<PAGE> 1
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AMERICAN GENERAL SERIES PORTFOLIO COMPANY - ANNUAL REPORT MAY 31, 1998
================================================================================
TABLE OF CONTENTS
President's Letter ......................... 1
Stock Index Fund ........................... 4
MidCap Index Fund .......................... 11
Small Cap Index Fund ....................... 17
International Equities Fund ................ 33
Growth Fund ................................ 39
Growth & Income Fund ....................... 42
Science & Technology Fund .................. 46
Social Awareness Fund ...................... 49
Asset Allocation Fund ...................... 56
Capital Conservation Fund .................. 64
Government Securities Fund ................. 67
International Government Bond Fund.......... 69
Money Market Fund .......................... 73
Notes to Financial Statements .............. 76
Financial Highlights ....................... 79
Report of Independent Auditors ............. 85
<PAGE> 2
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AGSPC PRESIDENT'S LETTER
1
===============================================================================
Dear Valued Customer,
In today's environment of rapidly changing markets, the commitment to your
financial security remains American General Series Portfolio Company's highest
priority. This dedication is reflected in the performance of our funds, and it
is my pleasure to introduce AGSPC's May 31, 1998 Annual Report for your review.
In this report, you will find financial and performance information for AGSPC's
thirteen funds for the period ended May 31, 1998.
Through your variable annuity contract, you are permitted to invest in one or
more of the funds described in this report. Please refer to the chart on page 3
to determine which funds are available under your contract.
MARKET CONDITIONS
Securities markets provided significantly above average returns for the year
ended May 31, 1998. The Standard & Poor's 500 Index (S&P 500(R)) provided a
total return of 30.68% for the 12 months. The Standard & Poor's MidCap 400 Index
(MidCap 400(R)) returned 29.87% and the Russell 2000(R) had a total return of
21.25%. The emphasis for the year was on large capitalization stocks.
The United States economy continues to expand at an above-trend pace, despite
trade and fiscal drag, a strong dollar, and a relatively high real interest
environment. The primary factor stimulating the economy is the strength of the
U.S. equity market. By raising household net worth the market is fueling
spending. People do not have to save as much of their income if the equity
market is increasing their net worth. Also, the "wealth effect" - the feeling
that he or she is wealthier and should spend more - is bolstering consumer
spending.
Another positive in the economy is the extremely low level of inflation.
Consumer price increases have been held to less than 3% annually and for 1998
less than 2% is expected. Wages and salaries are expanding at the rate of 3.5 to
4.0%. When the inflation rate is subtracted, workers are enjoying real wage
increases.
The combination of above average economic growth and contained inflation is
providing a strong background for the stock and bond markets. In addition, the
financial services industry is sending a very strong message, through the media,
that saving for retirement is essential. That message is being received and
unprecedented amounts of money are being invested in mutual funds.
International markets have experienced widely divergent trends. European
investors have seen equity markets appreciate more than 50% while most Asian
markets have experienced dramatic decreases. The Asian markets declined in local
currencies and the international investor saw a greater decrease as the currency
values fell precipitously.
FUND RETURNS
INDEXED FUNDS
The AGSPC index funds continued to emulate their respective indices with close
correlation dependent upon the liquidity of the sector. The large capitalization
Stock Index Fund tracked the S&P 500 Index(R) with a -0.07% difference for the
year, returning 30.61% before expenses. The MidCap Index Fund tracked the MidCap
400(R) with a positive 0.11% difference, returning 29.98% before expenses. The
Small Cap Index Fund tracked the Russell 2000 Index with a positive 0.48%
variance, returning 21.73% before expenses. The International Equities Fund had
a wider than normal variance to the EAFE Index as smaller capitalization names
outperformed in January and February. The fund has low exposure to the smaller
names and relies on the large benchmark names to track its index. In early 1998,
the larger names did not provide the high correlation to local market returns
that they have provided historically. The fund varied from the EAFE index by
- -0.79%, returning 10.32% before expenses.
MANAGED FUNDS
The Growth Fund earned 28.25% before expenses, a -2.43% variance from the S&P
500 Index. The fund concentrates on stocks with above average growth potential
in the service sector. The Science & Technology Fund invests in the highly
volatile electronic and health care industries. Concerns surrounding computer
pricing and demand have produced substantial variance compared to the basic
market index - S&P 500. For the year the fund returned 11.80%, a -18.88%
variance from the index.
The Social Awareness Fund benefited from the emphasis on large capitalization
growth stocks and it returned 30.88%, a positive 0.20% variance above the S&P
500. The Growth and Income Fund continues to use the Value Line Ranking System
which emphasizes the small and mid-sized growth companies. The return for the
year of 20.67% is closer to the Russell 2000 than the return of the larger
capitalization issues in the S&P 500. The fund under performed the S&P 500 by
10.01%.
The Asset Allocation Fund (previously the Timed Opportunity Fund) returned
22.48%, outperforming its benchmark by 1.26%. Bonds lagged the relevant index,
stocks tracked the index and the over allocation to stocks resulted in the
outperformance.
BOND FUNDS
The Capital Conservation Fund was impacted by two Asian holdings and uncertainty
surrounding Columbia Healthcare. Those factors caused the fund to under-perform
its relevant index by 1.05%, returning 11.30%. The Government Securities Fund
emphasized Agency securities over Treasuries and returned 11.14%,
under-performing its index by 0.08%.
The International Government Bond Fund benefited from rising bond prices but the
Dollar's strength eroded the local market gains. The fund returned 3.20%,
out-performing the index by 0.82%.
FUTURE OUTLOOK
Both the equity and bond markets have provided outstanding returns over the past
four years. Even the currency and credit crises in Southeast Asia have had only
minor impact on the stock market. The bond market has been aided as foreign
investors have sought safety in U.S. Treasury issues.
An added benefit of the Asian crises is the devaluation of those currencies
which have resulted in lower cost goods being exported to the United States. The
other side of the coin is that U.S. exports have become more expensive overseas
and the trade deficit has increased. Nevertheless, the domestic economy
continues to expand at levels in excess of 3% and could well maintain that pace
over the intermediate term. On balance, the less expensive imports have kept
prices low and the flow of funds to U.S. bonds have caused interest rates to
fall to decades lows. That has had a very positive affect on the real estate
market with housing demand at very high levels.
Positive economic growth combined with low interest rates augers well for the
stock market. The current U.S. Treasury long bond yield of 5.6% compared with a
Gross Domestic Product Deflator (a broad measure of inflation) of 1.0% provides
an extraordinary real rate of return - 4.6%. That compares with a century long
standard of 3.0 - 3.5%. In that context, the bond market should improve
modestly.
Thank you for your continued confidence in the VALIC investment management.
Sincerely,
/s/ THOMAS L. WEST, JR.
Thomas L. West, Jr., Chairman and President
June 22, 1998 American General Series Portfolio Company
FUND RETURNS(1) TO INDEX
[GRAPH]
(1) Represents fund performance before subtracting expenses. See page two for
applicable fund expenses and fund level returns after expenses.
<PAGE> 3
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AGSPC PRESIDENT'S LETTER CONTINUED
2
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FUND RETURNS AND TRACKING DIFFERENCES
For the period ended May 31, 1998
<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............. 30.30% 0.31% 30.61% 30.68% (0.07)%
MidCap Index Fund /
Standard & Poor's MidCap 400......... 29.62 0.36 29.98 29.87 0.11
Small Cap Index Fund / Russell 2000.... 21.34 0.39 21.73 21.25 0.48
International Equities Fund / EAFE..... 9.92 0.40 10.32 11.11 (0.79)
MANAGED FUNDS:
Growth Fund / S&P 500.................. 27.41 0.84 28.25 30.68 (2.43)
Growth & Income Fund / S&P 500......... 19.87 0.80 20.67 30.68 (10.01)
Science & Technology Fund / S&P 500.... 10.85 0.95 11.80 30.68 (18.88)
Social Awareness Fund / S&P 500........ 30.34 0.54 30.88 30.68 0.20
Asset Allocation Fund / Benchmark(b)... 21.94 0.54 22.48 21.22 1.26
Capital Conservation Fund /
Merrill Lynch Corporate Master Bond.. 10.76 0.54 11.30 12.35 (1.05)
Government Securities Fund /
Lehman Brothers U.S. Treasury........ 10.60 0.54 11.14 11.22 (0.08)
Int'l Gov't Bond Fund /
Salomon Non U.S. Gov't Bond.......... 2.65 0.55 3.20 2.38 0.82
Money Market Fund / 30 Day Certificate
of Deposit
Primary Offering Rate by New York
City Banks (NYC 30 Day CD Rate)...... 5.25 0.54 5.79 4.81 0.98
</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 ON
NET ASSET VALUES (PER SHARE) SECURITIES (PER SHARE)
----------------------------------- -------------------------
MAY 31, NOVEMBER 30, MAY 31, 6/1/97 to 12/1/97 to
FUND 1997 1997 1998 11/30/97 5/31/98
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index (emulate S&P 500)...........$26.09 $29.38 $33.38 $0.19 $0.36
MidCap Index (emulate MidCap 400)....... 20.83 23.98 25.27 0.12 1.47
Small Cap Index (emulate Russell 2000).. 16.18 18.32 17.94 0.10 1.50
International Equities
(foreign long term growth stocks)..... 11.44 10.83 11.95 0.14 0.43
Growth Fund (long term growth of
capital).............................. 17.62 20.01 22.08 0.00 0.34
Growth & Income Fund (long term growth
of capital and current income)........ 16.87 19.20 19.91 0.04 0.25
Science & Technology Fund (long term
growth of capital).................... 19.88 20.98 22.07 0.00 0.00
Social Awareness (social criteria
growth stocks)........................ 17.90 20.12 22.16 0.11 0.93
Asset Allocation (asset allocation)..... 12.57 13.65 14.02 0.20 1.00
Capital Conservation (quality corporate
bonds)................................ 9.31 9.61 9.68 0.29 0.32
Government Securities (intermediate and
long term government bonds)........... 9.67 9.99 10.09 0.29 0.29
International Government Bond (high
quality foreign government debt
securities)........................... 11.33 11.27 11.42 0.19 0.02
Money Market (money market instruments). 1.00 1.00 1.00 0.03 0.02
</TABLE>
The change in net asset value of the funds will not be the same as the change in
the accumulation unit value of your annuity contract because (1) the change in
net asset value does not reflect the reinvestment of income and capital gain
distributions and (2) the mortality and expense charges described in your
annuity contract are not included.
<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
--------------------------------------------------------------
PORTFOLIO PORTFOLIO PORTFOLIO INDEPEN- GROUP
DIRECTOR DIRECTOR DIRECTOR DENCE UNIT
FUND 2 1 T PLUS IMPACT PURCHASE
- ----------------------------------- --------- --------- --------- ------- ------ --------
<S> <C> <C> <C> <C> <C> <C>
Stock Index
(emulate S&P 500)................ Yes Yes Yes Yes Yes Yes
MidCap Index
(emulate MidCap 400)............. No Yes No Yes Yes No
Small Cap Index
(emulate Russell 2000)........... No Yes Yes Yes No No
International Equities
(foreign long term growth stocks) No Yes Yes Yes No No
Growth Fund
(long term growth of capital).... Yes Yes No No No No
Growth & Income Fund (long term
growth of capital and current
income).......................... No Yes No No No No
Science & Technology Fund
(long term growth of capital).... Yes Yes No No No No
Social Awareness
(social criteria growth stocks).. Yes Yes Yes Yes No No
Timed Opportunity
(asset allocation)............... No Yes Yes Yes Yes No
Capital Conservation
(quality corporate bonds)........ No Yes No Yes Yes No
Government Securities (intermediate
and long term government bonds).. No Yes No Yes No No
Int'l Government Bond (high quality
foreign government debt
securities)...................... Yes Yes No Yes No No
Money Market
(money market instruments)....... Yes Yes Yes Yes Yes No
</TABLE>
<TABLE>
<CAPTION>
AMERICAN GENERAL LIFE INSURANCE COMPANY
---------------------------------------------------------------------
SEPARATE ACCOUNT A
-------------------- SEPARATE SEPARATE
NON ACCOUNT ACCOUNT SELECT PLATINUM
FUND QUALIFIED QUALIFIED B D PRESERVE INVESTOR
- ------------------------------------ --------- --------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Stock Index
(emulate S&P 500)................ Yes Yes Yes Yes No Yes
MidCap Index
(emulate MidCap 400)............. Yes Yes Yes No No Yes
Small Cap Index
(emulate Russell 2000)........... No No No No No No
International Equities
(foreign long term growth stocks) No No No Yes No Yes
Growth Fund
(long term growth of capital).... No No No No No No
Growth & Income Fund (long term
growth of capital and current
income).......................... No No No No No No
Science & Technology Fund
(long term growth of capital).... No No No No No No
Social Awareness
(social criteria growth stocks).. No No No Yes No No
Timed Opportunity
(asset allocation)............... Yes Yes Yes No No No
Capital Conservation
(quality corporate bonds)........ Yes Yes Yes No No No
Government Securities (intermediate
and long term government bonds).. Yes Yes Yes No No No
Int'l Government Bond (high quality
foreign government debt
securities)...................... No No No No No No
Money Market
(money market instruments)....... Yes Yes Yes No Yes Yes
</TABLE>
<PAGE> 5
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STOCK INDEX FUND - STATEMENT OF NET ASSETS
4 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
COMMON STOCKS - 99.25%
ADVERTISING - 0.17%
43,350 Interpublic Group Cos., Inc.... $ 2,571,197
71,700 Omnicom Group, Inc............. 3,356,456
-----------
5,927,653
-----------
AEROSPACE/DEFENSE - 1.54%
403,008 Boeing Co...................... 19,193,255
29,000 EG & G, Inc.................... 913,500
55,960 General Dynamics Corp.......... 2,486,723
15,400 Goodrich (B.F.) Co............ 789,250
80,076 Lockheed Martin Corp........... 8,988,531
30,800 Northrop Grumman Corp.......... 3,301,375
112,500 Raytheon Co. Class B........... 6,152,344
44,000 TRW Inc........................ 2,356,750
101,300 United Technologies Corp....... 9,522,200
-----------
53,703,928
-----------
AIRLINES - 0.41%
36,300* AMR Corp....................... 5,587,931
31,600 Delta Air Lines, Inc........... 3,634,000
82,800 Southwest Airlines Co.......... 2,209,725
41,400* US Airways Group, Inc.......... 2,898,000
-----------
14,329,656
-----------
APPAREL & PRODUCTS - 0.10%
21,178* Abercrombie & Fitch Co. Class A 894,749
27,000* Fruit of the Loom, Inc. Class A 970,313
32,900 Liz Claiborne, Inc............. 1,667,619
-----------
3,532,681
-----------
APPLIANCES/FURNISHINGS - 0.11%
35,000 Maytag Corp.................... 1,765,313
30,200 Whirlpool Corp................. 2,063,037
-----------
3,828,350
-----------
AUTO - CARS - 1.70%
275,774 Chrysler Corp.................. 15,339,929
450,000 Ford Motor Co.................. 23,343,750
284,900 General Motors Corp............ 20,494,994
-----------
59,178,673
-----------
AUTO - REPLACEMENT PARTS - 0.33%
73,900* AutoZone, Inc.................. 2,457,175
18,700 Cooper Tire & Rubber Co........ 442,956
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
AUTO - REPLACEMENT PARTS - Continued
14,300 Echlin Inc..................... $ 679,250
74,400 Genuine Parts Co............... 2,524,950
71,700 Goodyear Tire & Rubber Co...... 5,153,438
15,800 Pep Boys-Manny, Moe & Jack..... 351,550
------------
11,609,319
------------
BANKS - NEW YORK CITY - 2.01%
161,100 Bank of New York Co., Inc...... 9,847,238
174,882 Chase Manhattan Corp........... 23,773,022
178,700 CitiCorp....................... 26,648,637
79,200 J. P. Morgan & Co. Inc........ 9,835,650
------------
70,104,547
------------
BANKS - OTHER - 3.08%
278,836 BankAmerica Corp............... 23,056,251
61,300 BankBoston Corp................ 6,459,488
122,223 First Chicago Corp............. 10,686,873
419,200 First Union Corp............... 23,187,000
105,393 Fleet Financial Group, Inc..... 8,642,226
116,500 Mellon Bank Corp............... 7,856,469
133,000 National City Corp............. 9,010,750
51,600 Providian Financial Corp....... 3,283,050
14,000 Republic of New York Corp...... 1,798,125
37,033 Wells Fargo & Co............... 13,387,430
------------
107,367,662
------------
BANKS - REGIONAL - 3.55%
261,349 Banc One Corp.................. 14,406,863
67,950 Comerica Inc................... 4,467,713
106,275 Fifth Third Bancorp............ 5,234,044
59,600 Huntington Bancshares, Inc..... 1,951,900
172,340 KeyCorp........................ 6,538,149
51,500 Mercantile Bancorporation Inc.. 2,632,938
389,917 NationsBank Corp............... 29,536,212
53,900 Northern Trust Corp............ 3,801,637
328,200 Norwest Corp................... 12,758,775
135,900 PNC Bank Corp.................. 7,848,225
61,200 State Street Corp.............. 4,218,975
84,200 Summit Bancorporation.......... 4,220,525
72,200 SunTrust Banks, Inc............ 5,703,800
102,150 Synovus Financial Corp......... 2,291,991
309,990 U.S. Bancorp................... 12,128,359
71,513 Wachovia Corp.................. 5,725,510
------------
123,465,616
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.47%
11,900 Adolph Coors Class B........... $ 446,250
202,800 Anheuser-Busch Companies, Inc.. 9,316,125
18,915 Brown-Forman Corp Class B...... 1,089,977
128,400 Seagram Co. Ltd................ 5,641,575
------------
16,493,927
------------
BEVERAGE - SOFT DRINKS - 2.97%
995,000 Coca-Cola Co................... 77,983,125
624,500 PepsiCo, Inc................... 25,487,406
------------
103,470,531
------------
BROADCASTING - 1.46%
293,158 CBS Corp....................... 9,307,767
38,600* Clear Channel Communications,
Inc......................... 3,700,775
141,750 Comcast Corp. Class A Special.. 4,859,374
197,178 Tele-Comm Liberty Media Group
Class A..................... 6,765,670
215,200 U S West Communications Group.. 10,921,400
226,800 U S West Media Group........... 8,405,775
122,700* Viacom, Inc Class B............ 6,748,500
------------
50,709,261
------------
BUILDING MATERIALS - 0.38%
8,900 Armstrong World Industries,
Inc......................... 748,713
75,300 Lowe's Companies, Inc.......... 5,962,818
81,400 Masco Corp..................... 4,578,750
60,700 Sherwin-Williams Co............ 2,018,275
------------
13,308,556
------------
CHEMICAL - MAJOR - 2.06%
99,700 Dow Chemical Co................ 9,658,437
446,600 E.I. du Pont de Nemours and Co. 34,388,200
47,500 Hercules, Inc.................. 2,092,969
243,800 Monsanto Co.................... 13,500,425
54,900 Morton International, Inc...... 1,671,019
66,500 PPG Industries, Inc............ 4,846,187
18,300 Rohm and Haas Co............... 2,010,713
68,300 Union Carbide Corp............. 3,410,731
------------
71,578,681
------------
CHEMICAL - MISCELLANEOUS - 0.44%
42,100 Air Products and Chemicals,
Inc......................... 3,662,700
30,637 Eastman Chemical Co............ 2,052,678
17,100 Ecolab Inc..................... 527,963
15,300* FMC Corp....................... 1,169,494
</TABLE>
<PAGE> 6
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STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 5
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
CHEMICAL - MISCELLANEOUS - Continued
26,500 Great Lakes Chemical Corp...... $ 1,060,000
15,428 Millipore Corp................. 514,910
20,300 Nalco Chemical Co.............. 761,250
6,625* Octel Corp..................... 144,508
64,700 Praxair, Inc................... 3,190,518
39,500 Sigma Aldrich Corp............. 1,441,750
41,400 W.R. Grace & Co................ 768,488
-----------
15,294,259
-----------
CONGLOMERATES - 1.01%
232,500 Allied Signal Inc.............. 9,939,375
38,800 ITT Inds, Inc.................. 1,430,750
39,400 Loews Corp..................... 3,575,550
65,200 Tenneco Inc.................... 2,713,950
58,300 Textron Inc.................... 4,325,131
237,000 Tyco International Ltd......... 13,123,875
-----------
35,108,631
-----------
CONSUMER FINANCE - 0.28%
25,000 Beneficial Corp................ 3,350,000
204,275 MBNA Corp...................... 6,472,964
-----------
9,822,964
-----------
CONTAINERS - METAL/GLASS - 0.31%
4,700 Ball Corp...................... 185,356
101,100 Corning Inc.................... 3,987,132
65,600 Crown Cork & Seal Co., Inc..... 3,403,000
12,100 Owens Corning.................. 453,750
61,200* Owens-Illinois, Inc............ 2,750,175
-----------
10,779,413
-----------
CONTAINERS - PAPER - 0.10%
6,500 Bemis Co., Inc................. 274,219
39,214* Sealed Air Corp................ 2,097,949
17,700 Temple-Inland Inc.............. 1,039,875
-----------
3,412,043
-----------
COSMETICS/TOILETRIES - 0.98%
6,800 Alberto-Culver Co. Class B..... 202,300
62,700 Avon Products, Inc............. 5,129,644
220,300 Gillette Co.................... 25,802,637
60,000 International Flavors &
Fragrances, Inc............. 2,880,000
-----------
34,014,581
-----------
DRUGS - 7.86%
22,500 Allergan, Inc.................. 945,000
43,200* ALZA Corp...................... 2,089,800
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
DRUGS - Continued
543,000 American Home Products Corp.... $26,233,687
112,100* Amgen Inc...................... 6,782,050
23,900 Bausch & Lomb Inc.............. 1,190,519
399,400 Bristol Myers Squibb Co........ 42,935,500
444,400 Eli Lilly and Co............... 27,302,825
480,400 Merck & Co., Inc............... 56,236,825
519,800 Pfizer, Inc.................... 54,481,537
219,870* Pharmacia & Upjohn, Inc........ 9,715,506
298,200 Schering-Plough Corp........... 24,955,613
326,700 Warner-Lambert Co.............. 20,847,544
-----------
273,716,406
-----------
ELECTRICAL EQUIPMENT - 3.75%
105,800 AMP Inc........................ 4,020,400
62,000 Cabletron Systems, Inc......... 798,250
181,200 Emerson Electric Co............ 11,007,900
1,314,100 General Electric Co............ 109,563,087
30,500 National Service Industries,
Inc......................... 1,555,500
48,300 Raychem Corp................... 1,817,288
6,800 Thomas & Betts Corp............ 363,375
14,200 W. W. Grainger Inc............. 1,498,988
-----------
130,624,788
-----------
ELECTRONIC INSTRUMENTS - 0.16%
1* Commscope Inc.................. 16
28,100 General Signal Corp............ 1,155,612
27,100* Perkin-Elmer Corp.............. 1,856,350
5,400 Tektronix, Inc................. 206,550
70,400* Thermo Electron Corp........... 2,472,800
-----------
5,691,328
-----------
ENTERTAINMENT - 1.68%
39,400* Harrah's Entertainment, Inc.... 985,000
67,475 Hasbro, Inc.................... 2,580,919
49,400* King World Productions, Inc.... 1,259,700
127,987 Mattel, Inc.................... 4,847,508
216,700 Time Warner Inc................ 16,861,969
283,252 Walt Disney Co................. 32,042,882
-----------
58,577,978
-----------
FINANCE COMPANIES - 0.71%
141,800 Associates First Capital Corp.. 10,608,412
69,600 Green Tree Financial Corp...... 2,797,050
48,800 Household International, Inc... 6,603,250
96,350 SunAmerica, Inc................ 4,685,019
-----------
24,693,731
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
FINANCIAL SERVICES - 0.64%
180,400 American Express Co............ $18,513,550
39,800 Countrywide Credit Industries,
Inc......................... 1,840,750
40,100 H & R Block Inc................ 1,764,400
-----------
22,118,700
-----------
FOODS - 2.16%
215,192 Archer Daniels Midland Co...... 4,061,748
124,000 BestFoods...................... 6,998,250
174,400 Campbell Soup Co............... 9,504,800
178,700 ConAgra, Inc................... 5,226,975
65,900 General Mills, Inc............. 4,497,675
156,350 H J Heinz Co................... 8,296,322
47,000 Hershey Foods Corp............. 3,254,750
162,800 Kellogg Co..................... 6,725,675
79,380 Pioneer Hi-Bred International,
Inc......................... 3,021,401
60,900 Quaker Oats Co................. 3,513,169
47,600 Ralston Purina Co.............. 5,298,475
182,600 Sara Lee Corp.................. 10,750,575
42,500 Wm. Wrigley Jr. Co............. 4,090,625
-----------
75,240,440
-----------
FOOTWEAR - 0.11%
73,700 NIKE, Inc. Class B............ 3,390,200
18,900* Reebok International Ltd....... 543,375
-----------
3,933,575
-----------
FREIGHT - 0.13%
52,560* FDX Corp....................... 3,370,410
37,200 Ryder System, Inc.............. 1,267,125
-----------
4,637,535
-----------
FUNERAL SERVICES - 0.10%
83,800 Service Corp. International.... 3,425,325
-----------
GOLD MINING - 0.15%
151,700 Barrick Gold Corp.............. 2,920,225
52,100 Battle Mountain Gold Co........ 276,781
86,400 Homestake Mining Co............ 939,600
93,800 Placer Dome Inc................ 1,166,638
-----------
5,303,244
-----------
GOVERNMENT SPONSORED - 1.08%
272,600 Federal Home Loan Mortg. Corp.. 12,403,300
418,500 Federal National Mortgage
Association ................... 25,057,688
-----------
37,460,988
-----------
</TABLE>
<PAGE> 7
================================================================================
STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
6 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
HARDWARE & TOOLS - 0.13%
31,300 Black & Decker Corp............ $ 1,827,138
11,550 Snap-on Inc.................... 506,756
42,600 Stanley Works.................. 2,023,500
-----------
4,357,394
-----------
HEALTHCARE - 0.45%
49,400 Cardinal Health, Inc........... 4,402,775
154,900* HealthSouth Corp............... 4,395,288
54,400* Humana Inc..................... 1,689,800
79,800 United HealthCare Corp......... 5,107,200
-----------
15,595,063
-----------
HEAVY DUTY TRUCKS/PARTS - 0.26%
19,700 Cummins Engine Co., Inc........ 1,024,400
30,700 Dana Corp...................... 1,600,238
37,800 Eaton Corp..................... 3,394,913
39,010* Navistar International Corp.... 1,177,614
35,710 PACCAR Inc..................... 1,971,863
-----------
9,169,028
-----------
HOME BUILDERS - 0.06%
33,200 Centex Corp.................... 1,186,900
14,456 Kaufman & Broad Home Corp...... 371,339
7,900 Pulte Corp..................... 421,168
-----------
1,979,407
-----------
HOSPITAL MANAGEMENT - 0.38%
250,484 Columbia/HCA Healthcare Corp... 8,187,695
13,000 Manor Care, Inc................ 410,313
13,100 Shared Medical Systems Corp.... 953,025
105,200* Tenet Healthcare Corp.......... 3,682,000
-----------
13,233,033
-----------
HOSPITAL SUPPLIES - 2.64%
315,500 Abbott Laboratories............ 23,406,155
8,400 Bard (C. R.), Inc.............. 291,375
112,000 Baxter International Inc....... 6,405,000
55,200 Becton, Dickinson and Co....... 3,905,400
64,100 Biomet, Inc.................... 1,850,888
70,477* Boston Scientific Corp......... 4,492,909
531,900 Johnson & Johnson.............. 36,734,343
37,900 Mallinckrodt, Inc.............. 1,167,794
200,900 Medtronic, Inc................. 11,175,063
37,833* St. Jude Medical, Inc.......... 1,352,530
25,700 United States Surgical Corp.... 1,021,575
-----------
91,803,032
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- ------------
<S> <C> <C>
HOUSEHOLD PRODUCTS - 2.95%
43,200 Clorox Co...................... $ 3,607,200
127,300 Colgate-Palmolive Co........... 11,075,100
173,100 Minnesota Mining &
Manufacturing Co............ 16,033,388
59,000 Newell Co...................... 2,846,750
537,852 Procter & Gamble Co............ 45,145,951
63,100 Rubbermaid, Inc................ 2,058,638
35,300 Tupperware Corp................ 953,100
267,300 Unilever N V - ADR............. 21,099,994
-----------
102,820,121
-----------
INFORMATION PROCESSING - 9.95%
1* A.C. Nielson................... 26
38,200 Adobe Systems Inc.............. 1,525,613
61,400* Apple Computer, Inc............ 1,634,775
27,800 Autodesk, Inc.................. 1,181,500
122,600 Automatic Data Processing, Inc. 7,800,425
78,400* Bay Networks, Inc.............. 2,170,700
319,521* Cendant Corp................... 6,929,612
27,452* Ceridian Corp.................. 1,482,408
409,850* Cisco Systems, Inc............. 30,994,907
68,600 Cognizant Corp................. 3,652,950
622,490 Compaq Computer Corp........... 17,001,758
211,230 Computer Associates
International, Inc.......... 11,089,574
49,400* Computer Sciences Corp......... 2,565,713
265,200* Dell Computer Corp............. 21,854,150
66,200* Digital Equipment Corp......... 3,632,725
213,500* E M C Corp..................... 8,846,906
180,554 First Data Corp................ 6,003,421
60,000* Gateway 2000, Inc.............. 2,703,750
45,300* General Instrument Corp........ 1,078,706
94,900 HBO & Co....................... 5,477,514
408,500 Hewlett Packard Co............. 25,378,062
58,500 Honeywell Inc.................. 4,910,344
382,700 International Business Machine. 44,919,412
988,700* Microsoft Corp................. 83,854,119
164,900* Novell, Inc ................... 1,731,450
412,687* Oracle Corp.................... 9,749,730
120,200* Parametric Technology Corp..... 3,684,887
112,900 Pitney Bowes Inc............... 5,306,300
96,300* Seagate Technology............. 2,226,938
58,100* Silicon Graphics, Inc.......... 697,200
161,400* Sun Microsystems, Inc.......... 6,466,088
137,600* 3Com Corp...................... 3,491,600
96,900* Unisys Corp.................... 2,374,050
138,900 Xerox Corp..................... 14,271,975
-----------
346,689,288
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- ------------
<S> <C> <C>
INSURANCE - CASUALTY - 0.41%
67,800 Chubb Corp..................... $ 5,394,337
27,800 Progressive Corp............... 3,832,925
58,000 SAFECO Corp.................... 2,697,000
56,442 St. Paul Companies, Inc........ 2,504,614
-----------
14,428,876
-----------
INSURANCE - LIFE - 0.67%
63,192 Aetna Inc...................... 4,940,825
101,400 Conseco Inc.................... 4,727,775
66,112 Jefferson-Pilot Corp........... 3,784,911
57,000 Lincoln National Corp.......... 5,122,875
54,900 Torchmark Corp................. 2,353,838
21,209 Transamerica Corp.............. 2,439,035
-----------
23,369,259
-----------
INSURANCE - MISCELLANEOUS - 0.50%
37,600 General Re Corp................ 8,267,300
31,600 MBIA, Inc...................... 2,356,175
51,200 MGIC Investment Corp........... 3,068,800
67,400 UNUM Corp...................... 3,744,913
-----------
17,437,188
-----------
INSURANCE - MULTILINE - 3.05%
183,820 Allstate Corp.................. 17,302,057
281,627 American International Group,
Inc......................... 34,868,942
52,400 Aon Corp....................... 3,356,875
110,400 CIGNA Corp..................... 7,562,400
54,000 Cincinnati Financial Corp...... 2,268,000
57,500 Hartford Financial Services
Group....................... 6,328,594
79,900 March & McLennan Companies,
Inc......................... 6,996,244
453,421 Travelers Group, Inc........... 27,658,681
-----------
106,341,793
-----------
LEISURE TIME - 0.06%
17,900 Brunswick Corp................. 562,731
70,900* Mirage Resorts, Inc............ 1,475,607
-----------
2,038,338
-----------
LODGING - 0.19%
108,800 Hilton Hotels Corp............. 3,420,400
94,000 Marriott International Inc..... 3,266,500
-----------
6,686,900
-----------
MACHINE TOOLS - 0.01%
4,700 Cincinnati Milacron, Inc....... 140,706
-----------
</TABLE>
<PAGE> 8
================================================================================
STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 7
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
MACHINERY - AGRICULTURE - 0.22%
38,000 Case Corp...................... $ 2,199,250
103,100 Deere & Co..................... 5,348,313
-----------
7,547,563
-----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.31%
158,400 Caterpillar Inc................ 8,702,100
34,200 Fluor Corp..................... 1,630,913
2,600 Foster Wheeler Corp............ 65,975
10,800 Harnischfeger Industries Inc... 340,200
-----------
10,739,188
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.60%
1,600 Aeroquip-Vickers, Inc.......... 98,800
14,600 Briggs & Stratton Corp......... 662,475
42,700 Cooper Industries, Inc......... 2,748,813
95,600 Dover Corp..................... 3,585,000
89,400 Illinois Tool Works Inc........ 5,900,400
64,300 Ingersoll-Rand Co.............. 2,897,518
32,000 Johnson Controls, Inc.......... 1,904,000
59,533 Pall Corp...................... 1,179,498
33,375 Parker Hannifin Corp........... 1,370,461
12,800 Timken Co...................... 481,600
-----------
20,828,565
-----------
MEDICAL TECHNOLOGY - 0.13%
68,900 Guidant Corp................... 4,439,744
-----------
MERCHANDISE - DRUG - 0.46%
75,600 CVS Corp....................... 5,306,175
16,600 Longs Drug Stores Corp......... 503,188
100,600 Rite Aid Corp.................. 3,602,738
191,400 Walgreen Co.................... 6,734,887
-----------
16,146,988
-----------
MERCHANDISE - SPECIALTY - 1.71%
41,000 American Greetings Corp.
Class A..................... 1,947,500
27,100 Circuit City Stores, Inc....... 1,148,363
53,600* Consolidated Stores Corp....... 2,046,849
95,522* CostCo Companies, Inc.......... 5,528,336
74,400 Fortune Brands, Inc........... 2,859,750
164,700 Gap, Inc....................... 8,893,800
304,200 Home Depot, Inc................ 23,898,712
49,600 Ikon Office Solutions Inc...... 1,050,900
973 Jostens, Inc................... 24,568
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
MERCHANDISE - SPECIALTY - Continued
73,873 Limited, Inc................... $ 2,456,277
39,600 Nordstrom, Inc................. 2,853,675
33,600 Tandy Corp..................... 1,486,800
54,000 TJX Companies, Inc............. 2,524,500
109,525* Toys "R" Us, Inc............... 2,902,413
-----------
59,622,443
-----------
MERCHANDISING - DEPARTMENT - 0.64%
186,200 Dayton Hudson Corp............. 8,635,025
30,800 Dillards, Inc. Class A......... 1,295,525
90,800* Federated Department Stores,
Inc......................... 4,704,575
99,800 May Department Stores Co....... 6,418,388
16,000 Mercantile Stores Co., Inc..... 1,258,000
-----------
22,311,513
-----------
MERCHANDISING - FOOD - 0.57%
113,900 Albertsons, Inc................ 5,274,993
119,200 American Stores Co............. 2,972,550
17,400 Giant Food Inc. Class A........ 748,200
15,300 Great Atlantic & Pacific Tea
Co., Inc.................... 489,600
98,300* Kroger Co...................... 4,220,756
16,700 Supervalu Inc.................. 699,313
143,800 SYSCO Corp..................... 3,352,338
52,000 Winn-Dixie Stores, Inc......... 2,115,750
-----------
19,873,500
-----------
MERCHANDISING - MASS - 2.03%
109,900 J.C. Penney Co., Inc........... 7,892,194
190,300* Kmart Corp..................... 3,687,063
148,400 Sears Roebuck and Co........... 9,172,975
891,800 Wal-Mart Stores, Inc........... 49,216,212
35,000 Woolworth Corp................. 691,250
-----------
70,659,694
-----------
METALS - ALUMINUM - 0.25%
76,500 Alcan Aluminium Ltd............ 2,180,250
67,200 Aluminum Co. of America........ 4,662,000
33,100 Reynolds Metals Co............. 1,919,800
-----------
8,762,050
-----------
METALS - COPPER - 0.11%
19,300 ASARCO Inc..................... 437,869
67,631 Newmont Mining Corp............ 1,686,548
27,200 Phelps Dodge Corp.............. 1,659,200
-----------
3,783,617
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
METALS - MISCELLANEOUS - 0.09%
31,350 Cyprus Amax Minerals Co........$ 497,681
57,075 Engelhard Corp................. 1,187,874
48,500 Freeport - McMoRan Copper &
Gold Inc. Class B........... 812,375
52,400 Inco Limited................... 753,250
-----------
3,251,180
-----------
METALS - STEEL - 0.20%
59,525 Allegheny Teldyne Inc.......... 1,383,956
22,300* Armco Inc...................... 121,256
46,100* Bethlehem Steel Corp........... 564,725
20,200 Inland Steel Industries, Inc... 578,225
31,100 Nucor Corp..................... 1,601,650
48,920 USX-US Steel Group, Inc........ 1,755,005
53,625 Worthington Industries, Inc.... 945,141
-----------
6,949,958
-----------
MISCELLANEOUS - 0.16%
51,800 BB&T Corp...................... 3,428,513
57,800 Equifax Inc.................... 2,102,475
-----------
5,530,988
-----------
MOBILE HOMES - 0.02%
14,600 Fleetwood Enterprises, Inc..... 584,000
-----------
NATURAL GAS-DIVERSIFIED - 0.13%
43,900 Coastal Corp................... 3,094,950
37,900 Sonat Inc...................... 1,485,206
-----------
4,580,156
-----------
OIL - INTEGRATED DOMESTIC - 1.57%
35,700 Amerada Hess Corp.............. 1,930,031
405,000 Amoco Corp..................... 16,934,063
26,900 Ashland Oil, Inc............... 1,341,638
125,800 Atlantic Richfield Co.......... 9,922,475
69,067 Burlington Resources, Inc..... 2,909,447
19,400 Kerr-McGee Corp................ 1,227,050
150,600 Occidental Petroleum Corp...... 4,160,325
40,800* Oryx Energy Co................. 951,150
18,500 Pennzoil Co.................... 1,069,531
96,300 Phillips Petroleum Co.......... 4,821,019
40,916 Sun Co., Inc................... 1,738,930
105,400 Unocal Corp.................... 3,754,875
114,100 USX-Marathon Group............. 3,993,500
-----------
54,754,034
-----------
</TABLE>
<PAGE> 9
================================================================================
STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
8 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- ------------
<S> <C> <C>
OIL - INTEGRATED
INTERNATIONAL - 5.04%
262,000 Chevron Corp................... $ 20,927,250
973,700 Exxon Corp..................... 68,645,850
320,500 Mobil Corp..................... 24,999,000
853,300 Royal Dutch Petroleum Co.
- ADR ....................... 47,838,130
226,900 Texaco Inc..................... 13,103,475
------------
175,513,705
------------
OIL - SERVICES - 0.90%
58,800 Baker Hughes Inc............... 2,116,800
85,500 Dresser Industries, Inc........ 3,981,094
115,000 Halliburton Co................. 5,448,125
34,300 McDermott International, Inc... 1,309,831
35,500* Rowan Companies, Inc........... 907,469
193,400 Schlumberger Ltd............... 15,097,287
26,800* Western Atlas Inc.............. 2,319,875
------------
31,180,481
------------
OIL/GAS PRODUCERS - 0.15%
25,300 Anadarko Petroleum Corp........ 1,669,800
33,700 Apache Corp.................... 1,152,119
6,000 Helmerich & Payne, Inc......... 151,500
113,842 Union Pacific Resources Group
Inc......................... 2,305,300
------------
5,278,719
------------
PAPER/FOREST PRODUCTS - 1.18%
54,200 Avery Dennison Corp............ 2,808,238
10,566 Boise Cascade Corp............. 352,640
45,400 Champion International Corp.... 2,179,200
88,000 Fort James Corp................ 4,207,500
39,200 Georgia-Pacific Corp........... 2,516,150
127,718 International Paper Co......... 5,875,028
240,432 Kimberly-Clark Corp............ 11,916,410
41,600 Louisiana Pacific Corp......... 829,400
39,200 Mead Corp...................... 1,220,100
4,900 Potlatch Corp.................. 214,681
57,364* Stone Container Corp........... 1,018,211
35,450 Union Camp Corp................ 1,938,672
26,850 Westvaco Corp.................. 765,225
79,500 Weyerhaeuser Co................ 4,039,594
35,000 Willamette Industries, Inc..... 1,200,938
------------
41,081,987
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
PHOTOGRAPHY - 0.29%
130,750 Eastman Kodak Co............... $ 9,332,282
18,100 Polaroid Corp.................. 734,181
-----------
10,066,463
-----------
POLLUTION CONTROL - 0.30%
83,300 Browning-Ferris Industries,
Inc......................... 2,962,356
97,400* Laidlaw Inc.................... 1,205,325
198,000 Waste Management, Inc.......... 6,435,000
-----------
10,602,681
-----------
PUBLISHING - NEWS - 0.53%
35,600 Dow Jones & Co., Inc........... 1,713,250
112,000 Gannett Co., Inc............... 7,385,000
42,400 Knight-Ridder, Inc............. 2,419,450
27,500 New York Times Co. Class A... 1,938,750
40,632 Times Mirror Co................ 2,600,448
36,300 Tribune Co..................... 2,427,563
-----------
18,484,461
-----------
PUBLISHING/PRINTING - 0.31%
50,800 Deluxe Corp.................... 1,704,975
64,500 Dun & Bradstreet Corp.......... 2,176,875
19,217 Harcourt General, Inc.......... 1,047,327
30,100 McGraw-Hill, Inc............... 2,353,443
21,600 Moore Corp. Ltd................ 313,200
71,800 R R Donnelley and Son.......... 3,231,000
-----------
10,826,820
-----------
RAILROAD - 0.60%
68,517 Burlington Northern Santa Fe... 6,817,441
76,600 CSX Corp....................... 3,648,075
170,400 Norfolk Southern Corp.......... 5,335,650
103,600 Union Pacific Corp............. 5,011,650
-----------
20,812,816
-----------
RESTAURANTS - 0.65%
55,800 Darden Restaurants, Inc........ 861,413
285,000 McDonald's Corp................ 18,703,124
77,920* Tricon Global Restaurants, Inc. 2,420,390
30,000 Wendy's International, Inc..... 740,625
-----------
22,725,552
-----------
SAVINGS & LOAN - 0.38%
25,100 Golden West Financial Corp..... 2,710,800
31,700 H.F. Ahmanson & Co............. 2,417,125
113,925 Washington Mutual, Inc......... 8,045,953
-----------
13,173,878
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
SECURITIES RELATED - 1.22%
97,650 Charles Schwab Corp............ $ 3,222,450
95,500 Franklin Resources, Inc........ 4,667,562
45,600 Lehman Brothers Hldings, Inc... 3,234,750
134,900 Merrill Lynch & Co., Inc....... 12,073,550
249,201 Morgan St Dean Witter Discover. 19,453,254
-----------
42,651,566
-----------
SEMICONDUCTOR EQUIPMENT - 0.19%
158,000* Applied Materials, Inc......... 5,056,000
42,600* KLA-Tencor Corp................ 1,443,075
-----------
6,499,075
-----------
SEMICONDUCTORS - 2.21%
57,700* Advanced Micro Devices, Inc.... 1,125,150
653,300 Intel Corp..................... 46,670,118
55,500* LSI Logic Corp................. 1,182,844
93,300* Micron Technology, Inc......... 2,198,381
231,600 Motorola, Inc.................. 12,260,325
51,000* National Semiconductor Corp.... 828,750
95,400 Rockwell International Corp.... 5,247,000
146,900 Texas Instruments Inc.......... 7,546,988
-----------
77,059,556
-----------
TELECOMMUNICATIONS - 2.70%
211,200* Airtouch Communications, Inc... 10,058,400
56,300 ALLTEL Corp.................... 2,220,331
32,335* Andrew Corp.................... 710,361
57,000* DSC Communications Corp........ 974,347
54,300 Frontier Corp.................. 1,652,756
43,800 Harris Corp.................... 2,110,613
515,980 Lucent Technologies, Inc....... 36,602,330
89,900* Nextel Communications, Inc.
Class A....................... 2,118,269
203,200 Northern Telecom Ltd........... 13,004,800
29,500 Scientific-Atlanta, Inc........ 650,844
80,100* Tellabs, Inc................... 5,504,376
402,600* WorldCom, Inc.................. 18,318,300
-----------
93,925,727
-----------
TEXTILE - PRODUCTS - 0.09%
26,100 Russell Corp................... 711,225
48,800 V F Corp....................... 2,595,550
-----------
3,306,775
-----------
</TABLE>
<PAGE> 10
================================================================================
STOCK INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 9
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
TOBACCO - 1.13%
981,900 Philip Morris Cos Inc.......... $36,698,512
94,300 UST Inc........................ 2,510,738
-----------
39,209,250
-----------
UTILITIES - COMMUNICATION - 5.50%
654,926 AT & T Corp.................... 39,868,620
451,400 Ameritech Corp................. 19,156,288
327,505 Bell Atlantic Corp............. 30,007,646
384,700 BellSouth Corp................. 24,813,149
403,300 GTE Corp....................... 23,517,431
285,000 MCI Communications Corp........ 15,238,608
733,358 SBC Communications, Inc........ 28,509,291
145,500 Sprint Corp.................... 10,439,625
-----------
191,550,658
-----------
UTILITIES - ELECTRIC - 2.39%
38,300 Ameren Corp.................... 1,498,488
67,000 American Electric Power, Inc... 3,040,125
35,200 Baltimore Gas and Electric Co.. 1,071,400
60,100 Carolina Power & Light Co...... 2,464,100
105,700 Central & South West Corp...... 2,794,444
42,964 Cinergy Corp................... 1,388,274
114,200 Consolidated Edison, Inc....... 4,889,187
57,650 Dominion Resources, Inc........ 2,287,984
42,300 DTE Energy Co.................. 1,673,494
154,451 Duke Energy Corp............... 8,900,238
170,200 Edison International........... 5,020,900
126,300 Entergy Corp................... 3,323,269
74,200 FirstEnergy Corp............... 2,202,813
87,100 FPL Group, Inc................. 5,351,206
32,600 GPU Inc........................ 1,255,100
168,979 Houston Industries, Inc........ 4,837,023
37,500* Niagara Mohawk Power Corp...... 464,063
26,000 Northern States Power Co....... 1,478,750
161,800 P G & E Corp................... 5,096,700
44,500 P P & L Resources Inc.......... 984,563
85,800 PacifiCorp..................... 1,978,763
109,300 Peco Energy Co................. 3,087,725
121,150 Public Serv Enterprise Group... 4,005,522
262,200 Southern Co.................... 6,964,687
109,420 Texas Utilities Co............. 4,322,090
83,800 Unicom Corp.................... 2,880,625
-----------
83,261,533
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
----------- -----------
<S> <C> <C>
UTILITIES - GAS, DISTRIBUTION - 0.03%
23,700 NICOR Inc...................... $ 915,413
-------------
UTILITIES - GAS, PIPELINE - 0.56%
25,200 Columbia Energy Group.......... 2,126,250
44,100 Consolidated Natural Gas Co.... 2,494,406
142,000 Enron Corp..................... 7,117,750
18,300 ONEOK Inc...................... 714,844
16,400 Pacific Enterprises............ 624,225
2,200 Peoples Energy Corp............ 81,125
196,500 Williams Companies, Inc........ 6,373,969
-------------
19,532,569
-------------
TOTAL COMMON STOCKS
(Cost $1,669,898,794)........ 3,456,579,262
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
-----------
<C> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 0.52%
FINANCE COMPANIES - 0.14%
$5,060,000 Ford Motor Credit Co.
5.45% due 6/1/98.............. 5,060,000
-----------
SECURITIES RELATED - 0.38%
Merrill Lynch & Co.:
7,248,000 5.60% due 6/3/98.............. 7,245,745
6,000,000 5.58% due 6/2/98.............. 5,999,070
-----------
13,244,815
-----------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $18,304,815)............. 18,304,815
-----------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.04%
U.S. TREASURY BILLS - 0.04%
United States Treasury Bills:
1,100,000 4.94% due 6/4/98.............. 1,099,547
100,000 4.91% due 6/4/98.............. 99,959
100,000 4.85% due 6/4/98.............. 99,960
-----------
1,299,466
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
-----------
<S> <C>
TOTAL UNITED STATES GOVERNMENT
SHORT TERM
(Cost $1,299,466)............ $ 1,299,466
--------------
TOTAL INVESTMENTS
(Cost $1,689,503,075) -
99.81%.................... 3,476,183,543
Other assets and liabilities,
net - 0.19%.................. 6,471,280
--------------
NET ASSETS (equivalent
to $33.38 per share on
104,333,547 shares
outstanding) - 100%......... $3,482,654,823
--------------
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- ------------- -------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/98)
71(2) S&P 500 Index Futures
(June/$1,090.80)........... $ (390,837)
-------------
</TABLE>
(1)U.S.Treasury Bills with a market value of
approximately $1,300,000 were maintained
in a segregated account with a portion
placed as collateral for futures
contracts.
