... 67,797
2,419 Quaker Oats Co................. 99,784
2,000 Ralston Purina Co.............. 170,500
8,096 Sara Lee Corp.................. 330,924
2,076 Wm. Wrigley Jr. Co............. 123,003
----------
2,690,386
----------
FOOTWEAR - 0.20%
5,331 NIKE, Inc. Class B............. 303,867
995 *Reebok International Ltd....... 40,795
887 Stride Rite Corp............... 13,527
----------
358,189
----------
FREIGHT - 0.09%
2,074 *Federal Express Corp........... 108,626
1,363 Ryder System, Inc.............. 45,149
----------
153,775
----------
FUNERAL SERVICES - 0.09%
4,345 Service Corp. International.... 153,161
----------
GOLD MINING - 0.16%
6,383 Barrick Gold Corp.............. 161,171
1,600 Battle Mountain Gold Co........ 9,600
2,600 *Echo Bay Mines Ltd............. 15,925
1,971 Homestake Mining Co............ 27,348
4,279 Placer Dome Inc................ 78,092
----------
292,136
----------
</TABLE>
<PAGE> 60
===============================================================================
May 31, 1997 TIMED OPPORTUNITY FUND - STATEMENT OF NET ASSETS CONTINUED 59
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
GOVERNMENT SPONSORED - 0.66%
12,080 Federal Home Loan Mortgage
Corp......................... $ 398,640
17,625 Federal National Mortgage
Association................... 768,891
----------
1,167,531
----------
HARDWARE & TOOLS - 0.09%
1,684 Black & Decker Corp............ 58,519
1,084 Snap-on Inc.................... 43,225
1,588 Stanley Works.................. 65,108
----------
166,852
----------
HEALTHCARE - 0.21%
5,168 *HealthSouth Corp............... 118,218
2,769 *Humana Inc..................... 62,649
3,405 United HealthCare Corp......... 192,383
----------
373,250
----------
HEAVY DUTY TRUCKS/PARTS - 0.15%
506 Cummins Engine Co., Inc........ 32,258
1,824 Dana Corp...................... 65,892
1,378 Eaton Corp..................... 109,896
527 *Navistar International Corp.... 8,761
1,188 PACCAR Inc..................... 53,757
----------
270,564
----------
HOME BUILDERS - 0.02%
516 Centex Corp.................... 20,576
695 Kaufman & Broad Home Corp...... 10,425
416 Pulte Corp..................... 13,156
----------
44,157
----------
HOSPITAL MANAGEMENT - 0.35%
1,800 *Beverly Enterprises, Inc....... 25,425
10,936 Columbia/HCA Healthcare Corp... 400,531
1,122 Manor Care, Inc................ 32,117
420 Shared Medical Systems Corp.... 22,260
5,381 *Tenet Healthcare Corp.......... 147,978
----------
628,311
----------
HOSPITAL SUPPLIES - 1.75%
12,924 Abbott Laboratories............ 814,212
119 Bard (C. R.), Inc.............. 3,808
4,110 Baxter International Inc....... 216,803
2,297 Becton, Dickinson and Co....... 113,127
HOSPITAL SUPPLIES - Continued
2,100 Biomet, Inc.................... $ 39,244
3,573 *Boston Scientific Corp......... 190,709
21,848 Johnson & Johnson.............. 1,308,149
1,322 Mallinckrodt, Inc.............. 49,410
3,816 Medtronic, Inc................. 282,384
1,447 *St. Jude Medical, Inc.......... 49,017
1,122 United States Surgical Corp.... 37,868
----------
3,104,731
----------
HOUSEHOLD PRODUCTS - 1.90%
724 Clorox Co...................... 91,405
5,216 Colgate-Palmolive Co........... 323,392
7,143 Minnesota Mining &
Manufacturing Co.............. 655,370
2,510 Newell Co...................... 96,008
11,369 Procter & Gamble Co............ 1,567,501
2,790 Rubbermaid, Inc................ 77,771
1,112 Tupperware Corp................ 40,310
2,708 Unilever N V - ADR............. 524,675
----------
3,376,432
----------
INFORMATION PROCESSING - 5.77%
1,300 Adobe Systems Inc.............. 58,012
1,603 *Amdahl Corp.................... 16,029
2,328 *Apple Computer, Inc............ 38,702
735 Autodesk, Inc.................. 28,572
5,129 Automatic Data Processing,
Inc.......................... 251,961
2,582 *Bay Networks, Inc.............. 63,258
1,432 *Ceridian Corp.................. 52,625
10,889 *Cisco Systems, Inc............. 737,729
3,001 Cognizant Corp................. 111,036
4,497 *Compaq Computer Corp........... 486,799
5,289 Computer Associates
International, Inc............ 289,572
1,435 *Computer Sciences Corp......... 111,032
614 *Data General Corp.............. 13,123
3,007 *Dell Computer Corp............. 338,287
2,310 *Digital Equipment Corp......... 82,870
4,561 *E M C Corp..................... 181,869
8,198 First Data Corp................ 327,919
1,959 H & R Block Inc................ 64,646
17,365 Hewlett Packard Co............. 894,297
2,365 Honeywell Inc.................. 172,053
16,674 International Business
Machines Corp................ 1,442,300
INFORMATION PROCESSING - Continued
1,002 Meredith Corp.................. $ 25,927
19,857 *Microsoft Corp................. 2,462,267
6,384 *Novell, Inc ................... 50,273
12,080 *Oracle Corp.................... 563,229
2,378 *Parametric Technology Corp..... 106,712
2,453 Pitney Bowes Inc............... 172,322
4,518 *Seagate Technology............. 183,543
3,199 *Silicon Graphics, Inc.......... 60,380
6,778 *Sun Microsystems, Inc.......... 218,590
1,710 *Tandem Computers Inc........... 24,367
3,244 *3Com Corp...................... 157,333
3,200 Unisys Corp.................... 21,999
5,983 Xerox Corp..................... 405,347
----------
10,214,980
----------
INSURANCE - CASUALTY - 0.23%
2,584 Chubb Corp..................... 157,624
2,353 SAFECO Corp.................... 102,356
1,483 St. Paul Companies, Inc........ 106,220
2,079 USF & G Corp................... 44,699
----------
410,899
----------
INSURANCE - LIFE - 0.46%
2,797 Aetna Inc...................... 282,497
3,098 Conseco Inc.................... 123,920
1,264 Jefferson-Pilot Corp........... 80,422
1,940 Lincoln National Corp.......... 118,098
735 Torchmark Corp................. 48,234
1,187 Transamerica Corp.............. 107,869
1,218 USLIFE Corp.................... 59,378
----------
820,418
----------
INSURANCE - MISCELLANEOUS - 0.29%
1,397 General Reinsurance Corp....... 244,824
772 MBIA, Inc...................... 82,894
953 MGIC Investment Corp........... 84,817
1,307 UNUM Corp...................... 103,416
----------
515,951
----------
INSURANCE - MULTILINE - 1.70%
7,946 Allstate Corp.................. 585,024
7,427 American International Group,
Inc.......................... 1,005,430
2,753 Aon Corp....................... 134,184
1,343 CIGNA Corp..................... 233,346
</TABLE>
<PAGE> 61
===============================================================================
60 TIMED OPPORTUNITY FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
INSURANCE - MULTILINE - Continued
2,203 Hartford Financial Services
Group........................ $ 171,834
1,542 March & McLennan Companies,
Inc........................... 203,159
1,674 Providian Corp................. 100,231
10,630 Travelers Group, Inc........... 583,321
----------
3,016,529
----------
LEISURE TIME - 0.03%
1,843 Brunswick Corp................. 56,212
----------
LODGING - 0.29%
2,899 *HFS, Inc....................... 156,184
3,710 Hilton Hotels Corp............. 104,808
2,093 *ITT Corp....................... 124,795
2,288 Marriott International, Inc.... 132,132
----------
517,919
----------
MACHINE TOOLS - 0.01%
644 Cincinnati Milacron Inc........ 14,893
----------
MACHINERY - AGRICULTURE - 0.18%
1,311 Case Corp...................... 77,349
4,670 Deere & Co..................... 238,754
----------
316,103
----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.25%
3,020 Caterpillar Inc................ 294,828
1,503 Fluor Corp..................... 79,471
726 Foster Wheeler Corp............ 28,133
879 Harnischfeger Industries Inc... 37,687
----------
440,119
----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.41%
517 Briggs & Stratton Corp......... 26,690
1,407 Cooper Industries, Inc......... 71,757
2,110 Dover Corp..................... 120,798
4,560 Illinois Tool Works Inc........ 226,290
1,423 Ingersoll-Rand Co.............. 77,554
1,487 Johnson Controls, Inc.......... 63,012
2,295 Pall Corp...................... 54,219
803 Parker Hannifin Corp........... 42,258
559 Timken Co...................... 38,361
----------
720,939
----------
MEDICAL TECHNOLOGY - 0.06%
1,403 Guidant Corp................... $ 108,908
----------
MERCHANDISE - DRUG - 0.16%
697 Longs Drug Stores Corp......... 16,554
2,081 Rite Aid Corp.................. 96,767
3,502 Walgreen Co.................... 163,719
----------
277,040
----------
MERCHANDISE - SPECIALTY - 0.77%
989 American Greetings Corp.
Class A...................... 33,873
1,351 Circuit City Stores, Inc....... 53,365
3,866 *CostCo Companies, Inc.......... 130,478
5,165 Gap, Inc....................... 176,901
8,004 Home Depot, Inc................ 504,252
2,506 Ikon Office Solutions Inc...... 72,674
191 Jostens, Inc................... 4,703
4,844 Limited, Inc................... 98,091
933 Nordstrom, Inc................. 44,784
1,041 Tandy Corp..................... 56,214
1,289 TJX Companies, Inc............. 61,872
4,333 *Toys "R" Us, Inc............... 134,865
----------
1,372,072
----------
MERCHANDISING - DEPARTMENT - 0.36%
3,876 Dayton Hudson Corp............. 186,533
2,030 Dillards, Inc. Class A......... 68,513
3,816 *Federated Deparment Stores,
Inc.......................... 141,192
4,357 May Department Stores Co....... 205,324
658 Mercantile Stores Co., Inc..... 35,368
----------
636,930
----------
MERCHANDISING - FOOD - 0.38%
4,603 Albertsons, Inc................ 154,201
2,621 American Stores Co............. 119,256
675 Fleming Companies, Inc......... 12,825
1,070 Giant Food Inc. Class A........ 35,243
683 Great Atlantic & Pacific Tea
Co., Inc..................... 18,868
4,642 *Kroger Co...................... 118,951
1,196 Supervalu Inc.................. 39,917
3,257 SYSCO Corp..................... 113,588
1,579 Winn-Dixie Stores, Inc......... 60,397
----------
673,246
----------
MERCHANDISING - MASS - 1.14%
7,272 *CUC International Inc..........$ 167,256
3,648 J.C. Penney Co., Inc........... 187,872
5,476 KMart Corp..................... 76,664
7,196 Sears Roebuck and Co........... 353,504
39,674 Wal-Mart Stores, Inc........... 1,180,302
2,461 *Woolworth Corp................. 59,372
----------
2,024,970
----------
METALS - ALUMINUM - 0.26%
4,043 Alcan Aluminium Ltd............ 145,043
3,190 Aluminum Co. of America........ 234,864
1,142 Reynolds Metals Co............. 77,513
----------
457,420
----------
METALS - COPPER - 0.11%
765 ASARCO Inc..................... 23,811
1,773 Newmont Mining Corp............ 69,369
1,159 Phelps Dodge Corp.............. 96,921
----------
190,101
----------
METALS - MISCELLANEOUS - 0.15%
1,666 Cyprus Amax Minerals Co........ 40,609
1,574 Engelhard Corp................. 34,038
3,453 Freeport-Mcmoran Copper &
Gold Inc. Class B............ 100,569
3,007 Inco Limited................... 99,231
----------
274,447
----------
METALS - STEEL - 0.15%
3,179 Allegheny Teldyne Inc.......... 81,859
1,995 Bethlehem Steel Corp........... 19,950
1,467 Nucor Corp..................... 86,553
1,515 USX-US Steel Group, Inc........ 48,859
1,800 Worthington Industries, Inc.... 33,300
----------
270,521
----------
MISCELLANEOUS - 0.31%
7,821 American Express Co............ 543,560
----------
MOBILE HOMES - 0.01%
635 Fleetwood Enterprises, Inc..... 17,145
----------
NATURAL GAS - DIVERSIFIED - 0.22%
1,781 Coastal Corp................... 89,273
363 Eastern Enterprises............ 12,524
</TABLE>
<PAGE> 62
===============================================================================
May 31, 1997 TIMED OPPORTUNITY FUND - STATEMENT OF NET ASSETS CONTINUED 61
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
NATURAL GAS - DIVERSIFIED - Continued
1,245 ENSEARCH Corp.................. $ 26,612
2,500 NorAm Energy Corp.............. 38,125
2,800 PanEnergy Corp................. 130,900
1,541 Sonat Inc...................... 88,608
----------
386,042
----------
OIL - INTEGRATED DOMESTIC - 1.29%
1,664 Amerada Hess Corp.............. 89,024
8,944 Amoco Corp..................... 799,370
1,162 Ashland Oil, Inc............... 55,631
2,554 Atlantic Richfield Co.......... 371,607
2,232 Burlington Resources, Inc..... 103,788
867 Kerr-McGee Corp................ 56,138
6,007 Occidental Petroleum Corp...... 139,663
1,573 *Oryx Energy Co................. 36,376
832 Pennzoil Co.................... 46,072
4,784 Phillips Petroleum Co.......... 203,320
900 *Santa Fe Energy Resources,
Inc.......................... 13,613
804 Sun Co., Inc................... 24,020
4,560 Unocal Corp.................... 194,370
5,111 USX-Marathon Group............. 152,052
----------
2,285,044
----------
OIL - INTEGRATED
INTERNATIONAL - 3.56%
11,359 Chevron Corp................... 795,130
39,828 Exxon Corp..................... 2,359,809
6,750 Mobil Corp..................... 944,156
8,648 Royal Dutch Petroleum Co.
