<PAGE>
American General
Series Portfolio
Company
Semi-Annual Report
November 30, 1999
AMERICAN
GENERAL
FINANCIAL GROUP
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY - SEMI-ANNUAL REPORT NOVEMBER 30,
1999
TABLE OF CONTENTS
<TABLE>
<S> <C>
President's Letter.......................................................... 1
Stock Index Fund............................................................ 4
MidCap Index Fund........................................................... 12
Small Cap Index Fund........................................................ 19
International Equities Fund................................................. 37
Growth Fund................................................................. 43
Growth & Income Fund........................................................ 46
Science & Technology Fund................................................... 50
Social Awareness Fund....................................................... 53
Asset Allocation Fund....................................................... 60
Capital Conservation Fund................................................... 70
Government Securities Fund.................................................. 73
International Government Bond Fund.......................................... 75
Money Market Fund........................................................... 79
Notes to Financial Statements............................................... 82
Financial Highlights........................................................ 85
Supplemental Information.................................................... 92
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
PRESIDENT'S LETTER 1
Dear Valued Customer,
November 30, 1999, marks the mid-point of the fiscal year for the American
General Series Portfolio Company (AGSPC). The 13 funds that make up AGSPC are
key options helpful in building a diversified portfolio. The funds you choose
need to work together in order to build an investment strategy appropriate for
your individual financial time-horizons. Through your variable insurance
product, you are permitted to invest in one or more of these funds.
Disciplined investment management is critical when building a diversified
portfolio and our commitment to providing consistent performance is reflected
in the returns for these funds. The fund specific returns are presented in
chart format following this letter.
MARKET CONDITIONS
As the fiscal year began in June 1999, interest rates began to rise in
response to increases in actual and expected economic growth. This brought
lower prices for bonds and began to chip away at the stock market's springtime
optimism. Last year's concern of a global economic slump was replaced by
concern that economic growth, at least in the U.S., might be so strong that an
inflationary surge might be triggered. The Federal Reserve began to raise its
short-term interest rates in efforts to slow the economy and reduce
inflationary pressures. This move helped take the steam out of a stock market
rally even though corporate earnings estimates kept rising. The U.S. stock
market, which had climbed so rapidly during the last half of AGSPC's prior
fiscal year, moved up only modestly during this current half.
In the U.S., large-cap stocks performed better than small stocks, and growth
stocks outperformed value stocks. Sizzling technology stocks, which are
usually classified as growth issues and have begun to dominate the large-cap
category, were responsible for nearly the entire market advance. The Standard
& Poor's (S&P) 500 Index, which is dominated by large-cap stocks and now
technology stocks, gained 7.37%, adjusted for distributions, for the 6 months,
while the small-cap Russell 2000 Index trailed with a gain of 4.18%, adjusted
for distributions. The Russell 1000 Growth Index, adjusted for distributions,
returned 16.85% while the Russell 1000 Value Index, adjusted for
distributions, lagged with a negative return of 2.60%.
While lackluster performance still haunts non-U.S. marketplaces, the
international economies have improved dramatically. European stock investors
have shaken off last year's fear of uncertainty, and the Asian market
investors seem to have a renewed appetite for risk. Currency gains leap ahead
of last year's near market collapse. In Europe, analysts expect continued
industry consolidation. Inflation appears likely to remain low, but interest
rates may rise modestly. In Japan, exports may be hurt by the Yen's strength,
and government support for the economy should be lower in the coming months.
Analysts anticipate seeing the Japanese market consolidate this year's gains.
Elsewhere in Asia, economies are expected to improve further, but
macroeconomic and company restructuring will probably occur at a slower pace.
Latin America remains sensitive to interest rates because of its high capital
needs, but the region's economic outlook is better. The benchmark, which
reflects the overall performance of the international market, is the Morgan
Stanley Capital International EAFE Index. The EAFE returned 16.43% over the
past 6 months, adjusted for distributions.
INVESTMENT OBJECTIVES RECAP
As you are aware, the investment professionals were carefully selected and are
regularly monitored in an effort to present thoughtful investment options for
your individual portfolio asset allocation strategies. Listed below are the
AGSPC investment options.
AGSPC INDEX FUNDS
Stock Index Fund, managed by an investment team at American General
Corporation's wholly-owned subsidiary--VALIC (VALIC), seeks to provide long-
term capital growth through investment in common stock that, as a group, are
expected to provide investment results closely corresponding to the
performance of the S&P 500 Index.
MidCap Index Fund, managed by VALIC, seeks to provide growth of capital
through investments primarily in a diversified portfolio of common stocks
that, as a group, are expected to provide investment results closely
corresponding to the performance of the S&P 400 Mid Cap Index.
Small Cap Index Fund, managed by VALIC, seeks to provide growth of capital
through investments primarily in a diversified portfolio of common stocks
that, as a group, are expected to provide investment results closely
corresponding to the performance of the Russell 2000 Index.
International Equities Fund, managed by VALIC, seeks to provide long-term
growth of capital through investments primarily in a diversified portfolio of
equity and equity related securities of non-U.S. issuers that, as a group, are
expected to provide investment results closely corresponding to the
performance of the Morgan Stanley Capital International EAFE Index.
AGSPC ACTIVELY MANAGED EQUITY FUNDS
Growth Fund, sub-managed by an investment team at Wellington Management
Company, LLP, seeks to provide long-term growth of capital by investing in
large-cap quality companies with long-term growth potential through a long-
term approach which is a blend of top-down sector analysis and bottom-up
security selection.
Wellington took over management of the fund in September of 1999 and converted
the portfolio holdings from a mid-cap selection to a large-cap selection,
which should over time improve performance.
Growth & Income Fund, managed by VALIC, seeks to provide long-term growth of
capital and, secondarily, current income through investment in common stocks
and equity-related securities.
AGSPC ACTIVELY MANAGED SPECIALTY EQUITY FUNDS
Science & Technology Fund, sub-managed by an investment team at T. Rowe Price
Associates, Inc., seeks to provide long-term growth of capital through
investments primarily in common stock of companies which generate growth
primarily through new technological developments.
- -------------------------------------------------------------------------------
<PAGE>
2 PRESIDENT'S LETTER - CONTINUED
Social Awareness Fund, managed by VALIC, seeks to provide growth of capital
through investment primarily in common stocks, in companies which meet the
Fund's socially conscious screening criteria.
AGSPC ACTIVELY MANAGED BOND FUNDS
Capital Conservation Fund, managed by VALIC, seeks the highest possible total
return consistent with preservation of capital through current income and
capital gains on investments in intermediate and long-term debt instruments and
other income producing securities.
Government Securities Fund, managed by VALIC, seeks high current income and
protection of capital through investments in intermediate and long-term U.S.
Government debt securities.
International Government Bond Fund, managed by VALIC, seeks high current income
through investments primarily in high quality debt securities issued or
guaranteed by non-U.S. governments.
AGSPC ASSET ALLOCATION FUNDS
Asset Allocation Fund, managed by VALIC, seeks maximum aggregate rate of return
over the long-term through controlled investment risk by adjusting its
investment mix among stocks, long-term debt securities and short-term money
market securities.
AGSPC STABILITY FUNDS
Money Market Fund, managed by VALIC, seeks liquidity, protection of capital and
current income through investments in short-term money market instruments.
As market volatility persists, long-term opportunities exist in diversifying
investments portfolios. Momentum, confidence and liquidity can carry markets
typically well beyond what analysts determine to be "fair value" by traditional
value measures. History, however, also reminds investors that over time, the
value of an asset must bear some relationship to future cash flows generated by
that asset. While the timing of these changes is always uncertain,
diversification is a strategy well suited to exactly this type of uncertainty.
With this in mind, we pledge to continually monitor the investment expertise
represented in the AGSPC options. In this way we hope to supply you with
appropriate choices for every portfolio asset allocation strategy.
Thank you for your continued confidence in our ability to help invest your
assets wisely.
Sincerely,
/s/ Alice T. Kane
Alice T. Kane, President
American General Series Portfolio Company
FUND RETURNS TO INDEX
Fund Return Index
----------- --------
SIF 7.32% 7.37%
MIF 7.08% 6.73%
SCIF 4.59% 4.18%
IEF 18.17% 16.43%
GF -5.54% 7.37%
G&IF 8.03% 7.37%
S&TF 47.62% 7.37%
SAF 6.70% 7.37%
AAF 4.85% 4.47%
CCF 0.29% 0.24%
GSF 0.30% 0.45%
IGBF 1.06% 2.01%
MMF 2.68% 2.26%
- --------------------------------------------------------------------------------
<PAGE>
PRESIDENT'S LETTER - CONTINUED 3
FUND RETURNS AND TRACKING DIFFERENCES
For the Six Months Ended November 30, 1999
<TABLE>
<CAPTION>
(3) (4)
Fund Total
Performance Index
Before Return
(1) (2) Subtracting Including Tracking
AGSPC Fund/Relevant Fund Fund Expenses Reinvested Differences
Market Index Return(a) Expenses (1) + (2) Dividends (3) - (4)
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Indexed Funds:
Stock Index Fund / S&P 500 Index...... 7.17% 0.15% 7.32% 7.37% (0.05)%
MidCap Index Fund /
S&P Mid Cap 400 Index................. 6.89 0.19 7.08 6.73 0.35
Small Cap Index Fund / Russell
2000 Index............................ 4.38 0.21 4.59 4.18 0.41
International Equities Fund / EAFE.... 17.96 0.21 18.17 16.43 1.74
Managed Funds:
Growth Fund / S&P 500 Index........... (5.97) 0.43 (5.54) 7.37 (12.91)
Growth & Income Fund /
S&P 500 Index......................... 7.62 0.41 8.03 7.37 0.66
Science & Technology Fund / S&P 500
Index................................. 47.15 0.47 47.62 7.37 40.25
Social Awareness Fund /
S&P 500 Index......................... 6.42 0.28 6.70 7.37 (0.67)
Asset Allocation Fund / Benchmark(b).. 4.57 0.28 4.85 4.47 0.38
Capital Conservation Fund / Merrill
Lynch Corporate Master Bond........... - 0.29 0.29 0.24 0.05
Government Securities Fund / Lehman
Brothers U.S. Treasury Composite...... 0.01 0.29 0.30 0.45 (0.15)
International Government Bond Fund /
Salomon Brothers Non-U.S. Dollar World
Government Bond....................... 0.77 0.29 1.06 2.01 (0.95)
Money Market Fund / 30 Day Certificate
of Deposit Primary Offering Rate by
New York City Banks (NYC 30 Day CD
Rate)................................. 2.39 0.29 2.68 2.26 0.42
</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)
--------------------------------- ------------------------
(unaudited) (unaudited)
November 30, May 31, November 30, 12/1/98 to 6/1/99 to
Fund 1998 1999 1999 5/31/99 11/30/99
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Stock Index Fund
(emulate
S&P 500 Index).......... $35.73 $39.73 $42.37 $0.36 $0.20
MidCap Index Fund
(emulate
S&P Mid Cap 400 Index).. 24.79 25.64 27.29 2.29 0.11
Small Cap Index Fund
(emulate
Russell 2000 Index)..... 15.67 15.84 16.44 1.45 0.09
International Equities
Fund (emulate EAFE
Index).................. 11.84 11.32 13.27 1.02 0.06
Growth Fund (long-term
growth
of capital)............. 21.35 24.12 22.69 1.01 -
Growth & Income Fund
(long-term growth of
capital and
current income)......... 19.28 21.53 23.11 1.57 0.06
Science & Technology
Fund (long-term growth
of capital)............. 24.22 29.95 44.07 2.38 -
Social Awareness Fund
(social criteria growth
stocks)................. 23.60 24.11 25.56 2.23 0.09
Asset Allocation Fund
(asset allocation)...... 14.51 14.43 14.88 1.05 0.20
Capital Conservation
Fund (quality corporate
bonds).................. 9.64 9.39 9.08 0.30 0.31
Government Securities
Fund (intermediate and
long-term government
bonds).................. 10.36 9.90 9.63 0.27 0.27
International Government
Bond Fund (high quality
foreign government debt
securities)............. 12.50 11.62 11.55 0.37 0.16
Money Market Fund (money
market instruments)..... 1.00 1.00 1.00 0.02 0.02
</TABLE>
The change in net asset value of the funds will not be the same as the change
in the accumulation unit value of your annuity contract because (1) the change
in net asset value does not reflect the reinvestment of income and capital
gain distributions and (2) the mortality and expense charges described in your
annuity contract are not included.
- -------------------------------------------------------------------------------
<PAGE>
4 November 30, 1999 (Unaudited)
STOCK INDEX FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 98.50%
ADVERTISING - 0.22%
105,100 Interpublic Group Corp. ........................ $ 4,939,700
73,600 Omnicom Group, Inc. ............................ 6,486,000
--------------
11,425,700
--------------
AEROSPACE/DEFENSE - 0.96%
23,900 B.F. Goodrich Co. .............................. 539,244
443,908 Boeing Co. ..................................... 18,116,994
27,100 Crane Co. ...................................... 497,963
87,460 General Dynamics Corp. ......................... 4,509,656
179,952 Lockheed Martin Corp. .......................... 3,576,546
30,800 Northrop Grumman Corp. ......................... 1,730,575
29,000 Perkinelmer, Inc. .............................. 1,192,625
151,900 Raytheon Co., Class B........................... 4,661,431
54,000 TRW, Inc. ...................................... 2,818,125
213,900 United Technologies Corp. ...................... 12,085,350
--------------
49,728,509
--------------
AIRLINES - 0.23%
67,400 * AMR Corp. ...................................... 4,102,975
63,200 Delta Air Lines, Inc. .......................... 3,112,600
211,950 Southwest Airlines Co. ......................... 3,457,433
39,200 * US Airways Group, Inc. ......................... 1,095,150
--------------
11,768,158
--------------
APPAREL & PRODUCTS - 0.02%
2 * Abercrombie and Fitch Co. ...................... 65
31,100 Liz Claiborne, Inc. ............................ 1,164,306
--------------
1,164,371
--------------
APPLIANCES/FURNISHINGS - 0.11%
87,000 Leggett & Platt, Inc. .......................... 1,865,063
39,000 Maytag Corp. ................................... 1,859,813
30,600 Whirlpool Corp. ................................ 1,866,600
--------------
5,591,476
--------------
AUTO - CARS - 1.00%
248,160 Delphi Automotive Systems Corp. ................ 3,908,520
540,300 Ford Motor Co. ................................. 27,285,150
284,800 General Motors Corp. ........................... 20,505,600
--------------
51,699,270
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AUTO - ORIGINAL EQUIPMENT - 0.06%
58,100 Danaher Corp. .................................. $ 2,854,162
--------------
AUTO - REPLACEMENT PARTS - 0.13%
65,200 * AutoZone, Inc. ................................. 1,797,075
33,100 Cooper Tire & Rubber Co. ....................... 496,534
76,300 Genuine Parts Co. .............................. 1,964,725
68,500 Goodyear Tire & Rubber Co. ..................... 2,311,875
22,800 Pep Boys-Manny, Moe & Jack...................... 220,875
--------------
6,791,084
--------------
BANKS - NEW YORK CITY - 2.06%
396,000 Bank of New York Co., Inc. ..................... 15,790,500
1,483,656 Citigroup, Inc. ................................ 79,931,967
77,900 J. P. Morgan & Co., Inc. ....................... 10,243,850
--------------
105,966,317
--------------
BANKS - OTHER - 2.68%
766,521 Bank of America Corp. .......................... 44,841,478
425,200 First Union Corp. .............................. 16,449,924
404,913 FleetBoston Financial Corp. .................... 15,310,773
228,900 Mellon Financial Corp. ......................... 8,340,544
283,200 National City Corp. ............................ 7,062,300
77,500 Providian Financial Corp. ...................... 6,132,188
54,600 Republic of New York Corp. ..................... 3,859,538
53,700 Union Planters Corp. ........................... 2,288,963
726,030 Wells Fargo Co. ................................ 33,760,395
--------------
138,046,103
--------------
BANKS - REGIONAL - 2.69%
170,500 AmSouth Bancorporation.......................... 3,846,906
518,750 BankOne Corp. .................................. 18,285,938
371,264 Chase Manhattan Corp. .......................... 28,680,144
75,650 Comerica, Inc. ................................. 4,009,450
139,775 Fifth Third Bancorp............................. 9,784,250
415,550 Firstar Corp. .................................. 10,804,300
100,716 Huntington Bancshares, Inc. .................... 2,788,573
197,540 KeyCorp......................................... 5,333,580
53,900 Northern Trust Corp. ........................... 5,218,194
133,500 PNC Bank Corp. ................................. 7,442,624
89,200 Regions Financial Corp. ........................ 2,447,425
71,700 SouthTrust Corp. ............................... 2,782,856
69,500 State Street Corp. ............................. 5,103,906
84,200 Summit Bancorp. ................................ 2,747,025
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
140,100 SunTrust Banks, Inc. ........................... $ 9,789,488
102,150 Synovus Financial Corp. ........................ 2,043,000
319,290 U.S. Bancorp, Inc. ............................. 10,915,727
89,113 Wachovia Corp. ................................. 6,900,688
--------------
138,924,074
--------------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.51%
16,400 Adolph Coors Co., Class B....................... 815,900
218,700 Anheuser-Busch Companies, Inc. ................. 16,361,493
19,215 Brown-Forman Corp., Class B..................... 1,204,540
178,900 Seagram Co., Ltd. .............................. 7,793,330
--------------
26,175,263
--------------
BEVERAGE - SOFT DRINKS - 1.93%
1,091,700 Coca-Cola Co. .................................. 73,485,056
163,800 Coca-Cola Enterprises, Inc. .................... 3,470,513
659,700 PepsiCo, Inc. .................................. 22,800,881
--------------
99,756,450
--------------
BROADCASTING - 1.87%
362,911 * CBS Corp. ...................................... 18,871,371
143,700 * Clear Channel
Communications, Inc. ........................... 11,549,888
333,100 Comcast Corp., Class A.......................... 15,051,956
280,100 * Media One Group, Inc. .......................... 22,197,925
231,293 U S WEST, Inc. ................................. 14,354,621
287,400 * Viacom, Inc., Class B........................... 14,298,150
--------------
96,323,911
--------------
BUILDING MATERIALS - 0.33%
17,300 Armstrong World Industries, Inc. ............... 579,550
158,800 Lowe's Companies, Inc. ......................... 7,910,225
199,000 Masco Corp. .................................... 5,024,750
74,900 Sherwin-Williams Co. ........................... 1,605,669
44,900 Vulcan Materials Co. ........................... 1,807,225
--------------
16,927,419
--------------
CHEMICAL - MAJOR - 1.19%
101,400 Dow Chemical Co. ............................... 11,876,475
442,802 E.I. du Pont de Nemours and Co. ................ 26,319,044
47,500 Hercules, Inc. ................................. 1,128,125
267,700 Monsanto Co. ................................... 11,293,593
75,900 PPG Industries, Inc. ........................... 4,444,894
</TABLE>
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<PAGE>
November 30, 1999 (Unaudited) 5
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MAJOR - Continued
78,646 Rohm and Haas Co. .............................. $ 2,880,410
57,700 Union Carbide Corp. ............................ 3,375,450
--------------
61,317,991
--------------
CHEMICAL - MISCELLANEOUS - 0.26%
99,500 Air Products and Chemicals, Inc. ............... 3,221,313
40,237 Eastman Chemical Co. ........................... 1,564,213
44,200 Ecolab, Inc. ................................... 1,530,425
14,400 * FMC Corp. ...................................... 698,400
26,700 Great Lakes Chemical Corp. ..................... 886,106
18,928 Millipore Corp. ................................ 621,075
70,100 Praxair, Inc. .................................. 3,128,213
43,700 Sigma Aldrich Corp. ............................ 1,250,913
41,400 * W.R. Grace & Co. ............................... 564,075
--------------
13,464,733
--------------
CONGLOMERATES - 1.02%
242,800 Allied Signal, Inc. ............................ 14,522,474
43,600 ITT Industries, Inc. ........................... 1,520,550
46,600 Loews Corp. .................................... 2,982,400
62,800 Textron, Inc. .................................. 4,462,725
728,176 Tyco International, Ltd. ....................... 29,172,551
--------------
52,660,700
--------------
CONSUMER FINANCE - 0.25%
85,400 Capital One Financial Corp. .................... 3,976,438
348,912 MBNA Corp. ..................................... 8,810,028
--------------
12,786,466
--------------
CONTAINERS - METAL/GLASS - 0.26%
11,600 Ball Corp. ..................................... 431,375
107,000 Corning, Inc. .................................. 10,024,562
57,600 Crown Cork & Seal Co., Inc. .................... 1,173,600
23,500 Owens Corning................................... 370,125
61,200 * Owens-Illinois, Inc. ........................... 1,464,975
--------------
13,464,637
--------------
CONTAINERS - PAPER - 0.09%
11,500 Bemis Co., Inc. ................................ 362,250
73,800 * Pactiv Corp. ................................... 756,450
43,414 * Sealed Air Corp. ............................... 2,040,458
24,400 Temple-Inland, Inc. ............................ 1,396,900
--------------
4,556,058
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COSMETICS/TOILETRIES - 0.50%
6,800 Alberto-Culver Co., Class B..................... $ 178,925
113,900 Avon Products, Inc. ............................ 4,150,231
488,300 Gillette Co. ................................... 19,623,555
46,200 International Flavors &
Fragrances, Inc. ............................... 1,700,738
--------------
25,653,449
--------------
DRUGS - 7.37%
28,600 Allergan, Inc. ................................. 2,813,525
43,300 * ALZA Corp. ..................................... 1,870,019
597,500 American Home Products Corp. ................... 31,070,000
455,600 * Amgen, Inc. .................................... 20,758,275
23,900 Bausch & Lomb, Inc. ............................ 1,310,019
876,500 Bristol Myers Squibb Co. ....................... 64,039,281
486,900 Eli Lilly and Co. .............................. 34,935,075
1,024,700 Merck & Co., Inc. .............................. 80,438,950
1,720,500 Pfizer, Inc. ................................... 62,260,594
220,570 Pharmacia & Upjohn, Inc. ....................... 12,062,422
660,600 Schering-Plough Corp. .......................... 33,773,174
368,800 Warner-Lambert Co. ............................. 33,076,750
39,700 * Watson Pharmaceuticals, Inc. ................... 1,476,344
--------------
379,884,428
--------------
ELECTRICAL EQUIPMENT - 4.06%
62,000 * Cabletron Systems, Inc. ........................ 1,422,125
196,600 Emerson Electric Co. ........................... 11,206,200
1,436,200 General Electric Co. ........................... 186,706,000
61,000 Molex, Inc. .................................... 3,088,125
26,100 National Service Industries, Inc. .............. 771,581
75,900 * Teradyne, Inc. ................................. 3,306,394
23,700 Thomas & Betts Corp. ........................... 971,700
41,800 W.W. Grainger, Inc. ............................ 1,969,825
--------------
209,441,950
--------------
ELECTRONIC INSTRUMENTS - 0.03%
1 * Commscope, Inc. ................................ 42
17,300 Tektronix, Inc. ................................ 588,200
69,200 * Thermo Electron Corp. .......................... 1,038,000
--------------
1,626,242
--------------
ENTERTAINMENT - 1.51%
269,900 Carnival Corp., Class A......................... 11,909,338
39,500 * Harrah's Entertainment, Inc. ................... 1,091,188
95,712 Hasbro, Inc. ................................... 2,063,790
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - Continued
180,787 Mattel, Inc. ................................... $ 2,587,514
573,800 Time Warner, Inc. .............................. 35,396,288
892,456 Walt Disney Co. ................................ 24,877,211
--------------
77,925,329
--------------
FINANCE COMPANIES - 0.36%
312,000 Associates First Capital Corp. ................. 10,374,000
210,565 Household International, Inc. .................. 8,330,477
--------------
18,704,477
--------------
FINANCIAL SERVICES - 0.70%
204,400 American Express Co. ........................... 30,928,275
49,500 Countrywide Credit Industries, Inc. ............ 1,392,188
43,300 H & R Block, Inc. .............................. 1,861,900
53,800 T. Rowe Price Associates, Inc. ................. 1,936,800
--------------
36,119,163
--------------
FOODS - 1.34%
284,183 Archer Daniels Midland Co. ..................... 3,534,526
130,600 BestFoods....................................... 7,158,513
185,300 Campbell Soup Co. .............................. 8,269,013
208,200 ConAgra, Inc. .................................. 5,022,825
135,200 General Mills, Inc. ............................ 5,095,350
180,150 H J Heinz Co. .................................. 7,543,781
48,900 Hershey Foods Corp. ............................ 2,402,212
166,800 Kellogg Co. .................................... 5,650,350
142,600 Nabisco Group Holdings Corp. ................... 1,648,813
59,100 Quaker Oats Co. ................................ 3,856,275
142,800 Ralston-Ralston Purina Group.................... 4,239,375
396,000 Sara Lee Corp. ................................. 9,603,000
60,700 Wm. Wrigley Jr. Co. ............................ 5,049,480
--------------
69,073,513
--------------
FOOTWEAR - 0.12%
132,100 NIKE, Inc., Class B............................. 6,076,600
23,000 * Reebok International, Ltd. ..................... 207,000
--------------
6,283,600
--------------
FREIGHT - 0.12%
128,420 * FDX Corp. ...................................... 5,417,719
34,700 Ryder System, Inc. ............................. 782,919
--------------
6,200,638
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
6 November 30, 1999 (Unaudited)
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FUNERAL SERVICES - 0.02%
119,400 Service Corp. International..................... $ 902,963
--------------
GOLD MINING - 0.12%
187,600 Barrick Gold Corp. ............................. 3,376,800
193,700 Homestake Mining Co. ........................... 1,598,025
93,800 Placer Dome, Inc. .............................. 1,066,975
--------------
6,041,800
--------------
GOVERNMENT SPONSORED - 0.95%
305,400 Federal Home Loan Mortgage Corp. ............... 15,079,125
456,400 Federal National
Mortgage Association............................ 30,407,650
71,900 SLM Holding Corp. .............................. 3,563,544
--------------
49,050,319
--------------
HARDWARE & TOOLS - 0.07%
41,100 Black & Decker Corp. ........................... 1,844,362
25,850 Snap-on, Inc. .................................. 781,963
38,600 Stanley Works................................... 1,201,425
--------------
3,827,750
--------------
HEALTHCARE - 0.43%
116,100 Cardinal Health, Inc. .......................... 6,073,481
51,400 * HCR Manor Care, Inc. ........................... 1,031,213
186,100 * HealthSouth Corp. .............................. 1,058,444
71,400 * Humana, Inc. ................................... 499,800
155,200 IMS Health, Inc. ............................... 3,656,900
123,276 McKesson HBOC, Inc. ............................ 2,881,577
51,600 * Quintiles Transnational Corp. .................. 1,138,425
82,500 United HealthCare Corp. ........................ 4,284,843
28,800 * Wellpoint Health Networks, Inc. ................ 1,657,800
--------------
22,282,483
--------------
HEAVY DUTY TRUCKS/PARTS - 0.16%
17,300 Cummins Engine Co., Inc. ....................... 700,650
72,888 Dana Corp. ..................................... 2,022,642
39,700 Eaton Corp. .................................... 3,074,269
29,010 * Navistar International Corp. ................... 1,078,809
37,810 PACCAR, Inc. ................................... 1,554,936
--------------
8,431,306
--------------
HOME BUILDERS - 0.03%
25,900 Centex Corp. ................................... 615,125
18,256 Kaufman & Broad Home Corp. ..................... 403,914
15,800 Pulte Corp. .................................... 316,988
--------------
1,336,027
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL MANAGEMENT - 0.20%
249,484 Columbia/HCA Healthcare Corp. .................. $ 6,798,438
12,500 Shared Medical Systems Corp. ................... 546,875
126,600 * Tenet Healthcare Corp. ......................... 2,824,763
--------------
10,170,076
--------------
HOSPITAL SUPPLIES - 2.48%
655,400 Abbott Laboratories............................. 24,905,200
126,600 Baxter International, Inc. ..................... 8,553,413
109,700 Becton, Dickinson and Co. ...................... 2,989,325
60,600 Biomet, Inc. ................................... 1,920,263
168,654 * Boston Scientific Corp. ........................ 3,562,816
23,600 C. R. Bard, Inc. ............................... 1,281,775
607,400 Johnson & Johnson............................... 63,017,750
30,900 Mallinckrodt, Inc. ............................. 1,027,425
507,200 Medtronic, Inc. ................................ 19,717,400
36,733 * St Jude Medical, Inc. .......................... 975,720
--------------
127,951,087
--------------
HOUSEHOLD PRODUCTS - 2.33%
60,000 * Bed Bath & Beyond, Inc. ........................ 1,875,000
101,800 Clorox Co. ..................................... 4,536,462
254,400 Colgate-Palmolive Co. .......................... 13,960,200
185,200 Minnesota Mining &
Manufacturing Co. (3M) ......................... 17,698,175
123,777 Newell Rubbermaid, Inc. ........................ 4,061,433
594,552 Procter & Gamble Co. ........................... 64,211,616
35,300 Tupperware Corp. ............................... 628,781
246,071 Unilever NV - ADR............................... 13,395,490
--------------
120,367,157
--------------
INFORMATION PROCESSING - 0.13%
30,800 * Comverse Technology, Inc. ...................... 3,722,950
138,000 * Parametric Technology Corp. .................... 3,130,875
--------------
6,853,825
--------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 5.07%
91,300 * BMC Software, Inc. ............................. 6,647,780
36,000 Citrix Systems, Inc. ........................... 3,415,500
2,263,300 * Microsoft Corp. ................................ 206,066,392
643,530 * Oracle Corp. ................................... 43,639,378
98,800 * Peoplesoft, Inc. ............................... 1,858,675
--------------
261,627,725
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER HARDWARE
SYSTEMS - 2.62%
44,500 * Adaptec, Inc. .................................. $ 2,397,438
63,600 * Apple Computer, Inc. ........................... 6,224,850
724,549 Compaq Computer Corp. .......................... 17,706,165
1,130,800 * Dell Computer Corp. ............................ 48,624,400
125,800 * Gateway, Inc. .................................. 9,607,975
56,900 * Lexmark International Group, Inc. .............. 4,722,700
86,200 * Silicon Graphics, Inc. ......................... 813,513
340,200 * Sun Microsystems, Inc. ......................... 44,991,450
--------------
135,088,491
--------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 2.19%
960,400 * America Online, Inc. ........................... 69,809,075
273,600 Automatic Data Processing, Inc. ................ 13,509,000
55,604 * Ceridian Corp. ................................. 1,202,437
228,000 Electronic Data Systems Corp. .................. 14,663,250
198,254 First Data Corp. ............................... 8,574,486
124,350 Paychex, Inc. .................................. 4,966,228
--------------
112,724,476
--------------
INFORMATION PROCESSING -
DATA SERVICES - 4.69%
1 * ACNielsen Corp. ................................ 25
52,800 Adobe Systems, Inc. ............................ 3,626,700
25,800 Autodesk, Inc. ................................. 756,263
315,409 * Cendant Corp. .................................. 5,223,961
229,330 Computer Associates
International, Inc. ............................ 14,906,450
69,700 * Computer Sciences Corp. ........................ 4,547,925
159,500 * Compuware Corp. ................................ 5,393,094
456,000 * EMC Corp. ...................................... 38,104,500
449,900 Hewlett Packard Co. ............................ 42,684,263
55,300 Honeywell, Inc. ................................ 6,190,144
797,100 International Business Machines................. 82,151,119
38,300 * Network Appliance, Inc. ........................ 4,507,431
146,500 * Novell, Inc. ................................... 2,865,906
130,000 Pitney Bowes, Inc. ............................. 6,231,875
99,400 * Seagate Technology, Inc. ....................... 3,677,800
109,300 * Solectron Corp. ................................ 9,003,587
111,200 * Unisys Corp. ................................... 3,197,000
316,800 Xerox Corp. .................................... 8,573,400
--------------
241,641,443
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 7
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - NETWORKING - 2.67%
158,900 * 3Com Corp. ..................................... $ 6,326,206
1,422,650 * Cisco Systems, Inc. ............................ 126,882,597
64,700 * General Insturment Corp. ....................... 4,237,850
--------------
137,446,653
--------------
INSURANCE - CASUALTY- 0.22%
77,200 Chubb Corp. .................................... 4,135,025
31,600 Progressive Corp. .............................. 2,545,774
59,200 SAFECO Corp. ................................... 1,402,300
101,042 St. Paul Companies, Inc. ....................... 3,050,205
--------------
11,133,304
--------------
INSURANCE - LIFE - 0.41%
86,892 Aetna, Inc. .................................... 4,746,476
179,788 Conseco, Inc. .................................. 3,640,707
75,812 Jefferson-Pilot Corp. .......................... 5,145,740
131,700 Lincoln National Corp. ......................... 5,490,244
70,500 Torchmark Corp. ................................ 2,238,375
--------------
21,261,542
--------------
INSURANCE - MISCELLANEOUS - 0.10%
44,300 MBIA, Inc. ..................................... 2,215,000
51,200 MGIC Investment Corp. .......................... 2,892,800
--------------
5,107,800
--------------
INSURANCE - MULTILINE - 2.28%
116,500 AFLAC, Inc. .................................... 5,577,437
357,140 Allstate Corp. ................................. 9,352,603
685,273 American International Group, Inc. ............. 70,754,437
103,050 Aon Corp. ...................................... 3,677,597
107,000 CIGNA Corp. .................................... 8,800,750
58,200 Cincinnati Financial Corp. ..................... 1,949,700
101,500 Hartford Financial Services Group, Inc. ........ 4,738,781
115,550 Marsh & McLennan
Companies, Inc. ................................ 9,085,119
103,593 UnumProvident Corp. ............................ 3,373,247
--------------
117,309,671
--------------
LEISURE TIME - 0.04%
40,100 Brunswick Corp. ................................ 874,681
87,300 * Mirage Resorts, Inc. ........................... 1,118,531
--------------
1,993,212
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LODGING - 0.11%
157,500 Hilton Hotels Corp. ............................ $ 1,584,865
130,400 Marriott International, Inc. ................... 4,246,150
--------------
5,831,015
--------------
MACHINE TOOLS - 0.00%
7,600 Milacron, Inc. ................................. 110,675
--------------
MACHINERY - AGRICULTURE - 0.09%
104,400 Deere & Co. .................................... 4,482,675
--------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.17%
157,100 Caterpillar, Inc. .............................. 7,285,513
33,200 Fluor Corp. .................................... 1,396,475
23,700 Foster Wheeler Corp. ........................... 241,444
--------------
8,923,432
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.46%
14,600 Briggs & Stratton Corp. ........................ 780,188
40,901 Cooper Industries, Inc. ........................ 1,756,187
96,800 Dover Corp. .................................... 4,198,700
121,400 Illinois Tool Works, Inc. ...................... 7,860,650
73,700 Ingersoll-Rand Co. ............................. 3,569,844
33,600 Johnson Controls, Inc. ......................... 1,831,200
54,233 Pall Corp. ..................................... 1,271,086
47,575 Parker Hannifin Corp. .......................... 2,238,997
18,200 Timken Co. ..................................... 348,075
--------------
23,854,927
--------------
MEDICAL TECHNOLOGY - 0.20%
130,800 * Guidant Corp. .................................. 6,540,000
43,400 PE Corp - PE Biosystems Group................... 3,542,525
--------------
10,082,525
--------------
MERCHANDISE - DRUG - 0.39%
167,300 CVS Corp. ...................................... 6,639,719
16,900 Longs Drug Stores Corp. ........................ 424,613
113,700 Rite Aid Corp. ................................. 859,856
419,200 Walgreen Co. ................................... 12,209,200
--------------
20,133,388
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - 2.44%
41,000 American Greetings Corp., Class A............... $ 966,063
89,500 * Best Buy Co., Inc. ............................. 5,593,750
91,000 Circuit City Stores, Inc. ...................... 4,413,500
55,500 * Consolidated Stores Corp. ...................... 874,125
101,322 * Costco Wholesale Corp. ......................... 9,289,961
96,050 Dollar General Corp. ........................... 2,353,225
86,700 Fortune Brands, Inc. ........................... 2,964,056
376,275 Gap, Inc. ...................................... 15,239,137
667,700 Home Depot, Inc. ............................... 52,790,031
69,900 Ikon Office Solutions, Inc. .................... 467,456
26,073 Jostens, Inc. .................................. 479,091
69,200 * Kohl's Corp. ................................... 4,995,375
90,206 Limited, Inc. .................................. 3,828,117
62,400 Nordstrom, Inc. ................................ 1,735,500
160,400 * Office Depot, Inc. ............................. 1,784,450
238,500 * Staples, Inc. .................................. 5,604,750
85,800 Tandy Corp. .................................... 6,574,425
130,700 TJX Companies, Inc. ............................ 3,422,706
129,125 * Toys "R' Us, Inc. .............................. 2,259,688
--------------
125,635,406
--------------
MERCHANDISING -
DEPARTMENT - 0.47%
192,400 Dayton Hudson Corp. ............................ 13,576,224
46,400 Dillards, Inc., Class A......................... 875,800
95,300 * Federated Department Stores, Inc. .............. 4,485,056
151,950 May Department Stores Co. ...................... 5,109,319
--------------
24,046,399
--------------
MERCHANDISING - FOOD - 0.60%
188,396 Abertsons, Inc. ................................ 6,016,897
16,600 Great Atlantic & Pacific Tea
Co., Inc. ...................................... 422,263
367,800 * Kroger Co. ..................................... 7,838,738
237,500 * Safeway, Inc. .................................. 8,757,813
47,800 Supervalu, Inc. ................................ 929,113
144,700 SYSCO Corp. .................................... 5,507,644
52,000 Winn-Dixie Stores, Inc. ........................ 1,361,750
--------------
30,834,218
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
8 November 30, 1999 (Unaudited)
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - MASS - 2.40%
117,300 J.C. Penney Co., Inc. .......................... $ 2,617,255
214,000 * KMart Corp. .................................... 2,126,625
176,600 Sears Roebuck and Co. .......................... 6,037,513
1,959,400 Wal-Mart Stores, Inc. .......................... 112,910,425
--------------
123,691,818
--------------
METALS - ALUMINUM - 0.31%
99,000 Alcan Aluminium, Ltd. .......................... 3,366,000
161,200 Alcoa, Inc. .................................... 10,558,600
33,100 Reynolds Metals Co. ............................ 2,070,819
--------------
15,995,419
--------------
METALS - COPPER - 0.07%
72,531 Newmont Mining Corp. ........................... 1,718,077
33,945 Phelps Dodge Corp. ............................. 1,765,140
--------------
3,483,217
--------------
METALS - MISCELLANEOUS - 0.06%
56,775 Engelhard Corp. ................................ 954,530
50,500 * Freeport-McMoRan Copper & Gold, Inc., Class B... 798,531
73,100 * Inco, Ltd. ..................................... 1,343,213
--------------
3,096,274
--------------
METALS - STEEL - 0.10%
72,625 Allegheny Technologies, Inc. ................... 914,621
49,700 * Bethlehem Steel Corp. .......................... 310,625
38,300 Nucor Corp. .................................... 1,931,755
46,820 USX-US Steel Group, Inc. ....................... 1,185,131
40,225 Worthington Industries, Inc. ................... 643,600
--------------
4,985,732
--------------
MISCELLANEOUS - 0.09%
105,400 BBT Corp. ...................................... 3,385,975
59,500 Equifax, Inc. .................................. 1,472,625
--------------
4,858,600
--------------
MOBILE HOMES - 0.01%
14,600 Fleetwood Enterprises, Inc. .................... 306,600
--------------
NATURAL GAS - DIVERSIFIED - 0.14%
96,800 Coastal Corp. .................................. 3,412,200
97,600 El Paso Energy Corp. ........................... 3,757,600
--------------
7,169,800
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - INTEGRATED DOMESTIC - 0.89%
54,800 Amerada Hess Corp. ............................. $ 3,174,975
27,400 Ashland Oil, Inc. .............................. 924,750
140,800 Atlantic Richfield Co. ......................... 13,569,600
95,567 Burlington Resources, Inc. ..................... 3,213,440
293,529 Conoco, Inc., Class B........................... 7,686,793
39,229 Kerr-McGee Corp. ............................... 2,245,860
160,700 Occidental Petroleum Corp. ..................... 3,525,356
101,300 Phillips Petroleum Co. ......................... 4,843,406
106,300 Unocal Corp. ................................... 3,527,831
115,600 USX-Marathon Group.............................. 3,056,175
--------------
45,768,186
--------------
OIL -
INTEGRATED INTERNATIONAL - 4.16%