(2)Per 250
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
104,333,547 shares outstanding........ $ 1,043,335
Additional paid in capital.............. 1,679,728,220
Undistributed net realized gain on
securities......................... 15,215,726
Undistributed net investment income..... 377,911
--------------
Unrealized appreciation (depreciation) of:
Investments........... $1,786,680,468
Futures .............. (390,837) 1,786,289,631
------------- --------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING........................... $3,482,654,823
==============
</TABLE>
<PAGE> 11
================================================================================
STOCK INDEX FUND - FINANCIAL STATEMENTS
10
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends ............................................................................... $ 47,362,348
Interest ................................................................................ 1,373,987
------------
Total investment income ............................................................... 48,736,335
------------
EXPENSES:
Advisory fees ........................................................................... 7,946,046
Custodian and accounting services ....................................................... 669,324
Reports to shareholders ................................................................. 249,861
Audit fees and tax services ............................................................. 83,909
Directors' fees and expenses ............................................................ 58,141
Miscellaneous ........................................................................... 161,192
------------
Total expenses ........................................................................ 9,168,473
------------
NET INVESTMENT INCOME ................................................................... 39,567,862
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on:
Investments ........................................................ $ 10,730,926
Futures contracts .................................................. 6,012,002 16,742,928
------------
Net unrealized appreciation (depreciation) during the year:
Investments ........................................................ 714,529,418
Futures contracts .................................................. (714,337) 713,815,081
------------ ------------
Net realized and unrealized gain on securities during the year ........................ 730,558,009
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ........................................ $770,125,871
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
--------------- ---------------
<S> <C> <C>
OPERATIONS:
Net investment income ........................................... $ 39,567,862 $ 35,492,537
Net realized gain on securities ................................. 16,742,928 14,778,898
Net unrealized appreciation of securities during the year ....... 713,815,081 489,128,221
--------------- ---------------
Increase in net assets resulting from operations .............. 770,125,871 539,399,656
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ........................................... (39,570,522) (35,484,625)
Net realized gain on securities ................................. (14,847,655) (14,806,928)
--------------- ---------------
Decrease in net assets resulting from distributions
to shareholders ............................................... (54,418,177) (50,291,553)
--------------- ---------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ................................ 367,059,600 241,746,270
Proceeds from capital stock issued for distributions
reinvested .................................................... 54,418,177 50,291,553
--------------- ---------------
421,477,777 292,037,823
Cost of capital stock repurchased ............................... (98,730,173) (97,732,690)
--------------- ---------------
Increase in net assets resulting from capital stock
transactions .................................................. 322,747,604 194,305,133
--------------- ---------------
TOTAL INCREASE IN NET ASSETS .................................... 1,038,455,298 683,413,236
NET ASSETS:
Beginning of year ............................................... 2,444,199,525 1,760,786,289
--------------- ---------------
End of year (including undistributed net investment income
of $377,911 and $380,571) ..................................... $ 3,482,654,823 $ 2,444,199,525
=============== ===============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold .................................... 12,118,343 10,718,393
Shares issued for distributions reinvested ...................... 1,806,919 2,200,590
Shares of capital stock repurchased ............................. (3,279,150) (4,348,853)
--------------- ---------------
Increase in shares outstanding ................................ 10,646,112 8,570,130
Shares outstanding:
Beginning of year ............................................. 93,687,435 85,117,305
--------------- ---------------
End of year ................................................... 104,333,547 93,687,435
=============== ===============
</TABLE>
<PAGE> 12
================================================================================
MIDCAP INDEX FUND - STATEMENT OF NET ASSETS
May 31, 1998 11
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
COMMON STOCKS - 99.36%
AEROSPACE/DEFENSE - 0.93%
29,180 Gencorp Inc.................... $ 869,929
49,400* SCI Systems, Inc............... 1,685,775
7,500* Sequa Corp. Class A............ 518,438
51,874 Sunstrand Corp................. 3,216,188
29,420 Teleflex Inc................... 1,189,671
-----------
7,480,001
-----------
AIRLINES - 0.22%
13,021* Alaska Air Group, Inc.......... 603,035
28,974 ASA Holdings, Inc.............. 1,139,040
-----------
1,742,075
-----------
APPAREL & PRODUCTS - 0.89%
77,306 Cintas Corp.................... 3,531,918
43,671 Claire's Stores, Inc........... 821,561
27,324* Land's End, Inc................ 882,907
47,000 Warnaco Group Inc. Class A..... 1,938,750
-----------
7,175,136
-----------
APPLIANCES/FURNISHINGS - 0.99%
39,859 Heilig-Meyers Co............... 478,308
79,656 Herman Miller, Inc............. 2,205,476
37,801 Lancaster Colony Corp.......... 1,516,765
75,176 Leggett & Platt, Inc........... 3,777,594
-----------
7,978,143
-----------
AUTO - CARS - 0.75%
130,340 Harley-Davidson, Inc........... 4,659,655
57,000 Meritor Automotive, Inc........ 1,371,563
-----------
6,031,218
-----------
AUTO - ORIGINAL EQUIPMENT - 1.34%
19,725 Arvin Industries, Inc.......... 731,058
22,900 Carlisle Cos Inc............... 1,107,788
46,942 Danaher Corp................... 3,394,493
38,836 Donaldson Co., Inc............. 847,110
34,670 Federal-Mogul Corp............. 2,052,031
50,245 Mark IV Industries, Inc........ 1,105,390
24,928 Modine Manufacturing Co........ 847,552
23,200 Superior Industries
International, Inc........... 675,700
-----------
10,761,122
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
AUTO - REPLACEMENT PARTS - 0.16%
31,642 Kaydon Corp.................... $ 1,247,881
-----------
BANKS - OTHER - 1.48%
109,204 First Tennessee National Corp.. 3,467,227
116,100 Firstar Corp................... 4,259,418
70,900 Union Planters Corp............ 4,147,650
-----------
11,874,295
-----------
BANKS - REGIONAL - 5.81%
40,000 Associated Banc-Corp........... 1,980,000
38,455 City National Corp............. 1,413,221
88,972 Crestar Financial Corp......... 5,110,328
139,211 First Security Corp............ 3,167,050
39,862 First Virginia Banks, Inc...... 2,082,790
106,400 Hibernia Corp. Class A......... 2,234,400
79,448 Marshall & Ilsley Corp......... 4,290,192
57,534 Mercantile Bankshares Corp..... 2,049,649
106,650 North Fork Bancorporation Inc.. 2,566,266
76,400 Old Kent Financial Corp........ 3,046,450
64,468 Pacific Century Finl Corp...... 1,615,729
112,718 Regions Financial Corp......... 4,635,528
132,030 SouthTrust Corp................ 5,355,466
73,000 TCF Financial Corp............. 2,377,063
28,678 Wilmington Trust Corp.......... 1,738,604
59,700 Zions Bancorporation........... 3,044,700
-----------
46,707,436
-----------
BEVERAGE - SOFT DRINKS - 1.47%
314,009 Coca Cola Enterprises, Inc..... 11,794,963
-----------
BROADCASTING - 0.66%
50,228 A.H. Belo Corp................. 2,586,741
26,192* Chris-Craft Industries, Inc.... 1,376,717
22,416 TCA Cable TV, Inc.............. 1,365,975
-----------
5,329,433
-----------
BUILDING MATERIALS - 1.39%
18,366 CalMat Co...................... 461,446
34,000 Fastenal Co.................... 1,683,000
49,050 Hon Industries Inc............. 1,569,600
38,500 Martin Marietta Materials...... 1,771,000
79,456 RPM, Inc....................... 1,350,751
17,900 Southdown, Inc................. 1,174,687
28,200 Vulcan Materials Co............ 3,200,700
-----------
11,211,184
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
CHEMICAL - MAJOR - 0.63%
44,425 Albemarle Corp................. $ 1,080,083
18,700 Borg-Warner Automotive, Inc.... 1,065,900
106,100 Solutia Inc.................... 2,911,119
-----------
5,057,102
-----------
CHEMICAL - MISCELLANEOUS - 2.28%
29,173 A. Schulman, Inc............... 579,813
53,200* Airgas, Inc.................... 807,975
27,080 Betz Laboratories, Inc......... 1,333,690
64,937 Crompton & Knowles Corp........ 1,749,240
36,000* Cytec Industries, Inc.......... 1,764,000
19,368 Dexter Corp.................... 798,930
49,000 Ethyl Corp..................... 346,063
31,570 Ferro Corp..................... 903,691
26,833 Georgia Gulf Corp.............. 672,502
11,264 H.B. Fuller Co................. 705,408
37,193 Lawter International, Inc...... 357,983
52,619 Lubrizol Corp.................. 1,828,510
64,278 Lyondell Petrochemical Co...... 2,004,670
42,336 M.A. Hanna Co.................. 849,366
18,100 Minerals Technologies Inc...... 958,169
5,955 NCH Corp....................... 379,259
40,242 Olin Corp...................... 1,740,467
28,425 Rollins, Inc................... 586,266
-----------
18,366,002
-----------
CONGLOMERATES - 1.36%
39,698 Alexander & Baldwin, Inc....... 1,141,318
80,900 Dial Corp...................... 2,007,331
37,000* Litton Industries, Inc......... 2,143,687
6,200 MAXXAM, Inc.................... 365,413
40,200 Ogden Corp..................... 1,148,213
78,400 Viad Corp...................... 2,116,800
91,500 Whitman Corp................... 1,984,406
-----------
10,907,168
-----------
CONSUMER FINANCE - 0.71%
56,900 Capital One Financial Corp..... 5,679,331
-----------
CONTAINERS - PAPER - 0.46%
18,914 Chesapeake Corp................ 671,447
86,280 Sonoco Products Co............. 3,014,394
-----------
3,685,841
-----------
</TABLE>
<PAGE> 13
================================================================================
MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
12 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
DRUGS - 4.03%
44,180 Bergen Brunswig Corp. Cl A..... $ 1,833,470
63,552* Biogen, Inc.................... 2,796,288
37,246 Carter-Wallace Inc............. 663,444
59,488* Centocor, Inc.................. 2,320,032
139,180 Chiron Corp.................... 2,513,939
55,625* Covance Inc.................... 1,178,555
66,482* Forest Laboratories, Inc....... 2,193,906
61,442* Genzyme Corp................... 1,681,975
56,700 ICN Pharmaceuticals, Inc....... 2,448,731
109,736* IVAX Corp...................... 1,008,200
73,700 McKesson Corp.................. 5,757,812
105,534 Mylan Laboratories Inc......... 3,166,020
19,100 R.P. Scherer Corp.............. 1,576,944
75,500* Watson Pharmaceuticals, Inc.... 3,303,125
-----------
32,442,441
-----------
ELECTRICAL EQUIPMENT - 1.59%
82,086* American Power Conversion...... 2,462,580
29,031 AMETEK, Inc.................... 838,270
53,970 Hubbell Inc. Class B........... 2,539,963
125,957 Molex Inc...................... 3,511,051
68,846* Teradyne, Inc.................. 2,117,015
41,800* UCAR International, Inc........ 1,337,600
-----------
12,806,479
-----------
ELECTRONIC INSTRUMENTS - 1.24%
80,552* Arrow Electronics, Inc......... 2,028,904
39,450* Imation Corp................... 717,497
72,000* Integrated Device Technology... 675,000
25,521* MagnaTek, Inc.................. 432,262
33,800 Pittston Brink's Group......... 1,307,638
59,579* Sensormatic Electronics Corp... 763,356
47,413 Symbol Technologies, Inc....... 1,668,345
24,316 Varian Associates, Inc......... 1,168,688
54,313* Vishay Intertechnology, Inc... 1,211,867
-----------
9,973,557
-----------
ENTERTAINMENT - 0.14%
34,800* GTECH Holdings Corp............ 1,128,825
-----------
FERTLIIZERS - 0.36%
88,946* IMC Global, Inc................ 2,890,745
-----------
FINANCE COMPANIES - 0.41%
59,800 Finova Group, Inc.............. 3,307,688
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
FOODS - 2.99%
32,282 Dean Foods Co.................. $ 1,589,889
48,109 Dole Food Co., Inc............. 2,222,034
27,036 Dreyer's Grand Ice Cream, Inc.. 684,349
80,204 Flowers Industries, Inc........ 1,654,208
63,000 Hormel Foods Corp.............. 2,118,375
74,000 IBP, Inc....................... 1,433,750
14,612 International Multifoods Corp.. 434,707
59,600 Interstate Bakeries Corp....... 1,922,100
22,871 J.M. Smucker Co. Class A....... 544,616
24,771 Lance, Inc..................... 520,191
67,178 McCormick & Co., Inc........... 2,250,463
34,621 Trinity Industries, Inc........ 1,653,153
182,386 Tyson Foods, Inc. Class A...... 3,852,903
39,200* U. S. Foodservice.............. 1,298,500
44,258 Universal Foods Corp........... 1,053,894
37,200* Vlasic Foods Int'l Inc......... 806,775
-----------
24,039,907
-----------
FOOTWEAR - 0.36%
28,800* Nine West Group, Inc........... 811,800
30,100* Payless ShoeSource, Inc........ 2,108,881
-----------
2,920,681
-----------
FREIGHT - 0.37%
37,246 Airborne Freight Corp.......... 1,387,413
34,700 J.B. Hunt Transport Services,
Inc.......................... 1,038,831
30,271 Overseas Shipholding Group..... 586,501
Inc. -----------
3,012,745
-----------
FUNERAL SERVICES - 0.29%
86,200 Stewart Enterprises Inc........ 2,327,400
-----------
HEALTHCARE - 3.34%
45,000 Allegiance Corp................ 2,250,000
49,000* Apria Healthcare Group, Inc.... 373,625
426* Coram Healthcare Corp.......... 879
26,286* First Health Group Corp........ 1,493,373
104,949* Foundation Health Systems
Class A...................... 3,194,385
131,600 Health Management Assoc........ 3,923,325
49,391* NovaCare, Inc.................. 543,301
63,000 Omnicare, Inc.................. 2,208,938
65,500* Oxford Health Plans, Inc....... 1,129,875
34,574* PacifiCare Health System, Inc.
Class B....................... 2,856,678
59,700* Quintiles Transnational Corp... 2,902,912
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
HEALTHCARE - Continued
66,800* Quorum Health Group Inc........ $ 2,008,175
78,000* Sybron International Corp...... 1,867,125
67,900* Total Renal Care Holdings...... 2,083,681
-----------
26,836,272
-----------
HEAVY DUTY TRUCKS/PARTS - 0.20%
17,000 Bandag, Inc.................... 786,250
37,404 Federal Signal Corp............ 836,915
-----------
1,623,165
-----------
HOME BUILDERS - 0.22%
95,125 Clayton Homes, Inc............. 1,789,539
-----------
HOSPITAL MANAGEMENT - 0.51%
87,000* Beverly Enterprises, Inc....... 1,245,188
43,400* Concentra Managed Care, Inc.... 1,014,475
36,900 Health Care & Retirement Corp.. 1,427,568
60,400* Medaphis Corp.................. 453,000
-----------
4,140,231
-----------
HOSPITAL SUPPLIES - 1.38%
11,410 ATL Ultrasound, Inc............ 517,017
26,335* Acuson Corp.................... 503,658
22,733 Beckman Coulter Inc............ 1,267,366
43,400 DENTSPLY International Inc..... 1,464,751
55,200 Hillenbrand Industries, Inc.... 3,408,601
62,700* PSS World Medical, Inc......... 783,750
77,082 Stryker Corp................... 3,141,093
-----------
11,086,236
-----------
HOUSEHOLD PRODUCTS - 0.89%
59,700* Bed Bath & Beyond, Inc......... 2,996,194
16,014 Church & Dwight Co., Inc....... 485,424
22,300* Culligan Water Technologies.... 1,244,619
32,446 First Brands Corp.............. 807,094
50,200 Premark International Inc...... 1,609,538
-----------
7,142,869
-----------
HUMAN RESOURCES - 1.08%
30,603 Kelly Services Inc. Class A.... 1,124,660
65,800 Manpower Inc................... 2,825,288
63,950 Olsten Corp.................... 795,378
77,700* Robert Half International, Inc. 3,933,562
-----------
8,678,888
-----------
</TABLE>
<PAGE> 14
================================================================================
MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 13
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
INFORMATION PROCESSING - 10.42%
46,373* A.C. Nielson................... $ 1,197,003
173,300* America Online, Inc............ 14,438,056
171,808* BMC Software, Inc.............. 7,913,906
59,458 Comdisco, Inc.................. 2,162,785
146,000* Compuware Corp................. 6,706,875
35,000 Comverse Technology, Inc....... 1,748,908
58,051 Diebold, Inc................... 1,697,992
48,900* Electronic Arts................ 2,127,150
45,864* Fiserv, Inc.................... 2,704,545
22,768* Information Resources, Inc..... 398,440
125,700* Informix Corp.................. 856,331
54,800* Keane, Inc..................... 2,459,150
56,800* Lexmark Intl Group, Inc........ 3,152,400
52,107* Mentor Graphics Corp........... 576,434
86,373* NCR Corp....................... 2,931,284
60,300* Networks Associates, Inc....... 3,693,375
16,971 OEA, Inc....................... 290,628
140,286 Paychex, Inc................... 5,050,279
14,618* Policy Management Systems
Corp.......................... 1,205,985
112,492* Quantum Corp................... 2,460,763
73,208 Reynolds and Reynolds Co.
Class A...................... 1,532,793
35,225* Sequent Computer Systems, Inc.. 583,414
92,000* Solectron Corp................. 3,806,500
74,152* Sterling Commerce Inc.......... 2,942,908
58,500* Sterling Software, Inc......... 1,590,469
45,990* Storage Technology Corp........ 3,857,411
18,525* Stratus Computer, Inc.......... 668,058
32,595* Structural Dynamic Research
Corp......................... 825,061
88,100* SunGard Data Systems, Inc...... 3,006,413
50,612* Symantec Corp.................. 1,208,362
-----------
83,793,678
-----------
INSURANCE - CASUALTY - 0.52%
47,333 American Financial Group, Inc.. 2,138,860
27,027 Transatlantic Holdings, Inc.... 2,021,958
-----------
4,160,818
-----------
INSURANCE - MISCELLANEOUS - 0.82%
61,500 AMBAC Financial Group Inc...... 3,363,281
24,699 HSB Group Inc.................. 1,086,756
29,000 PMI Group Inc.................. 2,180,438
-----------
6,630,475
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
INSURANCE - MULTILINE - 1.75%
110,025 AFLAC Inc...................... $ 7,034,723
107,100 Old Republic International
Corp......................... 3,052,350
108,172 Provident Companies Inc........ 3,988,843
-----------
14,075,916
-----------
LEISURE TIME - 0.63%
66,400 Callaway Golf Co............... 1,369,500
78,425* Circus Circus Enterprises...... 1,392,044
92,802 International Game Technology.. 2,291,049
-----------
5,052,593
-----------
LODGING - 0.40%
74,257* Promus Hotel Corp.............. 3,211,615
-----------
MACHINERY - AGRICULTURE - 0.16%
50,200 AGCO Corp...................... 1,261,275
-----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.14%
15,171 Granite Construction, Inc...... 428,581
21,268* Jacobs Engineering Group, Inc.. 683,235
-----------
1,111,816
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.05%
24,573 Albany International Corp.
Class A...................... 712,617
29,722 Cordant Technologies Inc....... 1,482,385
28,718 Flowserve Corp................. 832,822
27,800 Newport News Shipbuilding...... 778,400
14,414 Nordson Corp................... 655,837
26,633 Stewart & Stevenson Services,
Inc.......................... 552,635
17,600 Tecumseh Products Co. Class A.. 877,800
53,292 Tidewater, Inc................. 2,025,096
21,724 Watts Industries, Inc. Class A. 506,441
-----------
8,424,033
-----------
MERCHANDISE - DRUG - 0.09%
62,900* Perrigo Co..................... 691,900
-----------
MERCHANDISE - SPECIALTY - 4.79%
28,386* BJ's Wholesale Club Inc........ 1,121,247
53,500* Barnes & Noble, Inc............ 1,812,313
72,400* Best Buy Co., Inc.............. 2,362,050
75,400* CompUSA, Inc................... 1,187,550
120,190 Dollar General Corp............ 4,582,243
15,764 Enesco Group Inc............... 481,787
37,100 Fingerhut Companies, Inc....... 1,087,494
70,800* General Nutrition Cos., Inc.... 2,234,625
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
MERCHANDISE - SPECIALTY - Continued
125,800* Kohl's Corp.................... $ 5,983,363
28,500* Micro Warehouse, Inc........... 498,750
130,437* Office Depot, Inc.............. 3,847,892
110,300* OfficeMax, Inc................. 1,813,056
45,311 Sotheby's Holdings, Inc.
Class A...................... 1,042,153
206,225* Staples, Inc................... 5,181,403
29,436 Tiffany & Co................... 1,409,249
114,200* US Office Products, Co......... 1,934,263
68,900 Viking Office Products, Inc.... 1,970,113
-----------
38,549,551
-----------
MERCHANDISING - DEPARTMENT - 0.52%
75,400* Proffit's Inc.................. 2,959,450
52,500* Saks Holding, Inc.............. 1,237,031
-----------
4,196,481
-----------
MERCHANDISING - FOOD - 0.27%
34,700 Hannaford Bros. Co............. 1,533,306
36,200 Ruddick Corp................... 647,075
-----------
2,180,381
-----------
MERCHANDISING - MASS - 0.93%
141,720 Family Dollar Stores, Inc...... 2,347,238
119,900* Fred Meyer, Inc................ 5,155,700
-----------
7,502,938
-----------
METALS - ALUMINUM - 0.26%
44,167* Alumax Inc..................... 2,067,568
-----------
METALS - MISCELLANEOUS - 0.31%
13,600 Brush Wellman Inc.............. 331,500
21,306 Kennametal, Inc................ 1,025,351
19,350 Precision Castparts Corp....... 1,115,044
-----------
2,471,895
-----------
METALS - STEEL - 0.55%
47,800 AK Steel Holding Corp.......... 890,275
15,710 Carpenter Technology Corp...... 832,630
9,157 Cleveland-Cliffs Inc........... 484,749
39,742 Harsco Corp.................... 1,733,745
21,123 Oregon Steel Mills, Inc........ 510,913
-----------
4,452,312
-----------
MISCELLANEOUS - 0.18%
65,400* Corrections Corp. of America... 1,487,850
-----------
</TABLE>
<PAGE> 15
================================================================================
MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
14 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
MULTIMEDIA - 1.08%
176,956* Cadence Design Systems, Inc.... $ 6,237,699
57,300* Synopsys Inc................... 2,460,319
-----------
8,698,018
-----------
NATURAL GAS - DIVERSIFIED - 0.79%
104,400 El Paso Natural Gas Co......... 4,032,450
33,343 Questar Corp................... 1,352,475
59,632* Seagull Energy Corp............ 987,655
-----------
6,372,580
-----------
OIL - INTEGRATED DOMESTIC - 0.08%
37,114 Quaker State Corp.............. 628,618
-----------
OIL - INTEGRATED
INTERNATIONAL - 0.23%
36,446 Murphy Oil Corp................ 1,833,689
-----------
OIL - SERVICE - PRODUCTS - 1.37%
61,842* BJ Services Co................. 2,021,460
79,168* Evi Weatherford Inc,........... 4,002,928
105,700 Noble Drilling Corp............ 3,118,150
61,125* Parker Drilling Co............. 515,742
51,372* Varco International, Inc....... 1,338,883
-----------
10,997,163
-----------
OIL - SERVICES - 2.45%
32,900 Camco International, Inc....... 2,294,775
115,700 ENSCO International, Inc....... 2,928,656
137,915* Global Marine Inc.............. 3,077,229
87,439* Nabors Industries, Inc......... 2,060,281
33,446* Smith International, Inc....... 1,640,944
85,300 Transocean Offshore, Inc....... 4,206,357
46,046 Witco Corp..................... 1,746,870
34,300 York International Corp........ 1,715,000
-----------
19,670,112
-----------
OIL/GAS PRODUCERS - 1.50%
55,380 Cabot Corp..................... 1,844,846
49,935* Noble Affiliates, Inc.......... 1,950,586
86,670* Ocean Energy, Inc.............. 1,738,817
89,300 Pioneer Natural Resources Corp. 2,098,550
85,366* Ranger Oil Ltd................. 549,544
74,380 Ultramar Diamond Shamrock Corp. 2,375,511
46,991 Valero Energy Corp............. 1,533,081
-----------
12,090,935
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
PAPER/FOREST PRODUCTS - 1.48%
36,339 Bowater Inc.................... $ 1,839,662
72,070 Consolidated Papers, Inc....... 2,085,526
79,200 Georgia-Pacific Corp. Timber
Group........................ 1,866,150
40,939 Longview Fibre Co.............. 675,494
33,300 P. H. Glatfelter Co............ 543,206
30,676 Pentair Inc.................... 1,345,910
23,100 Rayonier Inc................... 1,084,256
23,570 Standard Register Co........... 849,993
57,016 Unisource Worldwide, Inc....... 730,518
40,061 Wausau-Mosinee Paper Corp...... 856,304
-----------
11,877,019
-----------
POLLUTION CONTROL - 1.39%
33,033 Calgon Carbon Corp............. 353,040
81,400* United States Filter Corp...... 2,477,613
176,500* USA Waste Services, Inc........ 8,328,594
-----------
11,159,247
-----------
PUBLISHING - NEWS - 0.83%
34,700 Lee Enterprises, Inc........... 1,054,012
22,168 Media General, Inc. Class A.... 1,019,728
8,561 Washington Post Co. Class B.... 4,625,080
-----------
6,698,820
-----------
PUBLISHING/PRINTING - 0.40%
23,886 Banta Corp..................... 756,888
29,232 Houghton Mifflin Co............ 1,015,812
12,900* Scholastic Corp................ 516,000
34,928 Wallace Computer Svcs, Inc..... 934,324
-----------
3,223,024
-----------
RAILROAD - 0.86%
20,612 GATX Corp...................... 1,692,760
13,359 Illinois Central Corp.......... 495,953
88,796 Kansas City Southern Ind....... 3,762,730
41,500* Wisconsin Central Transport.... 972,656
-----------
6,924,099
-----------
RESTAURANTS - 1.31%
36,633 Bob Evans Farms, Inc........... 780,741
61,155* Brinker International, Inc..... 1,330,121
37,432* Buffets, Inc................... 610,610
48,966 Cracker Barrel, Inc............ 1,579,153
33,100* Lone Star Steakhouse & Saloon.. 558,563
43,500* Outback Steakhouse Inc......... 1,604,062
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
RESTAURANTS - Continued
16,888* Sbarro, Inc.................... $ 493,974
75,000* Starbucks Corp................. 3,600,000
-----------
10,557,224
-----------
SAVINGS & LOAN - 0.83%
109,700 Charter One Financial, Inc..... 3,757,225
99,000 Dime Bancorp, Inc.............. 2,889,563
-----------
6,646,788
-----------
SECURITIES RELATED - 1.82%
96,014 A.G. Edwards, Inc.............. 3,882,567
111,184 Bear Stearns Co. Inc........... 6,031,730
109,200 Paine Webber Group Inc......... 4,688,775
-----------
14,603,072
-----------
SEMICONDUCTORS - 2.56%
73,540* Altera Corp.................... 2,472,783
129,938* Analog Devices, Inc............ 3,207,836
82,200* Atmel Corp..................... 1,217,588
36,188 Avnet, Inc..................... 2,135,091
56,136 Cirrus Logic, Inc.............. 561,360
74,982* Cypress Semiconductor Corp..... 642,033
62,554 Linear Technology Corp......... 4,374,870
110,500 Maxim Integrated Products, Inc. 3,687,937
61,281* Xilinx, Inc.................... 2,330,596
-----------
20,630,094
-----------
TELECOMMUNICATIONS - 1.75%
110,128* ADC Communications, Inc........ 3,097,350
39,742 COMSAT Corp.................... 1,386,002
86,700 LCI International, Inc......... 3,245,831
56,900* QUALCOMM, Inc.................. 2,965,912
97,901* 360 Communications Co.......... 2,796,297
34,640* Vanguard Cellular Systems, Inc.
Class A....................... 621,355
-----------
14,112,747
-----------
TEXTILE - PRODUCTS - 1.00%
47,600* Burlington Industries, Inc..... 835,975
44,500 Jones Apparel Group, Inc....... 2,820,187
101,623 Shaw Industries Inc............ 1,625,968
55,429 Unifi, Inc..................... 2,158,266
24,984 Wellman, Inc................... 601,178
-----------
8,041,574
-----------
</TABLE>
<PAGE> 16
================================================================================
MIDCAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 15
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
TOBACCO - 0.13%
28,435 Universal Corp................. $ 1,068,090
-----------
TRUCKERS - 0.26%
20,214 Arnold Industries, Inc......... 315,844
42,700 CNF Transportation, Inc........ 1,753,368
-----------
2,069,212
-----------
UTILITIES - COMMUNICATION - 1.63%
28,818 Aliant Communications, Inc..... 668,217
72,675 Century Telephone Enterprises,
Inc.......................... 3,220,411
110,000 Cincinnati Bell, Inc........... 3,499,375
56,964 Southern New England Telecom... 3,667,057
47,791 Telephone and Data Systems..... 2,090,855
-----------
13,145,915
-----------
UTILITIES - ELECTRIC - 9.05%
140,472* AES Corp....................... 6,681,200
107,914 Allegheny Energy, Inc.......... 3,028,336
16,279 Black Hills Corp............... 357,121
62,300* Calenergy, Inc................. 1,884,575
27,916 Central Maine Power Co......... 533,894
18,459 Cleco Corp..................... 552,616
75,364 CMS Energy Corp................ 3,283,043
87,538 Conectiv, Inc.................. 1,789,058
55,421 Energy East Corp............... 2,251,478
79,262 Florida Progress Corp.......... 3,269,557
24,166 Hawaiian Electric Industries,
Inc.......................... 924,350
30,123 Idaho Power Co................. 1,029,830
68,300 Illinova Corp.................. 1,984,969
16,859 Indiana Energy, Inc............ 520,522
61,916 Interstate Energy Corp......... 1,861,350
39,564 IPALCO Enterprises, Inc........ 1,666,634
59,019 Kansas City Power & Light Co... 1,696,796
104,342 LG&E Energy Corp............... 2,771,583
75,334 Mid American Energy Holdings
Co........................... 1,567,888
23,218 Minnesota Power Inc............ 915,660
51,457 Montana Power Co............... 1,865,316
37,633 Nevada Power Co................ 898,488
92,322 New Century Energies, Inc...... 4,246,811
60,017 New England Electrical System.. 2,505,710
101,544 NIPSCO Industries, Inc......... 2,728,995
104,133* Northeast Utilities............ 1,659,620
32,946 OGE Energy Corp................ 1,766,729
68,023 Pinnacle West Capital Corp..... 3,056,783
106,964 Potomac Electric Power Co...... 2,613,933
33,537 Public Service Co. of
New Mexico................... 727,334
69,062 Puget Sound Energy Inc......... 1,804,245
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- -----------
<S> <C> <C>
UTILITIES - ELECTRIC - Continued
84,688 Scana Corp..................... $ 2,440,073
95,820 TECO Energy, Inc............... 2,509,286
45,388 UtiliCorp United Inc........... 1,614,111
34,424 Washington Gas Light Co........ 897,176
96,752 Wisconsin Energy Corp.......... 2,854,184
-----------
72,759,254
-----------
UTILITIES - GAS, DISTRIBUTION - 1.61%
45,536 AGL Resources, Inc............. 910,720
138,305* Keyspan Energy Corp............ 4,659,150
58,268 MCN Energy Group Inc........... 2,097,647
31,178 National Fuel Gas Co........... 1,321,168
125,446 Tosco Corp..................... 3,982,910
-----------
12,971,595
-----------
WATER SERVICES - 0.23%
64,000 American Water Works Co., Inc.. 1,880,000
-----------
TOTAL COMMON STOCKS
(Cost $534,296,502)............ 799,157,983
-----------
PAR
VALUE
- ----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 0.35%
FINANCE COMPANIES - 0.16%
$1,259,000 Ford Motor Credit Co.,
5.45% due 06/01/98.......... 1,259,000
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.19%
1,560,000 Cooper Industries, Inc.,
5.67% due 06/01/98.......... 1,560,000
-----------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $2,819,000).............. 2,819,000
-----------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.07%
U.S. TREASURY BILLS - 0.07%
United States Treasury Bills:
200,000 4.94 % due 6/4/98........... 199,918
250,000 4.74 % due 6/4/98........... 249,901
100,000 4.65 % due 6/4/98........... 99,961
-----------
549,780
-----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
------------
<S> <C> <C>
TOTAL UNITED STATES GOVERNMENT
SHORT TERM -
(Cost $549,780)................ $ 549,780
------------
TOTAL INVESTMENTS
(Cost $537,665,282) - 99.78%... 802,526,763
Other assets and liabilities,
net - 0.22%................... 1,790,866
------------
NET ASSETS (equivalent
to $25.27 per share on
31,829,893 shares
outstanding) -100%........... $804,317,629
============
* Non-income producing
UNREALIZED
CONTRACTS DEPRECIATION
- --------- ------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/98)
18 (2) S&P MidCap 400 Index Futures
(June/$357.75)................. $ (40,725)
===========
(1)U.S.Treasury Bills with a market value of
approximately $550,000 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,
31,829,893 shares outstanding........... $ 318,299
Additional paid in capital................ 471,400,467
Undistributed net realized gain on
securities.............................. 67,735,760
Undistributed net investment income....... 42,347
Unrealized appreciation (depreciation) of:
Investments........... $264,861,481
Futures............... (40,725) 264,820,756
------------ ------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $804,317,629
============
</TABLE>
<PAGE> 17
===============================================================================
MIDCAP INDEX FUND - FINANCIAL STATEMENTS
16
===============================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends............................................................................. $ 8,911,421
Interest.............................................................................. 609,816
------------
Total investment income............................................................. 9,521,237
------------
EXPENSES:
Advisory fees......................................................................... 2,313,256
Custodian and accounting services..................................................... 165,053
Reports to shareholders............................................................... 58,613
Audit fees and tax services........................................................... 18,922
Directors' fees and expenses.......................................................... 14,303
Miscellaneous......................................................................... 49,866
------------
Total expenses...................................................................... 2,620,013
------------
NET INVESTMENT INCOME................................................................. 6,901,224
------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments....................................................... $ 67,034,658
Futures contracts................................................. 1,444,055 68,478,713
------------
Net unrealized appreciation (depreciation) during the year:
Investments....................................................... 104,256,508
Futures contracts................................................. (160,580) 104,095,928
------------ ------------
Net realized and unrealized gain on securities during the year..................... 172,574,641
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS...................................... $179,475,865
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income............................................... $ 6,901,224 $ 6,894,820
Net realized gain on securities..................................... 68,478,713 39,709,142
Net unrealized appreciation of securities during the year........... 104,095,928 45,603,667
------------ ------------
Increase in net assets resulting from operations.................. 179,475,865 92,207,629
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................................... (6,915,741) (6,892,259)
Net realized gain on securities..................................... (39,892,715) (33,690,297)
------------ ------------
Decrease in net assets resulting from distributions
to shareholders.................................................. (46,808,456) (40,582,556)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.................................... 54,227,081 33,601,532
Proceeds from capital stock issued for distributions reinvested..... 46,808,456 40,582,556
------------ ------------
101,035,537 74,184,088
Cost of capital stock repurchased................................... (36,446,663) (59,435,374)
------------ ------------
Increase in net assets resulting from
capital stock transactions....................................... 64,588,874 14,748,714
------------ ------------
TOTAL INCREASE IN NET ASSETS........................................ 197,256,283 66,373,787
NET ASSETS:
Beginning of year................................................... 607,061,346 540,687,559
------------ ------------
End of year (including undistributed net investment income
of $42,347 and $ 56,864) ......................................... $804,317,629 $607,061,346
============ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold........................................ 2,234,398 1,775,391
Shares issued for distributions reinvested.......................... 1,997,359 2,124,784
Shares of capital stock repurchased ................................ (1,539,198) (3,084,568)
------------ ------------
Increase in shares outstanding.................................... 2,692,559 815,607
Shares outstanding:
Beginning of year................................................. 29,137,334 28,321,727
------------ ------------
End of year....................................................... 31,829,893 29,137,334
============ ============
</TABLE>
<PAGE> 18
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS
May 31, 1998 17
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
---------- ----------
<S> <C> <C>
COMMON STOCKS - 97.11%
ADVERTISING - 0.82%
9,025* ADVO, Inc...................... $ 226,189
4,300* American Business Information
Class B....................... 54,288
5,100* Catalina Marketing Corp........ 230,775
400 Grey Advertising, Inc.......... 178,800
4,525* HA-LO Industries, Inc.......... 139,992
6,000* Lamar Advertising Co........... 190,500
6,600* NFO Worldwide Inc.............. 112,200
9,200* National Media Corp............ 12,075
10,200* Outdoor Systems Inc............ 306,000
4,000* Snyder Communications, Inc..... 161,250
7,100 True North Communications Inc.. 225,868
6,900* Westwood One, Inc.............. 184,575
----------
2,022,512
----------
AEROSPACE/DEFENSE - 0.77%
2,300* Alliant Techsystems, Inc....... 148,350
6,700* Aviall, Inc.................... 97,988
1,600* Banner Aerospace, Inc.......... 18,900
6,600* BE Aerospace, Inc.............. 190,782
2,700 Cubic Corp..................... 79,313
9,800 EG & G, Inc.................... 308,700
5,200* Fairchild Corp. Class A........ 103,025
6,800 Gencorp Inc.................... 202,725
14,900* Geotek Communications, Inc..... 5,587
7,800* Orbital Sciences Corp.......... 318,825
3,400* Remec, Inc..................... 48,875
2,000* Sequa Corp. Class A............ 138,250
3,700* Tech-Sym Corp.................. 107,068
7,200* Trimble Navigation Ltd......... 141,750
----------
1,910,138
----------
AIRLINES - 0.56%
9,300* Airtran Holdings Inc........... 67,135
3,800* Alaska Air Group, Inc.......... 175,988
14,100* American West Holdings Corp.
Class B....................... 399,206
5,500 ASA Holdings, Inc.............. 216,219
3,300 Circle International Grp, Inc.. 89,306
6,100 Expeditors International
of WA......................... 244,000
----------
1,050* Mesaba Holdings, Inc........... 22,838
1,950* Midwest Express Holdings, Inc.. 55,940
11,100* Transport World Airls, Inc..... 115,162
----------
1,385,794
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
---------- ----------
<S> <C> <C>
APPAREL & PRODUCTS - 1.42%
1,800* Abercrombie and Fitch Co....... $ 76,050
9,400* Ann Taylor Stores Corp......... 205,038
5,600 Authentic Fitness Corp......... 101,850
1,000* Buckle, Inc.................... 51,000
11,925 Claire's Stores, Inc........... 224,339
6,300* Dress Barn, Inc................ 182,503
1,200 Fab Industries, Inc............ 32,550
8,900* Footstar Inc................... 393,269
2,900* Gadzooks, Inc.................. 80,928
6,200* Gymboree Corp.................. 98,038
6,000* Hartmarx Corp.................. 47,250
5,250 Kellwood Co.................... 173,578
5,300* Land's End, Inc................ 171,256
4,400 Mens Wearhouse, Inc............ 187,550
8,900* Nautica Enterprises, Inc....... 260,325
3,600 OshKosh B'Gosh, Inc. Class A... 138,600
900 Oxford Inds Inc................ 31,388
4,050* Pacific Sunwear of California.. 181,364
8,900 Phillips-Van Heusen Corp....... 115,700
3,600 St. John Knits, Inc............ 138,375
6,200* Stage Stores, Inc.............. 289,075
4,400 Talbots, Inc................... 125,675
2,400 UniFirst Corp.................. 61,800
2,400* Urban Outfitters, Inc.......... 39,300
3,700* Wet Seal, Inc.................. 111,000
----------
3,517,801
----------
APPLIANCES/FURNISHINGS - 1.14%
4,850 Bassett Furniture Industries... 147,925
5,000* CORT Business Services Corp.... 195,625
6,800 Ethan Allen Interiors Inc...... 342,125
15,600* Furniture Brands
International................. 460,200
8,997* Griffon Corp................... 124,833
17,500 Heilig-Meyers Co............... 210,000
5,800* Helen Of Troy, Ltd............. 110,925
4,100 Hunt Corp...................... 95,325
9,200 Kimball International, Inc.
Class B....................... 226,550
2,700 La-Z-Boy Chair Co.............. 138,206
9,085* Metromedia International
Group......................... 122,648
1,500 National Presto Industries..... 60,656
4,650 Oneida Ltd..................... 129,909
5,500* Renters Choice, Inc............ 146,439
2,850* SLI, Inc....................... 81,225
6,800* Windmere Corp.................. 215,475
9,523* Zenith Electronics Corp........ 4,285
----------
2,812,351
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
---------- ----------
<S> <C> <C>
AUTO - CARS - 0.09%
3,900* Budget Group, Inc.............. $ 115,050
5,100* United Auto Group, Inc......... 104,550
----------
219,600
----------
AUTO - ORIGINAL EQUIPMENT - 0.95%
5,900* Allen Telecom, Inc............. 70,800
5,000 Arvin Industries, Inc.......... 185,313
5,100 Breed Technologies, Inc........ 97,219
8,400 Carlisle Cos Inc............... 406,350
10,200 Donaldson Co., Inc............. 222,488
9,600 Federal-Mogul Corp............. 568,200
6,800 Hayes Lemmerz Intl, Inc........ 266,475
7,150* Miller Industries, Inc......... 50,944
5,700 Modine Manufacturing Co........ 193,800
5,100 Superior Industries
International, Inc............ 148,537
3,100* Tower Automotive, Inc.......... 145,505
----------
2,355,631
----------
AUTO - REPLACEMENT PARTS - 0.68%
2,800* Aftermarket Technology Corp.... 47,950
3,400 A.O. Smith Corp................ 171,700
15,100* Collins & Aikman Corp.......... 105,700
3,900 Discount Auto Parts, Inc....... 100,181
5,400 Furon Co....................... 86,063
8,200 Kaydon Corp.................... 323,388
3,457 Myers Industries, Inc.......... 73,029
1,600* O'Reilly Automotive, Inc....... 52,000
3,200* SPX Corp....................... 221,200
5,350 Simpson Industries, Inc........ 74,900
3,200* Standard Motor Products, Inc... 70,400
4,450 Standard Products Co. Class A.. 130,719
6,700* TBC Corp....................... 54,019
3,300* Walbro Corp.................... 34,031
6,468 Wynn's International, Inc...... 135,827
----------
1,681,107
----------
BANKS - OTHER - 0.41%
1 BankBoston Corp................ 105
700 Citizens Bancshares, Inc....... 48,913
1,600 Irwin Financial Corp........... 43,600
38,612 Sovereign Bancorp, Inc......... 682,950
14,200 Westernbank Puerto Rico........ 241,400
----------
1,016,968
----------
</TABLE>
<PAGE> 19
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS
18 May 31, 1998
===============================================================================
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
BANKS - REGIONAL - 6.45%
7,350 AMCORE Financial, Inc.......... $ 180,994
3,850 Anchor BanCorp Wisconsin, Inc.. 163,144
12,396 Associated Banc-Corp........... 613,602
1,207* BOK Financial Corp............. 59,747
2,600 BancFirst Corp................. 123,500
9,400 BancorpSouth, Inc.............. 200,338
1,785 Bank of Granite Corp........... 73,185
9,200 Bank United Corp............... 460,000
6,400 Banknorth Group, Inc........... 233,600
4,464 CNB Bancshares, Inc............ 206,460
2,100 Capital City Bank Group, Inc... 97,519
4,110 Chemical Financial Corp........ 173,648
6,450 Citizens Banking Corp.......... 223,331
10,400 Colonial BancGroup, Inc........ 336,700
5,249 Commerce Bancorp, Inc.......... 291,648
8,175 Commercial Federal Corp........ 272,330
7,500 Commonwealth Bancorp, Inc...... 177,188
13,000 Community First Bankshares..... 316,875
760 Community Trust Bancorp........ 23,180
3,850 Corus Bankshares, Inc.......... 162,181
5,740 Cullen/Frost Bankers, Inc...... 311,036
3,500 F & M Bancorporation, Inc...... 141,750
4,742 F & M National Corp............ 139,593
6,510 FNB Corp....................... 231,105
5,586 First American
Financial Corp. Class A....... 402,890
2,450 First Citizens
BancShares, Inc. Class A...... 259,700
8,800 First Colorado Bancorp., Inc... 250,800
1,500 First Commerce Bancshares, Inc
Class B....................... 40,500
5,600 First Commonwealth Financial... 158,200
3,872 First Financial Bancorp........ 222,156
900 First Financial Bankshares..... 36,844
531 First Financial Corp........... 27,280
5,875 First Midwest Bancorp, Inc..... 269,883
700 First United Bancshares........ 36,400
5,208 First Western Bancorp, Inc..... 160,635
3,805 Firstbank of Illinois Co....... 162,664
5,800 FirstBank Puerto Rico.......... 324,075
11,346 Fulton Financial Corp.......... 297,839
2,000 GBC Bancorp.................... 57,250
5,124 HUBCO, Inc..................... 180,621
3,346 Harleysville National Corp..... 136,350
2,850 Heritage Financial Services.... 100,106
10,339* Imperial Bancorp............... 302,416
8,700 Magna Group, Inc............... 483,394
NUMBER MARKET
OF SHARES VALUE
--------- ----------
BANKS - REGIONAL - Continued
1,100 MainStreet Financial Corp...... $ 33,413
10,118 Mid-Am, Inc.................... 258,009
2,400 Mississippi Valley Bancshares,. 92,700
7,700 National Bancorp of Alaska..... 245,438
4,336 National City Bancshares, Inc.. 173,711
2,421 National Penn Bancshares, Inc.. 81,709
6,200 Ocean Financial Corp........... 119,059
8,800* Ocwen Financial Corp........... 214,500
6,546 Old National Bancorp Indiana... 314,208
3,900* Omega Financial Corp........... 145,275
9,258 One Valley Bancorp of West Va.. 324,030
8,100* PFF Bancorp, Inc............... 158,456
2,200 Park National Corp............. 209,550
1,031 Peoples First Corp............. 35,344
7,100 Riggs National Corp............ 194,363
9,900 Roslyn Bancorp, Inc............ 232,960
3,690 S&T Bancorp, Inc............... 198,337
12,250 St. Paul Bancorp, Inc.......... 309,312
4,600* Silicon Valley Bancshares...... 150,650
1,400* Southwest Bancorporation of TX. 55,125
2,200 Sumitomo Bank of California.... 82,225
4,912 Susquehanna Bancshares, Inc.... 182,357
5,400 Texas Regional
Bancshares Class A............ 172,800
4,700 Trans Financial, Inc........... 250,862
1,800 Triangle Bancorp, Inc.......... 52,537
6,700 Trust Co. of New Jersey........ 182,575
5,992 TrustCo Bank Corp. NY.......... 170,771
19,100 Trustmark Corp................. 408,262
5,892 UMB Financial Corp............. 324,060
8,700 UST Corp....................... 241,968
7,400 United Bankshares Inc. WV...... 185,925
400 USBANCORP, Inc................. 31,950
1,200 Vermont Financial Services..... 33,975
8,600 Webster Financial Corp......... 290,250
12,561 Westamerica Bankcorporation.... 387,820
2,294 Westcorp....................... 27,815
4,300 Whitney Holding Corp........... 237,037
----------
15,931,995
----------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.24%
9,300 Adolph Coors Class B........... 348,750
3,200* Boston Beer, Inc. Class A...... 35,200
3,300* Canandaigua Brands, Inc.
Class A....................... 152,213
1,300 * Robert Mondavi Corp. Class A... 46,312
----------
582,475
----------
NUMBER MARKET
OF SHARES VALUE
--------- -----------
BEVERAGE - SOFT DRINKS - 0.05%
1,400 Coca-Cola Bottling Co.......... $ 87,238
4,500* National Beverage Corp......... 46,406
----------
133,644
----------
BROADCASTING - 1.57%
3,200 Ackerley Group, Inc............ 64,000
7,900* American Mobile
Satellite Corp................ 90,850
4,870 American Radio
Systems, Corp. Class A........ 322,029
8,900* ANTEC Corp..................... 170,491
9,000* Cablevision
Systems Corp. Class A......... 498,375
12,600* Century Communications Corp.
Class A....................... 200,813
1,300* Cox Radio, Inc. Class A........ 54,763
3,100* Emmis Broadcasting Corp.
Class A....................... 136,981
6,400 Heftel Broadcasting Corp.
Class A....................... 242,400
14,100* Jacor Communications, Inc...... 745,538
2,500* Paxson Communications Corp..... 29,531
2,400 SFX Broadcasting, Inc.
Class A....................... 181,200
2,675* SAGA Communications, Inc.
Class A....................... 55,506
4,200 TCA Cable TV, Inc.............. 255,938
9,800* United International
Holdings Class A.............. 161,700
12,500* United States Satellite
Broadcasting Co., Inc
Class A....................... 119,530
1,700 United Television, Inc......... 185,938
4,100* United Video
Satellite Group Class A....... 159,643
4,200* Young Broadcasting Inc.
Class A....................... 217,875
----------
3,893,101
----------
BUILDING MATERIALS - 1.28%
3,800* ABT Building Products Corp..... 54,150
1,100 Ameron, Inc.................... 66,138
6,900 Apogee Enterprises, Inc........ 96,169
1,850 Butler Manufacturing Co........ 64,750
8,400 CalMat Co...................... 211,050
3,000 Centex Construction Production. 114,750
2,600* Cooper Companies, Inc.......... 102,700
7,300* Dal-Tile International, Inc.... 101,288
3,450 Elcor Corp..................... 91,425
19,100 Fedders USA Inc................ 119,375
3,400 Florida Rock Industries, Inc... 105,825
5,200 Interface, Inc. Class A........ 203,775
3,800 Lone Star Industries, Inc...... 285,713
4,200 Medusa Corp.................... 242,025
1,000* Mestek, Inc.................... 19,125
1,700* NCI Building Systems, Inc...... 90,206
1,100 Puerto Rican Cement Co., Inc... 58,781
</TABLE>
<PAGE> 20
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 19
===============================================================================
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
BUILDING MATERIALS - Continued
7,000 Southdown, Inc................. $ 459,375
5,700 Texas Industries, Inc.......... 338,437
3,800* Triangle Pacific Corp.......... 167,675
5,700 Watsco, Inc.................... 167,437
----------
3,160,169
----------
CHEMICAL - MAJOR - 0.34%
8,100 Albemarle Corp................. 196,931
4,100 Chemed Corp.................... 150,931
6,409* Hexcel Corp.................... 175,446
6,900 Polymer Group, Inc............. 82,369
4,100* Synetic, Inc................... 242,669
----------
848,346
----------
CHEMICAL - MISCELLANEOUS - 1.81%
4,150 Cambrex Corp................... 232,141
7,900 ChemFirst, Inc................. 202,931
5,800 Dexter Corp.................... 239,250
9,600 Ferro Corp..................... 274,800
8,500* Fisher Scientific Int'l., Inc.. 113,156
3,600 Foamex International, Inc...... 55,800
3,500 H.B. Fuller Co................. 219,188
4,500 General Chemical Group, Inc.... 114,750
5,900 Geon, Co....................... 127,588
7,100 Georgia Gulf Corp.............. 177,944
9,100 M.A. Hanna Co.................. 182,569
12,200 Lawter International, Inc...... 117,425
4,950 LeaRonal, Inc.................. 146,643
6,600 MacDermid, Inc................. 270,600
1,600 McWhorter Technologies, Inc.... 44,200
5,600 Minerals Technologies Inc...... 296,450
5,600* Mycogen Corp................... 132,300
1,200 NCH Corp....................... 76,425
8,200 NL Industries, Inc............. 164,000
7,300 OM Group, Inc.................. 302,950
8,500 Rollins, Inc................... 175,312
9,400 A. Schulman, Inc............... 186,825
2,000 Stepan Co...................... 63,250
4,000* TETRA Technologies, Inc........ 87,250
4,450* VWR Scientific Products Corp... 126,825
6,750 W.H. Brady Co. Class A......... 195,750
5,000 WD-40 Co....................... 137,187
----------
4,463,509
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
COAL - 0.13%
1,634 NACCO Industries, Inc.