- ADR........................ 1,688,522
4,837 Texaco Inc..................... 527,838
----------
6,315,455
----------
OIL - SERVICE - PRODUCTS - 0.27%
4,001 Schlumberger Ltd............... 476,619
----------
OIL - SERVICES - 0.28%
2,660 Baker Hughes Inc............... 99,750
3,177 Dresser Industries, Inc........ 108,812
2,007 Halliburton Co................. 155,292
981 McDermott International, Inc... 27,223
1,529 *Rowan Companies, Inc........... 35,358
958 *Western Atlas Inc.............. 65,024
----------
491,459
----------
OIL/GAS PRODUCERS - 0.08%
445 Helmerich & Payne, Inc......... $ 24,976
611 Louisiana Land & Exploration
Co........................... 31,467
3,211 Union Pacific Resources Group
Inc.......................... 92,718
----------
149,161
----------
PAPER/FOREST PRODUCTS - 0.89%
1,963 Avery Dennison Corp............ 73,858
666 Boise Cascade Corp............. 25,308
1,207 Champion International Corp.... 59,596
1,533 Georgia-Pacific Corp........... 135,287
4,862 International Paper Co......... 233,376
1,538 James River Corp. of Virginia.. 54,022
10,334 Kimberly-Clark Corp............ 517,992
2,043 Louisiana Pacific Corp......... 39,839
634 Mead Corp...................... 40,418
515 Potlatch Corp.................. 22,081
1,872 *Stone Container Corp........... 25,740
1,044 Union Camp Corp................ 54,810
1,221 Westvaco Corp.................. 38,156
3,644 Weyerhaeuser Co................ 181,745
989 Willamette Industries, Inc..... 73,681
----------
1,575,909
----------
PHOTOGRAPHY - 0.28%
5,834 Eastman Kodak Co............... 483,493
146 Polaroid Corp.................. 7,446
----------
490,939
----------
POLLUTION CONTROL - 0.25%
2,659 Browning-Ferris Industries Inc. 87,082
5,700 Laidlaw Inc. Class B........... 76,950
941 Safety-Kleen Corp.............. 14,703
8,331 Waste Management, Inc.......... 264,509
----------
443,244
----------
PUBLISHING - NEWS - 0.37%
1,727 Dow Jones & Co., Inc........... 67,137
2,619 Gannett Co., Inc............... 242,258
1,696 Knight-Ridder, Inc............. 73,140
1,729 New York Times Co. Class A..... 79,642
1,767 Times Mirror Co................ 99,173
2,201 Tribune Co..................... 95,193
----------
656,543
----------
PUBLISHING/PRINTING - 0.23%
1,519 Deluxe Corp.................... $ 49,368
3,086 Dun & Bradstreet Corp.......... 80,622
1,271 Harcourt General, Inc.......... 60,214
526 John H. Harland Co............. 12,032
1,878 McGraw-Hill, Inc............... 102,586
1,796 Moore Corp. Ltd................ 39,961
1,696 RR Donnelley & Sons Co......... 62,964
----------
407,747
----------
RAILROAD - 0.55%
2,833 Burlington Northern Santa Fe... 235,139
3,976 CSX Corp...................... 210,728
2,335 Norfolk Southern Corp.......... 226,787
4,346 Union Pacific Corp............. 294,442
----------
967,096
----------
RESTAURANTS - 0.37%
2,957 Darden Restaurants, Inc........ 24,765
11,361 McDonald's Corp................ 570,890
2,400 Wendy's International, Inc..... 56,100
----------
651,755
----------
SAVINGS & LOAN - 0.14%
625 Golden West Financial Corp..... 42,344
2,561 Great Western Financial Corp... 124,209
1,985 H.F. Ahmanson & Co............. 80,889
----------
247,442
----------
SECURITES RELATED - 0.46%
5,518 Dean Witter, Discover & Co..... 227,618
2,815 Merrill Lynch & Co., Inc....... 298,390
2,724 Morgan Stanley Group Inc....... 183,870
2,038 Salomon Inc.................... 109,288
----------
819,166
----------
SEMICONDUCTORS - 2.21%
2,557 *Advanced Micro Devices, Inc.... 102,280
3,133 *Applied Materials, Inc......... 204,428
13,901 Intel Corp..................... 2,106,002
2,210 *LSI Logic Corp................. 92,268
3,844 *Micron Technology, Inc......... 163,370
10,390 Motorola, Inc.................. 689,636
2,537 *National Semiconductor Corp.... 71,353
3,517 Rockwell International Corp.... 226,847
</TABLE>
<PAGE> 63
===============================================================================
62 TIMED OPPORTUNITY FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- -------------------------------------------------------
<S> <C> <C>
SEMICONDUCTORS - Continued
2,914 Texas Instruments Inc.......... $ 261,896
-----------
3,918,080
-----------
TELECOMMUNICATIONS - 1.16%
7,049 *Airtouch Communications, Inc... 196,491
3,484 ALLTEL Corp.................... 114,537
1,624 *Andrew Corp.................... 44,254
2,147 *DSC Communications Corp........ 54,883
2,978 Frontier Corp.................. 54,721
10,504 Lucent Technologies, Inc....... 668,317
3,917 Northern Telecom Ltd........... 329,028
1,381 Scientific-Atlanta, Inc........ 25,031
2,604 *Tellabs, Inc................... 130,851
14,968 *WorldCom, Inc.................. 443,427
-----------
2,061,540
-----------
TEXTILE - PRODUCTS - 0.01%
683 Russell Corp................... 20,917
-----------
TOBACCO - 1.12%
2,757 Fortune Brands, Inc............ 135,093
39,929 Philip Morris Cos Inc.......... 1,756,876
3,427 UST Inc........................ 97,670
-----------
1,989,639
-----------
TRUCKERS - 0.01%
700 Caliber System, Inc............ 22,400
-----------
UTILITIES - COMMUNICATION - 3.17%
29,854 AT & T Corp.................... 1,100,866
9,959 Ameritech Corp................. 652,315
5,506 Bell Atlantic Corp............. 385,420
16,527 BellSouth Corp................. 749,913
17,487 GTE Corp....................... 771,614
11,257 MCI Communications Corp........ 431,987
5,097 NYNEX Corp..................... 273,964
14,857 SBC Communications, Inc........ 869,135
7,920 Sprint Corp.................... 387,090
-----------
5,622,304
-----------
UTILITIES - ELECTRIC - 1.47%
3,449 American Electric Power, Inc... 140,547
2,698 Baltimore Gas and Electric Co.. 70,823
2,806 Carolina Power & Light Co...... 97,509
3,792 Central & South West Corp...... 80,580
UTILITIES - ELECTRIC - Continued
2,918 Cinergy Corp................... $ 102,130
4,299 Consolidated Edison Co. of
New York, Inc................. 125,208
3,308 Dominion Resources, Inc........ 114,540
2,593 DTE Energy Co.................. 69,039
3,602 Duke Power Co.................. 162,090
7,917 Edison International........... 185,060
4,227 Entergy Corp................... 111,487
2,670 FPL Group, Inc................. 124,155
2,154 GPU Inc........................ 75,390
4,315 Houston Industries, Inc........ 89,536
1,200 *Niagara Mohawk Power Corp...... 10,500
1,234 Northern States Power Co....... 60,466
2,826 Ohio Edison Co................. 60,053
4,835 P G & E Corp................... 111,809
3,000 P P & L Resources Inc.......... 60,375
5,445 PacifiCorp..................... 108,219
4,077 Peco Energy Co................. 77,463
4,381 Public Service Enterprise
Group........................ 108,430
12,108 Southern Co.................... 257,295
4,014 Texas Utilities Co............. 137,981
1,925 Union Electric Co.............. 70,502
-----------
2,611,187
-----------
UTILITIES - GAS, DISTRIBUTION - 0.02%
890 NICOR Inc...................... 30,594
-----------
UTILITIES - GAS, PIPELINE - 0.30%
987 Columbia Gas System, Inc....... 63,538
1,695 Consolidated Natural Gas Co.... 90,047
4,547 Enron Corp..................... 185,290
1,520 Pacific Enterprises............ 49,780
625 Peoples Energy Corp............ 22,188
2,913 Williams Companies, Inc........ 128,536
-----------
539,379
-----------
TOTAL COMMON STOCKS
(Cost $82,495,326)............. 108,735,366
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
-----
<S> <C>
CORPORATE BONDS - 18.33%
AUTO - CARS - 1.12%
$2,000,000 Ford Motor Co.,
7.25% due 10/01/08............ 1,987,740
-----------
BANKS - OTHER - 2.98%
$1,000,000 BankAmerica Corp.,
6.63% due 05/30/01............ $ 991,160
3,000,000 Malayan Banking Berhad,
7.13% due 09/15/05............ 2,952,600
1,500,000 Santander Finance Issuance,
6.38% due 02/15/11............ 1,348,725
-----------
5,292,485
-----------
BANKS - REGIONAL - 1.14%
2,000,000 NationsBank Corp.,
7.75% due 08/15/15............ 2,014,300
-----------
ENTERTAINMENT - 1.78%
3,000,000 News America Holdings, Inc.,
9.13% due 10/15/99............ 3,159,120
-----------
FINANCE COMPANIES - 5.89%
3,000,000 AT&T Capital Corp.,
6.80% due 02/01/01............ 2,989,830
2,000,000 CIT Group Holdings, Inc.,
6.63% due 06/28/99............ 2,005,300
1,000,000 Ford Motor Credit Co.,
6.25% due 11/08/00............ 983,810
1,500,000 GE Capital Mortgage Services,
6.46% due 02/25/01............ 1,492,734
3,000,000 International Lease Finance,
Corp., 6.45% due 09/11/00..... 2,972,520
-----------
10,444,194
-----------
HOSPITAL MANAGEMENT - 0.88%
1,650,000 Columbia/HCA Healthcare Corp.,
7.19% due 11/15/15............ 1,563,920
-----------
MERCHANDISING - MASS - 0.57%
1,000,000 Sears Roebuck, and Co.,
7.35% due 03/23/00............ 1,015,550
-----------
OIL - INTEGRATED
DOMESTIC - 1.12%
2,000,000 Union Oil California,
7.20% due 05/15/05............ 1,990,500
-----------
</TABLE>
<PAGE> 64
===============================================================================
May 31, 1997 TIMED OPPORTUNITY FUND - STATEMENT OF NET ASSETS CONTINUED 63
===============================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
<S> <C> <C>
SECURITIES RELATED - 1.17%
Bear Stearns Co. Inc:
$1,000,000 9.38% due 06/01/01........... $ 1,084,150
1,000,000 6.75% due 05/01/01........... 994,120
------------
2,078,270
------------
UTILITIES - COMMUNICATION - 1.07%
2,000,000 Bellsouth Telecommunications,
Inc., 7.00% due 10/01/25...... 1,895,340
------------
UTILITIES - GAS, PIPELINE - 0.61%
1,000,000 Williams Companies, Inc.,
8.88% due 09/15/12............ 1,087,800
------------
TOTAL CORPORATE BONDS
(Cost $32,981,637)............. 32,529,219
------------
UNITED STATES GOVERNMENT -
LONG TERM - 13.48%
GOVERNMENT SPONSORED - 3.68%
Federal Home Loan Mortgage
Corp (Pools/REMICS):
191,530 7.50% due 09/01/25........... 191,410
490,081 7.50% due 09/01/25........... 489,772
366,671 7.50% due 09/01/25........... 366,440
492,061 7.50% due 09/01/25........... 491,751
Federal National Mortgage
Association:
2,000,000 7.00% due 05/10/01........... 2,005,320
3,000,000 6.90% due 10/09/01........... 2,986,860
------------
6,531,553
------------
UNITED STATES NOTES - 9.80%
United States Treasury Notes:
1,500,000 8.13% due 08/15/19........... 1,686,795
1,000,000 8.00% due 08/15/99........... 1,035,310
2,000,000 7.25% due 05/15/16........... 2,057,820
1,000,000 6.75% due 05/31/99........... 1,010,000
4,000,000 6.50% due 08/15/05........... 3,961,240
2,200,000 6.38% due 04/30/99........... 2,207,216
1,500,000 6.25% due 02/15/03........... 1,479,615
2,000,000 5.75% due 12/31/98........... 1,990,620
1,000,000 5.75% due 08/15/03........... 959,370
1,000,000 5.50% due 04/15/00........... 978,120
------------
17,366,106
------------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $23,964,578)............. $ 23,897,659
------------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 6.30%
BANKS - REGIONAL - 1.52%
$2,701,000 BANC ONE CORP.,
5.55% due 06/02/97............ 2,700,582
------------
FINANCE COMPANIES - 2.02%
General Motors Acceptance Corp:
2,204,000 5.63% due 06/05/97........... 2,202,618
1,382,000 5.62% due 06/09/97........... 1,380,273
------------
3,582,891
------------
SECURITIES RELATED - 2.76%
Merrill Lynch & Co., Inc:
1,691,000 5.58% due 06/04/97........... 1,690,212
2,255,000 5.52% due 06/06/97........... 2,253,269
952,000 5.50% due 06/03/97 .......... 951,710
------------
4,895,191
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $11,178,664)............. 11,178,664
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.11%
U.S. TREASURY BILLS - 0.11%
200,000 United States Treasury Bills,
4.99% due 08/21/97
(Cost $197,751)............... 197,751
------------
TOTAL INVESTMENTS
(Cost $ 150,817,956) - 99.54%.. 176,538,659
Other assets less liabilities,
net - 0.46%................... 808,024
------------
NET ASSETS (equivalent
to $ 12.57 per share on
14,106,892 shares
outstanding) - 100%........... $177,346,683
============
</TABLE>
*Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- ---------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/97)
3(2) S&P 500 Index Futures
(June/$850.60)................ $ 102,600
----------
</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,
14,106,892 shares outstanding ............................ $ 141,069
Additional paid in capital ................................. 141,362,223
Undistributed net realized gain on securities .............. 9,979,602
Undistributed net investment income ........................ 40,486
Unrealized appreciation of:
Investments............................ $25,720,703
Futures ............................... 102,600 25,823,303
----------- ------------
NET ASSETS APPLICABLETOSHARES
OUTSTANDING............................................... $177,346,683
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 65
===============================================================================
64 TIMED OPPORTUNITY - FINANCIAL STATEMENTS
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends ................................................. $ 2,197,882
Interest .................................................. 4,673,462
-----------
Total investment income ................................. 6,871,344
-----------
EXPENSES:
Advisory fees ............................................. 900,822
Custodian and accounting services ......................... 71,329
Reports to shareholders ................................... 23,470
Audit fees and tax services ............................... 5,439
Directors' fees and expenses .............................. 4,572
Miscellaneous ............................................. 19,103
-----------
Total expenses .......................................... 1,024,735
NET INVESTMENT INCOME ..................................... 5,846,609
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments............................... $10,326,981