281,600 Chevron Corp. .................................. 24,939,200
1,066,500 Exxon Mobil Corp. .............................. 84,586,780
351,600 Mobil Corp. .................................... 36,676,275
929,300 Royal Dutch Petroleum Co. ...................... 53,899,400
235,600 Texaco, Inc. ................................... 14,356,875
--------------
214,458,530
--------------
OIL - SERVICES - 0.51%
150,060 Baker Hughes, Inc. ............................. 3,789,017
204,400 Halliburton Co. ................................ 7,907,725
28,100 McDermott International, Inc. .................. 240,606
35,500 * Rowan Companies, Inc. .......................... 607,938
232,700 Schlumberger, Ltd. ............................. 13,976,544
--------------
26,521,830
--------------
OIL/GAS PRODUCERS - 0.12%
70,300 Anadarko Petroleum Corp. ....................... 2,117,788
37,700 Apache Corp. ................................... 1,350,131
21,400 Helmerich & Payne, Inc. ........................ 484,175
38,716 Sunoco, Inc. ................................... 989,678
112,942 Union Pacific Resources
Group, Inc. .................................... 1,475,305
--------------
6,417,077
--------------
PAPER/FOREST PRODUCTS - 0.95%
53,700 Avery Dennison Corp. ........................... 3,188,438
24,366 Boise Cascade Corp. ............................ 843,673
46,800 Champion International Corp. ................... 2,594,475
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - Continued
95,900 Fort James Corp. ............................... $ 2,757,125
76,400 Georgia-Pacific Corp. .......................... 3,041,675
180,768 International Paper Co. ........................ 9,433,830
235,232 Kimberly-Clark Corp. ........................... 15,025,444
53,800 Louisiana Pacific Corp. ........................ 659,050
44,200 Mead Corp. ..................................... 1,577,388
14,000 Potlatch Corp. ................................. 566,125
32,750 Westvaco Corp. ................................. 988,641
110,300 Weyerhaeuser Co. ............................... 6,755,875
39,700 Willamette Industries, Inc. .................... 1,642,588
--------------
49,074,327
--------------
PHOTOGRAPHY - 0.18%
141,250 Eastman Kodak Co. .............................. 8,739,844
19,100 Polaroid Corp. ................................. 367,675
--------------
9,107,519
--------------
POLLUTION CONTROL - 0.10%
75,800 * Allied Waste Industries, Inc. .................. 615,875
103,500 Laidlaw, Inc. .................................. 633,938
253,750 Waste Management, Inc. ......................... 4,123,438
--------------
5,373,251
--------------
PUBLISHING - NEWS - 0.44%
35,900 Dow Jones & Co., Inc. .......................... 2,176,438
122,700 Gannett Co., Inc. .............................. 8,780,719
34,000 Knight-Ridder, Inc. ............................ 1,855,125
79,300 New York Times Co., Class A..................... 3,048,094
26,032 Times Mirror Co. ............................... 1,680,691
104,000 Tribune Co. .................................... 4,998,500
--------------
22,539,567
--------------
PUBLISHING/PRINTING - 0.21%
44,500 Deluxe Corp. ................................... 1,165,344
75,200 Dun & Bradstreet Corp. ......................... 2,030,400
21,317 Harcourt General, Inc. ......................... 706,126
95,000 McGraw-Hill, Inc. .............................. 5,385,313
59,800 R. R. Donnelley and Sons Co. ................... 1,435,200
--------------
10,722,383
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 9
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RAILROAD - 0.41%
206,351 Burlington Northern Santa Fe Corp. ............. $ 5,984,178
105,300 CSX Corp. ...................................... 3,744,731
47,600 Kansas City Southern Industries, Inc. .......... 2,835,175
164,700 Norfolk Southern Corp. ......................... 3,520,463
107,300 Union Pacific Corp. ............................ 5,049,806
--------------
21,134,353
--------------
RESTAURANTS - 0.62%
69,600 Darden Restaurants, Inc. ....................... 1,239,750
593,200 McDonald's Corp. ............................... 26,694,000
66,220 * Tricon Global Restaurants, Inc. ................ 2,748,130
55,800 Wendy's International, Inc. .................... 1,231,088
--------------
31,912,968
--------------
SAVINGS & LOAN - 0.20%
24,600 Golden West Financial Corp. .................... 2,483,063
261,943 Washington Mutual, Inc. ........................ 7,596,347
--------------
10,079,410
--------------
SECURITIES RELATED - 1.32%
51,854 Bear Stearns Co., Inc. ......................... 2,116,302
356,950 Charles Schwab Corp. ........................... 13,541,791
109,800 Franklin Resources, Inc. ....................... 3,451,838
53,500 Lehman Brothers Holdings, Inc. ................. 4,086,063
150,300 Merrill Lynch & Co., Inc. ...................... 12,117,938
250,801 Morgan Stanley Dean Witter & Co. ............... 30,252,873
62,300 Paine Webber Group, Inc. ....................... 2,441,381
--------------
68,008,186
--------------
SEMICONDUCTOR EQUIPMENT - 0.37%
160,200 * Applied Materials, Inc. ........................ 15,609,488
41,500 * KLA-Tencor Corp. ............................... 3,509,344
--------------
19,118,832
--------------
SEMICONDUCTORS - 4.02%
62,100 * Advanced Micro Devices, Inc. ................... 1,754,325
76,600 * Analog Devices, Inc. ........................... 4,399,713
1,461,400 Intel Corp. .................................... 112,071,113
56,700 * LSI Logic Corp. ................................ 3,426,806
104,900 * Micron Technology, Inc. ........................ 7,041,413
265,600 Motorola, Inc. ................................. 30,344,800
72,700 * National Semiconductor Corp. ................... 3,089,750
95,400 Rockwell International Corp. ................... 4,734,225
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTORS - Continued
353,400 Texas Instruments, Inc. ........................ $ 33,948,488
70,300 * Xilinx, Inc. ................................... 6,291,850
--------------
207,102,483
--------------
TELECOMMUNICATIONS - 7.23%
64,800 * ADC Communications, Inc. ....................... 3,454,650
117,500 ALLTEL Corp. ................................... 10,163,750
33,235 * Andrew Corp. ................................... 463,213
1,397,885 AT&T Corp. ..................................... 78,106,824
61,150 CenturyTel, Inc. ............................... 2,812,900
338,985 * Global Crossing, Ltd. .......................... 14,788,221
1,339,960 Lucent Technologies, Inc. ...................... 97,900,828
817,711 * MCI Worldcom, Inc. ............................. 67,614,478
144,800 * Nextel Communications, Inc., Class A............ 14,353,300
600,880 Nortel Networks Corp. .......................... 44,465,120
68,700 * QUALCOMM, Inc. ................................. 24,890,869
32,900 Scientific-Atlanta, Inc. ....................... 1,918,481
181,800 * Tellabs, Inc. .................................. 11,794,275
--------------
372,726,909
--------------
TEXTILE - PRODUCTS - 0.03%
22,500 Russell Corp. .................................. 293,906
49,300 V. F. Corp. .................................... 1,472,838
--------------
1,766,744
--------------
TOBACCO - 0.59%
1,057,700 Philip Morris Companies, Inc. .................. 27,830,731
93,000 UST, Inc. ...................................... 2,476,125
--------------
30,306,856
--------------
UTILITIES - COMMUNICATION - 4.56%
681,910 Bell Atlantic Corp. ............................ 43,173,427
832,100 BellSouth Corp. ................................ 38,432,619
426,800 GTE Corp. ...................................... 31,156,400
1,512,822 SBC Communications, Inc. ....................... 78,572,193
375,600 Sprint Corp. ................................... 26,057,250
193,200 * Sprint Corp. (PCS Group)........................ 17,726,100
--------------
235,117,989
--------------
UTILITIES - ELECTRIC - 1.73%
88,900 * AES Corp. ...................................... 5,150,644
49,700 Ameren Corp. ................................... 1,720,863
99,200 American Electric Power, Inc. .................. 3,112,400
60,400 Carolina Power & Light Co. ..................... 1,819,550
116,700 Central & South West Corp. ..................... 2,334,000
85,264 Cinergy Corp. .................................. 2,158,245
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
49,400 CMS Energy Corp. ............................... $ 1,642,550
103,000 Consolidated Edison, Inc. ...................... 3,553,500
58,700 Constellation Energy Group, Inc. ............... 1,727,981
85,250 Dominion Resources, Inc. ....................... 3,868,219
63,000 DTE Energy Co. ................................. 2,082,938
164,751 Duke Energy Corp. .............................. 8,350,816
154,600 Edison International, Inc. ..................... 4,096,900
133,000 Entergy Corp. .................................. 3,665,813
82,300 FirstEnergy Corp. .............................. 1,918,619
44,700 Florida Progress Corp. ......................... 1,910,925
80,700 FPL Group, Inc. ................................ 3,530,625
34,300 GPU, Inc. ...................................... 1,097,600
44,900 New Century Energies, Inc. ..................... 1,411,544
37,500 * Niagara Mohawk Holdings, Inc. .................. 562,500
52,000 Northern States Power Co. ...................... 1,062,750
92,700 Peco Energy Co. ................................ 3,053,306
211,800 PG&E Corp. ..................................... 4,739,025
37,200 Pinnacle West Capital Corp. .................... 1,234,575
49,564 PP&L Resources, Inc. ........................... 1,143,070
97,650 Public Service Enterprise
Group, Inc. .................................... 3,417,750
143,179 Reliant Energy, Inc. ........................... 3,552,629
306,200 Southern Co. ................................... 7,157,425
137,820 Texas Utilities Co. ............................ 4,935,679
95,100 Unicom Corp. ................................... 3,037,256
--------------
89,049,697
--------------
UTILITIES -
GAS, DISTRIBUTION - 0.05%
23,700 NICOR, Inc. .................................... 822,094
67,100 Tosco Corp. .................................... 1,815,894
--------------
2,637,988
--------------
UTILITIES - GAS, PIPELINE - 0.51%
42,000 Columbia Energy Group........................... 2,635,500
43,600 Consolidated Natural Gas Co. ................... 2,795,850
299,200 Enron Corp. .................................... 11,388,300
13,900 ONEOK, Inc. .................................... 374,431
15,500 Peoples Energy Corp. ........................... 569,625
94,262 Sempra Energy................................... 1,743,847
196,500 Williams Companies, Inc. ....................... 6,631,875
--------------
26,139,428
--------------
TOTAL COMMON STOCK
(Cost $2,366,455,645)........................... 5,077,461,384
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
10 November 30, 1999 (Unaudited)
STOCK INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATE SHORT TERM COMMERCIAL PAPER - 1.40%
COSMETICS/TOILETRIES - 0.16%
$ 8,000,000 Gillette Co.,
5.45% due 12/02/99................................ $ 7,998,787
--------------
FINANCE COMPANIES - 0.18%
10,000,000 GTE Funding Corp.,
5.70% due 12/03/99................................ 9,996,832
--------------
FINANCIAL SERVICES - 0.06%
3,144,000 Textron Financial Corp.,
5.62% due 12/09/99................................ 3,140,070
--------------
HEALTHCARE - 0.31%
15,732,000 Cardinal Health, Inc.,
5.70% due 12/01/99................................ 15,732,000
--------------
INSURANCE - MULTILINE - 0.14%
7,000,000 Aon Corp.,
5.55% due 12/13/99................................ 6,987,022
--------------
MISCELLANEOUS - 0.20%
10,190,000 CVS Corp.,
5.70% due 12/09/99................................ 10,177,091
--------------
SECURITIES RELATED - 0.20%
10,153,000 Merrill Lynch & Co.,
5.65% due 12/02/99................................ 10,151,406
--------------
UTILITIES - ELECTRIC - 0.15%
OGE Energy Corp.:
4,200,000 5.78% due 12/02/99................................ 4,199,325
4,042,000 5.75% due 12/07/99................................ 4,038,126
--------------
8,237,451
--------------
TOTAL CORPORATE SHORT TERM COMMERCIAL PAPER
(Cost $72,420,659)................................ 72,420,659
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UNITED STATES GOVERNMENT - SHORT TERM - 0.09%
U. S. TREASURY BILLS - 0.09%
United States Treasury Bills:
$ 200,000 5.28% due 01/13/00................................ $ 198,738
100,000 5.20% due 01/13/00................................ 99,378
25,000 4.64% due 01/06/00................................ 24,884
2,000,000 4.51% due 12/09/99................................ 1,997,984
125,000 4.50% due 12/09/99................................ 124,874
2,100,000 4.44% due 12/09/99................................ 2,097,918
250,000 4.43% due 12/09/99................................ 249,752
--------------
4,793,528
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $4,793,528)................................. 4,793,528
--------------
TOTAL INVESTMENTS
(Cost $2,443,669,832) - 99.99%.................... $5,154,675,571
--------------
* Non-income producing
</TABLE>
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
- -------------------------------------------------------------------------------
<C> <S> <C>
FUTURES CONTRACTS PURCHASED(1)
223(2) (Delivery month/Value at 11/30/99) S&P 500 Index
Futures (December/$1,391.50).................... $ 3,422,517
--------------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $4,181,250 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 250.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $2,443,669,832).................... $5,154,675,571
Receivables for:
Investments sold............................................... 2,719,974
Fund shares sold............................................... 217,317
Dividends and interest......................................... 6,593,618
Other assets.................................................... 347,512
--------------
TOTAL ASSETS.................................................... 5,164,553,992
--------------
LIABILITIES:
Payable for:
Investments purchased.......................................... 6,939,630
Capital stock reacquired....................................... 243,036
Payable to affiliates:
Advisory fees.................................................. 1,097,406
Accounting services............................................ 135,322
Accrued expenses and other liabilities.......................... 723,163
--------------
TOTAL LIABILITIES............................................... 9,138,557
--------------
NET ASSETS...................................................... $5,155,415,435
--------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share, 1,000,000,000 shares
authorized,
121,674,817 shares outstanding................................ $ 1,216,748
Additional paid in capital.................................... 2,347,013,289
Undistributed net realized gain on securities................. 91,934,165
Undistributed net investment income........................... 822,977
Unrealized appreciation of:
Investments................................... $2,711,005,739
Futures....................................... 3,422,517 2,714,428,256
-------------- --------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING......................................... $5,155,415,435
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
STOCK INDEX FUND (Unaudited) - CONTINUED 11
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 30,649,924
Interest......................................................... 2,097,529
------------
Total investment income......................................... 32,747,453
------------
EXPENSES:
Advisory fees.................................................... 6,348,263
Custodian fees................................................... 128,898
Registration and filing fees..................................... 5,460
Audit fees and tax services...................................... 43,929
Accounting services.............................................. 731,792
Directors' fees and expenses..................................... 34,968
Report to shareholders........................................... 170,013
Miscellaneous.................................................... 59,624
------------
Total expenses.................................................. 7,522,947
------------
NET INVESTMENT INCOME............................................ 25,224,506
------------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities:
Investments........................................ $ 47,088,555
Futures contracts.................................. 798,218 47,886,773
------------
Net unrealized appreciation of securities during the
period:
Investments........................................ 263,385,673
Futures contracts.................................. 4,803,747 268,189,420
------------ ------------
Net realized and unrealized gain on securities
during the period.............................................. 316,076,193
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................. $341,300,699
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
--------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income....................... $ 25,224,506 $ 44,641,864
Net realized gain on securities............. 47,886,773 44,850,173
Net unrealized appreciation of securities
during the period........................... 268,189,420 659,949,205
--------------------------------
Increase in net assets resulting from
operations................................. 341,300,699 749,441,242
--------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... (24,219,850) (45,201,454)
Net realized gain on securities............. - (16,018,507)
--------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (24,219,850) (61,219,961)
--------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............ 281,260,317 554,346,043
Proceeds from capital stock issued for
distributions reinvested.................... 24,219,850 61,219,961
--------------------------------
305,480,167 615,566,004
Cost of capital stock repurchased........... (104,773,420) (148,814,269)
--------------------------------
Increase in net assets resulting
from capital stock transactions............ 200,706,747 466,751,735
--------------------------------
TOTAL INCREASE IN NET ASSETS................ 517,787,596 1,154,973,016
NET ASSETS:
Beginning of year........................... 4,637,627,839 3,482,654,823
--------------------------------
End of period (including undistributed net
investment income of $822,977 and
$(181,679))................................. $5,155,415,435 $4,637,627,839
--------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................ 6,922,953 14,885,043
Shares issued for distributions reinvested.. 593,312 1,671,194
Shares of capital stock repurchased......... (2,572,035) (4,159,197)
--------------------------------
Increase in shares outstanding............. 4,944,230 12,397,040
Shares outstanding:
Beginning of year.......................... 116,730,587 104,333,547
--------------------------------
End of period.............................. 121,674,817 116,730,587
--------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
12 November 30, 1999 (Unaudited)
MIDCAP INDEX FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 96.21%
ADVERTISING - 0.50%
64,700 Harte-Hanks, Inc. .............................. $ 1,338,480
49,600 * Westwood One, Inc. ............................. 2,839,600
--------------
4,178,080
--------------
AEROSPACE/DEFENSE - 0.75%
66,800 * SCI Systems, Inc. .............................. 4,534,050
9,600 * Sequa Corp., Class A............................ 534,000
35,120 Teleflex, Inc. ................................. 1,200,665
--------------
6,268,715
--------------
AIRLINES - 0.11%
24,421 * Alaska Air Group, Inc. ......................... 927,998
--------------
APPAREL & PRODUCTS - 1.76%
95,700 * Abercrombie and Fitch Co. ...................... 3,098,288
43,300 * American Eagle Outfitters, Inc. ................ 1,978,269
102,806 Cintas Corp. ................................... 4,722,651
47,271 Claire's Stores, Inc. .......................... 1,025,189
27,824 * Land's End, Inc. ............................... 1,679,874
84,600 Ross Stores, Inc. .............................. 1,623,263
51,500 Warnaco Group, Inc., Class A.................... 637,313
--------------
14,764,847
--------------
APPLIANCES/FURNISHINGS - 0.48%
47,800 * Furniture Brands International, Inc. ........... 932,100
55,459 Heilig-Meyers Co. .............................. 201,039
73,756 Herman Miller, Inc. ............................ 1,687,169
38,101 Lancaster Colony Corp. ......................... 1,233,520
--------------
4,053,828
--------------
AUTO - CARS - 1.16%
141,240 Harley-Davidson, Inc. .......................... 8,615,640
64,100 Meritor Automotive, Inc. ....................... 1,097,713
--------------
9,713,353
--------------
AUTO - ORIGINAL EQUIPMENT - 0.99%
23,925 Arvin Industries, Inc. ......................... 635,507
28,000 Carlisle Companies, Inc. ....................... 939,750
42,736 Donaldson Co., Inc. ............................ 964,231
65,370 Federal-Mogul Corp. ............................ 1,458,567
61,900 * Lear Corp. ..................................... 2,046,569
43,145 Mark IV Industries, Inc. ....................... 808,969
27,328 Modine Manufacturing Co. ....................... 772,016
24,900 Superior Industries International, Inc. ........ 667,631
--------------
8,293,240
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.35%
29,542 Kaydon Corp. ................................... $ 808,712
28,900 * SPX Corp. ...................................... 2,153,050
--------------
2,961,762
--------------
BANKS - OTHER - 0.69%
121,104 First Tennessee National Corp. ................. 3,981,293
202,700 Sovereign Bancorp, Inc. ........................ 1,798,962
--------------
5,780,255
--------------
BANKS - REGIONAL - 6.42%
58,600 Associated Banc-Corp. .......................... 2,289,063
36,800 CCB Financial Corp. ............................ 1,596,200
42,255 City National Corp. ............................ 1,523,821
105,300 Compass Bancshares, Inc. ....................... 2,671,988
180,911 First Security Corp. ........................... 5,088,122
46,462 First Virginia Banks, Inc. ..................... 2,108,213
83,800 FirstMerit Corp. ............................... 2,176,181
101,400 GreenPoint Financial Corp. ..................... 2,566,688
148,500 Hibernia Corp., Class A......................... 1,884,094
95,548 Marshall & Ilsley Corp. ........................ 6,395,744
64,134 Mercantile Bankshares Corp. .................... 2,206,611
97,500 National Commerce Bancorporation................ 2,461,874
126,350 North Fork Bancorporation, Inc. ................ 2,542,794
110,006 Old Kent Financial Corp. ....................... 4,462,118
74,368 Pacific Century Financial Corp. ................ 1,459,471
40,200 Provident Financial Group, Inc. ................ 1,585,388
77,300 TCF Financial Corp. ............................ 2,188,556
35,300 Webster Financial Corp. ........................ 939,863
35,600 Westamerica Bankcorporation..................... 1,119,175
30,678 Wilmington Trust Corp. ......................... 1,545,404
78,500 Zions Bancorporation............................ 5,068,155
--------------
53,879,523
--------------
BEVERAGE - SOFT DRINKS - 0.22%
131,400 Whitman Corp. .................................. 1,823,175
--------------
BROADCASTING - 1.97%
109,656 A.H. Belo Corp. ................................ 1,973,808
31,089 * Chris-Craft Industries, Inc. ................... 2,156,799
50,300 * Hispanic Broadcasting Corp.,
Class A......................................... 4,143,463
94,100 * Univision Communications, Inc. ................. 8,233,750
--------------
16,507,820
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BUILDING MATERIALS - 1.10%
35,200 Fastenal Co. ................................... $ 1,355,200
56,650 Hon Industries, Inc. ........................... 1,225,056
43,300 Martin Marietta Materials, Inc. ................ 1,642,694
101,656 RPM, Inc. ...................................... 1,194,457
33,200 Southdown, Inc. ................................ 1,533,425
46,100 USG Corp. ...................................... 2,287,712
--------------
9,238,544
--------------
CHEMICAL - MAJOR - 0.40%
43,545 Albemarle Corp. ................................ 843,684
24,700 Borg-Warner Automotive, Inc. ................... 1,000,350
102,800 Solutia, Inc. .................................. 1,542,000
--------------
3,386,034
--------------
CHEMICAL - MISCELLANEOUS - 1.43%
65,600 * Airgas, Inc. ................................... 639,600
110,037 CK Witco Corp. ................................. 1,176,019
39,700 * Cytec Industries, Inc. ......................... 930,469
21,368 Dexter Corp. ................................... 771,919
77,400 Ethyl Corp. .................................... 324,113
32,770 Ferro Corp. .................................... 690,218
28,633 Georgia Gulf Corp. ............................. 730,142
12,964 H.B. Fuller Co. ................................ 706,537
50,619 Lubrizol Corp. ................................. 1,385,695
108,878 Lyondell Chemical Co. .......................... 1,524,292
45,336 M. A. Hanna Co. ................................ 473,195
19,900 Minerals Technologies, Inc. .................... 786,050
5,055 NCH Corp. ...................................... 235,689
41,942 Olin Corp. ..................................... 752,335
28,125 Rollins, Inc. .................................. 450,000
28,873 Schulman, A., Inc. ............................. 457,457
--------------
12,033,730
--------------
CONGLOMERATES - 1.04%
40,098 Alexander & Baldwin, Inc. ...................... 912,230
94,800 Dial Corp. ..................................... 2,660,324
42,100 * Litton Industries, Inc. ........................ 1,886,605
6,500 * MAXXAM, Inc. ................................... 295,344
45,600 Ogden Corp. .................................... 592,800
90,200 Viad Corp. ..................................... 2,373,388
--------------
8,720,691
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 13
MIDCAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONTAINERS - PAPER - 0.33%
19,714 Chesapeake Corp. ............................... $ 629,616
94,479 Sonoco Products Co. ............................ 2,173,017
--------------
2,802,633
--------------
DRUGS - 4.48%
124,360 Bergen Brunswig Corp., Class A.................. 1,025,970
139,304 * Biogen, Inc. ................................... 10,177,898
41,646 Carter-Wallace, Inc. ........................... 752,231
167,680 * Chiron Corp. ................................... 5,502,000
54,525 * Covance, Inc. .................................. 592,959
77,282 * Forest Laboratories, Inc. ...................... 3,955,871
77,242 Genzyme Corp. .................................. 2,780,712
72,500 ICN Pharmaceuticals, Inc. ...................... 1,762,656
98,736 * IVAX Corp. ..................................... 2,005,575
33,500 * Millennium Pharmaceuticals, Inc. ............... 3,261,016
119,734 Mylan Laboratories, Inc. ....................... 2,821,232
30,500 * Sepracor, Inc. ................................. 2,962,313
--------------
37,600,433
--------------
ELECTRIC PRODUCTS - MISCELLANEOUS - 0.10%
30,116 CMP Group, Inc. ................................ 815,014
--------------
ELECTRICAL EQUIPMENT - 1.10%
178,072 * American Power Conversion Corp. ................ 4,240,339
30,031 AMETEK, Inc. ................................... 600,620
60,270 Hubbell, Inc., Class B.......................... 1,680,026
27,200 Polycom, Inc. .................................. 1,740,800
41,800 * UCAR International, Inc. ....................... 935,275
--------------
9,197,060
--------------
ELECTRONIC INSTRUMENTS - 2.28%
88,952 * Arrow Electronics, Inc. ........................ 2,034,777
189,500 * Concord EFS, Inc. .............................. 5,021,750
33,850 * Imation Corp. .................................. 1,089,547
29,321 * MagnaTek, Inc. ................................. 196,084
37,900 Pittston Brink's Group.......................... 720,100
70,079 * Sensormatic Electronics Corp. .................. 1,116,884
81,769 Symbol Technologies, Inc. ...................... 3,899,358
78,391 Vishay Intertechnology, Inc. ................... 2,268,440
56,900 * Waters Corp. ................................... 2,788,100
--------------
19,135,040
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - 0.71%
32,300 * GTECH Holdings Corp. ........................... $ 678,300
50,100 International Speedway Corp. ................... 3,306,600
84,225 * Mandalay Resort Group........................... 1,963,495
--------------
5,948,395
--------------
FERTILIZERS - 0.20%
106,046 IMC Global, Inc. ............................... 1,709,992
--------------
FINANCE COMPANIES - 0.38%
56,700 Finova Group, Inc. ............................. 2,108,530
45,000 Keystone Financial, Inc. ....................... 1,057,500
--------------
3,166,030
--------------
FINANCIAL SERVICES - 1.01%
50,200 Allamerica Financial Corp. ..................... 2,770,413
141,400 * Convergys Corp. ................................ 3,861,987
29,600 Investment Technology Group, Inc. .............. 793,650
23,100 * NCO Group, Inc. ................................ 1,071,263
--------------
8,497,313
--------------
FOODS - 2.66%
36,482 Dean Foods Co. ................................. 1,447,879
52,909 Dole Food Co., Inc. ............................ 846,544
25,536 Dreyer's Grand Ice Cream, Inc. ................. 424,536
92,904 Flowers Industries, Inc. ....................... 1,521,303
67,500 Hormel Foods Corp. ............................. 3,007,969
85,500 IBP, Inc. ...................................... 1,886,344
17,412 International Multifoods Corp. ................. 242,680
65,000 Interstate Bakeries Corp. ...................... 1,145,624
27,071 J. M. Smucker Co., Class A...................... 544,804
27,771 Lance, Inc. .................................... 289,859
66,078 McCormick & Co., Inc. .......................... 2,118,626
31,300 * Suiza Foods Corp. .............................. 1,124,844
37,121 Trinity Industries, Inc. ....................... 1,085,789
212,786 Tyson Foods, Inc., Class A...................... 3,697,157
91,900 * U.S. Foodservice................................ 1,665,688
46,558 Universal Foods Corp. .......................... 989,358
42,200 * Vlasic Foods International, Inc. ............... 327,050
--------------
22,366,054
--------------
FOOTWEAR - 0.16%
29,700 * Payless ShoeSource, Inc. ....................... 1,360,631
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FREIGHT - 0.24%
45,046 Airborne Freight Corp. ......................... $ 1,044,503
33,000 J.B. Hunt Transport Services, Inc. ............. 441,375
33,571 Overseas Shipholding Group, Inc. ............... 490,976
--------------
1,976,854
--------------
FUNERAL SERVICES - 0.06%
103,500 Stewart Enterprises, Inc. ...................... 527,203
--------------
HEALTHCARE - 2.56%
48,200 * Apria Healthcare Group, Inc. ................... 671,788
46,272 * First Health Group Corp. ....................... 1,165,476
113,249 * Foundation Health Systems, Inc., Class A........ 955,538
234,800 * Health Management Associates, Inc. ............. 2,890,975
54,000 * Lincare Holdings, Inc. ......................... 1,532,250
84,500 Omnicare, Inc. ................................. 1,146,031
75,400 * Oxford Health Plans, Inc. ...................... 1,105,081
42,574 * PacifiCare Health Systems, Inc., Class A........ 1,992,994
67,700 * Quorum Health Group, Inc. ...................... 605,069
62,400 * Steris Corp. ................................... 811,200
96,200 * Sybron International Corp. ..................... 2,362,913
75,200 * Total Renal Care Holdings, Inc. ................ 535,800
38,500 * Trigon Healthcare, Inc. ........................ 1,133,344
59,100 * VISX, Inc. ..................................... 4,583,944
--------------
21,492,403
--------------
HEAVY DUTY TRUCKS/PARTS - 0.14%
20,300 Bandag, Inc. ................................... 492,275
42,804 Federal Signal Corp. ........................... 724,993
--------------
1,217,268
--------------
HOME BUILDERS - 0.16%
133,981 Clayton Homes, Inc. ............................ 1,364,931
--------------
HOSPITAL MANAGEMENT - 0.05%
95,000 * Beverly Enterprises, Inc. ...................... 380,000
--------------
HOSPITAL SUPPLIES - 1.51%
24,835 * Acuson Corp. ................................... 287,155
26,633 Beckman Coulter, Inc. .......................... 1,271,726
49,000 DENTSPLY International, Inc. ................... 1,172,938
61,500 Hillenbrand Industries, Inc. ................... 2,102,531
28,700 * MiniMed, Inc. .................................. 2,105,862
65,800 * PSS World Medical, Inc. ........................ 660,056
89,782 Stryker Corp. .................................. 5,111,963
--------------
12,712,231
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
14 November 30, 1999 (Unaudited)
MIDCAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS - 0.12%
36,028 Church & Dwight Co., Inc. ..................... $ 1,008,784
--------------
HUMAN RESOURCES - 0.90%
33,203 Kelly Services, Inc., Class A.................. 870,541
71,100 Manpower, Inc. ................................ 2,590,706
88,900 * Modis Professional Services, Inc. ............. 950,119
75,350 Olsten Corp. .................................. 762,919
84,700 * Robert Half International, Inc. ............... 2,371,600
--------------
7,545,885
--------------
INFORMATION PROCESSING - 0.51%
78,600 * Acxiom Corp. .................................. 1,397,606
40,800 * CDW Computer Centers, Inc. .................... 2,868,750
--------------
4,266,356
--------------
INFORMATION PROCESSING - BUSINESS SOFTWARE -
3.25%
58,700 * DST Systems, Inc. ............................. 3,694,431
177,100 * Informix Corp. ................................ 1,948,100
236,850 * Veritas Software Corp. ........................ 21,686,578
--------------
27,329,109
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE
SYSTEMS - 0.91%
81,300 * Jabil Circuit, Inc. ........................... 5,198,119
153,292 Quantum Corp. - DLT &
Storage Systems................................ 2,414,349
--------------
7,612,468
--------------
INFORMATION PROCESSING - COMPUTER SERVICES -
1.64%
55,800 * Cambridge Technology Partners, Inc. ........... 802,125
51,300 * Checkfree Holdings Corp. ...................... 3,369,769
81,600 * Gartner Group, Inc., Class B................... 902,700
80,800 * Rationale Software Corp. ...................... 4,130,900
81,852 * Sterling Commerce, Inc. ....................... 2,107,688
111,100 * SunGard Data Systems, Inc. .................... 2,471,975
--------------
13,785,157
--------------
INFORMATION PROCESSING - CONSUMER SOFTWARE -
1.42%
173,000 * Intuit, Inc. .................................. 8,650,000
128,850 * Networks Associates, Inc. ..................... 3,253,463
--------------
11,903,463
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - 6.57%
53,773 * ACNielson Corp. ................................ $ 1,334,243
45,600 * Affiliated Computer Services, Inc., Class A..... 1,707,150
141,916 Comdisco, Inc. ................................. 3,423,724
63,951 Diebold, Inc. .................................. 1,466,876
57,800 * Electronic Arts, Inc. .......................... 6,061,775
114,494 * Fiserv, Inc. ................................... 4,064,537
66,400 * Keane, Inc. .................................... 1,792,800
75,600 * Legato Systems, Inc. ........................... 5,105,362
62,007 * Mentor Graphics Corp. .......................... 558,063
90,973 * NCR Corp. ...................................... 2,985,052
67,900 * NOVA Corp. ..................................... 2,079,438
32,936 * Policy Management Systems Corp. ................ 662,837
71,608 Reynolds and Reynolds Co.,
Class A......................................... 1,387,405
171,600 * Siebel Systems, Inc. ........................... 12,033,450
78,100 * Sterling Software, Inc. ........................ 2,055,006
92,880 * Storage Technology Corp. ....................... 1,834,380
33,295 * Structural Dynamic Research Corp. .............. 354,800
39,200 * Sykes Enterprises, Inc. ........................ 1,565,550
52,612 * Symantec Corp. ................................. 2,456,323
47,500 * Tech Data Corp. ................................ 1,163,750
30,200 * Transaction Systems Architects, Inc., Class A... 1,055,113
--------------
55,147,634
--------------
INSURANCE - CASUALTY - 0.30%
55,233 American Financial Group, Inc. ................. 1,487,838
45,100 Everest Reinsurance Holdings, Inc. ............. 1,071,125
--------------
2,558,963
--------------
INSURANCE - LIFE - 0.23%
59,800 Protective Life Corp. .......................... 1,913,600
--------------
INSURANCE - MISCELLANEOUS - 0.88%
64,800 Ambac Financial Group, Inc. .................... 3,531,600
26,799 HSB Group, Inc. ................................ 941,315
56,600 Ohio Casualty Corp. ............................ 871,994
41,500 PMI Group, Inc. ................................ 2,072,406
--------------
7,417,315
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - MULTILINE - 0.99%
38,000 Horace Mann Educators Corp. .................... $ 833,625
119,800 Old Republic International Corp. ............... 1,497,500
79,700 Reliastar Financial Corp. ...................... 3,466,950
67,100 Unitrin, Inc. .................................. 2,503,668
--------------
8,301,743
--------------
LEISURE TIME - 0.64%
44,900 * Blyth Industries, Inc. ......................... 1,077,600
70,300 Callaway Golf Co. .............................. 1,023,744
83,502 International Game Technology................... 1,503,036
72,400 * Premier Parks, Inc. ............................ 1,810,000
--------------
5,414,380
--------------
LODGING - 0.43%
280,200 * Park Place Entertainment Corp. ................. 3,607,587
--------------
MACHINE TOOLS - 0.22%
38,900 * Gilead Sciences, Inc. .......................... 1,867,200
--------------
MACHINERY - AGRICULTURE - 0.08%
55,200 AGCO Corp. ..................................... 700,350
--------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.55%
57,000 * Calpine Corp. .................................. 3,363,000
25,156 Granite Construction, Inc. ..................... 477,964
24,068 * Jacobs Engineering Group, Inc. ................. 756,638
--------------
4,597,602
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.10%
27,614 * Albany International Corp., Class A............. 465,986
65,500 * American Standard
Companies, Inc. ................................ 2,550,405
34,022 Cordant Technologies, Inc. ..................... 990,891
34,718 Flowserve Corp. ................................ 603,225
32,100 Newport News Shipbuilding, Inc. ................ 1,059,300
15,314 Nordson Corp. .................................. 751,343
25,933 Stewart & Stevenson Services, Inc. ............. 309,575
18,700 Tecumseh Products Co., Class A.................. 898,184
51,492 Tidewater, Inc. ................................ 1,644,526
--------------
9,273,435
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 15
MIDCAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - DRUG - 0.87%
56,300 * Medimmune, Inc. ................................ $ 6,766,556
67,900 * Perrigo Co. .................................... 570,784
--------------
7,337,340
--------------
MERCHANDISE - SPECIALTY - 1.81%
64,300 * Barnes & Noble, Inc. ........................... 1,579,369
68,272 * BJ's Wholesale Club, Inc. ...................... 2,551,665
85,000 * CompUSA, Inc. .................................. 499,375
33,200 * Micro Warehouse, Inc. .......................... 390,100
105,000 * OfficeMax, Inc. ................................ 643,125
54,511 Sotheby's Holdings, Inc., Class A............... 1,700,062
65,272 Tiffany & Co. .................................. 5,058,580
51,700 * Williams-Sonoma, Inc. .......................... 2,817,650
--------------
15,239,926
--------------
MERCHANDISING -
DEPARTMENT - 0.55%
71,900 * Borders Group, Inc. ............................ 1,114,450
39,000 Neiman-Marcus Group, Inc. ...................... 1,118,813
134,104 * Saks, Inc. ..................................... 2,346,820
--------------
4,580,083
--------------
MERCHANDISING - FOOD - 0.43%
39,100 Hannaford Bros. Co. ............................ 2,842,080
43,000 Ruddick Corp. .................................. 757,875
--------------
3,599,955
--------------
MERCHANDISING - MASS - 0.65%
57,400 * Dollar Tree Stores, Inc. ....................... 2,568,650
160,120 Family Dollar Stores, Inc. ..................... 2,872,153
--------------
5,440,803
--------------
METALS - MISCELLANEOUS - 0.18%
27,706 Kennametal, Inc. ............................... 921,225
22,650 Precision Castparts Corp. ...................... 615,797
--------------
1,537,022
--------------
METALS - STEEL - 0.50%
93,800 AK Steel Holding Corp. ......................... 1,553,562
20,310 Carpenter Technology Corp. ..................... 533,138
10,357 Cleveland-Cliffs, Inc. ......................... 302,942
38,042 Harsco Corp. ................................... 1,134,127
23,923 Oregon Steel Mills, Inc. ....................... 194,374
23,085 Ryerson Tull, Inc. ............................. 471,800
--------------
4,189,943
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MISCELLANEOUS - 0.28%
71,600 * Apollo Group, Inc., Class A..................... $ 1,924,250
39,500 * Navigant Consulting, Inc. ...................... 419,688
--------------
2,343,938
--------------
MULTIMEDIA - 1.04%
225,956 * Cadence Design Systems, Inc. ................... 4,010,719
65,700 * Synopsys, Inc. ................................. 4,755,038
--------------
8,765,757
--------------
NATURAL GAS - DIVERSIFIED - 0.52%
26,500 * Hanover Compressor Co. ......................... 907,625
104,050 Kinder Morgan, Inc. ............................ 2,113,516
76,686 Questar Corp. .................................. 1,318,041
--------------
4,339,182
--------------
OIL - INTEGRATED DOMESTIC - 0.09%
72,175 Pennzoil-Quaker State Co. ...................... 748,816
--------------
OIL -
INTEGRATED INTERNATIONAL - 0.28%
41,646 Murphy Oil Corp. ............................... 2,352,999
--------------
OIL - SERVICE - PRODUCTS - 1.46%
65,642 * BJ Services Co. ................................ 2,289,265
122,100 * Noble Drilling Corp. ........................... 3,403,538
154,402 * Ocean Energy, Inc. ............................. 1,177,315
167,600 * Santa Fe Snyder Corp. .......................... 1,340,800
60,272 * Varco International, Inc. ...................... 644,157
98,167 Weatherford International, Inc. ................ 3,429,710
--------------
12,284,785
--------------
OIL - SERVICES - 1.96%
74,000 Devon Energy Corp. ............................. 2,608,500
127,200 ENSCO International, Inc. ...................... 2,551,950
161,415 * Global Marine, Inc. ............................ 2,471,667
132,039 * Nabors Industries, Inc. ........................ 3,507,286
45,846 * Smith International, Inc. ...................... 1,828,109
93,200 Transocean Offshore, Inc. ...................... 2,627,075
37,000 York International Corp. ....................... 825,563
--------------
16,420,150
--------------
OIL/GAS PRODUCERS - 0.74%
61,280 Cabot Corp. .................................... 1,168,150
52,835 Noble Affiliates, Inc. ......................... 1,162,370
93,000 * Pioneer Natural Resources Corp. ................ 773,063
80,280 Ultramar Diamond Shamrock Corp. ................ 2,032,088
52,091 Valero Energy Corp. ............................ 1,080,888
--------------
6,216,559
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - 1.40%
47,439 Bowater, Inc. .................................. $ 2,324,511
84,070 Consolidated Papers, Inc. ...................... 2,459,048
76,800 Georgia-Pacific Corp.