Class A....................... $ 239,381
4,100 Zeigler Coal Holding Co........ 74,569
----------
313,950
----------
CONGLOMERATES - 0.22%
2,700 MAXXAM, Inc.................... 159,131
12,400 Ogden Corp..................... 354,175
1,400* PEC Israel Economic Corp....... 30,975
----------
544,281
----------
CONSUMER FINANCE - 0.67%
7,700* AmeriCredit Corp............... 251,213
12,100* Arcadia Financial Ltd.......... 90,750
6,875 Chittenden Corp................ 256,094
5,800 Eaton Vance Corp............... 260,638
1,050 Fund American Enterprises...... 153,890
9,200* IMC Mortgage Co................ 120,750
44,400* Mercury Finance Co............. 11,100
3,830* National Auto Credit, Inc...... 3,830
5,000 SEI Corp....................... 333,750
6,450 WesBanco, Inc.................. 169,312
----------
1,651,327
----------
CONTAINERS - METAL/GLASS - 0.59%
1,900* Alltrista Corp................. 48,450
4,500 AptarGroup, Inc................ 291,656
9,500 Ball Corp...................... 374,656
1,400* CSS Industries, Inc............ 45,850
9,150* CLARCOR, Inc................... 210,450
5,500 Greif Brothers Corp. Class A... 200,063
1,125 Liqui-Box Corp................. 48,164
4,000* Silgan Holdings, Inc........... 133,000
6,100* U.S. Can Corp.................. 103,319
----------
1,455,608
----------
CONTAINERS - PAPER - 0.22%
5,300 Chesapeake Corp................ 188,150
13,000* Gaylord Container Corp.
Class A....................... 108,875
8,190 Rock-Tenn Co. Class A.......... 120,291
9,000* Shorewood Packaging Corp....... 124,312
----------
541,628
----------
COSMETICS/TOILETRIES - 0.09%
2,100 Alberto-Culver Co. Class B..... 62,475
11,500 Playtex Products, Inc.......... 165,313
----------
227,788
----------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
DRUGS - 2.76%
7,500* Agouron Pharmaceuticals, Inc... $ 255,000
2,000* Algos Pharmaceuticals Corp..... 73,125
6,100* Alkermes, Inc.................. 133,438
9,600* Alliance Pharmaceutical Corp... 45,000
3,500 A.L. Pharma Inc. Class A....... 76,125
6,200* AmeriSource Health Corp
Class A....................... 337,125
8,500* Amylin Pharmaceuticals, Inc.... 36,125
1,700* Aphton Corp.................... 21,781
2,700* Barr Laboratories, Inc......... 110,194
2,700 Bindley Western Industries..... 95,850
5,300* CNS, Inc....................... 21,863
7,900 Carter-Wallace Inc............. 140,719
7,900* Cephalon, Inc.................. 83,938
7,000* Columbia Laboratories, Inc..... 59,063
7,300* COR Therapeutics, Inc.......... 125,469
18,000* Covance Inc.................... 381,375
6,400* Cygnus, Inc.................... 59,200
4,500* GelTex Pharmaceuticals, Inc.... 103,781
14,500* Gensia, Inc.................... 61,625
5,000* Guilford Pharmaceuticals, Inc.. 90,313
2,100 Herbalife International, Inc.
Class A....................... 54,075
2,200 Herbalife International, Inc.
Class B....................... 51,425
4,900* Human Genome Sciences, Inc..... 178,850
15,697 ICN Pharmaceuticals, Inc....... 677,914
11,200* ICOS Corp...................... 235,900
4,400* IDEC Pharmaceuticals Corp...... 138,600
5,500* Incyte Pharmaceuticals, Inc.... 201,953
4,400* Inhale Therapeutic Systems..... 145,200
5,900* Interneuron Pharmaceuticals.... 26,919
5,600 Jones Pharma Inc............... 172,200
5,000* KOS Pharmaceuticals, Inc....... 57,188
4,450 Life Technologies, Inc......... 152,134
9,558* Ligand Pharmaceuticals, Inc.
Class B....................... 133,215
4,300* Martek Biosciences Corp........ 53,213
4,100* Medicis Pharmaceutical
Class A....................... 167,331
7,300* Millennium Pharmaceuticals..... 128,663
2,400* Miravant Medical Technologies.. 64,800
4,030 Natures Sunshine
Products, Inc................. 93,193
6,700* Neoprobe Corp.................. 29,312
2,900* Neurogen Corp.................. 49,662
8,300* NeXstar Pharmaceuticals, Inc... 83,518
11,000* P-Com, Inc..................... 165,000
4,800* Parexel International Corp..... 144,000
5,300* Pathogenesis Corp.............. 191,462
6,600* Regeneron Pharmaceuticals Inc.. 61,669
</TABLE>
<PAGE> 21
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
20 May 31, 1998
===============================================================================
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER MARKET
OF SHARES VALUE
--------- ------
DRUGS - Continued
2,900* Roberts Pharmaceutical Corp.... $ 47,850
5,200* SangStat Medical Corp.......... 136,500
8,400* Sepracor Inc................... 361,200
12,400* SEQUUS Pharmaceuticals, Inc.... 141,050
5,600* Vertex Pharmaceuticals Inc..... 161,000
5,750* Vitalink Pharmacy Services..... 124,703
8,000* Vivus Inc...................... 74,000
----------
6,814,808
----------
ELECTRICAL EQUIPMENT - 1.83%
8,200 AMETEK, Inc.................... 236,775
3,800* Amphenol Corp. Class A......... 206,625
6,200* Applied Magnetics Corp......... 34,875
5,257* BancTec, Inc................... 122,882
6,100 Belden, Inc.................... 242,094
6,900* Cable Design Technologies...... 162,581
4,300* California Microwave, Inc...... 92,181
9,600 Digital Microwave Corp......... 92,700
6,950* Electro Rent Corp.............. 165,714
2,900* Electro Scientific Industries.. 97,150
6,600* Esterline Technologies Corp.... 141,900
5,700 General Cable Corp............. 151,050
7,000* GenRad, Inc.................... 122,500
2,800* Holophane Corp................. 73,500
4,800* Hutchinson Technology, Inc..... 120,000
4,800* Identix Inc.................... 34,200
14,600* Intergraph Corp................ 128,663
7,400 Juno Lighting, Inc............. 157,250
9,400* Kemet Corp..................... 151,282
8,900* Kent Electronics Corp.......... 186,900
5,100 Kuhlman Corp................... 215,475
4,800* Littelfuse, Inc................ 109,800
5,100* Mail-Well, Inc................. 234,600
4,600* Plexus Corp.................... 98,900
2,700* Spectrian Corp................. 44,213
4,900 Standex International Corp..... 147,613
1,200* Thermo Ecotek Corp............. 19,050
6,450 Thomas Industries Inc.......... 165,281
2,000* Triumph Group, Inc............. 98,000
9,400* Uniphase Corp.................. 479,400
7,900* Vicor Corp..................... 123,438
5,100 X-Rite, Inc.................... 68,850
----------
4,525,442
----------
NUMBER MARKET
OF SHARES VALUE
--------- ------
ELECTRONIC INSTRUMENTS - 2.36%
2,300* ADE Corp....................... $ 34,500
13,800* Ampex Corp. Class A............ 31,050
1,950 Analogic Corp.................. 88,725
7,100 BMC Industries................. 104,281
7,600* Berg Electronics Corp.......... 156,750
7,300* C-Cube Microsystems, Inc....... 142,806
6,700 CTS Corp....................... 209,375
11,500 Checkpoint Systems, Inc........ 202,688
8,300* Cognex Corp.................... 157,700
4,300 Daniel Industries, Inc......... 87,344
3,000 Dionex Corp.................... 156,750
1,950* Dynatech Corp. W/I............. 7,800
2,100* Eltron International, Inc...... 46,200
2,800* Evans & Sutherland Computer.... 70,350
7,600* Exabyte Corp................... 74,100
5,400 Fluke Corp..................... 173,475
10,800* Gentex Corp.................... 395,550
6,800 Gerber Scientific, Inc......... 171,275
2,200* HADCO Corp..................... 70,675
4,575 Harman International
Industries.................... 194,723
9,000* Imation Corp................... 163,688
23,000* Integrated Device Technology... 215,625
16,300* InterDigital Communication..... 89,650
9,500* LTX Corp....................... 36,516
7,000* LoJack Corp.................... 87,938
7,700* MagnaTek, Inc.................. 130,419
4,200* Marshall Industries............ 129,938
7,350 Methode Electronics, Inc.
Class A....................... 93,713
10,400 National Computer Systems, Inc. 252,200
3,800* Nimbus CD International, Inc... 40,850
18,900* OIS Optical Imaging Systems.... 23,625
2,600* Optical Cable Corp............. 24,700
4,400 Park Electrochemical Corp...... 104,500
4,700* Performance Food Group Co...... 88,125
93* Perkin-Elmer Corp. (Warrants).. 395
9,537 Pioneer-Standard Electronics... 118,616
4,800 Pittston Bax Group............. 84,300
12,600* Read-Rite Corp................. 111,038
5,100* Robotic Vision Systems, Inc.... 32,193
5,000 Technitrol, Inc................ 201,875
5,700* Telxon Corp.................... 189,525
3,900* Thermedics Detection, Inc...... 37,538
4,300* Thermospectra Corp............. 47,568
7,000* Thermedics, Inc................ 99,750
5,500* Tracor, Inc.................... 217,250
NUMBER MARKET
OF SHARES VALUE
--------- ------
ELECTRONIC INSTRUMENTS - Continued
6,400* Waters Corp.................... $ 372,800
3,400 Watkins-Johnson Co............. 85,637
5,100 ZERO Corp...................... 147,262
1,600* Zygo Corp...................... 28,700
----------
5,832,051
----------
ENTERTAINMENT - 0.57%
3,200* AMC Entertainment, Inc......... 57,600
17,200* Aztar Corp..................... 120,400
1,800* BET Holdings, Inc. Class A..... 112,388
3,900* Carmike Cinemas, Inc. Class A.. 102,131
10,500* Florida Panthers
Holdings, Inc................. 203,438
1,900* GC Companies, Inc.............. 94,763
6,100* Hollywood Entertainment Corp... 64,050
6,946* Midway Games Inc............... 93,771
3,000 NN Ball & Roller, Inc.......... 36,000
1,600* Penn National Gaming, Inc...... 14,200
4,000 Playboy Enterprises, Inc....... 71,500
3,300* Primadonna Resorts, Inc........ 57,337
2,400* SFX Entertainment Inc.
Class A....................... 106,200
6,700* Sodak Gaming, Inc.............. 42,294
9,300* TCI Satellite Entmt Inc.
Class A....................... 52,312
4,900* Ticketmaster Group, Inc........ 134,750
5,900* Toy Biz, Inc. Class A.......... 57,525
----------
1,420,659
----------
FERTILIZERS - 0.24%
9,686 Delta & Pine Land Co........... 414,682
2,000* IMC Global, Inc. Warrant....... 6,625
6,504 Mississippi Chemical Corp...... 108,942
7,100 Terra Industries, Inc.......... 71,887
----------
602,136
----------
FINANCE COMPANIES - 1.05%
6,200 Aames Financial Corp........... 89,513
9,700* Amresco, Inc................... 327,375
2,600* Capital Factors Holdings, Inc.. 47,937
5,000* Cityscape Financial Corp....... 1,563
9,000* Credit Acceptance Corp......... 92,813
2,800* Delta Financial Corp........... 49,350
4,800 Doral Financial Corp........... 80,100
7,700* FIRSTPLUS Financial Group...... 307,037
5,734* Imperial Credit Industries..... 121,131
15,001 Keystone Financial, Inc........ 585,039
925 Oriental Financial Group....... 39,717
</TABLE>
<PAGE> 22
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 21
===============================================================================
<TABLE>
<CAPTION>
<S> <C> <C>
NUMBER MARKET
OF SHARES VALUE
--------- ------
FINANCE COMPANIES - Continued
16,400 Phoenix Investment
Partners, Ltd................. $ 153,750
106* Search Financial Services...... 10
3,700* Southern Pacific Funding....... 56,887
2,000 Student Loan Corp.............. 96,500
2,300* Triad Guaranty, Inc............ 75,900
6,000 U.S. Trust Corp................ 449,250
2,530* WFS Financial, Inc............. 21,821
----------
2,595,693
----------
FINANCIAL SERVICES - 0.01%
1,520 Omega Worldwide, Inc........... 12,920
----------
FOODS - 1.20%
6,400 Dreyer's Grand Ice Cream, Inc.. 162,000
5,000 Earthgrains Co................. 264,063
4,100 International Multifoods Corp.. 121,975
3,600 Interpool, Inc................. 53,325
7,600 Lance, Inc..................... 159,600
3,200 Michael Foods, Inc............. 89,200
17,400* NBTY, Inc...................... 303,413
4,200 Pilgrims Pride Corp............ 71,925
8,200* Ralcorp Holdings, Inc.......... 174,763
10,200 Richfood Holdings, Inc......... 249,263
6,800 J.M. Smucker Co. Class A....... 161,925
6,945* Suiza Foods Corp............... 405,847
10,263* U. S. Foodservice.............. 339,961
800* United Natural Foods, Inc...... 21,000
16,800 Universal Foods Corp........... 400,050
----------
2,978,310
----------
FOOTWEAR - 0.36%
7,000 Brown Group, Inc............... 125,562
2,100* Kenneth Cole Productions, Inc.
Class A....................... 48,169
5,400* Converse, Inc.................. 27,000
8,800* Genesco, Inc................... 113,300
8,250 Just For Feet, Inc............. 180,984
4,300 Justin Industries, Inc......... 68,263
12,000 Stride Rite Corp............... 159,750
2,000* Timberland Co. Class A......... 164,000
----------
887,028
----------
NUMBER MARKET
OF SHARES VALUE
--------- ------
FREIGHT - 0.69%
7,350 Air Express
International Corp............ $ 189,722
11,800 Airborne Freight Corp.......... 439,550
3,200* Eagle USA Airfreight, Inc...... 104,200
10,800* Greyhound Lines, Inc........... 67,500
8,700 J.B. Hunt Transport
Services, Inc................. 260,456
5,512* Kirby Corp..................... 118,508
14,000* OMI Corp....................... 128,625
10,300 Overseas Shipholding
Group Inc..................... 199,563
3,500* SEACOR Holdings, Inc........... 204,750
----------
1,712,874
----------
GOLD MINING - 0.10%
12,800 Amax Gold, Inc................. 40,800
5,600* Coeur d'Alene Mines Corp....... 49,350
8,230* Getchell Gold Corp............. 156,370
----------
246,520
----------
HARDWARE & TOOLS - 0.14%
4,700 Barnes Group Inc............... 139,825
6,200* Barnett, Inc................... 112,375
3,900 Lawson Products, Inc........... 105,788
----------
357,988
----------
HEALTHCARE - 2.19%
5,500* Access Health, Inc............. 140,938
11,000* Advanced Tissue Sciences, Inc.. 100,375
3,100* Alternative Living Services.... 84,088
8,900* American Oncology Resources.... 113,475
11,100* Apria Healthcare Group, Inc.... 84,638
2,612 Block Drug Co., Inc. Class A... 114,275
1,215 Coram Healthcare Corp.......... 2,506
218* Coram Healthcare Corp.
(Warrants)..................... 0
4,000* Curative Technologies, Inc..... 112,500
21,202* CYTOGEN Corp................... 21,201
3,300 Henry Schein, Inc.............. 127,050
4,900 HealthPlan Services Corp....... 108,718
12,544 Integrated Health Services..... 466,480
7,000 Invacare Corp.................. 184,625
11,900* Laboratory Corp. of America.... 25,287
7,800* Mariner Health Group, Inc...... 116,025
5,500* Maxicare Health Plans, Inc..... 51,562
1,800 Medquist, Inc.................. 78,975
6,200 Mentor Corp.................... 164,106
NUMBER MARKET
OF SHARES VALUE
--------- ------
HEALTHCARE - Continued
3,600 NCS HealthCare, Inc. Class A... $ 103,950
4,650* National Surgery Centers, Inc.. 129,618
15,900* NovaCare, Inc.................. 174,900
3,000 PHP Healthcare Corp............ 27,375
21,873* Paragon Health Network, Inc.... 336,298
5,475* Patterson Dental Co............ 177,938
5,199* Pharmaceutical Product Dev..... 110,479
5,250* Renal Care Group, Inc.......... 190,313
9,896* Respironics Inc................ 162,666
4,000* RightCHOICE Managed Care, Inc.
Class A....................... 46,250
4,400* Rural/Metro Corp............... 103,950
3,800* Sierra Health Services, Inc.... 141,075
2,600* SpaceLabs Medical, Inc......... 43,063
10,488* Sun Healthcare Group, Inc...... 176,330
5,500* Sunrise Medical Inc............ 85,250
2,500* Superior Consultant
Holdings C.................... 105,000
20,343* Total Renal Care Holdings...... 624,276
9,700* Trigon Healthcare, Inc......... 329,800
4,000* VISX, Inc...................... 196,500
2,300 Vital Signs, Inc............... 39,963
----------
5,401,818
----------
HEAVY DUTY TRUCKS/PARTS - 0.17%
6,100 Cascade Corp................... 104,463
2,200* Detroit Diesel Corp............ 53,900
8,000 Titan International, Inc....... 155,500
4,450 Wabash National Corp........... 115,421
----------
429,284
----------
HOME BUILDERS - 0.89%
7,905 D R Horton, Inc................ 142,290
6,100 Del Webb Corp.................. 147,925
11,500* Fairfield Communities, Inc..... 235,031
12,300 Kaufman & Broad Home Corp...... 315,956
4,100* NVR, Inc....................... 131,713
5,125* Palm Harbor Homes, Inc......... 213,648
5,500 Pulte Corp..................... 293,219
6,700 Ryland Group, Inc.............. 134,419
11,100 Standard Pacific Corp.......... 192,169
7,700* Toll Brothers, Inc............. 198,275
4,670* U.S. Home Corp................. 188,843
----------
2,193,488
----------
</TABLE>
<PAGE> 23
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
22 May 31, 1998
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
HOSPITAL MANAGEMENT - 0.57%
7,400* ABR Information Services, Inc.. $ 189,625
9,929* Concentra Managed Care, Inc.... 232,090
11,000* Coventry Health Care Inc....... 159,500
6,000* FPA Medical Management......... 26,250
7,700* Magellan Health Services, Inc.. 207,900
16,700 Medaphis Corp.................. 125,250
8,000* Orthodontic Centers of America. 169,500
2,700* Pediatrix Medical Group........ 97,706
10,300 Physicians Resource Group...... 52,788
3,800* Prime Medical Services, Inc.... 39,900
4,100* Sunquest Information Systems,.. 35,363
2,800* Sunrise Assisted Living Inc.... 84,350
----------
1,420,222
----------
HOSPITAL SUPPLIES - 1.37%
3,700 ATL Ultrasound, Inc............ 167,656
5,400* Acuson Corp.................... 103,275
4,700 Arrow International, Inc....... 162,444
16,600* Arterial Vascular Engineering.. 513,045
6,900 Ballard Medical Products....... 154,388
11,600* Bio-Technology General Corp.... 98,600
2,600* Closure Medical Corp........... 66,300
5,800* Coherent, Inc.................. 133,763
3,600* CONMED Corp.................... 76,050
5,300* Datascope Corp................. 149,063
4,200 Diagnostic Products Corp....... 130,200
5,500* Immunomedics, Inc.............. 28,187
8,300* Isis Pharmaceuticals, Inc...... 115,162
2,100 Landauer, Inc.................. 59,850
5,500* Marquette Medical Systems,Inc.. 154,000
1,600* MiniMed, Inc................... 80,000
9,350 Owens & Minor, Inc............. 109,862
16,875* PSS World Medical, Inc......... 210,938
4,100* Physio-Control International... 86,100
8,200* Safeskin Corp.................. 287,000
1,233* SonoSight, Inc................. 8,322
9,500* Summit Technology, Inc......... 51,062
4,400 TECHE Corp..................... 77,000
7,200* Theragenics Corp............... 200,700
5,200 West Co., Inc.................. 153,400
----------
3,376,367
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
HOUSEHOLD PRODUCTS - 0.48%
6,500 Church & Dwight Co., Inc....... $ 197,031
6,061* Culligan Water Technologies.... 338,280
8,200 First Brands Corp.............. 203,975
3,900 Libbey, Inc.................... 153,563
8,800* Linens `N Things, Inc.......... 282,700
1,500* USA Detergents, Inc............ 20,906
----------
1,196,455
----------
HUMAN RESOURCES - 0.48%
3,100* Data Processing Resources...... 90,288
6,000* Employee Solutions, Inc........ 24,375
12,200* Interim Services Inc........... 354,563
3,200 Kelly Services Inc. Class A.... 117,600
6,200* Metamor Worldwide, Inc......... 186,194
3,300 Norrell Corp................... 74,455
8,400* Personnel Group of America..... 170,100
4,800* Staffmark, Inc................. 176,400
----------
1,193,975
----------
INFORMATION PROCESSING -9.11 %
16,400* A.C. Nielson................... 423,325
3,200* Activision, Inc................ 32,200
12,100* Acxiom Corp.................... 261,663
4,733* ADAC Laboratories.............. 94,068
2,600* Advent Software, Inc........... 92,950
11,300* Affiliated Computer
Services Class A.............. 376,431
9,300* American Management Systems.... 252,263
7,800 Analysts International Corp.... 228,150
8,800* Anixter Internationall, Inc.... 177,100
2,120* Applied Graphics Technology.... 102,290
3,800* Arbor Software Corp............ 129,913
8,494* Artesyn Technologies, Inc...... 139,355
1,300* Aspect Development, Inc........ 74,344
5,100* Aspen Technology, Inc.......... 227,110
8,900* Auspex Systems, Inc............ 49,506
6,808* Avant! Corp.................... 174,881
2,918* Baan Company NV................ 132,040
2,550* Barra, Inc..................... 51,956
5,200* Bea Systems, Inc............... 104,325
4,100* Bell & Howell Co............... 110,700
5,800* BISYS Group, Inc............... 215,325
4,100* Black Box Corp................. 163,488
9,337* Boole & Babbage, Inc........... 229,924
2,600* BRC Holdings, Inc.............. 48,588
5,200* Broderbund Software, Inc....... 83,200
6,900* CCC Information Services....... 156,544
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
INFORMATION PROCESSING - Continued
2,400* CDW Computer Centers, Inc...... $ 98,850
4,200* Centennial Technologies, Inc... 12,600
6,000* Cerner Corp.................... 153,750
12,600* Checkfree Holdings Corp........ 285,862
9,750* CHS Electronics, Inc........... 193,781
6,200* Ciber, Inc..................... 198,788
10,050* Citrix Systems, Inc............ 524,484
6,500 Clarify, Inc................... 79,625
8,125 Computer Horizons Corp......... 271,426
1,950* Computer Management Sciences... 46,313
4,700 Computer Task Group, Inc....... 148,638
11,660* Comverse Technology, Inc....... 582,636
16,900* CopyTele, Inc.................. 57,038
6,900* CSG Systems
International, Inc............ 294,760
3,000* CyberMedia, Inc................ 18,375
2,900* Data Dimensions, Inc........... 40,963
9,900* Data General Corp.............. 150,975
3,800* Data Transmission Network...... 146,300
2,900* Davox Corp..................... 53,288
3,100* Dialogic Corp.................. 102,300
11,400* Diamond Multimedia Systems..... 86,925
1,160 DocuCorp International, Inc.... 8,845
2,300* Documentum, Inc................ 108,388
4,700* Edify Corp..................... 49,350
4,600* Envoy Corp..................... 201,825
3,200 Fair Issac & Co., Inc.......... 116,200
5,400* FileNet Corp................... 297,169
5,900* Forte Software, Inc............ 29,500
7,500* FTP Software, Inc.............. 19,688
6,800* General DataComm Industries.... 31,025
8,000* GT Interactive Software Corp... 75,000
6,000* Harbinger Corp................. 139,687
2,900 HCIA, Inc...................... 23,925
4,450 Henry Jack & Associates........ 145,181
10,500* HMT Technology Corp............ 122,063
4,500* HNC Software, Inc.............. 155,531
5,800* Hyperion Software Corp......... 187,413
2,000* IDX Systems Corp............... 84,125
5,400* IKOS Systems, Inc.............. 31,725
3,400* Imnet Systems, Inc............. 37,719
7,600* In Focus Systems, Inc.......... 59,850
7,800* Industri-Matematik
Int'l. Corp................... 125,288
5,700* Information Management
Resourc....................... 128,428
9,700* Information Resources, Inc..... 169,750
4,600 Innovex, Inc................... 85,388
11,800 Inprise Corp. Borland
International, Inc............ 98,088
</TABLE>
<PAGE> 24
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 23
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
INFORMATION PROCESSING - Continued
3,000* Inso Corp...................... $ 40,875
2,400* Integrated Circuit Systems..... 33,075
3,800* Integrated Systems, Inc........ 71,250
6,700* International Network
Services...................... 210,003
5,800* INTERSOLV, Inc................. 83,375
2,800* Intevac, Inc................... 26,600
2,900 JDA Software Group, Inc........ 130,953
1,900* JPM Co......................... 19,475
2,000* Kronos, Inc.................... 71,500
11,600* Learning Co., Inc.............. 330,600
3,300* Learning Tree International.... 52,800
10,600 Legato Systems, Inc............ 303,425
4,800* LHS Group, Inc................. 277,500
3,600* Lycos, Inc..................... 190,913
10,000* Macromedia, Inc................ 158,438
3,900* Manugistics Group, Inc......... 111,028
11,800* Mentor Graphics Corp........... 130,538
5,800* Mercury Interactive Corp....... 192,850
2,600* Metro Information
Services, Inc................. 84,825
4,000* Micrel, Inc.................... 125,125
1,400* MicroProse, Inc................ 7,525
2,700* MICROS Systems, Inc............ 158,625
8,000 MTS Systems Corp............... 150,000
5,200* Mylex Corp..................... 36,075
5,250* National Instruments Corp...... 174,891
3,900* National TechTeam, Inc......... 35,344
6,800* Network Appliance, Inc......... 236,513
6,800* Network Computing Devices...... 58,225
4,200* NOVA Corp...................... 138,338
11,800* Oak Technology, Inc............ 64,900
6,100* ODS Networks, Inc.............. 41,556
4,100 OEA, Inc....................... 70,213
7,645* Paxar Corp..................... 94,607
2,800* Pegasystems, Inc............... 60,637
2,200* Perceptron, Inc................ 26,950
4,300* Periphonics Corp............... 43,538
4,700 Phoenix Technologies Ltd....... 47,881
7,500 Physician Computer Network..... 1,875
10,600 Picturetel Corp................ 99,375
17,300* PLATINUM technology, inc....... 473,587
7,100 PMC-Sierra, Inc................ 276,456
10,700 PMT Services, Inc.............. 208,650
4,700 Policy Management
Systems Corp.................. 387,750
5,800* Primark Corp................... 193,937
5,100* Progress Software Corp......... 165,112
2,300* Project Software
& Development................. 51,750
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
INFORMATION PROCESSING - Continued
11,000* PsiNet, Inc.................... $ 118,250
2,900 QuickResponse Services, Inc.... 102,860
1,500* Radisys Corp................... 39,843
4,000* Rambus Inc..................... 154,625
20,843* Rationale Software Corp........ 317,856
6,000* Remedy Corp.................... 96,938
2,320* Renaissance Worldwide Inc...... 43,645
12,000* S3, Inc........................ 78,750
5,900* Safeguard Scientifics, Inc..... 254,069
4,000* Sandisk Corp................... 64,500
900* Sapient Corp................... 40,275
9,200* Sequent Computer Systems, Inc.. 152,375
8,800* Shiva Corp..................... 82,500
12,958* Siebel Systems, Inc............ 294,795
2,600* Sipex Corp..................... 56,550
7,200* SMART Modular Technologies..... 98,550
3,500* Splash Technology Holdings..... 59,280
2,700* SPSS, Inc...................... 60,243
8,100* Stratus Computer, Inc.......... 292,105
8,700* Structural Dynamic
Research Corp................. 220,218
3,100* Sykes Enterprises, Inc......... 64,712
15,300* Symantec Corp.................. 365,287
9,650* System Software Associates..... 70,565
10,000* Systems & Computer Technology.. 256,250
4,300* Systemsoft Corp................ 8,062
6,450* Technology Solutions Co........ 194,708
5,800* Transition Systems, Inc........ 114,912
2,900* Trident Microsystems, Inc...... 20,300
6,800* USCS International, Inc........ 127,925
9,400* Vanstar Corp................... 136,888
3,600* Vantive Corp................... 96,750
1,600* Veeco Instruments, Inc......... 47,000
11,475* Veritas Software Corp.......... 462,945
4,400* Viasoft, Inc................... 67,925
4,100* VideoServer, Inc............... 33,825
5,100* Visio Corp..................... 239,063
2,800* Volt Information
Sciences, Inc................. 85,225
3,200* Wall Data, Inc................. 41,400
8,500* Wang Laboratories, Inc......... 204,000
4,850* Wind River Systems Inc......... 160,656
5,500* Xircom, Inc.................... 86,281
6,100* Yahoo!, Inc.................... 667,950
4,900* Zebra Technologies Corp.
Class A....................... 188,038
----------
22,528,819
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
INSURANCE - CASUALTY - 1.02%
5,000* Acceptance Insurance Co., Inc.. $ 115,000
4,700 Baldwin & Lyons, Inc. Class B.. 112,800
2,600 Citizens Corp.................. 83,525
5,100 Commerce Group, Inc............ 182,006
4,500 E.W. Blanch Holdings, Inc...... 169,313
6,370 Frontier Insurance Group, Inc.. 156,065
4,473 Gainsco, Inc................... 32,708
7,500 HCC Insurance Holdings, Inc.... 160,312
5,700* Highlands Insurance Group...... 118,987
3,600 NAC Re Corp.................... 168,075
1,100 Nymagic, Inc................... 32,175
6,362 Orion Capital Corp............. 358,260
1,500 RLI Corp....................... 78,188
6,500* Risk Capital Holdings, Inc..... 161,688
7,200 Selective Insurance Group...... 189,900
4,350 Trenwick Group Inc............. 165,300
1,805 United Fire & Casualty Co...... 69,493
3,100 Vesta Insurance Group, Inc..... 163,331
----------
2,517,126
----------
INSURANCE - LIFE - 0.78%
3,900 American Heritage Life Invest.. 81,900
2,500* Compdent Corp.................. 36,875
6,200 Hartford Life Inc. Class A..... 319,300
300 Kansas City Life Insurance Co.. 25,500
4,300 Life USA Holding, Inc.......... 69,606
500* National Western Life Ins. Co.
Class A...................... 56,531
1,900 Nationwide Financial Svcs Inc
Class A....................... 82,531
9,400 Presidential Life Corp......... 206,800
10,850 Reinsurance Group of America... 541,144
7,570 United Companies Financial..... 139,099
7,650 W.R. Berkley................... 357,638
----------
1,916,924
----------
INSURANCE - MISCELLANEOUS - 1.35%
5,512 ALLIED Group, Inc.............. 232,193
6,200* Amerin Corp.................... 186,388
4,100 Arthur J. Gallaher & Co........ 176,813
6,400 CMAC Investment Corp........... 387,200
2,700 Capital Re Corp................ 201,150
9,000 Crawford & Co. Class B......... 163,125
3,600 Executive Risk, Inc............ 226,575
5,364 Fidelity National Financial.... 179,024
</TABLE>
<PAGE> 25
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
24 May 31, 1998
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
INSURANCE - MISCELLANEOUS - Continued
5,700 Foremost Corp. of America...... $ 140,363
5,512 Fremont General Corp........... 315,218
7,650 HSB Group Inc.................. 336,600
3,200 Harleysville Group............. 77,600
3,250 Hilb, Rogal & Hamilton Co...... 56,875
2,747 Liberty Corp................... 138,207
4,400 MMI Companies, Inc............. 97,350
10,300* Mid Atlantic
Med Services, Inc............. 133,255
887 Poe & Brown Inc................ 33,152
4,200 SCPIE Holdings, Inc............ 152,250
4,100 Zenith National
Insurance Corp................ 117,619
----------
3,350,957
----------
INSURANCE - MULTILINE - 0.85%
4,650 Alfa Corp...................... 91,838
5,278 American Annuity Group, Inc.... 127,332
6,253 AmerUs Life Holdings, Inc...... 200,096
4,400 Argonaut Group, Inc............ 141,350
5,600* CNA Surety Corp................ 90,650
3,495* Delphi Financial Group, Inc.
Class A....................... 189,822
7,800 FBL Financial Group, Inc.
Class A....................... 218,888
8,700 John Alden Financal Corp....... 192,488
3,500 Life Re Corp................... 257,687
1,050* Markel Corp.................... 181,452
2,000 Meadowbrook Insurance Group.... 61,625
5,191* Medical Assurance, Inc......... 143,401
6,200 PennCorp Financial Group, Inc.. 137,175
3,000 United Wisconsin Services...... 93,000
----------
2,126,804
----------
LEISURE TIME - 1.14%
8,100* Acclaim Entertainment, Inc..... 52,144
3,800* Action Performance Co., Inc.... 105,688
2,100* Anchor Gaming.................. 191,100
9,000* Boyd Gaming Corp............... 60,188
6,000* Family Golf Centers, Inc....... 157,500
11,000* Grand Casinos Inc.............. 193,188
8,500* Handleman Co................... 104,125
6,100* Hollywood Park, Inc............ 78,918
5,000 Huffy Corp..................... 75,937
6,200 Lewis Galoob Toys, Inc......... 68,588
8,500 Polaris Industries, Inc........ 297,500
3,500 Premier Parks, Inc............. 185,937
4,900* Rio Hotel & Casino Inc......... 106,575
6,900* Sabre Group Holdings, Inc...... 241,930
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
LEISURE TIME - Continued
4,800* Scotts Co. Class A............. $ 167,400
6,100 Showboat Inc................... 186,812
5,150* Signature Resorts, Inc......... 79,825
5,200* Station Casinos, Inc........... 77,350
5,800* Trump Hotels & Casino Resorts.. 49,663
5,700* Vail Resorts Inc............... 165,300
3,300* Vistana, Inc................... 70,125
5,800* WMS Industries Inc............. 25,738
7,600 Winnebago Industries, Inc...... 85,025
----------
2,826,556
----------
LODGING - 0.53%
13,550* Bristol Hotel Co............... 359,075
4,900* CapStar Hotel Co............... 143,325
14,400 Choice Hotels Intl Inc......... 216,900
4,100 Deltic Timber Corp............. 113,519
12,600* Host Marriott Services Corp.... 179,550
4,400* Interstate Hotels Co........... 142,725
7,939 Marcus Corp.................... 140,421
8,200* Prime Hospitality Corp......... 147,087
4,300* Red Roof Inns, Inc............. 75,787
7,000* Sunburst Hospitality Corp...... 48,563
----------
1,566,952
----------
MACHINE TOOLS - 0.46%
2,300 Chase Industries, Inc.......... 71,156
9,100 Cincinnati Milacron, Inc....... 272,431
8,800* Gilead Sciences, Inc........... 284,900
3,200 Gleason Corp................... 94,600
5,000 OmniQuip International, Inc.... 109,688
2,900 PRI Automation Inc............. 58,816
7,600 Roper Industries, Inc.......... 252,225
----------
1,143,816
----------
MACHINERY - AGRICULTURE - 0.14%
2,700 Allied Products Corp........... 58,050
3,600 Lindsay Manufacturing Co....... 167,400
3,100 Toro Co........................ 108,306
----------
333,756
----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.68%
5,400 Blount, Inc. Class A........... 152,213
3,700* CDI Corp....................... 136,206
7,600* Calpine Corp................... 135,375
5,200 Columbus McKinnon Corp......... 151,450
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
MACHINERY - CONSTRUCTION &
CONTRACTS - Continued
3,300 Granite Construction, Inc...... $ 93,225
3,900 J. Ray Mcdermott S.A........... 157,463
5,300* Jacobs Engineering Group, Inc.. 170,262
5,300 Kaman Corp. Class A............ 97,387
10,000 Lennar Corp.................... 265,000
3,522* Morrison Knudsen Corp.......... 41,824
2,900 Stone & Webster, Inc........... 117,450
5,600 TJ International Inc........... 162,050
----------
1,679,905
----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 2.30%
7,350 AAR Corp....................... 194,315
4,700 Albany International Corp.
Class A....................... 136,300
6,075 Applied Industrial Tech., Inc.. 142,762
6,450 Applied Power, Inc. Class A.... 220,912
1,600* Asyst Technologies, Inc........ 26,400
6,373 Baldor Electric Co............. 166,095
7,080 Burlington Coat Factory Whse... 142,043
7,900 DII Group, Inc................. 148,619
5,400 Exide Corp..................... 97,538
12,500 Flowserve Corp................. 362,500
1,175 General Binding Corp........... 40,097
6,750 Graco, Inc..................... 233,719
5,800 Helix Technology Corp.......... 103,313
4,800 Hughes Supply, Inc............. 161,700
9,250 IDEX Corp...................... 342,250
2,550* Insilco Corp................... 111,244
4,700* Integrated Process Equipment... 65,213
5,700* Ionics, Inc.................... 255,075
9,200 JLG Industries, Inc............ 162,150
5,100* Kulicke & Soffa Industries..... 87,338
5,850 Lilly Industries, Inc.
Class A....................... 114,075
5,000 Lincoln Electric Holdings...... 220,938
4,275 Manitowoc CO.,Inc.............. 175,275
6,900 Newport News Shipbuilding...... 193,200
2,800 Nordson Corp................... 127,400
6,040* Oak Industries Inc............. 210,645
900* Osmonics Inc................... 13,331
5,200 Regal-Beloit Corp.............. 169,650
3,100 Robbins & Myers, Inc........... 92,031
3,800* SPS Technologies, Inc.......... 222,775
4,500 Scotsman Industries Inc........ 128,531
</TABLE>
<PAGE> 26
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 25
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
MACHINERY - INDUSTRIAL/
SPECIALTY - Continued
4,400* Specialty Equipment Companies.. $ 96,800
7,700 Stewart & Stevenson
Services, Inc................. 159,775
6,000* Stillwater Mining Co........... 145,500
3,800 Tennant Co..................... 162,094
6,700 Watts Industries, Inc.
Class A....................... 156,194
3,300* Zoltek Companies, Inc.......... 100,650
----------
5,688,447
----------
MEDICAL TECHNOLOGY - 1.55%
4,900* Affymetrix, Inc................ 131,688
4,800* Arqule, Inc.................... 68,400
2,200* Bio-Rad Laboratories, Inc.
Class A....................... 69,850
2,700* Biomatrix, Inc................. 91,800
4,100* Cadus Pharmaceutical Corp...... 24,088
7,700* Creative BioMolecules, Inc..... 45,960
3,800* Cytyc Corp..................... 63,650
8,900 Dekalb Genetics Corp. Class B.. 853,287
7,875* Enzo Biochem, Inc.............. 102,375
5,900* Haemonetics Corp............... 89,975
5,200 Heartport Inc.................. 41,600
3,900* Hologic, Inc................... 81,900
4,200* I-STAT Corp.................... 40,687
7,400* Idexx Laboratories, Inc........ 164,650
26,600* Imatron, Inc................... 73,982
1,235 Lab Holdings, Inc.............. 27,787
8,400* Liposome, Inc.................. 51,712
1,800* Lunar Corp..................... 32,737
2,700* Myriad Genetics, Inc........... 54,337
8,400* NABI, Inc...................... 30,450
5,800* Neopath, Inc................... 73,588
6,300* Neurex Corp.................... 176,794
7,400* Neuromedical Systems, Inc...... 11,563
9,218* Organogenesis, Inc............. 233,907
2,700* Perclose, Inc.................. 68,513
13,700 Pharmerica Inc................. 166,969
3,800* Protein Design Labs, Inc....... 95,475
12,200 Psychemedics Corp.............. 68,625
5,700* Quest Diagnostics Inc.......... 123,619
3,400* Sabratek Corp.................. 89,250
11,124* Scios Nova Inc................. 104,288
5,350* Serologicals Corp.............. 157,825
3,700* Thermo Cardiosystems, Inc...... 83,250
3,400* ThermoTrex Corp................ 67,575
3,800* Transkaryotic Therapies, Inc... 114,000
5,400* US Bioscience, Inc............. 50,625
----------
3,826,781
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
MERCHANDISE - DRUG - 0.38%
3,300* Express Scripts, Inc. Class A.. $ 253,893
7,600 Longs Drug Stores Corp......... 230,375
5,700 Medimmune, Inc................. 284,288
16,500* Perrigo Co..................... 181,500
----------
950,056
----------
MERCHANDISE - SPECIALTY - 3.53%
5,100* APAC Teleservices, Inc......... 46,378
2,700* Advanced Energy Industries..... 38,475
1,100* Amazon.com, Inc................ 96,938
4,200* Ames Department Stores, Inc.... 103,688
6,818 Arctic Cat, Inc................ 62,214
5,500* Avid Technology, Inc........... 222,922
11,800* BJ's Wholesale Club Inc........ 466,100
17,200* Best Buy Co., Inc.............. 561,150
1,600* Bush Boake Allen, Inc.......... 47,200
13,000 Caseys General Stores, Inc..... 184,438
6,567 Cash America International..... 110,818
7,500* Central Garden & Pet Co........ 221,719
24,700 Charming Shoppes, Inc.......... 125,044
3,000* Cole National Corp. Class A.... 116,438
5,600* Compucom Systems, Inc.......... 40,950
1,000* Copart, Inc.................... 17,938
2,900 Cross (A.T.) Co. Class A....... 33,531
4,200* Daisytek International Corp.... 107,100
4,500* Department 56, Inc............. 165,094
5,900* Eagle Hardware & Garden, Inc... 107,306
4,500 Enesco Group Inc............... 137,531
12,200 Fingerhut Companies, Inc....... 357,613
3,150* Fossil, Inc.................... 60,933
5,200* Franklin Covey Co.............. 104,000
5,000* Friedman's, Inc. Class A....... 98,750
5,950* Garden Ridge Corp.............. 104,125
6,100* Gibson Greetings, Inc.......... 147,163
7,200* Graham Field Health Products... 42,300
2,600* Guitar Center, Inc............. 68,738
8,800 Hancock Fabrics, Inc........... 116,600
3,105 Hancock Holding Co............. 175,044
8,300* Homebase, Inc.................. 72,106
3,200* Inacom Corp.................... 103,800
7,800 Jostens, Inc................... 196,950
3,578 K2, Inc........................ 71,560
2,000* Knoll, Inc..................... 63,125
3,700 LabOne, Inc.................... 65,675
5,500* Michaels Stores, Inc........... 164,656
5,200* MicroAge, Inc.................. 70,200
7,300* Micro Warehouse, Inc........... 127,750
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- --------
<S> <C> <C>
MERCHANDISE - SPECIALTY - Continued
4,000* Nu Skin Asia Pacific, Inc.
Class A....................... $104,000
7,000* Paragon Trade Brands, Inc...... 33,250
4,000* Petco Animal Supplies, Inc..... 77,500
5,900 Price Enterprises Inc.......... 105,093
9,300* Rexall Sundown, Inc............ 311,550
2,700 Russ Berrie and Co. Inc........ 68,175
7,400* Seitel, Inc.................... 125,800
9,600* Sitel Corp..................... 60,000
9,300 Sotheby's Holdings, Inc.
Class A....................... 213,900
1,614 South Jersey Industries, Inc... 44,081
6,200* Spiegel, Inc. Class A.......... 32,937
8,050* Sports Authority, Inc.......... 121,252
7,300 Sturm, Ruger & Co. Inc......... 135,962
18,700* Sunglass Hut International..... 227,906
3,500* Tractor Supply Co.............. 84,438
6,500* Twinlab Corp................... 241,313
33,150* US Office Products, Co......... 561,478
4,300* United Stationers Inc.......... 256,388
3,300 Unitog Co...................... 75,488
2,100* West Marine, Inc............... 40,294
11,800* Williams-Sonoma, Inc........... 325,975
8,600* Zale Corp...................... 266,063
----------
8,736,903
----------
MERCHANDISING - DEPARTMENT - 0.63%
1,300* Alexander's, Inc............... 114,806
19,272 Pier 1 Imports, Inc............ 463,732
21,667* Proffit's Inc.................. 850,430
7,500* Stein Mart, Inc................ 118,125
----------
1,547,093
----------
MERCHANDISING - FOOD - 0.70%
4,500 Dominick's Supermarkets, Inc... 194,063
75 Farmer Bros. Co................ 15,000
9,400 Fleming Companies, Inc......... 179,188
6,500 Great Atlantic &
Pacific Tea Co., Inc.......... 208,000
3,700* IHOP Corp...................... 149,850
1,500 Ingles Markets, Inc. Class A... 18,750
2,875 NashFinch Co................... 48,515
6,700 Ruddick Corp................... 119,762
1,600 Sanderson Farms, Inc........... 18,600
5,000* ShowBiz Pizza Time, Inc........ 177,500
3,000 Smart & Final Inc.............. 56,250
7,400* Smithfield Foods, Inc.......... 199,800
6,300* Whole Foods Market, Inc........ 346,500
----------
1,731,778
----------
</TABLE>
<PAGE> 27
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
26 MAY 31, 1998
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
MERCHANDISING - MASS - 0.13%
4,900* Global Directmail Corp............ $ 101,063
34,000 Service Merchandise Co., Inc...... 72,250
4,500* ShopKo Stores, Inc................ 156,937
----------
330,250
----------
METALS - ALUMINUM - 0.27%
5,300* ACX Technologies, Inc............. 120,243
8,300 Century Aluminum Co............... 124,500
5,700 Commonwealth Industries, Inc...... 83,363
4,400 IMCO Recycling, Inc............... 83,325
5,500* Kaiser Aluminum Corp.............. 57,063
2,300 Tredegar Industries, Inc.......... 198,950
----------
667,444
----------
METALS - COPPER - 0.11%
3,700* Essex International, Inc.......... 90,881
5,000* Wolverine Tube, Inc............... 182,500
----------
273,381
----------
METALS - MISCELLANEOUS - 0.59%
3,337 A.M. Castle & Co.................. 75,082
6,100 Brush Wellman Inc................. 148,687
4,033 Commercial Metals Co.............. 123,763
1,267* Freeport McMoran Sulphur.......... 17,580
19,700 Hecla Mining Co................... 99,731
7,800 Kennametal, Inc................... 375,375
4,050 Material Sciences Corp............ 40,753
4,500* RMI Titanium Co................... 96,469
5,000* Ryerson Tull, Inc. Class A........ 105,000
7,900* Steel Dynamics, Inc............... 153,063
5,900 Titanium Metals Corp.............. 143,444
1,300 Tremont Corp...................... 73,125
----------
1,452,072
----------
METALS - STEEL - 1.18%
14,200 AK Steel Holding Corp............. 264,475
3,000* Acme Metals, Inc.................. 23,625
2,400 Amcast Industrial Corp............ 51,750
25,300* Armco Inc......................... 137,569
8,600 Birmingham Steel Corp............. 120,400
4,500 Carpenter Technology Corp......... 238,500
1,800 Citation Corp..................... 34,425
2,800 Cleveland-Cliffs Inc.............. 148,225
3,650 Commercial Intertech Corp......... 69,350
3,000* Gibraltar Steel Corp.............. 65,250
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
METALS - STEEL - Continued
4,200* Intermedia Communications, Inc.... $ 311,325
7,200 Intermet Corp..................... 140,400
4,500 J & L Specialty Steel, Inc........ 31,500
6,100 Lukens Inc........................ 195,581
9,800* Mueller Industries, Inc........... 303,800
7,400 National Steel Corp. Class B...... 116,550
5,400 Oregon Steel Mills, Inc........... 130,613
3,700 Quanex Corp....................... 114,931
2,100 Reliance Steel & Aluminium Co..... 80,194
6,000 Rohn Industries, Inc.............. 26,250
3,300* Shiloh Industries, Inc............ 70,331
7,700 Valmont Industries, Inc........... 154,000
4,800* Wyman-Gordon Co................... 95,400
----------
2,924,444
----------
MISCELLANEOUS - 2.52%
2,900* Abacus Direct Corp................ 145,363
4,800* Alternative Resources Corp........ 97,800
9,300 AMCOL International Corp.......... 127,875
4,500* AMERCO, Inc....................... 146,250
4,600 Arch Coal, Inc.................... 111,263
5,200* Associated Group, Inc.
Class A.......................... 183,950
2,800* Avondale Industries, Inc.......... 78,750
5,000* Bacou U.S.A., Inc................. 94,375
7,600* Billing Concepts Corp............. 176,700
3,500* Borg-Warner Security Corp......... 77,219
11,750* Brightpoint, Inc.................. 185,797
3,400* Caribiner International, Inc...... 75,225
1,950 Central Parking Corp.............. 87,384
4,500* Century Business Services......... 77,344
3,300* Clin Trials, Inc.................. 17,944
4,500* Coach USA, Inc.................... 193,781
1,800* Coinmach Laundry Corp............. 43,875
3,800 Computer Learning Centers......... 65,075
6,700* DeVry, Inc........................ 266,744
3,600* Encad, Inc........................ 38,025
2,100* Equity Corp. International........ 49,875
6,600* Firearms Training Systems......... 28,257
3,758* Gemstar Group Ltd................. 163,473
4,100* Hvide Marine, Inc. Class A........ 62,013
1,275* ITT Educational Services, Inc..... 36,338
1,800 Matthews International Corp.
Class A.......................... 89,438
3,000* Metzler Group, Inc................ 83,813
2,850 Pinkerton's, Inc.................. 59,494
6,800 Prepaid Legal Services, Inc....... 241,400
2,900 The Profit Recovery Group......... 71,050
4,700 Regis Corp........................ 131,600
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
MISCELLANEOUS - Continued
5,800* Romac International, Inc.......... $ 163,488
3,100* Samsonite Corp.................... 89,125
7,500* Scott Technologies Inc -
Cl A Class A..................... 110,625
5,800* Sola International, Inc........... 229,462
9,225* Sylvan Learning Systems, Inc...... 281,362
4,200* Triangle Pharmaceuticals, Inc..... 65,887
4,200* Turbochef, Inc.................... 37,275
3,600* U.S. Rentals, Inc................. 116,775
7,700 Valhi, Inc........................ 75,555
5,300* Veritas DGC Inc................... 274,605
5,000* Veterinary Centers of America..... 94,375
5,000 Wackenhut Corp.................... 110,312
3,900* Wackenhut Corrections Corp........ 94,575
10,700 Washington Water Power Co......... 230,718
6,600* West Teleservices Corp............ 90,750
4,500* Westell Technologies, Inc.