Futures contracts......................... 201,568 10,528,549
-----------
Net unrealized appreciation during the year:
Investments............................... 9,739,302
Futures contracts......................... 101,100 9,840,402
----------- -----------
Net realized and unrealized gain during the year........ 20,368,951
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS........... $26,215,560
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ................................................ $ 5,846,609 $ 6,782,286
Net realized gain on securities ...................................... 10,528,549 20,179,137
Net unrealized appreciation of securities during the year ............ 9,840,402 3,925,617
------------- -------------
Increase in net assets resulting from operations ................... 26,215,560 30,887,040
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (5,861,358) (6,883,971)
Net realized gain on securities ...................................... (19,664,171) (3,314,027)
------------- -------------
Decrease in net assets resulting from distributions
to shareholders ................................................... (25,525,529) (10,197,998)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ..................................... 3,274,322 4,919,015
Proceeds from capital stock issued for distributions reinvested ...... 25,525,529 10,197,998
------------- -------------
28,799,851 15,117,013
Cost of capital stock repurchased .................................... (42,167,070) (29,175,524)
------------- -------------
Decrease in net assets resulting from capital stock transactions ... (13,367,219) (14,058,511)
TOTAL INCREASE (DECREASE) IN NET ASSETS .............................. (12,677,188) 6,630,531
NET ASSETS:
Beginning of year .................................................... 190,023,871 183,393,340
------------- -------------
End of year (including undistributed net investment income
of $40,486 and $55,235) ............................................ $ 177,346,683 $ 190,023,871
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ......................................... 264,558 406,767
Shares issued for distributions reinvested ........................... 2,146,236 849,188
Shares of capital stock repurchased .................................. (3,446,167) (2,433,033)
------------- -------------
Decrease in shares outstanding ..................................... (1,035,373) (1,177,078)
Shares outstanding:
Beginning of year .................................................. 15,142,265 16,319,343
------------- -------------
End of year ........................................................ 14,106,892 15,142,265
============= =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 66
===============================================================================
May 31, 1997 CAPITAL CONSERVATION FUND - STATEMENT OF NET ASSETS 65
===============================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
<S> <C> <C>
CORPORATE BONDS - 83.99%
AIRLINES - 5.89%
$1,500,000 Delta Air Lines, Inc.,
9.75% due 5/15/21............. $1,766,760
2,000,000 Southwest Airlines Co.,
8.75% due 10/15/03............ 2,163,420
----------
3,930,180
----------
BANKS - OTHER - 7.22%
1,500,000 Bank of Boston Corp.,
8.25% due 12/15/26............ 1,495,635
1,000,000 BankAmerica Corp.,
7.20% due 4/15/06............. 994,520
1,500,000 Santander Finance Issuances,
7.25% due 11/1/15............. 1,416,510
1,000,000 Toronto Dominion Bank Ont,
6.125% due 11/1/08............ 910,090
----------
4,816,755
----------
BANKS - REGIONAL - 3.73%
1,500,000 Barnett Capital Inc.,
8.06% due 12/1/26............. 1,470,900
1,000,000 SouthTrust Corp.,
7.625% due 5/1/04............. 1,021,710
----------
2,492,610
----------
BROADCASTING - 2.95%
2,000,000 Viacom Inc,
7.75% due 6/1/05.............. 1,967,560
----------
BUILDING MATERIALS - 2.93%
2,000,000 CSR America Inc.,
6.875% due 7/21/05............ 1,956,580
----------
ENTERTAINMENT - 3.00%
2,000,000 News America Holdings Inc.,
8.25% due 8/10/18............. 2,001,360
----------
FINANCE COMPANIES - 13.09%
2,000,000 Capital One Bank,
8.125% due 3/1/00............. 2,062,040
1,000,000 CIT Group Holdings, Inc.,
8.375% due 11/1/01............ 1,054,590
2,000,000 Finova Capital Corp.,
9.125% due 2/27/02............ 2,169,900
FINANCE COMPANIES - Continued
$ 500,000 Ford Motor Credit Co.,
6.375% due 11/5/08............ $ 462,770
3,000,000 GE Capital Mortgage Services
Inc., 6.46% due 2/25/01....... 2,985,703
----------
8,735,003
----------
HOSPITAL MANAGEMENT - 2.18%
1,500,000 Columbia/HCA Healthcare
Corp., 7.50% due 12/15/23..... 1,457,670
----------
MERCHANDISE - DRUG - 0.71%
500,000 IMCERA Group Inc.,
6.00% due 10/15/03............ 473,445
----------
MERCHANDISING - DEPARTMENT - 3.31%
2,000,000 Associated Dry Goods Corp.,
8.85% due 3/1/06.............. 2,209,200
----------
MERCHANDISING - MASS - 4.63%
1,000,000 Sears Roebuck and Co.,
6.25% due 1/15/04............. 956,600
2,000,000 Wal-Mart Stores, Inc.,
9.10% due 7/15/00............. 2,136,040
----------
3,092,640
----------
METALS - STEEL - 3.04%
2,000,000 Pohang Iron & Steel Limited,
7.50% due 8/1/02.............. 2,027,520
----------
MISCELLANEOUS - 2.14%
1,500,000 Hertz Corp.,
6.00% due 1/15/03............. 1,425,645
----------
PAPER/FOREST PRODUCTS - 3.45%
2,000,000 Georgia-Pacific Corp.,
9.50% due 12/1/11............. 2,304,760
----------
SECURITIES RELATED - 5.15%
Lehman Brothers Holdings Inc.:
1,500,000 7.125% due 9/15/03............ 1,487,385
2,000,000 6.125% due 2/1/01............. 1,951,540
----------
3,438,925
----------
TELECOMMUNICATIONS - 3.02%
2,000,000 Airtouch Communications,
Inc., 7.50% due 7/15/06....... 2,013,020
----------
UTILITIES - COMMUNICATION - 5.56%
$2,500,000 Century Telephone Enterprises,
Inc., 7.20% due 12/1/25....... $2,349,775
1,500,000 GTE South, Inc.,
6.00% due 2/15/08............. 1,362,045
----------
3,711,820
----------
UTILITIES - ELECTRIC - 6.07%
1,000,000 Georgia Power Co.,
6.125% due 9/1/99............. 991,090
1,000,000 PSI Energy Inc.,
5.35% due 9/23/98............. 987,610
2,000,000 Tenaga Nasional Berhad,
7.875% due 6/15/04............ 2,075,800
----------
4,054,500
----------
UTILITIES - GAS, PIPELINE - 5.92%
2,000,000 Columbia Gas System, Inc.,
7.62% due 11/28/25............ 1,904,700
2,000,000 Enron Corp.,
7.625% due 9/10/04............ 2,050,060
----------
3,954,760
----------
TOTAL CORPORATE BONDS
(Cost $57,231,956)............. 56,063,953
----------
UNITED STATES GOVERNMENT -
LONG TERM - 13.26%
FEDERAL AGENCIES - 2.45%
Government National Mortgage
Association:
111,449 Pool #233862,
9.50% due 5/15/18............. 120,182
5,753 Pool #248341,
9.50% due 6/15/18............. 6,204
2,663 Pool #252064,
9.50% due 6/15/18............. 2,872
170,316 Pool #247397,
9.50% due 7/15/18............. 183,662
38,439 Pool #256190,
9.50% due 8/15/18............. 41,451
14,197 Pool #253172,
9.50% due 10/15/18............ 15,309
274,065 Pool #185210,
8.00% due 1/15/22............. 280,741
</TABLE>
<PAGE> 67
===============================================================================
66 CAPITAL CONSERVATION FUND - STATEMENT OF NET ASSETS CONTINUED May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
<S> <C> <C>
FEDERAL AGENCIES - Continued
$ 968,491 Pool #421496,
8.00% due 9/15/26............. $ 985,439
-----------
1,635,860
-----------
GOVERNMENT SPONSORED - 10.05%
1,000,000 Federal Home Loan Mortgage Corp.
(Pools/REMICS),
5.75% due 12/15/16............ 979,060
2,000,000 Federal National Mortgage
Association, 7.23%
due 3/30/06................... 1,964,680
Federal National Mortgage
Association (Pools/REMICS):
983,183 7.50% due 7/1/26.............. 980,725
945,033 7.00% due 5/1/11.............. 940,402
909,397 7.00% due 5/1/11.............. 904,941
941,209 7.00% due 6/1/11.............. 936,597
-----------
6,706,405
-----------
UNITED STATES NOTES - 0.76%
500,000 United States Treasury Notes,
6.875% due 5/15/06............ 506,640
-----------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $8,793,748).............. 8,848,905
-----------
FOREIGN GOVERNMENT
BOND - 0.76%
CANADA - 0.76%
500,000 New Brunswick Province,
7.125% due 10/1/02
(Cost $495,392)............... 505,635
-----------
TOTAL INVESTMENTS
(Cost $66,521,096) - 98.01%.... 65,418,493
Other assets and liabilities,
net - 1.99% .................. 1,328,963
-----------
NET ASSETS (equivalent
to $9.31 per share on
7,168,057 shares
outstanding) - 100% .......... $66,747,456
===========
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
------------
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
7,168,057 shares outstanding............ $ 71,681
Additional paid in capital................ 68,530,834
Accumulated net realized loss on
securities.............................. (776,445)
Undistributed net investment income....... 23,989
Unrealized depreciation of securities..... (1,102,603)
------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $ 66,747,456
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 68
===============================================================================
CAPITAL CONSERVATION FUND - FINANCIAL STATEMENTS 67
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ................................................... $4,962,895
----------
EXPENSES:
Advisory fees .............................................. 347,154
Custodian and accounting services .......................... 27,014
Reports to shareholders .................................... 8,609
Audit fees and tax services ................................ 2,108
Directors' fees and expenses ............................... 1,787
Miscellaneous .............................................. 5,966
----------
Total expenses ........................................... 392,638
NET INVESTMENT INCOME ...................................... 4,570,257
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized loss on:
Investments......................................$(28,682)
Futures contracts................................ (99,075) (127,757)
--------
Net unrealized appreciation during the year:
Investments...................................... 724,354
Futures contracts................................ 36,094 760,448
-------- ----------
Net realized and unrealized gain on securities
during the year......................................... 632,691
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............ $5,202,948
==========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income ...................................... $ 4,570,257 $ 4,543,523
Net realized gain (loss) on securities ..................... (127,757) 2,248,102
Net unrealized appreciation (depreciation) of securities
during the year .......................................... 760,448 (4,541,924)
------------ ------------
Increase in net assets resulting from operations ........ 5,202,948 2,249,701
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ...................................... (4,560,074) (4,530,909)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ........................... 5,054,950 14,391,888
Proceeds from capital stock issued for distributions
reinvested ................................................ 4,560,074 4,530,909
------------ ------------
9,615,024 18,922,797
Cost of capital stock repurchased .......................... (13,722,282) (12,460,655)
------------ ------------
Increase (decrease) in net assets resulting from
capital stock transactions .............................. (4,107,258) 6,462,142
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS .................... (3,464,384) 4,180,934
NET ASSETS:
Beginning of year .......................................... 70,211,840 66,030,906
------------ ------------
End of year (including undistributed net investment
income of $23,989 and $13,806) ........................... $ 66,747,456 $ 70,211,840
============ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ............................... 540,826 1,491,047
Shares issued for distributions reinvested ................. 488,804 474,239
Shares of capital stock repurchased ........................ (1,466,062) (1,296,137)
------------ ------------
Increase (decrease) in shares outstanding ................ (436,432) 669,149
Shares outstanding:
Beginning of year ........................................ 7,604,489 6,935,340
------------ ------------
End of year .............................................. 7,168,057 7,604,489
============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 69
===============================================================================
68 GOVERNMENT SECURITIES FUND - STATEMENT OF NET ASSETS May 31, 1997
===============================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------
<S> <C> <C>
UNITED STATES GOVERNMENT -
LONG TERM - 97.33%
FEDERAL AGENCIES - 5.46%
$ 274,065 Government National Mortgage
Association Pool #185210,
8.00% due 1/15/22.............$ 280,741
Tennessee Valley Authority:
2,500,000 6.75% due 11/1/25............. 2,354,300
2,000,000 6.375% due 6/15/05............ 1,941,240
-----------
4,576,281
-----------
GOVERNMENT SPONSORED - 61.94%
Federal Farm Credit Banks:
1,150,000 7.10% due 11/2/02............. 1,170,481
1,500,000 6.92% due 5/13/02............. 1,513,830
Federal Home Loan Banks:
1,155,000 7.26% due 9/6/01.............. 1,179,902
2,000,000 6.60% due 4/13/99............. 2,009,380
3,000,000 5.695% due 12/19/00........... 2,917,980
Federal Home Loan Mortgage Corp.:
3,000,000 7.125% due 7/21/99............ 3,045,930
1,500,000 7.09% due 6/1/05.............. 1,481,010
1,500,000 6.90% due 3/26/03............. 1,482,885
3,500,000 6.705% due 11/9/05............ 3,389,540
1,500,000 6.37% due 1/23/06............. 1,426,170
Federal Home Loan Mortgage Corp.