(Timber Group).................................. 1,905,600
47,939 Longview Fibre Co. ............................. 611,222
39,100 P.H. Glatfelter Co. ............................ 503,413
44,676 Pentair, Inc. .................................. 1,658,597
25,700 Rayonier, Inc. ................................. 1,142,044
26,170 Standard Register Co. .......................... 551,206
48,461 Wausau-Mosinee Paper Corp. ..................... 642,108
--------------
11,797,749
--------------
PUBLISHING - NEWS - 1.27%
41,100 Lee Enterprises, Inc. .......................... 1,163,644
24,668 Media General, Inc., Class A.................... 1,258,068
99,600 Reader's Digest Association, Inc., Class A...... 2,888,400
9,361 Washington Post Co., Class B.................... 5,349,812
--------------
10,659,924
--------------
PUBLISHING/PRINTING - 0.38%
25,186 Banta Corp. .................................... 552,518
28,732 Houghton Mifflin Co. ........................... 1,054,105
15,300 * Scholastic Corp. ............................... 839,588
38,828 Wallace Computer Services, Inc. ................ 778,987
--------------
3,225,198
--------------
RAILROAD - 0.26%
45,924 GATX Corp. ..................................... 1,509,752
47,500 * Wisconsin Central
Transportation Corp. ........................... 666,484
--------------
2,176,236
--------------
RESTAURANTS - 1.23%
36,733 Bob Evans Farms, Inc. .......................... 548,699
61,655 * Brinker International, Inc. .................... 1,394,944
39,032 * Buffets, Inc. .................................. 419,594
55,666 CBRL Group, Inc. ............................... 619,284
30,600 * Lone Star Steakhouse &
Saloon, Inc. ................................... 230,934
69,750 * Outback Steakhouse, Inc. ....................... 1,643,484
28,100 * Papa Johns International, Inc. ................. 1,008,966
168,800 * Starbucks Corp. ................................ 4,483,750
--------------
10,349,655
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
16 November 30, 1999 (Unaudited)
MIDCAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SAVINGS & LOAN - 0.93%
50,800 Astoria Financial Corp. ........................ $ 1,601,788
197,633 Charter One Financial, Inc. .................... 4,286,166
105,200 Dime Bancorp, Inc. ............................. 1,919,900
--------------
7,807,854
--------------
SCHOOLS - 0.23%
64,300 * DeVry, Inc. .................................... 1,298,056
48,200 * Sylvan Learning Systems, Inc. .................. 635,638
--------------
1,933,694
--------------
SECURITIES RELATED - 1.31%
86,914 A.G. Edwards, Inc. ............................. 2,585,692
217,400 * E*Trade Group, Inc. ............................ 6,535,588
52,600 Legg Mason, Inc. ............................... 1,850,863
--------------
10,972,143
--------------
SEMICONDUCTOR EQUIPMENT - 1.16%
47,100 * Microchip Technology, Inc. ..................... 2,984,963
36,100 * Novellus Systems, Inc. ......................... 2,964,713
33,600 * QLogic Corp. ................................... 3,801,000
--------------
9,750,676
--------------
SEMICONDUCTORS - 5.74%
184,280 * Altera Corp. ................................... 9,928,085
92,900 * Atmel Corp. .................................... 4,163,081
38,888 Avnet, Inc. .................................... 2,136,410
60,636 * Cirrus Logic, Inc. ............................. 841,325
97,282 * Cypress Semiconductor Corp. .................... 2,650,935
82,500 * Integrated Device Technology, Inc. ............. 1,943,906
141,808 Linear Technology Corp. ........................ 10,077,231
125,000 * Maxim Integrated Products, Inc. ................ 10,039,063
142,200 * Vitesse Semiconductor Corp. .................... 6,407,888
--------------
48,187,924
--------------
TELECOMMUNICATIONS - 1.09%
36,500 * Adtran, Inc. ................................... 1,423,500
48,902 COMSAT Corp. ................................... 929,138
75,200 Harris Corp. ................................... 1,579,200
54,100 * Sanmina Corp. .................................. 5,200,363
--------------
9,132,201
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TEXTILE - PRODUCTS - 1.06%
49,000 * Burlington Industries, Inc. .................... $ 180,688
113,431 * Jones Apparel Group, Inc. ...................... 3,027,190
56,200 * Mohawk Industries, Inc. ........................ 1,401,488
127,423 Shaw Industries, Inc. .......................... 1,998,948
55,429 * Unifi, Inc. .................................... 734,434
29,084 Wellman, Inc. .................................. 463,526
51,600 WestPoint Stevens, Inc., Class A................ 1,083,600
--------------
8,889,874
--------------
TOBACCO - 0.35%
100,600 R.J. Reynolds Tobacco
Holdings, Inc. ................................. 2,144,038
30,335 Universal Corp. ................................ 779,230
--------------
2,923,268
--------------
TRUCKERS - 0.32%
23,014 Arnold Industries, Inc. ........................ 291,990
44,800 CNF Transportation, Inc. ....................... 1,489,600
59,600 * Swift Transportation Co., Inc. ................. 946,150
--------------
2,727,740
--------------
UTILITIES - COMMUNICATION - 1.60%
201,100 Broadwing, Inc. ................................ 5,857,038
56,991 Telephone and Data Systems, Inc. ............... 7,590,489
--------------
13,447,527
--------------
UTILITIES - ELECTRIC - 6.77%
106,414 Allegheny Energy, Inc. ......................... 3,086,006
72,716 Alliant Energy Corp. ........................... 1,967,877
20,179 Black Hills Corp. .............................. 441,416
20,859 Cleco Corp. .................................... 680,525
86,728 Conectiv, Inc. ................................. 1,528,581
147,100 DPL, Inc. ...................................... 2,629,413
69,800 DQE, Inc. ...................................... 2,569,513
106,042 Energy East Corp. .............................. 2,491,987
29,866 Hawaiian Electric Industries, Inc. ............. 912,780
34,823 Idacorp, Inc. .................................. 975,044
64,800 Illinova Corp. ................................. 2,081,700
27,578 Indiana Energy, Inc. ........................... 542,942
79,428 IPALCO Enterprises, Inc. ....................... 1,434,668
57,319 Kansas City Power & Light Co. .................. 1,321,919
120,142 LG&E Energy Corp. .............................. 2,402,840
56,700 * MidAmerican Energy Holdings Co. ................ 1,895,906
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
67,736 Minnesota Power, Inc. ............................ $ 1,159,979
102,114 Montana Power Co. ................................ 3,152,770
54,817 New England Electric System....................... 2,925,857
115,844 Nisource, Inc. ................................... 2,179,315
121,833 Northeast Utilities............................... 2,573,722
72,092 OGE Energy Corp. ................................. 1,540,967
109,864 Potomac Electric Power Co. ....................... 2,616,137
37,737 Public Service Co. of New Mexico.................. 627,378
78,362 Puget Sound Energy, Inc. ......................... 1,606,421
95,988 Scana Corp. ...................................... 2,603,675
76,958 Sierra Pacific Resources.......................... 1,380,434
122,420 TECO Energy, Inc. ................................ 2,448,400
86,282 UtiliCorp United, Inc. ........................... 1,736,425
43,024 Washington Gas Light Co. ......................... 1,204,672
108,552 Wisconsin Energy Corp. ........................... 2,157,471
--------------
56,876,740
--------------
UTILITIES -
GAS, DISTRIBUTION - 0.96%
52,736 AGL Resources, Inc. .............................. 975,616
129,105 KeySpan Corp. .................................... 3,316,385
79,368 MCN Energy Group, Inc. ........................... 1,979,240
35,978 National Fuel Gas Co. ............................ 1,801,149
--------------
8,072,390
--------------
UTILITIES - MISCELLANEOUS - 0.28%
56,000 NSTAR............................................. 2,324,000
--------------
WATER SERVICES - 0.27%
89,500 American Water Works Co., Inc. ................... 2,287,844
--------------
TOTAL COMMON STOCK
(Cost $703,595,952)............................... 807,992,006
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 17
MIDCAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATE SHORT TERM COMMERCIAL PAPER - 2.28%
FINANCIAL SERVICES - 0.28%
$ 2,373,000 Textron Financial Corp.,
5.62% due 12/09/99................................ $ 2,370,033
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.19%
10,000,000 Cooper Industries, Inc.,
5.75% due 12/01/99................................ 10,000,000
--------------
MISCELLANEOUS - 0.81%
6,810,000 CVS Corp.,
5.70% due 12/09/99................................ 6,801,373
--------------
TOTAL CORPORATE SHORT TERM COMMERCIAL PAPER
(Cost $19,171,406)................................ 19,171,406
--------------
UNITED STATES GOVERNMENT - SHORT TERM - 0.18%
U. S. TREASURY BILLS - 0.18%
United States Treasury Bills:
175,000 4.64% due 01/06/00................................ 174,187
400,000 4.51% due 12/09/99................................ 399,597
125,000 4.50% due 12/09/99................................ 124,874
100,000 4.45% due 12/09/99................................ 99,901
500,000 4.44% due 12/09/99................................ 499,505
200,000 4.43% due 12/09/99................................ 199,802
50,000 4.00% due 12/09/99................................ 49,955
--------------
1,547,821
--------------
TOTAL UNITED STATES GOVERNMENT - SHORT TERM
(Cost $1,547,821)................................. 1,547,821
--------------
TOTAL INVESTMENTS
(Cost $724,315,179) - 98.67%...................... $ 828,711,233
--------------
* Non-income producing
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
CONTRACTS (DEPRECIATION)
<C> <S> <C>
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/30/99)
67(2) Mid Cap 400 Index Futures (December/$419.75)...... $ 1,048,025
38(3) S&P 500 Index Futures (December/$1,391.50)........ (180,500)
------------
$ 867,525
------------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $1,382,500 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 250.
(3) Per 500.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $724,315,179)........................ $828,711,233
Receivables for:
Investments sold................................................. 17,321,331
Fund shares sold................................................. 76,986
Dividends and interest........................................... 783,856
Other assets...................................................... 6,699
------------
TOTAL ASSETS...................................................... 846,900,105
------------
LIABILITIES:
Payable for:
Investments purchased............................................ 5,816,930
Capital stock reacquired......................................... 614,929
Payable to affiliates:
Advisory fees.................................................... 213,092
Accounting services.............................................. 22,146
Accrued expenses and other liabilities............................ 367,775
------------
TOTAL LIABILITIES................................................. 7,034,872
------------
NET ASSETS........................................................ $839,865,233
------------
<CAPTION>
- -------------------------------------------------------------------------------
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
30,773,198 shares outstanding..................................... $ 307,732
Additional paid in capital........................................ 444,892,311
Undistributed net realized gain on securities..................... 289,343,022
Undistributed net investment income............................... 58,589
Unrealized appreciation of:
Investments......................................... $104,396,054
Futures............................................. 867,525 105,263,579
------------ ------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $839,865,233
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
18 MIDCAP INDEX FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 4,706,287
Interest....................................................... 373,823
------------
Total investment income....................................... 5,080,110
------------
EXPENSES:
Advisory fees.................................................. 1,270,792
Custodian fees................................................. 29,439
Registration and filing fees................................... 29,694
Audit fees and tax services.................................... 7,146
Accounting services............................................ 122,495
Directors' fees and expenses................................... 5,670
Report to shareholders......................................... 41,982
Miscellaneous.................................................. 14,710
------------
Total expenses................................................ 1,521,928
------------
NET INVESTMENT INCOME.......................................... 3,558,182
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities:
Investments...................................... $ 95,108,487
Futures contracts................................ 31,188 95,139,675
------------
Net unrealized appreciation (depreciation) of
securities during the period:
Investments...................................... (44,293,706)
Futures contracts................................ 809,915 (43,483,791)
------------ ------------
Net realized and unrealized gain on securities
during the period........................................... 51,655,884
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $ 55,214,066
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
-------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 3,558,182 $ 7,074,485
Net realized gain on securities.............. 95,139,675 195,964,405
Net unrealized depreciation of securities
during the period........................... (43,483,791) (116,073,386)
-------------------------------
Increase in net assets resulting from
operations................................. 55,214,066 86,965,504
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (3,426,236) (7,190,189)
Net realized gain on securities.............. - (69,496,818)
-------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. (3,426,236) (76,687,007)
-------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............. 24,126,601 28,483,907
Proceeds from capital stock issued for
distributions reinvested.................... 3,426,236 76,687,007
-------------------------------
27,552,837 105,170,914
Cost of capital stock repurchased............ (57,048,467) (102,194,007)
-------------------------------
Increase (decrease) in net assets resulting
from capital stock transactions............ (29,495,630) 2,976,907
-------------------------------
TOTAL INCREASE IN NET ASSETS................. 22,292,200 13,255,404
NET ASSETS:
Beginning of year............................ 817,573,033 804,317,629
-------------------------------
End of period (including undistributed net
investment income of $58,589 and
($73,357)).................................. $839,865,233 $ 817,573,033
-------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................. 945,789 1,168,332
Shares issued for distributions reinvested... 131,471 3,146,767
Shares of capital stock repurchased.......... (2,190,134) (4,258,920)
-------------------------------
(Decrease) increase in shares outstanding... (1,112,874) 56,179
Shares outstanding:
Beginning of year........................... 31,886,072 31,829,893
-------------------------------
End of period............................... 30,773,198 31,886,072
-------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited)SMALL CAP INDEX FUND 19
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 96.90%
ADVERTISING - 1.16%
2,800 * Adforce, Inc. .................................. $ 102,900
6,625 * ADVO, Inc. ..................................... 136,226
4,800 * Direct Focus, Inc. ............................. 130,200
3,332 * Doubleclick, Inc. .............................. 533,328
7,000 * E4L, Inc. ...................................... 21,875
2,500 * Flycast Communications Corp. ................... 169,375
6,400 * Getty Images, Inc. ............................. 252,800
300 Grey Advertising, Inc. ......................... 103,913
10,387 * HA-LO Industries, Inc. ......................... 64,919
2,500 * Marketing Services Group, Inc. ................. 45,156
2,200 * Modem Media . Poppe Tyson, Inc. ................ 115,913
4,200 * Network Event Theater, Inc. .................... 100,275
7,300 * NFO Worldwide, Inc. ............................ 95,356
2,800 Penton Media, Inc. ............................. 53,550
8,700 True North Communications, Inc. ................ 346,368
4,900 * Westwood One, Inc. ............................. 280,525
146 * Zap.Com Corp. .................................. 329
--------------
2,553,008
--------------
AEROSPACE/DEFENSE - 0.65%
2,465 * Alliant Techsystems, Inc. ...................... 135,420
7,100 * Aviall, Inc. ................................... 54,138
6,300 * Be Aerospace, Inc. ............................. 44,100
2,100 Cubic Corp. .................................... 41,344
5,402 * Fairchild Corp., Class A........................ 39,165
8,100 Gencorp, Inc. .................................. 88,593
2,500 HEICO Corp. .................................... 42,813
2,700 * Moog, Inc. ..................................... 70,875
7,700 * Orbital Sciences Corp. ......................... 106,837
9,400 Perkinelmer, Inc. .............................. 386,574
5,100 * Remec, Inc. .................................... 65,344
1,700 * Sequa Corp., Class A............................ 94,563
5,900 * Titan Corp. .................................... 159,669
6,100 * Trimble Navigation, Ltd. ....................... 102,938
--------------
1,432,373
--------------
AIRLINES - 0.54%
14,000 * Airtran Holdings, Inc. ......................... 64,750
6,000 * Alaska Air Group, Inc. ......................... 228,000
7,800 * American West Holdings Corp.,
Class B......................................... 157,463
2,300 * Amtran, Inc. ................................... 45,425
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AIRLINES - Continued
3,100 * Atlantic Coast Airlines Holdings, Inc. ......... $ 64,325
4,150 * Atlas Air, Inc. ................................ 104,528
5,700 Circle International Group, Inc. ............... 138,224
2,200 * Frontier Airlines, Inc. ........................ 22,963
6,500 * Mesa Airlines, Inc. ............................ 33,313
1,850 * Mesaba Holdings, Inc. .......................... 22,663
4,350 * Midwest Express Holdings, Inc. ................. 125,878
5,200 SkyWest, Inc. .................................. 127,400
15,400 * Transport World Airlines, Inc. ................. 50,050
--------------
1,184,982
--------------
APPAREL & PRODUCTS - 1.31%
4,400 * Ann Taylor Stores Corp. ........................ 190,025
5,600 Authentic Fitness Corp. ........................ 115,850
1,900 * Bebe Stores, Inc. .............................. 59,138
5,500 Brown Shoe Co., Inc. ........................... 86,625
2,100 * Buckle, Inc. ................................... 32,550
4,300 * Children's Place, Inc. ......................... 106,155
4,400 * Columbia Sportswear Co. ........................ 89,650
7,400 * Donna Karan International, Inc. ................ 57,813
5,100 * Dress Barn, Inc. ............................... 87,019
4,800 * Footstar, Inc. ................................. 159,300
7,600 * Goodys Family Clothing, Inc. ................... 50,350
5,000 * Guess?, Inc. ................................... 89,688
8,700 * Gymboree Corp. ................................. 53,288
4,900 * Jo-ann Stores, Inc. ............................ 64,006
5,550 Kellwood Co. ................................... 115,163
3,200 * Land's End, Inc. ............................... 193,200
5,969 * Mens Wearhouse, Inc. ........................... 153,702
4,200 Movado Group, Inc. ............................. 99,750
7,900 * Nautica Enterprises, Inc. ...................... 103,688
7,300 * Oakley, Inc. ................................... 43,800
4,900 OshKosh B'Gosh, Inc., Class A................... 99,225
1,500 Oxford Industries, Inc. ........................ 31,969
6,537 * Pacific Sunwear of California, Inc. ............ 201,830
6,000 Phillips-Van Heusen Corp. ...................... 51,000
5,150 * Quicksilver, Inc. .............................. 77,894
4,600 * Shoe Carnival, Inc. ............................ 46,288
4,100 Talbots, Inc. .................................. 198,850
2,800 UniFirst Corp. ................................. 42,524
2,500 * Urban Outfitters, Inc. ......................... 49,375
3,600 * Value City Department Stores, Inc. ............. 60,075
3,900 * Wet Seal, Inc. ................................. 53,137
--------------
2,862,927
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
APPLIANCES/FURNISHINGS - 0.93%
6,400 Aaron Rents, Inc. .............................. $ 115,600
3,850 Bassett Furniture Industries, Inc. ............. 61,358
3,500 * CORT Business Services Corp. ................... 68,250
8,800 Ethan Allen Interiors, Inc. .................... 292,600
10,300 * Furniture Brands International, Inc. ........... 200,850
8,797 * Griffon Corp. .................................. 67,627
7,400 Haverty Furniture Companies, Inc. .............. 101,750
15,200 Heilig-Meyers Co. .............................. 55,100
12,400 Hussmann International, Inc. ................... 211,574
7,600 Kimball International, Inc., Class B............ 125,875
12,800 La-Z-Boy, Inc. ................................. 230,400
13,185 * Metromedia International Group, Inc. ........... 59,333
3,500 National Presto Industries, Inc. ............... 123,374
4,650 Oneida, Ltd. ................................... 104,043
3,750 * SLI, Inc. ...................................... 48,516
17,600 * Sunbeam Corp. .................................. 86,900
6,500 * Windmere Corp. ................................. 93,031
--------------
2,046,181
--------------
AUTO - CARS - 0.18%
5,400 * Avis Rent A Car, Inc. .......................... 103,274
6,500 * Budget Group, Inc. ............................. 50,781
3,700 * Group 1 Automotive, Inc. ....................... 53,650
4,000 * Lithia Motors, Inc. ............................ 75,750
4,700 * Rent-A-Center, Inc. ............................ 86,068
4,000 * United Auto Group, Inc. ........................ 36,000
--------------
405,523
--------------
AUTO - ORIGINAL EQUIPMENT - 0.57%
10,600 * Allen Telecom, Inc. ............................ 99,375
5,700 Arvin Industries, Inc. ......................... 151,406
9,700 Donaldson Co., Inc. ............................ 218,855
6,000 * Hayes Lemmerz International, Inc. .............. 98,250
12,000 Mark IV Industries, Inc. ....................... 225,000
14,550 * Miller Industries, Inc. ........................ 35,466
5,400 Modine Manufacturing Co. ....................... 152,550
4,800 Superior Industries International, Inc. ........ 128,700
9,800 * Tower Automotive, Inc. ......................... 147,000
--------------
1,256,602
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
20 November 30, 1999 (Unaudited)
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.64%
5,100 * Aftermarket Technology Corp. ................... $ 44,625
15,100 Collins & Aikman Corp. ......................... 77,388
3,800 * CSK Auto Corp. ................................. 67,450
4,700 * Discount Auto Parts, Inc. ...................... 64,919
2,400 * Dura Automotive Systems, Inc. .................. 49,800
7,500 Gentek, Inc. ................................... 87,656
7,800 Kaydon Corp. ................................... 213,523
4,200 Midas, Inc. .................................... 90,300
5,122 Myers Industries, Inc. ......................... 76,830
3,000 * O'Reilly Automotive, Inc. ...................... 138,000
11,300 Pep Boys-Manny, Moe & Jack...................... 109,468
4,850 Simpson Industries, Inc. ....................... 51,077
5,100 Smith, A.O. Corp. .............................. 112,200
3,100 Standard Motor Products, Inc. .................. 56,768
9,600 * Valance Technology, Inc. ....................... 87,600
5,568 Wynn's International, Inc. ..................... 84,216
--------------
1,411,820
--------------
BANKS - OTHER - 0.79%
1,600 Alabama National Bancorp........................ 36,400
6,400 First BanCorp................................... 129,600
3,200 First Merchants Corp. .......................... 86,400
4,143 First Union Corp. .............................. 160,282
12,461 Hudson United Bancorp........................... 384,732
3,000 Irwin Financial Corp. .......................... 61,500
4,400 * Net.B@nk, Inc. ................................. 104,500
2,900 * Prism Financial Corp. .......................... 29,000
11,200 Republic Security Financial Corp. .............. 89,950
20,097 Sky Financial Group, Inc. ...................... 465,998
5,800 Sterling Bancshares, Inc. ...................... 74,313
10,600 W Holding Company, Inc. ........................ 119,912
--------------
1,742,587
--------------
BANKS - REGIONAL - 5.11%
5,280 1st Source Corp. ............................... 141,570
6,850 AMCORE Financial, Inc. ......................... 172,962
7,700 Anchor BanCorp Wisconsin, Inc. ................. 123,200
1,900 Area Bancshares Corp. .......................... 47,738
34 BancFirst Corp. ................................ 1,222
5,400 Banco Santander Puerto Rico..................... 91,800
10,800 BancorpSouth, Inc. ............................. 185,625
5,300 BancWest Corp. ................................. 233,531
2,931 Bank of Granite Corp. .......................... 66,680
7,000 Bank United Corp. .............................. 249,374
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
1,350 BankAtlantic Bancorp, Inc., Class A............ $ 6,159
9,000 BankAtlantic Bancorp, Inc., Class B............ 50,625
5,600 Banknorth Group, Inc. ......................... 170,625
2,663 * BOK Financial Corp. ........................... 56,755
2,000 Brenton Banks, Inc. ........................... 22,125
1,500 Bsb Bancorp, Inc. ............................. 31,219
3,200 BT Financial Corp. ............................ 70,200
1,350 Capital City Bank Group, Inc. ................. 31,725
5,400 Carolina First Corp. .......................... 110,362
2,300 Cathay Bancorp, Inc. .......................... 93,150
3,537 Chemical Financial Corp. ...................... 113,183
10,037 Citizens Banking Corp. ........................ 254,688
2,388 City Holding Co. .............................. 40,298
7,524 Commerce Bancorp, Inc. ........................ 323,530
7,900 Commonwealth Bancorp, Inc. .................... 131,830
11,500 Community First Bankshares, Inc. .............. 209,155
2,756 Community Trust Bancorp, Inc. ................. 59,254
2,450 Corus Bankshares, Inc. ........................ 68,600
5,605 F&M National Corp. ............................ 159,042
2,500 Farmers Capital Bank Corp. .................... 85,000
12,958 First American Financial Corp.,
Class A........................................ 166,834
2,300 First Charter Corp. ........................... 37,088
1,750 First Citizens BancShares, Inc.,
Class A........................................ 126,438
4,100 First Commerce Bancshares, Inc., Class B....... 78,925
10,472 First Commonwealth
Financial Corp. ............................... 121,736
7,118 First Financial Bancorp........................ 159,710
2,200 First Financial Bankshares, Inc. .............. 70,950
2,131 First Financial Corp. ......................... 80,445
6,168 First Midwest Bancorp, Inc. ................... 259,056
5,800 First United Bancshares, Inc. ................. 87,725
4,780 FNB Corp. ..................................... 123,084
7,900 * Friedman, Billings, Ramsey Group, Inc., Class
A.............................................. 46,906
3,700 Frontier Financial Corp. ...................... 84,638
5,015 GBC Bancorp.................................... 105,941
4,500 Greater Bay Bancorp............................ 189,000
5,700 Harbor Florida Bancshares, Inc. ............... 72,675
2,673 Harleysville National Corp. ................... 86,873
4,500 Harris Financial, Inc. ........................ 39,375
10,066 * Imperial Bancorp............................... 241,584
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
18,600 Independence Community
Bank Corp. ..................................... $ 208,088
2,825 International Bancshares Corp. ................. 132,068
3,900 InterWest Bancorp, Inc. ........................ 80,925
2,166 JeffBanks, Inc. ................................ 65,251
800 Merchants New York Bancorp, Inc. ............... 13,900
400 Midamerica Bancorp.............................. 11,475
4,500 Midwest Banc Holdings, Inc. .................... 71,438
2,400 Mississippi Valley Bancshares, Inc. ............ 75,600
4,000 National Bancorp of Alaska, Inc. ............... 103,500
4,780 National City Bancshares, Inc. ................. 138,607
3,576 National Penn Bancshares, Inc. ................. 96,552
6,085 NBT Bancorp, Inc. .............................. 104,961
2,400 Omega Financial Corp. .......................... 73,800
8,458 One Valley Bancorp, Inc. ....................... 287,042
5,200 Pacific Capital Bancorp......................... 167,700
2,000 Park National Corp. ............................ 214,500
3,600 Peoples Holding Co. ............................ 108,450
6,300 PFF Bancorp, Inc. .............................. 138,600
6,300 Premier Bancshares, Inc. ....................... 104,343
6,000 Republic Bancorp, Inc. ......................... 53,250
3,000 * Republic Bancshares, Inc. ...................... 42,375
6,200 Riggs National Corp. ........................... 87,963
6,580 S&T Bancorp, Inc. .............................. 152,162
4,900 * Silicon Valley Bancshares....................... 180,381
7,600 * Southwest Bancorporation of
Texas, Inc. .................................... 143,450
1,875 Sterling Financial Corp. ....................... 51,562
8,918 Susquehanna Bancshares, Inc. ................... 154,393
5,400 Texas Regional Bancshares, Inc., Class A........ 148,837
9,550 Triangle Bancorp, Inc. ......................... 194,580
5,700 Trust Co. of New Jersey......................... 125,755
16,780 TrustCo Bank Corp. NY........................... 244,358
10,186 U.S. Bancorp, Inc. ............................. 269,711
6,320 U.S.B. Holding Co., Inc. ....................... 100,330
3,792 UMB Financial Corp. ............................ 155,471
10,600 United Bankshares, Inc. ........................ 262,350
12,700 UST Corp. ...................................... 400,843
8,800 Webster Financial Corp. ........................ 234,300
7,590 West Coast Bancorp.............................. 111,952
6,794 Westcorp........................................ 99,787
5,800 Whitney Holding Corp. .......................... 220,400
--------------
11,211,220
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 21
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.21%
4,400 * Beringer Wine Estates Holdings, Inc., Class B... $ 183,150
3,900 * Canandaigua Brands, Inc., Class A............... 207,675
2,000 * Robert Mondavi Corp. ........................... 76,937
--------------
467,762
--------------
BEVERAGE - SOFT DRINKS - 0.03%
1,400 Coca-Cola Bottling Co. ......................... 71,750
--------------
BROADCASTING - 0.75%
5,400 Ackerley Group, Inc. ........................... 88,424
6,500 * ACTV, Inc. ..................................... 141,780
3,800 * Citadel Communications Corp. ................... 190,237
2,900 * Cumulus Media, Inc. ............................ 116,000
3,900 * Emmis Communications Corp.,
Class A......................................... 315,900
3,600 * Entercom Communications Corp. .................. 205,874
7,400 * Paxson Communications Corp. .................... 84,638
4,000 * Sinclair Broadcast Group, Inc. ................. 46,000
3,500 * Sirius Satellite Radio, Inc. ................... 94,063
5,500 * Source Media, Inc. ............................. 94,188
1,300 United Television, Inc. ........................ 174,037
2,300 * Young Broadcasting, Inc., Class A............... 92,431
--------------
1,643,572
--------------
BUILDING MATERIALS - 0.70%
7,200 Apogee Enterprises, Inc. ....................... 43,650
1,450 Butler Manufacturing Co. ....................... 31,084
3,000 Centex Construction Products, Inc. ............. 104,813
9,500 * Comfort Systems USA, Inc. ...................... 78,375
5,000 Cooper Companies, Inc. ......................... 126,250
12,800 * Dal-Tile International, Inc. ................... 131,200
5,025 Elcor Corp. .................................... 162,684
16,300 Fedders Corp. .................................. 87,613
4,600 Florida Rock Industries, Inc. .................. 143,750
4,100 * Giant Cement Holding, Inc. ..................... 126,330
11,900 Interface, Inc., Class A........................ 53,550
3,800 * Mestek, Inc. ................................... 70,775
5,100 * NCI Building Systems, Inc. ..................... 84,788
900 * Simpson Manufacturing Co. ...................... 37,518
5,100 Texas Industries, Inc. ......................... 184,875
6,000 Watsco, Inc. ................................... 65,250
--------------
1,532,505
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MAJOR - 0.23%
6,200 Albemarle Corp. ................................ $ 120,125
1 Borg-Warner Automotive, Inc. ................... 41
2,400 Chemed Corp. ................................... 62,400
6,009 * Hexcel Corp. ................................... 35,678
3,400 * Invitrogen Corp. ............................... 102,424
6,900 Polymer Group, Inc. ............................ 129,805
1,900 Spartech Corp. ................................. 59,969
--------------
510,442
--------------
CHEMICAL - MISCELLANEOUS - 1.95%
9,200 * Agribiotech, Inc. .............................. 29,325
15,100 * Airgas, Inc. ................................... 147,225
3,200 Arch Chemicals, Inc. ........................... 50,000
5,050 Brady Corp. .................................... 154,971