Class A.......................... 44,437
5,600 Westinghouse Air Brake Co......... 154,700
3,100* Whittman-Hart, Inc................ 126,713
3,500 Woodward Governor Co.............. 101,500
5,100* World Access, Inc................. 160,013
9,800* Xlyan Corp........................ 236,425
4,700* Zitel Corp........................ 37,453
----------
6,233,620
----------
MOBILE HOMES - 0.54%
12,352* Champion Enterprises, Inc......... 332,732
3,800 Coachmen Industries, Inc.......... 90,488
8,800 Fleetwood Enterprises, Inc........ 352,000
2,500 McGrath Rentcorp.................. 51,875
12,400 Oakwood Homes Corp................ 337,125
4,200 Skyline Corp...................... 122,325
1,575 Thor Industries, Inc.............. 43,607
----------
1,330,152
----------
NATURAL GAS - DIVERSIFIED - 0.7 2%
8,450 Atmos Energy Corp................. 259,838
6,100 Bay State Gas Co.................. 232,181
4,800 Eastern Enterprises............... 192,600
4,500 Laclede Gas Co.................... 111,375
4,500 New Jersey Resources Corp......... 161,719
2,200* Southern Union Co................. 58,850
10,300 Southwest Gas Corp................ 225,313
8,300 UGI Corp.......................... 210,094
4,400 WICOR, Inc........................ 201,300
7,300 Western Gas Resources, Inc........ 118,168
----------
1,771,438
----------
</TABLE>
<PAGE> 28
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 27
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
OIL - INTEGRATED DOMESTIC - 0.21%
7,875 Cross Timbers Oil Co........... $ 136,336
12,700 Quaker State Corp.............. 215,106
9,100* Tesoro Petroleum Corp.......... 175,744
----------
527,186
----------
OIL - SERVICE - PRODUCTS - 0.73%
7,950* Barrett Resources Corp......... 276,759
3,100 Getty Realty Corp.............. 67,619
5,800* Global Industrial
Technologies.................. 98,238
13,000* Global Industries, Inc......... 277,063
32,300* Kelley Oil & Gas Corp.......... 72,675
6,800* Lone Star Technologies, Inc.... 129,200
1,500* Maverick Tube Corp............. 22,687
20,100* Parker Drilling Co............. 169,594
12,100* Pride International, Inc....... 271,494
6,300* TransMontaigne Oil Co.......... 101,981
4,900* Trico Marine Services, Inc..... 96,775
8,326* Varco International, Inc....... 216,996
----------
1,801,081
----------
OIL - SERVICES - 0.60%
3,800* Cliffs Drilling Company........ 156,750
2,800* Key Energy Group, Inc.......... 46,025
6,400 Lomak Petroleum, Inc........... 77,600
13,900* Marine Drilling
Companies, Inc................ 261,494
7,200 Mascotech, Inc................. 176,400
6,500* Oceaneering
International, Inc............ 139,750
7,100* Offshore Logistics, Inc........ 144,663
5,850 Pennsylvania Enterprises, Inc.. 152,100
4,800 Pool Energy Services Co........ 97,800
10,700* Tuboscope Inc.................. 242,087
----------
1,494,669
----------
OIL/GAS PRODUCERS - 1.40%
3,800* Atwood Oceanics, Inc........... 196,650
160* Aztec Energy Corp.............. 0
683* Bayard Drilling Technologies... 7,556
8,300* Benton Oil and Gas Co.......... 86,631
4,500 Berry Petroleum Co. Class A.... 64,125
7,600 Cabot Oil & Gas Corp. Class A.. 153,900
17,416 Chesapeake Energy Corp......... 75,106
4,200 Comstock Resources, Inc........ 42,000
6,700 Devon Energy Corp.............. 245,806
10,100 Equitable Resources, Inc....... 287,850
3,700* Forcenergy, Inc................ 68,913
8,000* Forest Oil Corp................ 115,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
OIL/GAS PRODUCERS - Continued
23,100* Grey Wolf, Inc................. $ 89,513
2,491* Gulfport Energy Corp........... 3,347
23,000* Harken Energy Corp............. 123,625
1,400 Holly Corp..................... 38,325
11,600* Input/Output, Inc.............. 255,200
5,900 KCS Energy, Inc................ 70,063
2,800* Louis Dreyfus Natural
Gas Corp...................... 49,000
8,500* Newfield Exploration Co........ 190,187
6,100* Nuevo Energy Co................ 198,250
6,000* Patterson Energy, Inc.......... 67,125
3,300* Plains Resources, Inc.......... 63,112
3,400 St. Mary Land & Exploration.... 92,650
10,200 Snyder Oil Corp................ 197,625
4,200* Stone Energy Corp.............. 148,837
5,610* Swift Energy Co................ 101,331
6,800* Titan Exploration, Inc......... 55,250
8,200 Tom Brown, Inc................. 137,350
3,800* Unit Corp...................... 29,688
10,800 Vintage Petroleum, Inc......... 195,750
----------
3,449,765
----------
PAPER/FOREST PRODUCTS - 0.56%
5,800* American Pad & Paper Co........ 38,425
7,200* Buckeye Technologies Inc....... 162,450
6,300 Caraustar Industries, Inc...... 193,331
6,000 P. H. Glatfelter Co............ 97,875
12,600 Longview Fibre Co.............. 207,900
4,700 Pope & Talbot, Inc............. 63,744
4,000 Schweitzer-Mauduit Inc......... 132,250
3,700 Standard Register Co........... 133,431
2,300 Universal Forest Products...... 39,532
14,334 Wausau-Mosinee Paper Corp...... 306,389
----------
1,375,327
----------
PHOTOGRAPHY - 0.21%
2,220 CPI Corp....................... 56,888
6,600* Panavision, Inc................ 174,075
6,100 Photronics Inc................. 160,887
2,000* Seattle Filmworks, Inc......... 17,250
5,900* Ultratech Stepper, Inc......... 119,475
----------
528,575
----------
POLLUTION CONTROL - 0.94%
28,800* Allied Waste Industries, Inc... 763,200
546 Arcadis N.V.................... 6,279
3,450* Cuno, Inc...................... 70,078
8,700 Calgon Carbon Corp............. 92,981
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
POLLUTION CONTROL - Continued
7,700 Dames & Moore, Inc............. $ 99,619
55,240* Laidlaw Environmental Srv Inc.. 214,055
1,625 Mine Safety Appliances Co...... 116,086
737* NCS Corp....................... 1,497
19,000* Newpark Resources, Inc......... 345,563
5,200 OHM Corp....................... 70,850
5,600* Superior Services, Inc......... 171,500
6,500* Tetra Tech, Inc................ 143,000
6,600* Thermo TerraTech, Inc.......... 31,350
4,900 Zurn Industries, Inc........... 203,350
----------
2,329,408
----------
PUBLISHING - NEWS - 0.27%
4,700 Media General, Inc. Class A.... 216,200
7,400* Network Equipment
Technologies.................. 116,088
3,833 Pulitzer Publishing Co......... 339,220
----------
671,508
----------
PUBLISHING/PRINTING - 1.23%
5,500 American Business Products..... 122,375
7,750 Banta Corp..................... 245,578
3,400* Berlitz International, Inc..... 94,350
6,000* Big Flower Holdings, Inc....... 184,125
4,300 Bowne & Co., Inc............... 184,094
2,900* Consolidated Graphics, Inc..... 148,444
8,700* Golden Books Family
Entertainment, Inc 70,144
11,400 John H. Harland Co............. 204,488
7,000 Houghton Mifflin Co............ 243,250
3,300 John Wiley & Sons, Inc.
Class A 178,200
14,200 Journal Register Co............ 284,000
5,975 McClatchy Company Class A...... 177,383
5,600 Merrill Corp................... 126,700
4,700 New England Business Service... 153,043
4,200* Scholastic Corp................ 168,000
2,800* Scientific Games Holdings...... 59,150
14,400* Topps Co. Inc.................. 49,500
6,509 Thomas Nelson, Inc............. 84,210
8,400* World Color Press, Inc......... 252,525
----------
3,029,559
----------
RAILROAD - 0.10%
1,200 Florida East Coast Industries.. 149,700
3,500* Motivepower Industries, Inc.... 96,906
----------
246,606
----------
</TABLE>
<PAGE> 29
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
28 May 31, 1998
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
REAL ESTATE - 0.57%
2,300* Avatar Holdings, Inc........... $ 62,388
3,700* CB Richard Ellis Services...... 124,413
3,800* Castle & Cooke, Inc............ 71,725
5,675 Cousins Properties, Inc........ 173,442
2,100 Forest City
Enterprises, Inc. Class A..... 118,387
7,200* Grubb & Ellis Co............... 86,400
7,800* Insignia Financial
Group, Inc. Class A.......... 191,587
7,100 LNR Property Corp.............. 183,712
8,800 Merry Land & Investment Co..... 195,250
7,467 Republic Bancorp Inc........... 140,940
2,100 Tejon Ranch Co................. 56,044
----------
1,404,288
----------
REAL ESTATE INVESTMENT
TRUSTS - 7.20%
7,000 Amli Residential Properties.... 157,063
8,300 American General Hospitality... 197,125
5,300 American Health Properties Com-
Core Group.................... 147,075
8,600 Apartment Investment & Mgt. Co
Class A....................... 335,400
13,100 Arden Realty, Inc.............. 359,431
2,800 Associated Estates Realty...... 53,200
7,600 Avalon Properties, Inc......... 213,750
8,230 BRE Properties, Inc. Class A... 218,095
8,600 Bay Apartment
Communities, Inc.............. 316,050
3,200 Bedford Prpty Investors, Inc... 61,600
9,200 Berkshire Realty Co., Inc...... 110,975
5,373 Bradley Real Estate, Inc....... 112,161
2,300 Burnham Pacific Properties..... 32,344
9,600 CBL & Associates Properties.... 235,800
16,241 Camden Property Trust.......... 496,366
6,500 Capstone Capital Corp.......... 151,531
17,850 Capstead Mortgage Corp......... 325,763
2,800 CenterPoint Properties Corp.... 94,850
5,400 Charles E. Smith, Realty Inc... 174,825
8,900 Chateau Communities, Inc....... 263,663
3,200 Chelsea GCA Properties......... 128,200
8,400 Colonial Properties Trust...... 255,150
9,800 Commercial Net Lease Realty.... 157,413
23,500 Cornerstone Properties, Inc.... 411,250
10,800 Cornerstone Reality Income..... 127,575
7,800 Criimi Mae, Inc................ 118,950
6,100 Crown American Realty Trust.... 61,763
7,200 Developers Diversified Realty.. 282,150
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
REAL ESTATE INVESTMENT
TRUSTS - Continued
10,400 Dynex Capital, Inc............. $ 124,150
800 EastGroup Properties, Inc...... 16,050
12,500 Equity Inns, Inc............... 178,906
4,900 Essex Property Trust, Inc...... 159,250
3,900* Excel Legacy Corp.............. 19,988
3,900 Excel Realty Trust, Inc........ 106,275
13,400 Federal Realty
Investment Trust.............. 331,650
7,600 FelCor Suite Hotels, Inc....... 261,725
11,100 First Industrial Realty Trust.. 344,100
4,000 First Union Real Estate........ 43,750
8,200 Franchise Finance Corp......... 213,200
4,800 Gables Residential Trust....... 133,800
7,000 General Growth Properties...... 259,000
6,400 Glenborough Realty Trust, Inc.. 180,000
5,800 Glimcher Realty Trust.......... 120,713
9,600 Health Care Property
Investors..................... 337,800
3,500 Healthcare Realty Trust, Inc... 99,094
3,500 Health Care REIT, Inc.......... 90,344
15,800 Highwoods Properties, Inc...... 521,400
2,600 Home Properties of NY, Inc..... 69,550
3,892 Horizon Group, Inc............. 43,299
5,300 Hospitality Properties Trust... 165,625
11,300 IRT Property Co................ 128,537
15,300 Indymac Mortgage Holdings...... 362,418
3,700 Innkeepers USA Trust........... 51,568
4,100 Irvine Apartment Communities... 122,487
5,400 JDN Realty Corp................ 175,500
3,300 JP Realty, Inc................. 75,487
4,400 Kilroy Realty Corp............. 115,225
7,200 Koger Equity, Inc.............. 151,200
5,800 LTC Properties, Inc............ 116,362
11,400 Liberty Property Trust......... 301,387
3,200 MGI Properties................. 77,800
3,500 Macerich Co.................... 94,500
15,100 Mack Cali Realty Corp.......... 543,600
8,500 Manufactured Home Communities.. 211,968
11,300 Meridian Indust. Trust, Inc.... 262,725
5,300 Mid-Amer Apartment
Communities................... 142,768
8,800 Mills Corp..................... 217,250
4,300 National Golf Properties, Inc.. 129,268
5,600 National Health
Investors, Inc................ 197,750
10,500 Nationwide Health Properties... 252,000
6,300 Ocwen Asset Investment Corp.... 107,100
4,586 Omega Healthcare Investors..... 157,930
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
REAL ESTATE INVESTMENT
TRUSTS - Continued
8,300 Pacific Gulf Properties, Inc... $ 180,525
4,500 Pennsylvania Real Estate Inv... 106,031
9,482 Post Properties, Inc........... 389,947
7,000 Prentiss Properties Trust...... 178,938
4,700 Price REIT, Inc................ 224,131
1,700 Prime Retail, Inc.............. 22,419
9,000 RFS Hotel Investors, Inc....... 178,875
5,800 Realty Income Corp............. 154,063
7,400 Reckson Associates
Realty Corp................... 184,075
2,500 Redwood Trust, Inc............. 58,594
5,300 Regency Realty Corp............ 129,850
2,900 Saul Centers, Inc.............. 50,388
5,200* Security Capital
Atlantic, Inc................. 116,025
369 Security Capital Group
(Warrants).................... 369
6,800 Shurgard Storage
Centers, Inc. Class A......... 195,075
1,600 Sovran Self Storage, Inc....... 43,700
6,200 Storage USA, Inc............... 230,563
5,800 Storage Trust Realty........... 139,925
5,600 Summit Properties, Inc......... 111,650
7,100 Sun Communities, Inc........... 240,956
5,300 Sunstone Hotel Investors, Inc.. 76,188
7,700 Taubman Centers, Inc........... 105,394
6,200 Thornburg Mortgage Asset Corp.. 87,188
10,000 Town & Country Trust........... 164,375
3,600 TriNet Corporate Realty Trust.. 125,550
3,600 Universal Health Realty Income. 70,425
7,100 Urban Shopping Centers, Inc.... 234,300
6,300 Walden Residential Properties.. 152,775
7,900 Washington Real Estate Inv..... 139,731
7,200 Weeks Corp..................... 229,950
4,300 Western Investment
Real Estate................... 59,125
----------
17,795,117
----------
RESTAURANTS - 1.41%
7,562 Apple South, Inc............... 99,251
7,850 Applebees International, Inc... 191,344
10,400 Bob Evans Farms, Inc........... 221,650
17,100* Brinker International, Inc..... 371,925
14,880* Buffets, Inc................... 242,730
11,145 CKE Restaurants, Inc........... 353,854
4,200 The Cheesecake Factory......... 84,788
2,500* Consolidated Products, Inc..... 49,531
9,900* Foodmaker, Inc................. 167,063
7,100* Landrys Seafood Restaurants.... 160,860
</TABLE>
<PAGE> 30
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 29
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
RESTAURANTS - Continued
7,600* Lone Star Steakhouse & Saloon.. $ 128,250
5,900 Luby's Cafeterias, Inc......... 109,150
2,700 Morrison Health Care, Inc...... 46,238
6,800* NPC International, Inc......... 84,150
4,625* Papa Johns International, Inc.. 192,516
7,800* Rainforest Cafe, Inc........... 108,469
11,800 Ruby Tuesday, Inc.............. 189,538
15,600* Ryan's Family Steak Houses..... 158,925
5,000* Sbarro, Inc.................... 146,250
16,200* Shoney's, Inc.................. 71,887
7,125* Sonic Corp..................... 147,398
6,100* Triarc Companies Inc. Class A.. 148,686
----------
3,474,453
----------
SAVINGS & LOAN - 1.63%
5,020 ALBANK Financial Corp.......... 261,040
6,540 Astoria Financial Corp......... 359,905
6,000 Bay View Capital Corp.......... 193,500
6,150 CitFed Bancorp, Inc............ 304,041
5,200* Coast Federal Litigation-CVF... 77,350
5,200 Dime Community Bancorp, Inc.... 150,800
5,155 Downey Financial Corp.......... 170,759
600 First Financial Holdings, Inc.. 13,875
4,700 First Indiana Corp............. 113,975
3,913 First Source Bancorp Inc....... 39,619
4,500 FirstFed Financial Corp........ 220,781
4,000 HFNC Financial Corp............ 50,500
2,900 JSB Financial, Inc............. 168,563
2,600 Klamath First Bancorp.......... 51,513
7,600 Long Island Bancorp, Inc....... 469,538
4,132 MAF Bancorp, Inc............... 155,983
18,184 Peoples Heritage
Financial Grp................. 409,140
7,625 Provident Bankshares Corp...... 238,281
3,748 Queens County Bancorp, Inc..... 164,911
400 Reliance Bancorp, Inc.......... 15,275
2,100 St Francis Capital Corp........ 86,625
7,100 TR Financial Corp.............. 317,725
----------
4,033,699
----------
SECURITIES RELATED - 1.17%
3,300 Dain Rauscher Corp............. 187,275
8,200* E*Trade Group, Inc............. 177,325
3,100 Enhanced Financial Services.... 201,888
8,017 Financial Security Assurance... 475,007
5,600* Hambrecht & Quist Group........ 172,200
3,099 Investors Financial Services... 154,950
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
SECURITIES RELATED - Continued
4,800 Jefferies Group, Inc........... $ 220,800
5,333 Legg Mason, Inc................ 321,647
6,600 McDonald & Co
Investments, Inc.............. 198,000
9,150 Morgan Keegan, Inc............. 209,878
5,400 Pioneer Group, Inc............. 153,562
9,150 Raymond James Financial Inc.... 276,787
1,700* White River Corp............... 151,725
----------
2,901,044
----------
SEMICONDUCTOR EQUIPMENT - 0.02%
3,000* ATMI Inc....................... 54,375
SEMICONDUCTORS - 1.04%
6,300* Actel Corp..................... 80,325
6,200* Alliance Semiconductor Corp.... 29,838
6,500* Altron, Inc.................... 71,906
3,600* Anadigics, Inc................. 51,975
9,300* Burr Brown Corp................ 238,604
13,400 Cirrus Logic, Inc.............. 134,000
3,100 Cohu, Inc...................... 95,325
6,650* Credence Systems Corp.......... 139,650
6,400* Cymer Inc...................... 121,800
12,600* DSP Communications, Inc........ 231,525
5,300* ESS Technology, Inc............ 24,015
5,700* Etec Systems, Inc.............. 208,405
4,300* Electroglas, Inc............... 58,587
8,000* FSI International, Inc......... 92,000
2,900* Fusion Systems Corp............ 272
11,000* International Rectifier Corp... 116,188
9,300* Level One Communications, Inc.. 248,194
4,600* MRV Communications, Inc........ 106,950
11,000* Ramtron International Corp..... 44,344
2,950* SDL, Inc....................... 64,900
7,400* Silicon Valley Group Inc....... 135,513
3,400* Siliconix, Inc................. 91,588
1,600* Speedfam International, Inc.... 31,200
2,700* Triquint Semiconductor, Inc.... 61,088
6,200* Unitrode Corp.................. 80,988
----------
2,559,180
----------
TELECOMMUNICATIONS - 3.00%
7,100 ABM Industries, Inc............ 196,581
6,000* Adtran, Inc.................... 145,875
4,600* Aerial Communications, Inc..... 27,888
14,100* Aspect Telecommunications Co... 363,956
700* CKS Group, Inc................. 14,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
TELECOMMUNICATIONS - Continued
5,250* Cellular Communications Int'l.. $ 247,406
4,200* CellStar Corp.................. 126,394
12,800* CellNet Data Systems, Inc...... 129,600
8,180* Cellular Technical Services.... 8,180
4,800* Centennial Cellular Corp.
Class A....................... 168,000
3,700* Cidco, Inc..................... 30,063
3,500* Coherent Communications........ 165,594
14,900 COMSAT Corp.................... 519,638
3,200* CoreComm Inc................... 68,000
13,400* Glenayre Technologies, Inc..... 205,187
7,100* HighwayMaster Communications... 25,737
5,000* IXC Communications, Inc........ 217,968
5,200 Inter-Tel, Inc................. 97,662
5,400* InterVoice, Inc................ 71,550
4,300* Itron, Inc..................... 66,380
2,750 MasTec, Inc.................... 56,719
9,000 McLeodUSA, Inc. Class A........ 373,500
2,794* Millicom International
Cellula....................... 108,617
6,766* NTL Inc........................ 274,869
3,200* Natural Microsystems Corp...... 68,500
1,600 North Pittsburgh Systems....... 25,200
7,300* Omnipoint Corp................. 150,106
1,900* Pacific Gateway Exchange, Inc.. 80,988
12,500* PageMart Wireless, Inc.
Class A....................... 113,281
29,700* Paging Network, Inc............ 406,519
4,400 Plantronics, Inc............... 201,300
74 Porta Systems Corp............. 315
7,800 Premisys Communications Inc.... 194,269
4,800 Premier Technologies, Inc...... 114,600
6,640* PriCellular Class A............ 90,055
3,500* Proxim, Inc.................... 45,938
1,200* Quintel Entertainment, Inc..... 6,525
7,000* RCN Corp....................... 150,500
4,900* Sanmina Corp................... 381,588
12,400* Skytel Communications Inc...... 280,550
9,100* Symmetricom, Inc............... 57,444
1,900* Tekelec........................ 84,431
7,700* Tel-Save Holdings, Inc......... 152,075
3,455* Teleport Communications
Gro Cl A...................... 193,238
4,100* Transaction Network Services... 83,538
8,200* Vanguard Cellular
Systems, Inc. Class A......... 147,088
17,000* Western Wireless Corp Class A.. 314,500
8,800* WinStar Communications, Inc.... 330,000
8,600* Wireless Telecom Group......... 30,100
----------
7,412,012
----------
</TABLE>
<PAGE> 31
===============================================================================
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
30 May 31, 1998
===============================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C> <C>
TEXTILE - PRODUCTS - 0.66%
14,200* Burlington Industries, Inc..... $ 249,388
6,100* Cone Mills Corp................ 58,713
4,100 Culp, Inc...................... 71,750
5,500* Fabri-Centers of
America, Inc. Class A......... 162,250
4,750 G & K Services, Inc. Class A... 185,250
7,650 Guilford Mills, Inc............ 206,550
6,600* Lydall, Inc.................... 115,500
8,100* Mohawk Industries, Inc......... 246,037
3,200 Springs Industries, Inc.
Class A....................... 179,600
6,800 Wellman, Inc................... 163,625
----------
1,638,663
----------
TOBACCO - 0.10%
3,000 Cons Cigar Holdings Inc........ 41,437
12,100 DIMON, Inc..................... 163,350
3,601* General Cigar Holdings, Inc.... 35,785
----------
240,572
----------
TRUCKERS - 0.68%
7,500* American Freightways Corp...... 85,781
4,950 Arnold Industries, Inc......... 77,344
7,800* Consolidated Freightways Corp.. 115,050
5,832 Heartland Express, Inc......... 127,575
750* Knight Transportation, Inc..... 14,297
5,200* Landstar System, Inc........... 175,825
2,300* M.S. Carriers, Inc............. 68,713
3,100 Roadway Express, Inc........... 58,319
18,862 Rollins Truck Leasing Corp..... 226,344
6,900* Swift Transportation Co., Inc.. 153,525
5,600 USFreightways Corp............. 176,400
4,687 Werner Enterprises, Inc........ 89,052
3,700 Xtra Corp...................... 194,250
6,500* Yellow Corp.................... 121,875
----------
1,684,350
----------
UTILITIES - COMMUNICATION - 0.24%
9,200 Aliant Communications, Inc..... 213,325
3,200 CFW Communications Co.......... 80,000
4,666 Commonwealth Telephone Ent..... 138,814
5,178 PXRE Corp...................... 163,107
----------
595,246
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
UTILITIES - ELECTRIC - 2.20%
5,400 Black Hills Corp............... $ 118,463
5,600 Cleco Corp..................... 167,650
13,100 Central Maine Power Co......... 250,538
3,400 CILCORP, Inc................... 149,813
4,600 Commonwealth Energy System Co.. 174,800
31,300 Conectiv, Inc.................. 639,694
1,900 Conectiv, Inc. Class A......... 61,512
9,300 Eastern Utilities Associates... 235,987
15,100* El Paso Electric Co............ 143,450
4,100 Empire District Electric Co.... 83,793
6,100 Hawaiian Electric
Industries, Inc............... 233,325
5,600 Indiana Energy, Inc............ 172,900
17,432 Interstate Energy Corp......... 524,050
7,525 Madison Gas & Electric Co...... 159,905
6,600 Minnesota Power Inc............ 260,287
11,600 Nevada Power Co................ 276,950
8,100 Northwestern Corp.............. 195,413
2,875 Otter Tail Power Co............ 92,000
10,400 Public Service Co.
of New Mexico................. 225,550
13,400 Rochester Gas & Electric Corp.. 412,050
5,950 SIG Corp, Inc.................. 185,566
2,700 TNP Enterprises, Inc........... 87,919
8,020* Unisource Energy Corp. Hldg.... 126,816
3,700 United Illuminating Co......... 175,288
10,500 Washington Gas Light Co........ 273,656
----------
5,427,375
----------
UTILITIES - GAS, DISTRIBUTION - 0.78%
18,600 AGL Resources, Inc............. 372,000
2,700 Connecticut Natural Gas Corp... 62,775
2,200 Colonial Gas Co................ 62,563
2,200 Connecticut Energy Corp........ 63,938
8,600 Energen Corp................... 174,688
1,200 NUI Corp....................... 29,550
12,600* National-Oilwell, Inc.......... 440,212
5,600 Northwest Natural Gas Co....... 154,000
7,400 Piedmont Natural Gas Co., Inc.. 234,487
7,800 Public Service Co. of NC....... 165,750
9,900 Southwestern Energy Co......... 104,568
2,550 Yankee Energy Systems, Inc..... 61,200
----------
1,925,731
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ----------
<S> <C>
UTILITIES - GAS, PIPELINE - 0.12%
2,400 North Carolina Natural Gas..... $ 55,500
5,900 ONEOK Inc...................... 230,469
----------
285,969
----------
UTILITIES - MISCELLANEOUS - 0.52%
4,400 Central Hudson Gas & Electric.. 192,225
7,150 MDU Resources Group, Inc....... 238,184
3,500 Orange and Rockland Utilities.. 187,031
7,700 Sierra Pacific Resources....... 264,206
2,900 Trigen Energy Corp............. 40,238
5,600 WPS Resources Corp............. 175,350
9,000* Walter Industries, Inc......... 172,125
----------
1,269,359
----------
WATER SERVICES - 0.23%
3,000 Aquarion Co.................... 100,125
2,800 California Water
Service Group................. 62,125
1,900 E'Town Corp.................... 65,550
9,700 Philadelphia Suburban Corp..... 190,968
2,150 Southern California Water Co... 46,897
6,200 United Water Resources......... 99,588
----------
565,253
----------
TOTAL COMMON STOCKS
(Cost $186,116,688)............ 240,043,605
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- ----------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 2.36%
FINANCE COMPANIES - 0.93%
$2,291,000 Ford Motor Credit Co.,
5.45% due 06/01/98........... 2,291,000
SECURITIES RELATED - 1.43%
Merrill Lynch & Co.
1,534,000 5.60% due 06/06/98........... 1,533,523
2,000,000 5.58% due 06/02/98........... 1,999,690
----------
3,533,213
----------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $5,824,213).............. 5,824,213
==========
</TABLE>
<PAGE> 32
===============================================================================
May 31, 1998 31
SMALL CAP INDEX FUND - STATEMENT OF NET ASSETS CONTINUED
===============================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- -----------
<S> <C> <C>
UNITED STATES GOVERNMENT -
SHORT TERM - 0.08%
U. S. TREASURY BILLS - 0.08%
$ 200,000 United States Treasury Bills,
4.94% due 06/04/98........... $ 199,918
------------
UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $199,918)................ 199,918
------------
TOTAL INVESTMENTS
(Cost $192,140,819) - 99.55%... 246,067,736
Other assets and liabilities,
net - 0.45%................... 1,114,822
------------
NET ASSETS (equivalent
to $17.94 per share on
13,776,917 shares
outstanding) - 100%........... $247,182,558
============
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- --------- -------------
<S> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value
at 5/31/98)
26 (2) Russell 2000 Index Futures
(June/$456.45)................ $ (311,225)
=============
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately
$200,000 were maintained in a segregated account with a
portion placed as collateral for futures contracts.
(2) Per 500
<TABLE>
<CAPTION>
MARKET
VALUE
------------
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
13,776,917 shares outstanding........... $ 137,769
Additional paid in capital................ 174,700,392
Undistributed net realized
gain on securities....................... 18,696,806
Undistributed net investment income....... 31,899
Unrealized appreciation (depreciation) of:
Investments........... $53,926,917
Futures .............. (311,225) 53,615,692
----------- ------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $247,182,558
============
</TABLE>
<PAGE> 33
================================================================================
SMALL CAP INDEX FUND - FINANCIAL STATEMENTS
32
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends ........................................................................... $ 2,784,313
Interest ............................................................................ 493,266
------------
Total investment income ........................................................... 3,277,579
------------
EXPENSES:
Advisory fees ....................................................................... 798,980
Custodian and accounting services ................................................... 48,447
Reports to shareholders ............................................................. 18,071
Audit fees and tax services ......................................................... 5,971
Directors' fees and expenses ........................................................ 4,511
Miscellaneous ....................................................................... 20,829
Total expenses .................................................................... 896,809
------------
NET INVESTMENT INCOME ............................................................... 2,380,770
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on:
Investments ...................................................... $ 18,026,929
Futures contracts ................................................ 1,045,986 19,072,915
------------
Net unrealized appreciation (depreciation) during the year:
Investments ...................................................... 20,249,083
Futures contracts ................................................ (623,225) 19,625,858
------------ ------------
Net realized and unrealized gain on securities during the year ................... 38,698,773
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .................................... $ 41,079,543
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income .................................................. $ 2,380,770 $ 2,388,474
Net realized gain on securities ........................................ 19,072,915 17,523,137
Net unrealized appreciation (depreciation) of securities
during the year ...................................................... 19,625,858 (6,382,053)
------------- -------------
Increase in net assets resulting from operations ..................... 41,079,543 13,529,558
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .................................................. (2,367,516) (2,385,945)
Net realized gain on securities ........................................ (17,477,319) (11,216,991)
------------- -------------
Decrease in net assets resulting from distributions
to shareholders ..................................................... (19,844,835) (13,602,936)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ....................................... 39,604,509 20,665,121
Proceeds from capital stock issued for distributions reinvested ........ 19,844,835 13,602,936
------------- -------------
59,449,344 34,268,057
Cost of capital stock repurchased ...................................... (25,960,237) (22,521,418)
------------- -------------
Increase in net assets resulting from capital stock transactions ..... 33,489,107 11,746,639
------------- -------------
TOTAL INCREASE IN NET ASSETS ........................................... 54,723,815 11,673,261
NET ASSETS:
Beginning of year ...................................................... 192,458,743 180,785,482
------------- -------------
End of year (including undistributed net investment income
of $31,899 and $18,645) .............................................. $ 247,182,558 $ 192,458,743
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ........................................... 2,173,506 1,339,448
Shares issued for distributions reinvested ............................. 1,157,942 890,371
Shares of capital stock repurchased .................................... (1,447,855) (1,465,127)
------------- -------------
Increase in shares outstanding ....................................... 1,883,593 764,692
Shares outstanding:
Beginning of year .................................................... 11,893,324 11,128,632
------------- -------------
End of year .......................................................... 13,776,917 11,893,324
============= =============
</TABLE>
<PAGE> 34
================================================================================
INTERNATIONAL EQUITIES FUND - STATEMENT OF NET ASSETS
May 31, 1998 33
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
COMMON STOCKS - 98.63%
AIRLINES - 0.89%
4,100 British Airways plc - ADR...... $ 431,013
40,000* Japan Air Lines Co. Ltd........ 102,535
25,000 Lufthansa Ag................... 624,912
60,000 Malay Airline System Bhd....... 35,889
35,000 Singapore Airlines............. 194,386
-----------
1,388,735
-----------
APPAREL & PRODUCTS - 0.16%
20,000 Onward Kashiyama Co., Ltd...... 248,393
-----------
APPLIANCES/FURNISHINGS - 1.72%
4,200 Matsushita Electric Industrial
Co.Ltd. - ADR................. 656,250
10,000 Philips Electronics NV......... 950,250
33,000 Sanyo Electric Co. Ltd......... 94,599
3,400 Sanyo Electric Co. Ltd. - ADR.. 49,725
10,970 Sony Corp - ADR................ 919,423
-----------
2,670,247
-----------
AUTO - CARS - 3.99%
15,000 Daimler-Benz AG - ADR.......... 1,483,125
50,000 Fiat S.p.A..................... 223,834
16,500 Fiat S.p.A. - ADR.............. 368,156
12,500 Honda Motor Co., Ltd. - ADR.... 831,250
35,000 Nissan Motor Co., Ltd.......... 106,145
18,000 Nissan Motor Co., Ltd. - ADR... 112,500
500 Peugeot Citroen SA............. 97,693
78,000 Toyota Motor Corp.............. 1,931,836
500 Volkswagen Ag.................. 405,493
20,000 Volvo AB....................... 639,251
-----------
6,199,283
-----------
AUTO - ORIGINAL EQUIPMENT -
0.06%
25,000 Calsonic Corp.................. 88,996
-----------
AUTO - REPLACEMENT PARTS -
1.03%
26,000 Bridgestone Corp............... 593,256
5,550 Denso Corp..................... 376,501
10,093 Michelin (CGDE) Class B........ 624,508
-----------
1,594,265
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
BANKS - OTHER - 13.32%
60,000 AMMB Holdings BHD.............. $ 53,365
50,000 Asahi Bank Ltd................. 188,100
3,190 Asahi Bank Ltd. - ADR.......... 119,943
126,000 Bank of Tokyo - Mitsubishi..... 1,296,484
68,000 Bank of Yokohama Ltd........... 165,961
2,296 Bank of Yokohama Ltd. - ADR.... 56,006
38,287 Barclays plc................... 1,021,809
11,977 Bco Comm Portugues............. 396,588
25,000 Bco Santander.................. 1,258,660
7,000 Bco Totta E Acores............. 259,075
40,000 Chiba Bank Ltd................. 142,393
108,000 Commerce Asset Holding......... 57,017
11,250 Commerce Asset Holding
(Warrants).................... 1,082
6,300 Den Danske Bank AF 1871 - ADR.. 783,819
27,500 Deutsche Bank AG - ADR......... 2,369,315
13,000 Development Bank of Singapore
Ltd........................... 78,411
14,987 Development Bank of Singapore
Ltd. - ADR.................... 361,692
17,000 Dresdner Bank AG - ADR......... 956,420
10,000 Foreningssparbk................ 300,486
25,000 Hang Seng Bank................. 186,314
2,180 HSBC Holdings plc - ADR........ 528,894
15,000 Industrial Bank of Japan Ltd... 92,064
25,000* Ist Bc S.Paolo To.............. 391,780
13,500 Istituto Mobiliare Italiano
S.p.A. - ADR.................. 690,187
48,000 Joyo Bank...................... 170,525
147,654 Lloyds TSB Group plc........... 2,145,149
60,000* Malayan Bk Bhd................. 84,261
31,435 National Australia Bank Ltd.... 435,931
9,319 National Australia Bank Ltd. -
ADR........................... 642,429
10,591 National Westminster Bank plc.. 193,575
2,500 Paribas Banque................. 254,889
250,000 RHB Capital BHD................ 136,534
50,000 RHB Capital BHD (Warrants)..... 7,672
20,598 Royal Bank Scot Group.......... 347,866
98,000 Sakura Bank Ltd................ 290,837
2,000 Schweiz Bankverein............. 722,241
30,000 Shizuoka Bank.................. 324,500
74,000 Sumitomo Bank.................. 691,963
26,000 Tokai Bank..................... 143,996
2,225 Tokai Bank - ADR............... 246,321
1,000 Union Bank of Switzerland AG... 1,680,729
13,300 Westpac Banking Corp. Ltd. -
ADR........................... 438,900
-----------
20,714,183
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
BEVERAGE - BREWERS/
DISTRIBUTORS - 1.38%
34,642* Bass........................... $ 636,534
60,500 Diageo......................... 684,292
16,000 Kirin Brewery Co., Ltd......... 148,921
12,000 LVMH (Moet Hennessy Louis
Vuitton) - ADR................ 508,500
45,000 Sapporo Breweries.............. 170,590
-----------
2,148,837
-----------
BROADCASTING - 0.48%
50,000 British Sky Broadcasting Group
plc........................... 351,976
764 Canal Plus..................... 138,677
40,000 Mediaset....................... 256,542
-----------
747,195
-----------
BUILDING MATERIALS - 1.90%
20,000 Asahi Glass Co. Ltd............ 108,022
1,223 Cie De St Gobain............... 241,207
31,072 CRH plc........................ 447,547
2,505 Fletcher Challenge Building
Division...................... 41,959
2,700 Glaverbel SA................... 399,973
725 Holderbank Finance Glarus...... 926,865
40,000 Inax Corp...................... 135,750
343* Lafarge........................ 34,971
4,116 Lafarge SA..................... 417,585
15,000 Tostem Corp.................... 192,360
-----------
2,946,239
-----------
CHEMICAL - MAJOR - 1.36%
25,000 BASF AG........................ 1,158,750
10,000 Bayer AG....................... 478,072
10,000 Bayer AG - ADR................. 478,462
-----------
2,115,284
-----------
CHEMICAL - MISCELLANEOUS - 1.84%
13,603 Air Liquide - ADR.............. 536,136
5,100 Akzo Nobel N V- ADR............ 533,587
23,420 BOC Group plc.................. 371,044
7,500 Degussa Ag..................... 478,773
6,000 Imperial Chemical Industries
plc - ADR..................... 447,750
13,100 Shin Etsu Chemical Co.......... 243,574
50,000 Toray Industries Inc........... 249,115
-----------
2,859,979
-----------
</TABLE>
<PAGE> 35
================================================================================
INTERNATIONAL EQUITIES FUND - STATEMENT OF NET ASSETS CONTINUED
34 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
CONGLOMERATES - 1.21%
6,890 Broken Hill Proprietary Co.
Ltd. - ADR.................... $ 118,422
34,942* Btr............................ 115,140
15,408* Btr Plc........................ 211,860
30,000 Hutchison Whampoa.............. 156,794
3,300 Itochu Corp. - ADR............. 74,305
71,250 Keppel Corp. Ltd............... 142,117
26,875 Keppel Corp. Ltd. - ADR........ 107,242
8,157 Lagardere Groupe............... 358,564
70,000 Marubeni Corp.................. 141,527
3,200 Marubeni Corp. - ADR........... 64,663
22,000 Mitsubishi Corp................ 132,804
50,000 Mitsui & Co.................... 256,336
----------
1,879,774
----------
CONSUMER FINANCE - 0.03%
37,000 Nippon Shinpan Co.............. 49,960
----------
COSMETICS/TOILETRIES - 1.44%
1,100 Loreal Co...................... 546,231
15,400 Loreal Co. - ADR............... 1,529,505
14,490 Shiseido Ltd. - ADR............ 168,359
----------
2,244,095
----------
DRUGS - 7.80%
26,666 Astra AB....................... 535,885
47,900 Glaxo Wellcome plc - ADR....... 2,583,606
7,700 Kissei Pharmaceutical Co....... 97,577
1,600 Novartis Ag.................... 2,708,606
5,000 Ono Pharmaceutical............. 111,560
200 Roche Holdings AG.............. 2,056,699
10,000 Sankyo Co. Ltd................. 241,173
148,897 Smithkline Beecham............. 1,613,590
35,000 Takeda Chemical Industries Ltd. 904,759
30,900 Zeneca Group plc - ADR......... 1,278,488
----------
12,131,943
----------
ELECTRICAL EQUIPMENT - 1.52%
1,000 Barco.......................... 255,776
15,000 Fanuc.......................... 552,387
30,000 Fujikura....................... 136,905
84,000 General Electric plc........... 688,730
10,400 General Electric plc - ADR..... 85,262
10,000 Murata Manufacturing Co........ 289,552
3,400 Sumitomo Electric Industries
Ltd.- ADR..................... 355,054
----------
2,363,666
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
ELECTRONIC INSTRUMENTS - 2.60%
50,000 Hitachi Ltd.................... $ 329,627
8,550 Hitachi Ltd. - ADR............. 567,506
6,000 Kyocera Corp................... 292,873
25,000 NEC Corp....................... 254,531
5,100 NEC Corp. - ADR................ 260,100
50,000 Racal Electronics plc.......... 307,877
7,110 Schneider SA................... 601,314
8,000 Siemens AG..................... 516,520
12,000 Siemens AG - ADR............... 775,412
25,000 Yokogawa Electric.............. 129,251
----------
4,035,011
----------
FINANCE COMPANIES - 2.94%
20,000 Abbey National................. 357,040
63,000 ABN Amro Holdings N V.......... 1,525,621
126 Dekia France................... 17,121
8,182 Fortis Amev NV................. 490,664
20,180 ING Groep NV................... 1,385,772
3,984 Societe Generale............... 789,076
----------
4,565,294
----------
FOODS - 3.29%
25,000 Ajinomoto Inc.................. 210,304
1,900 Ajinomoto Inc. - ADR........... 159,744
22,084 Cadbury Schweppes plc.......... 337,791
3,929 Cadbury Schweppes plc - ADR.... 240,651
31,794 Coca Cola Amatil Ltd........... 233,954
10,000 Daiei, Inc..................... 28,161
11,500 Daiei, Inc. - ADR.............. 63,250
100,000 Golden Hope Plantations........ 109,227
1,000 Groupe Danone.................. 269,263
30,000 Nestle S A - ADR............... 3,218,862
30,750 Tate & Lyle plc................ 250,116
----------
5,121,323
----------
FOOTWEAR - 0.17%
1,500 Adidas AG...................... 264,817
----------
FREIGHT - 0.67%
98,000 Mitsui Osk Lines Ltd........... 150,018
40,000 Nippon Yusen Kabushiki Kaish... 138,349
8,570 Nippon Yusen Kabushiki Kaish -
ADR.......................... 296,253
33,599 P & O Steam Navigation......... 462,890
----------
1,047,510
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
HOME BUILDERS - 0.27%
15,000 Daiwa House Industry Co. Ltd... $ 116,868
214* Sekisui Homes Ltd. - ADR....... 15,830
20,000 Sekisui House, Ltd............. 148,025
3,000 Skanska Ab..................... 141,630
----------
422,353
----------
HOSPITAL SUPPLIES - 0.65%
2,000 Novo-Nordisk A/S............... 314,803
8,800 Novo-Nordisk A/S - ADR......... 690,800
----------
1,005,603
----------
HOUSEHOLD PRODUCTS - 0.88%
7,000 Katokichi Co................... 77,991
16,400 Unilever N V - ADR.............. 1,294,575
----------
1,372,566
----------
INFORMATION PROCESSING - 1.03%
14,000 Fujitsu Ltd.................... 160,734
7,200 Fujitsu Ltd. - ADR............. 413,091
2,000 SAP AG......................... 1,033,487
----------
1,607,312
----------
INSURANCE - CASUALTY - 0.29%
25,000 Mitsui Marine & Fire........... 122,752
50,000 Nippon Fire & Marine
Insurance..................... 191,350
25,000 Sumitomo Marine & Fire......... 138,999
----------
453,101
----------
INSURANCE - LIFE - 1.19%
66,911 Irish Life plc................. 549,708
15,240 Prudential plc - ADR........... 1,010,849
20,000* Skandia Forsakring............. 292,192
----------
1,852,749
----------
INSURANCE - MULTILINE - 3.79%
3,000 Allianz AG..................... 948,298
88* Allianz AG..................... 27,570
27,313 Assic Generali................. 877,807
10,962 AXA UAP........................ 1,247,722
1,500 Munchener Ruckvers............. 681,379
55,267 Royal Sun Alliance............. 586,288
154,095 Sedgwick Group plc............. 372,492
500 Swiss Reinsurance AG........... 1,151,873
----------
5,893,429
----------
</TABLE>
<PAGE> 36
================================================================================
INTERNATIONAL EQUITIES FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 35
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
LEISURE TIME - 1.16%
20,000 Canon, Inc. - ADR.............. $ 470,000
15,000 Fuji Photo..................... 507,979
53,882 Ladbroke Group plc............. 304,499
88,050 Rank Group..................... 513,409
-----------
1,795,887
-----------
LODGING - 0.15%
297,916 Hong Kong & Shanghai Hotels.... 159,550
22,916* Hong Kong & Shanghai Hotels
(Warrants).................... 29
180,000 Hotel Properties............... 65,572
-----------
225,151
-----------
MACHINE TOOLS - 0.39%
35,000 Amada Co., Ltd................. 176,908
16,000 Makita Corp. - ADR............. 167,000
25,000 Minebea Co. Ltd................ 256,517
-----------
600,425
-----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.75%
3,501* Algeco......................... 377,427
2,000 Groupe Gtm..................... 186,528
2,000 Jean Lefebvre SA............... 165,134
52,000 Kajima Corp.................... 139,678
2,340 Kajima Corp. - ADR............. 62,821
80,000 Kumagai Gumi Co................ 40,263
16,000* Kumagai Gumi Co. (Warrants).... 21
70,000 Shimizu Corp................... 192,072
-----------
1,163,944
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 2.62%
10,000 Atlas Copco AB Series A........ 289,641
125 Bobst SA....................... 236,247
61,056* British Aerospace.............. 541,495
8,000 Ebara Corp..................... 71,687
2,530 Ebara Corp. - ADR.............. 226,589
100,000 Halma plc...................... 209,063
50,000 Kawasaki Heavy Industries...... 93,509
70,000 Kubota Corp.................... 169,326
1,350 Kubota Corp. - ADR............. 67,162
750 Man AG......................... 298,445
1,000 Mannesmann AG.................. 978,002
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
MACHINERY - INDUSTRIAL/
SPECIALTY - Continued
612 Rauma Oy....................... $ 12,639
49,662 Rolls Royce.................... 236,647
25,367 Siebe plc...................... 635,980
-----------
4,066,432
-----------
MEDICAL TECHNOLOGY - 0.02%
20,000* Instrumentation Laboratory
S. p. A. ..................... 32,500
-----------
MERCHANDISE - SPECIALTY - 1.22%
42,487 BAA plc........................ 507,617
10,000 Esselte AB Series B............ 234,775
35,000 Great Universal Stores plc..... 497,626
10,000 Hennes and Mauritz............. 561,418
1,500 Herlitz AG..................... 94,157
-----------
1,895,593
-----------
MERCHANDISING -
DEPARTMENT - 0.99%
500 Karstadt AG.................... 261,314
15,000 Marks & Spencer plc............ 133,768
15,033 Marks & Spencer plc - ADR...... 804,559
16,000 Marui Co., Ltd................. 245,505
36,000 Mitsukoshi Ltd................. 91,761
200 Mitsukoshi Ltd. - ADR.......... 5,095
-----------
1,542,002
-----------
MERCHANDISING - FOOD - 1.47%
15,607 Ahold Kon Nv................... 492,800
1,550 Carrefour SA................... 947,150
10,000* Delhaize-Le Lion, S.A.......... 686,328
15,000 Melco International Development
Limited....................... 1,452
10,000 Uny Co. Ltd.................... 150,913
-----------
2,278,643
-----------
MERCHANDISING - MASS - 0.65%
4,356 Familymart Co.................. 163,559
10,200 Ito-Yokado Co. Ltd. - ADR...... 504,900
6,500 Jeronimo Martins Sgps.......... 293,416
20,000 Seiyu Ltd...................... 42,747
-----------
1,004,622
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
METALS - MISCELLANEOUS - 0.93%
200* Alusuisse Lonza Holdings....... $ 268,646
37,410 NMC............................ 117,140
109,658 North Ltd...................... 255,465
8,062 Rio Tinto Limited.............. 388,700
6,432 Rio Tinto plc.................. 80,419
6,700 Rio Tinto plc.................. 338,350
----------
1,448,720
----------
METALS - STEEL - 0.98%
500 Bekaert SA..................... 394,469
36,700 British Steel plc.............. 90,812
2,000 British Steel plc - ADR........ 50,875
50,000 Cockerill Sambre............... 297,635
60,000 Kawasaki Steel................. 96,180
5,420 Kawasaki Steel - ADR........... 86,836
78,000 Sumitomo Metal Industries Ltd.. 121,092
50,000 Sumitomo Metal Mining.......... 212,290
2,000* Vallourec Usin................. 169,480
-----------
1,519,669
-----------
MISCELLANEOUS - 0.39%
30,000 Rexam.......................... 152,142
8,000 Secom Co....................... 454,618
-----------
606,760
-----------
OIL - INTEGRATED
INTERNATIONAL - 6.05%
27,405 British Petroleum Co. PLC - ADR 2,428,768
20,946 Elf Aquitaine SA - ADR......... 1,436,110
225,000 Eni S.p.A...................... 1,590,870
10,000 Repsol S A - ADR............... 547,500
40,392 Royal Dutch Pete Co............ 2,264,477
9,207 Total.......................... 1,143,373
-----------
9,411,098
-----------
OIL/GAS PRODUCERS - 0.56%
2,505 Fletcher Challenge Energy
Division...................... 78,125
3,500 Norsk Hydro A/S - ADR.......... 157,281
3,000 OMV AG......................... 434,187
62,500 Santos Ltd..................... 205,488
-----------
875,081
-----------
</TABLE>
<PAGE> 37
================================================================================
INTERNATIONAL EQUITIES FUND - STATEMENT OF NET ASSETS CONTINUED
36 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
PAPER/FOREST PRODUCTS - 0.92%
150,801 Fletcher Challenge Forest Ltd.. $ 92,902
4,326 Fletcher Challenge Ltd. - ADR.. 27,578
5,010 Fletcher Challenge Paper
Division...................... 65,756
22,000 New Oji Paper Co., Ltd......... 92,931
300 New Oji Paper Co., Ltd. - ADR.. 12,666
60,000 Nippon Paper Industries........ 259,080
15,000 Stora Kopparbergs.............. 243,068
22,000 UPM - Kymmene Corp............. 637,693
----------
1,431,674
----------
PUBLISHING - NEWS - 0.76%
50,651 Independent Newspapers plc..... 318,596
22,500 News Corp Ltd. - ADR........... 554,062
21,379 United News & Media plc........ 307,456
----------
1,180,114
----------
PUBLISHING/PRINTING - 0.68%
43,333 Reuters Group.................. 497,200
20,000 Trelleborg Ab.................. 283,261
2,020 Wolters Kluwer NV.............. 283,757
----------
1,064,218
----------
RAILROAD - 0.59%
30,000 Fukuyama Transporting Co....... 117,843
9,218 Nagoya Railroad Co. Ltd. - ADR. 274,746
101,970 Odakyu Electric Railway Co.