(Pools/REMICS):
1,268,482 8.50% due 3/1/25.............. 1,315,048
1,016,815 8.00% due 2/1/25.............. 1,038,107
123,007 7.50% due 9/1/25.............. 122,929
442,173 7.50% due 9/1/25.............. 441,894
200,613 7.50% due 9/1/25.............. 200,486
2,000,000 7.00% due 9/15/23............. 1,980,000
175,000 5.50% due 2/25/19............. 166,359
Federal National Mortgage
Association:
1,000,000 9.05% due 4/10/00............. 1,065,940
2,000,000 7.27% due 8/24/05............. 1,990,000
3,500,000 7.17% due 6/12/01............. 3,507,105
2,300,000 6.90% due 10/9/01............. 2,289,926
2,000,000 6.85% due 9/12/05............. 1,951,880
1,000,000 6.78% due 7/28/00............. 996,250
3,000,000 6.45% due 6/10/03............. 2,907,180
2,000,000 6.41% due 3/8/06.............. 1,929,380
GOVERNMENT SPONSORED - Continued
Federal National Mortgage
Association:
$2,500,000 6.40% due 12/10/01............$ 2,454,300
5,000,000 6.00% due 3/26/99............. 4,978,900
Student Loan Marketing Association:
1,000,000 7.50% due 3/8/00.............. 1,025,310
2,000,000 5.88% due 2/6/01.............. 1,945,320
-----------
51,923,422
-----------
UNITED STATES BONDS,
NOTES & STRIPS - 29.93%
United States Treasury Bonds:
1,800,000 9.00% due 11/15/18............ 2,196,288
4,000,000 8.75% due 8/15/20............. 4,793,120
3,500,000 8.50% due 2/15/20............. 4,087,895
United States Treasury Notes:
1,000,000 8.25% due 7/15/98............. 1,024,690
2,500,000 6.75% due 4/30/00............. 2,525,400
1,000,000 6.375% due 1/15/00............ 1,002,030
6,000,000 5.875% due 11/15/99........... 5,942,820
3,000,000 5.75% due 8/15/03............. 2,878,110
1,500,000 United States Treasury Strips,
0.00% due 11/15/09............ 634,560
-----------
25,084,913
-----------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $81,839,788)............. 81,584,616
-----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.02%
SECURITIES RELATED - 1.02%
858,000 Merrill Lynch & Co., Inc.,
5.65% due 6/2/97
(Cost $857,865)............... 857,865
-----------
TOTAL INVESTMENTS
(Cost $82,697,653) - 98.35%.... 82,442,481
Other assets and liabilities,
net - 1.65% .................. 1,384,121
-----------
NET ASSETS (equivalent
to $9.67 per share on
8,672,214 shares
outstanding) - 100% .......... $83,826,602
===========
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
- -------------------------------------------------------
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
8,672,214 shares outstanding............ $ 86,722
Additional paid in capital................ 86,056,002
Accumulated net realized loss on securities (2,092,608)
Undistributed net investment income....... 31,658
Unrealized depreciation of securities..... (255,172)
-----------
NET ASSETS APPLICABLE TO
SHARES OUTSTANDING...................... $83,826,602
===========
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 70
===============================================================================
GOVERNMENT SECURITIES FUND - FINANCIAL STATEMENTS 69
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest............................................................. $ 5,558,419
-----------
EXPENSES:
Advisory fees........................................................ 417,356
Custodian and accounting services.................................... 29,457
Reports to shareholders.............................................. 11,112
Audit fees and tax services.......................................... 2,917
Directors' fees and expenses......................................... 2,072
Miscellaneous........................................................ 6,748
-----------
Total expenses..................................................... 469,662
NET INVESTMENT INCOME................................................ 5,088,757
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments.......................................... $ 92,038
Futures contracts.................................... (87,906) 4,132
-----------
Net unrealized appreciation during the year:
Investments.......................................... 461,189
Futures contracts.................................... 18,218 479,407
----------- -----------
Net realized and unrealized gain on securities during the year..... 483,539
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 5,572,296
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income ....................................... $ 5,088,757 $ 4,226,813
Net realized gain on securities ............................. 4,132 788,071
Net unrealized appreciation (depreciation) of securities
during the year ........................................... 479,407 (3,244,466)
------------ ------------
Increase in net assets resulting from operations ......... 5,572,296 1,770,418
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ....................................... (5,073,340) (4,221,098)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ............................ 11,299,725 29,935,878
Proceeds from capital stock issued for distributions
reinvested ............................................... 5,073,340 4,221,098
------------ ------------
16,373,065 34,156,976
Cost of capital stock repurchased ........................... (11,468,468) (7,457,426)
------------ ------------
Increase in net assets resulting from capital stock
transactions ............................................. 4,904,597 26,699,550
------------ ------------
TOTAL INCREASE IN NET ASSETS ................................ 5,403,553 24,248,870
NET ASSETS:
Beginning of year ........................................... 78,423,049 54,174,179
------------ ------------
End of year (including undistributed net investment
income of $31,658 and $16,241) ............................ $ 83,826,602 $ 78,423,049
============ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ................................ 1,165,828 3,005,467
Shares issued for distributions reinvested .................. 523,483 426,047
Shares of capital stock repurchased ......................... (1,180,771) (745,798)
------------ ------------
Increase in shares outstanding ............................ 508,540 2,685,716
Shares outstanding:
Beginning of year ......................................... 8,163,674 5,477,958
------------ ------------
End of year ............................................... 8,672,214 8,163,674
============ ============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 71
================================================================================
70 INTERNATIONAL GOVERNMENT BOND FUND - STATEMENT OF NET ASSETS May 31, 1997
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
<S><C> <C>
GOVERNMENT BONDS - 86.35%
AUSTRALIA - 2.62%
Commonwealth:
A$ 1,000,000 12.00% due 7/15/99........... $ 854,216
A$ 400,000 10.00% due 10/15/07.......... 356,950
A$ 500,000 9.75% due 3/15/02............ 424,614
A$ 500,000 9.00% due 9/15/04............ 417,777
A$ 500,000 8.75% due 1/15/01............ 408,778
A$ 750,000 7.50% due 7/15/05............ 576,356
A$ 500,000 7.50% due 9/15/09............ 379,641
A$ 500,000 7.00% due 4/15/00............ 389,066
A$ 300,000 South Australia Finance
Authority, 12.50%
due 5/8/01................... 270,632
A$ 400,000 South Australian Government,
7.75% due 4/15/98............ 309,810
A$ 200,000 State Bank of New South Wales,
7.00% due 6/30/99............ 154,524
A$ 150,000 State Bank of South Australia,
7.25% due 6/15/00............ 115,965
-----------
4,658,329
-----------
AUSTRIA - 2.46%
Republic of Austria:
As 2,500,000 8.50% due 2/21/01............ 236,355
DM 1,000,000 7.25% due 5/3/07............. 638,055
As 2,000,000 7.125% due 7/12/04........... 181,818
As 1,500,000 7.00% due 2/14/00............ 134,109
As 2,200,000 7.00% due 1/20/03............ 199,265
As 2,000,000 7.00% due 5/16/05............ 180,232
As 2,000,000 6.875% due 4/19/02........... 180,829
As 2,000,000 6.50% due 11/17/05........... 174,719
As 6,000,000 6.25% due 5/31/06............ 514,406
As 1,000,000 5.75% due 3/22/99............ 86,239
As 1,500,000 5.375% due 11/23/98.......... 128,283
Y. 100MM 4.75% due 12/20/04........... 978,961
Y. 50MM 4.50% due 9/28/05............ 488,407
As 3,000,000 4.375% due 2/28/02........... 245,918
-----------
4,367,596
-----------
BELGIUM - 3.61%
Kingdom of Belgium:
Bf10,000,000 10.00% due 8/2/00............ 330,575
Bf25,000,000 8.75% due 6/25/02............ 826,296
Bf10,000,000 8.00% due 12/24/12........... 324,398
Bf10,000,000 8.00% due 3/28/15............ 324,483
Bf10,000,000 7.75% due 12/22/00........... 313,403
Bf25,000,000 7.75% due 10/15/04........... 798,952
Bf20,000,000 7.50% due 7/29/08............ 627,203
Bf22,000,000 7.00% due 4/29/99............ 660,125
Bf15,000,000 7.00% due 5/15/06............ 457,183
Bf20,000,000 6.50% due 3/31/05............ 594,559
Bf20,000,000 6.25% due 3/28/07............ 576,141
Bf20,000,000 5.00% due 3/28/01............ 575,234
-----------
6,408,552
-----------
CANADA - 4.85%
C$ 800,000 British Columbia Province,
9.85% due 5/1/98............. 609,562
Government of Canada:
C$ 550,000 9.50% due 6/1/10............. 490,967
C$ 500,000 9.00% due 12/1/04............ 420,171
C$ 500,000 9.00% due 6/1/25............. 447,543
C$ 1,000,000 8.75% due 12/1/05............ 834,254
C$ 500,000 8.50% due 3/1/00............. 392,907
C$ 1,000,000 8.50% due 4/1/02............. 803,771
C$ 1,000,000 8.00% due 6/1/23............. 806,977
C$ 1,000,000 7.75% due 9/1/99............. 767,598
C$ 500,000 7.50% due 9/1/00............. 384,932
C$ 1,000,000 7.50% due 3/1/01............. 770,891
C$ 1,000,000 7.25% due 6/1/03............. 766,143
C$ 1,000,000 7.00% due 12/1/06............ 750,524
C$ 500,000 6.50% due 6/1/04............. 367,503
-----------
8,613,743
-----------
DENMARK - 3.21%
Kingdom of Denmark:
DK 2,500,000 9.00% due 11/15/98........... 409,837
DK 2,500,000 9.00% due 11/15/00........... 434,379
DK 5,000,000 8.00% due 11/15/01........... 853,932
DK 2,500,000 8.00% due 5/15/03............ 427,811
DK 3,000,000 8.00% due 3/15/06............ 509,041
DK 3,000,000 7.00% due 12/15/04........... 485,167
DK 1,250,000 7.00% due 11/10/24........... 183,526
L. 250,000 6.75% due 8/24/98............ 407,686
DK 2,000,000 6.00% due 12/10/99........... 318,007
DK 5,000,000 6.00% due 11/15/02........... 788,871
Ff 5,000,000 5.50% due 10/26/99........... 893,460
-----------
5,711,717
-----------
FINLAND - 1.96%
Republic of Finland:
FIM 1,000,000 11.00% due 1/15/99........... $ 215,487
FIM 2,000,000 10.00% due 9/15/01........... 462,739
FIM 1,000,000 9.50% due 3/15/04............ 233,008
L. 250,000 8.00% due 4/7/03............. 417,911
FIM 1,000,000 7.25% due 4/18/06............ 206,510
Ff 5,000,000 7.00% due 6/15/04............ 936,212
Y. 100MM 6.00% due 1/29/02............ 1,006,870
-----------
3,478,737
-----------
FRANCE - 4.56%
Government of France:
Ff 4,600,000 9.50% due 1/25/01............ 929,225
Ff 3,500,000 8.50% due 11/25/02........... 706,776
Ff 1,500,000 8.50% due 12/26/12........... 318,022
Ff 8,000,000 7.75% due 4/12/00............ 1,516,988
Ff 3,000,000 7.25% due 4/25/06............ 575,157
Ff 7,000,000 6.75% due 10/25/03........... 1,307,606
Ff 2,000,000 6.50% due 10/25/06........... 366,477
Ff 8,500,000 6.00% due 10/25/25........... 1,341,695
Ff 2,000,000 5.50% due 4/25/04............ 348,422
Ff 2,000,000 5.50% due 4/25/07............ 338,413
Ff 2,000,000 4.50% due 10/12/98........... 349,773
-----------
8,098,554
-----------
GERMANY - 11.83%
Federal Republic of Germany:
DM 1,000,000 7.75% due 10/1/02............ 657,480
DM 2,000,000 7.50% due 9/9/04............. 1,301,972
DM 3,100,000 7.125% due 12/20/02.......... 1,987,584
DM 2,000,000 7.00% due 1/13/00............ 1,257,036
DM 3,000,000 6.875% due 2/24/99........... 1,849,219
DM 1,000,000 6.75% due 7/15/04............ 627,114
DM 3,000,000 6.50% due 3/15/00............ 1,866,596
DM 3,000,000 6.50% due 7/15/03............ 1,864,490
DM 2,000,000 6.50% due 10/14/05........... 1,224,153
DM 1,000,000 6.25% due 4/26/06............ 601,135
DM 2,000,000 6.25% due 1/4/24............. 1,100,111
DM 2,500,000 6.00% due 2/20/98............ 1,490,551
DM 1,000,000 6.00% due 11/12/03........... 606,495
DM 1,000,000 6.00% due 1/4/07............. 588,380
DM 4,000,000 6.00% due 6/20/16............ 2,207,478
DM 2,000,000 5.00% due 1/14/99............ 1,196,419
</TABLE>
<PAGE> 72
================================================================================
May 31, 1997 INTERNATIONAL GOVERNMENT BOND FUND - 71
STATEMENT OF NET ASSETS CONTINUED
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
<S><C> <C>
GERMANY - Continued
DM 1,000,000 5.00% due 5/21/01............ $ 596,688
-----------
21,022,901
-----------
IRELAND - 0.57%
Republic of Ireland:
IL. 100,000 8.25% due 8/18/15........... 169,507
IL. 100,000 8.00% due 8/18/06........... 163,776
IL. 150,000 6.50% due 10/18/01.......... 230,282
IL. 150,000 6.25% due 4/1/99............ 227,228
IL. 150,000 6.25% due 10/18/04.......... 224,175
-----------
1,014,968
-----------
ITALY - 7.27%
Republic of Italy:
Lit 1,500MM 12.00% due 9/18/98........... 937,118
Lit 1,000MM 12.00% due 6/1/01............ 690,490
Lit 1,500MM 12.00% due 1/1/02............ 1,053,439
Lit 2,000MM 10.50% due 4/1/00............ 1,286,553
Lit 1,000MM 10.50% due 7/15/00........... 649,178
Lit 500MM 10.50% due 4/1/05............ 345,864
Lit 500MM 10.50% due 9/1/05............ 348,225
Lit 3,400MM 10.00% due 8/1/03............ 2,276,031
Lit 500MM 9.50% due 1/1/05............. 329,015
Lit 500MM 9.50% due 2/1/06............. 333,147
Lit 2,000MM 9.00% due 11/1/23............ 1,299,537
Lit 2,000MM 8.50% due 1/1/99............. 1,210,894
Lit 1,000MM 8.50% due 4/1/99............. 607,454
Lit 500MM 8.50% due 8/1/99............. 304,170
Lit 1,000MM 8.50% due 4/1/04............. 627,519
Lit 1,000MM 8.50% due 8/1/04............. 627,643
-----------
12,926,277
-----------
JAPAN - 20.59%
Government of Japan:
Y. 250MM 6.60% due 6/20/01............ 2,551,739
Y. 320MM 6.40% due 3/20/00............ 3,127,454
Y. 105MM 6.00% due 12/20/01........... 1,062,263
Y. 365MM 5.50% due 3/20/02............ 3,640,597
Y. 120MM 5.00% due 12/20/02........... 1,184,749
Y. 100MM 5.00% due 9/21/09............ 1,037,355
Y. 100MM 5.00% due 3/20/15............ 1,053,156
Y. 250MM 4.90% due 9/20/99............ 2,325,032
Y. 130MM 4.80% due 6/21/99............ 1,198,858
Y. 170MM 4.60% due 6/22/98............ 1,518,102