5,600 Cambrex Corp. .................................. 176,400
5,300 ChemFirst, Inc. ................................ 123,887
42,487 CK Witco Corp. ................................. 454,080
12,200 * Cytec Industries, Inc. ......................... 285,938
5,600 Dexter Corp. ................................... 202,300
8,200 Ethyl Corp. .................................... 34,338
8,500 Ferro Corp. .................................... 179,031
9,800 * Fisher Scientific International, Inc. .......... 260,924
5,100 Geon Co. ....................................... 154,275
7,500 Georgia Gulf Corp. ............................. 191,250
3,200 H.B. Fuller Co. ................................ 174,400
11,700 M. A. Hanna Co. ................................ 122,118
3,700 MacDermid, Inc. ................................ 140,831
4,700 Minerals Technologies, Inc. .................... 185,650
1,200 NCH Corp. ...................................... 55,950
5,600 NL Industries, Inc. ............................ 76,300
6,600 Olin Corp. ..................................... 118,387
5,800 OM Group, Inc. ................................. 195,750
8,100 Omnova Solutions, Inc. ......................... 50,625
9,300 Procurenet, Inc. ............................... 1,395
6,200 Rollins, Inc. .................................. 99,200
7,500 Schulman, A., Inc. ............................. 118,827
2,000 Stepan Co. ..................................... 47,375
5,500 * Thermo Optek Corp. ............................. 55,344
18,800 * W.R. Grace & Co. ............................... 256,150
5,800 WD-40 Co. ...................................... 134,850
--------------
4,277,096
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COAL - 0.04%
1,634 NACCO Industries, Inc., Class A................. $ 79,147
--------------
CONGLOMERATES - 0.19%
10,700 Alexander & Baldwin, Inc. ...................... 243,425
1,200 * MAXXAM, Inc. ................................... 54,525
9,100 Ogden Corp. .................................... 118,300
--------------
416,250
--------------
CONSUMER FINANCE - 0.56%
15,400 * AmeriCredit Corp. .............................. 261,800
10,100 * Arcadia Financial, Ltd. ........................ 45,450
6,874 Chittenden Corp. ............................... 222,115
7,400 Eaton Vance Corp. .............................. 265,937
9,594 Metris Companies, Inc. ......................... 303,410
5,350 WesBanco, Inc. ................................. 124,053
--------------
1,222,765
--------------
CONTAINERS - METAL/GLASS - 0.28%
3,300 * Alltrista Corp. ................................ 70,950
7,600 AptarGroup, Inc. ............................... 206,150
6,250 CLARCOR, Inc. .................................. 108,593
1,800 * CSS Industries, Inc. ........................... 38,475
5,000 Greif Brothers Corp., Class A................... 147,500
3,500 * Silgan Holdings, Inc. .......................... 53,156
--------------
624,824
--------------
CONTAINERS - PAPER - 0.23%
5,100 Chesapeake Corp. ............................... 162,880
13,400 * Gaylord Container Corp., Class A................ 83,750
3,200 * Ivex Packaging Corp. ........................... 33,800
4,790 Rock-Tenn Co., Class A.......................... 74,244
8,800 * Shorewood Packaging Corp. ...................... 144,100
--------------
498,774
--------------
COSMETICS/TOILETRIES - 0.07%
2,400 * Chattem, Inc. .................................. 46,350
8,400 * Playtex Products, Inc. ......................... 116,550
--------------
162,900
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
22 November 30, 1999 (Unaudited)
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
DRUGS - 3.05%
3,300 * Abgenix, Inc. .................................. $ 169,537
3,000 * Algos Pharmaceuticals Corp. .................... 36,375
5,600 * Alkermes, Inc. ................................. 238,000
4,700 ALPharma Inc., Class A.......................... 150,400
10,600 * AmeriSource Health Corp., Class A............... 131,175
4,700 * Applied Analytical Industries, Inc. ............ 39,950
2,300 * Barr Laboratories, Inc. ........................ 72,450
8,499 Bindley Western Industries, Inc. ............... 112,611
6,500 Carter-Wallace, Inc. ........................... 117,406
6,600 * Cephalon, Inc. ................................. 146,850
2,200 * Chirex, Inc. ................................... 76,450
8,700 * Columbia Laboratories, Inc. .................... 69,056
5,400 * COR Therapeutics, Inc. ......................... 106,650
4,300 * Coulter Pharmaceutical, Inc. ................... 73,638
14,500 * Covance, Inc. .................................. 157,687
10,600 * Dura Pharmaceuticals, Inc. ..................... 138,130
5,000 * GelTex Pharmaceuticals, Inc. ................... 53,125
5,000 * Guilford Pharmaceuticals, Inc. ................. 73,124
3,200 Herbalife International, Inc., Class A.......... 46,400
5,500 * Human Genome Sciences, Inc. .................... 616,000
5,300 * IDEC Pharmaceuticals Corp. ..................... 671,775
5,800 * Incyte Pharmaceuticals, Inc. ................... 168,200
4,100 * Inhale Therapeutic Systems, Inc. ............... 125,562
8,850 Jones Pharma, Inc. ............................. 306,430
6,900 * King Pharmaceuticals, Inc. ..................... 318,262
11,058 * Ligand Pharmaceuticals, Inc., Class B........... 127,166
6,900 * Medicis Pharmaceutical Corp.,
Class A......................................... 242,362
9,300 * Millennium Pharmaceuticals, Inc. ............... 905,296
7,130 Natures Sunshine Products, Inc. ................ 60,159
3,100 * Neurogen Corp. ................................. 45,531
6,200 * Parexel International Corp. .................... 74,400
4,400 * Pathogenesis Corp. ............................. 85,800
15,600 * P-Com, Inc. .................................... 87,750
2,000 * Pharmacyclics, Inc. ............................ 68,750
4,900 * Regeneron Pharmaceuticals, Inc. ................ 37,363
7,700 * Roberts Pharmaceutical Corp. ................... 248,805
3,200 * SafeScience, Inc. .............................. 56,400
5,200 * SangStat Medical Corp. ......................... 122,524
2,400 * Schein Pharmaceutical, Inc. .................... 21,450
27,500 * Sicor, Inc. .................................... 131,484
6,300 * Triangle Pharmaceuticals, Inc. ................. 123,638
6,100 * Vertex Pharmaceuticals, Inc. ................... 162,031
--------------
6,816,152
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRIC PRODUCTS - MISCELLANEOUS - 0.64%
2,300 * Aavid Thermal Technologies, Inc. ............... $ 53,188
3,500 * Alpha Industries, Inc. ......................... 211,750
7,900 Cmp Group, Inc. ................................ 213,793
3,800 * Dsp Group, Inc. ................................ 264,338
3,600 * Emulex Corp. ................................... 585,000
5,300 Harmon Industries, Inc. ........................ 65,588
--------------
1,393,657
--------------
ELECTRICAL EQUIPMENT - 2.34%
7,900 AMETEK, Inc. ................................... 158,000
19,400 * AMKOR Technologies, Inc. ....................... 523,800
3,900 * Amphenol Corp., Class A......................... 266,418
6,000 * ANTEC Corp. .................................... 336,000
9,000 Avista Corp. ................................... 146,250
5,900 Belden, Inc. ................................... 118,000
2,600 * Benchmark Electronics, Inc. .................... 57,850
2,100 C & D Technologies, Inc. ....................... 82,163
6,800 * Cable Design Technologies Corp. ................ 162,774
2,500 * Dbt Online, Inc. ............................... 48,125
15,500 * Digital Microwave Corp. ........................ 244,124
6,450 * Electro Rent Corp. ............................. 76,594
3,200 * Electro Scientific Industries, Inc. ............ 187,000
6,500 * Esterline Technologies Corp. ................... 81,656
10,100 General Cable Corp. ............................ 78,275
445 General Electric Co. ........................... 57,902
7,000 * GenRad, Inc. ................................... 123,813
8,700 * Identix, Inc. .................................. 76,669
10,900 * Intergraph Corp. ............................... 49,391
9,300 * Kemet Corp. .................................... 337,125
7,100 * Kent Electronics Corp. ......................... 162,856
5,100 * Littelfuse, Inc. ............................... 107,100
9,700 * Mail-Well, Inc. ................................ 115,794
3,600 * NeoMagic Corp. ................................. 32,625
3,000 * Northeast Optic Network, Inc. .................. 195,000
4,900 * Pinnacle Holdings, Inc. ........................ 139,955
3,900 * Plexus Corp. ................................... 153,562
5,200 * Power Integrations, Inc. ....................... 207,350
4,200 Standex International Corp. .................... 88,725
1,200 * Thermo Ecotek Corp. ............................ 8,850
5,850 Thomas Industries, Inc. ........................ 94,331
4,700 * Triumph Group, Inc. ............................ 114,268
11,100 * UCAR International, Inc. ....................... 248,362
6,800 * Vicor Corp. .................................... 220,150
4,500 * WESCO International, Inc. ...................... 28,688
--------------
5,129,545
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRONIC INSTRUMENTS - 3.32%
15,900 * Ampex Corp., Class A............................ $ 72,544
1,650 * Analogic Corp. ................................. 49,242
4,300 * Arguss Holdings, Inc. .......................... 58,856
9,600 BMC Industries, Inc. ........................... 52,200
5,000 * BriteSmile, Inc. ............................... 48,125
10,800 * C-Cube Microsystems, Inc. ...................... 483,467
9,100 * Checkpoint Systems, Inc. ....................... 72,231
13,000 * Commscope, Inc. ................................ 547,625
6,800 CTS Corp. ...................................... 545,275
5,400 * Dionex Corp. ................................... 209,925
6,500 Gerber Scientific, Inc. ........................ 125,125
3,400 * Hadco Corp. .................................... 160,650
3,975 Harman International Industries, Inc. .......... 204,713
6,600 * Harmonic Lightwaves, Inc. ...................... 396,825
9,400 * Imation Corp. .................................. 302,561
12,300 * InterDigital Communications Corp. .............. 124,538
11,000 * Lattice Semiconductor Corp. .................... 492,250
6,700 * LTX Corp. ...................................... 120,600
7,700 * MagnaTek, Inc. ................................. 51,494
8,550 Methode Electronics, Inc., Class A.............. 230,850
6,815 * Metromedia Fiber Network, Inc. ................. 264,081
9,400 * Mettler-Toledo International, Inc. ............. 334,288
1,400 * Molecular Devices Corp. ........................ 42,438
2,400 * Optical Cable Corp. ............................ 44,250
2,600 Park Electrochemical Corp. ..................... 85,475
4,700 * Performance Food Group Co. ..................... 117,500
6,937 Pioneer-Standard Electronics, Inc. ............. 94,517
8,400 Pittston BAX Group.............................. 79,800
7,600 Pittston Brink's Group.......................... 144,400
12,600 * Read-Rite Corp. ................................ 69,300
5,400 * Sawtek, Inc. ................................... 246,374
7,600 * Semtech Corp. .................................. 370,737
16,900 * Sensormatic Electronics Corp. .................. 269,343
3,500 Technitrol, Inc. ............................... 150,063
10,800 Tektronix, Inc. ................................ 367,200
9,000 * Thermedics, Inc. ............................... 51,188
5,200 * ThermoQuest Corp. .............................. 53,625
3,100 * Thermospectra Corp. ............................ 49,406
4,600 * Varian, Inc. ................................... 96,025
--------------
7,279,106
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 23
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - 0.73%
3,600 * AMC Entertainment, Inc. ........................ $ 36,450
7,300 * Argosy Gaming Co. .............................. 103,113
7,500 * Ascent Entertainment Group, Inc. ............... 90,938
10,600 * Aztar Corp. .................................... 113,288
2,400 * Carmike Cinemas, Inc., Class A.................. 30,000
7,000 * Florida Panthers Holdings, Inc. ................ 61,250
4,300 Gaylord Entertainment Co. ...................... 129,805
1,900 * GC Companies, Inc. ............................. 53,556
9,200 * GTECH Holdings Corp. ........................... 193,200
8,400 * Hollywood Entertainment Corp. .................. 118,650
5,900 * Marvel Enterprises, Inc. ....................... 36,875
6,946 * Midway Games, Inc. ............................. 150,206
4,800 * Playboy Enterprises, Inc. ...................... 99,900
4,000 * THQ, Inc. ...................................... 215,000
10,600 * Trans World Entertainment Corp. ................ 116,600
2,200 * Trendwest Resorts, Inc. ........................ 45,375
--------------
1,594,206
--------------
FERTILIZERS - 0.13%
9,400 Delta & Pine Land Co. .......................... 240,288
6,604 Mississippi Chemical Corp. ..................... 35,084
8,400 Terra Industries, Inc. ......................... 17,325
--------------
292,697
--------------
FINANCE COMPANIES - 0.37%
7,700 * Contifinancial Corp. ........................... 2,406
11,500 * Credit Acceptance Corp. ........................ 46,000
8,000 Doral Financial Corp. .......................... 95,500
3,900 * First Sierra Financial, Inc. ................... 83,118
8,034 * Imperial Credit Industries, Inc. ............... 45,191
2,200 * Next Card, Inc. ................................ 73,013
2,766 Oriental Financial Group, Inc. ................. 62,061
12,900 Phoenix Investment Partners, Ltd. .............. 100,780
106 * Search Financial Services, Inc. ................ -
1,100 Siebert Financial Corp. ........................ 18,975
2,400 Student Loan Corp. ............................. 118,200
2,400 * Triad Guaranty, Inc. ........................... 54,600
17,800 * UniCapital Corp. ............................... 40,050
2,800 WFS Financial, Inc. ............................ 62,825
--------------
802,719
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FINANCIAL SERVICES - 0.86%
4,700 Advanta Corp................................... $ 81,956
4,400 Advest Group, Inc.............................. 78,924
5,300 * Affiliated Managers Group, Inc................. 157,675
3,800 * Charles River Associates, Inc.................. 114,950
5,100 * Coinstar, Inc.................................. 53,231
3,500 Conning Corp................................... 29,750
400 Dudd & Phelps Credit Rating Co................. 31,850
6,200 * International Telecommunications Data Systems,
Inc............................................ 80,600
5,100 Jefferies Group, Inc........................... 101,363
8,000 Leucadia National Corp......................... 174,500
5,200 Medallion Financial Corp....................... 102,050
3,400 * NCO Group, Inc................................. 157,675
4,500 * New Century Financial Corp..................... 70,875
5,600 Resource America, Inc.......................... 47,600
6,200 Richmond Count Financial Corp.................. 105,788
3,520 Southwest Securities Group, Inc................ 99,880
2,900 * TheStreet.com, Inc............................. 46,219
5,800 * Track Data Corp................................ 35,525
13,100 United Asset Management Corp................... 252,992
2,100 Value Line, Inc................................ 72,713
--------------
1,896,116
--------------
FOODS - 1.47%
2,700 * Agribrands International, Inc.................. 127,068
4,400 * American Italian Pasta Co., Class A............ 132,275
15,600 Chiquita Brands International, Inc............. 68,250
9,200 Corn Products International, Inc............... 288,650
9,700 * Del Monte Foods Co. ........................... 130,344
6,400 Dreyer's Grand Ice Cream, Inc.................. 106,400
10,500 Earthgrains Co................................. 190,313
3,900 * Grand Union Co................................. 41,438
2,100 * Hain Food Group, Inc........................... 48,038
3,800 * International Home Foods, Inc.................. 66,738
4,400 International Multifoods Corp.................. 61,325
3,600 Interpool, Inc................................. 31,950
4,100 * J & J Snack Foods Corp......................... 76,875
6,200 J.M. Smucker Co., Class A...................... 124,774
6,000 Lance, Inc..................................... 62,625
3,800 Michael Foods, Inc............................. 95,238
15,600 * NBTY, Inc...................................... 152,587
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOODS - Continued
3,200 Pilgrims Pride Corp............................. $ 24,800
1,600 Pilgrims Pride Corp., Class A................... 9,400
7,840 * Ralcorp Holdings, Inc........................... 153,370
4,200 Riviana Foods, Inc.............................. 80,325
300 Seaboard Corp................................... 70,200
8,200 * Suiza Foods Corp................................ 294,688
12,000 Trinity Industries, Inc......................... 351,000
4,100 * United Natural Foods, Inc....................... 34,338
11,600 Universal Foods Corp............................ 246,500
7,300 * Vlasic Foods International, Inc................. 56,575
2,700 * Wild Oats Markets, Inc.......................... 96,188
--------------
3,222,272
--------------
FOOTWEAR - 0.30%
1,700 * Cole, K. Productions, Inc., Class A............. 77,987
6,200 * Genesco, Inc. .................................. 86,800
11,850 * Just For Feet, Inc. ............................ 14,442
4,200 Justin Industries, Inc. ........................ 65,363
8,600 * Reebok International, Ltd. ..................... 77,400
12,100 Stride Rite Corp. .............................. 77,138
3,200 * Timberland Co., Class A......................... 153,600
10,400 Wolverine World Wide, Inc. ..................... 113,750
--------------
666,480
--------------
FREIGHT - 0.53%
7,450 Air Express International Corp. ................ 240,263
10,400 Airborne Freight Corp. ......................... 241,150
4,200 * Eagle USA Airfreight, Inc. ..................... 141,488
7,800 J.B. Hunt Transport Services, Inc. ............. 104,325
8,412 * Kirby Corp. .................................... 154,570
14,000 OMI Corp. ...................................... 23,625
7,300 Overseas Shipholding Group, Inc. ............... 106,762
2,900 * SEACOR SMIT, Inc. .............................. 150,438
--------------
1,162,621
--------------
GOLD MINING - 0.04%
32,600 * Battle Mountain Gold Co. ....................... 81,500
--------------
HARDWARE & TOOLS - 0.05%
3,900 Barnes Group, Inc. ............................. 63,375
1,900 Lawson Products, Inc. .......................... 43,225
--------------
106,600
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
24 November 30, 1999 (Unaudited)
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTHCARE - 1.76%
2,300 * Accredo Health, Inc. .............................. $ 63,394
2,300 * Advance Paradigm, Inc. ............................ 91,425
5,400 * Alterra Healthcare Corp. .......................... 40,838
12,700 * Apria Healthcare Group, Inc. ...................... 177,005
3,619 Block Drug Co., Inc., Class A...................... 106,094
44,500 * Caremark Rx, Inc. ................................. 203,031
3,500 * CareMatrix Corp. .................................. 7,219
10,300 * First Health Group Corp. .......................... 259,430
4,700 * Hanger Orthopedic Group, Inc. ..................... 48,175
5,900 * Henry Schein, Inc. ................................ 75,594
5,300 Hooper Holmes, Inc. ............................... 125,213
6,100 * ImClone Systems, Inc. ............................. 221,888
9,600 * Integrated Health Services, Inc. .................. 3,600
8,300 Invacare Corp. .................................... 174,819
19,000 * Laboratory Corp. of America Holdings............... 71,250
580 * LTC Healthcare, Inc. .............................. 834
1,500 * MAXIMUS, Inc. ..................................... 42,000
9,500 * Medquist, Inc. .................................... 270,750
6,200 Mentor Corp. ...................................... 144,925
8,800 * NCS HealthCare, Inc., Class A...................... 23,375
5,800 * Onhealth Network Co. .............................. 50,750
2,300 * Osteotech, Inc. ................................... 32,200
5,875 * Patterson Dental Co. .............................. 269,515
4,699 * Pharmaceutical Product Development, Inc. .......... 58,150
15,700 * PhyCor, Inc. ...................................... 23,550
2,304 * Priority Healthcare Corp. ......................... 57,024
2,000 * Professional Detailing, Inc. ...................... 53,000
3,100 * Province Healthcare Co. ........................... 63,744
17,700 * Quorum Health Group, Inc. ......................... 158,194
10,875 * Renal Care Group, Inc. ............................ 222,938
8,196 * Respironics, Inc. ................................. 65,056
6,800 * Sierra Health Services, Inc. ...................... 63,750
15,000 * Steris Corp. ...................................... 195,000
11,088 * Sun Healthcare Group, Inc. ........................ 499
8,300 * Sunrise Medical, Inc. ............................. 49,800
2,400 * Superior Consultant Holdings Corp. ................ 35,100
16,600 * Total Renal Care Holdings, Inc. ................... 118,275
5,600 * United Payors & Providers, Inc. ................... 89,600
13,300 * US Oncology, Inc. ................................. 62,758
1,600 Vital Signs, Inc. ................................. 37,200
------------
3,856,962
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEAVY DUTY TRUCKS/PARTS - 0.30%
5,400 Bandag, Inc. ...................................... $ 130,950
2,200 Detroit Diesel Corp. .............................. 40,425
11,200 Federal Signal Corp. .............................. 189,700
1,050 Oshkosh Truck Corp., Class B....................... 29,006
4,700 * Terex Corp. ....................................... 131,600
8,200 Titan International, Inc. ......................... 54,325
5,850 Wabash National Corp. ............................. 85,922
------------
661,928
------------
HOME BUILDERS - 0.69%
12,205 D R Horton, Inc. .................................. 167,818
5,400 * Del Webb Corp. .................................... 123,525
10,800 * Fairfield Communities, Inc. ....................... 128,925
11,700 Kaufman & Broad Home Corp. ........................ 258,862
5,600 M.D.C. Holdings, Inc. ............................. 83,650
2,400 * NVR, Inc. ......................................... 116,700
4,781 * Palm Harbor Homes, Inc. ........................... 86,656
6,900 Pulte Corp. ....................................... 138,431
4,800 Ryland Group, Inc. ................................ 109,200
8,200 Standard Pacific Corp. ............................ 90,200
6,200 * Toll Brothers, Inc. ............................... 110,825
3,470 * U.S. Home Corp. ................................... 89,353
------------
1,504,145
------------
HOSPITAL MANAGEMENT - 0.38%
18,400 * Beverly Enterprises, Inc. ......................... 73,600
14,400 * Coventry Health Care, Inc. ........................ 82,800
6,100 * Eclipsys Corp. .................................... 148,687
1,498 * Healtheon/Webmd Corp. ............................. 68,065
4,100 * Lifepoint Hospitals, Inc. ......................... 48,175
7,900 * Magellan Health Services, Inc. .................... 49,375
9,800 * Orthodontic Centers of America, Inc. .............. 119,437
3,900 * Pediatrix Medical Group, Inc. ..................... 30,225
3,600 * Sunquest Information Systems, Inc. ................ 49,050
4,100 * Sunrise Assisted Living, Inc. ..................... 53,813
3,500 * Triad Hospitals, Inc. ............................. 43,313
13,300 Ventas, Inc. ...................................... 65,669
------------
832,209
------------
HOSPITAL SUPPLIES - 1.05%
2,430 Abbott Laboratories................................ 92,340
5,700 * Acuson Corp. ...................................... 65,906
3,400 Arrow International, Inc. ......................... 101,787
12,500 * Bio-Technology General Corp. ...................... 150,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HOSPITAL SUPPLIES - Continued
2,500 * Closure Medical Corp. ............................. $ 34,688
6,000 * Coherent, Inc. .................................... 159,000
3,800 * CONMED Corp. ...................................... 95,950
4,700 * Datascope Corp. ................................... 174,340
2,900 Diagnostic Products Corp. ......................... 73,044
7,900 * Isis Pharmaceuticals, Inc. ........................ 123,438
1,900 Landauer, Inc. .................................... 47,025
6,726 Medtronic, Inc. ................................... 261,473
8,350 Owens & Minor, Inc. ............................... 78,281
17,075 * PSS World Medical, Inc. ........................... 171,284
9,300 * Safeskin Corp. .................................... 112,763
10,500 * Summit Technology, Inc. ........................... 201,469
4,800 * TECHE Corp. ....................................... 233,100
9,800 * Theragenics Corp. ................................. 93,713
2,500 * Thermo BioAnalysis Corp. .......................... 44,063
------------
2,313,664
------------
HOUSEHOLD PRODUCTS - 0.48%
700 Bush Industries, Inc. ............................. 11,200
9,600 Church & Dwight Co., Inc. ......................... 268,800
3,600 * Cost Plus, Inc. ................................... 133,200
6,000 Libbey, Inc. ...................................... 159,000
5,900 Pittway Corp., Class A............................. 182,900
16,300 Tupperware Corp. .................................. 290,344
------------
1,045,444
------------
HUMAN RESOURCES - 0.59%
1,900 * AHL Services, Inc. ................................ 34,913
4,500 * Careerbuilder, Inc. ............................... 30,938
4,500 * Cornell Corrections, Inc. ......................... 51,469
16,380 * Interim Services, Inc. ............................ 302,006
2,600 Kelly Services, Inc., Class A...................... 68,169
2,600 * Korn/Ferry International........................... 58,825
8,550 * Labor Ready, Inc. ................................. 108,478
8,100 * Metamor Worldwide, Inc. ........................... 213,637
16,900 Olsten Corp. ...................................... 171,112
7,700 * Personnel Group of America, Inc. .................. 60,156
2,200 * Probusiness Services, Inc. ........................ 63,800
6,900 * Staff Leasing, Inc. ............................... 57,788
10,300 * Staffmark, Inc. ................................... 82,078
------------
1,303,369
------------
INFORMATION PROCESSING - 1.70%
2,500 * Administaff, Inc. ................................. 41,875
2,850 * Advent Software, Inc. ............................. 159,600
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 25
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - Continued
12,300 * American Management Systems, Inc. ................. $ 361,312
5,500 * Ashton Technology Group, Inc. ..................... 35,406
5,000 * CACI International, Inc. .......................... 110,000
4,200 * CAIS Internet, Inc. ............................... 54,863
7,200 * ChoicePoint, Inc. ................................. 240,300
17,550 * CHS Electronics, Inc. ............................. 12,066
4,000 * Complete Business Solutions, Inc. ................. 75,750
2,500 * Earthweb, Inc. .................................... 94,063
1,400 * F.Y.I., Inc. ...................................... 44,800
2,400 * Fidelity Holdings, Inc. ........................... 37,500
4,500 * Go2Net, Inc. ...................................... 328,781
4,800 * InfoUSA, Inc., Class B............................. 30,000
5,200 * Intraware, Inc. ................................... 158,600
3,500 * Juno Online Services, Inc. ........................ 59,938
11,400 * Learn2.com, Inc. .................................. 34,200
4,000 * MapQuest.com, Inc. ................................ 99,500
4,000 * Maxwell Technologies, Inc. ........................ 43,000
6,800 * Micrel, Inc. ...................................... 334,900
4,600 * Pegasystems, Inc. ................................. 35,075
5,600 * Quanta Services, Inc. ............................. 156,800
5,500 * Rare Medium Group, Inc. ........................... 152,624
7,885 * S1 Corp. .......................................... 380,432
5,900 * Sipex Corp. ....................................... 81,863
5,200 * Spyglass, Inc. .................................... 147,550
20,200 * Sybase, Inc. ...................................... 325,724
9,100 * Systemax, Inc. .................................... 88,156
------------
3,724,678
------------
INFORMATION PROCESSING -
BUSINESS SOFTWARE - 3.73%
2,300 * 24/7 Media, Inc. .................................. 116,725
2,200 * Actuate Software Corp. ............................ 134,200
2,200 * Allaire Corp. ..................................... 334,125
4,700 * Appliedtheory Corp. ............................... 84,013
5,900 * Aspect Development, Inc. .......................... 281,724
6,400 * Aspen Technology, Inc. ............................ 120,800
8,700 * AXENT Technologies, Inc. .......................... 192,487
2,918 * Baan Company NV.................................... 38,664
4,100 * Beyond.Com Corp. .................................. 42,025
2,900 * Bindview Development Corp. ........................ 87,000
2,600 * Bottomline Technologies, Inc. ..................... 56,225
3,700 * Brio Technology, Inc. ............................. 139,213
6,000 * Cerner Corp. ...................................... 114,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
INFORMATION PROCESSING - BUSINESS SOFTWARE -
Continued
8,900 * Ciber, Inc. ...................................... $ 189,680
5,100 * Clarify, Inc. .................................... 475,336
1,600 * Concur Technologies, Inc. ........................ 37,500
4,200 * Engineering Animation, Inc. ...................... 35,175
6,300 * Epicor Software Corp. ............................ 36,816
1,600 * Exchange Applications, Inc. ...................... 97,200
4,100 * First Consulting Group, Inc. ..................... 38,950
2,500 * Great Plains Software, Inc. ...................... 133,594
7,900 * Harbinger Corp. .................................. 138,743
6,200 * HNC Software, Inc. ............................... 440,200
6,500 * Infocure Corp. ................................... 104,406
1,300 * Informatica Corp. ................................ 94,738
51,000 * Informix Corp. ................................... 561,000
5,000 * ISS Group, Inc. .................................. 241,250
4,000 * Macrovision Corp. ................................ 255,500
4,600 * Mediconsult.com, Inc. ............................ 39,100
4,100 * Metro Information Services, Inc. ................. 60,987
2,000 * Micromuse, Inc. .................................. 228,750
8,600 * Microstrategy, Inc. .............................. 1,053,500
5,300 * Navarre Corp. .................................... 39,750
3,600 * Onyx Software Corp. .............................. 116,100
1,700 * Pcorder.Com, Inc. ................................ 87,975
6,000 * Peregrine Systems, Inc. .......................... 420,000
5,500 * Private Business, Inc. ........................... 16,672
1,700 * Proxicom, Inc. ................................... 117,300
1,515 PSINet, Inc. ..................................... 75,735
7,400 * Quadramed Corp. .................................. 50,181
7,100 * SAGA Systems, Inc. ............................... 151,319
3,000 * Sanchez Computer Associates, Inc. ................ 117,750
1,900 * Silknet Software, Inc. ........................... 167,674
6,500 * Ss&c Technologies, Inc. .......................... 34,938
4,600 * TSI International Software, Ltd. ................. 200,100
2,400 * Unigraphics Solutions, Inc. ...................... 52,950
3,000 * Verity, Inc. ..................................... 310,406
6,400 * Visio Corp. ...................................... 229,600
------------
8,192,076
------------
INFORMATION PROCESSING -
COMPUTER HARDWARE
SYSTEMS - 0.81%
8,094 * Artesyn Technologies, Inc. ....................... 176,550
15,800 * Concurrent Computer Corp. ........................ 205,400
3,100 * Egghead.com, Inc. ................................ 56,188
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER HARDWARE
SYSTEMS - Continued
3,000 * Electronics Boutique Holdings Corp. ............... $ 64,688
3,600 * Eshare Technologies, Inc. ......................... 31,950
5,000 * Hutchinson Technology, Inc. ....................... 92,500
65,900 * Iomega Corp. ...................................... 255,363
13,700 * Komag, Inc. ....................................... 32,538
9,400 * Maxtor Corp. ...................................... 56,988
7,000 * MEMC Electronic Materials, Inc. ................... 84,000
32,300 * Merisel, Inc. ..................................... 52,488
12,400 * Micron Electronics, Inc. .......................... 136,400
3,400 * MIPS Technologies, Inc., Class A .................. 150,025
2,600 * Netopia, Inc. ..................................... 144,950
5,700 * OEA, Inc. ......................................... 30,994
7,400 * PubliCARD, Inc. ................................... 43,475
4,200 * Radiant Systems, Inc. ............................. 103,950
17,300 * Western Digitial Corp. ............................ 68,119
------------
1,786,566
------------
INFORMATION PROCESSING - COMPUTER SERVICES - 1.46%
5,400 * AnswerThink Consulting Group, Inc. ................ 140,063
10,200 * Cambridge Technology Partners, Inc. ............... 146,625
3,300 * Catapult Communications Corp. ..................... 64,144
8,425 * Computer Horizons Corp. ........................... 118,477
5,900 Computer Task Group, Inc. ......................... 87,393
7,700 * Cotelligent, Inc. ................................. 32,244
4,900 Creative Computers, Inc. .......................... 47,163
6,100 * Datastream Systems, Inc. .......................... 85,400
2,300 * Digital River, Inc. ............................... 70,150