Ltd. ......................... 332,071
60,000 Tokyu Corp..................... 197,126
----------
921,786
----------
REAL ESTATE - 1.33%
6,000* Asticus Ab..................... 66,605
12,000 Diligentia..................... 110,242
41,427 Hammerson plc.................. 356,583
240,000 Hang Lung Development Co....... 247,774
43,000 Mitsubishi Estate Co. Ltd...... 377,868
35,000 Mitsui Fudosan................. 283,306
26,163 New World Development Co....... 61,786
83,597 Sun Hung Kai Properties Ltd.... 403,475
128,000 Wharf (Holdings) Ltd........... 163,531
----------
2,071,170
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
SECURITIES RELATED - 0.59%
25,000 Daiwa Securities Co. Ltd....... $ 95,133
46,000 Mitsubishi Trust & Banking
Corp. ........................ 408,549
3,800 Nomura Securities Co. Ltd. -
ADR .......................... 414,102
160,000* Peregrine Investment Holdings
Ltd. ......................... 0
6,000* Yamaichi Securities Co. Ltd. -
ADR........................... 0
----------
917,784
----------
TELECOMMUNICATIONS - 10.20%
2,000* Alcatel Alst Cge............... 427,879
35,550 British Telecommunications
plc. ......................... 371,028
13,379 British Telecommunications
plc - ADR ................... 1,396,433
45,924 Cable & Wireless plc........... 520,179
30,000 Deutsche Telekom............... 804,540
30,400 Ericsson LMTEL Co Class B - ADR 847,400
10,000* France Telecom................. 560,087
40,600 Hong Kong Telecommunications
Ltd. - ADR.................... 738,412
15,621 Kon Ptt Nederland.............. 873,076
5,000* Netcom Asa..................... 126,080
300 Nippon Tel+Tel Cp.............. 2,469,493
14,000* Nokia Ab Oy.................... 908,672
2,600 Telecom Corp. of New Zealand
Ltd. - ADR.................... 95,063
250,000 Telecom Italia Mobile.......... 1,478,242
186,111* Telecom Italia Spa............. 1,406,419
14,000 Telefonica de Espana........... 625,404
6,290 Telefonica de Espana - ADR..... 846,005
115,000 Telekom Malaysia Berhad........ 263,185
10,000 Vodafone Group plc - ADR....... 1,098,750
----------
15,856,347
----------
TEXTILE - PRODUCTS - 0.46%
20,000 Courtaulds Textiles plc........ 95,711
30,000* Marzotto & Figli S.p.A......... 460,751
15,000 Wacoal Corp.................... 151,636
----------
708,098
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- ------------
<S> <C> <C>
TOBACCO - 0.76%
77,759 B.A.T. Industries plc......... $ 700,426
20,100 B.A.T. Industries plc - ADR... 371,850
32,000 Swedish Match AB............... 112,692
------------
1,184,968
------------
UTILITIES - COMMUNICATION - 0.17%
1,500 Telecel Comuni Pes............. 262,798
------------
UTILITIES - ELECTRIC - 3.91%
55,000 Clp Holdings................... 237,063
48,000 Endesa S A..................... 1,152,000
6,500 Hidroel Cantabrico............. 304,520
30,000 Iberdrola SA................... 494,886
16,600 Kansai Electric Power Co. Inc.. 264,301
60,000 National Power................. 558,589
4,000 Oesterreichisch
Elektrizitatswirt Schafts -
AG Class A.................... 469,632
10,000 RWE AG - ADR................... 531,189
48,488 Scottish Power plc............. 437,951
95,000 Tenaga Nasional Berhad......... 156,884
25,200 Tokyo Electric Power........... 482,201
15,000 VEBA AG........................ 985,288
------------
6,074,504
------------
UTILITIES - GAS, DISTRIBUTION - 0.32%
44,117 Bg............................. 227,518
127,000 Osaka Gas Co................... 274,193
------------
501,711
------------
WATER SERVICES - 1.71%
21,503 Hyder plc...................... 343,131
26,385 Thames Water plc............... 428,576
43,780 United Utilities plc........... 593,499
6,349* Vivendi........................ 1,275,531
10,196 Vivendi (Warrants)............. 17,723
------------
2,658,460
------------
TOTAL COMMON STOCKS
(Cost $115,663,437)............ 153,332,301
------------
</TABLE>
<PAGE> 38
================================================================================
INTERNATIONAL EQUITIES FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 37
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------- ------------
<S> <C> <C>
UNITED STATES GOVERNMENT -
SHORT TERM - 0.14%
U.S. TREASURY BILLS - 0.14%
$ 225,000 United States Treasury Bills:
4.94% due 6/4/98.............. $ 199,917
4.85% due 6/4/98.............. 24,990
------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $224,907)................ 224,907
------------
TOTAL INVESTMENTS
(Cost $115,888,344) - 98.77%... 153,557,208
Other assets and liabilities,
net - 1.23%................... 1,911,959
------------
NET ASSETS (equivalent
to $11.95 per share on
13,009,276 shares
outstanding) - 100%........... $155,469,167
============
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- ----------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at
5/31/98)
30 (2) Nikkei 225 Futures
(June/$113.22)................ $ (121,309)
===========
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately
$225,000 were maintained in a segregated account with a portion
placed as collateral for futures contracts.
(2) Per 500
<TABLE>
<CAPTION>
MARKET
VALUE
------------
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
13,009,276 shares outstanding................. $ 130,093
Additional paid in capital..................... 106,757,575
Undistributed net realized gain on
securities.................................... 10,593,190
Undistributed net investment income............ 468,817
Unrealized appreciation (depreciation) of:
Investments................... $ 37,668,864
Futures ...................... (121,309)
Foreign currency translation.. (28,063) 37,519,492
------------ -------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING.................................. $ 155,469,167
=============
</TABLE>
<PAGE> 39
================================================================================
INTERNATIONAL EQUITIES FUND - FINANCIAL STATEMENTS
38
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $465,853)............. $ 3,358,662
Interest............................................................. 489,661
-----------
Total investment income............................................ 3,848,323
-----------
EXPENSES:
Advisory fees........................................................ 582,798
Custodian and accounting services.................................... 32,720
Reports to shareholders.............................................. 10,913
Audit fees and tax services.......................................... 3,182
Directors' fees and expenses......................................... 3,684
Insurance............................................................ 2,555
Miscellaneous........................................................ 32,300
-----------
Total expenses..................................................... 668,152
-----------
NET INVESTMENT INCOME................................................ 3,180,171
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized gain (loss) on:
Investments.......................................... $11,174,773
Foreign currency translations........................ (153,279)
Futures contracts.................................... (93,539) 10,927,955
-----------
Net unrealized appreciation (depreciation)
during the year:
Investments.......................................... 1,952,789
Foreign currency translation......................... (52,149)
Futures contracts.................................... (423,327) 1,477,313
----------- -----------
Net realized and unrealized gain on securities and
foreign currencies during the year.............................. 12,405,268
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $15,585,439
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
-------------- --------------
<S> <C> <C>
OPERATIONS:
Net investment income.................................. $ 3,180,171 $ 3,339,991
Net realized gain on securities and foreign
currency transactions................................ 10,927,955 6,077,411
Net unrealized appreciation of securities and
translation of foreign currencies during
the year............................................. 1,477,313 3,956,886
-------------- --------------
Increase in net assets resulting from operations.... 15,585,439 13,374,288
-------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................. (3,388,878) (3,206,176)
Net realized gain on securities........................ (4,595,687) (6,030,686)
-------------- --------------
Decrease in net assets resulting from distributions
to shareholders..................................... (7,984,565) (9,236,862)
-------------- --------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold....................... 58,848,665 74,488,255
Proceeds from capital stock issued for distributions
reinvested........................................... 7,984,565 9,236,862
-------------- --------------
66,833,230 83,725,117
Cost of capital stock repurchased...................... (100,401,920) (112,684,896)
-------------- --------------
Decrease in net assets resulting from capital
stock transactions................................. (33,568,690) (28,959,779)
-------------- --------------
TOTAL DECREASE IN NET ASSETS........................... (25,967,816) (24,822,353)
NET ASSETS:
Beginning of year...................................... 181,436,983 206,259,336
-------------- --------------
End of year (including undistributed net investment
income of $468,817 and $448,887)..................... $ 155,469,167 $ 181,436,983
-------------- --------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold........................... 5,111,681 6,846,567
Shares issued for distributions reinvested............. 728,332 848,956
Shares of capital stock repurchased ................... (8,688,179) (10,334,613)
-------------- --------------
Decrease in shares outstanding....................... (2,848,166) (2,639,090)
Shares outstanding:
Beginning of year.................................... 15,857,442 18,496,532
-------------- --------------
End of year.......................................... 13,009,276 15,857,442
============== ==============
</TABLE>
<PAGE> 40
================================================================================
GROWTH FUND - STATEMENT OF NET ASSETS
May 31, 1998 39
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCKS - 96.64%
ADVERTISING - 3.86%
415,000* ADVO, Inc...................... $ 10,400,937
330,000* Catalina Marketing Corp........ 14,932,500
570,000* Outdoor Systems Inc............ 17,100,000
------------
42,433,437
------------
AUTO - CARS - 0.73%
330,000* Avis Rent A Car Inc............ 8,002,500
------------
AUTO - REPLACEMENT PARTS - 1.89%
625,000* AutoZone, Inc.................. 20,781,250
------------
BANKS - REGIONAL - 2.59%
200,000 BANC ONE CORP.................. 11,025,000
450,000 Norwest Corp................... 17,493,750
------------
28,518,750
------------
BROADCASTING - 7.56%
195,000 CBS Corp....................... 6,191,250
285,000* Chancellor Media Corp.
Class A...................... 11,916,588
625,000 Comcast Corp. Class A Special.. 21,425,812
225,000* Jacor Communications, Inc...... 11,896,875
520,000* Sinclair Broadcast Group, Inc.. 13,227,500
559,350* Tele-Comm Liberty Media Group
Class A....................... 18,458,550
------------
83,116,575
------------
ENTERTAINMENT - 3.27%
280,000 Carnival Corp. Class A......... 18,970,000
150,000 Walt Disney Co................. 16,968,750
------------
35,938,750
------------
FINANCE COMPANIES - 1.29%
190,000 Associates First Capital Corp.. 14,214,375
------------
FINANCIAL SERVICES - 1.76%
560,000 CIT Group Inc.................. 17,640,000
60,000 Heller Financial Inc........... 1,672,500
------------
19,312,500
------------
GOVERNMENT SPONSORED - 3.59%
460,000 Federal Home Loan Mortgage
Corp. ........................ 20,930,000
220,000 Federal National Mortgage
Association................... 13,172,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ------------
<S> <C> <C>
GOVERNMENT SPONSORED - Continued
135,000 SLM Holding Corp............... $ 5,391,562
------------
39,494,062
------------
FUNERAL SERVICES - 2.04%
550,000 Service Corp. International.... 22,481,250
------------
HEALTHCARE - 6.24%
275,000 Cardinal Health, Inc........... 24,509,375
550,000 PhyCor, Inc.................... 9,281,250
700,000* Quorum Health Group Inc........ 21,043,750
450,000* Total Renal Care Holdings...... 13,809,375
------------
68,643,750
------------
HOSPITAL MANAGEMENT - 1.27%
600,000* Concentra Managed Care, Inc.... 14,025,000
------------
HOUSEHOLD PRODUCTS - 0.27%
90,000 ServiceMaster Co............... 2,975,625
------------
HUMAN RESOURCES - 4.05%
200,000* Accustaff, Inc................. 6,587,500
685,000* Interim Services Inc........... 19,907,813
600,000* Metamor Worldwide, Inc......... 18,018,780
------------
44,514,093
------------
INFORMATION PROCESSING - 11.80%
660,000* Acxiom Corp.................... 14,272,500
470,000* Affiliated Computer Services
Class A....................... 15,656,875
415,000* BISYS Group, Inc............... 15,406,875
1,000,000* Cendant Corp................... 21,687,500
550,000 First Data Corp................ 18,287,500
410,000* Galileo International Inc...... 16,143,750
337,500 Paychex, Inc................... 12,150,000
475,000* SunGard Data Systems, Inc...... 16,209,375
------------
129,814,375
------------
INSURANCE - MISCELLANEOUS - 1.79%
300,000 Ace Limited.................... 10,687,500
150,000 MGIC Investment Corp........... 8,990,625
------------
19,678,125
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ------------
<S> <C> <C>
INSURANCE - MULTILINE - 2.28%
36,300* Fairfax Financial Hldgs Ltd.... $ 14,002,747
182,500 Travelers Group, Inc........... 11,132,500
------------
25,135,247
------------
LEISURE TIME - 1.46%
185,500* Mirage Resorts, Inc............ 3,860,719
230,000* Premier Parks, Inc............. 12,218,750
------------
16,079,469
------------
LODGING - 1.80%
700,000* Extended Stay America, Inc..... 7,700,000
385,000 Hilton Hotels Corp............. 12,103,437
------------
19,803,437
------------
MERCHANDISE - SPECIALTY - 13.04%
410,000 Circuit City Stores, Inc....... 17,373,750
440,000* Cole National Corp. Class A.... 17,077,500
960,300* Corporate Express, Inc......... 11,133,526
320,000* CostCo Companies, Inc.......... 18,520,000
660,000* General Nutrition Cos., Inc.... 20,831,250
235,000 Home Depot, Inc................ 18,462,188
306,300 Ikon Office Solutions Inc...... 6,489,731
250,000* Kohl's Corp.................... 11,890,625
760,000* Viking Office Products, Inc.... 21,731,288
------------
143,509,858
------------
MERCHANDISING - FOOD - 1.46%
440,000* Safeway, Inc................... 16,032,500
------------
MERCHANDISING - MASS - 1.56%
400,000* Fred Meyer, Inc................ 17,200,000
------------
MISCELLANEOUS - 0.44%
215,000* Corrections Corp. of America... 4,891,250
------------
OIL - SERVICES - 3.62%
155,000 Camco International, Inc....... 10,811,250
100,000 Schlumberger Ltd............... 7,806,250
185,000* Smith International, Inc....... 9,076,563
140,000* Western Atlas Inc.............. 12,118,750
------------
39,812,813
------------
</TABLE>
<PAGE> 41
================================================================================
GROWTH FUND - STATEMENT OF NET ASSETS
40 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- --------------
<S> <C> <C>
POLLUTION CONTROL - 3.63%
395,000* Republic Industries, Inc...... $ 9,726,875
640,000* USA Waste Services, Inc....... 30,200,000
--------------
39,926,875
--------------
PUBLISHING - NEWS - 1.09%
180,000 Tribune Co.................... 12,037,500
--------------
RESTAURANTS - 1.63%
485,000* Outback Steakhouse Inc........ 17,884,375
--------------
SECURITIES RELATED - 3.37%
560,000 Franklin Resources, Inc....... 27,370,000
125,000 Morgan Stanley, Dean Witter,
Discover and Co.............. 9,757,813
--------------
37,127,813
--------------
TELECOMMUNICATIONS - 6.26%
550,000* Airtouch Communications, Inc.. 26,193,750
950,000* Paging Network, Inc........... 13,003,125
114,700* 360 Communications Co......... 3,276,119
600,000* Western Wireless Corp
Class A..................... 11,100,000
335,000* WorldCom, Inc................. 15,242,500
--------------
68,815,494
--------------
UTILITIES - COMMUNICATION - 1.00%
205,000 MCI Communications Corp....... 10,961,104
--------------
TOTAL COMMON STOCKS
(Cost $ 782,991,834).......... 1,063,162,152
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
----- --------------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 3.63%
CONSUMER FINANCE - 1.57%
Beneficial Corp.,
$17,239,000 5.55% due 06/02/98....... $ 17,236,342
--------------
FINANCE COMPANIES - 1.59%
Ford Motor Credit Co.
17,536,000 5.50% due 06/01/98...... 17,536,000
--------------
SECURITIES RELATED - 0.47%
Merrill Lynch & Co., Inc.
5,218,000 5.60% due 06/03/98....... 5,216,377
--------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $39,988,719)........... 39,988,719
--------------
TOTAL INVESTMENTS
(Cost $822,980,553) - 100.27% 1,103,150,871
Other assets and liabilities,
net - (0.27)%............... (3,013,808)
--------------
NET ASSETS (equivalent
to $22.08 per share on
49,832,259 shares
outstanding) - 100%......... $1,100,137,063
==============
</TABLE>
*Non-income producing
<TABLE>
<CAPTION>
MARKET
VALUE
--------------
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
49,832,259 shares outstanding.......... $ 498,323
Additional paid in capital............... 768,928,479
Undistributed net realized gain on
securities............................. 51,655,725
Accumulated net investment loss.......... (1,115,782)
Unrealized appreciation of securities.... 280,170,318
--------------
Net Assets Applicable to Shares
Outstanding............................ $1,100,137,063
==============
</TABLE>
<PAGE> 42
================================================================================
GROWTH FUND - FINANCIAL STATEMENTS
41
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends............................................................ $ 2,806,130
Interest............................................................. 4,126,518
------------
Total investment income............................................ 6,932,648
------------
EXPENSES:
Advisory fees........................................................ 7,593,303
Custodian and accounting services.................................... 213,073
Reports to shareholders.............................................. 81,027
Audit fees and tax services.......................................... 27,624
Directors' fees and expenses......................................... 18,286
Miscellaneous........................................................ 51,367
------------
Total expenses..................................................... 7,984,680
------------
NET INVESTMENT LOSS.................................................. (1,052,032)
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on:
Investments.......................................... $ 52,237,757
Foreign currency translation......................... (63,750) 52,174,007
------------
Net unrealized appreciation of securities during the year............ 165,960,273
------------
Net realized and unrealized gain on securities during the year..... 218,134,280
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $217,082,248
============
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
---- ----
<S> <C> <C>
OPERATIONS:
Net investment income (loss)......................... $ (1,052,032) $ 552,393
Net realized gain on securities...................... 52,174,007 16,994,556
Net unrealized appreciation of securities during
the year........................................... 165,960,273 39,599,901
-------------- ------------
Increase in net assets resulting from operations... 217,082,248 57,146,850
-------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income................................ (303,215) (503,196)
Net realized gain on securities...................... (15,121,487) (11,891,551)
-------------- ------------
Decrease in net assets resulting from distributions
to shareholders................................... (15,424,702) (12,394,747)
-------------- ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold..................... 155,432,936 268,628,198
Proceeds from capital stock issued for
distributions reinvested........................... 15,424,702 12,394,747
-------------- ------------
170,857,638 281,022,945
Cost of capital stock repurchased.................... (20,032,134) (3,908,102)
-------------- ------------
Increase in net assets resulting from capital
stock transactions............................... 150,825,504 277,114,843
-------------- ------------
TOTAL INCREASE IN NET ASSETS......................... 352,483,050 321,866,946
NET ASSETS:
Beginning of year.................................... 747,654,013 425,787,067
-------------- ------------
End of year (including undistributed net investment
(loss)/income of ($1,115,782) and $303,215)........ $1,100,137,063 $747,654,013
============== ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold......................... 7,600,994 16,096,764
Shares issued for distributions reinvested........... 769,312 733,851
Shares of capital stock repurchased ................. (959,921) (234,388)
-------------- ------------
Increase in shares outstanding..................... 7,410,385 16,596,227
Shares outstanding:
Beginning of year.................................. 42,421,874 25,825,647
-------------- ------------
End of year........................................ 49,832,259 42,421,874
============== ============
</TABLE>
<PAGE> 43
================================================================================
GROWTH & INCOME FUND - STATEMENT OF NET ASSETS
42 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ------------
<S> <C> <C>
COMMON STOCKS - 92.75%
ADVERTISING - 1.31%
76,000 Omnicom Group, Inc............. $ 3,557,750
------------
AIRLINES - 1.11%
65,000* Alaska Air Group, Inc.......... 3,010,313
------------
BANKS - NEW YORK CITY - 1.27%
23,000 CitiCorp....................... 3,429,875
------------
BANKS - OTHER - 2.35%
28,000 BankAmerica Corp............... 2,315,250
60,000 Mellon Bank Corp............... 4,046,250
------------
6,361,500
------------
BANKS - REGIONAL - 3.94%
90,000 Norwest Corp................... 3,498,750
54,000 Star Banc Corp................. 3,294,000
40,000 State Street Corp.............. 2,757,500
22,400 Zions Bancorporation........... 1,142,400
------------
10,692,650
------------
BROADCASTING - 1.94%
55,000* Clear Channel Communications,
Inc.......................... 5,273,125
------------
BUILDING MATERIALS - 1.98%
80,000 HON INDUSTRIES Inc............. 2,560,000
20,000 Lowe's Companies, Inc.......... 1,583,750
40,000* Nortek Inc. Com................ 1,230,000
------------
5,373,750
------------
CHEMICAL - MAJOR - 0.01%
600 Hercules, Inc.................. 26,438
------------
DRUGS - 7.37%
363* Crescendo Phamarceuticals Corp. 4,628
60,000 Eli Lilly and Co............... 3,686,250
105,321 ICN Pharmaceuticals, Inc....... 4,548,550
61,000 Pfizer, Inc.................... 6,393,562
60,000 Warner-Lambert Co.............. 3,828,750
35,000* Watson Pharmaceuticals, Inc.... 1,531,250
------------
19,992,990
------------
ELECTRICAL EQUIPMENT - 1.23%
40,000* General Electric Co............ 3,335,000
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ------------
<S> <C> <C>
FINANCE COMPANIES - 1.28%
15,000* Fleetwood Capital Trust........ $ 802,500
55,000 SunAmerica, Inc................ 2,674,375
------------
3,476,875
------------
FOODS - 2.54%
56,000 Campbell Soup Co............... 3,052,000
25,000 Trinity Industries, Inc........ 1,193,750
80,000* U. S. Foodservice.............. 2,650,000
------------
6,895,750
------------
FREIGHT - 0.48%
35,000 Airborne Freight Corp.......... 1,303,750
------------
HEALTHCARE - 2.86%
45,000 Cardinal Health, Inc........... 4,010,625
131,480* HealthSouth Corp............... 3,730,745
------------
7,741,370
------------
HOME BUILDERS - 0.82%
50,000 Centex Corp.................... 1,787,500
25,000 Standard Pacific Corp.......... 432,813
------------
2,220,313
------------
HOSPITAL SUPPLIES - 1.36%
35,000 Medtronic, Inc................. 1,946,875
50,000* Safeskin Corp.................. 1,750,000
------------
3,696,875
------------
HOUSEHOLD PRODUCTS - 1.02%
55,000* Bed Bath & Beyond, Inc......... 2,760,313
------------
INFORMATION PROCESSING - 16.31%
20,000* America Online, Inc............ 1,666,250
100,000* BMC Software, Inc.............. 4,606,250
52,500 Cisco Systems, Inc............. 3,970,312
80,000 Compaq Computer Corp........... 2,185,000
75,000 Computer Associates
International................ 3,937,500
120,000 Compuware Corp................. 5,512,500
52,083* Data General Corp.............. 794,266
50,000* Dell Computer Corp............. 4,120,315
110,000* E M C Corp..................... 4,558,125
5,000 Microsoft Corp................. 466,875
110,000 Parametric Technology Corp..... 3,372,193
120,000* Peoplesoft Inc................. 5,242,500
14,183* Storage Technology Corp........ 1,189,599
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ------------
<S> <C> <C>
INFORMATION PROCESSING - Continued
65,000 Sun Microsystems, Inc.......... $ 2,604,063
------------
44,225,748
------------
INSURANCE - CASUALTY - 1.02%
20,000 Progressive Corp............... 2,757,500
------------
INSURANCE - LIFE - 1.71%
40,000 Conseco Inc.................... 1,865,000
40,404 Equitable Cos., Inc............ 2,782,826
------------
4,647,826
------------
INSURANCE - MISCELLANEOUS - 1.28%
55,000 Executive Risk, Inc............ 3,461,563
------------
INSURANCE - MULTILINE - 4.78%
60,000 Allstate Corp.................. 5,647,500
70,000 Reliastar Financial Corp....... 3,027,500
69,999 Travelers Group, Inc........... 4,269,939
------------
12,944,939
------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.88%
36,000 Illinois Tool Works Inc........ 2,376,000
------------
MEDICAL TECHNOLOGY - 1.56%
40,000 Guidant Corp................... 2,577,500
20,000* Sofamor Danek Group, Inc....... 1,662,500
------------
4,240,000
------------
MERCHANDISE - DRUG - 1.06%
15,910 CVS Corp....................... 1,116,683
50,000 Walgreen Co.................... 1,759,375
------------
2,876,058
------------
MERCHANDISE - SPECIALTY - 3.85%
55,312* Consolidated Stores Corp....... 2,112,226
20,000 Home Depot, Inc................ 1,571,250
113,062* Staples, Inc................... 2,840,682
84,000 TJX Companies, Inc............. 3,927,000
------------
10,451,158
------------
MERCHANDISING - DEPARTMENT - 1.95%
114,000 Dayton Hudson Corp............. 5,286,750
------------
</TABLE>
<PAGE> 44
================================================================================
GROWTH & INCOME FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 43
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ------------
<S> <C> <C>
MERCHANDISING - FOOD - 3.49%
90,000 Albertsons, Inc................ $ 4,168,125
70,000* Safeway, Inc................... 2,550,625
50,000* Whole Foods Market, Inc........ 2,750,000
------------
9,468,750
------------
MERCHANDISING - MASS - 0.48%
25,000 Dollar Tree Stores Inc......... 1,293,750
------------
MOBILE HOMES - 1.05%
105,000 Oakwood Homes Corp............. 2,854,688
------------
MISCELLANEOUS - 1.97%
193,400* Brightpoint, Inc............... 3,058,138
100,000* Corrections Corp. of America... 2,275,000
------------
5,333,138
------------
MULTIMEDIA - 0.37%
25,000 Meredith Corp.................. 993,750
------------
OIL - INTEGRATED
INTERNATIONAL - 0.01%
180 British Petroleum Co. plc - ADR 15,953
------------
OIL - SERVICE - PRODUCTS - 1.81%
150,000 B.J. Services Co............... 4,903,125
------------
OIL - SERVICES - 5.29%
60,000 Baker Hughes Inc............... 2,160,000
80,000 Halliburton Co................. 3,790,000
35,000 Schlumberger Ltd............... 2,732,187
25,000* Smith International, Inc....... 1,226,562
90,000 Transocean Offshore, Inc....... 4,438,125
------------
14,346,874
------------
OIL/GAS PRODUCERS - 1.35%
27,285* Noble Affiliates, Inc.......... 1,065,820
90,000* R & B Falcon Corp.............. 2,581,875
------------
3,647,695
------------
POLLUTION CONTROL - 0.44%
45,000* Allied Waste Industries, Inc... 1,192,500
------------
PUBLISHING - NEWS - 0.91%
35,000 New York Times Co. Class A..... 2,467,500
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
--------- ------------
<S> <C> <C>
SAVINGS & LOAN - 0.84%
30,000 H.F. Ahmanson & Co............. $ 2,287,500
------------
SEMICONDUCTORS - 1.22%
30,000 Intel Corp..................... 2,143,125
35,000 Maxim Integrated Products,
Inc.......................... 1,168,125
------------
3,311,250
------------
TELECOMMUNICATIONS - 3.40%
50,000* Airtouch Communications, Inc... 2,381,250
50,000* Tellabs, Inc................... 3,435,940
75,000* WorldCom, Inc.................. 3,412,500
------------
9,229,690
------------
TOBACCO - 1.10%
80,000 Philip Morris Cos Inc.......... 2,990,000
------------
UTILITIES - ELECTRIC - 1.75%
100,000* AES Corp....................... 4,756,250
------------
TOTAL COMMON STOCKS
(Cost $186,482,335)............ 251,508,592
------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
-----
<S> <C> <C>
CONVERTIBLE BONDS - 6.43%
AEROSPACE/DEFENSE - 0.92%
$ 500,000 Rohr, Inc.,
7.75% due 05/15/04............ 1,732,591
500,000 SCI Systems, Inc.,
5.00% due 05/01/06............ 756,560
------------
2,489,151
------------
AIRLINES - 0.40%
500,000 Alaska Air Group, Inc.,
6.50% due 06/15/05............ 1,073,435
------------
BANKS - REGIONAL - 0.87%
2,000,000 Bank Atlantic Bancorp,
5.63% due 12/01/07............ 2,355,000
------------
DRUGS - 0.25%
500,000 ALZA Corp.,
5.00% due 05/01/06............ 681,250
------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
----- ------------
<S> <C> <C>
ELECTRONIC INSTRUMENTS - 0.10%
$ 300,000 C - Cube Microsystems, Inc.,
5.88% due 11/01/05............ $ 271,500
------------
HEALTHCARE - 0.32%
1,000,000 PhyCor, Inc.,
4.50% due 02/15/03............ 876,250
------------
INFORMATION PROCESSING - 0.81%
500,000 Adaptec, Inc.,
4.75% due 02/01/04............ 399,375
1,500,000 National Data Corp.,
5.00% due 11/01/03............ 1,515,000
300,000 Data General Corp.,
6.00% due 05/15/04........... 272,625
------------
2,187,000
------------
LODGING - 0.20%
500,000 Hilton Hotels Corp.,
5.00% due 05/15/06........... 552,500
------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.16%
500,000 Halter Marine Group, Inc.,
4.50% due 09/15/04............ 440,000
------------
MERCHANDISE - SPECIALTY - 0.41%
500,000 Home Depot, Inc.,
3.25% due 10/01/01............ 853,125
250,000 Inacom Corp.,
4.50% due 11/01/04............ 255,000
------------
1,108,125
------------
OIL - INTEGRATED DOMESTIC - 0.51%
1,000,000 Pennzoil Co.,
4.75% due 10/01/03............ 1,371,250
------------
OIL - SERVICE - 0.86%
2,000,000 Key Energy Group, Inc.,
5.00% due 09/15/04............ 1,642,500
500,000 Nabors Industries, Inc.,
5.00% due 05/15/06............ 695,000
------------
2,337,500
------------
</TABLE>
<PAGE> 45
================================================================================
GROWTH & INCOME FUND - STATEMENT OF NET ASSETS CONTINUED
44 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------- ------------
<S> <C> <C>
OIL/GAS PRODUCERS - 0.24%
$ 500,000 Diamond Offshore Drilling, Inc.,
3.75% due 02/15/07............ $ 646,250
------------
PUBLISHING/PRINTING - 0.38%
1,000,000 World Color Press, Inc.,
6.00% due 10/01/07............ 1,035,000
------------
TOTAL CONVERTIBLE BONDS
(Cost $15,210,128)............. 17,424,211
------------
CORPORATE SHORT
TERM COMMERCIAL PAPER - 0.87%
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.87%
2,365,000 Cooper Industries, Inc.,
5.67% due 06/01/98............ 2,365,000
------------
TOTAL CORPORATE SHORT
TERM COMMERCIAL PAPER
(Cost $2,365,000).............. 2,365,000
------------
TOTAL INVESTMENTS
(Cost $204,057,463) - 100.05%.. 271,297,803
Other assets and liabilities,
net - (0.05%)................. (138,805)
------------
NET ASSETS (equivalent
$19.91 per share on
13,618,559 shares
outstanding) - 100%........... $271,158,998
============
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
MARKET
VALUE
------------
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
13,618,559 shares outstanding........... $ 136,186
Additional paid in capital................ 183,647,905
Undistributed net realized gain on
securities.............................. 19,961,158
Undistributed net investment income....... 173,409
Unrealized appreciation of securities..... 67,240,340
------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $271,158,998
============
</TABLE>
<PAGE> 46
================================================================================
GROWTH & INCOME FUND - FINANCIAL STATEMENTS
45
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends............................................................ $ 1,491,393
Interest............................................................. 1,616,330
-----------
Total investment income............................................ 3,107,723
-----------
EXPENSES:
Advisory fees........................................................ 1,907,885
Custodian and accounting fees........................................ 57,561
Reports to shareholders.............................................. 20,611
Audit fees and tax services.......................................... 7,217
Directors' fees and expenses......................................... 5,166
Miscellaneous........................................................ 13,114
-----------
Total expenses..................................................... 2,011,554
-----------
NET INVESTMENT INCOME................................................ 1,096,169
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities...................................... 20,112,463
Net unrealized appreciation on securities during the year............ 21,794,919
-----------
Net realized and unrealized gain on securities during the year.... 41,907,382
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $43,003,551
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income ................................................ $ 1,096,169 $ 1,134,645
Net realized gain on securities ...................................... 20,112,463 2,722,032
Net unrealized appreciation of securities during the year ............ 21,794,919 24,022,009
------------- -------------
Increase in net assets resulting from operations ................... 43,003,551 27,878,686
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ................................................ (1,084,032) (1,058,649)
Net realized gain on securities ...................................... (2,863,622) (3,131,642)
------------- -------------
Decrease in net assets resulting from distributions
to shareholders ................................................... (3,947,654) (4,190,291)
------------- -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ..................................... 31,809,939 70,892,821
Proceeds from capital stock issued for distributions reinvested ...... 3,947,654 4,190,291
------------- -------------
35,757,593 75,083,112
Cost of capital stock repurchased .................................... (13,199,616) (2,772,662)
------------- -------------
Increase in net assets resulting from capital stock transactions ... 22,557,977 72,310,450
------------- -------------
TOTAL INCREASE IN NET ASSETS ......................................... 61,613,874 95,998,845
NET ASSETS:
Beginning of year .................................................... 209,545,124 113,546,279
------------- -------------
End of year (including undistributed net investment income
of $173,409 and $161,272) .......................................... $ 271,158,998 $ 209,545,124
============= =============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ......................................... 1,662,136 4,647,143
Shares issued for distributions reinvested ........................... 209,426 268,315
Shares of capital stock repurchased .................................. (675,165) (177,920)
------------- -------------
Increase in shares outstanding ..................................... 1,196,397 4,737,538
Shares outstanding:
Beginning of year .................................................. 12,422,162 7,684,624
------------- -------------
End of year ........................................................ 13,618,559 12,422,162
============= =============
</TABLE>
<PAGE> 47
================================================================================
SCIENCE & TECHNOLOGY FUND - STATEMENT OF NET ASSETS
46 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
COMMON STOCKS - 97.90%
AEROSPACE/DEFENSE - 0.55%
165,000* SCI Systems, Inc............... $ 5,630,625
-----------
ELECTRICAL EQUIPMENT - 0.09%
70,000* Brooks Automation, Inc......... 901,250
-----------
ELECTRONIC INSTRUMENTS - 0.65%
110,000* Cognex Corp.................... 2,090,000
55,000* Lattice Semiconductor Corp..... 2,124,375
80,000* Marshall Industries............ 2,475,000
-----------
6,689,375
-----------
ENTERTAINMENT - 0.09%
48,500* N2K Inc........................ 956,363
-----------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 10.18%
85,000* AXENT Technologies, Inc........ 2,093,125
440,000* BMC Software, Inc.............. 20,267,500
53,000* Great Plains Software, Inc..... 1,934,500
355,000* Microsoft Corp................. 30,108,438
1,245,000* Oracle Corp.................... 29,413,125
1,700* Peerless Systems Corp.......... 30,812
165,000* Peoplesoft Inc................. 7,208,437
135,000 PLATINUM technology, Inc....... 3,695,625
11,000* Sap............................ 6,087,997
82,500* Veritas Software Corp.......... 3,328,363
-----------
104,167,922
-----------
INFORMATION PROCESSING - COM-
PUTER HARDWARE SYSTEMS - 3.36%
167,500* Dell Computer Corp............. 13,803,055
625,000* Electronics for Imaging, Inc... 12,343,750
205,000* Sun Microsystems, Inc.......... 8,212,813
-----------
34,359,618
-----------
INFORMATION PROCESSING -
COMPUTER SERVICES - 13.93%
245,000* America Online, Inc............ 20,411,562
110,000 Automatic Data Processing, Inc. 6,998,750
101,100 Checkfree Holdings Corp........ 2,293,706
1,110,000 First Data Corp................ 36,907,500
522,200* Gartner Group, Inc............. 17,265,239
165,000 National Data Corp............. 6,187,500
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
INFORMATION PROCESSING -
COMPUTER SERVICES - Continued
410,000* Security Dynamics Technology...$ 8,661,250
750,000* Sterling Commerce Inc.......... 29,765,625
273,000* SunGard Data Systems, Inc...... 9,316,125
170,000* Vantive Corp................... 4,568,750
4,700 VeriSign, Inc.................. 150,106
-----------
142,526,113
-----------
INFORMATION PROCESSING -
CONSUMER SOFTWARE - 6.83%
435,000* Networks Associates, Inc....... 26,643,750
1,410,000 Parametric Technology Corp..... 43,225,383
-----------
69,869,133
-----------
INFORMATION PROCESSING -
DATA SERVICES - 15.13%
580,000 Adobe Systems Inc.............. 23,163,750
140,000 Affiliated Computer Services,
Inc. Class A.................. 4,663,750
555,000* Anixter International, Inc..... 11,169,375
275,000* Avant! Corp.................... 7,064,063
110,000* BISYS Group, Inc............... 4,083,750
95,000* Caere Corp..................... 1,330,000
294,800* CBT Group PLC.................. 14,666,300
660,000* E M C Corp..................... 27,348,750
140,000* Electronic Arts................ 6,090,000
50,000* Envoy Corp..................... 2,193,750
80,000 HCIA, Inc...................... 660,000
210,000 Hewlett Packard Co............. 13,046,250
75,000* Integrated Systems, Inc........ 1,406,250
110,000* Learning Co., Inc.............. 3,135,000
77,100* Legato Systems, Inc............ 2,206,988
85,000* Micrel, Inc.................... 2,658,911
32,300* National Instruments Corp...... 1,075,994
38,200* PsiNet, Inc.................... 410,650
60,000* Renaissance Worldwide Inc...... 1,128,750
320,000* Solectron Corp................. 13,240,000
140,000* Tech Data Corp................. 5,687,500
111,500* Technology Solutions Co........ 3,365,906
69,000* Transaction Systems
Architects Class A.......... 2,794,500
140,000* Viasoft, Inc................... 2,161,250
-----------
154,751,437
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
INFORMATION PROCESSING -
NETWORKING - 6.73%
775,000* Ascend Communications Inc...... $33,470,313
440,000 Cisco Systems, Inc............. 33,275,000
15,800* Concentric Network Corp........ 349,575
33,000* International Network Services. 1,034,345
20,000 PMC-Sierra, Inc................ 778,750
-----------
68,907,983
-----------
INSURANCE - CASUALTY - 0.04%
28,000* Atlantic Data Services, Inc.... 367,500
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.03%
18,500 Ortel Corp..................... 270,562
-----------
MISCELLANEOUS - 0.15%
65,000* Xlyan Corp..................... 1,568,125
-----------
MULTIMEDIA - 3.38%
140,000* Cadence Design Systems, Inc.... 4,935,000
690,000* Synopsys Inc................... 29,626,875
-----------
34,561,875
-----------
SECURITIES RELATED - 1.01%
480,000* E*Trade Group, Inc............. 10,380,000
-----------
SEMICONDUCTOR EQUIPMENT - 5.26%
360,000* Applied Materials, Inc......... 11,520,000
230,000 ASM Lithography Holding NV..... 8,811,875
330,000* KLA-Tencor Corp................ 11,178,750
445,000* LAM Research Corp.............. 10,596,562
430,000* Microchip Technology, Inc...... 10,535,000
30,000* QLogic Corp.................... 1,215,000
-----------
53,857,187
-----------
SEMICONDUCTORS - 14.78%
415,000* Altera Corp.................... 13,954,375
1,040,000* Analog Devices, Inc............ 25,675,000
80,000* Applied Micro Circuits Corp.... 1,800,000
170,000* Burr Brown Corp................ 4,361,568
137,500 Intel Corp..................... 9,822,656
70,000* Level One Communications, Inc.. 1,868,125
180,000 Linear Technology Corp......... 12,588,750
950,000* Maxim Integrated Products, Inc. 31,706,250
55,000* Speedfam International, Inc.... 1,072,500
330,000 Texas Instruments Inc.......... 16,953,750
825,000* Xilinx, Inc.................... 31,375,823
-----------
151,178,797
-----------
</TABLE>
<PAGE> 48
================================================================================
SCIENCE & TECHNOLOGY FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 47
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
TELECOMMUNICATIONS - 14.64%
550,000* ADC Communications, Inc......... $ 15,468,750
245,000* Advanced Fibre Communications... 9,080,313
110,000* Airtouch Communications, Inc.... 5,238,750
135,000* CIENA Corp...................... 7,020,000
180,000 Ericsson (LM) Tel Co. -
ADR Series B................. 5,017,500
34,000* Excel Switching Corp............ 671,500
110,000* Glenayre Technologies, Inc...... 1,684,375
75,000 Lucent Technologies, Inc........ 5,320,312
50,000* Natural Microsystems Corp....... 1,070,315
110,000 Nokia Corp - ADR Series A....... 7,143,125
370,000* Paging Network, Inc............. 5,064,375
55,000 Pairgain Technologies Inc....... 859,375
103,400* PanAmSat Corp. New.............. 5,648,225
170,000 Premisys Communications Inc..... 4,234,071
610,000* QUALCOMM, Inc................... 31,796,250
80,000* Sanmina Corp.................... 6,230,000
54,000* Teledata Communications Ltd..... 634,500
95,000* Tellabs, Inc.................... 6,528,286
120,000* Transaction Network Services.... 2,445,000
55,000 Vodafone Group plc - ADR........ 6,043,125
495,000* WorldCom, Inc................... 22,522,500
-------------
149,720,647
-------------
UTILITIES - COMMUNICATION - 1.07%
205,000 MCI Communications Corp......... 10,961,104
-------------
TOTAL COMMON STOCKS
(Cost $891,023,542)............. 1,001,625,616
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------- -----------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 2.27%
CONSUMER FINANCE - 0.73%
7,470,000 Beneficial Corp.,
5.55% due 06/02/98......... $ 7,468,849
--------------
FINANCE COMPANIES - 1.15%
11,761,000 Ford Motor Credit Co.,
5.50% due 06/01/98........ 11,761,000
--------------
SECURITIES RELATED - 0.39%
3,985,000 Merrill Lynch & Co.,
5.60% due 06/03/98........ 3,983,760
--------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $23,213,609).......... 23,213,609
--------------
TOTAL INVESTMENT
(Cost $914,237,151) -
100.17%.................. 1,024,839,225
Other assets and
liabilities, net -
(0.17%).................. (1,698,287)
--------------
NET ASSETS (equivalent
to $22.07 per share on
46,355,160 shares
outstanding) - 100%........ $1,023,140,938
==============
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
FACE MARKET UNREALIZED
VALUE VALUE DEPRECIATION
----------- ----------- ------------
<S> <C> <C> <C>
Forward currency contracts sold:
Deutsche Mark 6/2/98........... $ 1,629,371 $ 1,627,315 ($ 2,056)
----------- ----------- -----------
</TABLE>
<TABLE>
<CAPTION>
MARKET
VALUE
-----------
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
46,355,160 shares outstanding.......... $ 463,552
Additional paid in capital............... 817,508,725
Undistributed net realized gain on
securities............................. 94,571,161
--------------
Unrealized appreciation (depreciation) of:
Investments............. $ 110,602,074
Forward contracts....... (2,056)
Foreign currency
translation.......... (2,518) 110,597,500
-------------- --------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................ $1,023,140,938
==============
</TABLE>
<PAGE> 49
================================================================================
SCIENCE & TECHNOLOGY FUND - FINANCIAL STATEMENTS
48
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends......................................................... $ 786,120
Interest.......................................................... 3,796,710
-----------
Total investment income......................................... 4,582,830
-----------
EXPENSES:
Advisory fees...................................................... 8,602,906
Custodian and accounting services.................................. 216,890
Reports to shareholders............................................ 73,409
Audit fees and tax services........................................ 24,471
Directors' fees and expenses....................................... 18,818
Miscellaneous...................................................... 46,100
-----------
Total expenses................................................... 8,982,594
-----------
NET INVESTMENT LOSS................................................ (4,399,764)
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized gain on:
Investments......................................... $111,216,186
Foreign currency translation........................ 12,822 111,229,008
------------
Net unrealized appreciation (depreciation) during the
year:
Investments......................................... (16,754,541)
Foreign currency translation........................ 55,815 (16,698,726)
------------ -----------
Net realized and unrealized gain on securities during the year... 94,530,282
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $90,130,518
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
--------------- ------------
<S> <C> <C>
OPERATIONS:
Net investment loss............................... $ (4,399,764) $ (1,919,791)
Net realized gain (loss) on securities............ 111,229,008 (8,889,903)
Net unrealized appreciation (depreciation) of
securities during the year...................... (16,698,726) 33,692,829
--------------- ------------
Increase in net assets resulting from
operations................................... 90,130,518 22,883,135
--------------- ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................. - -
Net realized gain on securities................... - (32,117,202)
--------------- ------------
Decrease in net assets resulting from
distributions to shareholders.................. - (32,117,202)
--------------- ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.................. 217,275,229 286,682,331
Proceeds from capital stock issued for
distributions reinvested........................ - 32,117,202
--------------- ------------
217,275,229 318,799,533
Cost of capital stock repurchased................. (89,246,756) (71,770,130)
--------------- ------------
Increase in net assets resulting from
capital stock transactions.................... 128,028,473 247,029,403
--------------- ------------
TOTAL INCREASE IN NET ASSETS...................... 218,158,991 237,795,336
NET ASSETS:
Beginning of year................................. 804,981,947 567,186,611
--------------- ------------
End of year (including accumulated net
investment losses of $0 and ($1,935,355)) ...... $1,023,140,938 $804,981,947
=============== ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold...................... 10,004,608 14,868,580
Shares issued for distributions reinvested........ - 1,636,128
Shares of capital stock repurchased .............. (4,133,577) (3,716,452)
--------------- ------------
Increase in shares outstanding.................. 5,871,031 12,788,256
Shares outstanding:
Beginning of year............................... 40,484,129 27,695,873
--------------- ------------
End of year..................................... 46,355,160 40,484,129
=============== ============
</TABLE>
<PAGE> 50
================================================================================
SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS
May 31, 1998 49
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
COMMON STOCKS - 97.52%
ADVERTISING - 0.18%
<S> <C> <C>
5,352 Interpublic Group Cos., Inc.... $ 317,441
6,030 Omnicom Group, Inc............. 282,279