JAPAN - Continued
Y. 127MM 4.50% due 6/20/03............ $ 1,229,866
Y. 75MM 4.50% due 12/20/04........... 733,383
Y. 150MM 4.40% due 9/22/03............ 1,447,574
Y. 200MM 4.20% due 9/21/15............ 1,920,137
Y. 150MM 4.10% due 6/21/04............ 1,427,995
Y. 100MM 3.90% due 6/21/04............ 941,005
Y. 100MM 3.80% due 9/20/16............ 911,464
Y. 250MM 3.50% due 3/21/16............ 2,191,498
Y. 100MM 3.30% due 6/20/06............ 902,447
Y. 200MM 3.20% due 3/20/06............ 1,791,842
Y. 250MM 3.00% due 9/20/05............ 2,213,826
Y. 150MM 2.90% due 12/20/05........... 1,315,543
Y. 100MM 2.70% due 3/20/07............ 856,677
-----------
36,582,562
-----------
NETHERLANDS - 4.39%
Government of the Netherlands:
NG 1,050,000 9.00% due 10/16/00........... 623,719
NG 1,000,000 8.75% due 9/15/01............ 600,780
NG 500,000 8.50% due 3/15/01............ 295,059
NG 500,000 8.25% due 2/15/02............ 296,749
NG 500,000 8.25% due 6/15/02............ 298,179
NG 500,000 8.25% due 2/15/07............ 306,372
NG 1,500,000 7.75% due 3/1/05............. 885,176
NG 500,000 7.50% due 6/15/99............ 278,414
NG 500,000 7.50% due 4/15/10............ 293,758
NG 750,000 7.50% due 1/15/23............ 436,151
NG 1,250,000 6.50% due 7/15/98............ 670,676
NG 1,250,000 6.50% due 4/15/03............ 694,083
NG 1,500,000 6.00% due 1/15/06............ 795,058
NG 2,000,000 5.75% due 1/15/04............ 1,062,159
NG 500,000 5.75% due 2/15/07............ 259,168
-----------
7,795,501
-----------
PORTUGAL - 0.30%
Ff 3,000,000 Republic of Portugal,
6.625% due 5/13/08........... 540,946
-----------
SPAIN - 4.38%
Government of Spain:
Pst 40MM 12.25% due 3/25/00........... 325,457
Pst 55MM 11.45% due 8/30/98........... 407,843
Pst 100MM 10.50% due 10/30/03.......... 846,154
Pst 100MM 10.30% due 6/15/02........... 822,842
SPAIN - Continued
Pst 100MM 10.15% due 1/31/06........... $ 851,204
Pst 100MM 10.10% due 2/28/01........... 796,693
Pst 50MM 10.00% due 2/28/05........... 418,494
Pst 50MM 8.30% due 12/15/98........... 361,130
Pst 70MM 8.20% due 2/28/09............ 535,701
Pst 80MM 8.00% due 5/30/04............ 610,127
Pst 150MM 7.40% due 7/30/99............ 1,083,495
Pst 50MM 6.75% due 4/15/00............ 358,865
Ff 2,000,000 6.50% due 6/20/01............ 368,424
-----------
7,786,429
-----------
SWEDEN - 2.97%
Kingdom of Sweden:
SK 4,000,000 13.00% due 6/15/01........... 643,890
SK 3,500,000 11.00% due 1/21/99........... 492,990
SK 3,000,000 10.25% due 5/5/00............ 435,150
SK 6,000,000 10.25% due 5/5/03............ 914,158
SK 5,000,000 9.00% due 4/20/09............ 736,389
SK 3,000,000 8.00% due 8/15/07............ 413,274
SK 6,000,000 6.00% due 2/9/05............. 734,983
Y. 100MM 3.875% due 6/21/99........... 903,821
-----------
5,274,655
-----------
SWITZERLAND - 0.64%
Government of Switzerland:
Chf 500,000 4.50% due 7/8/02............. 387,144
Chf 500,000 4.50% due 4/8/06............. 385,661
Chf 500,000 4.00% due 3/10/99............ 368,363
-----------
1,141,168
-----------
UNITED KINGDOM - 8.80%
Government of United Kingdom:
L. 250,000 10.00% due 2/26/01........... 447,049
L. 500,000 9.75% due 8/27/02............ 909,051
L. 325,000 9.00% due 3/3/00............. 557,406
L. 400,000 9.00% due 10/13/08........... 741,044
L. 250,000 9.00% due 7/12/11............ 469,542
L. 400,000 9.00% due 8/6/12............. 754,131
L. 750,000 8.75% due 8/25/17............ 1,410,161
L. 500,000 8.50% due 12/7/05............ 884,002
L. 500,000 8.00% due 12/7/00............ 842,211
L. 550,000 8.00% due 6/10/03............ 936,835
L. 500,000 8.00% due 9/25/09............ 862,148
L. 500,000 8.00% due 12/7/15............ 877,229
</TABLE>
<PAGE> 73
================================================================================
72 INTERNATIONAL GOVERNMENT BOND FUND May 31, 1997
STATEMENT OF NET ASSETS CONTINUED
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------------------------------------------------------
<S><C> <C>
UNITED KINGDOM - Continued
L. 750,000 8.00% due 6/7/21............. $ 1,330,220
L. 500,000 7.50% due 12/7/06............ 833,009
L. 100,000 7.25% due 3/30/98............ 164,301
L. 500,000 7.00% due 11/6/01............ 816,139
L. 750,000 6.75% due 11/26/04........... 1,200,822
L. 1,000,000 6.00% due 8/10/99............ 1,608,253
------------
15,643,553
------------
UNITED STATES - 1.34%
DM 4,000,000 Federal National Mortgage
Association,
5.00% due 2/16/01............ 2,375,519
------------
TOTAL GOVERNMENT BONDS
(Cost $158,485,988)........... 153,441,707
------------
SUPRANATIONAL - 6.72%
Asian Development Bank:
Y. 50MM 5.00% due 2/5/03............. 491,627
Y. 150MM 3.125% due 6/29/05........... 1,336,410
Eurofima:
Ff 5,000,000 9.875% due 8/21/00........... 1,005,481
Ff 1,600,000 9.25% due 12/18/03........... 334,222
L. 250,000 7.50% due 2/5/98............. 410,242
European Investment Bank:
Lit 400MM 10.50% due 4/30/98........... 243,737
Lit 1,100MM 10.50% due 2/7/02............ 770,088
L. 250,000 9.00% due 5/14/02............ 439,776
Ff 5,000,000 6.75% due 5/14/98............ 889,404
Y. 25MM 6.625% due 3/15/00........... 244,740
Ff 2,000,000 6.125% due 10/8/04........... 358,466
Y. 100MM 4.625% due 2/26/03........... 967,153
Y. 100MM 3.00% due 9/20/06............ 877,523
Y. 55MM Inter America Development Bank,
6.75% due 2/20/01............ 555,550
International Bank for
Reconstruction & Development:
Lit 150MM 10.80% due 11/13/01.......... 105,399
Lit 1,000MM 10.625% due 3/27/98.......... 608,604
Lit 200MM 9.45% due 8/11/03............ 131,957
L. 400,000 9.25% due 7/20/07............ 742,680
Y. 100MM 4.50% due 3/20/03............ 964,470
Y. 50MM 4.50% due 6/20/00............ 466,670
------------
TOTAL SUPRANATIONAL
(Cost $12,949,762)............ $ 11,944,199
------------
CORPORATE BONDS - 4.03%
FRANCE - 3.63%
Credit Local de France:
Ff 2,500,000 9.25% due 12/7/99............ 484,341
Lit 2,000MM 9.00% due 6/14/01............ 1,268,848
Ff 5,000,000 8.875% due 6/10/02........... 1,009,810
Ff 3,000,000 6.25% due 9/27/05............ 535,102
Ff 4,000,000 6.00% due 11/15/01........... 721,699
Ff10,000,000 Elf Aquitaine SA,
7.125% due 8/11/03........... 1,881,083
Ff 3,000,000 Toyota Motor Credit,
6.25% due 4/11/02............ 547,765
------------
6,448,648
------------
NETHERLANDS - 0.23%
NG 750,000 Aegon NV,
7.125% due 9/1/98............ 405,074
------------
SWITZERLAND - 0.17%
Lit 500MM Union Bank of Switzerland AG,
9.25% due 8/23/00............ 315,737
------------
TOTAL CORPORATE BONDS
(Cost $7,604,776)............. 7,169,459
------------
TOTAL INVESTMENTS
(Cost $179,040,526) - 97.10%.. 172,555,365
Other assets and liabilities,
net - 2.90% ................. 5,153,432
------------
NET ASSETS (equivalent
to $11.33 per share on
15,679,563 shares
outstanding) - 100% ......... $177,708,797
============
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
15,679,563 shares outstanding........... $ 156,796
Additional paid in capital................ 183,937,011
Undistributed net realized gain on
securities.............................. 136,607
Undistributed net investment income....... 84,875
Unrealized depreciation of securities and
foreign currency translation............ (6,606,492)
------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $177,708,797
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 74
================================================================================
INTERNATIONAL GOVERNMENT BOND FUND - FINANCIAL STATEMENTS 73
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of $291,931).............. $ 9,457,681
-----------
EXPENSES:
Advisory fees ....................................................... 833,117
Custodian and accounting services.................................... 55,093
Reports to shareholders.............................................. 23,033
Audit fees and tax services.......................................... 6,205
Directors' fees and expenses......................................... 3,967
Miscellaneous........................................................ 13,825
-----------
Total expenses..................................................... 935,240
-----------
NET INVESTMENT INCOME................................................ 8,522,441
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Securities........................................... $ 229,409
Foreign currency transactions........................ (375,371) (145,962)
----------- -----------
Net unrealized depreciation during the year:
Securities........................................... (7,142,937)
Foreign currency translation......................... (67,518) (7,210,455)
----------- -----------
Net realized and unrealized loss on securities and
foreign currencies during the year.............................. (7,356,417)
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 1,166,024
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income ..................................................... $ 8,522,441 $ 6,255,004
Net realized gain (loss) on securities and foreign currency
transactions ............................................................ (145,962) 795,235
Net unrealized depreciation of securities and
translation of foreign currencies during the year ....................... (7,210,455) (8,649,971)
----------------------------------
Increase (decrease) in net assets resulting from operations ............ 1,166,024 (1,599,732)
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ..................................................... (8,295,746) (6,585,664)
Net realized gain on securities ........................................... (295,588) (127,626)
----------------------------------
Decrease in net assets resulting from distributions
to shareholders ........................................................ (8,591,334) (6,713,290)
----------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold .......................................... 72,164,939 95,539,705
Proceeds from capital stock issued for distributions reinvested ........... 8,591,334 6,713,290
----------------------------------
80,756,273 102,252,995
Cost of capital stock repurchased ......................................... (38,005,431) (29,290,511)
----------------------------------
Increase in net assets resulting from capital stock transactions ........ 42,750,842 72,962,484
----------------------------------
TOTAL INCREASE IN NET ASSETS .............................................. 35,325,532 64,649,462
NET ASSETS:
Beginning of year ......................................................... 142,383,265 77,733,803
----------------------------------
End of year (including undistributed net investment income
of $84,875 and $151,884) ................................................ $ 177,708,797 $ 142,383,265
==================================
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold .............................................. 6,113,938 7,828,955
Shares issued for distributions reinvested ................................ 729,242 556,598
Shares of capital stock repurchased ....................................... (3,236,292) (2,423,786)
----------------------------------
Increase in shares outstanding .......................................... 3,606,888 5,961,767
Shares outstanding:
Beginning of year ....................................................... 12,072,675 6,110,908
----------------------------------
End of year ............................................................. 15,679,563 12,072,675
==================================
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 75
================================================================================
74 MONEY MARKET FUND - STATEMENT OF NET ASSETS May 31, 1997
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -------------------------------------------------------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 89.25%
BANKS - REGIONAL - 1.95%
$ 2,500,000 BANC ONE CORP.,
5.57% due 6/19/97............ $ 2,493,038
-----------
BEVERAGE - SOFT DRINKS - 3.00%
Pepsico Inc.:
1,847,000 5.50% due 6/16/97............ 1,842,767
2,000,000 5.47% due 6/18/97............ 1,994,834
-----------
3,837,601
-----------
CHEMICAL - MAJOR - 5.87%
E.I. du Pont de Nemours
and Co.:
855,000 5.52% due 7/9/97............. 850,018
1,600,000 5.32% due 7/16/97............ 1,589,360
2,100,000 5.27% due 7/8/97............. 2,088,626
3,000,000 PPG Industries, Inc.,
5.52% due 6/12/97............ 2,994,940
-----------
7,522,944
-----------
CONSUMER FINANCE - 15.49%
Associates Corp. of North
America:
1,700,000 5.61% due 7/21/97............ 1,686,754
1,250,000 5.61% due 7/28/97............ 1,238,897
950,000 5.36% due 6/18/97............ 947,595
Beneficial Corp.:
2,000,000 5.62% due 8/4/97............. 1,980,018
900,000 5.59% due 8/11/97............ 890,078
1,200,000 5.58% due 8/28/97............ 1,183,632
1,100,000 5.56% due 6/30/97............ 1,095,073
Commercial Credit Corp.:
610,000 5.70% due 3/1/98............. 609,558
1,800,000 5.61% due 7/14/97............ 1,787,938
957,000 5.61% due 8/1/97............. 947,903
1,800,000 5.54% due 6/19/97............ 1,795,014
Sears Roebuck Acceptance
Corp.:
1,024,000 5.63% due 7/23/97............ 1,015,673
1,000,000 5.60% due 8/20/97............ 987,556
750,000 5.60% due 8/27/97............ 739,850
1,350,000 5.52% due 6/30/97............ 1,343,997
1,600,000 5.34% due 6/2/97............. 1,599,763
-----------
19,849,299
-----------
DRUGS - 3.21%
Schering Corp.:
$ 1,200,000 5.70% due 10/21/97........... $ 1,173,020
1,000,000 5.50% due 7/1/97............. 995,416
1,950,000 5.42% due 6/10/97............ 1,947,358
-----------
4,115,794
-----------
ELECTRICAL EQUIPMENT - 2.69%
General Electric Co.:
2,000,000 5.67% due 10/20/97........... 1,955,585
1,500,000 5.61% due 7/31/97............ 1,485,975
-----------
3,441,560
-----------
ENTERTAINMENT - 1.55%
1,000,000 Mattel, Inc.,
5.72% due 7/17/97............ 992,691
1,000,000 Walt Disney Co.,
5.60% due 8/8/97............. 989,422
-----------
1,982,113
-----------
FINANCE COMPANIES - 20.07%
CIESCO L P:
1,500,000 5.57% due 7/17/97............ 1,489,324
1,900,000 5.55% due 7/22/97............ 1,885,061
1,470,000 5.33% due 6/3/97............. 1,469,565
CIT Group Holdings, Inc.:
1,000,000 5.60% due 8/13/97............ 988,644
1,500,000 5.37% due 6/23/97............ 1,495,078
1,500,000 5.31% due 6/13/97............ 1,497,345