2,400 Factset Research Systems, Inc. .................... 148,800
1,700 * Forrester Research, Inc. .......................... 82,663
1,500 * Globix Corp. ...................................... 59,906
2,500 * IVillage, Inc. .................................... 70,781
3,700 * Latitude Communications, Inc. ..................... 90,650
8,500 * Mastech Corp. ..................................... 159,906
1,700 * Media Metrix, Inc. ................................ 62,900
4,800 * Messagemedia, Inc. ................................ 78,600
2,800 * OneMain.com, Inc. ................................. 52,150
2,100 * Pegasus Systems, Inc. ............................. 107,100
6,400 * Presstek, Inc. .................................... 70,400
7,300 * Sagent Technology, Inc. ........................... 145,087
4,000 * Source Information Management Co. ................. 61,000
2,700 * Startek, Inc. ..................................... 61,931
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
26 November 30, 1999 (Unaudited)
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
INFORMATION PROCESSING - COMPUTER SERVICES -
Continued
4,200 * Syntel, Inc. ..................................... $ 52,500
3,400 * USinternetworking, Inc. .......................... 186,363
7,900 * Vantive Corp. .................................... 122,450
7,400 * Verticalnet, Inc. ................................ 648,425
3,300 * Zixit Corp. ...................................... 142,725
------------
3,195,996
------------
INFORMATION PROCESSING - CONSUMER SOFTWARE - 1.11%
13,800 * BroadVision, Inc. ................................ 1,284,260
8,000 * Caprock Communications Corp. ..................... 195,000
3,900 * Imrglobal Corp. .................................. 44,606
1,500 * Intervu, Inc. .................................... 93,375
7,000 * MTI Technology Corp. ............................. 196,000
6,900 * Open Market, Inc. ................................ 254,006
2,600 * Pervasive Software, Inc. ......................... 35,588
3,100 * SCM Microsystems, Inc. ........................... 195,300
2,600 * Tenfold Corp. .................................... 78,325
1,800 * Worldgate Communication, Inc. .................... 58,613
------------
2,435,073
------------
INFORMATION PROCESSING -
DATA SERVICES - 4.82%
3,300 * Activision, Inc. ................................. 49,552
3,800 * Advanced Digital Information Corp. ............... 170,763
2,400 * Anacomp, Inc. .................................... 43,350
5,500 Analysts International Corp. ..................... 65,656
7,800 * Anixter International, Inc. ...................... 158,924
6,220 * Applied Graphics Technologies, Inc. .............. 58,313
4,900 * Ardent Software, Inc. ............................ 128,625
1,932 * At Home Corp. .................................... 93,702
8,408 * Avant! Corp. ..................................... 131,375
2,850 * Barra, Inc. ...................................... 83,006
3,600 * Bell & Howell Co. ................................ 111,600
4,400 * Black Box Corp. .................................. 261,800
6,200 * CCC Information Services Group, Inc. ............. 67,813
6,900 * Computer Network Technology Corp. ................ 139,725
1,650 * Computer Sciences Corp. .......................... 107,597
6,000 * Cybercash, Inc. .................................. 65,250
4,000 * Data Transmission Network Corp. .................. 82,250
5,700 * Documentum, Inc. ................................. 191,663
3,843 * EMC Corp. ........................................ 321,131
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
4,600 * Excalibur Technologies Corp. ...................... $ 61,238
2,600 Fair Issac & Co., Inc. ............................ 110,500
8,800 * FileNet Corp. ..................................... 176,000
9,200 * GT Interactive Software Corp. ..................... 18,975
3,250 Henry Jack & Associates, Inc. ..................... 128,578
7,410 * Hyperion Solutions Corp. .......................... 202,848
4,700 * IDX Systems Corp. ................................. 99,581
3,900 * In Focus Systems, Inc. ............................ 81,413
7,400 * Information Resources, Inc. ....................... 74,000
6,300 Innovex, Inc. ..................................... 56,700
2,900 * INSpire Insurance Solutions, Inc. ................. 18,125
7,600 * Integrated Systems, Inc. .......................... 218,025
6,150 * JDA Software Group, Inc. .......................... 86,100
3,050 * Kronos, Inc. ...................................... 158,219
5,700 * Learning Tree International, Inc. ................. 142,144
7,100 * Manugistics Group, Inc. ........................... 118,925
8,600 * Mapics, Inc. ...................................... 81,700
15,800 * Mentor Graphics Corp. ............................. 142,200
9,800 * Mercury Interactive Corp. ......................... 814,625
3,900 * MICROS Systems, Inc. .............................. 197,194
6,000 MTS Systems Corp. ................................. 59,250
7,800 National Computer Systems, Inc. ................... 299,324
5,775 * National Instruments Corp. ........................ 173,250
6,000 * Nvidia Corp. ...................................... 207,750
10,645 * Paxar Corp. ....................................... 90,483
9,100 * Phoenix Technologies, Ltd. ........................ 130,813
7,500 * Physician Computer Network, Inc. .................. 1,500
3,600 * Pinnacle Systems, Inc. ............................ 118,800
7,300 * Policy Management Systems Corp. ................... 146,913
5,285 * Primark Corp. ..................................... 140,383
6,350 * Profit Recovery Group
International, Inc. ............................... 235,248
5,050 * Progress Software Corp. ........................... 201,369
2,300 * Project Software & Development, Inc. .............. 205,275
6,800 * ProxyMed, Inc. .................................... 75,225
2,550 * QRS Corp. ......................................... 148,219
4,020 * Renaissance Worldwide, Inc. ....................... 19,095
12,600 * S3, Inc. .......................................... 105,525
5,000 * Sandisk Corp. ..................................... 330,313
8,400 * Santa Cruz Operation, Inc. ........................ 125,474
6,700 * SMART Modular Technologies, Inc. .................. 281,400
8,600 * Structural Dynamic Research Corp. ................. 91,644
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
4,200 * Sykes Enterprises, Inc. ........................... $ 167,738
9,100 * Systems & Computer
Technology Corp. .................................. 130,244
10,025 * Technology Solutions Co. .......................... 274,434
3,900 * Telescan, Inc. .................................... 104,813
7,500 * Transaction Systems Architects, Inc., Class A ..... 262,031
2,500 * Volt Information Sciences, Inc. ................... 55,781
9,700 * Wave Systems Corp. ................................ 130,950
8,075 * Wind River Systems, Inc. .......................... 278,588
5,900 * Xircom, Inc. ...................................... 309,750
5,900 * Zebra Technologies Corp., Class A ................. 356,212
------------
10,576,979
------------
INFORMATION PROCESSING - NETWORKING - 0.85%
3,900 * ACT Networks, Inc. ................................ 31,688
4,500 * Apex, Inc. ........................................ 105,750
7,400 * Banyan Systems, Inc. .............................. 106,375
10,800 * Concentric Network Corp. .......................... 307,125
3,200 * Concord Communications, Inc. ...................... 171,200
2,400 * Entrust Technologies, Inc. ........................ 86,550
6,200 * Hypercom Corp. .................................... 58,513
10,200 * Picturetel Corp. .................................. 49,725
5,700 * Remedy Corp. ...................................... 198,788
8,900 * RSA Security, Inc. ................................ 331,524
5,000 * RWD Technologies, Inc. ............................ 40,625
4,900 * Visual Networking, Inc. ........................... 289,100
4,600 * Ziff-Davis, Inc. .................................. 84,813
------------
1,861,776
------------
INSURANCE - CASUALTY - 0.55%
4,000 * Acceptance Insurance Co., Inc. .................... 25,500
2,900 Baldwin & Lyons, Inc., Class B .................... 60,175
6,200 Commerce Group, Inc. .............................. 172,825
3,100 E.W. Blanch Holdings, Inc. ........................ 179,800
2,100 * FPIC Insurance Group, Inc. ........................ 39,900
8,217 Frontier Insurance Group, Inc. .................... 24,651
9,800 HCC Insurance Holdings, Inc. ...................... 104,125
2,700 Midland Co. ....................................... 62,775
1,300 Pma Capital Corp. ................................. 25,755
9,200 Reliance Group Holdings, Inc. ..................... 36,800
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 27
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - CASUALTY - Continued
5,900 * Risk Capital Holdings, Inc. ....................... $ 76,331
2,100 RLI Corp. ......................................... 71,400
9,700 Selective Insurance Group, Inc. ................... 169,750
2,900 Stewart Information Services Corp. ................ 39,150
2,600 * Superior National Insurance
Group, Inc. ....................................... 7,963
3,350 Trenwick Group, Inc. .............................. 68,047
1,805 United Fire & Casualty Co. ........................ 39,259
------------
1,204,206
------------
INSURANCE - LIFE - 0.51%
4,100 Guarantee Life Co., Inc. .......................... 129,150
1,600 Kansas City Life Insurance Co. .................... 56,000
13,700 Mony Group, Inc. .................................. 404,150
500 * National Western Life Insurance Co., Class A ...... 40,500
6,000 Presidential Life Corp. ........................... 105,000
1,500 StanCorp Financial Group, Inc. .................... 41,437
9,300 * UICI .............................................. 227,850
5,350 W. R. Berkley Corp. ............................... 114,356
------------
1,118,443
------------
INSURANCE - MISCELLANEOUS - 1.15%
4,300 Arthur J. Gallagher & Co. ......................... 234,350
3,687 Brown & Brown, Inc. ............................... 143,793
5,600 Capital Re Corp. .................................. 77,000
3,400 Chicago Title Corp. ............................... 154,488
9,000 Crawford & Co., Class B ........................... 117,000
6,750 Fidelity National Financial, Inc. ................. 101,672
4,600 Foremost Corp. of America ......................... 129,950
3,200 Harleysville Group, Inc. .......................... 48,200
8,950 HSB Group, Inc. ................................... 314,369
2,747 Liberty Corp. ..................................... 125,675
13,200 * Mid Atlantic Medical Services, Inc. ............... 105,600
8,300 MMI Companies, Inc. ............................... 33,719
15,200 Ohio Casualty Corp. ............................... 234,175
4,400 * PICO Holdings, Inc. ............................... 66,275
7,499 Radian Group, Inc. ................................ 366,513
2,900 SCPIE Holdings, Inc. .............................. 100,956
1,050 White Moutains Insurance Group, Inc. .............. 123,900
2,400 Zenith National Insurance Corp. ................... 49,800
------------
2,527,435
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - MULTILINE - 0.82%
6,950 Alfa Corp. ........................................ $ 120,756
700 * Alleghany, Corp. .................................. 134,400
5,263 Allstate Corp. .................................... 137,825
3,578 American Annuity Group, Inc. ...................... 57,695
4,353 AmerUs Life Holdings, Inc. ........................ 102,568
4,400 Argonaut Group, Inc. .............................. 101,750
4,300 CNA Surety Corp. .................................. 47,838
3,708 * Delphi Financial Group, Inc., Class A ............. 114,938
6,600 FBL Financial Group, Inc., Class A ................ 114,675
10,400 Horace Mann Educators Corp. ....................... 228,150
4,100 LandAmerica Financial Group, Inc. ................. 79,694
1,050 * Markel Corp. ...................................... 165,113
5,540 * Medical Assurance, Inc. ........................... 121,534
4,180 * Professionals Group, Inc. ......................... 107,374
3,200 * Provident American Corp. .......................... 96,000
8,400 * Unistar Financial Service Corp. ................... 63,000
------------
1,793,310
------------
LEISURE TIME - 1.00%
13,100 * Acclaim Entertainment, Inc. ....................... 84,331
3,700 * Action Performance Co., Inc. ...................... 62,669
15,500 AMF Bowling, Inc. ................................. 49,406
2,100 * Anchor Gaming ..................................... 115,631
5,700 * Bally Total Fitness Holding Corp. ................. 129,674
9,200 * Boyd Gaming Corp. ................................. 56,925
18,500 Callaway Golf Co. ................................. 269,406
1,600 Churchill Downs, Inc. ............................. 36,500
4,500 * Dollar Thrifty Automotive Group, Inc. ............. 88,875
5,600 * Family Golf Centers, Inc. ......................... 9,275
8,500 * Handleman Co. ..................................... 131,219
5,900 * Hollywood Park, Inc. .............................. 119,106
4,350 * JAKKS Pacific, Inc. ............................... 105,488
6,000 Polaris Industries, Inc. .......................... 231,000
4,500 * Scotts Co. ........................................ 180,844
5,100 * Station Casinos, Inc. ............................. 122,400
7,150 * Sunterra Corp. .................................... 76,863
6,800 * Vail Resorts, Inc. ................................ 116,875
5,800 Winnebago Industries, Inc. ........................ 109,475
8,000 * WMS Industries, Inc. .............................. 91,000
------------
2,186,962
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LODGING - 0.43%
11,000 * Choice Hotels International, Inc. ................. $ 172,562
4,100 Deltic Timber Corp. ............................... 105,575
17,500 * Extended Stay America, Inc. ....................... 134,531
6,039 Marcus Corp. ...................................... 76,997
11,680 Meristar Hospitality Corp. ........................ 181,040
12,800 * Prime Hospitality Corp. ........................... 111,200
2,473 Starwood Hotels & Resorts
Worldwide, Inc. ................................... 55,179
40,800 Wyndham International, Inc. ....................... 114,750
------------
951,834
------------
MACHINE TOOLS - 0.51%
10,677 * Gilead Sciences, Inc. ............................. 512,496
8,900 Milacron, Inc. .................................... 129,606
4,400 * PRI Automation, Inc. .............................. 208,450
7,400 Roper Industries, Inc. ............................ 275,187
------------
1,125,739
------------
MACHINERY - AGRICULTURE - 0.15%
12,000 AGCO Corp. ........................................ 152,250
3,800 Lindsay Manufacturing Co. ......................... 63,888
3,500 Toro Co. .......................................... 113,531
------------
329,669
------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.67%
3,600 * Astec Industries, Inc. ............................ 89,550
3,400 * CDI Corp. ......................................... 82,450
9,100 CMI Corp., Class A ................................ 73,938
3,000 Columbus McKinnon Corp. ........................... 31,125
13,800 Foster Wheeler Corp. .............................. 140,588
4,750 Granite Construction, Inc. ........................ 90,250
23,500 Harnischfeger Industries, Inc. .................... 24,969
7,300 * Insituform Technologies, Inc., Class A ............ 182,955
5,300 * Jacobs Engineering Group, Inc. .................... 166,619
5,900 Kaman Corp., Class A .............................. 70,063
11,500 Lennar Corp. ...................................... 187,594
5,822 * Morrison Knudsen Corp. ............................ 50,579
5,400 Sauer, Inc. ....................................... 69,863
2,300 Stone & Webster, Inc. ............................. 37,663
4,100 TJ International, Inc. ............................ 170,919
------------
1,469,125
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
28 November 30, 1999 (Unaudited)
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 2.37%
6,650 AAR Corp. ......................................... $ 109,725
4,638 * Albany International Corp., Class A ............... 78,266
5,575 Applied Industrial Technologies, Inc. ............. 95,472
9,580 Applied Power, Inc., Class A ...................... 305,961
2,300 * Asyst Technologies, Inc. .......................... 91,892
6,873 Baldor Electric Co. ............................... 134,452
5,680 Burlington Coat Factory
Warehouse Corp. ................................... 72,775
7,100 * DII Group, Inc. ................................... 448,188
4,800 Exide Corp. ....................................... 49,500
9,000 Flowserve Corp. ................................... 156,375
1,100 Franklin Electric Co., Inc. ....................... 78,788
5,200 * Gardner Denver, Inc. .............................. 85,150
1,275 General Binding Corp. ............................. 10,359
5,150 Graco, Inc. ....................................... 169,628
4,500 Helix Technology Corp. ............................ 182,180
5,700 Hughes Supply, Inc. ............................... 135,019
7,150 IDEX Corp. ........................................ 197,072
4,100 * Ionics, Inc. ...................................... 109,419
10,600 JLG Industries, Inc. .............................. 145,088
5,800 * Kulicke and Soffa Industries, Inc. ................ 206,988
5,850 Lilly Industries, Inc., Class A ................... 81,534
9,100 Lincoln Electric Holdings, Inc. ................... 184,844
6,362 Manitowoc Co., Inc. ............................... 194,040
8,200 Newport News Shipbuilding, Inc. ................... 270,600
3,400 Nordson Corp. ..................................... 166,813
4,040 * Oak Industries, Inc. .............................. 304,263
5,300 Regal-Beloit Corp. ................................ 116,600
2,100 Robbins & Myers, Inc. ............................. 42,000
4,400 * Specialty Equipment Companies, Inc. ............... 97,350
6,937 * Speedfam-ipec, Inc. ............................... 82,377
3,100 * SPS Technologies, Inc. ............................ 101,525
7,100 Stewart & Stevenson Services, Inc. ................ 84,756
8,450 * Stillwater Mining Co. ............................. 204,913
2,300 Tennant Co. ....................................... 81,650
12,300 Timken Co. ........................................ 235,238
5,600 Watts Industries, Inc., Class A.................... 78,050
------------
5,188,850
------------
MEDICAL TECHNOLOGY - 1.96%
3,900 * Affymetrix, Inc. .................................. 382,200
9,800 * Alaris Medical, Inc. .............................. 19,600
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MEDICAL TECHNOLOGY - Continued
3,300 * Albany Molecular Research, Inc. ................... $ 95,288
3,700 * Aviron............................................. 59,430
4,600 * Biomatrix, Inc. ................................... 108,100
2,300 * Bio-Rad Laboratories, Inc., Class A................ 56,781
4,900 * Celera Genomics.................................... 300,125
6,000 * Cyberonics, Inc. .................................. 104,625
4,700 * Cytyc Corp. ....................................... 205,038
6,600 * Dendrite International, Inc. ...................... 181,500
6,500 * Eclipse Surgical Technologies, Inc. ............... 65,000
6,175 * Enzo Biochem, Inc. ................................ 161,322
7,900 * Enzon, Inc. ....................................... 266,625
4,000 * Gliatech, Inc. .................................... 53,000
6,700 * Haemonetics Corp. ................................. 150,750
9,400 * IDEXX Laboratories, Inc. .......................... 173,900
2,500 * IGEN International, Inc. .......................... 65,000
4,700 * Laser Vision Centers, Inc. ........................ 68,150
5,600 * LaserSight, Inc. .................................. 71,750
9,400 * Liposome, Inc. .................................... 116,912
2,800 * On Assignment, Inc. ............................... 78,575
8,318 * Organogenesis, Inc. ............................... 77,461
8,233 * Per-Se Technologies, Inc. ......................... 62,265
5,900 * Protein Design Labs, Inc. ......................... 236,000
6,900 * Quest Diagnostics, Inc. ........................... 210,019
3,700 * ResMed, Inc. ...................................... 148,231
2,800 * Sabratek Corp. .................................... 1,400
8,275 * Serologicals Corp. ................................ 58,959
9,100 * Sunrise Technologies, Inc. ........................ 94,981
1,300 * Syncor International Corp. ........................ 36,481
4,200 * Thermo Cardiosystems, Inc. ........................ 29,138
4,100 * Transkaryotic Therapies, Inc. ..................... 188,344
8,200 * Trex Medical Corp. ................................ 22,550
5,900 Varian Medical Systems, Inc. ...................... 154,137
3,400 * Ventana Medical Systems, Inc. ..................... 73,950
3,474 West Pharmaceutical Services, Inc. ................ 121,373
------------
4,298,960
------------
MERCHANDISE - DRUG - 0.18%
3,800 * Duane Reade, Inc. ................................. 84,075
1,440 * Medimmune, Inc. ................................... 173,070
16,900 * Perrigo Co. ....................................... 142,066
------------
399,211
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - 2.11%
1,700 * Advanced Energy Industries, Inc. .................. $ 57,163
6,100 * Ames Department Stores, Inc. ...................... 162,031
5,018 Arctic Cat, Inc. .................................. 51,435
5,800 * Avid Technology, Inc. ............................. 64,163
3,900 * Barnesandnoble.com, Inc. .......................... 74,100
13,200 * Boyds Collection, Ltd. ............................ 115,500
1,600 * Bush Boake Allen, Inc. ............................ 40,200
12,900 Caseys General Stores, Inc. ....................... 164,474
9,767 Cash America International, Inc. .................. 84,851
7,500 * Central Garden & Pet Co. .......................... 60,000
23,800 * Charming Shoppes, Inc. ............................ 154,700
20,400 * Compucom Systems, Inc. ............................ 63,750
18,800 * CompUSA, Inc. ..................................... 110,450
4,500 * Copart, Inc. ...................................... 117,000
7,200 * Daisytek International Corp. ...................... 143,100
4,500 * Department 56, Inc. ............................... 84,094
7,000 * Earthshell Corp. .................................. 21,000
4,500 Enesco Group, Inc. ................................ 54,844
3,100 * Fatbrain.com, Inc. ................................ 103,462
5,700 * Finish Line, Inc. ................................. 37,763
4,575 * Fossil, Inc. ...................................... 96,075
11,200 * Franklin Covey Co. ................................ 81,900
5,200 * Guitar Center, Inc. ............................... 55,900
2,305 Hancock Holding Co. ............................... 93,208
21,900 * Hanover Direct, Inc. .............................. 84,863
15,100 * Homebase, Inc. .................................... 51,906
10,468 * Inacom Corp. ...................................... 62,154
4,500 * JLK Direct Distribution, Inc. ..................... 43,875
8,200 Jostens, Inc. ..................................... 150,675
4,400 * Keystone Automotive Industries, Inc. .............. 25,300
4,700 * Mannatech, Inc. ................................... 27,906
6,300 * Michaels Stores, Inc. ............................. 197,663
9,100 * Micro Warehouse, Inc. ............................. 106,925
27,400 * OfficeMax, Inc. ................................... 167,825
6,400 * O'Sullivan Industries Holdings, Inc. .............. 109,600
5,400 * Petco Animal Supplies, Inc. ....................... 75,600
28,700 * Petsmart, Inc. .................................... 123,769
5,200 * Racing Champions Corp. ............................ 25,838
6,300 * Rent-Way, Inc. .................................... 96,075
11,300 * Rexall Sundown, Inc. .............................. 115,824
2,700 Russ Berrie and Co., Inc. ......................... 68,850
6,500 Seitel, Inc. ...................................... 43,875
1,914 South Jersey Industries, Inc. ..................... 56,104
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 29
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - Continued
7,400 * Spiegel, Inc., Class A ............................ $ 59,200
4,500 * SportsLine.com, Inc. .............................. 214,875
9,800 Sturm, Ruger & Co., Inc. .......................... 88,200
10,300 * Sunglass Hut International, Inc. .................. 126,175
2,500 * Tropical Sportswear
International Corp. ............................... 45,000
9,700 * Twinlab Corp. ..................................... 94,575
7,800 * United Stationers, Inc. ........................... 181,350
14,800 * US Office Products Co. ............................ 53,650
4,500 * West Marine, Inc. ................................. 38,531
------------
4,627,346
------------
MERCHANDISING -
DEPARTMENT - 0.26%
1,000 * 99 Cents Only Stores .............................. 28,375
1,000 * Alexander's, Inc. ................................. 74,000
16,700 * Borders Group, Inc. ............................... 258,850
16 May Department Stores Co. ......................... 538
23,600 Pier 1 Imports, Inc. .............................. 163,725
7,500 * Stein Mart, Inc. .................................. 45,469
------------
570,957
------------
MERCHANDISING - FOOD - 0.62%
6,600 * CEC Entertainment, Inc. ........................... 198,000
175 Farmer Brothers Co. ............................... 29,050
9,800 Fleming Companies, Inc. ........................... 118,213
4,200 Great Atlantic & Pacific Tea Co., Inc. ............ 106,838
5,900 * IHOP Corp. ........................................ 91,450
7,800 Ingles Markets, Inc., Class A ..................... 91,650
7,300 Ruddick Corp. ..................................... 128,663
4,700 Sanderson Farms, Inc. ............................. 42,888
6,500 Smart & Final, Inc. ............................... 44,688
9,800 * Smithfield Foods, Inc. ............................ 251,125
106 Supervalu, Inc. ................................... 2,060
5,500 * Whole Foods Market, Inc. .......................... 216,219
7,300 Zapata Corp. ...................................... 39,694
------------
1,360,538
------------
MERCHANDISING - MASS - 0.22%
2,700 * Coldwater Creek, Inc. ............................. 75,600
4,000 * Factory 2-U Stores, Inc. .......................... 95,063
4,950 * Insight Enterprises, Inc. ......................... 166,134
6,400 * ShopKo Stores, Inc. ............................... 145,200
------------
481,997
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - ALUMINUM - 0.14%
5,600 * ACX Technologies, Inc. ............................ $ 51,800
4,400 IMCO Recycling, Inc. .............................. 56,650
6,700 * Kaiser Aluminum Corp. ............................. 44,388
7,500 Tredegar Corp. .................................... 144,844
------------
297,682
------------
METALS - COPPER - 0.12%
2,631 Phelps Dodge Corp. ................................ 136,812
3,600 Southern Peru Copper Corp. ........................ 53,550
4,800 * Wolverine Tube, Inc. .............................. 72,900
------------
263,262
------------
METALS - MISCELLANEOUS - 0.37%
3,137 A. M. Castle & Co. ................................ 36,860
4,200 Brush Wellman, Inc. ............................... 68,250
2,800 * CIRCOR International, Inc. ........................ 30,450
4,033 Commercial Metals Co. ............................. 129,056
5,300 Kennametal, Inc. .................................. 176,225
5,900 Precision Castparts Corp. ......................... 160,406
3,900 * RTI International Metals, Inc. .................... 25,838
10,300 * Steel Dynamics, Inc. .............................. 141,625
5,900 Titanium Metals Corp. ............................. 32,081
------------
800,791
------------
METALS - STEEL - 1.09%
9,610 AK Steel Holding Corp. ............................ 159,166
31,895 * Bethlehem Steel Corp. ............................. 199,344
4,600 Carpenter Technology Corp. ........................ 120,750
3,400 * Citation Corp. .................................... 57,588
2,900 Cleveland-Cliffs, Inc. ............................ 84,825
3,450 Commercial Intertech Corp. ........................ 43,341
2,000 Gibraltar Steel Corp. ............................. 47,000
12,400 Harsco Corp. ...................................... 369,675
5,900 Intermet Corp. .................................... 59,738
24,100 LTV Corp. ......................................... 84,350
8,600 * Metals USA, Inc. .................................. 72,025
10,300 * Mueller Industries, Inc. .......................... 370,800
5,600 National Steel Corp., Class B ..................... 32,550
6,500 Oregon Steel Mills, Inc. .......................... 52,813
4,000 Quanex Corp. ...................................... 84,750
3,750 Reliance Steel & Aluminium Co. .................... 91,406
5,894 Ryerson Tull, Inc. ................................ 120,459
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - STEEL - Continued
5,500 Valmont Industries, Inc. .......................... $ 97,625
14,600 Worthington Industries, Inc. ...................... 233,600
------------
2,381,805
------------
MISCELLANEOUS - 3.09%
38,900 * 7-eleven, Inc. .................................... 74,153
6,700 AMCOL International Corp. ......................... 118,925
2,300 * AMERCO, Inc. ...................................... 60,806
4,400 Arch Coal, Inc. ................................... 42,900
2,500 * Aviation Sales Co. ................................ 35,313
1,300 * Bacou U.S.A., Inc. ................................ 20,800
1,740 BBT Corp. ......................................... 55,898
12,900 * Billing Concepts Corp. ............................ 71,353
278 Blount International, Inc. ........................ 4,518
13,350 * Brightpoint, Inc. ................................. 147,684
3,081 * Building One Services Corp. ....................... 31,580
4,700 * Burns International Services Corp. ................ 42,006
10,000 C. H. Robinson Worldwide, Inc. .................... 348,750
6,500 Cabot Industrial Trust ............................ 119,438
6,900 * Cadiz, Inc. ....................................... 59,513
6,100 * Capital Senior Living Corp. ....................... 30,500
11,800 * Catalytica, Inc. .................................. 124,638
5,284 * Cdnow, Inc. ....................................... 80,581
3,950 Central Parking Corp. ............................. 102,206
14,100 * Century Business Services, Inc. ................... 130,425
2,500 * Championship Auto Racing
Teams, Inc. ....................................... 59,688
7,516 * Gemstar Group, Ltd. ............................... 847,429
3,600 * Global Imaging Systems, Inc. ...................... 58,500
6,500 * Integrated Electrical Services, Inc. .............. 69,063
720 * Internet Capital Group, Inc. ...................... 120,960
5,900 * Iron Mountain, Inc. ............................... 173,681
2,600 * IT Group, Inc. .................................... 27,138
2,600 * Kroll-O'Gara Co. .................................. 42,575
3,800 * Lason, Inc. ....................................... 92,625
3,800 Matthews International Corp., Class A ............. 88,350
3,100 * MemberWorks, Inc. ................................. 77,500
7,700 * Musicland Stores Corp. ............................ 61,119
8,400 * Navigant Consulting, Inc. ......................... 89,250
2,800 Optical Coating Laboratory, Inc. .................. 550,900
2,800 * Pegasus Communications Corp. ...................... 183,750
5,100 * Polycom, Inc. ..................................... 326,400
4,700 * Prepaid Legal Services, Inc. ...................... 112,213
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
30 November 30, 1999 (Unaudited)
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MISCELLANEOUS - Continued
4,500 * Preview Travel, Inc. .............................. $ 209,813
7,900 * Protection One, Inc. .............................. 13,825
6,600 * Rayovac Corp. ..................................... 159,638
6,850 Regis Corp. ....................................... 141,281
7,500 * Romac International, Inc. ......................... 84,141
6,800 * Scott Technologies, Inc. .......................... 140,250
4,400 * Service Experts, Inc. ............................. 27,500
8,500 * Sola International, Inc. .......................... 121,125
23,400 USEC, Inc. ........................................ 193,050
5,800 * Veritas DGC, Inc. ................................. 84,463
5,300 * Veterinary Centers of America, Inc. ............... 58,631
3,600 Wackenhut Corp. ................................... 51,075
2,700 * Wackenhut Corrections Corp. ....................... 32,569
4,100 * Wesley Jessen VisionCare, Inc. .................... 117,106
6,000 * West Teleservices Corp. ........................... 103,500
7,300 * Westell Technologies, Inc., Class A ............... 66,384
9,454 Westinghouse Air Brake Co. ........................ 171,354
2,200 Woodward Governor Co. ............................. 59,400
8,900 * World Access, Inc. ................................ 135,169
------------
6,653,402
------------
MOBILE HOMES - 0.35%
10,152 * Champion Enterprises, Inc. ........................ 86,927
4,300 Coachmen Industries, Inc. ......................... 61,544
6,600 Fleetwood Enterprises, Inc. ....................... 138,600
5,400 McGrath Rentcorp .................................. 97,200
4,350 * Monaco Coach Corp. ................................ 93,525
3,800 * National R.V. Holdings, Inc. ...................... 70,775
15,300 Oakwood Homes Corp. ............................... 45,900
3,200 Skyline Corp. ..................................... 79,400
3,175 Thor Industries, Inc. ............................. 88,702
------------
762,573
------------
NATURAL GAS - DIVERSIFIED - 0.83%
7,450 Atmos Energy Corp. ................................ 166,228