-----------
599,720
-----------
AEROSPACE/DEFENSE - 0.21%
12,604 Goodrich (B.F.) Co............ 645,955
1,349 Teleflex Inc................... 54,550
-----------
700,505
-----------
AIRLINES - 0.25%
2,418* AMR Corp....................... 372,221
265 Delta Air Lines, Inc........... 30,475
9,344 Southwest Airlines Co.......... 249,368
2,546* US Airways Group, Inc.......... 178,220
-----------
830,284
-----------
APPAREL & PRODUCTS - 0.05%
3,570 Liz Claiborne, Inc............. 180,954
-----------
APPLIANCES/FURNISHINGS - 0.05%
1,457 Herman Miller, Inc............. 40,341
2,612 Maytag Corp.................... 131,742
-----------
172,083
-----------
AUTO - CARS - 0.81%
48,472 Chrysler Corp.................. 2,696,255
-----------
AUTO - ORIGINAL EQUIPMENT - 0.02%
2,160 Arvin Industries, Inc.......... 80,055
-----------
AUTO - REPLACEMENT PARTS - 0.57%
3,174* AutoZone, Inc.................. 105,536
3,429 Echlin Inc..................... 162,878
19,107 Genuine Parts Co............... 648,444
13,617 Goodyear Tire & Rubber Co...... 978,721
-----------
1,895,579
-----------
BANKS - NEW YORK CITY - 2.61%
25,098 Bank of New York Co., Inc...... 1,534,115
22,509 Chase Manhattan Corp........... 3,059,817
20,409 CitiCorp....................... 3,043,493
8,717 J. P. Morgan & Co. Inc........ 1,082,542
-----------
8,719,967
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
BANKS - OTHER - 3.22%
<S> <C> <C>
37,866 BankAmerica Corp............... $ 3,131,045
5,115 BankBoston Corp................ 538,993
10,940 First Chicago Corp............. 956,566
46,963 First Union Corp............... 2,597,641
11,371 Fleet Financial Group, Inc..... 932,422
5,993 Mellon Bank Corp............... 404,153
18,719 National City Corp............. 1,268,212
2,238 Providian Financial Corp....... 142,393
2,222 Wells Fargo & Co............... 803,253
-----------
10,774,678
-----------
BANKS - REGIONAL - 3.63%
43,086 BANC ONE CORP.................. 2,375,116
5,444 Comerica Inc................... 357,943
9,709 Fifth Third Bancorp............ 478,168
1,170 Huntington Bancshares, Inc..... 38,318
12,758 KeyCorp........................ 484,007
45,383 NationsBank Corp............... 3,437,761
2,298 Northern Trust Corp............ 162,081
45,414 Norwest Corp................... 1,765,469
10,848 PNC Bank Corp.................. 626,472
214 Summit Bancorporation.......... 10,727
2,560 SunTrust Banks, Inc............ 202,240
6,650 Synovus Financial Corp......... 149,198
37,479 U.S. Bancorp................... 1,466,366
7,025 Wachovia Corp.................. 562,439
-----------
12,116,305
-----------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.79%
44,570 Anheuser-Busch Companies, Inc.. 2,047,435
13,258 Seagram Co. Ltd................ 582,523
-----------
2,629,958
-----------
BEVERAGE - SOFT DRINKS - 3.80%
121,862 Coca-Cola Co................... 9,550,934
77,247 PepsiCo, Inc................... 3,152,643
-----------
12,703,577
-----------
BROADCASTING - 1.47%
8,056* Clear Channel Communications,
Inc......................... 772,369
13,957 Comcast Corp. Class A Special.. 478,464
15,578* Tele-Comm Liberty Media Group
Class A..................... 534,520
33,716 U S West Communications Group.. 1,711,087
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
BROADCASTING - Continued
<S> <C> <C>
13,835 U S West Media Group........... $ 512,760
16,159* Viacom, Inc Class B............ 888,745
-----------
4,897,945
-----------
BUILDING MATERIALS - 0.49%
5,833 Lowe's Companies, Inc.......... 461,901
14,473 Masco Corp..................... 814,106
10,859 Sherwin-Williams Co............ 361,062
-----------
1,637,069
-----------
CHEMICAL - MAJOR - 0.70%
1,391 Albemarle Corp................. 33,819
12,352 Morton International, Inc...... 375,964
18,475 PPG Industries, Inc............ 1,346,365
5,402 Rohm and Haas Co............... 593,545
-----------
2,349,693
-----------
CHEMICAL - MISCELLANEOUS - 0.50%
6,287 A. Schulman, Inc............... 124,954
240* Airgas, Inc.................... 3,645
14,644 Ethyl Corp..................... 103,423
241 Ferro Corp..................... 6,899
5,577 Great Lakes Chemical Corp...... 223,080
7,763 Lawter International, Inc...... 74,719
3,750 Lubrizol Corp.................. 130,313
1,029 Lyondell Petrochemical Co...... 32,092
9,012 Nalco Chemical Co.............. 337,950
1,258 NCH Corp....................... 80,119
1,394* Octel Corp..................... 30,412
11,008 Praxair, Inc................... 542,831
-----------
1,690,437
-----------
CONGLOMERATES - 0.57%
12,845 Tenneco Inc.................... 534,673
24,449 Tyco International Ltd......... 1,353,864
-----------
1,888,537
-----------
CONSUMER FINANCE - 0.47%
3,648 Beneficial Corp................ 488,832
34,619 MBNA Corp...................... 1,096,990
-----------
1,585,822
-----------
</TABLE>
<PAGE> 51
================================================================================
SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS
50 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
CONTAINERS - METAL/GLASS - 0.43%
<S> <C> <C>
6,844 Corning Inc.................... $ 269,910
12,817 Crown Cork & Seal Co., Inc..... 664,882
11,688* Owens-Illinois, Inc............ 525,230
-----------
1,460,022
-----------
CONTAINERS - PAPER - 0.11%
867 Bemis Co., Inc................. 36,577
1,141* Sealed Air Corp................ 61,034
7,349 Sonoco Products Co............. 256,759
-----------
354,370
-----------
COSMETICS/TOILETRIES - 1.30%
3,477 Avon Products, Inc............. 284,462
34,025 Gillette Co.................... 3,985,178
1,242 International Flavors &
Fragrances, Inc............. 59,616
-----------
4,329,256
-----------
DRUGS - 7.52%
65,302 American Home Products Corp.... 3,154,903
6,253* Amgen Inc...................... 378,307
57,755 Bristol Myers Squibb Co........ 6,208,662
46,603 Eli Lilly and Co............... 2,863,172
58,320 Merck & Co., Inc............... 6,827,085
38,793 Schering-Plough Corp........... 3,246,489
38,538 Warner-Lambert Co.............. 2,459,206
-----------
25,137,824
-----------
ELECTRICAL EQUIPMENT - 1.10%
25,796 AMP Inc........................ 980,247
4,214* Cabletron Systems, Inc......... 54,255
35,767 Emerson Electric Co............ 2,172,845
857 Hubbell Inc. Class B........... 40,333
2,617 National Service Industries,
Inc......................... 133,467
2,297 Raychem Corp................... 86,425
2,652* Teradyne, Inc.................. 81,549
2,326 Thomas & Betts Corp............ 124,296
-----------
3,673,417
-----------
ELECTRONIC INSTRUMENTS - 0.05%
10,086* Integrated Device Technology... 94,556
847* Perkin-Elmer Corp.............. 58,020
273 Tektronix, Inc................. 10,442
481* Vishay Intertechnology, Inc... 10,730
-----------
173,748
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
ENTERTAINMENT - 1.94%
<S> <C> <C>
5,200 Hasbro, Inc.................... $ 198,900
1,880* King World Productions, Inc.... 47,940
17,295 Mattel, Inc.................... 655,048
28,933 Time Warner Inc................ 2,251,349
29,522 Walt Disney Co................. 3,339,676
-----------
6,492,913
-----------
FINANCE COMPANIES - 0.50%
833 Finova Group, Inc.............. 46,075
11,413 Household International, Inc... 1,544,321
1,908 SunAmerica, Inc................ 92,777
-----------
1,683,173
-----------
FINANCIAL SERVICES - 1.14%
30,448 American Express Co............ 3,124,726
6,641 Countrywide Credit Industries,
Inc......................... 307,146
8,421 H & R Block Inc................ 370,524
-----------
3,802,396
-----------
FOODS - 2.40%
24,423 BestFoods...................... 1,378,373
23,687 Campbell Soup Co............... 1,290,942
23,005 ConAgra, Inc................... 672,896
12,478 General Mills, Inc............. 851,624
31,300 H J Heinz Co................... 1,660,855
4,969 Hershey Foods Corp............. 344,103
26,133 Kellogg Co..................... 1,079,620
7,720 Quaker Oats Co................. 445,348
225 Ralston Purina Co.............. 25,045
3,109 Wm. Wrigley Jr. Co............. 299,241
-----------
8,048,047
-----------
FOOTWEAR - 0.17%
12,089 NIKE, Inc. Class B............ 556,094
-----------
FREIGHT - 0.06%
2,986* FDX Corp....................... 191,477
-----------
GOLD MINING - 0.16%
16,388 Barrick Gold Corp.............. 315,469
17,951 Placer Dome Inc................ 223,266
-----------
538,735
-----------
GOVERNMENT SPONSORED - 1.71%
39,749 Federal Home Loan Mortgage
Corp........................ 1,808,580
65,100 Federal National Mortgage
Association................. 3,897,862
-----------
5,706,442
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
FUNERAL SERVICES - 0.18%
<S> <C> <C>
14,805 Service Corp. International.... $ 605,154
-----------
HARDWARE & TOOLS - 0.20%
4,637 Black & Decker Corp............ 270,685
352 Snap-on Inc.................... 15,444
7,762 Stanley Works.................. 368,695
-----------
654,824
-----------
HEALTHCARE - 0.25%
6,605 HealthSouth Corp............... 187,417
1,291* PacifiCare Health System,
Inc. Class B................ 106,669
8,422 United HealthCare Corp......... 539,008
-----------
833,094
-----------
HEAVY DUTY TRUCKS/PARTS - 0.49%
16,392 Dana Corp...................... 854,433
6,175* Navistar International Corp.... 186,408
10,887 PACCAR Inc..................... 601,167
-----------
1,642,008
-----------
HOME BUILDERS - 0.03%
2,703 Centex Corp.................... 96,632
-----------
HOSPITAL MANAGEMENT - 0.43%
23,355 Columbia/HCA Healthcare Corp... 763,416
273 Manor Care, Inc................ 8,617
2,175 Medaphis Corp.................. 16,313
1,968 Shared Medical Systems Corp.... 143,172
14,264* Tenet Healthcare Corp.......... 499,240
-----------
1,430,758
-----------
HOSPITAL SUPPLIES - 3.74%
51,175 Abbott Laboratories............ 3,796,545
607 ATL Ultrasound, Inc............ 27,505
21,155 Baxter International Inc....... 1,209,802
3,665 Becton, Dickinson and Co....... 259,299
4,336 Boston Scientific Corp......... 276,420
73,937 Johnson & Johnson.............. 5,106,273
5,863 Mallinckrodt, Inc.............. 180,654
27,161 Medtronic, Inc................. 1,510,831
3,009 United States Surgical Corp.... 119,608
-----------
12,486,937
-----------
</TABLE>
<PAGE> 52
================================================================================
SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 51
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
HOUSEHOLD PRODUCTS - 3.45%
<S> <C> <C>
8,377 Clorox Co........................ $ 699,480
19,040 Colgate-Palmolive Co............. 1,656,480
1,750 Newell Co........................ 84,438
77,432 Procter & Gamble Co.............. 6,499,449
1,495 Rubbermaid, Inc.................. 48,774
32,171 Unilever N V - ADR............... 2,539,498
-----------
11,528,119
-----------
INFORMATION PROCESSING - 10.17%
2,834* Apple Computer, Inc.............. 75,455
15,833 Automatic Data Processing, Inc... 1,007,375
11,463* Bay Networks, Inc................ 317,382
32,522* Cendant Corp..................... 705,321
43,197* Cisco Systems, Inc............... 3,266,773
7,311 Cognizant Corp................... 389,311
58,595 Compaq Computer Corp............. 1,600,376
19,011 Computer Associates
International................. 998,078
3,654 Computer Sciences Corp........... 189,780
2,366* Data General Corp................ 36,082
23,747* Dell Computer Corp............... 1,956,902
846 Diebold, Inc..................... 24,746
7,099 Digital Equipment Corp........... 389,558
17,257* E M C Corp....................... 715,087
5,828 First Data Corp.................. 193,781
1,072* Gateway 2000, Inc................ 48,307
115* General Instrument Corp.......... 2,738
8,538 HBO & Co......................... 492,803
42,819 Hewlett Packard Co............... 2,660,130
42,490 International Business Machines.. 4,987,263
366* Keane, Inc....................... 16,424
98,648* Microsoft Corp................... 8,366,583
5,057* Novell, Inc ..................... 53,099
37,379* Oracle Corp...................... 883,079
3,691 Parametric Technology Corp....... 113,152
22,489 Pitney Bowes Inc................. 1,056,983
10,590* Seagate Technology............... 244,894
17,327* Silicon Graphics, Inc............ 207,924
229* Storage Technology Corp.......... 19,207
684* Stratus Computer, Inc............ 24,667
18,152* Sun Microsystems, Inc............ 727,215
15,838* 3Com Corp........................ 401,889
17,575 Xerox Corp....................... 1,805,831
-----------
33,978,195
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
INSURANCE - CASUALTY - 0.56%
<S> <C> <C>
8,021 Chubb Corp..................... $ 638,171
12,459 SAFECO Corp.................... 579,344
14,884 St. Paul Companies, Inc........ 660,477
-----------
1,877,992
-----------
INSURANCE - LIFE - 0.48%
5,136 Aetna Inc...................... 401,570
6,115 Conseco Inc.................... 285,112
1,430 Jefferson-Pilot Corp........... 81,868
4,001 Lincoln National Corp.......... 359,590
4,155 Transamerica Corp.............. 477,825
-----------
1,605,965
-----------
INSURANCE - MISCELLANEOUS - 0.25%
3,514 General Re Corp................ 772,641
877 MGIC Investment Corp........... 52,565
-----------
825,206
-----------
INSURANCE - MULTILINE - 4.03%
22,940 Allstate Corp.................. 2,159,228
35,148 American International Group,
Inc......................... 4,351,761
20,635 Aon Corp....................... 1,321,930
10,443 CIGNA Corp..................... 715,346
1,746 Cincinnati Financial Corp...... 73,332
2,107 Hartford Financial Services
Group....................... 231,902
15,767 March & McLennan Companies,
Inc......................... 1,380,598
52,917 Travelers Group, Inc........... 3,227,936
-----------
13,462,033
-----------
LEISURE TIME - 0.07%
5,220 Brunswick Corp................. 164,104
3,755* Mirage Resorts, Inc............ 78,151
-----------
242,255
-----------
LODGING - 0.07%
6,943 Marriott Services Inc.......... 241,269
-----------
MACHINE TOOLS - 0.01%
1,098 Cincinnati Milacron, Inc....... 32,871
-----------
MACHINERY - AGRICULTURE - 0.25%
1,636 Case Corp...................... 94,684
14,380 Deere & Co..................... 745,963
-----------
840,647
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.31%
<S> <C> <C>
18,362 Caterpillar Inc................ $ 1,008,763
667 Foster Wheeler Corp............ 16,925
248 Harnischfeger Industries Inc... 7,812
-----------
1,033,500
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.85%
3,660 Aeroquip-Vickers, Inc.......... 226,005
6,426 Cooper Industries, Inc......... 413,674
6,943 Dover Corp..................... 260,363
11,285 Illinois Tool Works Inc........ 744,810
12,486 Ingersoll-Rand Co.............. 562,650
5,094 Johnson Controls, Inc.......... 303,093
7,985 Pall Corp...................... 158,203
709 Tecumseh Products Co. Class A.. 35,361
3,982 Tidewater, Inc................. 151,316
-----------
2,855,475
-----------
MEDICAL TECHNOLOGY - 0.17%
8,752 Guidant Corp................... 563,957
-----------
MERCHANDISE - DRUG - 0.54%
9,682 CVS Corp....................... 679,555
9,762 Rite Aid Corp.................. 349,602
21,809 Walgreen Co.................... 767,404
-----------
1,796,561
-----------
MERCHANDISE - SPECIALTY - 1.47%
4,516* Best Buy Co., Inc.............. 147,335
804 Circuit City Stores, Inc....... 34,070
158 CompUSA, Inc................... 2,489
2,338* Consolidated Stores Corp....... 89,282
1,059* CostCo Companies, Inc.......... 61,290
30,111 Fortune Brands, Inc........... 1,157,392
11,343 Gap, Inc....................... 612,522
31,623 Home Depot, Inc................ 2,484,382
5,249 Ikon Office Solutions Inc...... 111,213
7,534* Toys "R" Us, Inc............... 199,651
-----------
4,899,626
-----------
</TABLE>
<PAGE> 53
================================================================================
SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS CONTINUED
52 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
MERCHANDISING -
DEPARTMENT - 0.40%
<S> <C> <C>
16,268 Dayton Hudson Corp............. $ 754,429
1,450* Federated Department Stores,
Inc......................... 75,128
8,077 May Department Stores Co....... 519,452
-----------
1,349,009
-----------
MERCHANDISING - FOOD - 0.36%
11,629 Albertsons, Inc................ 538,568
1,069 American Stores Co............. 26,658
2,747* Kroger Co...................... 117,949
7,808 SYSCO Corp..................... 182,024
7,944 Winn-Dixie Stores, Inc......... 323,222
-----------
1,188,421
-----------
MERCHANDISING - MASS - 2.40%
18,255 J.C. Penney Co., Inc........... 1,310,937
7,550* Kmart Corp..................... 146,281
16,794 Sears Roebuck and Co........... 1,038,079
99,819 Wal-Mart Stores, Inc........... 5,508,762
527 Woolworth Corp................. 10,408
-----------
8,014,467
-----------
METALS - ALUMINUM - 0.20%
23,491 Alcan Aluminum Ltd............. 669,494
-----------
METALS - COPPER - 0.04%
5,732 Newmont Mining Corp............ 142,942
-----------
METALS - MISCELLANEOUS - 0.15%
9,537 Freeport - McMoRan Copper &
Gold Inc. Class B............. 159,745
17,391 Inco Limited................... 249,996
1,650 Precision Castparts Corp....... 95,081
-----------
504,822
-----------
METALS - STEEL - 0.06%
1,772 AK Steel Holding Corp.......... 33,004
1,028* Bethlehem Steel Corp........... 12,593
7,993 Worthington Industries, Inc.... 140,876
-----------
186,473
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
NATURAL GAS-DIVERSIFIED - 0.27%
<S> <C> <C>
3,475 Eastern Enterprises............ $ 139,434
5,944 El Paso Natural Gas Co......... 229,587
1,206 Questar Corp................... 48,918
12,348 Sonat Inc...................... 483,888
-----------
901,827
-----------
OIL - INTEGRATED DOMESTIC - 2.16%
11,073 Amerada Hess Corp.............. 598,634
8,737 Ashland Oil, Inc............... 435,758
29,509 Burlington Resources, Inc..... 1,243,067
8,364 Kerr-McGee Corp................ 529,023
900* Oryx Energy Co................. 20,981
8,332 Pennzoil Co.................... 481,694
46,171 Phillips Petroleum Co.......... 2,311,436
6,171 Quaker State Corp.............. 104,521
2,864 Sun Co., Inc................... 121,720
39,072 USX-Marathon Group............. 1,367,520
-----------
7,214,354
-----------
OIL - INTEGRATED
INTERNATIONAL - 1.47%
7,876 Murphy Oil Corp................ 396,261
77,982 Texaco Inc..................... 4,503,461
-----------
4,899,722
-----------
OIL - SERVICE - PRODUCTS - 0.07%
7,713 Noble Drilling Corp............ 227,534
-----------
OIL - SERVICES - 1.44%
22,192 Baker Hughes Inc............... 798,912
8,354 Dresser Industries, Inc........ 388,983
2,104* Global Marine Inc.............. 46,946
17,351 Halliburton Co................. 822,004
34,672 Schlumberger Ltd............... 2,706,582
1,094 Transocean Offshore, Inc....... 53,948
-----------
4,817,375
-----------
OIL/GAS PRODUCERS - 0.59%
4,410 Anadarko Petroleum Corp........ 291,060
10,523 Apache Corp.................... 359,755
6,270 Helmerich & Payne, Inc......... 158,318
9,513 Pioneer Natural Resources
Corp........................ 223,556
7,778 Ultramar Diamond Shamrock
Corp........................ 248,410
33,072 Union Pacific Resources Group
Inc......................... 669,707
1,026 Valero Energy Corp............. 33,473
-----------
1,984,279
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
PAPER/FOREST PRODUCTS - 1.21%
<S> <C> <C>
11,986 Avery Dennison Corp................ $ 621,025
13,069 Fort James Corp.................... 624,862
39,335 Kimberly-Clark Corp................ 1,949,540
15,063 Louisiana Pacific Corp............. 300,319
9,331 Mead Corp.......................... 290,427
11,783 Unisource Worldwide, Inc........... 150,970
2,884 Willamette Industries, Inc......... 98,957
-----------
4,036,100
-----------
POLLUTION CONTROL - 0.29%
8,715 Browning - Ferris Industries,
Inc............................. 309,927
19,929 Waste Management, Inc.............. 647,693
-----------
957,620
-----------
PUBLISHING - NEWS - 0.66%
6,029 Dow Jones & Co., Inc............... 290,146
20,914 Gannett Co., Inc................... 1,379,016
578 New York Times Co. Class A....... 40,749
7,190 Tribune Co......................... 480,831
-----------
2,190,742
-----------
PUBLISHING/PRINTING - 0.28%
8,020 Dun & Bradstreet Corp.............. 270,675
8,690 McGraw-Hill, Inc................... 679,449
-----------
950,124
-----------
RAILROAD - 0.97%
7,629 Burlington Northern Santa Fe....... 759,086
18,025 CSX Corp.......................... 858,441
35,920 Norfolk Southern Corp.............. 1,124,745
10,257 Union Pacific Corp................. 496,182
-----------
3,238,454
-----------
RESTAURANTS - 0.73%
37,338 McDonald's Corp.................... 2,450,305
163* Tricon Global Restaurants, Inc..... 5,063
-----------
2,455,368
-----------
SAVINGS & LOAN - 0.32%
4,017 H.F. Ahmanson & Co................. 306,296
10,796 Washington Mutual, Inc............. 762,468
-----------
1,068,764
-----------
</TABLE>
<PAGE> 54
================================================================================
SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 53
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
SECURITIES RELATED - 1.47%
10,173 Charles Schwab Corp............ $ 335,709
9,098 Franklin Resources, Inc........ 444,665
5,293 Lehman Brothers Holdings, Inc.. 375,472
16,296 Merrill Lynch & Co., Inc....... 1,458,492
29,310 Morgan St Dean Witter Discover. 2,288,015
-----------
4,902,353
-----------
SEMICONDUCTOR EQUIPMENT - 0.19%
17,737* Applied Materials, Inc......... 567,584
2,176* KLA-Tencor Corp................ 73,712
-----------
641,296
-----------
SEMICONDUCTORS - 1.92%
8,243* Advanced Micro Devices, Inc.... 160,739
69,714 Intel Corp..................... 4,980,193
6,444* LSI Logic Corp................. 137,338
10,409* Micron Technology, Inc......... 245,262
1,557* National Semiconductor Corp.... 25,301
15,718 Rockwell International Corp.... 864,490
-----------
6,413,323
-----------
TELECOMMUNICATIONS - 2.60%
5,172* Airtouch Communications, Inc... 246,317
3,618 ALLTEL Corp.................... 142,685
2,879* DSC Communications Corp........ 49,213
5,582 Frontier Corp.................. 169,902
58,688 Lucent Technologies, Inc....... 4,163,180
10,140* Nextel Communications, Inc.
Class A..................... 238,924
26,975 Northern Telecom Ltd........... 1,726,400
6,549* Tellabs, Inc................... 450,039
33,221* WorldCom, Inc.................. 1,511,556
-----------
8,698,216
-----------
TEXTILE - PRODUCTS - 0.18%
11,114 V F Corp....................... 591,126
-----------
TRUCKERS - 0.02%
4,542 Arnold Industries, Inc......... 70,969
-----------
UTILITIES - COMMUNICATION - 5.81%
55,805 Ameritech Corp................. 2,368,225
76,878 AT & T Corp.................... 4,679,947
39,345 Bell Atlantic Corp............. 3,604,985
49,159 BellSouth Corp................. 3,170,756
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -----------
<S> <C> <C>
UTILITIES - COMMUNICATION - Continued
24,143 MCI Communications Corp........ $ 1,290,897
81,739 SBC Communications, Inc........ 3,177,604
15,727 Sprint Corp.................... 1,128,412
-----------
19,420,826
-----------
UTILITIES - ELECTRIC - 2.36%
3,807 Black Hills Corp............... 83,516
27,665 Cinergy Corp................... 893,925
3,941 Cleco Corp..................... 117,984
5,568 Hawaiian Electric Industries,
Inc......................... 212,976
6,599 Idaho Power Co................. 225,603
4,645 IPALCO Enterprises, Inc........ 195,671
10,023 LG&E Energy Corp............... 266,236
5,860 Minnesota Power Inc............ 231,104
9,591 Montana Power Co............... 347,674
8,790 Nevada Power Co................ 209,861
19,391 New Century Energies, Inc...... 891,986
22,013 NIPSCO Industries, Inc......... 591,599
7,085 OGE Energy Corp................ 379,933
52,031 PacifiCorp..................... 1,199,965
20,791 Potomac Electric Power Co...... 508,080
14,837 Puget Sound Energy Inc......... 387,617
22,966 TECO Energy, Inc............... 601,422
9,433 UtiliCorp United Inc........... 335,461
7,441 Washington Gas Light Co........ 193,931
-----------
7,874,544
-----------
UTILITIES - GAS, DISTRIBUTION - 0.37%
9,966 AGL Resources, Inc............. 199,320
8,976* Marketspan Corp................ 302,379
3,002 MCN Energy Group Inc........... 108,072
6,711 National Fuel Gas Co........... 284,379
8,483 NICOR Inc...................... 327,656
-----------
1,221,806
-----------
UTILITIES - GAS, PIPELINE - 1.53%
3,322 Columbia Energy Group.......... 280,294
16,752 Consolidated Natural Gas Co.... 947,535
33,683 Enron Corp..................... 1,688,360
5,438 ONEOK Inc...................... 212,422
14,631 Pacific Enterprises............ 556,892
6,181 Peoples Energy Corp............ 227,924
37,307 Williams Companies, Inc........ 1,210,145
-----------
5,123,572
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ----------- -------------
<S> <C> <C>
WATER SERVICES - 0.02%
2,552 American Water Works Co., Inc.. $ 74,965
-------------
TOTAL COMMON STOCKS
(Cost $277,608,938)............ 325,861,302
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
- -----------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 2.19%
MACHINERY - INDUSTRIAL/SPECIALTY - 0.95%
$3,183,000 Cooper Industries, Inc.,
5.67% due 06/01/98............ 3,183,000
------------
SECURITIES RELATED - 1.24%
Merrill Lynch & Co.:
2,126,000 5.52% due 06/03/98............ 2,125,348
2,014,000 5.52% due 06/04/98............ 2,013,074
------------
4,138,422
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $7,321,422).............. 7,321,422
------------
UNITED STATES GOVERNMENT
SHORT TERM - 0.12%
U.S. TREASURY BILLS - 0.12%
United States Treasury Bills:
100,000 4.94% due 06/04/98.......... 99,959
100,000 4.91% due 06/04/98.......... 99,959
100,000 4.90% due 06/04/98.......... 99,959
100,000 4.65% due 06/04/98.......... 99,961
------------
399,838
------------
TOTAL UNITED STATES GOVERNMENT
SHORT TERM
(Cost $399,838)................ 399,838
------------
TOTAL INVESTMENTS
(Cost $285,330,198) - 99.83%... 333,582,562
Other assets and liabilities,
net - 0.17%................... 584,788
------------
NET ASSETS (equivalent
to $22.16 per share on
15,080,463 shares
outstanding) - 100 %..........$334,167,350
============
</TABLE>
<PAGE> 55
================================================================================
SOCIAL AWARENESS FUND - STATEMENT OF NET ASSETS CONTINUED
54 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- --------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at
5/31/98)
27(2) S&P 500 Index Futures
(June/$1,090.80).............. $ (137,250)
===========
</TABLE>
(1)U.S. Treasury Bills with a market value of
approximately $400,000 were maintained in
a segregated account with a portion
placed as collateral for futures
contracts.
(2)Per 250
* Non-income producing
<TABLE>
<CAPTION>
MARKET
VALUE
------------
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
15,080,463 shares outstanding........... $ 150,805
Additional paid in capital................ 250,214,914
Undistributed net realized gain on
securities........................... 35,511,010
Undistributed net investment income....... 175,507
Unrealized appreciation (depreciation) of:
Investments........... $48,252,364
Futures .............. (137,250) 48,115,114
----------- ------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $334,167,350
============
</TABLE>
<PAGE> 56
================================================================================
SOCIAL AWARENESS FUND - FINANCIAL STATEMENTS
55
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 3,754,102
Interest........................................................ 371,484
-----------
Total investment income....................................... 4,125,586
-----------
EXPENSES:
Advisory fees................................................... 1,204,327
Custodian and accounting services............................... 51,735
Reports to shareholders......................................... 23,321
Audit fees and tax services..................................... 7,949
Directors' fees and expenses.................................... 4,216
Miscellaneous................................................... 13,183
-----------
Total expenses................................................ 1,304,731
-----------
NET INVESTMENT INCOME........................................... 2,820,855
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments..................................... 34,461,580
Futures contracts............................... 1,849,928 36,311,508
-----------
Net unrealized appreciation (depreciation) during
the year:
Investments..................................... 21,517,279
Futures contracts............................... (227,900) 21,289,379
----------- -----------
Net realized and unrealized gain on securities
during the year:........................................... 57,600,887
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $60,421,742
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income............................. $ 2,820,855 $ 1,619,474
Net realized gain on securities................... 36,311,508 13,356,463
Net unrealized appreciation of securities
during the year................................. 21,289,379 14,695,812
------------ ------------
Increase in net assets resulting from
operations.................................... 60,421,742 29,671,749
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................. (2,737,376) (1,578,118)
Net realized gain on securities................... (9,562,689) (10,727,011)
------------ ------------
Decrease in net assets resulting from
distributions to shareholders................. (12,300,065) (12,305,129)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.................. 120,526,570 52,814,227
Proceeds from capital stock issued for
distributions reinvested........................ 12,300,065 12,305,129
------------ ------------
132,826,635 65,119,356
Cost of capital stock repurchased................. (2,130,016) (8,024,362)
------------ ------------
Increase in net assets resulting from capital
stock transactions............................ 130,696,619 57,094,994
------------ ------------
TOTAL INCREASE IN NET ASSETS...................... 178,818,296 74,461,614
NET ASSETS:
Beginning of year................................. 155,349,054 80,887,440
------------ ------------
End of year (including undistributed net
investment income of $175,507 and $92,028)...... $334,167,350 $155,349,054
------------ ------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold...................... 5,891,588 3,190,691
Shares issued for distributions reinvested........ 618,253 775,715
Shares of capital stock repurchased .............. (106,789) (509,440)
------------ ------------
Increase in shares outstanding.................. 6,403,052 3,456,966
Shares outstanding:
Beginning of year............................... 8,677,411 5,220,445
------------ ------------
End of year..................................... 15,080,463 8,677,411
============ ============
</TABLE>
<PAGE> 57
================================================================================
ASSET ALLOCATION FUND - STATEMENT OF NET ASSETS
56 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------- ----------
<S> <C> <C>
COMMON STOCKS - 58.36%
ADVERTISING - 0.11%
1,795 Interpublic Group Cos., Inc.... $ 106,466
2,400 Omnicom Group, Inc............. 112,350
----------
218,816
----------
AEROSPACE/DEFENSE- 0.91%
13,811 Boeing Co...................... 657,749
521 Crane Co....................... 27,450
258 EG & G, Inc.................... 8,127
1,754 General Dynamics Corp.......... 77,943
842 Goodrich (B.F.) Co............ 43,153
2,383 Lockheed Martin Corp........... 267,492
932 Northrop Grumman Corp.......... 99,899
4,718 Raytheon Co. Class B........... 258,016
1,578 TRW Inc........................ 84,522
3,034 United Technologies Corp....... 285,195
----------
1,809,546
----------
AIRLINES - 0.23%
1,126* AMR Corp....................... 173,334
1,007 Delta Air Lines, Inc........... 115,805
2,876 Southwest Airlines Co.......... 76,753
1,413* US Airways Group, Inc.......... 98,910
----------
464,802
----------
APPAREL & PRODUCTS - 0.03%
1,010 Liz Claiborne, Inc............. 51,194
----------
APPLIANCES/FURNISHINGS - 0.08%
1,729 Maytag Corp.................... 87,206
1,029 Whirlpool Corp................. 70,294
----------
157,500
----------
AUTO - CARS - 1.01%
8,655 Chrysler Corp.................. 481,434
16,556 Ford Motor Co.................. 858,843
9,478 General Motors Corp............ 681,824
----------
2,022,101
----------
AUTO - REPLACEMENT PARTS - 0.20%
2,408* AutoZone, Inc.................. 80,066
200 Cooper Tire & Rubber Co........ 4,738
915 Echlin Inc..................... 43,462
2,726 Genuine Parts Co............... 92,513
2,176 Goodyear Tire & Rubber Co...... 156,400
982 Pep Boys-Manny, Moe & Jack..... 21,850
----------
399,029
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------- ----------
<S> <C> <C>
BANKS - NEW YORK CITY - 1.17%
5,608 Bank of New York Co., Inc...... $ 342,789
5,879 Chase Manhattan Corp........... 799,177
6,039 CitiCorp....................... 900,566
2,384 J. P. Morgan & Co. Inc........ 296,062
----------
2,338,594
----------
BANKS - OTHER - 1.73%
9,576 BankAmerica Corp............... 791,816
2,033 BankBoston Corp................ 214,227
3,954 First Chicago Corp............. 345,728
12,927 First Union Corp............... 715,025
3,688 Fleet Financial Group, Inc..... 302,416
3,288 Mellon Bank Corp............... 221,735
4,497 National City Corp............. 304,672
1,374 Providian Financial Corp....... 87,420
805 Republic of New York Corp...... 103,392
1,050 Wells Fargo & Co............... 379,575
----------
3,466,006
----------
BANKS - REGIONAL - 2.12%
9,270 Banc One Corp.................. 511,009
2,530 Comerica Inc................... 166,348
3,557 Fifth Third Bancorp............ 175,182
3,200 Huntington Bancshares, Inc..... 104,800
5,880 KeyCorp........................ 223,073
2,000 Mercantile Bancorporation Inc.. 102,250
12,591 NationsBank Corp............... 953,768
2,000 Northern Trust Corp............ 141,063
10,736 Norwest Corp................... 417,362
3,973 PNC Bank Corp.................. 229,441
2,200 State Street Corp.............. 151,663
2,800 Summit Bancorporation.......... 140,350
2,685 SunTrust Banks, Inc............ 212,115
3,900 Synovus Financial Corp......... 87,506
10,221 U.S. Bancorp................... 399,896
2,852 Wachovia Corp.................. 228,337
----------
4,244,163
----------
BEVERAGE - BREWERS/
DISTRIBUTORS - 0.29%
378 Adolph Coors Class B........... 14,175
6,996 Anheuser-Busch Companies, Inc.. 321,379
933 Brown-Forman Corp Class B...... 53,764
4,325 Seagram Co. Ltd................ 190,030
----------
579,348
----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- --------- ----------
<S> <C> <C>
BEVERAGE - SOFT DRINKS - 1.74%
33,599 Coca-Cola Co................... $ 2,633,322
20,761 PepsiCo, Inc................... 847,308
-----------
3,480,630
-----------
BROADCASTING - 0.91%
10,102 CBS Corp....................... 320,739
2,100* Clear Channel Communications,
Inc. ........................ 201,338
4,984 Comcast Corp. Class A Special.. 170,858
6,767* Tele-Comm Liberty Media Group
Class A........................ 232,193
6,565 U S West Communications Group.. 333,174
7,763 U S West Media Group........... 287,715
4,950* Viacom, Inc Class B............ 272,250
-----------
1,818,267
-----------
BUILDING MATERIALS - 0.23%
605 Armstrong World Industries,
Inc. ........................ 50,896
2,392 Lowe's Companies, Inc.......... 189,417
2,567 Masco Corp..................... 144,394
2,368 Sherwin-Williams Co............ 78,735
-----------
463,442
-----------
CHEMICAL - MAJOR - 1.20%
3,219 Dow Chemical Co................ 311,841
15,062 E.I. du Pont de Nemours and Co. 1,159,774
1,753 Hercules, Inc.................. 77,242
8,208 Monsanto Co.................... 454,518
1,910 Morton International, Inc...... 58,135
2,135 PPG Industries, Inc............ 155,587
843 Rohm and Haas Co............... 92,625
1,720 Union Carbide Corp............. 85,893
-----------
2,395,615
-----------
CHEMICAL - MISCELLANEOUS - 0.30%
1,461 Air Products and Chemicals,
Inc.......................... 127,107
1,088 Eastman Chemical Co............ 72,896
1,106 Ecolab Inc..................... 34,148
600* FMC Corp....................... 45,863
1,431 Great Lakes Chemical Corp...... 57,240
573 Millipore Corp................. 19,124
1,204 Nalco Chemical Co.............. 45,150
358* Octel Corp..................... 7,803
2,486 Praxair, Inc................... 122,591
1,336 Sigma Aldrich Corp............. 48,764
1,087 W.R. Grace & Co................ 20,177
-----------
600,863
-----------
</TABLE>
<PAGE> 58
================================================================================
ASSET ALLOCATION FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 57
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
CONGLOMERATES - 0.60%
7,960 Allied Signal Inc.............. $ 340,290
1,600 ITT Industries, Inc............ 59,000
1,481 Loews Corp..................... 134,401
1,851 Tenneco Inc.................... 77,048
2,156 Textron Inc.................... 159,948
7,758 Tyco International Ltd......... 429,599
-----------
1,200,286
-----------
CONSUMER FINANCE - 0.15%
666 Beneficial Corp................ 89,244
6,941 MBNA Corp...................... 219,943
-----------
309,187
-----------
CONTAINERS - METAL/GLASS - 0.15%
2,892 Corning Inc.................... 114,053
1,693 Crown Cork & Seal Co., Inc..... 87,825
2,400* Owens-Illinois, Inc............ 107,850
-----------
309,728
-----------
CONTAINERS - PAPER - 0.05%
1,000 Bemis Co., Inc................. 42,188
1,082* Sealed Air Corp................ 57,887
-----------
100,075
-----------
COSMETICS/TOILETRIES - 0.55%
799 Alberto-Culver Co. Class B..... 23,770
1,457 Avon Products, Inc............. 119,201
7,746 Gillette Co.................... 907,250
1,071 International Flavors &
Fragrances, Inc................ 51,408
-----------
1,101,629
-----------
DRUGS - 4.59%
475 Allergan, Inc.................. 19,950
814* ALZA Corp...................... 39,377
17,956 American Home Products Corp.... 867,499
3,326* Amgen Inc...................... 201,223
592 Bausch & Lomb Inc.............. 29,489
13,614 Bristol Myers Squibb Co........ 1,463,505
14,760 Eli Lilly and Co............... 906,818
16,537 Merck & Co., Inc............... 1,935,863
6,911* Pharmacia & Upjohn, Inc........ 305,380
17,542 Pfizer, Inc.................... 1,838,620
10,254 Schering-Plough Corp........... 858,132
11,154 Warner-Lambert Co.............. 711,765
-----------
9,177,621
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
ELECTRICAL EQUIPMENT - 2.21%
3,337 AMP Inc........................ $ 126,806
2,284* Cabletron Systems, Inc......... 29,407
5,988 Emerson Electric Co............ 363,771
44,802 General Electric Co............ 3,735,367
710 National Service Industries,
Inc............................ 36,210
1,496 Raychem Corp................... 56,287
850 Thomas & Betts Corp............ 45,421
348 W. W. Grainger Inc............. 36,736
-----------
4,430,005
-----------
ELECTRONIC INSTRUMENTS - 0.08%
591 General Signal Corp............ 24,305
706* Perkin-Elmer Corp.............. 48,360
650 Tektronix, Inc................. 24,863
1,876* Thermo Electron Corp........... 65,895
-----------
163,423
-----------
ENTERTAINMENT - 0.96%
939* Harrah's Entertainment, Inc.... 23,475
1,766 Hasbro, Inc.................... 67,550
1,936* King World Productions, Inc.... 49,368
4,261 Mattel, Inc.................... 161,385
7,863 Time Warner Inc................ 611,840
8,904 Walt Disney Co................. 1,007,265
-----------
1,920,883
-----------
FINANCE COMPANIES - 0.41%
5,139 Associates First Capital Corp.. 384,460
1,256 Green Tree Financial Corp...... 50,476
1,778 Household International, Inc... 240,586
2,700 SunAmerica, Inc................ 131,288
-----------
806,810
-----------
FOODS - 1.29%
8,318 Archer Daniels Midland Co...... 157,002
4,438 BestFoods...................... 250,470
6,150 Campbell Soup Co............... 335,175
6,682 ConAgra, Inc................... 195,449
2,334 General Mills, Inc............. 159,296
5,234 H J Heinz Co................... 277,729
1,744 Hershey Foods Corp............. 120,772
5,832 Kellogg Co..................... 240,935
2,716 Pioneer Hi - Bred International
Inc............................ 103,378
2,119 Quaker Oats Co................. 122,240
1,100 Ralston Purina Co.............. 122,443
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
FOODS - Continued
6,496 Sara Lee Corp.................. $ 382,451
1,176 Wm. Wrigley Jr. Co............. 113,190
-----------
2,580,530
-----------
FINANCIAL SERVICES - 0.39%
6,221 American Express Co............ 638,430
1,600 Countrywide Credit Industries,
Inc............................ 74,000
1,459 H & R Block Inc................ 64,196
-----------
776,626
-----------
FOOTWEAR - 0.10%
3,731 NIKE, Inc. Class B............ 171,626
995* Reebok International Ltd....... 28,606
-----------
200,232
-----------
FREIGHT - 0.08%
1,954* FDX Corp....................... 125,300
1,263 Ryder System, Inc.............. 43,021
-----------
168,321
-----------
GOLD MINING - 0.09%
5,183 Barrick Gold Corp.............. 99,773
1,600 Battle Mountain Gold Co........ 8,500
1,971 Homestake Mining Co............ 21,435
3,779 Placer Dome Inc................ 47,001
-----------
176,709
-----------
GOVERNMENT SPONSORED - 0.66%
9,580 Federal Home Loan Mortgage..... 435,890
14,825 Federal National Mortgage
Association.................... 887,647
-----------
1,323,537
-----------
FUNERAL SERVICES - 0.07%
3,445 Service Corp. International.... 140,814
-----------
HARDWARE & TOOLS - 0.10%
1,684 Black & Decker Corp............ 98,304
984 Snap-on Inc.................... 43,173
1,188 Stanley Works.................. 56,430
-----------
197,907
-----------
HEALTHCARE - 0.23%
1,300 Cardinal Health, Inc........... 115,862
4,668 HealthSouth Corp............... 132,455
2,069* Humana Inc..................... 64,268
2,405 United HealthCare Corp......... 153,920
-----------
466,505
-----------
</TABLE>
<PAGE> 59
================================================================================
ASSET ALLOCATION FUND - STATEMENT OF NET ASSETS CONTINUED
58 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
HEAVY DUTY TRUCKS/PARTS - 0.17%
506 Cummins Engine Co., Inc........ $ 26,312
1,824 Dana Corp...................... 95,076
1,078 Eaton Corp..................... 96,818
1,827* Navistar International Corp.... 55,153
1,388 PACCAR Inc..................... 76,643
-----------
350,002
-----------
HOME BUILDERS - 0.03%
1,032 Centex Corp.................... 36,894
895 Kaufman & Broad Home Corp...... 22,990
-----------
59,884
-----------
HOSPITAL MANAGEMENT - 0.25%
8,136 Columbia/HCA Healthcare Corp... 265,946
1,322 Manor Care, Inc................ 41,725
600 Shared Medical Systems Corp.... 43,650
4,281* Tenet Healthcare Corp.......... 149,835
-----------
501,156
-----------
HOSPITAL SUPPLIES - 1.56%
10,424 Abbott Laboratories............ 773,330
819 Bard (C. R.), Inc.............. 28,408
4,110 Baxter International Inc....... 235,040
1,597 Becton, Dickinson and Co....... 112,988
1,500 Biomet, Inc.................... 43,313
2,473* Boston Scientific Corp......... 157,654
18,448 Johnson & Johnson.............. 1,274,065
1,522 Mallinckrodt, Inc.............. 46,897
6,732 Medtronic, Inc................. 374,468
647* St. Jude Medical, Inc.......... 23,130
1,422 United States Surgical Corp.... 56,525
-----------
3,125,818
-----------
HOUSEHOLD PRODUCTS - 1.69%%
1,548 Clorox Co...................... 129,258
4,116 Colgate-Palmolive Co........... 358,092
5,543 Minnesota Mining &
Manufacturing Co............... 513,420
1,910 Newell Co...................... 92,158
18,438 Procter & Gamble Co............ 1,547,640
2,190 Rubbermaid, Inc................ 71,449
412 Tupperware Corp................ 11,124
8,332 Unilever N V - ADR............. 657,707
-----------
3,380,848
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
INFORMATION PROCESSING - 5.80%
700 Adobe Systems Inc.............. $ 27,956
1,828* Apple Computer, Inc............ 48,671
435 Autodesk, Inc.................. 18,488
3,929 Automatic Data
Processing, Inc............... 249,983
3,482* Bay Networks, Inc.............. 96,408
11,296* Cendant Corp................... 244,982
632* Ceridian Corp.................. 34,128
13,983* Cisco Systems, Inc............. 1,057,464
2,401 Cognizant Corp................. 127,853
20,579 Compaq Computer Corp........... 562,050
7,333 Computer Associates
International, Inc............. 384,983
2,270 Computer Sciences Corp......... 117,898
1,214* Data General Corp.............. 18,514
8,728* Dell Computer Corp............. 719,242
2,310 Digital Equipment Corp......... 126,761
6,622* E M C Corp..................... 274,399
4,898 First Data Corp................ 162,859
1,700* Gateway 2000, Inc.............. 76,606
1,547* General Instrument Corp........ 36,838
3,000 HBO & Co....................... 173,156
13,865 Hewlett Packard Co............. 861,363
1,565 Honeywell Inc.................. 131,362
13,274 International Business
Machines...................... 1,558,036
33,214* Microsoft Corp................. 2,816,962
4,684* Novell, Inc ................... 49,182
13,220* Oracle Corp.................... 312,323
3,256* Parametric Technology Corp..... 99,817
4,306 Pitney Bowes Inc............... 202,382
3,318* Seagate Technology............. 76,729
3,599* Silicon Graphics, Inc.......... 43,188
5,478* Sun Microsystems, Inc.......... 219,462
5,144* 3Com Corp...................... 130,529
2,900* Unisys Corp.................... 71,050
4,583 Xerox Corp..................... 470,902
-----------
11,602,526
-----------
INSURANCE - CASUALTY - 0.29%
2,484 Chubb Corp..................... 197,633
900 Progressive Corp............... 124,088
2,353 SAFECO Corp.................... 109,415
3,568 St. Paul Companies, Inc........ 158,330
-----------
589,466
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
INSURANCE - LIFE - 0.36%
2,197 Aetna Inc...................... $ 171,778
2,798 Conseco Inc.................... 130,457
1,596 Jefferson-Pilot Corp........... 91,370
1,340 Lincoln National Corp.......... 120,433
2,370 Torchmark Corp................. 101,614
887 Transamerica Corp.............. 102,005
-----------
717,657
-----------
INSURANCE - MISCELLANEOUS - 0.28%
1,097 General Re Corp................ 241,203
1,244 MBIA, Inc...................... 92,756
1,806 MGIC Investment Corp........... 108,247
2,214 UNUM Corp...................... 123,015
-----------
565,221
-----------
INSURANCE - MULTILINE - 1.75%
5,746 Allstate Corp.................. 540,842
9,590 American International Group,
Inc............................ 1,187,362
2,552 Aon Corp....................... 163,488
2,829 CIGNA Corp..................... 193,787
2,100 Cincinnati Financial Corp...... 88,200
1,503 Hartford Financial Services
Group.......................... 165,424
2,284 Marsh & McLennan
Companies Inc................. 199,992
15,662 Travelers Group, Inc........... 955,382
-----------
3,494,477
-----------
LEISURE TIME - 0.06%
1,543 Brunswick Corp................. 48,508
3,200* Mirage Resorts, Inc............ 66,600
-----------
115,108
-----------
LODGING - 0.10%
3,010 Hilton Hotels Corp............. 94,627
3,288 Marriott Services Inc.......... 114,258
-----------
208,885
-----------
MACHINERY - AGRICULTURE - 0.13%
1,311 Case Corp...................... 75,874
3,670 Deere & Co..................... 190,381
-----------
266,255
-----------
</TABLE>
<PAGE> 60
================================================================================
ASSET ALLOCATION FUND - STATEMENT OF NET ASSETS CONTINUED
May 31 1998 59
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
MACHINERY - CONSTRUCTION &
CONTRACTS - 0.18%
4,640 Caterpillar Inc................ $ 254,910
1,303 Fluor Corp..................... 62,137
626 Foster Wheeler Corp............ 15,885
979 Harnischfeger Industries Inc... 30,838
-----------
363,770
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.34%
1,307 Cooper Industries, Inc......... 84,138
2,820 Dover Corp..................... 105,750
2,960 Illinois Tool Works Inc........ 195,360
2,434 Ingersoll-Rand Co.............. 109,682
1,087 Johnson Controls, Inc.......... 64,677
1,795 Pall Corp...................... 35,563
2,104 Parker Hannifin Corp........... 86,396
-----------
681,566
-----------
MACHINE TOOLS - 0.01%
844 Cincinnati Milacron, Inc....... 25,267
-----------
MEDICAL TECHNOLOGY - 0.08%
2,406 Guidant Corp................... 155,037
-----------
MERCHANDISING -
DEPARTMENT - 0.36%
5,952 Dayton Hudson Corp............. 276,024
1,630 Dillards, Inc. Class A......... 68,562
2,816* Federated Department Stores,
Inc ........................... 145,904
3,057 May Department Stores Co....... 196,603
358 Mercantile Stores Co., Inc..... 28,148
-----------
715,241
-----------
MERCHANDISING - FOOD - 0.33%
3,303 Albertsons, Inc................ 152,970
3,442 American Stores Co............. 85,835
570 Giant Food Inc. Class A........ 24,510
300 Great Atlantic & Pacific Tea
Co., Inc....................... 9,600
3,642* Kroger Co...................... 156,378
996 Supervalu Inc.................. 41,708
4,514 SYSCO Corp..................... 105,233
2,279 Winn-Dixie Stores, Inc......... 92,726
-----------
668,960
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
MERCHANDISING - MASS - 1.22%
3,548 J.C. Penney Co., Inc........... $ 254,791
6,176* Kmart Corp..................... 119,660
5,296 Sears Roebuck and Co........... 327,359
30,774 Wal-Mart Stores, Inc........... 1,698,340
2,461 Woolworth Corp................. 48,605
-----------
2,448,755
-----------
MERCHANDISE - DRUG - 0.30%
2,789 CVS Corp....................... 195,753
597 Longs Drug Stores Corp......... 18,097
3,762 Rite Aid Corp.................. 134,726
6,904 Walgreen Co.................... 242,935
-----------
591,511
-----------
MERCHANDISE - SPECIALTY - 1.01%
1,089 American Greetings Corp.