2,032,000 5.30% due 6/9/97............. 2,029,607
Ford Motor Credit Co.:
1,221,000 5.66% due 10/6/97............ 1,196,620
900,000 5.62% due 8/27/97............ 887,777
General Electric Capital
Corp.:
1,000,000 5.68% due 11/28/97........... 971,600
450,000 5.43% due 7/18/97............ 446,810
824,000 5.35% due 6/16/97............ 822,163
General Motors Acceptance
Corp.:
2,000,000 5.62% due 7/10/97............ 1,987,823
3,000,000 5.60% due 6/17/97............ 2,992,533
International Lease Finance
Corp.:
1,000,000 5.65% due 9/12/97............ 983,835
1,205,000 5.60% due 7/30/97............ 1,193,941
2,000,000 5.30% due 6/4/97............. 1,999,117
$ 1,387,000 5.23% due 6/24/97............ $ 1,382,365
-----------
25,719,208
-----------
FOODS - 1.16%
1,500,000 Kellogg Co,
5.48% due 7/16/97............ 1,489,725
-----------
HOSPITAL SUPPLIES - 1.17%
1,500,000 Abbott Laboratories,
5.48% due 6/3/97............. 1,499,543
-----------
INFORMATION PROCESSING - 3.42%
International Business
Machines Corp.:
1,000,000 5.65% due 1/22/98............ 999,382
1,200,000 5.56% due 6/26/97............ 1,195,367
2,200,000 5.54% due 7/7/97............. 2,187,812
-----------
4,382,561
-----------
INSURANCE - MULTILINE - 2.86%
Marsh & McLennan Companies,
Inc.:
1,200,000 5.70% due 9/5/97............. 1,181,760
1,000,000 5.64% due 9/9/97............. 984,333
1,000,000 5.36% due 6/25/97............ 996,427
500,000 5.30% due 7/3/97............. 497,644
-----------
3,660,164
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 3.14%
4,020,000 Cooper Industries, Inc.,
5.67% due 6/2/97............. 4,019,367
-----------
OIL - INTEGRATED DOMESTIC - 1.92%
2,500,000 Atlantic Richfield Co.,
5.56% due 9/15/97............ 2,459,072
-----------
SECURITIES RELATED - 4.35%
Merrill Lynch & Co., Inc.:
1,200,000 5.74% due 10/1/97............ 1,176,657
850,000 5.70% due 10/9/97............ 832,504
900,000 5.70% due 10/16/97........... 880,478
1,600,000 5.70% due 11/25/97........... 1,555,160
450,000 5.68% due 10/17/97........... 440,202
700,000 5.45% due 9/11/97............ 689,191
-----------
5,574,192
-----------
</TABLE>
<PAGE> 76
================================================================================
May 31, 1997 MONEY MARKET FUND - STATEMENT OF NET ASSETS 75
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------------------------------------------------
<S> <C> <C>
TOBACCO - 4.41%
Philip Morris Cos Inc.:
$ 1,500,000 5.60% due 6/23/97............ $ 1,494,867
1,000,000 5.58% due 8/27/97............ 986,515
3,179,000 5.29% due 6/11/97............ 3,174,328
------------
5,655,710
------------
UTILITIES - COMMUNICATION - 7.95%
1,600,000 Bellsouth Telecommunications,
Inc.,
5.30% due 6/4/97............. 1,599,293
GTE Corp.:
1,000,000 5.59% due 6/20/97............ 997,050
2,100,000 5.57% due 6/2/97............. 2,099,675
2,700,000 5.56% due 6/10/97............ 2,696,247
2,800,000 Pacific Bell,
5.52% due 6/5/97............. 2,798,283
------------
10,190,548
------------
UTILITIES - ELECTRIC - 5.04%
Pacific Gas & Electric Co.:
400,000 5.56% due 6/26/97............ 398,456
1,000,000 5.00% due 10/7/97............ 997,638
Southern California Edison Co.:
1,500,000 5.59% due 7/15/97............ 1,489,752
1,979,000 5.54% due 6/5/97............. 1,977,782
1,600,000 5.51% due 6/5/97............. 1,599,020
------------
6,462,648
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $114,355,087)........... 114,355,087
------------
FOREIGN GOVERNMENT BONDS - 2.54%
CANADA - 2.54%
British Columbia Province:
1,500,000 5.66% due 8/26/97............ 1,479,718
350,000 5.65% due 9/10/97............ 344,452
1,433,000 5.31% due 6/12/97............ 1,430,675
------------
3,254,845
------------
TOTAL FOREIGN GOVERNMENT
BONDS
(Cost $3,254,845)............. 3,254,845
------------
CORPORATE SHORT TERM
OBLIGATIONS - 3.91%
SECURITIES RELATED - 3.91%
Bear Stearns Co. Inc.:
$2,000,000 Floating rate note due 6/2/97,
5.72% at 5/31/97.............. $ 2,000,000
3,000,000 Floating rate note due 6/27/97,
5.6675% at 5/31/97............ 3,000,000
------------
TOTAL CORPORATE SHORT
TERM OBLIGATIONS
(Cost $5,000,000)............. 5,000,000
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 7.80%
1,000,000 Federal Farm Credit Banks,
5.51% due 1/2/98............. 999,178
Federal Home Loan Banks:
2,000,000 5.875% due 6/27/97........... 2,000,175
1,000,000 5.875% due 2/5/98............ 1,000,000
1,000,000 5.65% due 8/12/97............ 1,000,000
1,000,000 5.46% due 12/12/97........... 999,490
Federal National Mortgage
Association:
1,000,000 5.765% due 6/20/97........... 1,000,065
1,000,000 5.60% due 1/16/98............ 999,278
1,000,000 5.42% due 12/16/97........... 998,830
1,000,000 5.40% due 12/5/97............ 999,508
------------
9,996,524
------------
TOTAL UNITED STATES
GOVERNMENT - SHORT TERM
(Cost $9,996,524)............. 9,996,524
------------
TOTAL INVESTMENTS
(Cost $132,606,456) - 103.50%. 132,606,456
Other assets and liabilities,
net - (3.50%) ............... (4,481,811)
------------
NET ASSETS (equivalent
to $1.00 per share on
128,124,645 shares
outstanding) - 100% ......... $128,124,645
============
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
128,124,645 shares outstanding.......... $ 1,281,246
Additional paid in capital................ 126,843,399
------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $128,124,645
============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 77
================================================================================
76 MONEY MARKET FUND - FINANCIAL STATEMENTS
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1997
<TABLE>
<S> <C>
INVESTMENT INCOME:
Interest ........................................................... $6,283,155
----------
EXPENSES:
Advisory fees ...................................................... 572,063
Custodian and accounting services .................................. 42,840
Reports to shareholders ............................................ 16,152
Audit fees and tax services ........................................ 4,285
Directors' fees and expenses ....................................... 2,622
Miscellaneous ...................................................... 7,550
----------
Total expenses ................................................... 645,512
----------
NET INVESTMENT INCOME .............................................. 5,637,643
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ................... $5,637,643
==========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1997 1996
----------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income ............................ $ 5,637,643 $ 4,331,892
Net realized gain on securities .................. -- 1,796
----------------------------------
Increase in net assets resulting from
operations................................... 5,637,643 4,333,688
----------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ............................ (5,637,643) (4,331,892)
----------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ................. 294,478,892 150,153,912
Proceeds from capital stock issued for
distributions reinvested ....................... 5,637,643 4,331,892
----------------------------------
300,116,535 154,485,804
Cost of capital stock repurchased ................ (255,609,535) (153,123,752)
----------------------------------
Increase in net assets resulting from
capital stock transactions ................... 44,507,000 1,362,052
----------------------------------
TOTAL INCREASE IN NET ASSETS ..................... 44,507,000 1,363,848
NET ASSETS:
Beginning of year ................................ 83,617,645 82,253,797
----------------------------------
End of year ...................................... $ 128,124,645 $ 83,617,645
==================================
CHANGE IN SHARES OUTSTANDING
Shares of capital stock sold ..................... 294,478,892 150,153,912
Shares issued for distributions reinvested ....... 5,637,643 4,331,892
Shares of capital stock repurchased .............. (255,609,535) (153,123,752)
----------------------------------
Increase in shares outstanding ................. 44,507,000 1,362,052
Shares outstanding:
Beginning of year .............................. 83,617,645 82,255,593
----------------------------------
End of year .................................... 128,124,645 83,617,645
==================================
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 78
===============================================================================
NOTES TO FINANCIAL STATEMENTS 77
===============================================================================
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.
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.
<PAGE> 79
===============================================================================
78 NOTES TO FINANCIAL STATEMENTS continued
===============================================================================
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.
On October 31, 1996, the Series entered into an accounting services
agreement with VALIC which appointed VALIC as Accounting Services Agent. Under
the agreement VALIC will provide, or cause to be provided, certain accounting
and administrative services to the Series. During the year ended May 31, 1997,
the Series paid VALIC $177,947 for such services provided directly by VALIC.
VALIC provided to the Series, at cost, certain services associated with
the printing of reports to shareholders. During the fiscal year ended May 31,
1997, the Series paid $14,185 for such services.
During the fiscal year ended May 31, 1997, 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 $18,552,714 $10,357,209
Stock Index Fund MidCap Index Fund 2,869,743 898,155
Small Cap Index Fund MidCap Index Fund 222,579 24,431
</TABLE>
At May 31, 1997, 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........................................96.88%
MidCap Index Fund....................................... 99.99
Small Cap Index Fund....................................100.00
International Equities Fund............................. 99.85
Growth Fund............................................. 99.65
Growth & Income Fund....................................100.00
Science & Technology Fund...............................100.00
Social Awareness Fund................................... 99.92
Timed Opportunity Fund.................................. 99.95
Capital Conservation Fund............................... 88.28 11.71
Government Securities Fund.............................. 99.99
International Government Bond Fund......................100.00
Money Market Fund....................................... 99.99
</TABLE>
Certain officers and directors of the Series are officers and directors of
VALIC or American General Corporation.
NOTE 4 - INVESTMENT ACTIVITY
The information in the following table is presented on the basis of cost
for federal income tax purposes at May 31,1997.
<TABLE>
<CAPTION>
IDENTIFIED COST GROSS GROSS
OF INVESTMENTS UNREALIZED UNREALIZED NET UNREALIZED
OWNED APPRECIATION DEPRECIATION APPRECIATION
--------------- -------------- ------------ -----------------
<S> <C> <C> <C> <C>
Stock Index Fund ...................... $1,369,004,299 $1,093,563,133 $22,939,285 $ 1,070,623,848
MidCap Index Fund ..................... 446,694,738 192,754,247 32,892,227 159,862,020
Small Cap Index Fund .................. 159,528,081 49,895,601 16,593,877 33,301,724
International Equities Fund ........... 142,338,365 49,620,737 14,010,791 35,609,946
Growth Fund ........................... 626,985,764 141,577,164 27,949,151 113,628,013
Growth & Income Fund .................. 164,338,119 47,553,041 2,258,925 45,294,116
Science & Technology Fund ............. 670,314,391 138,673,519 21,842,133 116,831,386
Social Awareness Fund ................. 129,212,877 26,488,788 554,203 25,934,585
Timed Opportunity Fund ................ 151,494,008 26,592,551 1,445,300 25,147,251
Capital Conservation Fund ............. 66,521,096 360,926 1,463,529 (1,102,603)
Government Securities Fund ............ 82,703,670 824,489 1,085,678 (261,189)
International Government
Bond Fund .......................... 179,040,526 4,517,896 11,003,057 (6,485,161)
Money Market Fund ..................... 132,606,456 - - -
</TABLE>
The following net realized capital loss carryforwards at May 31, 1997, may
be utilized to offset future capital gains.
<TABLE>
<CAPTION>
CAPITAL LOSS CARRYFORWARD EXPIRATION THROUGH
------------------------- ------------------
<S> <C> <C>
Science & Technology Fund.............. $ 698,127 May 31, 2005
Capital Conservation Fund.............. 574,958 May 31, 2003
Government Securities Fund............. 2,086,592 May 31, 2003
Money Market Fund...................... 3,017 May 31, 2005
</TABLE>
<PAGE> 80
===============================================================================
NOTES TO FINANCIAL STATEMENTS continued 79
===============================================================================
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 ......................... $253,120,990 $ 65,720,162
MidCap Index Fund ........................ 103,367,099 119,442,770
Small Cap Index Fund ..................... 74,891,949 72,465,201
International Equities Fund .............. 22,217,400 58,218,877
Growth Fund .............................. 409,714,720 215,956,220
Growth & Income Fund ..................... 143,618,700 66,343,852
Science & Technology Fund ................ 862,216,562 742,010,646
Social Awareness Fund .................... 152,531,401 112,152,443
Timed Opportunity Fund ................... 170,451,719 190,958,843
Capital Conservation Fund ................ 30,004,835 31,751,701
Government Securities Fund ............... 41,395,354 29,171,050
International Government Bond Fund ....... 46,210,209 6,470,536
</TABLE>
NOTE 5 - PORTFOLIO SECURITIES LOANED
To realize additional income, a Fund may lend portfolio securities with a
value of up to 30% (331/3% 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 Custodian to be creditworthy and will not
be made unless, in the judgment of the Adviser, the consideration to be earned
from such loans would justify the risk. Each Fund receives income earned on the
securities loaned during the lending period and a portion of the interest or
rebate earned on the collateral received.