5,500 Eastern Enterprises ............................... 312,125
7,000 * Hanover Compressor Co. ............................ 239,750
4,300 Laclede Gas Co. ................................... 94,063
4,300 New Jersey Resources Corp. ........................ 173,075
9,008 * Southern Union Co. ................................ 173,404
7,200 Southwest Gas Corp. ............................... 168,750
7,700 UGI Corp. ......................................... 150,631
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
NATURAL GAS - DIVERSIFIED - Continued
6,100 Western Gas Resources, Inc. ..................... $ 69,006
9,200 WICOR, Inc. ..................................... 276,000
------------
1,823,032
------------
OIL - INTEGRATED DOMESTIC - 0.17%
2,400 * Belco Oil and Gas Corp. ......................... 14,850
9,075 Cross Timbers Oil Co. ........................... 92,452
16,200 Pennzoil-Quaker State Co. ....................... 168,075
8,500 * Tesoro Petroleum Corp. .......................... 102,000
------------
377,377
------------
OIL - SERVICE - PRODUCTS - 0.52%
6,850 * Barrett Resources Corp. ......................... 181,953
2,400 * Dril-Quip, Inc. ................................. 59,100
5,800 Getty Realty Corp. .............................. 74,313
5,700 * Global Industrial Technologies, Inc. ............ 71,963
12,800 * Global Industries, Inc. ......................... 100,400
5,900 * Lone Star Technologies, Inc. .................... 149,344
3,900 * Maverick Tube Corp. ............................. 83,850
16,700 * Parker Drilling Co. ............................. 65,756
12,800 * Pride International, Inc. ....................... 184,000
6,600 * TransMontaigne, Inc. ............................ 44,550
11,900 * Varco International, Inc. ....................... 127,181
------------
1,142,410
------------
OIL - SERVICES - 0.58%
9,175 * Friede Goldman Halter, Inc. ..................... 77,414
18,300 * Key Energy Services, Inc. ....................... 91,500
14,000 * Marine Drilling Companies, Inc. ................. 236,250
8,900 Mascotech, Inc. ................................. 106,800
6,000 * McMoRan Exploration Co. ......................... 130,875
5,535 * Nabors Industries, Inc. ......................... 147,023
6,500 * Oceaneering International, Inc. ................. 84,500
5,700 * Offshore Logistics, Inc. ........................ 56,288
9,900 * Tuboscope, Inc. ................................. 141,075
9,300 * Unova, Inc. ..................................... 122,063
3,400 * UTI Energy Corp. ................................ 68,850
------------
1,262,638
------------
OIL/GAS PRODUCERS - 1.44%
2,700 * Atwood Oceanics, Inc. ........................... 90,788
4,600 Berry Petroleum Co., Class A .................... 63,825
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL/GAS PRODUCERS - Continued
7,200 * Brown, Tom, Inc. .................................. $ 84,150
7,000 Cabot Oil & Gas Corp., Class A .................... 107,188
20,016 * Chesapeake Energy Corp. ........................... 60,048
14,000 * EEX Corp. ......................................... 36,750
10,200 Equitable Resources, Inc. ......................... 355,088
7,400 * Forest Oil Corp. .................................. 84,638
42,400 * Grey Wolf, Inc. ................................... 116,600
34,000 * Harken Energy Corp. ............................... 34,000
12,500 Helmerich & Payne, Inc. ........................... 282,813
4,000 * Houston Exploration Co. ........................... 80,000
12,300 * Input/Output, Inc. ................................ 66,113
4,800 * Louis Dreyfus Natural Gas Corp. ................... 86,400
5,200 Mitchell Energy & Development Corp., Class A ...... 122,525
8,800 * Newfield Exploration Co. .......................... 227,150
6,700 * Nuevo Energy Co. .................................. 103,431
8,100 * Patterson Energy, Inc. ............................ 102,769
22,700 * Pioneer Natural Resources Corp. ................... 188,694
5,100 * Plains Resources, Inc. ............................ 56,100
9,700 Pogo Producing Co. ................................ 174,600
3,400 St. Mary Land & Exploration Co. ................... 70,975
4,300 * Stone Energy Corp. ................................ 167,431
5,610 * Swift Energy Co. .................................. 62,411
10,400 Valero Energy Corp. ............................... 215,800
10,800 Vintage Petroleum, Inc. ........................... 115,425
------------
3,155,712
------------
PAPER/FOREST PRODUCTS - 0.82%
3,100 * Boise Cascade Office Products Corp. ............... 35,650
6,500 * Buckeye Technologies, Inc. ........................ 103,188
6,100 Caraustar Industries, Inc. ........................ 149,069
3,329 Kimberly-Clark Corp. .............................. 212,640
12,500 Longview Fibre Co. ................................ 159,375
6,600 P.H. Glatfelter Co. ............................... 84,975
6,400 Potlatch Corp. .................................... 258,800
8,600 Rayonier, Inc. .................................... 382,163
4,000 Schweitzer-Mauduit, Inc. .......................... 53,000
3,700 Standard Register Co. ............................. 77,931
7,500 * Thermo Fibertek, Inc. ............................. 52,969
3,700 Universal Forest Products, Inc. ................... 56,888
12,634 Wausau-Mosinee Paper Corp. ........................ 167,401
------------
1,794,049
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 31
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PHOTOGRAPHY - 0.24%
2,420 CPI Corp. ......................................... $ 59,895
5,200 * Photronics, Inc. .................................. 125,450
12,400 Polaroid Corp. .................................... 238,700
5,400 * Ultratech Stepper, Inc. ........................... 102,263
------------
526,308
------------
POLLUTION CONTROL - 0.20%
560 Arcadis N.V. ...................................... 3,640
8,700 Calgon Carbon Corp. ............................... 53,288
6,150 * Cuno, Inc. ........................................ 125,306
825 Mine Safety Appliances Co. ........................ 52,388
16,900 * Newpark Resources, Inc. ........................... 101,400
8,087 * Tetra Tech, Inc. .................................. 91,990
------------
428,012
------------
PUBLISHING - NEWS - 0.24%
2,900 * IDG Books Worldwide, Inc., Class A ................ 43,500
13,800 Lee Enterprises, Inc. ............................. 390,713
7,100 * Network Equipment Technologies, Inc. .............. 87,419
------------
521,632
------------
PUBLISHING/PRINTING - 0.93%
4,000 American Business Products, Inc. .................. 42,750
6,550 Banta Corp. ....................................... 143,691
4,200 * Berlitz International, Inc. ....................... 82,425
4,500 * Big Flower Holdings, Inc. ......................... 140,344
9,400 Bowne & Co., Inc. ................................. 111,038
2,800 * Consolidated Graphics, Inc. ....................... 62,825
7,500 John H. Harland Co. ............................... 139,219
9,400 * Journal Register Co. .............................. 112,213
4,000 New England Business Service, Inc. ................ 90,500
11,923 Quebecor Printing, Inc. ........................... 261,561
4,700 * R.H. Donnelley Corp. .............................. 87,538
3,300 * Scholastic Corp. .................................. 181,088
2,800 * Scientific Games Holdings Corp. ................... 49,875
6,200 * Topps Co., Inc. ................................... 70,525
6,300 * ValueVision International, Inc., Class A .......... 283,500
9,400 Wallace Computer Services, Inc. ................... 188,588
------------
2,047,680
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
RAILROAD - 0.19%
6,200 Florida East Coast Industries, Inc. ............. $ 252,650
12,300 * Wisconsin Central Transport Corp. ............... 172,584
------------
425,234
------------
REAL ESTATE - 0.50%
8,100 Brandywine Realty Trust ......................... 136,181
5,500 Capital Automotive REIT ......................... 74,938
3,330 * Castle & Cooke, Inc. ............................ 42,041
5,300 * CB Richard Ellis Services, Inc. ................. 69,563
5,875 Cousins Properties, Inc. ........................ 202,688
4,000 Forest City Enterprises, Inc., Class A .......... 99,250
5,200 * Insignia Financial Group, Inc. .................. 42,250
7,100 LNR Property Corp. .............................. 125,138
11,033 Republic Bancorp, Inc. .......................... 154,462
3,300 SL Green Realty Corp. ........................... 66,619
3,300 Tejon Ranch Co. ................................. 79,406
------------
1,092,536
------------
REAL ESTATE INVESTMENT TRUSTS - 4.64%
2,600 Alexandria Real Estate Equities, Inc. ........... 76,213
12,900 Allied Capital Corp. ............................ 261,225
5,200 Amli Residential Properties Trust ............... 110,825
4,500 Associated Estates Realty Corp. ................. 33,469
3,800 Bedford Property Investors, Inc. ................ 65,075
4,300 Boykin Lodging Co. .............................. 52,944
6,073 Bradley Real Estate, Inc. ....................... 109,314
10,830 BRE Properties, Inc., Class A ................... 249,090
8,100 Burnham Pacific Properties ...................... 79,481
11,141 Camden Poperty Trust ............................ 298,022
15,650 Capstead Mortgage Corp. ......................... 61,622
5,400 CBL & Associates Properties, Inc. ............... 117,788
4,600 CenterPoint Properties Corp. .................... 159,850
5,100 Chateau Communities, Inc. ....................... 132,600
3,800 Chelsea GCA Realty, Inc. ........................ 117,563
6,300 Colonial Properties Trust ....................... 155,138
9,200 Commercial Net Lease Realty ..................... 98,900
9,900 Cornerstone Realty Income Trust, Inc. ........... 100,238
2,100 * Crestline Capital Corp. ......................... 46,594
6,100 Crown American Realty Trust ..................... 38,888
14,800 Developers Diversified Realty Corp. ............. 206,275
4,200 EastGroup Properties, Inc. ...................... 72,975
12,400 Equity Inns, Inc. ............................... 87,575
3,800 Essex Property Trust, Inc. ...................... 123,263
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
9,900 Federal Realty Investment Trust ................... $ 178,200
9,300 First Industrial Realty Trust, Inc. ............... 237,150
6,300 Gables Residential Trust .......................... 149,625
7,600 Glenborough Realty Trust, Inc. .................... 99,750
6,100 Glimcher Realty Trust ............................. 86,925
1,400 Great Lakes REIT, Inc. ............................ 20,388
12,124 Health Care Property Investors, Inc. .............. 314,466
6,800 Health Care REIT, Inc. ............................ 110,075
9,725 Healthcare Realty Trust, Inc. ..................... 161,070
4,500 Home Properties of New York, Inc. ................. 115,313
9,600 Hospitality Properties Trust ...................... 177,600
7,900 Imperial Credit Commercial
Investment Corp. .................................. 88,381
18,100 Indymac Mortgage Holdings, Inc. ................... 200,231
4,600 Innkeepers USA Trust .............................. 36,225
9,400 IRT Property Co. .................................. 73,438
8,100 JDN Realty Corp. .................................. 133,144
8,000 * Jones Lang Lasalle, Inc. .......................... 97,000
3,300 JP Realty, Inc. ................................... 56,306
6,700 Kilroy Realty Corp. ............................... 127,300
1,692 Kimco Realty Corp., Class D ....................... 37,013
6,800 Koger Equity, Inc. ................................ 106,675
5,800 LTC Properties, Inc. .............................. 56,188
7,300 Macerich Co. ...................................... 145,088
5,300 Manufactured Home
Communities, Inc. ................................. 125,544
3,500 MGI Properties, Inc. .............................. 21,438
4,900 Mid-America Apartment
Communities, Inc. ................................. 108,719
5,500 Mills Corp. ....................................... 92,813
4,300 National Golf Properties, Inc. .................... 90,031
5,600 National Health Investors, Inc. ................... 88,200
11,300 Nationwide Health Properties, Inc. ................ 168,794
7,886 Omega Healthcare Investors, Inc. .................. 132,091
4,500 Pacific Gulf Properties, Inc. ..................... 90,563
2,500 Parkway Properties, Inc. .......................... 74,688
4,500 Pennsylvania Real Estate
Investment Trust .................................. 76,781
9,100 Prentiss Properties Trust ......................... 184,275
10,923 Prime Retail, Inc. ................................ 69,634
3,400 PS Business Parks, Inc. ........................... 73,950
6,500 Realty Income Corp. ............................... 141,781
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
32 November 30, 1999 (Unaudited)
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE INVESTMENT TRUSTS - Continued
9,900 Reckson Associates Realty Corp. ................... $ 199,856
4,900 Redwood Trust, Inc. ............................... 56,963
8,600 Regency Realty Corp. .............................. 174,150
8,400 RFS Hotel Investors, Inc. ......................... 93,450
9,300 * Security Capital Group, Inc. ...................... 112,763
7,000 Shurgard Storage Centers, Inc., Class A ........... 156,188
4,500 Smith Charles E Realty, Inc. ...................... 146,250
3,100 Sovran Self Storage, Inc. ......................... 62,000
6,211 Starwood Financial, Inc. .......................... 111,800
6,400 Storage USA, Inc. ................................. 172,800
5,600 Summit Properties, Inc. ........................... 102,200
4,200 Sun Communities, Inc. ............................. 127,575
8,800 Taubman Centers, Inc. ............................. 95,700
5,500 Thornburg Mortgage Asset Corp. .................... 46,750
7,100 Town & Country Trust .............................. 124,694
6,200 * Trammell Crow Co. ................................. 75,950
3,200 U.S. Restaurant Properties, Inc. .................. 47,600
33,800 United Dominion Realty Trust, Inc. ................ 365,463
3,500 Urban Shopping Centers, Inc. ...................... 90,344
6,100 Walden Residential Properties, Inc. ............... 125,050
8,600 Washington Real Estate
Investment Trust .................................. 132,763
6,500 Weingarten Realty Investors ....................... 244,156
5,300 * Wellsford Real Properties, Inc. ................... 41,738
4,400 Western Properties Trust .......................... 43,450
4,100 Westfield America, Inc. ........................... 55,350
------------
10,206,783
------------
RESTAURANTS - 0.98%
6,900 * Advantica Restaurant Corp. ........................ 12,075
6,350 Applebees International, Inc. ..................... 191,294
10,662 Avado Brands, Inc. ................................ 51,311
9,600 Bob Evans Farms, Inc. ............................. 143,400
11,180 * Buffets, Inc. ..................................... 120,185
11,900 CBRL Group, Inc. .................................. 132,388
4,200 * Cheesecake Factory, Inc. .......................... 130,200
10,200 CKE Restaurants, Inc. ............................. 65,663
8,550 * Consolidated Products, Inc. ....................... 89,775
10,000 * Jack in the Box, Inc. ............................. 210,625
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RESTAURANTS - Continued
11,100 * Landry's Seafood Restaurants, Inc. ................ $ 97,819
9,200 * Lone Star Steakhouse & Saloon, Inc. ............... 69,431
5,700 Luby's, Inc. ...................................... 66,263
5,400 * NPC International, Inc. ........................... 68,175
2,400 * O'Charley's, Inc. ................................. 31,500
5,425 * Papa Johns International, Inc. .................... 194,791
7,800 Ruby Tuesday, Inc. ................................ 156,975
10,300 * Ryan's Family Steak Houses, Inc. .................. 101,713
4,525 * Sonic Corp. ....................................... 122,175
5,050 * Triarc Companies Inc., Class A .................... 98,159
------------
2,153,917
------------
SAVINGS & LOAN - 1.42%
8,294 Bay View Capital Corp. ............................ 138,925
18,600 Capitol Federal Financial ......................... 191,813
9,575 Charter One Financial, Inc. ....................... 207,658
5,200 * Coast Federal Litigation-CVF ...................... 5,606
5,100 Dime Community Bancshares ......................... 101,044
5,155 Downey Financial Corp. ............................ 103,744
16,200 * Finet.com, Inc. ................................... 34,425
3,400 First Financial Holdings, Inc. .................... 60,775
4,000 First Indiana Corp. ............................... 92,250
8,113 First Sentinel Bancorp, Inc. ...................... 67,693
5,400 * FirstFed Financial Corp. .......................... 83,363
2,500 JSB Financial, Inc. ............................... 147,813
5,300 * Local Financial Corp. ............................. 53,663
9,898 MAF Bancorp, Inc. ................................. 219,612
11,900 Northwest Bancorp, Inc. ........................... 97,431
3,600 OceanFirst Financial Corp. ........................ 66,825
9,906 Provident Bankshares Corp. ........................ 196,263
6,922 Queens County Bancorp, Inc. ....................... 200,738
2,500 Reliance Bancorp, Inc. ............................ 98,594
14,200 Seacoast Financial Services Corp. ................. 149,988
9,800 Staten Island Bancorp, Inc. ....................... 191,713
7,000 * TeleBanc Financial Corp. .......................... 180,688
5,000 United Community Financial Corp. .................. 53,438
17,500 Washington Federal, Inc. .......................... 365,313
------------
3,109,375
------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHOOLS - 0.10%
2,300 * Advantage Learning Systems, Inc. .................. $ 56,997
6,900 * Education Management Corp. ........................ 64,903
5,175 * ITT Educational Services, Inc. .................... 91,209
------------
213,109
------------
SECURITIES RELATED - 0.53%
3,000 Dain Rauscher Corp. ............................... 146,063
6,500 Enhance Financial Services
Group, Inc. ....................................... 111,313
5,000 * Hambrecht & Quist Group ........................... 248,750
3,398 Investors Financial Services Corp. ................ 155,459
1,200 Liberty Financial Companies, Inc. ................. 28,200
7,250 Morgan Keegan, Inc. ............................... 120,984
3,000 * National Discount Brokers Group, Inc. ............. 96,375
6,600 * Pioneer Group, Inc. ............................... 98,175
8,000 Raymond James Financial, Inc. ..................... 150,500
------------
1,155,819
------------
SEMICONDUCTOR EQUIPMENT - 0.66%
3,200 * ATMI, Inc. ........................................ 97,400
8,300 * Cognex Corp. ...................................... 269,750
1,200 * HI/FN, Inc. ....................................... 52,800
9,700 * LAM Research Corp. ................................ 752,963
2,300 * Maker Communications, Inc. ........................ 52,900
5,700 * Varian Semiconductor Equipment Associates, Inc. ... 133,950
2,300 * Veeco Instruments, Inc. ........................... 95,163
------------
1,454,926
------------
SEMICONDUCTORS - 2.89%
5,300 * Actel Corp. ....................................... 124,881
8,300 * Alliance Semiconductor Corp. ...................... 119,313
2,900 * American Xtal Technology, Inc. .................... 44,950
3,000 * Anadigics, Inc. ................................... 135,000
1,421 Avnet, Inc. ....................................... 78,066
6,200 * Burr Brown Corp. .................................. 274,738
14,500 * Cirrus Logic, Inc. ................................ 201,188
6,600 Cohu, Inc. ........................................ 150,975
5,250 * Credence Systems Corp. ............................ 304,172
5,300 * Cree Research, Inc. ............................... 302,763
6,700 * Cymer, Inc. ....................................... 268,000
24,000 * Cypress Semiconductor Corp. ....................... 654,000
8,100 Dallas Semiconductor Corp. ........................ 467,269
5,900 * Electroglas, Inc. ................................. 167,966
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 33
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SEMICONDUCTORS - Continued
3,200 * Emcore Corp. ...................................... $ 72,800
8,500 * ESS Technology, Inc. .............................. 182,750
5,300 * Etec Systems, Inc. ................................ 227,900
3,600 * Exar Corp. ........................................ 175,050
9,000 * FSI International, Inc. ........................... 84,656
19,900 * Integrated Device Technology, Inc. ................ 468,894
14,900 * International Rectifier Corp. ..................... 301,725
2,000 * Kopin Corp. ....................................... 130,000
5,900 * MRV Communications, Inc. .......................... 188,800
2,100 * PLX Technology, Inc. .............................. 42,000
9,500 * Silicon Valley Group, Inc. ........................ 135,969
1,300 * Siliconix, Inc. ................................... 100,100
3,968 Texas Instruments, Inc. ........................... 381,176
5,600 * TranSwitch Corp. .................................. 263,200
3,300 * Triquint Semiconductor, Inc. ...................... 280,913
------------
6,329,214
------------
TELECOMMUNICATIONS - 5.02%
4,500 ABM Industries, Inc. .............................. 96,750
4,700 * Adaptive Broadband Corp. .......................... 186,825
4,800 * Adtran, Inc. ...................................... 187,200
5,200 * Advanced Communications
Group, Inc. ....................................... 41,275
17,400 * Advanced Fibre Communications, Inc. ............... 483,938
3,500 * Aerial Communications, Inc. ....................... 144,594
4,600 * American Mobile Satellite Corp. ................... 72,163
5,300 * Ancor Communications, Inc. ........................ 321,313
22,700 * Andrew Corp. ...................................... 316,381
2,900 * Anicom, Inc. ...................................... 13,594
11,800 * Aspect Telecommunications Corp. ................... 389,400
4,100 * AVT Corp. ......................................... 164,769
3,400 * Aware, Inc. ....................................... 128,774
1,900 * Carrier Access Corp. .............................. 111,388
10,900 * CellNet Data Systems, Inc. ........................ 15,498
8,400 * CellStar Corp. .................................... 80,850
5,500 * CommNet Cellular, Inc. ............................ 174,625
4,800 * CoreComm, Ltd. .................................... 204,900
1,300 CT Communications, Inc. ........................... 61,588
3,100 * CTC Communications Group, Inc. .................... 75,563
4,800 * Destia Communications, Inc. ....................... 87,900
4,200 * Diamond Tech Partners, Inc. ....................... 220,500
5,500 * Dycom Industries, Inc. ............................ 221,375
14,800 * E. Spire Communication, Inc. ...................... 109,150
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
4,600 * Electric Lightwave, Inc. .......................... $ 70,150
13,000 * General Communication, Inc. ....................... 53,625
15,700 * Glenayre Technologies, Inc. ....................... 73,594
11,300 * ICG Communications, Inc. .......................... 213,993
4,800 * IDT Corp. ......................................... 109,200
2,900 * Inet Technologies, Inc. ........................... 175,450
10,300 * Intermedia Communications, Inc. ................... 287,113
5,300 Inter-Tel, Inc. ................................... 105,669
4,800 * InterVoice-Brite, Inc. ............................ 72,300
2,300 * IPC Information Systems, Inc. ..................... 137,138
11,700 * ITC (Delta symbol) Deltacom, Inc. ................. 321,019
2,500 * Leap Wireless International, Inc. ................. 127,813
1,339 Lucent Technologies, Inc. ......................... 97,831
4,550 * MasTec, Inc. ...................................... 187,403
4,285 * MCI Worldcom, Inc. ................................ 354,316
3,300 * Metricom, Inc. .................................... 195,525
3,400 * MGC Communications, Inc. .......................... 133,450
2,794 * Millicom International Cellular S.A. .............. 131,318
7,400 * MMC Networks, Inc. ................................ 145,687
2,000 North Pittsburgh Systems, Inc. .................... 32,500
7,500 * Omnipoint Corp. ................................... 607,500
2,700 * Pacific Gateway Exchange, Inc. .................... 49,275
12,800 * PageMart Wireless, Inc., Class A .................. 109,600
17,200 * Paging Network, Inc. .............................. 12,363
15,900 * Pairgain Technologies, Inc. ....................... 242,475
4,100 * Plantronics, Inc. ................................. 258,300
5,600 * Powertel, Inc. .................................... 480,200
3,600 * Powerwave Technologies, Inc. ...................... 215,325
11,400 * Premier Technologies, Inc. ........................ 86,925
6,200 * Premisys Communications, Inc. ..................... 61,613
8,800 * Price Communications Corp. ........................ 220,550
5,400 * Primus Telecommunications
Group, Inc. ....................................... 160,650
3,200 * Proxim, Inc. ...................................... 179,200
4,287 * Razorfish, Inc. ................................... 313,755
4,706 * Spectrasite Holdings, Inc. ........................ 40,001
8,600 * STAR Telecommunications, Inc. ..................... 67,456
2,525 Superior Telecom, Inc. ............................ 41,189
12,200 * Talk.com Inc. ..................................... 205,875
8,900 * Tekelec ........................................... 157,975
3,500 * Terayon Communication Systems, Inc. ............... 217,219
2,000 * Tut Systems, Inc. ................................. 79,250
2,000 * US LEC Corp. ...................................... 53,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
9,900 * USN Communications, Inc. .......................... $ 99
2,300 * Viatel, Inc. ...................................... 96,600
4,200 * Xceed, Inc. ....................................... 110,250
------------
11,002,052
------------
TEXTILE - PRODUCTS - 0.38%
14,200 * Burlington Industries, Inc. ....................... 52,363
4,600 * Dan River, Inc., Class A .......................... 24,725
4,650 G & K Services, Inc., Class A ..................... 157,518
8,750 Guilford Mills, Inc. .............................. 63,438
6,400 * Lydall, Inc. ...................................... 57,200
6,800 Russell Corp. ..................................... 88,825
2,700 Springs Industries, Inc., Class A ................. 108,000
12,300 * Unifi, Inc. ....................................... 162,975
7,800 Wellman, Inc. ..................................... 124,313
------------
839,357
------------
TOBACCO - 0.14%
11,400 DIMON, Inc. ....................................... 38,475
6,801 * General Cigar Holdings, Inc. ...................... 51,433
8,100 Universal Corp. ................................... 208,069
------------
297,977
------------
TRUCKERS - 0.76%
5,500 * American Freightways Corp. ........................ 95,219
5,150 Arnold Industries, Inc. ........................... 65,341
7,600 * Consolidated Freightways Corp. .................... 69,350
7,932 * Heartland Express, Inc. ........................... 116,997
1,900 * Hub Group, Inc., Class A .......................... 33,013
4,350 * Knight Transportation, Inc. ....................... 60,900
3,200 * Landstar System, Inc. ............................. 128,200
2,300 * M.S. Carriers, Inc. ............................... 60,375
4,200 Roadway Express, Inc. ............................. 83,475
11,262 Rollins Truck Leasing Corp. ....................... 132,329
8,950 * Swift Transportation Co., Inc. .................... 142,081
7,700 USFreightways Corp. ............................... 321,475
7,387 Werner Enterprises, Inc. .......................... 110,805
3,200 * Xtra Corp. ........................................ 128,000
6,500 * Yellow Corp. ...................................... 109,281
------------
1,656,841
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
34 November 30, 1999 (Unaudited)
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - COMMUNICATION - 0.38%
4,100 * Alpine Group, Inc. ................................ $ 51,763
14,683 Broadwing, Inc. ................................... 427,648
3,300 CFW Communications Co. ............................ 80,231
3,766 * Commonwealth Telephone
Enterprises, Inc. ................................. 222,428
4,378 PXRE Group, Ltd. .................................. 54,178
------------
836,248
------------
UTILITIES - ELECTRIC - 1.52%
5,300 Black Hills Corp. ................................. 115,938
5,500 Cleco Corp. ....................................... 179,438
4,900 Eastern Utilities Associates ...................... 148,838
14,500 * El Paso Electric Co. .............................. 130,500
4,200 Empire District Electric Co. ...................... 100,275
7,900 Hawaiian Electric Industries, Inc. ................ 241,444
9,200 Idacorp, Inc. ..................................... 257,600
7,166 Indiana Energy, Inc. .............................. 141,081
4,025 Madison Gas & Electric Co. ........................ 78,488
5,600 Northwestern Corp. ................................ 118,300
4,830 Nstar ............................................. 200,445
2,875 Otter Tail Power Co. .............................. 114,281
8,700 Public Service Co. of New Mexico .................. 144,637
9,100 RGS Energy Group, Inc. ............................ 203,044
16,486 Sierra Pacific Resources .......................... 295,718
5,750 SIG Corp, Inc. .................................... 140,875
3,100 TNP Enterprises, Inc. ............................. 126,519
8,020 * UniSource Energy Corp. ............................ 90,225
3,500 United Illuminating Co. ........................... 181,125
11,400 Washington Gas Light Co. .......................... 319,200
------------
3,327,971
------------
UTILITIES -
GAS, DISTRIBUTION - 0.64%
14,100 AGL Resources, Inc. ............................... 260,850
2,600 Connecticut Energy Corp. .......................... 102,538
6,700 Energen Corp. ..................................... 128,975
10,000 * National-Oilwell, Inc. ............................ 142,500
6,100 Northwest Natural Gas Co. ......................... 153,263
1,700 NUI Corp. ......................................... 42,819
7,600 Piedmont Natural Gas Co., Inc. .................... 241,300
5,000 Public Service Co. of
North Carolina, Inc. .............................. 160,624
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- ------------------------------------------------------------------------------
UTILITIES - GAS, DISTRIBUTION - Continued
6,500 Southwestern Energy Co. ......................... $ 48,344
2,650 Yankee Energy Systems, Inc. ..................... 113,122
------------
1,394,335
------------
UTILITIES - GAS, PIPELINE - 0.10%
7,800 ONEOK, Inc. ..................................... 210,113
------------
UTILITIES - MISCELLANEOUS - 0.39%
4,100 Central Hudson Gas & Electric Corp. ............. 137,094
4,600 * Group Maintenance America Corp. ................. 41,975
12,675 MDU Resources Group, Inc. ....................... 277,266
6,300 * Stericycle, Inc. ................................ 109,856
10,400 Walter Industries, Inc. ......................... 110,500
1,400 * Waste Connections, Inc. ......................... 18,200
6,500 WPS Resources Corp. ............................. 171,031
------------
865,922
------------
WATER SERVICES - 0.34%
2,800 Aquarion Co. .................................... 102,900
2,900 California Water Service Group .................. 91,713
2,000 E'Town Corp. .................................... 125,750
8,600 Philadelphia Suburban Corp. ..................... 198,875
6,800 United Water Resources, Inc. .................... 227,800
------------
747,038
------------
TOTAL COMMON STOCK
(Cost $206,581,857) ............................. 212,541,260
------------
PREFERRED STOCK - 0.05%
REAL ESTATE INVESTMENT TRUSTS - 0.04%
5,900 Price Enterprises, Inc., Class A ................ 85,550
778 Prime Retail, Inc., Class B ..................... 9,093
------------
94,643
------------
TELECOMMUNICATIONS - 0.01%
689 Superior Trust I ................................ 23,340
------------
TOTAL PREFERRED STOCK
(Cost $116,203) ................................. 117,983
------------
</TABLE>
<TABLE>
<CAPTION>
PAR VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM - REPURCHASE AGREEMENT-
1.54%
BANKS - OTHER - 1.54%
$3,380,000 State Street Bank Repurchase Agreement, 5.54%,
dated 11/30/99, to be repurchased at $3,380,520
on 12/01/99, collateralized by U.S. Treasury
Note, 5.38%, 02/15/01,
with a par value of $3,420,000
(Cost $3,380,000) .............................. $ 3,380,000
------------
TOTAL CORPORATE SHORT TERM - REPURCHASE
AGREEMENT
(Cost $3,380,000)............................... 3,380,000
------------
UNITED STATES GOVERNMENT -
SHORT TERM - 0.15%
U. S. TREASURY BILLS - 0.15%
United States Treasury Bills:
10,000 4.83% due 12/30/99 ............................. 9,961
125,000 4.51% due 12/09/99 ............................. 124,874
50,000 4.46% due 12/23/99 ............................. 49,863
25,000 4.30% due 12/09/99 ............................. 24,976
125,000 4.25% due 12/09/99 ............................. 124,882
------------
334,556
------------
TOTAL UNITED STATES GOVERNMENT -SHORT TERM
(Cost $334,556)................................. 334,556
------------
TOTAL INVESTMENTS
(Cost $210,412,616) - 98.64%.................... $216,373,799
------------
* Non-income producing
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<C> <S> <C>
- -------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/30/99)
15(2) Russell 2000 Index Futures
(December/$452.40).............................. $ 54,625
------------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $150,000 were
maintained in a segregated account with a portion placed as collateral
for futures contracts.
(2) Per 500.