Class A........................ 51,727
1,351 Circuit City Stores, Inc....... 57,248
1,700* Consolidated Stores Corp....... 64,918
2,966* CostCo Companies, Inc.......... 171,657
3,357 Fortune Brands, Inc........... 129,035
5,147 Gap, Inc....................... 277,938
9,956 Home Depot, Inc................ 782,168
1,906 Ikon Office Solutions Inc...... 40,383
491 Jostens, Inc................... 12,398
2,944 Limited, Inc................... 97,888
1,033 Nordstrom, Inc................. 74,441
1,978 TJX Companies, Inc............. 92,472
1,382 Tandy Corp..................... 61,154
3,833* Toys "R" Us, Inc............... 101,575
-----------
2,015,002
-----------
METALS - MISCELLANEOUS - 0.06%
1,666 Cyprus Amax Minerals Co........ 26,448
774 Engelhard Corp................. 16,109
2,553 Freeport-McMoran Copper & Gold
Inc. Class B.................. 42,763
2,507 Inco Limited................... 36,038
-----------
121,358
-----------
METALS - ALUMINUM - 0.15%
2,843 Alcan Aluminum Ltd............. 81,025
2,290 Aluminum Co. of America........ 158,869
942 Reynolds Metals Co............. 54,636
-----------
294,530
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
METALS - COPPER - 0.06%
1,000 ASARCO Inc..................... $ 22,688
2,373 Newmont Mining Corp............ 59,177
559 Phelps Dodge Corp.............. 34,098
-----------
115,963
-----------
METALS - STEEL - 0.11%
2,679 Allegheny Teldyne Inc.......... 62,286
1,895* Bethlehem Steel Corp........... 23,213
300 Inland Steel Industries, Inc... 8,588
967 Nucor Corp..................... 49,801
1,415 USX-US Steel Group, Inc........ 50,763
1,500 Worthington Industries, Inc.... 26,438
-----------
221,089
-----------
MISCELLANEOUS - 0.10%
2,100 BB & T Corp.................... 138,994
1,500 Equifax Inc.................... 54,562
-----------
193,556
-----------
MOBILE HOMES - 0.01%
600 Fleetwood Enterprises, Inc..... 24,000
-----------
MULTIMEDIA - 0.02%
902 Meredith Corp.................. 35,855
-----------
NATURAL GAS-DIVERSIFIED - 0.07%
881 Coastal Corp................... 62,111
200 Eastern Enterprises............ 8,025
1,741 Sonat Inc...................... 68,225
-----------
138,361
-----------
OIL - INTEGRATED DOMESTIC - 0.92%
864 Amerada Hess Corp.............. 46,710
12,888 Amoco Corp..................... 538,880
1,162 Ashland Oil, Inc............... 57,955
4,508 Atlantic Richfield Co.......... 355,569
2,463 Burlington Resources, Inc..... 103,754
767 Kerr-McGee Corp................ 48,513
4,307 Occidental Petroleum Corp...... 118,980
1,373* Oryx Energy Co................. 32,008
832 Pennzoil Co.................... 48,100
3,684 Phillips Petroleum Co.......... 184,430
1,104 Sun Co., Inc................... 46,920
4,011 USX-Marathon Group............. 140,385
3,360 Unocal Corp.................... 119,700
-----------
1,841,904
-----------
</TABLE>
<PAGE> 61
================================================================================
ASSET ALLOCATION FUND - STATEMENT OF NET ASSETS CONTINUED
60 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
OIL - INTEGRATED
INTERNATIONAL - 2.99%
8,859 Chevron Corp................... $ 707,613
33,628 Exxon Corp..................... 2,370,774
10,600 Mobil Corp..................... 826,800
29,492 Royal Dutch Pete Co. - ADR..... 1,653,395
7,474 Texaco Inc..................... 431,623
-----------
5,990,205
-----------
OIL - SERVICES - 0.51%
2,860 Baker Hughes Inc............... 102,960
2,177 Dresser Industries, Inc........ 101,367
3,714 Halliburton Co................. 175,951
881 McDermott International, Inc... 33,643
1,229* Rowan Companies, Inc........... 31,416
6,602 Schlumberger Ltd............... 515,369
658* Western Atlas Inc.............. 56,958
-----------
1,017,664
-----------
OIL/GAS PRODUCERS - 0.09%
700 Anadarko Petroleum Corp........ 46,200
1,400 Apache Corp.................... 47,863
1,400 Helmerich & Payne, Inc......... 35,350
2,711 Union Pacific Resources Group
Inc........................... 54,897
-----------
184,310
-----------
PAPER/FOREST PRODUCTS - 0.69%
1,863 Avery Dennison Corp............ 96,527
766 Boise Cascade Corp............. 25,565
1,507 Champion International Corp.... 72,336
3,338 Fort James Corp................ 159,598
833 Georgia-Pacific Corp........... 53,468
4,262 International Paper Co......... 196,052
7,734 Kimberly-Clark Corp............ 383,316
2,342 Louisiana Pacific Corp......... 46,694
1,568 Mead Corp...................... 48,804
215 Potlatch Corp.................. 9,420
272* Stone Container Corp........... 4,828
944 Union Camp Corp................ 51,625
1,821 Westvaco Corp.................. 51,899
2,544 Weyerhaeuser Co................ 129,267
1,378 Willamette Industries, Inc..... 47,282
-----------
1,376,681
-----------
PHOTOGRAPHY - 0.18%
4,334 Eastman Kodak Co............... 309,339
1,146 Polaroid Corp.................. 46,485
-----------
355,824
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
POLLUTION CONTROL - 0.19%
2,859 Browning - Ferris Industries,
Inc........................... $ 101,672
6,500* Laidlaw Inc.................... 80,438
5,931 Waste Management, Inc.......... 192,758
-----------
374,868
-----------
PUBLISHING - NEWS - 0.35%
1,527 Dow Jones & Co., Inc........... 73,487
4,238 Gannett Co., Inc............... 279,443
996 Knight-Ridder, Inc............. 56,834
1,129 New York Times Co. Class A... 79,595
1,267 Times Mirror Co................ 81,088
1,901 Tribune Co..................... 127,129
-----------
697,576
-----------
PUBLISHING/PRINTING - 0.16%
1,986 Dun & Bradstreet Corp.......... 67,028
971 Harcourt General, Inc.......... 52,920
1,578 McGraw-Hill, Inc............... 123,380
1,496 Moore Corp. Ltd................ 21,691
1,296 R R Donnelley and Son.......... 58,320
-----------
323,339
-----------
RAILROAD - 0.33%
2,033 Burlington Northern Santa Fe... 202,284
2,976 CSX Corp...................... 141,732
4,905 Norfolk Southern Corp.......... 153,588
3,346 Union Pacific Corp............. 161,862
-----------
659,466
-----------
RESTAURANTS - 0.37%
2,057 Darden Restaurants, Inc........ 31,755
9,261 McDonald's Corp................ 607,753
2,276* Tricon Global Restaurants,
Inc.......................... 70,698
1,600 Wendy's International, Inc..... 39,500
-----------
749,706
-----------
SAVINGS & LOAN - 0.21%
325 Golden West Financial Corp..... 35,100
1,785 H.F. Ahmanson & Co............. 136,106
3,664 Washington Mutual, Inc......... 258,770
-----------
429,976
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- -----------
<S> <C> <C>
SECURITIES RELATED - 0.72%
3,800 Charles Schwab Corp............ $ 125,400
3,300 Franklin Resources, Inc........ 161,288
1,800 Lehman Brothers Holdings, Inc.. 127,688
4,530 Merrill Lynch & Co., Inc....... 405,435
7,912 Morgan Stanley, Dean Witter,
Discover and Co............... 617,630
-----------
1,437,441
-----------
SEMICONDUCTOR EQUIPMENT - 0.11%
5,266* Applied Materials, Inc......... 168,512
1,300* KLA-Tencor Corp................ 44,038
-----------
212,550
-----------
SEMICONDUCTORS - 1.31%
2,157* Advanced Micro Devices, Inc.... 42,062
22,202 Intel Corp..................... 1,586,055
2,010* LSI Logic Corp................. 42,838
3,044* Micron Technology, Inc......... 71,724
8,290 Motorola, Inc.................. 438,852
2,337* National Semiconductor Corp.... 37,976
2,717 Rockwell International Corp.... 149,435
4,928 Texas Instruments Inc.......... 253,176
-----------
2,622,118
-----------
TELECOMMUNICATIONS - 1.63%
7,049* Airtouch Communications, Inc... 335,709
2,784 ALLTEL Corp.................... 109,794
524* Andrew Corp.................... 11,512
2,047* DSC Communications Corp........ 34,991
2,378 Frontier Corp.................. 72,380
1,100 Harris Corp.................... 53,006
17,908 Lucent Technologies, Inc....... 1,270,349
4,200* Nextel Communications, Inc.
Class A....................... 98,963
7,234 Northern Telecom Ltd........... 462,976
381 Scientific-Atlanta, Inc........ 8,406
2,404* Tellabs, Inc................... 165,200
13,868* WorldCom, Inc.................. 630,993
-----------
3,254,279
-----------
TEXTILE - PRODUCTS - 0.06%
683 Russell Corp................... 18,612
300 Springs Industries, Inc.
Class A....................... 16,838
1,700 V F Corp....................... 90,418
-----------
125,868
-----------
</TABLE>
<PAGE> 62
================================================================================
ASSET ALLOCATION FUND - STATEMENT OF NET ASSETS CONTINUED
May 31 1998 61
================================================================================
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- ------------
<S> <C> <C>
TOBACCO - 0.64%
32,729 Philip Morris Cos Inc.......... $ 1,223,246
2,427 UST Inc........................ 64,619
------------
1,287,865
------------
UTILITIES - COMMUNICATION - 3.24%
22,454 AT & T Corp.................... 1,366,887
15,018 Ameritech Corp................. 637,326
10,495 Bell Atlantic Corp............. 961,604
13,427 BellSouth Corp................. 866,042
13,087 GTE Corp....................... 763,136
9,357 MCI Communications Corp........ 500,308
25,014 SBC Communications, Inc........ 972,419
5,720 Sprint Corp.................... 410,410
------------
6,478,132
------------
UTILITIES - ELECTRIC - 1.43%
1,825 Ameren Corp.................... 71,403
2,949 American Electric Power, Inc... 133,811
2,598 Baltimore Gas and Electric Co.. 79,077
1,506 Carolina Power & Light Co...... 61,746
2,692 Central & South West Corp...... 71,170
2,718 Cinergy Corp................... 87,825
3,299 Consolidated Edison Co. of
New York, Inc.................. 141,238
2,193 DTE Energy Co.................. 86,761
2,808 Dominion Resources, Inc........ 111,443
4,904 Duke Energy Corp............... 282,593
5,717 Edison International........... 168,652
3,027 Entergy Corp................... 79,648
2,370 FPL Group, Inc................. 145,607
3,126 FirstEnergy Corp............... 92,803
2,354 GPU Inc........................ 90,629
3,889 Houston Industries, Inc........ 111,323
1,200* Niagara Mohawk Power Corp...... 14,850
1,134 Northern States Power Co....... 64,496
1,677 Peco Energy Co................. 47,375
5,335 P G & E Corp................... 168,053
1,700 P P & L Resources Inc.......... 37,613
4,945 PacifiCorp..................... 114,044
3,081 Public Service Enterprise Group 101,866
10,308 Southern Co.................... 273,805
3,494 Texas Utilities Co............. 138,012
2,300 Unicom Corp.................... 79,060
------------
2,854,903
------------
UTILITIES - GAS, DISTRIBUTION - 0.02%
790 NICOR Inc...................... 30,514
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER MARKET
OF SHARES VALUE
- ---------- ------------
<S> <C> <C>
UTILITIES - GAS, PIPELINE - 0.31%
887 Columbia Energy Group.......... $ 74,841
1,295 Consolidated Natural Gas Co.... 73,248
3,947 Enron Corp..................... 197,843
400 ONEOK Inc...................... 15,625
1,220 Pacific Enterprises............ 46,436
725 Peoples Energy Corp............ 26,735
5,926 Williams Companies, Inc........ 192,225
------------
626,953
------------
TOTAL COMMON STOCKS
(Cost $73,829,020)............. 116,780,010
------------
PAR
VALUE
- -----------
CORPORATE BONDS - 18.40%
AUTO - CARS - 1.07%
$2,000,000 Ford Motor Co.,
7.25% due 10/01/08............ 2,141,080
------------
BANKS - OTHER - 2.50%
1,000,000 BankAmerica Corp.,
6.63% due 05/30/01............ 1,015,680
3,000,000 Malayan Banking Berhad-NY,
7.13% due 09/15/05............ 2,518,410
1,500,000 Santander Finance Issuance,
6.38% due 02/15/15............ 1,463,745
------------
4,997,835
------------
BANKS - REGIONAL - 1.12%
2,000,000 NationsBank Corp.,
7.75% due 08/15/15............ 2,232,740
------------
FINANCE COMPANIES - 4.36%
3,000,000 AT&T Capital Corp.,
6.80% due 02/01/01............ 3,060,540
1,500,000 Finova Capital Corp.,
9.13% due 02/27/02............ 1,641,675
1,000,000 Ford Motor Credit Co.,
6.25% due 11/08/00............ 1,005,960
3,000,000 International Lease Finance
Corp., 6.45% due 09/11/00...... 3,028,410
------------
8,736,585
------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- ------------
<S> <C> <C>
HOSPITAL MANAGEMENT - 0.77%
$1,650,000 Columbia/HCA Healthcare Corp.,
7.19% due 11/15/15............ $ 1,539,203
------------
INSURANCE - CASUALTY - 1.10%
2,000,000 Orion Cap Trust,
8.73% due 01/01/37............ 2,197,680
------------
MERCHANDISING - MASS - 0.51%
1,000,000 Sears Roebuck and Co.,
7.35% due 03/23/00............ 1,024,350
------------
MERCHANDISE - SPECIALTY - 2.33%
Goodrich (B.F.),
2,000,000 7.10% due 11/15/27............ 2,089,160
Tandy Corp.,
2,500,000 6.95% due 09/01/07............ 2,566,700
------------
4,655,860
------------
OIL - INTEGRATED DOMESTIC - 1.05%
2,000,000 Union Oil Co. California,
7.20% due 05/15/05............ 2,099,900
------------
SECURITIES RELATED - 1.05%
1,000,000 Bear Stearns Co. Inc.:
9.38% due 06/01/01............ 1,086,960
6.75% due 05/01/01............ 1,016,390
------------
2,103,350
------------
TELECOMMUNICATIONS - 1.81%
1,500,000 Tele-Communications Inc.,
7.25% due 08/01/05............ 1,563,540
2,000,000 360 Communications Co.,
7.13% due 03/01/03............ 2,069,580
------------
3,633,120
------------
UTILITIES - ELECTRIC - 0.73%
Texas Utilities Electric,
1,444,575 6.62% due 07/01/01............ 1,464,888
------------
TOTAL CORPORATE BONDS
(Cost $36,476,391)............. 36,826,591
------------
</TABLE>
<PAGE> 63
================================================================================
ASSET ALLOCATION FUND - STATEMENT OF NET ASSETS CONTINUED
62 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- -----------
<S> <C> <C>
UNITED STATES GOVERNMENT -
LONG TERM - 14.13%
GOVERNMENT SPONSORED - 3.18%
Federal Home Loan Mortgage Corp
(pools/REMICS):
$ 166,641 7.50% due 09/01/25............ $ 171,275
364,499 7.50% due 09/01/25............ 374,635
309,452 7.50% due 09/01/25............ 318,057
468,190 7.50% due 09/01/25............ 481,211
Federal National Mortgage
Association:
2,000,000 7.00% due 05/10/01............ 2,000,620
3,000,000 6.90% due 10/09/01............ 3,010,770
-----------
6,356,568
-----------
UNITED STATES BONDS &
NOTES - 10.95%
United States Treasury Bonds:
1,500,000 8.13% due 08/15/19............ 1,898,430
2,000,000 7.25% due 05/15/16............ 2,302,500
4,000,000 7.25% due 08/15/22............ 4,684,360
United States Treasury Notes:
1,000,000 8.00% due 08/15/99............ 1,028,120
4,000,000 6.50% due 08/15/05............ 4,198,760
2,200,000 6.38% due 04/30/99............ 2,216,500
2,000,000 6.25% due 02/28/02............ 2,041,880
1,500,000 6.25% due 02/15/03............ 1,539,375
1,000,000 5.75% due 08/15/03............ 1,007,190
1,000,000 5.50% due 04/15/00............ 999,220
-----------
21,916,335
-----------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $27,395,726)............. 28,272,903
-----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 8.38%
CONSUMER FINANCE - 4.27%
2,533,000 Beneficial Corp.,
5.52% due 06/03/98............ 2,532,180
Sears Roebuck Acceptance Corp.:
665,000 5.55% due 06/05/98............ 664,544
5,353,000 5.50% due 06/01/98............ 5,353,000
-----------
8,549,724
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- ------------
<S> <C> <C>
FINANCE COMPANIES - 1.43%
$1,032,000 Ford Motor Credit Co.,
5.50% due 06/05/98............ $ 1,031,320
1,822,000 General Motors Acceptance
Corp.,
5.50% due 06/04/98............ 1,821,099
------------
2,852,419
------------
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.19%
389,000 Cooper Industries, Inc.,
5.67% due 06/01/98............ 389,000
------------
SECURITIES RELATED - 1.24%
Merrill Lynch & Co.:
1,202,000 5.58% due 06/10/98............ 1,200,170
1,290,000 5.52% due 06/02/98............ 1,289,792
------------
2,489,962
------------
UTILITIES - COMMUNICATION - 1.25%
GTE Corp.,
2,500,000 5.61% due 06/08/98............ 2,496,969
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $16,778,074)............. 16,778,074
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.18%
UNITED STATES TREASURY BILLS - 0.18%
250,000 4.94% due 06/04/98............. 249,894
100,000 4.75% due 06/04/98............. 99,959
------------
349,853
------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $349,853)................ 349,853
------------
TOTAL INVESTMENTS
(Cost $154,829,064) - 99.45%... 199,007,431
Other assets and liabilities,
net - 0.55%................... 1,091,381
------------
NET ASSETS (equivalent
to $14.02 per share on
14,269,480 shares
outstanding) - 100%........... $200,098,812
============
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTACTS DEPRECIATION
-------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/98)
20(2) S&P 500 Index Futures
(June/$1,090.80).............. $ (68,925)
===========
(1) U.S.Treasury Bills with a market value of
approximately $350,000 were maintained in
a segregated account with a portion placed
as collateral for futures contracts.
(2) Per 250
=======================================================
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
14,269,480 shares outstanding........... $ 142,695
Additional paid in capital................ 143,094,934
Undistributed net realized gain on
securities.............................. 12,699,945
Undistributed net investment income....... 51,796
Unrealized appreciation (depreciation) of:
Investments........... $44,178,367
Futures .............. (68,925) 44,109,442
----------- ------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING............................. $200,098,812
============
</TABLE>
<PAGE> 64
================================================================================
ASSET ALLOCATION FUND - FINANCIAL STATEMENTS 63
================================================================================
<TABLE>
<CAPTION>
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<S> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 1,794,610
Interest........................................................ 4,912,556
------------
Total investment income....................................... 6,707,166
------------
EXPENSES:
Advisory fees................................................... 943,269
Custodian and accounting services............................... 44,310
Reports to shareholders......................................... 14,240
Audit fees and tax services..................................... 4,390
Directors' fees and expenses.................................... 3,849
Miscellaneous................................................... 12,429
------------
Total expenses................................................ 1,022,487
------------
NET INVESTMENT INCOME........................................... 5,684,679
------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments..................................... $11,723,542
Futures contracts............................... 1,548,855 13,272,397
------------ ------------
Net unrealized appreciation (depreciation) during
the year:
Investments..................................... 18,457,664
------------
Futures contracts............................... (171,525) 18,286,139
------------ ------------
Net realized and unrealized gain during the year............. 31,558,536
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $ 37,243,215
------------
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
1998 1997
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income............................. $ 5,684,679 $ 5,846,609
Net realized gain on securities................... 13,272,397 10,528,549
Net unrealized appreciation of securities during
the year........................................ 18,286,139 9,840,402
------------ ------------
Increase in net assets resulting from operations 37,243,215 26,215,560
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income............................. (5,673,369) (5,861,358)
Net realized gain on securities................... (10,552,054) (19,664,171)
------------ ------------
Decrease in net assets resulting from
distributions to shareholders................. (16,225,423) (25,525,529)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.................. 6,643,565 3,274,322
Proceeds from capital stock issued for
distributions reinvested........................ 16,225,423 25,525,529
------------ ------------
22,868,988 28,799,851
Cost of capital stock repurchased................. (21,134,651) (42,167,070)
------------ ------------
Increase (decrease) in net assets resulting from
capital stock transactions.................... 1,734,337 (13,367,219)
------------ ------------
TOTAL INCREASE (DECREASE) IN NET ASSETS........... 22,752,129 (12,677,188)
NET ASSETS:
Beginning of year................................. 177,346,683 190,023,871
------------ ------------
End of year (including undistributed net
investment income of $51,796 and $ 40,486)...... $200,098,812 $177,346,683
============ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold...................... 488,059 264,558
Shares issued for distributions reinvested........ 1,231,303 2,146,236
Shares of capital stock repurchased .............. (1,556,774) (3,446,167)
------------ ------------
Increase (decrease) in shares outstanding....... 162,588 (1,035,373)
Shares outstanding:
Beginning of year............................... 14,106,892 15,142,265
------------ ------------
End of year..................................... 14,269,480 14,106,892
============ ============
</TABLE>
<PAGE> 65
================================================================================
CAPITAL CONSERVATION FUND - STATEMENT OF NET ASSETS
64 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- -----------
<S> <C> <C>
CORPORATE BONDS - 84.06%
AIRLINES - 6.54%
$1,500,000 Delta Air Lines, Inc.,
9.75% due 05/15/21........... $ 1,935,060
2,000,000 Southwest Airlines Co.,
8.75% due 10/15/03........... 2,226,020
-----------
4,161,080
-----------
AUTO - CARS - 2.32%
1,500,000 Hertz Corp.,
6.00% due 01/15/03........... 1,478,400
-----------
BANKS - OTHER - 5.65%
1,000,000 BankAmerica Corp.,
7.25% due 04/15/06........... 1,054,380
1,500,000 Santander Finance Issuance,
7.25% due 11/01/15........... 1,559,370
1,000,000 Toronto Dominion Bank,
6.13% due 11/01/08........... 982,350
-----------
3,596,100
-----------
BANKS - REGIONAL - 6.81%
1,500,000 Bank Boston Capital Trust I,
8.25% due 12/15/26........... 1,630,395
1,500,000 Barnett Capital Trust I,
8.06% due 12/01/26........... 1,644,330
1,000,000 SouthTrust Corp.,
7.63% due 05/01/04........... 1,063,040
-----------
4,337,765
-----------
BUILDING MATERIALS - 3.22%
2,000,000 CSR America, Inc.,
6.88% due 07/21/05........... 2,046,800
-----------
FINANCE COMPANIES - 9.15%
2,000,000 Capital One Bank,
8.13% due 03/01/00........... 2,063,200
1,000,000 C.I.T. Group Holdings, Inc.,
8.38% due 11/01/01........... 1,070,000
2,000,000 Finova Capital Corp.,
9.13% due 02/27/02........... 2,188,900
500,000 Ford Motor Credit Co.,
6.38% due 11/05/08........... 500,965
-----------
5,823,065
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- -----------
<S> <C> <C>
HEALTHCARE - 2.22%
$1,500,000 Columbia Healthcare Corp.,
7.50% due 12/15/23........... $ 1,410,315
-----------
MERCHANDISE - DRUG - 0.76%
500,000 Imcera Group Inc.,
6.00% due 10/15/03........... 485,620
-----------
MERCHANDISING -
DEPARTMENT - 3.64%
2,000,000 Associated Dry Goods
Corp. Depentures,
8.85% due 03/01/06........... 2,313,960
-----------
MERCHANDISING - MASS - 3.92%
1,000,000 Sears Roebuck and Co.,
6.25% due 01/15/04........... 998,760
1,500,000 ShopKo Stores, Inc.,
6.50% due 08/15/03........... 1,493,700
-----------
2,492,460
-----------
METALS - STEEL - 2.80%
2,000,000 Pohang Iron & Steel Limited,
7.50% due 08/01/02........... 1,782,200
-----------
PAPER/FOREST PRODUCTS - 3.87%
2,000,000 Georgia-Pacific Corp.,
9.50% due 12/01/11........... 2,464,640
-----------
PUBLISHING - NEWS - 3.49%
2,000,000 News America Holdings,
8.25% due 08/10/18........... 2,222,480
-----------
SECURITIES RELATED - 5.58%
Lehman Brothers, Inc.,
1,500,000 7.13% due 09/15/03........... 1,555,110
2,000,000 6.13% due 02/01/01........... 1,997,180
-----------
3,552,290
-----------
TELECOMMUNICATIONS - 6.59%
2,000,000 Airtouch Communications, Inc.,
7.50% due 07/15/06........... 2,132,380
2,000,000 360 Communications Co.,
7.13% due 03/01/03........... 2,069,580
-----------
4,201,960
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- -----------
<S> <C> <C>
UTILITIES - COMMUNICATION - 6.46%
$2,500,000 Century Telephone Enterprises, Inc.,
7.20% due 12/01/25..................... $ 2,641,350
1,500,000 GTE South, Inc.,
6.00% due 02/15/08..................... 1,474,095
-----------
4,115,445
-----------
UTILITIES - ELECTRIC - 4.43%
1,000,000 Georgia Power Co.,
6.13% due 09/01/99..................... 1,001,680
2,000,000 Tenaga Nasional Berhad,
7.88% due 06/15/04..................... 1,817,100
-----------
2,818,780
-----------
UTILITIES - GAS, PIPELINE - 6.61%
2,000,000 Columbia Energy Group,
7.62% due 11/28/25...................... 2,083,900
2,000,000 Enron Corp.,
7.63% due 09/10/04..................... 2,122,020
-----------
4,205,920
-----------
TOTAL CORPORATE BONDS
(Cost $52,488,290)....................... 53,509,280
-----------
UNITED STATES GOVERNMENT
LONG TERM - 12.58%
FEDERAL AGENCIES - 0.44%
Government National Mortgage
Association:
68,950 9.50% due 05/15/18..................... 74,784
2,550 9.50% due 06/15/18..................... 2,766
1,240 9.50% due 06/15/18..................... 1,345
151,748 9.50% due 07/15/18..................... 164,587
19,961 9.50% due 08/15/18..................... 21,650
11,896 9.50% due 10/15/18..................... 12,902
-----------
278,034
-----------
GOVERNMENT SPONSORED - 11.29%
Federal Home Loan Mortgage Corp.:
921,110 6.50% due 06/01/12..................... 928,304
1,000,000 5.75% due 12/15/16..................... 997,500
2,000,000 Federal National Mortgage Association,
7.23% due 03/30/06..................... 2,015,940
</TABLE>
<PAGE> 66
================================================================================
CAPITAL CONSERVATION FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 65
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- -----------
<S> <C> <C>
GOVERNMENT SPONSORED - Continued
Federal National Mortgage Association,
(Pools/REMICS):
$ 825,801 7.50% due 07/01/26.............. $ 849,022
792,792 7.00% due 05/01/11.............. 809,140
753,210 7.00% due 05/01/11.............. 768,742
803,910 7.00% due 06/01/11.............. 820,487
-----------
7,189,135
-----------
UNITED STATES NOTES - 0.85%
500,000 United States Treasury Notes,
6.88% due 05/15/06.............. 537,890
-----------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $7,801,256)................. 8,005,059
-----------
FOREIGN GOVERNMENT BONDS - 0.82%
CANADA - 0.82%
500,000 New Brunswick Province,
7.13% due 10/01/02
(Cost $499,176).................. 518,865
-----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 0.83%
MACHINERY - INDUSTRIAL/
SPECIALTY - 0.83%
529,000 Cooper Industries, Inc.,
5.67% due 06/01/98
(Cost $529,000).................. 529,000
-----------
TOTAL INVESTMENTS
(Cost $61,317,722) - 98.29%....... 62,562,204
Other assets and liabilities,
net - 1.71%...................... 1,091,348
-----------
NET ASSETS (equivalent
to $9.68 per share on
6,577,011 shares
outstanding) - 100% ............. $63,653,552
===========
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
- ---------- -----------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/98)
13 (2) U.S. Treasury Bond Futures
(September/$121.50).............. $ (102)
===========
(1) U.S. Treasury Notes with a
market value of approximately
$100,000 were maintained in a
segregated account with a
portion placed as collateral
for futures contracts.
(2) Per 1,000
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
6,577,011 shares outstanding................ $ 65,770
Additional paid in capital.................... 62,825,983
Accumulated net realized loss on securities... (517,185)
Undistributed net investment income........... 34,604
Unrealized appreciation (depreciation) of:
Investments........... $ 1,244,482
Futures .............. (102)........ 1,244,380
----------- -----------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING................................. $63,653,552
===========
</TABLE>
<PAGE> 67
================================================================================
CAPITAL CONSERVATION FUND - FINANCIAL STATEMENTS
66
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest .................................................................. $ 4,595,681
-----------
EXPENSES:
Advisory fees ............................................................. 335,861
Custodian and accounting services ......................................... 15,946
Reports to shareholders ................................................... 4,902
Audit fees and tax services ............................................... 1,534
Directors' fees and expenses .............................................. 1,427
Miscellaneous ............................................................. 5,159
-----------
Total expenses .......................................................... 364,829
-----------
NET INVESTMENT INCOME ..................................................... 4,230,852
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on:
Investments ................................................. $ 149,517
Futures contracts ........................................... 109,743 259,260
-----------
Net unrealized appreciation (depreciation) during the year:
Investments ................................................. 2,347,085
Futures contracts ........................................... (102) 2,346,983
----------- -----------
Net realized and unrealized gain on securities during the year ......... 2,606,243
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .......................... $ 6,837,095
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income ..................................................... $ 4,230,852 $ 4,570,257
Net realized gain (loss) on securities .................................... 259,260 (127,757)
Net unrealized appreciation of securities
during the year ......................................................... 2,346,983 760,448
------------ ------------
Increase in net assets resulting from operations ....................... 6,837,095 5,202,948
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ..................................................... (4,220,237) (4,560,074)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold .......................................... 11,469,948 5,054,950
Proceeds from capital stock issued for distributions reinvested ........... 4,220,237 4,560,074
------------ ------------
15,690,185 9,615,024
Cost of capital stock repurchased ......................................... (21,400,947) (13,722,282)
------------ ------------
Decrease in net assets resulting from
capital stock transactions ............................................. (5,710,762) (4,107,258)
------------ ------------
TOTAL DECREASE IN NET ASSETS .............................................. (3,093,904) (3,464,384)
NET ASSETS:
Beginning of year ......................................................... 66,747,456 70,211,840
------------ ------------
End of year (including undistributed net investment income
of $34,604 and $23,989) ................................................. $ 63,653,552 $ 66,747,456
============ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold .............................................. 1,185,836 540,826
Shares issued for distributions reinvested ................................ 439,548 488,804
Shares of capital stock repurchased ....................................... (2,216,430) (1,466,062)
------------ ------------
Decrease in shares outstanding .......................................... (591,046) (436,432)
Shares outstanding:
Beginning of year ....................................................... 7,168,057 7,604,489
------------ ------------
End of year ............................................................. 6,577,011 7,168,057
============ ============
</TABLE>
<PAGE> 68
================================================================================
GOVERNMENT SECURITIES FUND - STATEMENT OF NET ASSETS
May 31, 1997 67
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------- -----------
<S> <C> <C>
UNITED STATES GOVERNMENT
LONG TERM - 96.90%
GOVERNMENT SPONSORED - 62.24%
$ 1,500,000 Federal Farm Credit Bank,
6.92% due 05/13/02...................... $ 1,559,535
Federal Home Loan Banks:
1,155,000 7.26% due 09/06/01 ..................... 1,205,173
1,150,000 7.10% due 11/02/02 ..................... 1,208,041
2,000,000 6.38% due 12/20/00 ..................... 2,031,880
3,000,000 5.70% due 12/19/00 ..................... 2,999,520
Federal Home Loan Mortgage Corp.:
3,000,000 7.13% due 07/21/99 ..................... 3,045,480
1,500,000 7.09% due 06/01/05 ..................... 1,528,365
1,500,000 6.90% due 03/26/03 ..................... 1,508,205
3,500,000 6.71% due 11/09/05 ..................... 3,536,085
1,500,000 6.37% due 01/23/06 ..................... 1,499,760
Federal Home Loan Mortgage Corp.
(Pools/REMICS):
104,277 7.50% due 09/01/25 ..................... 107,177
373,170 7.50% due 09/01/25 ..................... 383,548
190,881 7.50% due 09/01/25 ..................... 196,189
2,000,000 7.00% due 09/15/23 ..................... 2,047,500
2,302,775 6.50% due 06/01/12 ..................... 2,320,760
175,000 5.50% due 02/25/19 ..................... 172,265
Federal National Mortgage Association:
1,000,000 9.05% due 04/10/00 ..................... 1,057,190
2,000,000 7.27% due 08/24/05 ..................... 2,051,240
3,000,000 7.00% due 08/27/12 ..................... 3,107,820
2,300,000 6.90% due 10/09/01 ..................... 2,308,257
2,000,000 6.85% due 09/12/05 ..................... 2,021,560
2,000,000 6.62% due 06/25/07 ..................... 2,088,740
2,000,000 6.41% due 03/08/06 ..................... 2,052,500
2,500,000 6.40% due 12/10/01 ..................... 2,501,550
4,000,000 6.25% due 12/13/02 ..................... 4,006,880
3,000,000 6.06% due 05/07/03 ..................... 3,002,820
2,000,000 5.74% due 12/23/99 ..................... 2,002,180
Student Loan Marketing Association,
1,000,000 7.50% due 03/08/00 ..................... 1,030,000
Tennessee Valley Authority:
2,500,000 6.75% due 11/01/25 ..................... 2,702,150
2,000,000 6.38% due 06/15/05 ..................... 2,054,680
-----------
57,337,050
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------- -----------
<S> <C> <C>
UNITED STATES BONDS, NOTES
& STRIPS - 34.66%
United States Treasury Bonds:
$ 1,800,000 9.00% due 11/15/18 ..................... $ 2,457,846
4,000,000 8.75% due 08/15/20 ..................... 5,394,360
3,500,000 8.50% due 02/15/20 ..................... 4,600,855
3,500,000 7.25% due 08/15/22 ..................... 4,098,815
United States Treasury Notes:
2,500,000 6.75% due 04/30/00 ..................... 2,552,725
1,000,000 6.38% due 01/15/00 ..................... 1,012,190
6,000,000 5.88% due 11/15/99 ..................... 6,025,320
3,000,000 5.75% due 08/15/03 ..................... 3,021,570
2,000,000 5.50% due 01/31/03 ..................... 1,991,880
United States Treasury Strips,
1,500,000 0.00% due 11/15/09 ..................... 768,930
-----------
31,924,491
-----------
TOTAL UNITED STATES
GOVERNMENT - LONG TERM
(Cost $86,245,519)....................... 89,261,541
-----------
CORPORATE SHORT TERM
COMMERCIAL PAPER - 1.24%
MACHINERY - INDUSTRIAL/
SPECIALTY - 1.24%
1,143,000 Cooper Industries, Inc.,
5.67% due 06/01/98...................... 1,143,000
-----------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $1,143,000)........................ 1,143,000
-----------
TOTAL INVESTMENTS
(Cost $87,388,519) - 98.14%.............. 90,404,541
Other assets and liabilities,
net 1.86%............................... 1,715,676
-----------
NET ASSETS (equivalent
to $10.09 per share on
9,129,497 shares
outstanding) - 100% .................... $92,120,217
===========
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS DEPRECIATION
--------- ------------
<S> <C> <C>
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 5/31/98)
17(2) U.S. Treasury Bond Futures
(September/$121.50)..................... $ (133)
===========
(1) U.S. Treasury Bonds with a market
value of approximately $100,000
were maintained in a segregated
account with a portion placed as
collateral for futures contracts.
(2) Per 1,000.
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
9,129,497 shares outstanding......................... $ 91,295
Additional paid in capital............................. 90,699,767
Accumulated net realized loss on securities............ (1,734,207)
Undistributed net investment income.................... 47,473
Unrealized appreciation (depreciation) of:
Investments..................... $ 3,016,022
Futures ........................ (133) 3,015,889
----------- -----------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING.......................................... $92,120,217
===========
</TABLE>
<PAGE> 69
================================================================================
GOVERNMENT SECURITIES FUND - FINANCIAL STATEMENTS
68
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest ....................................................................... $5,571,826
----------
EXPENSES:
Advisory fees .................................................................. 436,775
Custodian and accounting services .............................................. 20,527
Reports to shareholders ........................................................ 6,612
Audit fees and tax services .................................................... 2,067
Directors' fees and expenses ................................................... 1,804
Miscellaneous .................................................................. 6,262
----------
Total expenses ............................................................... 474,047
----------
NET INVESTMENT INCOME .......................................................... 5,097,779
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on:
Investments ................................................... $ 245,563
Futures contracts ............................................. 112,838 358,401
----------
Net unrealized appreciation (depreciation) during the year:
Investments ................................................... 3,271,194
Futures contracts ............................................. (133 3,271,061
---------- ----------
Net realized and unrealized gain on securities during the year ............... 3,629,462
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS ............................... $8,727,241
==========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
<CAPTION>
1998 1997
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income ..................................................... $ 5,097,779 $ 5,088,757
Net realized gain on securities ........................................... 358,401 4,132
Net unrealized appreciation of securities
during the year ......................................................... 3,271,061 479,407
------------ ------------
Increase in net assets resulting from operations ....................... 8,727,241 5,572,296
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income ..................................................... (5,081,964) (5,073,340)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold .......................................... 17,280,167 11,299,725
Proceeds from capital stock issued for distributions reinvested ........... 5,081,964 5,073,340
------------ ------------
22,362,131 16,373,065
Cost of capital stock repurchased ......................................... (17,713,793) (11,468,468)
------------ ------------
Increase in net assets resulting from capital stock transactions ........ 4,648,338 4,904,597
------------ ------------
TOTAL INCREASE IN NET ASSETS .............................................. 8,293,615 5,403,553
NET ASSETS:
Beginning of year ......................................................... 83,826,602 78,423,049
------------ ------------
End of year (including undistributed net investment income
of $47,473 and $31,658) ................................................. $ 92,120,217 $ 83,826,602
============ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold .............................................. 1,716,427 1,165,828
Shares issued for distributions reinvested ................................ 509,952 523,483
Shares of capital stock repurchased ....................................... (1,769,096) (1,180,771)
------------ ------------
Increase in shares outstanding .......................................... 457,283 508,540
Shares outstanding:
Beginning of year ....................................................... 8,672,214 8,163,674
------------ ------------
End of year ............................................................. 9,129,497 8,672,214
============ ============
</TABLE>
<PAGE> 70
================================================================================
INTERNATIONAL GOVERNMENT BOND FUND - STATEMENT OF NET ASSETS
May 31, 1998 69
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------- ------------
<S> <C> <C> <C>
GOVERNMENT BONDS - 86.49%
AUSTRALIA - 1.16%
Commonwealth:
A$ 500,000 9.75% due 3/15/02 ............. $ 364,521
A$ 500,000 9.00% due 9/15/04 ............. 376,558
A$ 500,000 8.75% due 1/15/01 ............. 343,151
A$ 500,000 7.50% due 7/15/05 ............. 354,652
A$ 500,000 7.50% due 9/15/09 ............. 369,509
------------
1,808,391
------------
AUSTRIA - 3.01%
Republic of Austria:
DM 1,000,000 7.25% due 5/3/07 .............. 650,974
As 2,000,000 7.125% due 7/12/04 ............ 178,900
As 1,500,000 7.00% due 2/14/00 ............. 124,915
As 2,200,000 7.00% due 1/20/03 ............. 192,497
As 2,000,000 7.00% due 5/16/05 ............. 179,458
As 2,000,000 6.875% due 4/19/02 ............ 172,607
As 2,000,000 6.50% due 11/17/05 ............ 175,475
As 6,000,000 6.25% due 5/31/06 ............. 521,120
As 3,000,000 5.625% due 7/15/07 ............ 250,667
As 2,000,000 5.50% due 1/18/04 ............. 165,816
Ff. 3,000,000 5.50% due 1/18/04 ............. 522,340
Y. 100MM 4.75% due 12/20/04 ............ 880,028
Y. 50MM 4.50% due 9/28/05 ............. 440,916
As 3,000,000 4.375% due 2/28/02 ............ 238,600
------------
4,694,313
------------
BELGIUM - 3.53%
Kingdom of Belgium:
Bf 10,000,000 8.75% due 6/25/02 ............. 313,917
Bf 10,000,000 8.00% due 12/24/12 ............ 348,464
Bf 10,000,000 8.00% due 3/28/15 ............. 353,710
Bf 10,000,000 7.75% due 12/22/00 ............ 294,210
Bf 25,000,000 7.75% due 10/15/04 ............ 788,801
Bf 20,000,000 7.50% due 7/29/08 ............. 649,198
Bf 15,000,000 7.00% due 5/15/06 ............. 463,251
Bf 20,000,000 6.50% due 3/31/05 ............. 596,140
Bf 20,000,000 6.25% due 3/28/07 ............. 592,933
Bf 20,000,000 5.00% due 3/28/01 ............. 553,303
Bf 20,000,000 4.00% due 1/22/00 ............. 542,764
------------
5,496,691
------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------- ------------
<S> <C> <C> <C>
CANADA - 4.76%
Government of Canada:
C$ 550,000 9.50% due 6/1/10............... $ 512,958
C$ 500,000 9.00% due 12/1/04 ............. 412,592
C$ 500,000 9.00% due 6/1/25 .............. 504,726
C$ 1,000,000 8.75% due 12/1/05 ............. 831,457
C$ 1,000,000 8.50% due 4/1/02 .............. 763,622
C$ 1,000,000 8.00% due 6/1/23 .............. 907,406
C$ 500,000 7.50% due 9/1/00 .............. 359,719
C$ 1,000,000 7.50% due 3/1/01 .............. 726,138
C$ 1,000,000 7.25% due 6/1/03 .............. 746,153
C$ 1,000,000 7.00% due 12/1/06 ............. 764,795
C$ 500,000 6.50% due 6/1/04 .............. 364,716
C$ 750,000 5.50% due 2/1/00 .............. 517,453
------------
7,411,735
------------
DENMARK - 2.35%
Kingdom of Denmark:
DK 5,000,000 8.00% due 11/15/01 ............ 813,487
DK 2,500,000 8.00% due 5/15/03 ............. 419,431
DK 3,000,000 8.00% due 3/15/06 ............. 524,942
DK 5,500,000 7.00% due 12/15/04 ............ 902,764
DK 1,250,000 7.00% due 11/10/24 ............ 220,564
DK 5,000,000 6.00% due 11/15/02 ............ 772,371
------------
3,653,559
------------
FINLAND - 1.98%
Republic of Finland:
FIM 2,000,000 10.00% due 9/15/01 ............ 430,336
FIM 1,000,000 9.50% due 3/15/04 ............. 228,271
FIM 3,000,000 7.25% due 4/18/06 ............. 636,603
Ff. 5,000,000 7.00% due 6/15/04 ............. 934,418
Y. 100MM 6.00% due 1/29/02 ............. 858,726
------------
3,088,354
------------
FRANCE - 4.30%
Government of France:
Ff. 4,600,000 9.50% due 1/25/01 ............. 867,027
Ff. 3,500,000 8.50% due 11/25/02 ............ 679,759
Ff. 1,500,000 8.50% due 12/26/12 ............ 336,955
Ff. 3,000,000 7.25% due 4/25/06 ............. 580,645
Ff. 7,000,000 6.75% due 10/25/03 ............ 1,290,373
Ff. 2,000,000 6.50% due 10/25/06 ............ 370,516
Ff. 8,500,000 6.00% due 10/25/25 ............ 1,525,539
Ff. 2,000,000 5.50% due 4/25/04 ............. 349,657
Ff. 4,000,000 5.50% due 4/25/07 ............. 699,315
------------
6,699,786
------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------- ------------
<S> <C> <C> <C>
GERMANY - 11.92%
Federal Republic of Germany:
DM 2,000,000 7.50% due 9/9/04 .............. $ 1,289,505
DM 3,100,000 7.125% due 12/20/02 ........... 1,922,982
DM 2,000,000 7.00% due 1/13/00 ............. 1,172,706
DM 1,000,000 6.75% due 7/15/04 ............. 622,334
DM 3,000,000 6.50% due 3/15/00 ............. 1,752,165
DM 3,000,000 6.50% due 7/15/03 ............. 1,829,172
DM 2,000,000 6.50% due 10/14/05 ............ 1,238,840
DM 1,000,000 6.25% due 4/26/06 ............. 612,526
DM 1,000,000 6.25% due 1/4/24 .............. 624,016
DM 1,000,000 6.00% due 11/12/03 ............ 598,324
DM 1,000,000 6.00% due 1/5/06 .............. 602,606
DM 1,000,000 6.00% due 1/4/07 .............. 604,288
DM 4,000,000 6.00% due 6/20/16 ............. 2,446,518
DM 2,000,000 5.00% due 5/21/01 ............. 1,144,346
DM 3,750,000 4.50% due 8/19/02 ............. 2,108,239
------------
18,568,567
------------
IRELAND - 0.65%
Republic of Ireland:
Ilb 100,000 8.25% due 8/18/15 ............. 185,875
Ilb 100,000 8.00% due 8/18/06 ............. 168,206
Ilb 150,000 6.50% due 10/18/01 ............ 222,838
Ilb 150,000 6.25% due 4/1/99 .............. 213,488
Ilb 150,000 6.25% due 10/18/04 ............ 226,019
------------
1,016,426
------------
ITALY - 9.01%
Republic of Italy:
Lit 1,000MM 12.00% due 6/1/01 ............. 682,480
Lit 1,000MM 12.00% due 1/1/02 ............. 702,844
Lit 1,000MM 10.50% due 7/15/00 ............ 635,836
Lit 500MM 10.50% due 4/1/05 ............. 374,545
Lit 500MM 10.50% due 9/1/05 ............. 379,010
Lit 3,400MM 10.00% due 8/1/03 ............. 2,385,802
Lit 500MM 9.50% due 1/1/05 .............. 356,030
Lit 500MM 9.50% due 2/1/06 .............. 364,903
Lit 2,000MM 9.00% due 11/1/23 ............. 1,670,080
Lit 1,000MM 8.50% due 4/1/04 .............. 672,241
Lit 1,500MM 8.50% due 8/1/04 .............. 1,012,961
Lit 1,000MM 7.75% due 9/15/01 ............. 621,843
Lit 1,500MM 6.75% due 2/1/07 .............. 952,389
Lit 500MM 6.25% due 3/1/02 .............. 299,545
Lit 2,000MM 5.75% due 9/15/02 ............. 1,182,366
Lit 3,000MM 5.50% due 9/15/00 ............. 1,742,031
------------
14,034,906
------------
</TABLE>
<PAGE> 71
================================================================================
INTERNATIONAL GOVERNMENT BOND FUND - STATEMENT OF NET ASSETS CONTINUED
70 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------- ------------
<S> <C> <C> <C>
JAPAN - 20.99%
Government of Japan:
Y. 50MM 6.70% due 6/20/00 ............. $ 407,177
Y. 250MM 6.60% due 6/20/01 ............. 2,133,367
Y. 320MM 6.40% due 3/20/00 ............. 2,557,643
Y. 105MM 6.00% due 12/20/01 ............ 899,729
Y. 365MM 5.50% due 3/20/02 ............. 3,107,073
Y. 120MM 5.00% due 12/20/02 ............ 1,026,789
Y. 100MM 5.00% due 9/21/09 ............. 972,850
Y. 100MM 5.00% due 3/20/15 ............. 1,030,616
Y. 130MM 4.80% due 6/21/99 ............. 982,158
Y. 127MM 4.50% due 6/20/03 ............. 1,077,698
Y. 75MM 4.50% due 12/20/04 ............ 655,607
Y. 150MM 4.40% due 9/22/03 ............. 1,273,955
Y. 200MM 4.20% due 9/21/15 ............. 1,900,065
Y. 150MM 4.10% due 6/21/04 ............. 1,273,522
Y. 100MM 3.90% due 6/21/04 ............. 840,494
Y. 100MM 3.80% due 9/20/16 ............. 911,402
Y. 250MM 3.50% due 3/21/16 ............. 2,189,147
Y. 100MM 3.30% due 6/20/06 ............. 829,085
Y. 200MM 3.20% due 3/20/06 ............. 1,644,018
Y. 250MM 3.00% due 9/20/05 ............. 2,021,807
Y. 150MM 2.90% due 12/20/05 ............ 1,207,994
Y. 100MM 2.70% due 3/20/07 ............. 798,383
Y. 150MM 2.00% due 12/20/07 ............ 1,134,450
Y. 250MM 1.10% due 10/22/01 ............ 1,830,475
------------
32,705,504
------------
NETHERLANDS - 4.59%
Government of the Netherlands:
NG 1,050,000 9.00% due 10/16/00 ............ 577,199
NG 1,000,000 8.75% due 9/15/01 ............. 562,641
NG 500,000 8.50% due 3/15/01 ............. 275,602
NG 500,000 8.25% due 2/15/02 ............. 280,575
NG 500,000 8.25% due 6/15/02 ............. 283,061
NG 500,000 8.25% due 2/15/07 ............. 307,427
NG 1,500,000 7.75% due 3/1/05 .............. 875,289
NG 500,000 7.50% due 4/15/10 ............. 303,573
NG 750,000 7.50% due 1/15/23 ............. 479,600
NG 2,000,000 6.50% due 4/15/03 ............. 1,079,038
NG 1,500,000 6.00% due 1/15/06 ............. 803,685
NG 2,000,000 5.75% due 1/15/04 ............. 1,051,192
NG 500,000 5.75% due 2/15/07 ............. 264,414
------------
7,143,296
------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------- ------------
<S> <C> <C> <C>
PORTUGAL - 0.36%
Ff. 3,000,000 Republic of Portugal,
6.625% due 5/13/08.......... $ 560,964
------------
SPAIN - 4.77%
Government of Spain:
Pst 100MM 10.50% due 10/30/03 ........... 838,436
Pst 100MM 10.30% due 6/15/02 ............ 796,899
Pst 100MM 10.15% due 1/31/06 ............ 875,784
Pst 50MM 10.10% due 2/28/01 ............ 377,598
Pst 50MM 10.00% due 2/28/05 ............ 425,701
Pst 50MM 8.40% due 4/30/01 ............. 365,424
Pst 70MM 8.20% due 2/28/09 ............. 577,598
Pst 80MM 8.00% due 5/30/04 ............. 615,163
Pst 50MM 7.90% due 2/28/02 ............. 367,618
Pst 150MM 6.75% due 4/15/00 ............. 1,033,421
Ff. 2,000,000 6.50% due 6/20/01 ............. 354,129
Pst 50MM 6.00% due 1/31/08 ............. 353,233
Pst 67MM 5.25% due 1/31/03 ............. 456,150
------------
7,437,154
------------
SWEDEN - 2.43%
Kingdom of Sweden:
SK 3,000,000 10.25% due 5/5/00 ............. 422,108
SK 6,000,000 10.25% due 5/5/03 ............. 946,084
SK 3,000,000 9.00% due 4/20/09 ............. 504,664
SK 3,000,000 8.00% due 8/15/07 ............. 464,452
C$ 500,000 6.75% due 12/31/01 ............ 357,619
SK 2,000,000 6.50% due 10/25/06 ............ 280,632
SK 6,000,000 6.00% due 2/9/05 .............. 812,805
------------
3,788,364
------------
SWITZERLAND - 0.48%
Government of Switzerland:
Chf 500,000 4.50% due 7/8/02 .............. 367,027
Chf 500,000 4.50% due 4/8/06 .............. 377,995
------------
745,022
------------
UNITED KINGDOM - 8.74%
Government of United Kingdom:
L. 250,000 9.75% due 8/27/02 ............. 463,194
L. 400,000 9.00% due 10/13/08 ............ 818,692
L. 250,000 9.00% due 7/12/11 ............. 529,547
L. 400,000 9.00% due 8/6/12 .............. 856,258
L. 750,000 8.75% due 8/25/17 ............. 1,656,780
L. 500,000 8.50% due 12/7/05 ............. 948,335
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------------- ------------
<S> <C> <C> <C>
UNITED KINGDOM - Continued
L. 500,000 8.00% due 9/25/09 ............. $ 969,517
L. 500,000 8.00% due 12/7/15 ............. 1,025,407
L. 750,000 8.00% due 6/7/21 .............. 1,585,578
L. 1,000,000 7.50% due 12/7/06 ............. 1,817,048
L. 1,500,000 7.00% due 11/6/01 ............. 2,515,028
L. 250,000 6.75% due 11/26/04 ............ 429,890
------------
13,615,274
------------
UNITED STATES - 1.46%
DM 4,000,000 Federal National Mortgage Association,
5.00% due 2/16/01 .......... 2,278,268
------------
TOTAL GOVERNMENT BONDS
(Cost $139,653,971) ................. 134,746,574
------------
SUPRANATIONAL - 6.44%
Eurofima:
Ff. 5,000,000 9.875% due 8/21/00 ............ 932,852
Ff. 1,600,000 9.25% due 12/18/03 ............ 325,255
Ff. 3,000,000 5.625% due 11/25/99 ........... 512,389
European Investment Bank:
Lit 1,100MM 10.50% due 2/7/02 ............. 756,328
L. 250,000 9.00% due 5/14/02 ............. 445,840
Y. 25MM 6.625% due 3/15/00 ............ 200,601
Ff. 2,000,000 6.125% due 10/8/04 ............ 360,187
Y. 100MM 4.625% due 2/26/03 ............ 845,729
Y. 100MM 3.00% due 9/20/06 ............. 811,431
Y. 55MM Inter America Development Bank,
6.75% due 2/20/01 .......... 463,165
International Bank for
Reconstruction & Development:
Lit 150MM 10.80% due 11/13/01 ........... 103,029
Lit 200MM 9.45% due 8/11/03 ............. 138,083
L. 400,000 9.25% due 7/20/07 ............. 795,826
Y. 250MM 5.25% due 3/20/02 ............. 2,108,681
Y. 100MM 4.50% due 3/20/03 ............. 843,924
Y. 50MM 4.50% due 6/20/00 ............. 391,048
------------
TOTAL SUPRANATIONAL
(Cost $11,221,358) .................. 10,034,368
------------
</TABLE>
<PAGE> 72
================================================================================
INTERNATIONAL GOVERNMENT BOND FUND - STATEMENT OF NET ASSETS CONTINUED
May 31, 1998 71
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- -----------------------------------------------------------------
<S> <C> <C> <C>
CORPORATE BONDS - 4.34%
FRANCE - 4.34% Credit Local de France:
Lit 2,000MM 9.00% due 6/14/01 ............. $ 1,272,048
Ff. 5,000,000 8.875% due 6/10/02 ............ 964,190
Ff. 8,000,000 6.25% due 9/27/05 ............. 1,444,927
Ff. 4,000,000 6.00% due 11/15/01 ............ 699,482
Ff. 10,000,000 Elf Aquitaine SA,
7.125% due 8/11/03............. 1,843,766
Ff. 3,000,000 Toyota Motor Credit,
6.25% due 4/11/02.............. 530,252
------------
6,754,665