Portfolio securities on loan at May 31, 1997 are summarized as follows:
<TABLE>
<CAPTION>
MARKET VALUE COLLATERAL VALUE
---------------------------------
<S> <C> <C>
Stock Index Fund ..................... $ 22,480,371 $ 22,988,564
MidCap Index Fund .................... 27,322,579 28,429,544
Small Cap Index Fund ................. 9,932,026 10,487,087
International Equities Fund .......... 10,934,014 11,385,475
Growth Fund .......................... 51,328,128 52,289,867
Growth & Income Fund ................. 5,811,079 6,020,652
Science & Technology Fund ............ 29,419,841 30,593,344
Social Awareness Fund ................ 1,680,752 1,732,462
Timed Opportunity Fund ............... 999,923 1,021,843
Capital Conservation Fund ............ 11,166 11,640
Government Securities Fund ........... 312,968 316,500
------------ ------------
Total ............................. $160,232,847 $165,276,978
============ ============
</TABLE>
NOTE 6 - INVESTMENT CONCENTRATION
A significant portion of Government Securities Fund's investments may be
in U.S. Government sponsored securities. No assurance can be given that the
U.S. Government will provide support to such U.S. Government sponsored agencies
or instrumentalities in the future since it is not required to do so by law. As
a result of the Fund's concentration in such investments, it may be subject to
risks associated with U.S. Government sponsored securities. At May 31, 1997,
Government Securities Fund had 62% of its net assets invested in such
securities.
At May 31, 1997, 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.
<PAGE> 81
===============================================================================
80 FINANCIAL HIGHLIGHTS
===============================================================================
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on investment equity securities
(on a per share basis) is presented for the period beginning June 1, 1996.
STOCK INDEX FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
----------------------------------------------------------------
1997 1996 1995 1994 1993
----------------------------------------------------------------
<S> <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
----------------------------------------------------------------
Income from investment operations:
Net investment income ..................... 0.39 0.39 0.37 0.35 0.34
Net realized and unrealized gain
on securities ............................ 5.57 4.26 2.45 0.12 1.20
----------------------------------------------------------------
Total income from investment operations ... 5.96 4.65 2.82 0.47 1.54
----------------------------------------------------------------
Distributions:
Distributions from net investment
income ................................... (0.39) (0.38) (0.37) (0.35) (0.34)
Distributions from net realized gain
on securities ............................ (0.17) (0.39) (0.03) (0.09) (0.18)
----------------------------------------------------------------
Total distributions ....................... (0.56) (0.77) (0.40) (0.44) (0.52)
----------------------------------------------------------------
Net asset value at end of period .............. $ 26.09 $ 20.69 $ 16.81 $ 14.39 $ 14.36
================================================================
TOTAL RETURN .................................. 29.24% 28.17% 19.98% 3.29% 11.74%
================================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.34% 0.35% 0.38% 0.39% 0.43%
Ratio of net investment income to
average net assets ......................... 1.76% 2.05% 2.44% 2.44% 2.52%
Portfolio turnover rate ..................... 3% 3% 14% 3% 1%
Number of shares outstanding at end
of period (000's) .......................... 93,687 85,117 75,451 75,494 66,224
Net assets at end of period (000's) ......... $2,444,200 $1,760,786 $1,267,992 $1,086,459 $951,200
Average net assets during the
period (000's) ............................. $2,019,826 $1,498,398 $1,140,085 $1,030,581 $836,510
Average commission rate paid ................ $ 0.0281 n/a n/a n/a n/a
</TABLE>
MIDCAP INDEX FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
--------------------------------------------------------
1997 1996 1995 1994 1993
--------------------------------------------------------
<S> <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
--------------------------------------------------------
Income from investment operations:
Net investment income ..................... 0.24 0.24 0.26 0.23 0.24
Net realized and unrealized gain
on securities ............................ 2.95 4.06 1.59 0.28 1.93
--------------------------------------------------------
Total income from investment operations ... 3.19 4.30 1.85 0.51 2.17
--------------------------------------------------------
Distributions:
Distributions from net investment
income ................................... (0.24) (0.24) (0.26) (0.23) (0.24)
Distributions from net realized gain
on securities ............................ (1.21) (0.65) (0.45) (0.12) (0.41)
--------------------------------------------------------
Total distributions ....................... (1.45) (0.89) (0.71) (0.35) (0.65)
--------------------------------------------------------
Net asset value at end of period .............. $ 20.83 $ 19.09 $ 15.68 $ 14.54 $ 14.38
--------------------------------------------------------
TOTAL RETURN .................................. 17.48% 28.10% 13.26% 3.52% 17.21%
========================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.40% 0.41% 0.44% 0.46% 0.47%
Ratio of net investment income to
average net assets ......................... 1.24% 1.36% 1.73% 1.62% 1.79%
Portfolio turnover rate ..................... 19% 21% 23% 17% 5%
Number of shares outstanding at end
of period (000's) .......................... 29,137 28,322 25,988 24,001 14,673
Net assets at end of period (000's) ......... $607,061 $540,688 $407,557 $349,041 $210,931
Average net assets during the
period (000's) ............................. $554,397 $477,372 $376,486 $285,247 $154,979
Average commission rate paid ................ $ 0.0277 n/a n/a n/a n/a
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 82
===============================================================================
FINANCIAL HIGHLIGHTS CONTINUED 81
===============================================================================
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 investment equity securities
(on a per share basis) is presented for the period beginning June 1, 1996.
SMALL CAP INDEX FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
-------------------------------------------------------
1997 1996 1995 1994 1993
-------------------------------------------------------
<S> <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
-------------------------------------------------------
Income from investment operations:
Net investment income ...................... 0.19 0.20 0.17 0.13 0.15
Net realized and unrealized gain
on securities ............................ 0.93 4.04 0.97 0.58 1.48
-------------------------------------------------------
Total income from investment
operations ............................... 1.12 4.24 1.14 0.71 1.63
-------------------------------------------------------
Distributions:
Distributions from net investment income ... (0.19) (0.20) (0.17) (0.13) (0.15)
Distributions from net realized gain
on securities ............................ (1.00) (0.28) -- (0.34) (0.13)
-------------------------------------------------------
Total distributions ......................... (1.19) (0.48) (0.17) (0.47) (0.28)
-------------------------------------------------------
Net asset value at end of period .............. $ 16.18 $ 16.25 $ 12.49 $ 11.52 $ 11.28
=======================================================
TOTAL RETURN .................................. 7.51% 34.50% 9.98% 6.18% 16.64%
=======================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ....... 0.41% 0.41% 0.44% 0.47% 0.47%
Ratio of net investment income to
average net assets .......................... 1.34% 1.36% 1.44% 1.10% 1.40%
Portfolio turnover rate ....................... 42% 31% 34% 16% 20%
Number of shares outstanding at
end of period (000's) ....................... 11,893 11,129 10,136 9,381 3,687
Net assets at end of period (000's) .......... $192,459 $180,785 $126,567 $108,050 $41,581
Average net assets during the period (000's) .. $178,368 $150,448 $120,298 $ 70,690 $22,142
Average commission rate paid .................. $ 0.0297 n/a n/a n/a n/a
</TABLE>
INTERNATIONAL EQUITIES FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
-------------------------------------------------------
1997 1996 1995 1994 1993
-------------------------------------------------------
<S> <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
-------------------------------------------------------
Income from investment operations:
Net investment income ...................... 0.20 0.17 0.15 0.11 0.18
Net realized and unrealized gain
on securities and foreign currencies ..... 0.63 0.97 0.34 1.17 0.93
-------------------------------------------------------
Total income from investment
operations .............................. 0.83 1.14 0.49 1.28 1.11
-------------------------------------------------------
Distributions:
Distributions from net investment income ... (0.19) (0.17) (0.15) (0.11) (0.15)
Distributions from net realized gain
on securities ............................ (0.35) (0.24) (0.06) (0.02) --
-------------------------------------------------------
Total distributions ........................ (0.54) (0.41) (0.21) (0.13) (0.15)
-------------------------------------------------------
Net asset value at end of period .............. $ 11.44 $ 11.15 $ 10.42 $ 10.14 $ 8.99
=======================================================
TOTAL RETURN .................................. 7.74% 11.14% 4.92% 14.31% 14.18%
=======================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ....... 0.42% 0.42% 0.45% 0.47% 0.53%
Ratio of net investment income to
average net assets .......................... 1.75% 1.65% 1.47% 1.43% 2.33%
Portfolio turnover rate ....................... 12% 20% 14% 7% 9%
Number of shares outstanding at
end of period (000's) ....................... 15,857 18,497 20,074 17,273 7,429
Net assets at end of period (000's) .......... $181,437 $206,259 $209,091 $175,183 $66,809
Average net assets during the period (000's) .. $191,117 $204,792 $199,235 $117,264 $45,509
Average commission rate paid .................. $ 0.0236 n/a n/a n/a n/a
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 83
===============================================================================
82 FINANCIAL HIGHLIGHTS CONTINUED
===============================================================================
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on investment equity securities
(on a per share basis) is presented for the period beginning June 1, 1996.
GROWTH FUND
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
------------------------------- TO
1997 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 ..................... 0.02 0.11 0.04 0.01
Net realized and unrealized gain (loss)
on securities ............................ 1.45 5.27 1.56 (0.13)
---------------------------------------------
Total income (loss) from investment
operations ............................... 1.47 5.38 1.60 (0.12)
---------------------------------------------
Distributions:
Distributions from net investment income .. (0.01) (0.09) (0.04) (0.01)
Distributions from net realized gain (loss)
on securities ............................ (0.33) (0.23) -- --
---------------------------------------------
Total distributions ....................... (0.34) (0.32) (0.04) (0.01)
---------------------------------------------
Net asset value at end of period .............. $ 17.62 $ 16.49 $ 11.43 $ 9.87
=============================================
TOTAL RETURN .................................. 9.00% 47.46% 16.25% (1.19)%
=============================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.86% 0.83% 0.91% 0.08%
Ratio of net investment income to
average net assets ......................... 0.09% 0.89% 0.41% 0.11%
Portfolio turnover rate ..................... 40% 36% 61% 0%
Number of shares outstanding at end
of period (000's) .......................... 42,422 25,826 8,800 1,001
Net assets at end of period (000's) ........ $747,654 $425,787 $100,614 $9,885
Average net assets during the period (000's) $588,056 $238,228 $ 42,232 $9,944
Average commission rate paid ................ $ 0.0499 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.
GROWTH & INCOME FUND
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
------------------------------- TO
1997 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 ...................... 0.10 0.08 0.09 0.02
Net realized and unrealized gain (loss)
on securities ............................. 2.38 3.77 1.22 (0.13)
---------------------------------------------
Total income (loss) from investment
operations ................................ 2.48 3.85 1.31 (0.11)
---------------------------------------------
Distributions:
Distributions from net investment income ... (0.10) (0.07) (0.09) (0.02)
Distributions from net realized gain (loss)
on securities ............................. (0.29) (0.09) -- --
---------------------------------------------
Total distributions ........................ (0.39) (0.16) (0.09) (0.02)
---------------------------------------------
Net asset value at end of period ............... $ 16.87 $ 14.78 $ 11.09 $ 9.87
=============================================
TOTAL RETURN ................................... 17.08% 34.85% 13.35% (1.11)%
=============================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ...... 0.81% 0.79% 0.86% 0.07%
Ratio of net investment income to
average net assets .......................... 0.70% 0.63% 0.93% 0.22%
Portfolio turnover rate ...................... 45% 64% 97% 11%
Number of shares outstanding at end
of period (000's) ........................... 12,422 7,685 3,867 1,002
Net assets at end of period (000's) ......... $209,545 $113,546 $42,867 $9,890
Average net assets during the period (000's) . $161,226 $ 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.
<PAGE> 84
===============================================================================
FINANCIAL HIGHLIGHTS CONTINUED 83
===============================================================================
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 investment equity securities
(on a per share basis) is presented for the period beginning June 1, 1996.
SCIENCE & TECHNOLOGY FUND
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
------------------------------- TO
1997 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 ..................... -- -- 0.03 --
Net realized and unrealized gain (loss)
on securities and foreign currencies ..... 0.33 8.08 4.72 (0.17)
----------------------------------------------
Total income (loss) from investment
operations ............................... 0.33 8.08 4.75 (0.17)
----------------------------------------------
Distributions:
Distributions from net investment income .. -- -- (0.02) --
Distributions from net realized gain
on securities ............................ (0.93) (2.03) (0.13) --
----------------------------------------------
Total distributions ........................ (0.93) (2.03) (0.15) --
----------------------------------------------
Net asset value at end of period .............. $ 19.88 $ 20.48 $ 14.43 $ 9.83
==============================================
TOTAL RETURN .................................. 1.81% 58.28% 48.61% (1.66)%
==============================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.96% 0.94% 1.00% 0.08%
Ratio of net investment income to
average net assets ......................... (0.29)% (0.07)% 0.36% 0.04%
Portfolio turnover rate ..................... 122% 116% 121% 0%
Number of shares outstanding at end
of period (000's) .......................... 40,484 27,696 11,550 1,001
Net assets at end of period (000's) ........ $804,982 $567,187 $166,683 $ 9,834
Average net assets during the period (000's) $664,608 $363,087 $ 64,974 $ 9,918
Average commission rate paid ................ $ 0.0393 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.
SOCIAL AWARENESS FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
----------------------------------------------
1997 1996 1995 1994 1993
----------------------------------------------
<S> <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
----------------------------------------------
Income from investment operations:
Net investment income.................... 0.24 0.26 0.27 0.26 0.24
Net realized and unrealized gain (loss)
on securities........................... 4.19 3.37 1.75 (0.02) 1.22
----------------------------------------------
Total income from investment operations.. 4.43 3.63 2.02 0.24 1.46
----------------------------------------------
Distributions:
Distributions from net investment
income.................................. (0.24) (0.25) (0.27) (0.26) (0.24)
Distributions from net realized gain
on securities........................... (1.78) (0.91) (0.71) (0.12) (0.53)
----------------------------------------------
Total distributions...................... (2.02) (1.16) (0.98) (0.38) (0.77)
----------------------------------------------
Net asset value at end of period............. $17.90 $15.49 $13.02 $11.98 $12.12
==============================================
TOTAL RETURN................................. 30.48% 28.85% 18.19% 1.97% 13.08%
==============================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets.... 0.56% 0.56% 0.58% 0.60% 0.63%
Ratio of net investment income to
average net assets........................ 1.53% 1.80% 2.22% 2.19% 2.14%
Portfolio turnover rate.................... 109% 117% 148% 83% 106%
Number of shares outstanding at end
of period (000's)......................... 8,677 5,220 4,143 3,817 2,819
Total net assets at end of period (000's).. $155,349 $80,887 $53,927 $45,729 $34,166
Average net assets during the
period (000's)............................ $106,139 $66,888 $47,942 $41,002 $26,920
Average commission rate paid............... $0.0400 n/a n/a n/a n/a
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 85
===============================================================================
84 FINANCIAL HIGHLIGHTS CONTINUED
===============================================================================
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized. The average commission rate paid on investment equity securities
(on a per share basis) is presented for the period beginning June 1, 1996.