- -------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 35
SMALL CAP INDEX FUND - CONTINUED
<TABLE>
<CAPTION>
<S> <C> <C>
- -----------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES:
ASSETS:
Investments, at market (Cost $210,412,616)...................... $216,373,799
Receivables for:
Investments sold............................................... 70,668
Fund shares sold............................................... 2,898,223
Dividends and interest......................................... 173,516
Other assets.................................................... 29,141
------------
TOTAL ASSETS.................................................... 219,545,347
------------
LIABILITIES:
Payable for investments purchased............................... 34,134
Payable to affiliates:
Advisory fees.................................................. 61,958
Accounting services............................................ 5,668
Accrued expenses and other liabilities.......................... 92,671
------------
TOTAL LIABILITIES............................................... 194,431
------------
NET ASSETS...................................................... $219,350,916
------------
- -----------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
13,344,099 shares outstanding................................... $ 133,441
Additional paid in capital...................................... 167,418,483
Undistributed net realized gain on securities................... 45,745,784
Undistributed net investment income............................. 37,400
Unrealized appreciation of:
Investments......................................... $5,961,183
Futures............................................. 54,625 6,015,808
---------- ------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING........................................... $219,350,916
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
36 SMALL CAP INDEX FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 1,556,941
Interest........................................................ 149,110
-----------
Total investment income........................................ 1,706,051
-----------
EXPENSES:
Advisory fees................................................... 375,770
Custodian fees.................................................. 7,815
Registration and filing fees.................................... 10,668
Audit fees and tax services..................................... 1,959
Accounting services............................................. 32,209
Directors' fees and expenses.................................... 1,301
Report to shareholders.......................................... 22,599
Miscellaneous................................................... 4,619
-----------
Total expenses................................................. 456,940
-----------
NET INVESTMENT INCOME........................................... 1,249,111
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities:
Investments....................................... $ 24,616,904
Futures contracts................................. 115,344 24,732,248
------------
Net unrealized appreciation (depreciation) of
securities during the period:
Investments....................................... (16,753,851)
Futures contracts................................. 63,450 (16,690,401)
------------ -----------
Net realized and unrealized gain on securities
during the period............................................ 8,041,847
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $ 9,290,958
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the
For the Six Fiscal Year
Months Ended Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 1,249,111 $ 2,587,749
Net realized gain on securities............... 24,732,248 20,753,231
Net unrealized depreciation of securities
during the period............................ (16,690,401) (30,909,483)
------------------------------
Increase (decrease) in net assets resulting
from operations............................. 9,290,958 (7,568,503)
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................... (1,214,233) (2,617,126)
Net realized gain on securities............... - (18,436,501)
------------------------------
Decrease in net assets resulting from
distributions to shareholders............... (1,214,233) (21,053,627)
------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.............. 18,962,907 30,591,343
Proceeds from capital stock issued for
distributions reinvested..................... 1,214,233 21,053,627
------------------------------
20,177,140 51,644,970
Cost of capital stock repurchased............. (28,904,474) (50,203,873)
------------------------------
Increase (decrease) in net assets resulting
from capital stock transactions............. (8,727,334) 1,441,097
------------------------------
TOTAL DECREASE IN NET ASSETS.................. (650,609) (27,181,033)
NET ASSETS:
Beginning of year............................. 220,001,525 247,182,558
------------------------------
End of period (including undistributed net
investment income of $37,400 and $2,522)..... $219,350,916 $220,001,525
------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold.................. 1,190,132 1,985,030
Shares issued for distributions reinvested.... 76,886 1,409,310
Shares of capital stock repurchased........... (1,812,752) (3,281,424)
------------------------------
Increase (decrease) in shares outstanding.... (545,734) 112,916
Shares outstanding:
Beginning of year............................ 13,889,833 13,776,917
------------------------------
End of period................................ 13,344,099 13,889,833
------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 37
INTERNATIONAL EQUITIES FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 99.87%
AIRLINES - 0.37%
30,000 Alitalia Linee.................................. $ 72,558
40,000 * Japan Air Lines Co., Ltd. ...................... 128,101
60,000 Malay Airline Systems Bhd....................... 51,474
35,000 Singapore Airlines.............................. 354,061
--------------
606,194
--------------
APPAREL & PRODUCTS - 0.30%
20,000 Onward Kashiyama Co., Ltd. ..................... 267,007
250 Swatch Group.................................... 214,951
--------------
481,958
--------------
APPLIANCES/FURNISHINGS - 0.78%
4,200 Matsushita Electric Industrial Co.,
Ltd. - ADR...................................... 1,062,600
33,000 Sanyo Electric Co., Ltd. ....................... 131,293
3,400 Sanyo Electric Co., Ltd. - ADR.................. 66,088
--------------
1,259,981
--------------
AUTO - CARS - 2.54%
10,000 Honda Motor Co., Ltd. - ADR..................... 826,875
500 Peugeot Citroen SA.............................. 98,004
200 * Porsche AG...................................... 544,185
78,000 Toyota Motor Corp. ............................. 2,651,211
--------------
4,120,275
--------------
AUTO - ORIGINAL EQUIPMENT - 0.15%
25,000 Calsonic Corp. ................................. 62,626
7,000 Pininfarina Spa................................. 180,589
--------------
243,215
--------------
AUTO - REPLACEMENT PARTS - 0.80%
25,000 Continental AG.................................. 498,836
5,550 Denso Corp. - ADR............................... 479,043
8,191 Michelin (CGDE), Class B........................ 328,528
--------------
1,306,407
--------------
BANKS - OTHER - 12.92%
60,000 AMMB Holdings BHD............................... 128,684
50,000 Asahi Bank, Ltd. ............................... 351,196
3,190 Asahi Bank, Ltd. - ADR.......................... 223,208
106,000 Bank of Tokyo - Mitsubishi...................... 1,536,971
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - OTHER - Continued
68,000 Bank of Yokohama, Ltd. ......................... $ 309,288
2,296 Bank of Yokohama, Ltd. - ADR.................... 104,032
39,809 Barclays, Plc. ................................. 1,149,013
40,909 Bca Intesa Spa.................................. 174,798
10,000 Bca Pop Di Brescia.............................. 503,875
50,000 Bco Bilbao Vizcaya.............................. 697,867
59,885 Bco Com Portugues............................... 345,197
4,000 Bco Espir Santo................................. 99,969
83,220 Bco Sant Cent Hisp.............................. 914,966
2,000 Bqe Natl Paris.................................. 183,410
108,000 Commerce Asset Holding.......................... 235,895
1,500 Cobepa Cie Belge................................ 84,349
50,000 Credito Italiano................................ 233,294
15,119 Dbs Group Holdings.............................. 196,129
17,429 Dbs Group Holdings, Ltd. - ADR.................. 901,951
250,000 DCB Holdings BHD................................ 226,316
6,300 Den Danske Bank AF 1871 - ADR................... 716,313
129 Dexia........................................... 3
129 Dexia Cred, Class B............................. 21,060
17,000 Dresdner Bank AG - ADR.......................... 802,791
15,000 Foreningssparbanken............................. 230,959
25,000 Hang Seng Bank.................................. 277,635
7,080 Hsbc Holdings, Plc. - ADR....................... 461,528
35,000 Ifil 1st Fin Ital............................... 271,589
15,000 Industrial Bank of Japan, Ltd. ................. 177,268
48,000 Joyo Bank....................................... 222,093
137,576 Lloyds TSB Group, Plc. ......................... 1,763,860
60,000 * Malayan Bk Bhd.................................. 205,263
35,000 Merita Oyj...................................... 210,922
33,571 National Australia Bank, Ltd. .................. 485,052
9,319 National Australia Bank, Ltd. - ADR............. 675,045
10,915 National Westminster Bank, Plc. ................ 251,155
21,259 Royal Bank Scot Group........................... 411,215
98,000 Sakura Bank, Ltd. .............................. 726,853
21,160 San Paolo Imi Spa - ADR......................... 534,290
25,000 Sao Paolo Imi Spa............................... 312,402
30,000 Shizuoka Bank................................... 321,234
54,000 Sumitomo Bank................................... 830,198
26,000 Tokai Bank...................................... 180,579
2,225 Tokai Bank - ADR................................ 307,887
5,653 Ubs Ag.......................................... 1,546,673
13,300 Westpac Banking Corp., Ltd. - ADR............... 450,538
--------------
20,994,813
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BEVERAGE - BREWERS/DISTRIBUTORS - 0.69%
34,642 * Bass............................................ $ 389,179
62,401 Diageo.......................................... 564,706
45,000 Sapporo Breweries............................... 159,143
--------------
1,113,028
--------------
BEVERAGE - SOFT DRINKS - 0.30%
45,491 Cadbury Schweppes............................... 288,718
7,858 Cadbury Schweppes, Plc. - ADR................... 192,521
--------------
481,239
--------------
BROADCASTING - 0.44%
3,056 Canal Plus...................................... 252,842
40,000 Mediaset........................................ 455,503
--------------
708,345
--------------
BUILDING MATERIALS - 1.83%
20,000 Asahi Glass Co., Ltd. .......................... 161,305
1,223 Cie De St Gobain................................ 208,289
31,556 CRH, Plc. ...................................... 633,141
2,505 Fletcher Challenge Building
Division - ADR.................................. 30,999
2,700 Glaverbel SA.................................... 239,441
525 Holderbank Finance Glarus....................... 658,107
40,000 Inax Corp. ..................................... 237,733
4,544 * Lafarge SA...................................... 428,843
24,452 Rexam........................................... 96,701
15,000 Tostem Corp. ................................... 270,396
--------------
2,964,955
--------------
CHEMICAL - MAJOR - 1.23%
25,000 BASF AG......................................... 1,157,652
10,000 Bayer AG........................................ 423,255
10,000 Bayer AG - ADR.................................. 421,382
--------------
2,002,289
--------------
CHEMICAL - MISCELLANEOUS - 1.53%
15,303 Air Liquide - ADR............................... 449,308
10,200 Akzo Nobel NV - ADR............................. 432,225
23,420 BOC Group, Plc. ................................ 483,266
6,000 Imperial Chemical Industries,
Plc. - ADR...................................... 245,250
200 Lonza Group Ag.................................. 117,114
13,100 Shin Etsu Chemical Co. ......................... 518,621
50,000 Toray Industries, Inc. ......................... 244,118
--------------
2,489,902
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
38 November 30, 1999 (Unaudited)
INTERNATIONAL EQUITIES FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONGLOMERATES - 3.25%
6,890 Broken Hill Proprietary Co.,
Ltd. - ADR........................................ $ 150,719
20 D/S 1912.......................................... 211,296
30,000 Hutchison Whampoa................................. 369,858
3,300 Itochu Corp. - ADR................................ 196,350
71,250 Keppel Corp., Ltd. ............................... 189,096
26,875 Keppel Corp., Ltd. - ADR.......................... 142,696
9,800 Kvaerner Asa...................................... 184,823
8,157 Lagardere Groupe.................................. 384,706
10,000 Mannesmann Ag..................................... 2,079,995
22,000 Mitsubishi Corp. ................................. 192,563
50,000 Mitsui & Co. ..................................... 381,649
9,806 Vivendi........................................... 785,618
--------------
5,269,369
--------------
CONSUMER FINANCE - 0.17%
37,000 Nippon Shinpan Co. ............................... 109,406
300 Shohkoh Fund & Co. ............................... 162,385
--------------
271,791
--------------
COSMETICS/TOILETRIES - 1.02%
1,100 Loreal Co. ....................................... 724,421
2,900 Loreal Co. - ADR.................................. 381,640
1,000 Lvmh Moet Hennessy................................ 324,697
14,490 Shiseido, Ltd. - ADR.............................. 232,554
--------------
1,663,312
--------------
DRUGS - 7.60%
10,000 Astrazeneca....................................... 445,545
20,900 Astrazeneca, Plc. - ADR........................... 930,050
44,900 Glaxo Wellcome, Plc. - ADR........................ 2,668,744
1,400 Novartis Ag....................................... 2,182,905
5,000 Ono Pharmaceutical................................ 158,652
200 Roche Holdings AG................................. 2,415,246
10,000 Sanofi Synthelabo................................. 412,170
101,184 Smithkline Beecham................................ 1,360,206
25,000 Takeda Chemical Industries, Ltd. ................. 1,478,462
4,000 Yamanouchi Pharm.................................. 174,861
10,000 Yoshitomi Pharm................................... 124,761
--------------
12,351,602
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ELECTRICAL EQUIPMENT - 3.82%
2,000 Advantest......................................... $ 334,398
1,000 Barco............................................. 118,914
15,000 Fanuc............................................. 1,252,517
84,000 General Electric, Plc. ........................... 1,289,274
10,400 General Electric, Plc. - ADR...................... 165,100
10,000 Murata Manufacturing Co. ......................... 1,662,164
12,000 Nikon Corp. ...................................... 305,320
2,000 Philips Elec(KON)................................. 243,573
3,400 Sumitomo Electric Industries,
Ltd. - ADR........................................ 384,636
10,000 Taiyo Yuden Co. .................................. 438,135
--------------
6,194,031
--------------
ELECTRONIC INSTRUMENTS - 1.51%
50,000 Hitachi, Ltd. .................................... 692,568
5,050 Hitachi, Ltd. - ADR............................... 696,900
50,000 Racal Electronics, Plc. .......................... 414,609
7,110 Schneider SA...................................... 480,062
25,000 Yokogawa Electric................................. 163,810
--------------
2,447,949
--------------
ENTERTAINMENT - 0.46%
4,000 Sony Corp. ....................................... 742,669
--------------
FINANCE COMPANIES - 3.18%
30,000 Abbey National.................................... 506,620
45,051 ABN Amro Holdings NV.............................. 1,097,321
38,879 Allied Zurich..................................... 471,188
9,907 Allied Zurich, Plc. .............................. 240,630
16,896 Fortis Nl......................................... 579,427
21,059 ING Groep NV...................................... 1,185,260
3,984 Societe Generale.................................. 859,183
3,000 Unidanmark........................................ 227,550
--------------
5,167,179
--------------
FOODS - 2.11%
25,000 Ajinomoto, Inc. .................................. 261,310
10,000 Daiei, Inc. ...................................... 37,330
11,500 Daiei, Inc. - ADR................................. 84,813
1,000 Groupe Danone..................................... 232,085
20,000 Nestle S A - ADR.................................. 1,799,004
30,750 Tate & Lyle, Plc. ................................ 207,788
14,642 Unilever NV....................................... 797,074
--------------
3,419,404
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FREIGHT - 0.64%
40,000 Nippon Yusen Kabushiki Kaish.................... $ 162,287
8,570 Nippon Yusen Kabushiki
Kaish - ADR..................................... 346,373
36,322 P & O Steam Navigation.......................... 532,872
--------------
1,041,532
--------------
HOME BUILDERS - 0.32%
214 Sekisui Homes, Ltd. - ADR....................... 20,733
20,000 Sekisui House, Ltd. ............................ 194,509
9,000 Skanska Ab...................................... 305,712
--------------
520,954
--------------
HOUSEHOLD PRODUCTS - 0.20%
8,000 Electrolux Ab................................... 156,088
7,000 Katokichi Co. .................................. 176,384
--------------
332,472
--------------
HUMAN RESOURCES - 0.58%
7,000 Konami Co. ..................................... 942,090
--------------
INFORMATION PROCESSING - 0.66%
1,200 Cap Gemini...................................... 212,353
24,000 Fujitsu, Ltd. .................................. 853,480
--------------
1,065,833
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE
SYSTEMS - 0.75%
8,000 Secom Co. ...................................... 903,778
3,000 Tokyo Electron.................................. 312,393
--------------
1,216,171
--------------
INFORMATION PROCESSING -
DATA SERVICES - 0.21%
5,000 Toyo Information................................ 335,478
--------------
INSURANCE - CASUALTY - 0.30%
25,000 Mitsui Marine & Fire............................ 140,478
50,000 Nippon Fire & Marine Insurance.................. 172,405
25,000 Sumitomo Marine & Fire.......................... 176,580
--------------
489,463
--------------
INSURANCE - LIFE - 1.15%
2,500 Mundial Confianca............................... 131,637
15,240 Prudential, Plc. - ADR.......................... 1,257,338
20,000 * Skandia Forsakring.............................. 478,373
--------------
1,867,348
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 39
INTERNATIONAL EQUITIES FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - MULTILINE - 3.34%
5,030 Aegon NV........................................ $ 456,208
3,088 Allianz AG...................................... 904,794
27,313 Assic Generali.................................. 787,205
10,962 AXA............................................. 1,479,187
3,120 Munchener Ruckvers.............................. 650,845
53,783 Royal+Sun Alliance.............................. 328,480
400 Swiss Reinsurance AG............................ 816,404
--------------
5,423,123
--------------
LEISURE TIME - 1.20%
20,000 Canon, Inc. - ADR............................... 590,000
15,000 Fuji Photo...................................... 611,523
55,322 Ladbroke Group, Plc. ........................... 177,982
1,500 Nintendo Co. ................................... 250,651
10,734 Preussag AG..................................... 145,233
25,000 Tab Corporation Holdings, Ltd. ................. 170,868
--------------
1,946,257
--------------
LODGING - 0.21%
297,916 Hong Kong & Shanghai Hotels..................... 176,452
180,000 Hotel Properties................................ 164,951
--------------
341,403
--------------
MACHINE TOOLS - 0.45%
35,000 Amada Co., Ltd. ................................ 199,420
16,000 Makita Corp. - ADR.............................. 148,000
25,000 Minebea Co., Ltd. .............................. 391,227
--------------
738,647
--------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.44%
2,000 Groupe Gtm...................................... 189,558
52,000 Kajima Corp. ................................... 175,726
2,340 Kajima Corp. - ADR.............................. 78,775
80,000 Kumagai Gumi Co. ............................... 29,614
70,000 Shimizu Corp. .................................. 237,929
--------------
711,602
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 2.67%
11,428 Atlas Copco AB, Class A......................... 295,505
125 Bobst SA........................................ 145,449
62,455 * British Aerospace............................... 360,530
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY -
INDUSTRIAL/SPECIALTY - Continued
8,000 Ebara Corp. .................................... $ 90,771
2,530 Ebara Corp. - ADR............................... 285,967
100,000 Halma, Plc. .................................... 173,817
16,424 Invensys, Plc. - ADR............................ 151,720
50,000 Kawasaki Heavy Industries....................... 68,766
70,000 Kubota Corp. ................................... 275,063
1,350 Kubota Corp. - ADR.............................. 105,300
7,500 Man Ag.......................................... 229,011
556 Rolls Royce..................................... 1,640
139,909 Siebe, Plc. .................................... 635,852
7,000 Siemens AG - ADR................................ 705,526
8,000 Siemens AG NPV.................................. 807,006
--------------
4,331,923
--------------
MEDICAL TECHNOLOGY - 0.16%
3,000 Fresenius Medical............................... 249,116
20,000 * Instrumentation Laboratory
S.p.A. - ADR.................................... 10,000
--------------
259,116
--------------
MERCHANDISE - SPECIALTY - 1.12%
10,000 Esselte AB, Class B............................. 69,347
20,000 Great Universal Stores, Plc. ................... 134,588
40,000 Hennes + Mauritz................................ 1,269,394
1,500 Herlitz AG...................................... 23,430
6,000 Metro Ag........................................ 321,674
--------------
1,818,433
--------------
MERCHANDISING -
DEPARTMENT - 0.50%
5,000 Karstadt Ag..................................... 173,081
15,311 Marks & Spencer, Plc. .......................... 61,772
5,033 Marks & Spencer, Plc. - ADR..................... 122,166
16,000 Marui Co., Ltd. ................................ 274,748
36,000 Mitsukoshi, Ltd. ............................... 172,229
200 Mitsukoshi, Ltd. - ADR.......................... 9,532
--------------
813,528
--------------
MERCHANDISING - FOOD - 0.86%
16,562 Ahold Kon NV.................................... 527,582
10,000 * Delhaize-Le Lion, S.A. ......................... 765,890
15,000 Melco International Development, Ltd. .......... 1,931
10,000 Uny Co., Ltd. .................................. 105,113
--------------
1,400,516
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISING - MASS - 2.00%
9,300 Carrefour....................................... $ 1,621,368
4,356 Familymart Co. ................................. 274,296
10,200 Ito-Yokado Co., Ltd. - ADR...................... 1,071,000
8,666 Jeronimo Martins Sgps........................... 196,496
20,000 Seiyu, Ltd. .................................... 82,519
--------------
3,245,679
--------------
METALS - MISCELLANEOUS - 1.63%
200 * Alusuisse Lonza Holdings........................ 121,769
7,816 Boliden, Ltd. .................................. 21,129
10,000 Nitto Denko Corp. .............................. 403,753
8,062 Rio Tinto, Ltd. - ADR........................... 564,762
6,432 Rio Tinto, Plc. ................................ 125,851
6,700 Rio Tinto, Plc. - ADR........................... 520,925
3,000 Shimamura Co. .................................. 574,684
67,410 Western Mining.................................. 309,785
--------------
2,642,658
--------------
METALS - STEEL - 0.64%
5,000 Bekaert Sa...................................... 254,205
36,700 Corus Group..................................... 74,764
2,000 Corus Group, Plc. - ADR......................... 40,875
100,000 Kawasaki Steel.................................. 206,297
50,000 Sumitomo Metal Mining........................... 114,446
10,000 Thyssen Krupp AG................................ 263,023
2,000 * Vallourec Usin.................................. 78,000
--------------
1,031,610
--------------
MISCELLANEOUS - 0.63%
500 Bouygues........................................ 230,775
10,000 Cardo Ab........................................ 191,584
15,000 Daito Trust Const............................... 190,088
15,940 Tnt Post Groep NV............................... 408,014
--------------
1,020,461
--------------
OIL -
INTEGRATED INTERNATIONAL - 5.66%
40,000 Bp Amoco........................................ 408,549
56,178 Bp Amoco, Plc. - ADR............................ 3,423,347
225,000 Eni S.p.A. ..................................... 1,233,486
30,000 Repsol SA - ADR................................. 652,500
10,392 Royal Dutch Pete Co. - ADR...................... 602,736
9,207 Total........................................... 1,225,670
24,757 Total Fina Sa - ADR............................. 1,637,057
--------------
9,183,345
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
40 November 30, 1999 (Unaudited)
INTERNATIONAL EQUITIES FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - SERVICES - 0.12%
50,000 Saipem.......................................... $ 195,503
--------------
OIL/GAS PRODUCERS - 0.14%
2,505 Fletcher Challenge Energy
Division - ADR.................................. 56,676
62,500 Santos, Ltd. ................................... 167,081
--------------
223,757
--------------
PAPER/FOREST PRODUCTS - 1.02%
150,801 Fletcher Challenge Forest, Ltd. ................ 55,407
4,326 Fletcher Challenge, Ltd. - ADR.................. 15,682
5,010 Fletcher Challenge Paper
Division - ADR.................................. 28,808
5,000 Mayr Melnhof Karto.............................. 208,604
666 Metso Oyj....................................... 7,215
22,000 New Oji Paper Co., Ltd. ........................ 141,559
300 New Oji Paper Co., Ltd. - ADR................... 19,230
60,000 Nippon Paper Industries......................... 441,476
22,000 UPM - Kymmene Corp. ............................ 736,060
--------------
1,654,041
--------------
POLLUTION CONTROL - 0.09%
1,000 Lyonnaise Des Eaux SA........................... 147,434
--------------
PUBLISHING - NEWS - 0.81%
52,881 Independent Newspapers, Plc. ................... 277,112
22,500 News Corp., Ltd. - ADR.......................... 770,625
21,379 United News & Media, Plc. ...................... 271,372
--------------
1,319,109
--------------
PUBLISHING/PRINTING - 0.26%
20,000 Trelleborg Ab................................... 165,726
8,232 Wolters Kluwer.................................. 248,459
--------------
414,185
--------------
RAILROAD - 0.23%
30,000 Fukuyama Transporting Co. ...................... 215,138
60,000 Tokyu Corp. .................................... 155,607
--------------
370,745
--------------
REAL ESTATE - 1.17%
6,000 * Asticus Ab...................................... 82,158
67,320 Beni Stabili Spa................................ 23,677
12,000 Diligentia...................................... 90,973
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
REAL ESTATE - Continued
9,000 Drott Ab........................................ $ 99,436
35,000 Great Portland Est.............................. 107,160
42,102 Hammerson, Plc. ................................ 304,135
240,000 Hang Lung Development Co. ...................... 248,761
43,000 Mitsubishi Estate Co., Ltd. .................... 464,659
27,313 New World Development Co. ...................... 54,158
44,498 Sun Hung Kai Properties, Ltd. .................. 405,361
6,582 Wharf Holdings, Ltd. ........................... 16,695
--------------
1,897,173
--------------
SECURITIES RELATED - 0.64%
25,000 Daiwa Securities Co., Ltd. ..................... 358,073
2,137 Garban.......................................... 6,577
3,800 Nomura Securities Co., Ltd. - ADR............... 676,812
6,000 Yamaichi Securities Co., Ltd. - ADR............. -
--------------
1,041,462
--------------
TELECOMMUNICATIONS - 18.02%
3,000 * Alcatel Alst Cge................................ 581,975
36,344 British Telecommunications, Plc. ............... 729,086
11,379 British Telecommunications,
Plc. - ADR..................................... 2,327,006
47,423 Cable & Wireless, Plc. ......................... 602,338
11,423 Cable + Wireless Hkt - ADR...................... 303,423
49,081 Deutsche Telekom................................ 2,811,878
20,000 Europolitan Holdings............................ 251,528
25,000 Fortum Oyj...................................... 114,632
20,000 * France Telecom.................................. 2,319,840
15,984 Kon Kpn NV...................................... 890,765
5,000 * Netcom Asa...................................... 219,614
300 Nippon Tel+Tel Cp............................... 5,393,192
34,000 Nokia Ab Oy..................................... 4,817,446
7,500 Sonera OYJ...................................... 309,959
1,000 Swisscom Ag..................................... 339,644
2,600 Telecom Corp. of New Zealand,
Ltd. - ADR...................................... 87,100
125,000 Telecom Italia Mobile........................... 982,556
10,400 Telefonaktiebolage & LM Ericsson,
Class B - ADR................................... 501,150
43,695 Telefonica Ca................................... 910,615
20,022 Telefonica de Espana - ADR...................... 1,238,379
873 Telefonica Sa................................... 16,742
115,000 Telekom Malaysia Berhad......................... 363,158
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
50,000 Telstra Corp. .................................... $ 291,517
1,000 Versatel Telecom.................................. 28,217
60,000 Vodafone Group, Plc. - ADR........................ 2,831,250
--------------
29,263,010
--------------
TEXTILE - PRODUCTS - 0.10%
20,000 Courtaulds Textiles, Plc. ........................ 24,558
15,000 Wacoal Corp. ..................................... 134,240
--------------
158,798
--------------
TOBACCO - 0.45%
38,879 British America Tobacco........................... 244,584
9,908 British American Tobacco, Plc. - ADR.............. 125,089
32,000 Swedish Match AB.................................. 114,339
15,000 Tabacalera........................................ 247,755
--------------
731,767
--------------
UTILITIES - COMMUNICATION - 0.12%
15,000 Telecel Comuni Pes................................ 198,627
--------------
UTILITIES - ELECTRIC - 2.53%
48,000 Endesa SA - ADR................................... 951,000
30,000 Iberdrola SA...................................... 418,418
16,600 Kansai Electric Power Co., Inc. .................. 318,970
62,265 National Power.................................... 399,894
2,000 Oesterreichisch Elektrizitatswirt
Schafts - AG, Class A............................. 257,964
10,000 RWE AG - ADR...................................... 381,610
48,488 Scot Power........................................ 427,587
25,200 Tokyo Electric Power.............................. 711,725
5,000 VEBA AG........................................... 244,379
--------------
4,111,547
--------------
UTILITIES -
GAS, DISTRIBUTION - 0.14%
44,117 Bg................................................ 231,983
--------------
WATER SERVICES - 0.71%
23,724 Hyder, Plc. ...................................... 160,784
24,545 Thames Water...................................... 344,829
3,000 Suez Lyonn Eaux................................... 220,863
45,183 United Utilities, Plc. ........................... 425,461
--------------
1,151,937
--------------
TOTAL COMMON STOCK
(Cost $106,969,080)............................... 162,130,627
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 41
INTERNATIONAL EQUITIES FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
WARRANTS - 0.02%
BANKS - OTHER - 0.02%
11,250 Commerce Asset Holding............................ $ 9,296
50,000 DCB Holdings BHD.................................. 23,816
--------------
33,112
--------------
INSURANCE - MULTILINE - 0.00%
60 Munchener Ruckvers................................ 2,177
--------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.00%
16,000 Kumagai Gumi Co. ................................. 29
--------------
WATER SERVICES - 0.00%
76 Eaux (Cie Generale)............................... 205
--------------
TOTAL WARRANTS
(Cost $18,103).................................... 35,523
--------------
TOTAL INVESTMENTS
(Cost $106,987,183) - 99.89%...................... $ 162,166,150
--------------
* Non-income producing
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
<S> <C>
- -------------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $106,987,183)........................ $162,166,150
Receivables for:
Investments sold................................................. 258,230
Fund shares sold................................................. 30,512
Dividends and interest........................................... 272,908
Other assets...................................................... 747,612
------------
TOTAL ASSETS...................................................... 163,475,412
------------
LIABILITIES:
Payable for investments purchased................................. 860,713
Payable to affiliates - advisory fees............................. 45,418
Accrued expenses and other liabilities............................ 223,118
------------
TOTAL LIABILITIES................................................. 1,129,249
------------
NET ASSETS........................................................ $162,346,163
------------
</TABLE>
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
12,233,890 shares outstanding.................................. $ 122,339
Additional paid in capital..................................... 96,663,560
Undistributed net realized gain on securities.................. 10,352,399
Undistributed net investment income............................ 61,451
Unrealized appreciation (depreciation) of:
Investments....................................... $55,178,967
Foreign currency translation...................... (32,553) 55,146,414
----------- ------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.......................................... $162,346,163
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
42 INTERNATIONAL EQUITIES FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends (net of foreign withholding taxes of $126,643)........ $ 1,022,864
Interest........................................................ 40,299
-----------
Total investment income........................................ 1,063,163
-----------
EXPENSES:
Advisory fees................................................... 267,664
Custodian fees.................................................. 5,404
Registration and filing fees.................................... 1,118
Audit fees and tax services..................................... 1,045
Accounting services............................................. 24,337
Directors' fees and expenses.................................... 927
Report to shareholders.......................................... 16,713
Miscellaneous................................................... 6,968
-----------
Total expenses................................................. 324,176
-----------
NET INVESTMENT INCOME........................................... 738,987
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized gain on securities:
Investments........................................ $ 2,610,021
Foreign currency transactions...................... 69,880 2,679,901
-----------
Net unrealized appreciation (depreciation) of
securities during the period:
Investments........................................ 22,075,782
Forward contracts.................................. 19,830
Foreign currency translation....................... (23,227) 22,072,385
----------- -----------
Net realized and unrealized gain on securities and
foreign currencies during the period......................... 24,752,286
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $25,491,273
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- -------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
-------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income...................... $ 738,987 $ 2,740,455
Net realized gain on securities and
foreign currency transactions............. 2,679,901 8,109,504
Net unrealized appreciation (depreciation)
of securities and translation of foreign
currencies during the period.............. 22,072,385 (4,445,463)
-------------------------------
Increase in net assets resulting from
operations.............................. 25,491,273 6,404,496
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income...................... (809,997) (3,076,811)
Net realized gain on securities............ - (11,030,196)
-------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (809,997) (14,107,007)
-------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold........... 67,677,864 82,990,722
Proceeds from capital stock issued for
distributions reinvested.................. 809,997 14,107,007
-------------------------------
68,487,861 97,097,729
Cost of capital stock repurchased.......... (72,930,600) (102,756,759)
-------------------------------
Decrease in net assets resulting
from capital stock transactions........... (4,442,739) (5,659,030)
-------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS.... 20,238,537 (13,361,541)
NET ASSETS:
Beginning of year.......................... 142,107,626 155,469,167
-------------------------------
End of period (including undistributed net
investment income of $61,451 and
$132,461)................................. $162,346,163 $ 142,107,626
-------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold............... 5,490,359 7,190,824
Shares issued for distributions
reinvested................................ 67,065 1,245,781
Shares of capital stock repurchased........ (5,882,678) (8,886,737)
-------------------------------
Decrease in shares outstanding............. (325,254) (450,132)
Shares outstanding:
Beginning of year......................... 12,559,144 13,009,276
-------------------------------
End of period............................. 12,233,890 12,559,144
-------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) GROWTH FUND 43
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 98.35%
AEROSPACE/DEFENSE - 0.99%
204,500 United Technologies Corp. ...................... $ 11,554,250
--------------
AIRLINES - 0.87%
167,700 * AMR Corp. ...................................... 10,208,738
--------------
BANKS - NEW YORK CITY - 1.80%
390,600 Citigroup, Inc. ................................ 21,043,575
--------------
BANKS - REGIONAL - 1.20%
191,200 State Street Corp. ............................. 14,041,250
--------------
BEVERAGE - SOFT DRINKS - 0.47%
159,600 PepsiCo, Inc. .................................. 5,516,175
--------------
BROADCASTING - 1.25%
280,500 * CBS Corp. ...................................... 14,586,000
--------------
CHEMICAL - MAJOR - 0.94%
184,900 E.I. du Pont de Nemours and Co. ................ 10,989,994
--------------
CHEMICAL - MISCELLANEOUS - 0.97%
255,500 Praxair, Inc. .................................. 11,401,688
--------------
CONTAINERS - PAPER - 0.52%
130,500 * Sealed Air Corp. ............................... 6,133,500
--------------
DRUGS - 9.13%
467,500 American Home Products Corp. ................... 24,310,000
209,600 Bristol-Myers Squibb Co. ....................... 15,313,900
208,400 Johnson & Johnson............................... 21,621,500
243,400 Merck & Co., Inc. .............................. 19,106,899
327,300 Pfizer, Inc. ................................... 11,844,168
161,200 Warner-Lambert Co. ............................. 14,457,625
--------------
106,654,092
--------------
ELECTRICAL EQUIPMENT - 2.98%
268,500 General Electric Co. ........................... 34,905,000
--------------
FINANCE COMPANIES - 1.48%
521,900 Associates First Capital Corp. ................. 17,353,175
--------------
GOVERNMENT SPONSORED - 0.97%
170,900 Federal National Mortgage Association........... 11,386,213
--------------
HEALTHCARE - 0.92%
205,400 Cardinal Health, Inc. .......................... 10,744,988
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HOSPITAL SUPPLIES - 2.05%
302,400 Abbott Laboratories............................ $ 11,491,199
184,900 Baxter International, Inc. .................... 12,492,306
--------------
23,983,505
--------------
HOUSEHOLD PRODUCTS - 1.46%
158,300 Procter & Gamble Co. .......................... 17,096,400
--------------
INFORMATION PROCESSING - 3.31%
283,800 Automatic Data Processing, Inc. ............... 14,012,625
159,900 * Computer Sciences Corp. ....................... 10,433,475
222,600 Electronic Data Systems Corp. ................. 14,315,963
--------------
38,762,063
--------------
INFORMATION PROCESSING - BUSINESS SOFTWARE -
5.97%
418,900 * Microsoft Corp. ............................... 38,139,535
377,900 * Oracle Corp. .................................. 25,626,343
66,300 * Veritas Software Corp. ........................ 6,070,594
--------------
69,836,472
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE
SYSTEMS - 0.74%
319,800 Xerox Corp. ................................... 8,654,588
--------------
<PAGE>
INFORMATION PROCESSING - COMPUTER SERVICES -
2.42%
536,800 Gartner Group, Inc., Class A................... 6,173,200
214,900 International Business Machines................ 22,148,130
--------------
28,321,330
--------------
INFORMATION PROCESSING - NETWORKING - 4.08%
391,000 * Cisco Systems, Inc. ........................... 34,872,313
29,500 * JDS Uniphase Corp. ............................ 6,748,125
59,000 * PMC-Sierra, Inc. .............................. 6,080,691
--------------
47,701,129
--------------
INSURANCE - MULTILINE - 4.66%
215,500 American International Group, Inc. ............ 22,250,375
189,300 Hartford Financial Services Group, Inc. ....... 8,837,944
297,300 Marsh & McLennan Companies, Inc. .............. 23,375,212
--------------
54,463,531
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.39%
99,400 Caterpillar, Inc. .............................. $ 4,609,675
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 3.73%
210,000 Corning, Inc. .................................. 19,674,375
148,900 Illinois Tool Works, Inc. ...................... 9,641,275
358,200 Tyco International, Ltd. ....................... 14,350,388
--------------
43,666,038
--------------
MEDICAL TECHNOLOGY - 1.03%
241,400 * Guidant Corp. .................................. 12,070,000
--------------
MERCHANDISE - DRUG - 1.01%
298,200 CVS Corp. ...................................... 11,834,813
--------------
MERCHANDISE - SPECIALTY - 1.49%
220,400 Home Depot, Inc. ............................... 17,425,375
--------------
MERCHANDISING - FOOD - 1.47%
465,300 * Safeway, Inc. .................................. 17,157,938
--------------
MERCHANDISING - MASS - 2.32%
471,800 Wal-Mart Stores, Inc. .......................... 27,187,475
--------------
METALS - ALUMINUM - 1.07%
191,200 Alcoa, Inc. .................................... 12,523,600
--------------
MISCELLANEOUS - 3.78%
322,000 * America Online, Inc. ........................... 23,405,375
498,400 * AT&T Corp. - Liberty Media Group, Class A....... 20,839,349
--------------
44,244,724
--------------
OIL - INTEGRATED DOMESTIC - 0.73%
257,000 Unocal Corp. ................................... 8,529,188
--------------
OIL -
INTEGRATED INTERNATIONAL - 3.62%
398,100 Exxon Mobil Corp. .............................. 31,574,306
177,100 Texaco, Inc. ................................... 10,792,030
--------------
42,366,336
--------------
OIL - SERVICES - 1.48%
288,400 Schlumberger, Ltd. ............................. 17,322,025
--------------
PAPER/FOREST PRODUCTS - 0.91%
173,900 Weyerhaeuser Co. ............................... 10,651,375
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
44 November 30, 1999 (Unaudited)
GROWTH FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PUBLISHING - NEWS - 1.80%
294,200 Gannett Co., Inc. .............................. $ 21,053,688
--------------
RAILROAD - 0.37%
120,700 CSX Corp. ...................................... 4,292,394
--------------
RESTAURANTS - 1.43%
371,500 McDonald's Corp. ............................... 16,717,500
--------------
SECURITIES RELATED - 3.21%
367,800 Franklin Resources, Inc. ....................... 11,562,713
172,400 Merrill Lynch & Co., Inc. ...................... 13,899,750
100,000 Morgan Stanley Dean Witter & Co. ............... 12,062,500
--------------
37,524,963
--------------
SEMICONDUCTORS - 4.23%
89,800 * Broadcom Corp. ................................. 16,079,813
262,000 Intel Corp. .................................... 20,092,125
137,000 Texas Instruments, Inc. ........................ 13,160,563
--------------
49,332,501
--------------
TELECOMMUNICATIONS - 9.50%
357,300 AT&T Corp. ..................................... 19,964,138
288,300 Bell Atlantic Corp. ............................ 18,252,994
410,700 * MCI Worldcom, Inc. ............................. 33,959,755
471,800 SBC Communications, Inc. ....................... 24,504,113
156,200 * Sprint Corp. (PCS Group)........................ 14,331,350
--------------
111,012,350
--------------
UTILITIES - COMMUNICATION - 5.60%
398,600 Lucent Technologies, Inc. ...................... 29,122,713
210,600 Motorola, Inc. ................................. 24,061,050
88,800 Nokia Corp. - ADR, Class A...................... 12,271,050
--------------
65,454,813
--------------
TOTAL COMMON STOCK
(Cost $1,056,962,707)........................... 1,150,314,427
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE SHORT TERM - REPURCHASE AGREEMENT -
1.16%
BANKS - OTHER - 1.16%
$13,544,000 ABN - AMRO Repurchase Agreement, 5.66%, dated
11/30/99, to be repurchased at $13,546,129 on
12/01/99, collateralized by U.S. Treasury Bond,