------------
TOTAL CORPORATE BONDS
(Cost $7,219,766) ................... 6,754,665
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.10%
U.S. TREASURY BILLS - 0.10%
USD 150,000 United States Treasury Bills,
4.30% due 6/25/98 ............. 149,570
------------
TOTAL UNITED STATES GOVERNMENT
SHORT TERM
(Cost $149,570) ..................... 149,570
------------
TOTAL INVESTMENTS
(Cost $158,244,665) - 97.37% ........ 151,685,177
Other assets and liabilities,
net - 2.63% ........................ 4,097,706
------------
NET ASSETS (equivalent
to $11.42 per share
on 13,645,599 shares
outstanding) - 100% ................ $155,782,883
------------
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- -----------------------------------------------------------------
<S> <C> <C>
FUTURES CONTRACTS SOLD(1)
(Delivery month/Value at 5/31/98)
15 (2) Currency futures - British Pound
(June/$163.02) ...................... $ 14,813
------------
(Delivery month/Value at 5/31/98)
70 (3) Currency futures - Japanese Yen
(June/$72.22) ....................... 199,250
------------
214,063
============
</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 625
(3) Per 1,250
<TABLE>
<CAPTION>
MARKET
VALUE
- -----------------------------------------------------------------
<S> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
13,645,599 shares outstanding .................. $ 136,456
Additional paid in capital ....................... 160,890,463
Accumulated net realized gain on securities ...... 658,703
Undistributed net investment income .............. 462,129
Unrealized appreciation (depreciation) of:
Investments ..................... $ (6,559,488)
Futures ......................... 214,063
------------
Foreign currency translation..... (19,443) (6,364,868)
------------ ------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING .................................... $155,782,883
============
</TABLE>
<PAGE> 73
================================================================================
INTERNATIONAL GOVERNMENT BOND FUND - FINANCIAL STATEMENTS
72
================================================================================
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of $158,558) ....... $ 8,845,092
-----------
EXPENSES:
Advisory fees ................................................. 846,176
Custodian and accounting services ............................. 32,947
Reports to shareholders ....................................... 11,638
Audit fees and tax services ................................... 3,835
Directors' fees and expenses .................................. 3,717
Miscellaneous ................................................. 23,639
-----------
Total expenses .............................................. 921,952
-----------
NET INVESTMENT INCOME ......................................... 7,923,140
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized loss on:
Investments ......................................... $(3,464,702)
Foreign currency translation ........................ (387,612) (3,852,314)
-----------
Net unrealized appreciation (depreciation) during the
year:
Securities .......................................... (74,327)
Foreign currency translation ........................ 101,888
Futures contracts ................................... 214,063 241,624
----------- -----------
Net realized and unrealized loss on securities and
foreign currencies during the year ....................... (3,610,690)
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS .............. $ 4,312,450
===========
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<TABLE>
1998 1997
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income .............................. $ 7,923,140 8,522,441
Net realized loss on securities and foreign currency
transactions ..................................... (3,852,314) (145,962)
Net unrealized appreciation (depreciation) of
securities and translation of foreign currencies
during the year .................................. 241,624 (7,210,455)
------------ ------------
Increase in net assets resulting from operations. 4,312,450 1,166,024
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income .............................. (3,034,869) (8,295,746)
Net realized gain on securities .................... (136,607) (295,588)
------------ ------------
Decrease in net assets resulting from
distributions to shareholders .................. (3,171,476) (8,591,334)
------------ ------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold ................... 30,361,915 72,164,939
Proceeds from capital stock issued for distributions
reinvested........................................ 3,171,476 8,591,334
------------ ------------
33,533,391 80,756,273
Cost of capital stock repurchased .................. (56,600,279) (38,005,431)
------------ ------------
Increase (decrease) in net assets resulting from
capital stock transactions ...................... (23,066,888) 42,750,842
TOTAL INCREASE (DECREASE) IN NET ASSETS ............ (21,925,914) 35,325,532
NET ASSETS:
Beginning of year .................................. 177,708,797 142,383,265
------------ ------------
End of year (including undistributed net investment
income of $462,129 and $84,875) .................. $155,782,883 $177,708,797
------------ ============
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold ....................... 2,685,573 6,113,938
Shares issued for distributions reinvested ......... 279,556 729,242
Shares of capital stock repurchased ................ (4,999,093) (3,236,292)
------------ ------------
Increase (decrease) in shares outstanding ........ (2,033,964) 3,606,888
Shares outstanding:
Beginning of year ................................ 15,679,563 12,072,675
------------ ------------
End of year ...................................... 13,645,599 15,679,563
------------ ============
</TABLE>
<PAGE> 74
================================================================================
MONEY MARKET FUND - STATEMENT OF NET ASSETS
May 31, 1998 73
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- -----------
<S> <C> <C>
CORPORATE SHORT TERM
COMMERCIAL PAPER - 89.58%
BANKS - REGIONAL - 5.18%
$5,000,000 Banc One Corp,
5.48% due 06/08/98............. $ 4,994,672
5,000,000 NationsBank Corp.,
5.48% due 10/21/98............. 4,891,922
-----------
9,886,594
-----------
BEVERAGE - SOFT DRINKS - 1.83%
3,500,000 Coca Cola Co.,
5.48% due 06/19/98............. 3,490,410
-----------
CHEMICAL - MAJOR - 5.65%
E.I. Du Pont de Nemeurs and Co.:
3,500,000 5.49% due 07/07/98.............. 3,480,785
3,000,000 5.44% due 06/25/98.............. 2,989,120
PPG Industries:
2,500,000 5.50% due 06/30/98.............. 2,488,924
1,840,000 5.51% due 06/30/98.............. 1,831,833
-----------
10,790,662
-----------
CONGLOMERATES - 2.70%
Fortune Brands:
2,500,000 5.50% due 07/08/98.............. 2,485,868
2,688,000 5.50% due 07/09/98.............. 2,672,395
-----------
5,158,263
-----------
CONSUMER FINANCE - 16.67%
Associates Corp. of North America:
1,000,000 5.75% due 11/15/98.............. 999,736
2,000,000 5.50% due 08/18/98.............. 1,976,167
1,800,000 5.49% due 06/02/98.............. 1,799,726
2,000,000 5.49% due 07/01/98.............. 1,990,850
825,000 5.48% due 06/16/98.............. 823,116
500,000 5.25% due 09/01/98.............. 499,100
Beneficial Corp:
1,500,000 5.52% due 06/22/98.............. 1,495,170
1,500,000 5.51% due 08/24/98.............. 1,480,715
2,300,000 5.51% due 08/04/98.............. 2,277,470
2,000,000 5.49% due 06/29/98.............. 1,991,460
Commercial Credit Co.:
1,800,000 5.50% due 07/21/98.............. 1,786,250
1,900,000 5.50% due 07/28/98.............. 1,883,454
1,500,000 5.49% due 08/06/98.............. 1,484,903
2,000,000 5.48% due 07/06/98.............. 1,989,344
1,200,000 5.47% due 06/18/98.............. 1,196,900
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ---------- -----------
<S> <C> <C>
CONSUMER FINANCE - Continued
Sears Roebuck Acceptance Corp.:
$2,400,000 5.54% due 06/16/98.............. $ 2,394,460
644,000 5.52% due 07/29/98.............. 638,273
553,000 5.50% due 07/30/98.............. 548,015
2,100,000 5.50% due 08/03/98.............. 2,079,788
1,400,000 5.50% due 08/05/98.............. 1,386,097
1,100,000 5.48% due 06/29/98.............. 1,095,312
-----------
31,816,306
-----------
ELECTRICAL EQUIPMENT - 1.10%
2,100,000 General Electric Co.,
5.49% due 06/09/98.............. 2,097,438
-----------
ENTERTAINMENT - 2.09%
Walt Disney Co.:
1,500,000 5.57% due 06/04/98.............. 1,499,304
2,500,000 5.44% due 06/26/98.............. 2,490,556
-----------
3,989,860
-----------
FINANCE COMPANIES - 19.65%
Ciesco LP:
3,000,000 5.50% due 06/01/98............... 3,000,000
2,500,000 5.50% due 07/02/98............... 2,488,160
2,000,000 5.45% due 06/10/98............... 1,997,275
CIT Group Holdings, Inc.:
1,707,000 5.52% due 06/11/98............... 1,704,383
2,033,000 5.50% due 06/01/98............... 2,033,000
1,500,000 5.49% due 06/25/98............... 1,494,510
3,300,000 5.46% due 06/23/98............... 3,288,989
Ford Motor Credit Co.:
2,500,000 5.50% due 08/17/98............... 2,470,590
1,404,000 5.48% due 06/12/98............... 1,401,649
General Electric Capital Corp.:
1,000,000 5.51% due 08/10/98............... 989,286
1,800,000 5.50% due 07/15/98............... 1,787,900
1,200,000 5.50% due 06/03/98............... 1,199,633
2,200,000 5.50% due 06/03/98............... 2,199,328
General Motors Acceptance Corp.:
1,000,000 6.30% due 06/11/98............... 1,000,100
2,257,000 5.52% due 06/05/98............... 2,255,616
1,000,000 5.51% due 08/13/98............... 988,827
750,000 5.50% due 06/09/98............... 749,083
1,500,000 5.49% due 06/11/98............... 1,497,713
1,000,000 5.48% due 07/08/98............... 994,368
1,000,000 5.47% due 07/13/98............... 993,618
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- ----------- -----------
<S> <C> <C>
FINANCE COMPANIES - Continued
$1,000,000 IBM Credit Co.,
5.80% due 11/04/98................ $ 999,979
2,000,000 International Lease Finance Corp.,
5.46% due 07/16/98................ 1,986,350
-----------
37,520,357
-----------
FOODS - 3.71%
Archer Daniels Midland Co.:
3,000,000 5.52% due 06/02/98................ 2,999,540
1,100,000 5.50% due 07/22/98................ 1,091,429
1,500,000 5.48% due 06/08/98................ 1,498,402
Kellogg Co.,
1,500,000 5.50% due 06/05/98................ 1,499,083
-----------
7,088,454
-----------
INFORMATION PROCESSING - 1.72%
International Business Machines
Corp.:
2,000,000 5.81% due 10/01/98................ 1,999,820
1,300,000 5.50% due 08/11/98................ 1,285,899
-----------
3,285,719
-----------
MACHINERY - INDUSTRIAL/
SPECIALTY - 7.01%
5,613,000 Cooper Industries, Inc.,
5.67% due 06/01/98................ 5,613,000
Dover Corp.:
3,000,000 5.55% due 06/03/98................ 2,999,075
1,500,000 5.53% due 06/05/98................ 1,499,078
3,270,000 5.50% due 06/10/98................ 3,265,504
-----------
13,376,657
-----------
MERCHANDISE - SPECIALTY - 2.25%
Toys "R" Us, Inc.:
1,300,000 5.50% due 07/02/98................ 1,293,843
3,000,000 5.48% due 06/15/98................ 2,993,607
-----------
4,287,450
-----------
OIL - INTEGRATED DOMESTIC - 3.14%
Atlantic Richfield Co.:
3,000,000 5.52% due 06/12/98................ 2,994,940
3,000,000 5.46% due 06/18/98................ 2,992,265
-----------
5,987,205
-----------
</TABLE>
<PAGE> 75
================================================================================
MONEY MARKET FUND - STATEMENT OF NET ASSETS CONTINUED
74 May 31, 1998
================================================================================
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<S> <C> <C>
SECURITIES RELATED - 8.45%
Merrill Lynch & Co., Inc.:
$2,100,000 5.52% due 08/12/98................ $ 2,076,815
1,300,000 5.51% due 06/17/98................ 1,296,816
1,350,000 5.51% due 07/27/98................ 1,338,429
2,700,000 5.51% due 08/19/98................ 2,667,353
1,100,000 5.49% due 06/30/98................ 1,095,135
Morgan Stanley, Dean Witter,
Discover and Co.:
2,500,000 5.50% due 06/15/98................ 2,494,653
2,500,000 5.50% due 06/24/98................ 2,491,215
2,689,000 5.49% due 07/20/98................ 2,668,906
------------
16,129,322
------------
UTILITIES - COMMUNICATION - 8.43%
BellSouth Telecomm:
900,000 5.50% due 08/21/98................ 888,863
3,000,000 5.49% due 07/24/98................ 2,975,752
2,200,000 5.48% due 06/04/98................ 2,198,995
2,000,000 5.46% due 06/22/98................ 1,993,630
GTE Corp.:
2,000,000 5.55% due 06/22/98................ 1,993,525
2,500,000 5.55% due 07/23/98................ 2,479,958
1,500,000 5.53% due 06/09/98................ 1,498,157
2,077,000 5.53% due 06/17/98................ 2,071,895
------------
16,100,775
------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $171,005,472)................. 171,005,472
------------
CORPORATE SHORT TERM
OBLIGATIONS - 2.62%
SECURITIES RELATED - 2.62%
Bear Stearns Co. Inc.:
2,000,000 Floating rate note due 07/06/98,
5.61188% at 05/31/98............. 2,000,000
3,000,000 Floating rate note due 07/30/98,
5.65875% at 05/31/98............. 3,000,000
------------
5,000,000
------------
TOTAL CORPORATE SHORT TERM
OBLIGATIONS
(Cost $5,000,000)................... 5,000,000
------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<S> <C> <C>
UNITED STATES GOVERNMENT
SHORT TERM - 8.38%
Federal Farm Credit Bank:
$1,000,000 5.75% due 09/11/98................ $ 999,827
2,000,000 5.70% due 11/03/98................ 2,000,117
1,000,000 5.50% due 04/01/99................ 998,562
Federal Home Loan Bank:
2,000,000 5.72% due 10/06/98................ 2,000,271
1,000,000 5.70% due 10/23/98................ 999,771
1,000,000 5.60% due 03/10/99................ 1,000,039
1,000,000 5.56% due 03/25/99................ 999,126
1,000,000 5.50% due 03/26/99................ 999,143
Federal National Mortgage
Association:
1,000,000 5.68% due 10/23/98................ 999,507
1,000,000 5.65% due 04/09/99................ 999,769
1,000,000 5.63% due 05/05/99................ 999,176
2,000,000 5.57% due 05/07/99................ 1,996,721
1,000,000 Student Loan Marketing Association,
5.79% due 09/16/98................ 1,000,057
-------------
15,992,086
-------------
TOTAL UNITED STATES GOVERNMENT
SHORT TERM
(Cost $15,992,086).................. 15,992,086
-------------
TOTAL INVESTMENTS
(Cost $191,997,558) - 100.58%....... 191,997,558
Other assets and liabilities,
net - (0.58%)...................... (1,022,108)
-------------
NET ASSETS (equivalent
to $1.00 per share on
190,975,450 shares
outstanding) - 100% ............... $ 190,975,450
-------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
- --------------------------------------------------------------
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
190,975,450 shares outstanding................ $ 1,909,754
Additional paid in capital...................... 189,065,696
------------
NET ASSETS APPLICABLE TO SHARES
OUTSTANDING..................................... 190,975,450
============
</TABLE>
<PAGE> 76
================================================================================
MONEY MARKET FUND - FINANCIAL STATEMENTS
75
================================================================================
<TABLE>
<S> <C>
STATEMENT OF OPERATIONS
For the fiscal year ended May 31, 1998
INVESTMENT INCOME:
Interest............................................................. $ 8,554,039
-----------
EXPENSES:
Advisory fees........................................................ 752,732
Custodian and accounting services.................................... 32,727
Reports to shareholders.............................................. 11,862
Audit fees and tax services.......................................... 4,093
Directors' fees and expenses......................................... 3,069
Miscellaneous........................................................ 9,824
-----------
Total expenses..................................................... 814,307
-----------
NET INVESTMENT INCOME................................................ 7,739,732
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS..................... $ 7,739,732
===========
</TABLE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
For the fiscal year ended May 31:
<S> <C> <C>
1996 1997
------------ -------------
OPERATIONS:
Net investment income.................................. $ 7,739,732 $ 5,637,643
------------ -------------
Increase in net assets resulting from operations..... 7,739,732 5,637,643
------------ -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income.................................. (7,739,732) (5,637,643)
------------ -------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold....................... 331,782,891 294,478,892
Proceeds from capital stock
issued for distributions reinvested.................. 7,739,732 5,637,643
------------ -------------
339,522,623 300,116,535
Cost of capital stock repurchased...................... (276,671,818) (255,609,535)
------------ -------------
Increase in net assets resulting from
capital stock transactions......................... 62,850,805 44,507,000
------------ -------------
TOTAL INCREASE IN NET ASSETS........................... 62,850,805 44,507,000
NET ASSETS:
Beginning of year...................................... 128,124,645 83,617,645
------------ ------------
End of year............................................ $190,975,450 $128,124,645
------------ ------------
CHANGE IN SHARES OUTSTANDING
Shares of capital stock sold........................... 331,782,891 294,478,892
Shares issued for distributions reinvested............. 7,739,732 5,637,643
Shares of capital stock repurchased ................... (276,671,818) (255,609,535)
------------ ------------
Increase in shares outstanding....................... 62,850,805 44,507,000
Shares outstanding:
Beginning of year.................................... 128,124,645 83,617,645
------------ ------------
End of year.......................................... 190,975,450 128,124,645
============ ============
</TABLE>
<PAGE> 77
================================================================================
NOTES TO FINANCIAL STATEMENTS
76
================================================================================
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
Asset Allocation Fund (formerly 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> 78
================================================================================
NOTES TO FINANCIAL STATEMENTS
77
================================================================================
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 the Stock
Index Fund, the MidCap Index Fund, and the 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 the Growth Fund and the
Science & Technology Fund, and with Value Line, Inc., to serve as investment
sub-adviser to the 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, Asset Allocation 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, 1998,
the Series paid VALIC $855,162 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, 1998,
the Series paid $10,971 for such services.
During the fiscal year ended May 31, 1998, 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 $20,433,419 $12,850,048
Stock Index Fund MidCap Index Fund 1,016,474 600,277
Small Cap Index Fund MidCap Index Fund 70,400 18,156
</TABLE>
At May 31, 1998, 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
--------------
<S> <C>
Stock Index Fund.............................................. 96.95%
MidCap Index Fund............................................. 100.00
Small Cap Index Fund.......................................... 100.00
International Equities Fund................................... 99.96
Growth Fund................................................... 97.69
Growth & Income Fund.......................................... 100.00
Science & Technology Fund..................................... 100.00
Social Awareness Fund......................................... 99.99
Asset Allocation Fund......................................... 99.95
Capital Conservation Fund..................................... 99.47
Government Securities Fund.................................... 100.00
International Government Bond Fund............................ 100.00
Money Market Fund............................................. 100.00
</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 31,1998.
<TABLE>
<CAPTION>
IDENTIFIED COST GROSS GROSS NET UNREALIZED
OF INVESTMENTS UNREALIZED UNREALIZED APPRECIATION
OWNED APPRECIATION DEPRECIATION (DEPRECIATION)
------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Stock Index Fund .................. $ 1,690,305,856 $ 1,813,294,495 $ 27,807,645 $ 1,785,486,850
MidCap Index Fund ................. 539,426,341 292,072,472 29,012,775 263,059,697
Small Cap Index Fund .............. 191,880,517 70,403,693 16,527,699 53,875,994
International Equities Fund ....... 116,325,350 60,941,263 23,709,405 37,231,858
Growth Fund ....................... 823,952,075 305,250,052 26,051,256 279,198,796
Growth & Income Fund .............. 204,371,731 73,811,981 6,885,909 66,926,072
Science & Technology Fund ......... 933,282,452 138,508,705 46,951,932 91,556,773
Social Awareness Fund ............. 286,826,157 51,590,026 4,970,871 46,619,155
Asset Allocation Fund ............. 155,071,503 45,808,444 1,941,441 43,867,003
Capital Conservation Fund ......... 61,317,620 1,963,553 719,071 1,244,482
Government Securities Fund ........ 87,388,386 3,087,643 71,621 3,016,022
International Government
Bond Fund ...................... 158,458,728 5,390,646 11,950,134 (6,559,488)
Money Market Fund ................. 191,997,558 -- -- --
</TABLE>
The following net realized capital loss carryforwards at May 31, 1998, may
be utilized to offset future capital gains.
<TABLE>
<CAPTION>
CAPITAL LOSS CARRYFORWARD EXPIRATION THROUGH
----------------------------------------------
<S> <C> <C>
Capital Conservation Fund........... $ 517,286 May 31, 2003
Government Securities Fund.......... 1,734,344 May 31, 2003
Money Market Fund................... 3,017 May 31, 2004
</TABLE>
<PAGE> 79
================================================================================
NOTES TO FINANCIAL STATEMENTS
78
================================================================================
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........................ $ 405,413,872 $ 87,617,371
MidCap Index Fund....................... 213,029,461 185,622,455
Small Cap Index Fund.................... 100,497,790 84,751,878
International Equities Fund............. 13,855,496 51,338,982
Growth Fund............................. 573,707,759 381,931,725
Growth & Income Fund.................... 206,759,036 183,186,836
Science & Technology Fund............... 1,381,981,685 1,140,937,153
Social Awareness Fund................... 399,387,329 277,756,979
Asset Allocation Fund................... 40,901,054 54,286,294
Capital Conservation Fund............... 8,777,152 14,450,296
Government Securities Fund.............. 24,632,462 20,475,563
International Government Bond Fund...... 27,372,470 43,955,348
</TABLE>
NOTE 5 -- PORTFOLIO SECURITIES LOANED
To realize additional income, a Fund may lend portfolio securities with a
value of up to 30% (33 1/3% in the case of Growth Fund and Science & Technology
Fund) of its total assets. Any such loans will be continuously secured by
collateral consisting of cash or U.S. Government securities, maintained in a
segregated account, at least equal to the market value of the securities loaned.
The risks in lending portfolio securities, as with other extensions of secured
credit, consist of possible delays in receiving additional collateral or in the
recovery of the securities or possible loss of rights in the collateral should
the borrower fail financially. Loans by a Fund will only be made to
broker-dealers deemed by the 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, 1998 are summarized as follows:
<TABLE>
<CAPTION>
Market Value Collateral Value
------------ ----------------
<S> <C> <C>
Stock Index Fund....................... $ 11,699,781 $ 12,181,300
MidCap Index Fund...................... 14,927,604 15,530,058
Small Cap Index Fund................... 13,684,195 14,319,771
International Equities Fund............ 4,623,275 4,761,605
Growth & Income Fund................... 5,454,666 5,732,494
Science & Technology Fund.............. 26,557,536 27,784,445
Social Awareness Fund.................. 893,750 920,000
Asset Allocation Fund.................. 439,690 456,252
Capital Conservation Fund.............. 2,102,551 2,148,400
------------ ----------------
Total............................... $ 80,383,048 $ 83,834,325
------------ ----------------
</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, 1998,
Government Securities Fund had 62% of its net assets invested in such
securities.
At May 31, 1998, International Government Bond Fund had 21% of its net
assets invested in securities issued by the Government of Japan and an
additional 5% 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> 80
================================================================================
FINANCIAL HIGHLIGHTS
79
================================================================================
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 periods beginning June 1, 1996.
STOCK INDEX FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
----------------------------------------------------------------------------------
1998 1997 1996 1995 1994
---------- ---------- ---------- -------------- ----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ....... $ 26.09 $ 20.69 $ 16.81 $ 14.39 $ 14.36
---------- ---------- ---------- -------------- ----------
Income from investment operations:
Net investment income .................... 0.40 0.39 0.39 0.37 0.35
Net realized and unrealized gain
on securities ........................... 7.44 5.57 4.26 2.45 0.12
---------- ---------- ---------- -------------- ----------
Total income from investment operations .. 7.84 5.96 4.65 2.82 0.47
---------- ---------- ---------- -------------- ----------
Distributions:
Distributions from net investment
income .................................. (0.40) (0.39) (0.38) (0.37) (0.35)
Distributions from net realized gain
on securities ........................... (0.15) (0.17) (0.39) (0.03) (0.09)
---------- ---------- ---------- -------------- ----------
Total distributions ...................... (0.55) (0.56) (0.77) (0.40) (0.44)
---------- ---------- ---------- -------------- ----------
Net asset value at end of period ............. $ 33.38 $ 26.09 $ 20.69 $ 16.81 $ 14.39
---------- ---------- ---------- -------------- ----------
TOTAL RETURN ................................. 30.30% 29.24% 28.17% 19.98% 3.29%
========== ========== ========== ============== ==========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .... 0.31% 0.34% 0.35% 0.38% 0.39%
Ratio of net investment income to
average net assets ........................ 1.33% 1.76% 2.05% 2.44% 2.44%
Portfolio turnover rate .................... 3% 3% 3% 14% 3%
Number of shares outstanding at end
of period (000's) ......................... 104,334 93,687 85,117 75,451 75,494
Net assets at end of period (000's) ........ $3,482,655 $2,444,200 $1,760,786 $ 1,267,992 $1,086,459
Average net assets during the
period (000's) ............................ $2,968,059 $2,019,826 $1,498,398 $ 1,140,085 $1,030,581
Average commission rate paid ............... $ 0.0238 $ 0.0281 n/a n/a n/a
</TABLE>
MIDCAP INDEX FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
--------------------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ....... $ 20.83 $ 19.09 $ 15.68 $ 14.54 $ 14.38
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income .................... 0.23 0.24 0.24 0.26 0.23
Net realized and unrealized gain
on securities ........................... 5.80 2.95 4.06 1.59 0.28
-------- -------- -------- -------- --------
Total income from investment operations .. 6.03 3.19 4.30 1.85 0.51
-------- -------- -------- -------- --------
Distributions:
Distributions from net investment
income .................................. (0.23) (0.24) (0.24) (0.26) (0.23)
Distributions from net realized gain
on securities ........................... (1.36) (1.21) (0.65) (0.45) (0.12)
-------- -------- -------- -------- --------
Total distributions ...................... (1.59) (1.45) (0.89) (0.71) (0.35)
-------- -------- -------- -------- --------
Net asset value at end of period ............. $ 25.27 $ 20.83 $ 19.09 $ 15.68 $ 14.54
-------- -------- -------- -------- --------
TOTAL RETURN ................................. 29.62% 17.48% 28.10% 13.26% 3.52%
======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .... 0.36% 0.40% 0.41% 0.44% 0.46%
Ratio of net investment income to
average net assets ........................ 0.95% 1.24% 1.36% 1.73% 1.62%
Portfolio turnover rate .................... 26% 19% 21% 23% 17%
Number of shares outstanding at end
of period (000's) ......................... 31,830 29,137 28,322 25,988 24,001
Net assets at end of period (000's) ........ $804,318 $607,061 $540,688 $407,557 $349,041
Average net assets during the
period (000's) ............................ $722,652 $554,397 $477,372 $376,486 $285,247
Average commission rate paid ............... $ 0.0278 $ 0.0277 n/a n/a n/a
</TABLE>
<PAGE> 81
================================================================================
FINANCIAL HIGHLIGHTS CONTINUED
80
================================================================================
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 periods beginning June 1, 1996.
SMALL CAP INDEX FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
--------------------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ........ $ 16.18 $ 16.25 $ 12.49 $ 11.52 $ 11.28
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income ...................... 0.19 0.19 0.20 0.17 0.13
Net realized and unrealized gain
on securities ............................ 3.17 0.93 4.04 0.97 0.58
-------- -------- -------- -------- --------
Total income from investment
operations ............................... 3.36 1.12 4.24 1.14 0.71
-------- -------- -------- -------- --------
Distributions:
Distributions from net investment income ... (0.19) (0.19) (0.20) (0.17) (0.13)
Distributions from net realized gain
on securities ............................ (1.41) (1.00) (0.28) -- (0.34)
-------- -------- -------- -------- --------
Total distributions ......................... (1.60) (1.19) (0.48) (0.17) (0.47)
-------- -------- -------- -------- --------
Net asset value at end of period .............. $ 17.94 $ 16.18 $ 16.25 $ 12.49 $ 11.52
======== ======== ======== ======== ========
TOTAL RETURN .................................. 21.34% 7.51% 34.50% 9.98% 6.18%
======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ....... 0.39% 0.41% 0.41% 0.44% 0.47%
Ratio of net investment income to
average net assets .......................... 1.05% 1.34% 1.36% 1.44% 1.10%
Portfolio turnover rate ....................... 36% 42% 31% 34% 16%
Number of shares outstanding at
end of period (000's) ....................... 13,777 11,893 11,129 10,136 9,381
Net assets at end of period (000's) .......... $247,183 $192,459 $180,785 $126,567 $108,050
Average net assets during the period (000's) .. $227,757 $178,368 $150,448 $120,298 $ 70,690
Average commission rate paid .................. $ 0.0162 $ 0.0297 n/a n/a n/a
</TABLE>
INTERNATIONAL EQUITIES FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
--------------------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period .................. $ 11.44 $ 11.15 $ 10.42 $ 10.14 $ 8.99
-------- -------- -------- -------- --------
Income from investment operations:
Net investment income ................................ 0.23 0.20 0.17 0.15 0.11
Net realized and unrealized gain
on securities and foreign currencies ............... 0.85 0.63 0.97 0.34 1.17
-------- -------- -------- -------- --------
Total income from investment
operations ........................................ 1.08 0.83 1.14 0.49 1.28
-------- -------- -------- -------- --------
Distributions:
Distributions from net investment income ............. (0.24) (0.19) (0.17) (0.15) (0.11)
Distributions from net realized gain
on securities ...................................... (0.33) (0.35) (0.24) (0.06) (0.02)
-------- -------- -------- -------- --------
Total distributions .................................. (0.57) (0.54) (0.41) (0.21) (0.13)
-------- -------- -------- -------- --------
Net asset value at end of period ........................ $ 11.95 $ 11.44 $ 11.15 $ 10.42 $ 10.14
======== ======== ======== ======== ========
TOTAL RETURN ............................................ 9.92% 7.74% 11.14% 4.92% 14.31%
======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ................. 0.40% 0.42% 0.42% 0.45% 0.47%
Ratio of net investment income to
average net assets .................................... 1.92% 1.75% 1.65% 1.47% 1.43%
Portfolio turnover rate ................................. 9% 12% 20% 14% 7%
Number of shares outstanding at
end of period (000's) ................................. 13,009 15,857 18,497 20,074 17,273
Net assets at end of period (000's)...................... $155,469 $181,437 $206,259 $209,091 $175,183
Average net assets during the period (000's) ............ $165,984 $191,117 $204,792 $199,235 $117,264
Average commission rate paid ............................ $ 0.0332 $ 0.0236 n/a n/a n/a
</TABLE>
<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 periods beginning June 1, 1996.
GROWTH FUND
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
----------------------------------------------------- TO
1998 1997 1996 1995 MAY 31, 1994
----------- -------- --------- --------- ------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ........... $ 17.62 $ 16.49 $ 11.43 $ 9.87 $ 10.00(1)
----------- -------- --------- --------- -------
Income (loss) from investment operations:
Net investment (loss) income ................. (0.02) 0.02 0.11 0.04 0.01
Net realized and unrealized gain (loss)
on securities ............................... 4.82 1.45 5.27 1.56 (0.13)
----------- -------- --------- --------- -------
Total income (loss) from investment
operations .................................. 4.80 1.47 5.38 1.60 (0.12)
----------- -------- --------- --------- -------
Distributions:
Distributions from net investment income ..... (0.01) (0.01) (0.09) (0.04) (0.01)
Distributions from net realized gain (loss)
on securities ............................... (0.33) (0.33) (0.23) -- --
----------- --------- --------- --------- -------
Total distributions .......................... (0.34) (0.34) (0.32) (0.04) (0.01)
----------- --------- --------- --------- -------
Net asset value at end of period ................. $ 22.08 $ 17.62 $ 16.49 $ 11.43 $ 9.87
=========== ========= ========= ========= =======
TOTAL RETURN ..................................... 27.41% 9.00% 47.46% 16.25% (1.19)%
=========== ========= ========= ========= =======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ........ 0.84% 0.86% 0.83% 0.91% 0.08%
Ratio of net investment (loss) income to
average net assets ............................ (0.11%) 0.09% 0.89% 0.41% 0.11%
Portfolio turnover rate ........................ 43% 40% 36% 61% 0%
Number of shares outstanding at end
of period (000's) ............................. 49,832 42,422 25,826 8,800 1,001
Net assets at end of period (000's) ............ $1,100,137 $747,654 $425,787 $100,614 $ 9,885
Average net assets during the period (000's) ... $ 946,335 $588,056 $238,228 $ 42,232 $ 9,944
Average commission rate paid ................... $ 0.0474 $ 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
1998 1997 1996 1995 MAY 31, 1994
--------- --------- -------- -------- ----------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ........... $ 16.86 $ 14.78 $ 11.09 $ 9.87 $10.00(1)
--------- --------- -------- -------- ------
Income (loss) from investment operations:
Net investment income ........................ 0.08 0.10 0.08 0.09 0.02
Net realized and unrealized gain (loss)
on securities ............................... 3.26 2.38 3.77 1.22 (0.13)
--------- --------- -------- -------- ------
Total income (loss) from investment
operations .................................. 3.34 2.48 3.85 1.31 (0.11)
--------- --------- -------- -------- ------
Distributions:
Distributions from net investment income ..... (0.08) (0.10) (0.07) (0.09) (0.02)
Distributions from net realized gain (loss)
on securities ............................... (0.21) (0.29) (0.09) -- --
--------- --------- --------- -------- ------
Total distributions .......................... (0.29) (0.39) (0.16) (0.09) (0.02)
--------- --------- --------- -------- ------
Net asset value at end of period ................. $ 19.91 $ 16.87 $ 14.78 $ 11.09 $ 9.87
========= ========= ========= ======== ======
TOTAL RETURN ..................................... 19.87% 17.08% 34.85% 13.35% (1.11)%
========= ========= ========= ======== ======
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ........ 0.80% 0.81% 0.79% 0.86% 0.07%
Ratio of net investment income to
average net assets ............................ 0.43% 0.70% 0.63% 0.93% 0.22%
Portfolio turnover rate ........................ 78% 45% 64% 97% 11%
Number of shares outstanding at end
of period (000's) ............................. 13,619 12,422 7,685 3,867 1,002
Net assets at end of period (000's) ............ $271,159 $209,545 $113,546 $42,867 $9,890
Average net assets during the period (000's) ... $252,647 $161,226 $ 75,158 $21,910 $9,946
Average commission rate paid ................... $ 0.0500 $ 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.
<PAGE> 83
================================================================================
FINANCIAL HIGHLIGHTS CONTINUED
82
================================================================================
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 periods beginning June 1, 1996.
SCIENCE & TECHNOLOGY FUND
<TABLE>
<CAPTION>
PERIOD FROM
FISCAL YEAR ENDED MAY 31, APRIL 29, 1994
----------------------------------------------------- TO
1998 1997 1996 1995 MAY 31, 1994
----------- --------- --------- --------- --------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period .......... $ 19.88 $ 20.48 $ 14.43 $ 9.83 $ 10.00(1)
----------- --------- --------- --------- --------
Income (loss) from investment operations:
Net investment (loss) income ................ (0.09) -- -- 0.03 --
Net realized and unrealized gain (loss)
on securities and foreign currencies ....... 2.28 0.33 8.08 4.72 (0.17)
----------- --------- --------- --------- --------
Total income (loss) from investment
operations ................................. 2.19 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 ................ $ 22.07 $ 19.88 $ 20.48 $ 14.43 $ 9.83
=========== ========= ========= ========= ========
TOTAL RETURN .................................... 10.85% 1.81% 58.28% 48.61% (1.66)%
=========== ========= ========= ========= ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ....... 0.95% 0.96% 0.94% 1.00% 0.08%
Ratio of net (loss) investment income to
average net assets ........................... (0.46)% (0.29)% (0.07)% 0.36% 0.04%
Portfolio turnover rate ....................... 128% 122% 116% 121% 0%
Number of shares outstanding at end
of period (000's) ............................ 46,355 40,484 27,696 11,550 1,001
Net assets at end of period (000's) ........... $ 1,023,141 $ 804,982 $ 567,187 $ 166,683 $ 9,834
Average net assets during the period (000's) .. $ 949,947 $ 664,608 $ 363,087 $ 64,974 $ 9,918
Average commission rate paid .................. $ 0.0455 $ 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,
----------------------------------------------------------------
1998 1997 1996 1995 1994
--------- --------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ....... $ 17.90 $ 15.49 $ 13.02 $ 11.98 $ 12.12
--------- --------- -------- -------- --------
Income from investment operations:
Net investment income .................... 0.23 0.24 0.26 0.27 0.26
Net realized and unrealized gain (loss)
on securities ........................... 5.07 4.19 3.37 1.75 (0.02)
--------- --------- -------- -------- --------
Total income from investment operations .. 5.30 4.43 3.63 2.02 0.24
--------- --------- -------- -------- --------
Distributions:
Distributions from net investment
income .................................. (0.23) (0.24) (0.25) (0.27) (0.26)
Distributions from net realized gain
on securities ........................... (0.81) (1.78) (0.91) (0.71) (0.12)
--------- --------- -------- -------- --------
Total distributions ...................... (1.04) (2.02) (1.16) (0.98) (0.38)
--------- --------- -------- -------- --------
Net asset value at end of period ............. $ 22.16 $ 17.90 $ 15.49 $ 13.02 $ 11.98
========= ========= ======== ======== ========
TOTAL RETURN ................................. 30.34% 30.48% 28.85% 18.19% 1.97%
========= ========= ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .... 0.54% 0.56% 0.56% 0.58% 0.60%
Ratio of net investment income to
average net assets ........................ 1.17% 1.53% 1.80% 2.22% 2.19%
Portfolio turnover rate .................... 120% 109% 117% 148% 83%
Number of shares outstanding at end
of period (000's) ......................... 15,080 8,677 5,220 4,143 3,817
Total net assets at end of period (000's) .. $ 334,167 $ 155,349 $ 80,887 $ 53,927 $ 45,729
Average net assets during the
period (000's) ............................ $ 240,782 $ 106,139 $ 66,888 $ 47,942 $ 41,002
Average commission rate paid ............... $ 0.0431 $ 0.0400 n/a n/a n/a
</TABLE>
<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 periods beginning June 1, 1996.
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
---------------------------------------------------------------------------------
1998 1997 1996 1995 1994
--------- --------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ....... $ 12.57 $ 12.55 $ 11.24 $ 10.84 $ 11.18
--------- --------- ------------- ------------- -------------
Income from investment operations:
Net investment income .................... 0.41 0.77 0.44 0.44 0.37
Net realized and unrealized gain (loss)
on securities ........................... 2.24 1.44 1.53 0.82 (0.15)
--------- --------- ------------- ------------- -------------
Total income from investment operations .. 2.65 2.21 1.97 1.26 0.22
--------- --------- ------------- ------------- -------------
Distributions:
Distributions from net investment
income .................................. (0.41) (0.78) (0.44) (0.44) (0.37)
Distributions from net realized gain
on securities ........................... (0.79) (1.41) (0.22) (0.42) (0.19)
--------- --------- ------------- ------------- -------------
Total distributions ...................... (1.20) (2.19) (0.66) (0.86) (0.56)
--------- --------- ------------- ------------- -------------
Net asset value at end of period ............. $ 14.02 $ 12.57 $ 12.55 $ 11.24 $ 10.84
========= ========= ============= ============= =============
TOTAL RETURN ................................. 21.94% 15.89% 17.90% 12.43% 1.86%
========= ========= ============= ============= =============
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .... 0.54% 0.57% 0.57% 0.58% 0.59%
Ratio of net investment income to
average net assets ........................ 3.02% 3.26% 3.62% 4.03% 3.24%
Portfolio turnover rate .................... 24% 103% 119% 133% 76%
Number of shares outstanding at end
of period (000's) ......................... 14,269 14,107 15,142 16,319 17,956
Total net assets at end of period (000's) .. $ 200,099 $ 177,347 $ 190,024 $ 183,393 $ 194,576
Average net assets during the
period (000's) ............................ $ 188,184 $ 179,615 $ 187,576 $ 186,487 $ 185,036
Average commission rate paid ............... $ 0.0205 $ 0.0401 n/a n/a n/a
</TABLE>
CAPITAL CONSERVATION FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
--------------------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- ---------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ....... $ 9.31 $ 9.23 $ 9.52 $ 9.13 $ 9.87
-------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income .................... 0.61 0.62 0.62 0.63 0.61
Net realized and unrealized gain (loss)
on securities ........................... 0.37 0.08 (0.29) 0.39 (0.69)
-------- -------- -------- -------- --------
Total income (loss) from investment
operations .............................. 0.98 0.70 0.33 1.02 (0.08)
-------- -------- -------- -------- --------
Distributions:
Distributions from net investment
income .................................. (0.61) (0.62) (0.62) (0.63) (0.61)
Distributions from net realized gain
on securities ........................... -- -- -- -- (0.05)
-------- -------- -------- -------- --------
Total distributions ...................... (0.61) (0.62) (0.62) (0.63) (0.66)
-------- -------- -------- -------- --------
Net asset value at end of period ............. $ 9.68 $ 9.31 $ 9.23 $ 9.52 $ 9.13
======== ======== ======== ======== ========
TOTAL RETURN ................................. 10.76% 7.75% 3.41% 11.80% (1.13)%
======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .... 0.54% 0.57% 0.57% 0.58% 0.59%
Ratio of net investment income to
average net assets ........................ 6.32% 6.59% 6.47% 6.88% 6.24%
Portfolio turnover rate .................... 14% 45% 80% 100% 55%
Number of shares outstanding at end
of period (000's) ......................... 6,577 7,168 7,604 6,935 6,712
Total net assets at end of period (000's) .. $ 63,654 $ 66,747 $ 70,212 $ 66,031 $ 61,305
Average net assets during the
period (000's) ............................ $ 66,996 $ 69,352 $ 70,271 $ 61,568 $ 59,210
</TABLE>
<PAGE> 85
================================================================================
FINANCIAL HIGHLIGHTS CONTINUED
84
================================================================================
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 periods beginning June 1, 1996.
GOVERNMENT SECURITIES FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
--------------------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ....... $ 9.67 $ 9.61 $ 9.89 $ 9.55 $ 10.30
-------- -------- -------- -------- --------
Income (loss) from investment operations:
Net investment income .................... 0.58 0.59 0.61 0.60 0.55
Net realized and unrealized gain (loss)
on securities ........................... 0.42 0.06 (0.28 0.35 (0.59)
-------- -------- -------- -------- --------
Total income (loss) from investment
operations .............................. 1.00 0.65 0.33 0.95 (0.04)
-------- -------- -------- -------- --------
Distributions:
Distributions from net investment
income .................................. (0.58) (0.59) (0.61) (0.61) (0.55)
Distributions from net realized gain
on securities ........................... -- -- -- -- (0.16)
-------- -------- -------- -------- --------
Total distributions ...................... (0.58) (0.59) (0.61) (0.61) (0.71)
-------- -------- -------- -------- --------
Net asset value at end of period ............. $ 10.09 $ 9.67 $ 9.61 $ 9.89 $ 9.55
======== ======== ======== ======== ========
TOTAL RETURN ................................. 10.60% 6.94% 3.32% 10.43% (0.66)%
======== ======== ======== ======== ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .... 0.54% 0.56% 0.56% 0.58% 0.59%
Ratio of net investment income to
average net assets ........................ 5.82% 6.11% 6.21% 6.36% 5.44%
Portfolio turnover rate .................... 24% 38% 36% 229% 85%
Number of shares outstanding at end
of period (000's) ......................... 9,129 8,672 8,164 5,478 4,544
Total net assets at end of period (000's) .. $ 92,120 $ 83,827 $ 78,423 $ 54,174 $ 43,401
Average net assets during the
period (000's) ............................ $ 87,574 $ 83,293 $ 68,017 $ 45,200 $ 41,596
</TABLE>
INTERNATIONAL GOVERNMENT BOND FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
----------------------------------------------------------------------
1998 1997 1996 1995 1994
--------- --------- --------- -------- --------
<S> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at beginning of period ....... $ 11.33 $ 11.79 $ 12.72 $ 10.97 $ 11.16
--------- --------- --------- -------- --------
Income (loss) from investment operations:
Net investment income .................... 0.56 0.63 0.65 0.65 0.62
Net realized and unrealized gain (loss)
on securities and foreign currencies .... (0.26) (0.49) (0.89) 1.80 (0.20)
--------- ---------- --------- -------- --------
Total income (loss) from investment
operations .............................. 0.30 0.14 (0.24) 2.45 0.42
--------- ---------- --------- -------- --------
Distributions:
Distributions from net investment
income .................................. (0.20) (0.58) (0.68) (0.70) (0.60)
Distributions from net realized gain
on securities ........................... (0.01) (0.02) (0.01) -- (0.01)
--------- ---------- --------- -------- --------
Total distributions .................... (0.21) (0.60) (0.69) (0.70) (0.61)
--------- ---------- --------- -------- --------
Net asset value at end of period ............. $ 11.42 $ 11.33 $ 11.79 $ 12.72 $ 10.97
========= ========== ========= ======== ========
TOTAL RETURN ................................. 2.65% 1.13% (1.91)% 23.23% 3.87%
========= ========== ========= ======== ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets .... 0.55% 0.56% 0.56% 0.59% 0.48%
Ratio of net investment income to
average net assets ........................ 4.70% 5.13% 5.45% 5.83% 5.87%
Portfolio turnover rate .................... 17% 4% 11% 6% 3%
Number of shares outstanding at end
of period (000's) ......................... 13,646 15,680 12,073 6,111 3,741
Total net assets at end of period (000's) .. $ 155,783 $ 177,709 $ 142,383 $ 77,734 $ 41,028
Average net assets during the
period (000's) ............................ $ 168,439 $ 166,147 $ 114,693 $ 51,451 $ 33,561
</TABLE>
<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.
MONEY MARKET FUND
<TABLE>
<CAPTION>
FISCAL YEAR ENDED MAY 31,
--------------------------------------------------------------------
1998 1997 1996 1995 1994
---------- ---------- --------- --------- --------
<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 0.05 0.03
---------- ---------- --------- --------- --------
Distributions:
Distributions from net investment income .. (0.05) (0.05) (0.05) (0.05) (0.03)
---------- ---------- --------- --------- --------
Net asset value at end of period .............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========== ========== ========= ========= ========
TOTAL RETURN .................................. 5.25% 5.02% 5.26% 4.90% 2.83%
========== ========== ========= ========= ========
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to average net assets ..... 0.54% 0.57% 0.57% 0.57% 0.58%
Ratio of net investment income to
average net assets ......................... 5.14% 4.95% 5.14% 4.75% 2.78%
Number of shares outstanding at end of
period (000's) ............................. 190,975 128,125 83,618 82,256 50,534
Total net assets at end of period (000's) ... $ 190,975 $ 128,125 $ 83,618 $ 82,254 $ 50,533
Average net assets during the
period (000's) ............................. $ 150,625 $ 113,882 $ 84,271 $ 67,021 $ 46,222
</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,
Asset Allocation Fund (formerly the 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, 1998. We have also audited for each of the
Funds the related statement of operations for the year ended May 31, 1998, the
statement of changes in net assets for each of the two years in the period ended
May 31, 1998, 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, 1998, 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, 1998, 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 2, 1998
<PAGE> 87
American General Series Portfolio Company
BOARD OF DIRECTORS
Norman Hackerman
John W. Lancaster
Ben H. Love
Joe C. Osborne
F. Robert Paulsen
Peter V. Tuters
R. Miller Upton
Thomas L. West, Jr.
DISTRIBUTOR
The Variable Annuity Marketing
Company (VAMCO)
2929 Allen Parkway
Houston, Texas 77019
CUSTODIAN
State Street Bank and Trust Company
225 Franklin Street
Boston, Massachusetts 02110
INVESTMENT ADVISER
The Variable Annuity Life
Insurance Company (VALIC)
2929 Allen Parkway
Houston, Texas 77019
INVESTMENT SUB-ADVISERS
Bankers Trust Company
1 Bankers Trust Plaza
New York, New York 10006
T. Rowe Price Associates, Inc.
100 East Pratt Street
Baltimore, Maryland 21202
Value Line, Inc.
220 East 42nd Street
New York, New York 10017-5891
Independent Auditors
Ernst & Young LLP
1221 McKinney
Houston, Texas 77010
SHAREHOLDER SERVICE AGENT
The Variable Annuity Life
Insurance Company (VALIC)
2929 Allen Parkway
Houston, Texas 77019
OFFICERS
Thomas L. West, Jr.,
Chairman and President
Craig R. Rodby,
Executive Vice President
Michael G. Atnip,
Executive Vice President
Norman Jaskol,
Vice President and
Senior Investment Officer
Brent C. Nelson,
Vice President
Maruti D. More,
Vice President and Investment Officer
Teresa S. Moro,
Vice President and Investment Officer
John W. Mossbarger,
Vice President and Investment Officer
Leon A. Olver,
Vice President and Investment Officer
William Trimbur, Jr.,
Vice President and Investment Officer
Cynthia A. Toles,
General Counsel and Secretary
Gregory R. Seward,
Treasurer
Kathryn A. Pearce,
Controller
Nori L. Gabert,
Assistant Secretary
Jaime M. Sepulveda,
Assistant Treasurer
Earl E. Allen, Jr.,
Assistant Treasurer
Donna L. Hathaway,
Assistant Controller
Cynthia A. Gibbons,
Assistant Vice President
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.
(C)1998 The Variable Annuity Life Insurance Company, Houston Texas VALIC is a
registered service mark of The Variable Annuity Life Insurance Company.