TIMED OPPORTUNITY FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
--------------------------------------------------------
1997 1996 1995 1994 1993
--------------------------------------------------------
<S> <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
--------------------------------------------------------
Income from investment operations:
Net investment income ..................... 0.77 0.44 0.44 0.37 0.35
Net realized and unrealized gain (loss)
on securities ............................ 1.44 1.53 0.82 (0.15) 0.61
--------------------------------------------------------
Total income from investment operations ... 2.21 1.97 1.26 0.22 0.96
--------------------------------------------------------
Distributions:
Distributions from net investment
income ................................... (0.78) (0.44) (0.44) (0.37) (0.35)
Distributions from net realized gain
on securities ............................ (1.41) (0.22) (0.42) (0.19) (0.09)
--------------------------------------------------------
Total distributions ....................... (2.19) (0.66) (0.86) (0.56) (0.44)
--------------------------------------------------------
Net asset value at end of period .............. $ 12.57 $ 12.55 $ 11.24 $ 10.84 $ 11.18
========================================================
TOTAL RETURN .................................. 15.89% 17.90% 12.43% 1.86% 9.17%
========================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.57% 0.57% 0.58% 0.59% 0.70%
Ratio of net investment income to
average net assets ......................... 3.26% 3.62% 4.03% 3.24% 3.28%
Portfolio turnover rate ..................... 103% 119% 133% 76% 78%
Number of shares outstanding at end
of period (000's) .......................... 14,107 15,142 16,319 17,956 14,758
Total net assets at end of period (000's) ... $177,347 $190,024 $183,393 $194,576 $165,002
Average net assets during the
period (000's) ............................. $179,615 $187,576 $186,487 $185,036 $ 151,450
Average commission rate paid ................ $ 0.0401 n/a n/a n/a n/a
</TABLE>
CAPITAL CONSERVATION FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
---------------------------------------------------------
1997 1996 1995 1994 1993
---------------------------------------------------------
<S> <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
---------------------------------------------------------
Income (loss) from investment operations:
Net investment income........... 0.62 0.62 0.63 0.61 0.65
Net realized and unrealized gain (loss)
on securities.................. 0.08 (0.29) 0.39 (0.69) 0.58
---------------------------------------------------------
Total income (loss) from investment
operations..................... 0.70 0.33 1.02 (0.08) 1.23
---------------------------------------------------------
Distributions:
Distributions from net investment
income......................... (0.62) (0.62) (0.63) (0.61) (0.65)
---------------------------------------------------------
Distributions from net realized gain
on securities.................. - - - (0.05) -
Total distributions............. (0.62) (0.62) (0.63) (0.66) (0.65)
---------------------------------------------------------
Net asset value at end of period.... $ 9.31 $9.23 $9.52 $9.13 $9.87
=========================================================
TOTAL RETURN........................ 7.75% 3.41% 11.80% (1.13)% 13.60%
=========================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets 0.57% 0.57% 0.58% 0.59% 0.67%
Ratio of net investment income to
average net assets............... 6.59% 6.47% 6.88% 6.24% 6.77%
Portfolio turnover rate........... 45% 80% 100% 55% 58%
Number of shares outstanding at end
of period (000's)................ 7,168 7,604 6,935 6,712 5,095
Total net assets at end of period (000's) $66,747 $70,212 $66,031 $61,305 $50,290
Average net assets during the
period (000's)................... $69,352 $70,271 $61,568 $59,210 $43,316
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 86
===============================================================================
FINANCIAL HIGHLIGHTS CONTINUED 85
===============================================================================
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 investment equity securities
(on a per share basis) is presented for the period beginning June 1, 1996.
GOVERNMENT SECURITIES FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
-----------------------------------------------------
1997 1996 1995 1994 1993
-----------------------------------------------------
<S> <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
-----------------------------------------------------
Income (loss) from investment operations:
Net investment income ..................... 0.59 0.61 0.60 0.55 0.61
Net realized and unrealized gain (loss)
on securities ............................ 0.06 (0.28) 0.35 (0.59) 0.59
-----------------------------------------------------
Total income (loss) from investment
operations ............................... 0.65 0.33 0.95 (0.04) 1.20
-----------------------------------------------------
Distributions:
Distributions from net investment
income ................................... (0.59) (0.61) (0.61) (0.55) (0.61)
-----------------------------------------------------
Distributions from net realized gain
on securities ............................ -- -- -- (0.16) (0.13)
-----------------------------------------------------
Total distributions ....................... (0.59) (0.61) (0.61) (0.71) (0.74)
Net asset value at end of period .............. $ 9.67 $ 9.61 $ 9.89 $ 9.55 $ 10.30
=====================================================
TOTAL RETURN .................................. 6.94% 3.32% 10.43% (0.66)% 12.56%
=====================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.56% 0.56% 0.58% 0.59% 0.67%
Ratio of net investment income to
average net assets ......................... 6.11% 6.21% 6.36% 5.44% 6.08%
Portfolio turnover rate ..................... 38% 36% 229% 85% 105%
Number of shares outstanding at end
of period (000's) .......................... 8,672 8,164 5,478 4,544 3,110
Total net assets at end of period (000's) ... $ 83,827 $ 78,423 $54,174 $43,401 $32,023
Average net assets during the
period (000's) ............................. $ 83,293 $ 68,017 $45,200 $41,596 $26,145
</TABLE>
INTERNATIONAL GOVERNMENT BOND FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
-----------------------------------------------------
1997 1996 1995 1994 1993
-----------------------------------------------------
<S> <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
-----------------------------------------------------
Income (loss) from investment operations:
Net investment income ..................... 0.63 0.65 0.65 0.62 0.76
Net realized and unrealized gain (loss)
on securities and foreign currencies ..... (0.49) (0.89) 1.80 (0.20) 0.70
-----------------------------------------------------
Total income (loss) from investment
operations ............................... 0.14 (0.24) 2.45 0.42 1.46
-----------------------------------------------------
Distributions:
Distributions from net investment
income ................................... (0.58) (0.68) (0.70) (0.60) (0.73)
Distributions from net realized gain
on securities ............................ (0.02) (0.01) -- (0.01) --
-----------------------------------------------------
Total distributions ..................... (0.60) (0.69) (0.70) (0.61) (0.73)
-----------------------------------------------------
Net asset value at end of period .............. $ 11.33 $ 11.79 $ 12.72 $ 10.97 $ 11.16
=====================================================
TOTAL RETURN .................................. 1.13% (1.91)% 23.23% 3.87% 14.50%
=====================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.56% 0.56% 0.59% 0.48% 0.14%
Ratio of net investment income to
average net assets ......................... 5.13% 5.45% 5.83% 5.87% 7.02%
Portfolio turnover rate ..................... 4% 11% 6% 3% 26%
Number of shares outstanding at end
of period (000's) .......................... 15,680 12,073 6,111 3,741 2,062
Total net assets at end of period (000's) ... $177,709 $142,383 $77,734 $41,028 $23,009
Average net assets during the
period (000's) ............................. $166,147 $114,693 $51,451 $33,561 $18,135
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 87
===============================================================================
86 FINANCIAL HIGHLIGHTS CONTINUED
===============================================================================
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date.
MONEY MARKET FUND
<TABLE>
<CAPTION>
Fiscal year ended May 31,
----------------------------------------------------
1997 1996 1995 1994 1993
----------------------------------------------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ........ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
----------------------------------------------------
Income from investment operations:
Net investment income ..................... 0.05 0.05 0.05 0.03 0.03
----------------------------------------------------
Distributions:
Distributions from net investment income .. (0.05) (0.05) (0.05) (0.03) (0.03)
----------------------------------------------------
Net asset value at end of period .............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====================================================
TOTAL RETURN .................................. 5.02% 5.26% 4.90% 2.83% 2.85%
====================================================
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.57% 0.57% 0.57% 0.58% 0.63%
Ratio of net investment income to
average net assets ......................... 4.95% 5.14% 4.75% 2.78% 2.81%
Number of shares outstanding at end of
period (000's) ............................. 128,125 83,618 82,256 50,534 45,323
Total net assets at end of period (000's) ... $128,125 $83,618 $82,254 $50,533 $45,322
Average net assets during the
period (000's) ............................. $113,882 $84,271 $67,021 $46,222 $45,562
</TABLE>
===============================================================================
REPORT OF INDEPENDENT AUDITORS
===============================================================================
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
We have audited the accompanying statements of net assets of Stock Index Fund,
MidCap Index Fund, Small Cap Index Fund, International Equities Fund, Growth
Fund, Growth & Income Fund, Science & Technology Fund, Social Awareness Fund,
Timed Opportunity Fund, Capital Conservation Fund, Government Securities Fund,
International Government Bond Fund, and Money Market Fund (such "Funds"
comprising the American General Series Portfolio Company) as of May 31, 1997.
We have also audited for each of the Funds the related statement of operations
for the year ended May 31, 1997, the statement of changes in net assets for
each of the two years in the period ended May 31, 1997, and the financial
highlights for each of the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Company's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of May
31, 1997, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds comprising the American General Series Portfolio
Company at May 31, 1997, the results of their operations and the changes in
their net assets for the periods identified above, and the financial highlights
for each of the periods indicated therein, in conformity with generally
accepted accounting principles.
ERNST & YOUNG LLP
Houston, Texas
July 10, 1997
SEE NOTES TO FINANCIAL STATEMENTS.
<PAGE> 88
===============================================================================
REPORT OF INDEPENDENT AUDITORS 87
===============================================================================
TO THE SHAREHOLDERS AND BOARD OF DIRECTORS OF
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
We have audited the accompanying statements of net assets of Stock Index Fund,
MidCap Index Fund, Small Cap Index Fund, International Equities Fund, Growth
Fund, Growth & Income Fund, Science & Technology Fund, Social Awareness Fund,
Timed Opportunity Fund, Capital Conservation Fund, Government Securities Fund,
International Government Bond Fund, and Money Market Fund (such "Funds"
comprising the American General Series Portfolio Company) as of May 31, 1997.
We have also audited for each of the Funds the related statement of operations
for the year ended May 31, 1997, the statement of changes in net assets for
each of the two years in the period ended May 31, 1997, and the financial
highlights for each of the periods indicated therein. These financial
statements and financial highlights are the responsibility of the Company's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of May
31, 1997, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective Funds comprising the American General Series Portfolio
Company at May 31, 1997, the results of their operations and the changes in
their net assets for the periods identified above, and the financial highlights
for each of the periods indicated therein, in conformity with generally
accepted accounting principles.
ERNST & YOUNG LLP
Houston, Texas
July 10, 1997
<PAGE> 89
===============================================================================
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
===============================================================================
BOARD OF DIRECTORS SHAREHOLDER SERVICE AGENT
Stephen D. Bickel The Variable Annuity Life
Norman Hackerman Insurance Company (VALIC)
John W. Lancaster 2929 Allen Parkway
Ben H. Love Houston, Texas 77019
Joe C. Osborne
F. Robert Paulsen OFFICERS
Peter V. Tuters Stephen D. Bickel,
R. Miller Upton Chairman and President
Thomas L. West, Jr. Thomas L. West, Jr.,
Executive Vice President
DISTRIBUTOR Norman Jaskol,
The Variable Annuity Marketing Vice President and
Company (VAMCO) Senior Investment Officer
2929 Allen Parkway Brent C. Nelson,
Houston, Texas 77019 Vice President
Teresa S. Moro,
CUSTODIAN Vice President and
State Street Bank and Trust Company Investment Officer
225 Franklin Street John W. Mossbarger,
Boston, Massachusetts 02110 Vice President and
Investment Officer
INVESTMENT ADVISER Leon A. Olver,
The Variable Annuity Life Vice President and
Insurance Company (VALIC) Investment Officer
2929 Allen Parkway William Trimbur, Jr.,
Houston, Texas 77019 Vice President and
Investment Officer
INVESTMENT SUB-ADVISERS Cynthia A. Toles,
Bankers Trust Company General Counsel
1 Bankers Trust Plaza and Secretary
New York, New York 10006 Gregory R. Seward,
Treasurer
T. Rowe Price Associates, Inc. Kathryn A. Pearce,
100 East Pratt Street Controller
Baltimore, Maryland 21202 David H. den Boer,
Assistant Secretary
Value Line, Inc. Debra A. Yeang,
220 East 42nd Street Assistant Treasurer
New York, New York 10017-5891 Kay Kramer,
Assistant Controller
INDEPENDENT AUDITORS
Ernst & Young LLP
1221 McKinney
Houston, Texas 77010
This report is for the information of the shareholders and variable contract
owners participating in the American General Series Portfolio Company. It is
authorized for distribution to other persons only when preceded or accompanied
by an effective prospectus which contains information on how to purchase shares
and other pertinent information.
If you would like further information about this material or products issued
by VALIC or American General Life Insurance Company, please contact your
account representative.
"Standard & Poor's(R)", "Standard & Poor's MidCap 400 Index" and "S&P
500(R)" are trademarks of Standard & Poor's Corporation. The Stock Index Fund
and MidCap Index Fund are not sponsored, endorsed, sold or promoted by S&P and
S&P makes no representation regarding the advisability of investing in the
funds. The Russell 2000(R) Index is a trademark / service mark of the Frank
Russell Company. Russell(TM) is a trademark of the Frank Russell Company.
[VALIC LOGO]
(C) 1997 The Variable Annuity Life Insurance Company, Houston Texas
VALIC is a registered service mark of The Variable Annuity Life
Insurance Company
VA 9530 VER 5/97