10.63%, 08/15/15, with a par value of $9,806,000
(Cost $13,544,000)............................... $ 13,544,000
--------------
TOTAL CORPORATE SHORT TERM - REPURCHASE AGREEMENT
(Cost $13,544,000)............................... 13,544,000
--------------
TOTAL INVESTMENTS
(Cost $1,070,506,707) - 99.51%................... $1,163,858,427
--------------
</TABLE>
* Non-income producing
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $1,070,506,707)................... $1,163,858,427
Receivables for:
Investments sold.............................................. 12,686,155
Dividends and interest........................................ 857,662
Other assets................................................... 370
--------------
TOTAL ASSETS................................................... 1,177,402,614
--------------
LIABILITIES:
Payable for:
Investments purchased......................................... 6,147,048
Capital stock reacquired...................................... 573,562
Payable to affiliates:
Advisory fees................................................. 771,732
Accounting services........................................... 31,904
Accrued expenses and other liabilities......................... 261,362
--------------
TOTAL LIABILITIES.............................................. 7,785,608
--------------
NET ASSETS..................................................... $1,169,617,006
--------------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share, 1,000,000,000 shares
authorized, 51,558,907 shares outstanding...................... $ 515,589
Additional paid in capital..................................... 799,755,024
Undistributed net realized gain on securities.................. 277,402,986
Accumulated net investment loss................................ (1,408,313)
Unrealized appreciation of securities.......................... 93,351,720
--------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.......................................... $1,169,617,006
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 GROWTH FUND (Unaudited) - CONTINUED 45
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<S> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 3,794,107
Interest....................................................... 1,068,394
-------------
Total investment income....................................... 4,862,501
-------------
EXPENSES:
Advisory fees.................................................. 4,817,549
Custodian fees................................................. 44,097
Registration and filing fees................................... 11,550
Audit fees and tax services.................................... 12,588
Accounting services............................................ 180,658
Directors' fees and expenses................................... 8,988
Report to shareholders......................................... 60,573
Miscellaneous.................................................. 19,029
-------------
Total expenses................................................ 5,155,032
-------------
NET INVESTMENT LOSS............................................ (292,531)
-------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities................................ 225,973,254
Net unrealized depreciation of securities during the
period......................................................... (300,635,728)
-------------
Net realized and unrealized loss on securities during
the period.................................................... (74,662,474)
-------------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $(74,955,005)
-------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
--------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment loss......................... $ (292,531) $ (4,164,880)
Net realized gain on securities............. 225,973,254 52,401,254
Net unrealized appreciation (depreciation)
of securities
during the period........................... (300,635,728) 113,817,130
--------------------------------
Increase (decrease) in net assets resulting
from operations............................ (74,955,005) 162,053,504
--------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... - -
Net realized gain on securities............. - (52,627,247)
--------------------------------
Decrease in net assets resulting from
distributions to shareholders.............. - (52,627,247)
--------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............ 20,408,249 82,766,079
Proceeds from capital stock issued for
distributions reinvested.................... - 52,627,247
--------------------------------
20,408,249 135,393,326
Cost of capital stock repurchased........... (46,870,213) (73,922,671)
--------------------------------
Increase (decrease) in net assets resulting
from capital stock transactions............ (26,461,964) 61,470,655
--------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS..... (101,416,969) 170,896,912
NET ASSETS:
Beginning of year........................... 1,271,033,975 1,100,137,063
--------------------------------
End of period (including accumulated net
investment losses of $1,408,313 and
$1,115,782)................................. $1,169,617,006 $1,271,033,975
--------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................ 891,249 3,800,046
Shares issued for distributions reinvested.. - 2,359,966
Shares of capital stock repurchased......... (2,022,229) (3,302,384)
--------------------------------
Decrease in shares outstanding............. (1,130,980) (2,857,628)
Shares outstanding:
Beginning of year.......................... 52,689,887 49,832,259
--------------------------------
End of period.............................. 51,558,907 52,689,887
--------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
46 November 30, 1999 (Unaudited)
GROWTH & INCOME FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 97.63%
ADVERTISING - 0.13%
2,500 * Doubleclick, Inc. .............................. $ 400,156
--------------
AEROSPACE/DEFENSE - 0.61%
51,500 Lockheed Martin Corp. .......................... 1,023,563
16,000 Northrop Grumman Corp. ......................... 899,000
--------------
1,922,563
--------------
AIRLINES - 0.76%
24,000 * AMR Corp. ...................................... 1,461,000
19,500 Delta Air Lines, Inc. .......................... 960,375
--------------
2,421,375
--------------
AUTO - CARS - 3.91%
80,500 Ford Motor Co. ................................. 4,065,250
114,500 General Motors Corp. ........................... 8,244,000
3,000 Hertz Corp., Class A............................ 126,938
--------------
12,436,188
--------------
AUTO - REPLACEMENT PARTS - 0.21%
19,500 Goodyear Tire & Rubber Co. ..................... 658,125
--------------
BANKS - OTHER - 1.92%
54,000 Bank of America Corp. .......................... 3,159,000
63,000 Wells Fargo Co. ................................ 2,929,500
--------------
6,088,500
--------------
BANKS - REGIONAL - 0.75%
31,000 Chase Manhattan Corp. .......................... 2,394,750
--------------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.01%
500 Anheuser-Busch Companies, Inc. ................. 37,406
--------------
BEVERAGE - SOFT DRINKS - 1.79%
77,500 Coca-Cola Co. .................................. 5,216,718
14,000 PepsiCo, Inc. .................................. 483,875
--------------
5,700,593
--------------
CHEMICAL - MAJOR - 1.14%
62,000 PPG Industries, Inc. ........................... 3,630,875
--------------
CHEMICAL - MISCELLANEOUS - 0.28%
30,500 * Cytec Industries, Inc. ......................... 714,844
6,500 Lubrizol Corp. ................................. 177,938
--------------
892,782
--------------
CONGLOMERATES - 0.28%
38,500 Alexander & Baldwin, Inc. ...................... 875,875
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COSMETICS/TOILETRIES - 0.24%
19,000 Gillette Co. ................................... $ 763,562
--------------
DRUGS - 9.05%
24,000 American Home Products Corp. ................... 1,248,000
40,000 * Amgen, Inc. .................................... 1,822,500
84,000 Bristol-Myers Squibb Co. ....................... 6,137,250
32,000 Eli Lilly and Co. .............................. 2,296,000
88,500 Merck & Co., Inc. .............................. 6,947,250
145,500 Pfizer, Inc. ................................... 5,265,281
47,500 Schering-Plough Corp. .......................... 2,428,438
29,000 Warner-Lambert Co. ............................. 2,600,938
--------------
28,745,657
--------------
ELECTRICAL EQUIPMENT - 5.03%
117,000 General Electric Co. ........................... 15,210,000
26,000 National Service Industries, Inc. .............. 768,624
--------------
15,978,624
--------------
<PAGE>
ENTERTAINMENT - 0.80%
27,000 Gaylord Entertainment Co. ...................... 815,063
21,500 Time Warner, Inc. .............................. 1,326,280
14,500 Walt Disney Co. ................................ 404,188
--------------
2,545,531
--------------
FINANCIAL SERVICES - 1.88%
17,500 Allamerica Financial Corp. ..................... 965,781
19,500 American Express Co. ........................... 2,950,594
6,000 * Ameritrade Holding Corp., Class A............... 135,750
3,500 * Knight/Trimark Group, Inc., Class A............. 144,156
35,000 Leucadia National Corp. ........................ 763,438
53,000 United Asset Management Corp. .................. 1,023,563
--------------
5,983,282
--------------
FOODS - 0.77%
150,000 Archer-Daniels-Midland Co. ..................... 1,865,624
27,000 IBP, Inc. ...................................... 595,687
--------------
2,461,311
--------------
GOVERNMENT SPONSORED - 0.17%
8,000 Federal National Mortgage Association........... 533,000
--------------
HEALTHCARE - 0.01%
500 * VISX, Inc. ..................................... 38,781
--------------
HEAVY DUTY TRUCKS/PARTS - 1.26%
51,500 Eaton Corp. .................................... 3,988,031
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HOSPITAL MANAGEMENT - 0.69%
80,500 Columbia/HCA Healthcare Corp. ................. $ 2,193,625
--------------
HOSPITAL SUPPLIES - 2.89%
37,500 Abbott Laboratories............................ 1,425,000
36,500 C. R. Bard, Inc. .............................. 1,982,405
55,500 Johnson & Johnson.............................. 5,758,125
--------------
9,165,530
--------------
HOUSEHOLD PRODUCTS - 1.96%
7,000 Colgate-Palmolive Co. ......................... 384,125
54,000 Procter & Gamble Co. .......................... 5,832,000
--------------
6,216,125
--------------
INFORMATION PROCESSING - 0.30%
2,500 * Go2Net, Inc. .................................. 182,656
2,500 * JDS Uniphase Corp. ............................ 571,875
3,500 * Lycos, Inc. ................................... 196,000
--------------
950,531
--------------
INFORMATION PROCESSING - BUSINESS SOFTWARE -
3.67%
2,000 * Inktomi Corp. ................................. 258,125
110,000 * Microsoft Corp. ............................... 10,015,155
10,500 * Oracle Corp. .................................. 712,031
7,500 * Veritas Software Corp. ........................ 686,719
--------------
11,672,030
--------------
INFORMATION PROCESSING - COMPUTER HARDWARE
SYSTEMS - 2.39%
26,500 Compaq Computer Corp. ......................... 647,594
36,500 * Dell Computer Corp. ........................... 1,569,500
8,500 * Gateway, Inc. ................................. 649,188
1,500 * Lexmark International Group, Inc. ............. 124,500
19,000 * Silicon Graphics, Inc. ........................ 179,313
33,500 * Sun Microsystems, Inc. ........................ 4,430,375
--------------
7,600,470
--------------
INFORMATION PROCESSING - COMPUTER SERVICES -
1.53%
42,000 * America Online, Inc. .......................... 3,052,874
8,000 Automatic Data Processing, Inc. ............... 395,000
2,000 * CMGI, Inc. .................................... 294,250
4,000 * C-Net, Inc. ................................... 203,750
3,000 Electronic Data Systems Corp. ................. 192,938
4,000 First Data Corp. .............................. 173,000
3,000 * VeriSign, Inc. ................................ 557,438
--------------
4,869,250
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 47
GROWTH & INCOME FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
INFORMATION PROCESSING - CONSUMER SOFTWARE -
0.26%
4,500 * BroadVision, Inc. ............................. $ 418,781
3,000 * Realnetworks, Inc. ............................ 418,500
--------------
837,281
--------------
INFORMATION PROCESSING - DATA SERVICES - 4.07%
1,000 Adobe Systems, Inc. ........................... 68,687
6,000 * At Home Corp. ................................. 291,000
17,000 Computer Associates
International, Inc. ........................... 1,105,000
8,500 * EMC Corp. ..................................... 710,281
34,500 Hewlett Packard Co. ........................... 3,273,188
54,000 International Business Machines................ 5,565,375
21,000 * NCR Corp. ..................................... 689,063
1,500 * Network Solutions, Inc. ....................... 224,906
2,000 * Siebel Systems, Inc. .......................... 140,250
4,000 * Yahoo!, Inc. .................................. 851,000
--------------
12,918,750
--------------
INFORMATION PROCESSING - NETWORKING - 1.80%
58,000 * Cisco Systems, Inc. ........................... 5,172,875
3,500 * Exodus Communications, Inc. ................... 377,343
2,000 * USWeb Corp. ................................... 82,875
2,500 * Verio, Inc. ................................... 89,844
--------------
5,722,937
--------------
INSURANCE - MISCELLANEOUS - 0.34%
30,500 HSB Group, Inc. ............................... 1,071,313
--------------
INSURANCE - MULTILINE - 2.70%
117,000 Allstate Corp. ................................ 3,063,938
53,500 American International Group, Inc. ............ 5,523,875
--------------
8,587,813
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.34%
24,000 Cooper Industries, Inc. ....................... 1,030,500
1,000 Tecumseh Products Co., Class A................. 48,031
--------------
1,078,531
--------------
MERCHANDISE - DRUG - 0.12%
13,000 Walgreen Co. .................................. 378,625
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - 2.10%
6,500 * Amazon.com, Inc. ............................... $ 552,906
7,000 * Best Buy Co., Inc. ............................. 437,500
500 Circuit City Stores, Inc. ...................... 24,250
14,000 Gap, Inc. ...................................... 567,000
60,000 Home Depot, Inc. ............................... 4,743,750
44,000 * Spiegel, Inc., Class A.......................... 352,000
--------------
6,677,406
--------------
MERCHANDISING - FOOD - 0.52%
27,000 Great Atlantic & Pacific Tea
Co., Inc. ...................................... 686,813
49,500 Supervalu, Inc. ................................ 962,155
--------------
1,648,968
--------------
MERCHANDISING - MASS - 3.40%
10,000 * KMart Corp. .................................... 99,375
45,500 Sears, Roebuck and Co. ......................... 1,555,531
124,500 * Venator Group, Inc. ............................ 855,938
144,000 Wal-Mart Stores, Inc. .......................... 8,298,000
--------------
10,808,844
--------------
METALS - ALUMINUM - 1.43%
91,500 Alcan Aluminium, Ltd. .......................... 3,111,000
23,000 Reynolds Metals Co. ............................ 1,438,938
--------------
4,549,938
--------------
METALS - COPPER - 0.13%
8,170 Phelps Dodge Corp. ............................. 424,840
--------------
METALS - MISCELLANEOUS - 0.16%
32,000 * Freeport-McMoRan Copper & Gold, Inc., Class B... 506,000
--------------
METALS - STEEL - 0.66%
41,000 Nucor Corp. .................................... 2,067,938
1,000 USX-US Steel Group, Inc. ....................... 25,313
--------------
2,093,251
--------------
MISCELLANEOUS - 0.46%
3,000 * Ebay, Inc. ..................................... 495,188
14,000 * UAL Corp. ...................................... 962,500
--------------
1,457,688
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - INTEGRATED DOMESTIC - 5.13%
47,500 EOG Resources, Inc. ............................ $ 878,750
229,000 Occidental Petroleum Corp. ..................... 5,023,687
87,500 Phillips Petroleum Co. ......................... 4,183,594
139,500 Unocal Corp. ................................... 4,629,656
28,000 Vastar Resources, Inc. ......................... 1,568,000
--------------
16,283,687
--------------
OIL - SERVICE - PRODUCTS - 0.26%
104,000 * Santa Fe Snyder Corp. .......................... 832,000
--------------
OIL/GAS PRODUCERS - 0.49%
118,000 Union Pacific Resources
Group, Inc. .................................... 1,541,375
--------------
PAPER/FOREST PRODUCTS - 2.59%
36,000 Champion International Corp. ................... 1,995,750
97,000 Georgia-Pacific Corp. .......................... 3,861,813
49,000 Mead Corp. ..................................... 1,748,687
15,500 Potlatch Corp. ................................. 626,781
--------------
8,233,031
--------------
PHOTOGRAPHY - 1.63%
83,500 Eastman Kodak Co. .............................. 5,166,563
--------------
PUBLISHING/PRINTING - 0.73%
65,500 Dun & Bradstreet Corp. ......................... 1,768,500
23,500 R. R. Donnelley & Sons Co. ..................... 564,000
--------------
2,332,500
--------------
RAILROAD - 0.90%
70,500 CSX Corp. ...................................... 2,507,155
16,000 Norfolk Southern Corp. ......................... 342,000
--------------
2,849,155
--------------
RESTAURANTS - 0.48%
85,500 Darden Restaurants, Inc. ....................... 1,522,969
--------------
SAVINGS & LOAN - 0.42%
72,500 Dime Bancorp, Inc. ............................. 1,323,125
--------------
SECURITIES RELATED - 2.12%
4,500 * E*Trade Group, Inc. ............................ 135,281
74,500 Lehman Brothers Holdings, Inc. ................. 5,689,937
7,500 Morgan Stanley Dean Witter & Co. ............... 904,688
--------------
6,729,906
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
48 November 30, 1999 (Unaudited)
GROWTH & INCOME FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
- ---------------------------------------------------------------------------------
<S> <C> <C>
SEMICONDUCTOR EQUIPMENT - 0.34%
11,000 * Applied Materials, Inc. ........................... $ 1,071,813
--------------
SEMICONDUCTORS - 4.14%
10,000 * Advanced Micro Devices, Inc. ...................... 282,500
1,000 * Applied Micro Circuits Corp. ...................... 83,125
109,000 Intel Corp. ....................................... 8,358,938
3,000 * Micron Technology, Inc. ........................... 201,375
14,000 Motorola, Inc. .................................... 1,599,500
27,500 Texas Instruments, Inc. ........................... 2,641,719
--------------
13,167,157
--------------
TELECOMMUNICATIONS - 6.20%
1,000 * Allegiance Telecom, Inc. .......................... 73,875
97,500 AT&T Corp. ........................................ 5,447,813
11,500 * AT&T Corp. - Liberty Media Group, Class A.......... 480,844
26,500 * Global Crossing, Ltd. ............................. 1,156,063
1,733 * Intermedia Communications, Inc. ................... 48,307
100,500 Lucent Technologies, Inc. ......................... 7,342,781
14,500 * Nextel Communications, Inc., Class A............... 1,437,313
2,000 * NEXTLINK Communications, Inc. ..................... 100,000
1,500 * Omnipoint Corp. ................................... 121,500
6,000 * QUALCOMM, Inc. .................................... 2,173,875
1,500 * RF Micro Devices, Inc. ............................ 101,906
26,000 Vodafone Airtouch, Plc. - ADR...................... 1,226,875
--------------
19,711,152
--------------
TEXTILE - PRODUCTS - 0.08%
8,000 V. F. Corp. ....................................... 239,000
--------------
TOBACCO - 0.36%
Philip Morris Companies,
43,000 Inc. .............................................. 1,131,438
--------------
TRUCKERS - 0.13%
12,500 CNF Transportation, Inc. .......................... 415,625
--------------
UTILITIES - COMMUNICATION - 4.78%
49,500 Bell Atlantic Corp. ............................... 3,133,969
50,500 BellSouth Corp. ................................... 2,332,469
19,500 GTE Corp. ......................................... 1,423,500
92,190 SBC Communications, Inc. .......................... 4,788,118
21,500 Sprint Corp. ...................................... 1,491,563
22,000 * Sprint Corp. (PCS Group)........................... 2,018,500
--------------
15,188,119
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<S> <C> <C>
- -------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 3.93%
153,000 Edison International, Inc. ........................ $ 4,054,500
93,500 Energy East Corp. ................................. 2,197,250
90,000 FPL Group, Inc. ................................... 3,937,500
59,000 GPU, Inc. ......................................... 1,888,000
27,000 * Niagara Mohawk Holdings, Inc. ..................... 405,000
--------------
12,482,250
--------------
TOTAL COMMON STOCK
(Cost $266,786,815)................................ 310,147,578
--------------
<CAPTION>
PAR
VALUE
<S> <C> <C>
CORPORATE SHORT TERM COMMERCIAL PAPER - 2.21%
FINANCIAL SERVICES - 0.31%
$ 998,000 Textron Financial Corp.,
5.62% due 12/09/99................................. 996,753
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.90%
6,041,000 Cooper Industries, Inc.,
5.74% due 12/01/99................................. 6,041,000
--------------
TOTAL CORPORATE SHORT TERM
COMMERCIAL PAPER
(Cost $7,037,753).................................. 7,037,753
--------------
UNITED STATES GOVERNMENT - SHORT TERM -
0.14%
U. S. TREASURY BILLS - 0.14%
United States Treasury Bills:
25,000 4.85% due 12/30/99................................. 24,902
250,000 4.51% due 12/09/99................................. 249,748
50,000 4.50% due 12/09/99................................. 49,950
25,000 4.45% due 12/09/99................................. 24,975
50,000 4.40% due 12/23/99................................. 49,865
25,000 4.00% due 12/09/99................................. 24,978
25,000 3.90% due 12/09/99................................. 24,978
--------------
449,396
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $449,396).................................... 449,396
--------------
TOTAL INVESTMENTS
(Cost $274,273,964) - 99.98%....................... $ 317,634,727
--------------
</TABLE>
* Non-income producing
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<S> <C> <C>
- -------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/30/99)
21(2) S&P 500 Index Futures
(December/$1,391.50).............. $ 200,025
------------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $393,750 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 250.
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $274,273,964)........................ $317,634,727
Receivables for:
Fund shares sold................................................. 10
Dividends and interest........................................... 471,798
Other assets...................................................... 478
------------
TOTAL ASSETS...................................................... 318,107,013
------------
LIABILITIES:
Payable for:
Investments purchased............................................ 74
Capital stock reacquired......................................... 38,339
Payable to affiliates:
Advisory fees.................................................... 195,636
Accounting services.............................................. 8,704
Accrued expenses and other liabilities............................ 178,875
------------
TOTAL LIABILITIES................................................. 421,628
------------
NET ASSETS........................................................ $317,685,385
------------
</TABLE>
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
13,746,714 shares outstanding................................... $ 137,467
Additional paid in capital...................................... 186,477,078
Undistributed net realized gain on securities................... 87,439,379
Undistributed net investment income............................. 70,673
Unrealized appreciation of:
Investments........................................ $43,360,763
Futures............................................ 200,025 43,560,788
----------- ------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING........................................... $317,685,385
------------
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
GROWTH & INCOME FUND (Unaudited) - CONTINUED 49
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 2,047,046
Interest........................................................ 125,759
------------
Total investment income........................................ 2,172,805
------------
EXPENSES:
Advisory fees................................................... 1,150,753
Custodian fees.................................................. 9,438
Registration and filing fees.................................... 378
Audit fees and tax services..................................... 2,481
Accounting services............................................. 46,030
Directors' fees and expenses.................................... 16,008
Report to shareholders.......................................... 20,358
Miscellaneous................................................... 512
------------
Total expenses................................................. 1,245,958
------------
NET INVESTMENT INCOME........................................... 926,847
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain (loss) on securities:
Investments....................................... $ 54,369,953
Futures contracts................................. (150,288) 54,219,665
------------
Net unrealized appreciation (depreciation) of
securities during the period:
Investments....................................... (32,792,047)
Futures contracts................................. 251,775 (32,540,272)
------------ ------------
Net realized and unrealized gain on securities
during the period............................................. 21,679,393
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $ 22,606,240
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- -----------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the
For the Six Fiscal Year
Months Ended Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 926,847 $ 794,158
Net realized gain on securities............... 54,219,665 33,533,982
Net unrealized appreciation (depreciation) of
securities during the period.................. (32,540,272) 8,860,720
------------------------------
Increase in net assets resulting from
operations.................................. 22,606,240 43,188,860
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................... (807,383) (1,016,358)
Net realized gain on securities............... - (20,275,426)
------------------------------
Decrease in net assets resulting from
distributions to shareholders................ (807,383) (21,291,784)
------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.............. 8,898,089 12,125,509
Proceeds from capital stock issued for
distributions reinvested...................... 807,383 21,291,784
------------------------------
9,705,472 33,417,293
Cost of capital stock repurchased............. (10,704,122) (29,588,189)
------------------------------
Increase (decrease) in net assets resulting
from capital stock transactions.............. (998,650) 3,829,104
------------------------------
TOTAL INCREASE IN NET ASSETS.................. 20,800,207 25,726,180
NET ASSETS:
Beginning of year............................. 296,885,178 271,158,998
------------------------------
End of period (including undistributed net
investment income of $70,673 and ($48,791))... $317,685,385 $296,885,178
------------------------------
<PAGE>
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold.................. 397,699 601,285
Shares issued for distributions reinvested.... 36,160 1,071,553
Shares of capital stock repurchased........... (477,337) (1,501,205)
------------------------------
(Decrease) increase in shares outstanding.... (43,478) 171,633
Shares outstanding:
Beginning of year............................ 13,790,192 13,618,559
------------------------------
End of period................................ 13,746,714 13,790,192
------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
50 November 30, 1999 (Unaudited)
SCIENCE & TECHNOLOGY FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 73.96%
AEROSPACE/DEFENSE - 2.73%
1,130,000 * SCI Systems, Inc. ............................. $ 76,698,750
--------------
INFORMATION PROCESSING - 3.19%
3,940,000 * Parametric Technology Corp. ................... 89,388,750
--------------
INFORMATION PROCESSING - BUSINESS SOFTWARE -
7.64%
562,000 * BMC Software, Inc.............................. 40,920,625
925,000 * Microsoft Corp................................. 84,218,359
1,125,000 * Oracle Corp.................................... 76,289,063
140,000 * Veritas Software Corp.......................... 12,818,750
--------------
214,246,797
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE SYSTEMS - 4.61%
1,266,100 * Dell Computer Corp. ........................... 54,442,300
435,000 * Electronics for Imaging, Inc. ................. 19,384,687
420,000 * Sun Microsystems, Inc.......................... 55,545,000
--------------
129,371,987
--------------
INFORMATION PROCESSING - COMPUTER SERVICES -
4.21%
1,210,000 * America Online, Inc............................ 87,951,875
700,000 First Data Corp................................ 30,275,000
--------------
118,226,875
--------------
INFORMATION PROCESSING - CONSUMER SOFTWARE -
2.99%
1,680,000 * Intuit, Inc. .................................. 84,000,000
--------------
INFORMATION PROCESSING -
DATA SERVICES - 10.75%
365,000 Adobe Systems, Inc............................. 25,070,937
420,000 * Avant! Corp.................................... 6,562,500
845,000 Computer Associates
International, Inc. ........................... 54,925,000
49,400 * National Instruments Corp...................... 1,482,000
2,245,000 * Novell, Inc.................................... 43,917,813
565,000 * PsiNet, Inc.................................... 28,250,000
850,000 * Solectron Corp................................. 70,018,750
335,000 * Yahoo!, Inc.................................... 71,271,250
--------------
301,498,250
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - NETWORKING - 6.32%
335,000 * 3Com Corp. ..................................... $ 13,337,188
1,270,000 * Cisco Systems, Inc. ............................ 113,268,125
70,000 Softbank Corp. ................................. 50,702,651
--------------
177,307,964
--------------
MISCELLANEOUS - 0.90%
150,000 * Internet Capital Group, Inc. ................... 25,200,000
--------------
MULTIMEDIA - 2.92%
1,130,000 * Synopsys, Inc. ................................. 81,783,750
--------------
SECURITIES RELATED - 0.76%
705,000 * E*Trade Group, Inc. ............................ 21,194,063
--------------
SEMICONDUCTOR EQUIPMENT - 3.19%
365,000 * Applied Materials, Inc. ........................ 35,564,688
240,000 * ASM Lithography Holding NV...................... 22,470,000
425,000 * Cognex Corp. ................................... 13,812,500
210,000 * KLA-Tencor Corp. ............................... 17,758,124
--------------
89,605,312
--------------
SEMICONDUCTORS - 12.48%
1,330,000 * Altera Corp. ................................... 71,653,750
1,520,000 * Analog Devices, Inc. ........................... 87,305,000
775,000 * Maxim Integrated Products, Inc.................. 62,242,187
420,000 Texas Instruments, Inc.......................... 40,346,250
985,000 * Xilinx, Inc. ................................... 88,157,500
--------------
349,704,687
--------------
TELECOMMUNICATIONS - 11.27%
1,405,000 * MCI Worldcom, Inc. ............................. 116,175,938
420,000 Nokia Corp. - ADR, Class A...................... 58,038,750
268,400 * PanAmSat Corp. ................................. 11,423,775
235,000 * Premisys Communications, Inc. .................. 2,335,313
365,000 * Sanmina Corp. .................................. 35,085,625
1,975,000 Vodafone Airtouch, Plc. - ADR................... 93,195,313
--------------
316,254,714
--------------
TOTAL COMMON STOCK
(Cost $1,276,531,701)........................... 2,074,481,899
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATE SHORT TERM COMMERCIAL PAPER - 26.34%
DRUGS - 0.89%
$25,000,000 Schering Corp.,
5.55% due 12/09/99................................ $ 24,969,162
--------------
FINANCE COMPANIES - 6.27%
20,944,000 CIT Group Holdings, Inc.,
5.60% due 12/10/99................................ 20,914,669
25,000,000 Exxon Asset Management,
5.44% due 12/02/99................................ 24,996,218
40,000,000 Ford Motor Credit Co.,
5.50% due 12/10/99................................ 39,944,983
50,000,000 General Electric Capital Corp.,
5.45% due 12/06/99................................ 49,962,084
40,000,000 Nestle Capital Corp.,
5.43% due 12/03/99................................ 39,987,911
--------------
175,805,865
--------------
FINANCIAL SERVICES - 3.40%
18,249,000 Deutsche Bank AG,
5.30% due 12/03/99................................ 18,243,612
Textron Financial Corp.:
20,000,000 5.57% due 12/08/99................................ 19,978,311
57,162,000 5.37% due 12/13/99................................ 57,071,119
--------------
95,293,042
--------------
FOODS - 1.07%
30,000,000 Sara Lee Corp.,
5.24% due 12/06/99................................ 29,978,097
--------------
HARDWARE & TOOLS - 0.89%
24,972,000 Snap-on, Inc.,
5.48% due 12/13/99................................ 24,915,572
--------------
HEALTHCARE - 0.37%
10,342,000 Baxter International, Inc.,
5.75% due 12/01/99................................ 10,342,000
--------------
HEAVY DUTY TRUCKS/PARTS - 2.00%
56,000,000 Eaton Corp.,
5.60% due 12/02/99................................ 55,970,624
--------------
INSURANCE - LIFE - 1.07%
30,000,000 Pacific Life Insurance,
5.27% due 12/09/99................................ 29,964,769
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 51
SCIENCE & TECHNOLOGY FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - MULTILINE - 0.48%
$13,529,000 Aon Corp.,
5.55% due 12/13/99................................ $ 13,502,985
--------------
MERCHANDISING - MASS - 1.32%
37,000,000 Wal-Mart Stores, Inc.,
5.55% due 12/08/99................................ 36,965,184
--------------
METALS - STEEL - 1.07%
30,000,000 Harsco Corp.,
5.69% due 12/01/99................................ 30,000,000
--------------
MISCELLANEOUS - 0.89%
25,000,000 CVS Corp.,
5.70% due 12/08/99................................ 24,972,287
--------------
NATURAL GAS - DIVERSIFIED - 0.36%
10,000,000 Wisconsin Gas Co.,
5.57% due 12/08/99................................ 9,989,168
--------------
PHOTOGRAPHY - 0.61%
17,000,000 Eastman Kodak Co.,
5.55% due 12/06/99................................ 16,986,882
--------------
SECURITIES RELATED - 1.85%
52,254,000 Merrill Lynch & Co., Inc.,
5.50% due 12/01/99................................ 52,254,000
--------------
UTILITIES - COMMUNICATION - 3.11%
20,000,000 Bellsouth Telecommunication, Inc.,
5.45% due 12/07/99................................ 19,981,809
14,748,000 GTE Corp.,
5.55% due 12/06/99................................ 14,736,618
52,755,000 SBC Communications, Inc.,
5.50% due 12/03/99................................ 52,696,382
--------------
87,414,809
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 0.69%
$ 1,665,000 Conectiv, Inc.,
5.73% due 12/02/99................................ $ 1,664,735
4,590,000 Constellation Energy Group, Inc.,
5.65% due 12/06/99................................ 4,586,397
11,000,000 OGE Energy Corp.,
5.60% due 12/02/99................................ 10,998,286
2,266,000 Southern California Edison Co.,
5.72% due 02/04/00................................ 2,242,277
--------------
19,491,695
--------------
TOTAL CORPORATE SHORT TERM COMMERCIAL PAPER
(Cost $738,816,141)............................... 738,816,141
--------------
TOTAL INVESTMENTS
(Cost $2,015,347,842) - 100.30%................... $2,813,298,040
--------------
</TABLE>
* Non-income producing
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $2,015,347,842)................... $2,813,298,040
Cash........................................................... 2,204,403
Receivables for:
Investments sold.............................................. 5,321,744
Fund shares sold.............................................. 436,236
Dividends and interest........................................ 214
Other assets................................................... 15,388
--------------
TOTAL ASSETS................................................... 2,821,276,025
--------------
LIABILITIES:
Payable for investments purchased.............................. 13,880,160
Payable to affiliates:
Advisory fees................................................. 1,989,349
Accounting services........................................... 70,127
Accrued expenses and other liabilities......................... 319,075
--------------
TOTAL LIABILITIES.............................................. 16,258,711
--------------
NET ASSETS..................................................... $2,805,017,314
--------------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share, 1,000,000,000 shares
authorized, 63,649,730 shares outstanding...................... $ 636,497
Additional paid in capital..................................... 1,355,886,677
Undistributed net realized gain on securities.................. 660,257,755
Accumulated net investment loss................................ (9,724,906)
Unrealized appreciation of:
Investments...................................... $797,950,198
Foreign currency translation..................... 11,093 797,961,291
------------ --------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.......................................... $2,805,017,314
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
52 SCIENCE & TECHNOLOGY FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends...................................................... $ 1,623,010
Interest....................................................... 4,704,673
------------
Total investment income....................................... 6,327,683
------------
EXPENSES:
Advisory fees.................................................. 9,764,868
Custodian fees................................................. 58,287
Registration and filing fees................................... 22,722
Audit fees and tax services.................................... 15,147
Accounting services............................................ 325,496
Directors' fees and expenses................................... 12,207
Report to shareholders......................................... 62,598
Miscellaneous.................................................. 19,273
------------
Total expenses................................................ 10,280,598
------------
NET INVESTMENT LOSS............................................ (3,952,915)
------------
REALIZED AND UNREALIZED GAIN (LOSS) ON
SECURITIES AND FOREIGN CURRENCIES:
Net realized gain (loss) on securities:
Investments...................................... $348,606,305
Foreign currency transactions.................... (57,948) 348,548,357
------------
Net unrealized appreciation of securities during
the period:
Investments...................................... 497,896,572
Foreign currency translation..................... 11,093 497,907,665
------------ ------------
Net realized and unrealized gain on securities
during the period........................................... 846,456,022
------------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $842,503,107
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
--------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment loss......................... $ (3,952,915) $ (5,771,991)
Net realized gain on securities............. 348,548,357 330,754,699
Net unrealized appreciation of securities
during the period.......................... 497,907,665 189,456,126
--------------------------------
Increase in net assets resulting from
operations................................ 842,503,107 514,438,834
--------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income....................... - -
Net realized gain on securities............. - (113,616,462)
--------------------------------
Decrease in net assets resulting from
distributions to shareholders............. - (113,616,462)
--------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............ 312,547,158 221,258,442
Proceeds from capital stock issued for
distributions reinvested................... - 113,616,462
--------------------------------
312,547,158 334,874,904
Cost of capital stock repurchased........... (33,617,706) (75,253,459)
--------------------------------
Increase in net assets resulting
from capital stock transactions........... 278,929,452 259,621,445
--------------------------------
TOTAL INCREASE IN NET ASSETS................ 1,121,432,559 660,443,817
NET ASSETS:
Beginning of year........................... 1,163,584,755 1,023,140,938
--------------------------------
End of period (including accumulated net
investment losses of $9,724,906 and
$5,771,991)................................ $2,805,017,314 $1,683,584,755
--------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................ 8,395,214 8,585,468
Shares issued for distributions reinvested.. - 4,443,350
Shares of capital stock repurchased......... (956,154) (3,173,308)
--------------------------------
Increase in shares outstanding............. 7,439,060 9,855,510
Shares outstanding:
Beginning of year.......................... 56,210,670 46,355,160
--------------------------------
End of period.............................. 63,649,730 56,210,670
--------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 53
SOCIAL AWARENESS FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 96.38%
ADVERTISING - 0.32%
19,564 Interpublic Group Corp. ........................ $ 919,508
11,061 Omnicom Group, Inc. ............................ 974,751
--------------
1,894,259
--------------
AIRLINES - 0.26%
10,536 * AMR Corp. ...................................... 641,378
8,466 Delta Air Lines, Inc. .......................... 416,951
26,148 Southwest Airlines Co. ......................... 426,539
1,450 * US Airways Group, Inc. ......................... 40,509
--------------
1,525,377
--------------
APPAREL & PRODUCTS - 0.00%
300 Cintas Corp. ................................... 13,781
407 * Too, Inc. ...................................... 7,530
--------------
21,311
--------------
APPLIANCES/FURNISHINGS - 0.02%
3,075 Maytag Corp. ................................... 146,639
--------------
AUTO - CARS - 0.02%
1 Daimlerchrysler AG.............................. 46
2,100 Harley-Davidson, Inc. .......................... 128,100
--------------
128,146
--------------
AUTO - ORIGINAL EQUIPMENT - 0.02%
1,155 Arvin Industries, Inc. ......................... 30,680
1,403 Federal-Mogul Corp. ............................ 31,304
1,006 Modine Manufacturing Co. ....................... 28,420
--------------
90,404
--------------
AUTO - REPLACEMENT PARTS - 0.20%
25,178 Genuine Parts Co. .............................. 648,334
7,300 * SPX Corp. ...................................... 543,850
--------------
1,192,184
--------------
BANKS - NEW YORK CITY - 2.36%
45,442 Bank of New York Co., Inc. ..................... 1,812,000
178,719 Citigroup, Inc. ................................ 9,628,485
19,310 J. P. Morgan & Co., Inc. ....................... 2,539,265
--------------
13,979,750
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - OTHER - 3.40%
103,058 Bank of America Corp. .......................... $ 6,028,893
98,172 First Union Corp. .............................. 3,798,029
46,486 FleetBoston Financial Corp. .................... 1,757,752
34,014 Mellon Financial Corp. ......................... 1,239,385
60,632 National City Corp. ............................ 1,512,011
13,643 Providian Financial Corp. ...................... 1,079,502
4,500 Republic of New York Corp. ..................... 318,094
94,538 Wells Fargo Co. ................................ 4,396,017
--------------
20,129,683
--------------
BANKS - REGIONAL - 2.81%
85,801 BankOne Corp. .................................. 3,024,484
54,028 Chase Manhattan Corp. .......................... 4,173,663
5,595 Comerica, Inc. ................................. 296,535
14,423 Fifth Third Bancorp............................. 1,009,610
41,583 Firstar Corp. .................................. 1,081,158
23,409 KeyCorp......................................... 632,043
8,945 Northern Trust Corp. ........................... 865,988
14,774 PNC Bank Corp. ................................. 823,651
9,686 State Street Corp. ............................. 711,316
1,160 Summit Bancorp. ................................ 37,845
21,468 SunTrust Banks, Inc. ........................... 1,500,077
38,504 U.S. Bancorp, Inc. ............................. 1,316,356
15,563 Wachovia Corp. ................................. 1,205,160
--------------
16,677,886
--------------
BEVERAGE - SOFT DRINKS - 2.62%
156,303 Coca-Cola Co. .................................. 10,521,145
20,920 Coca-Cola Enterprises, Inc. .................... 443,243
131,883 PepsiCo, Inc. .................................. 4,558,206
--------------
15,522,594
--------------
BROADCASTING - 1.93%
10,900 * Chris-Craft Industries, Inc. ................... 756,188
11,319 * Clear Channel
Communications, Inc. ........................... 909,765
46,912 Comcast Corp., Class A.......................... 2,119,836
34,359 * Media One Group, Inc. .......................... 2,722,951
42,237 U S WEST, Inc. ................................. 2,621,334
46,474 * Viacom, Inc., Class B........................... 2,312,082
--------------
11,442,156
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BUILDING MATERIALS - 0.24%
2,103 Armstrong World Industries, Inc. ............... $ 70,451
18,766 Lowe's Companies, Inc. ......................... 934,781
1,400 Martin Marietta Materials, Inc. ................ 53,113
14,300 Masco Corp. .................................... 361,074
--------------
1,419,419
--------------
CHEMICAL - MAJOR - 0.01%
2,551 Albemarle Corp. ................................ 49,426
--------------
CHEMICAL - MISCELLANEOUS - 0.24%
18,084 Ecolab, Inc. ................................... 626,159
700 Millipore Corp. ................................ 22,969
13,140 Praxair, Inc. .................................. 586,373
6,632 Sigma Aldrich Corp. ............................ 189,841
--------------
1,425,342
--------------
COAL - 0.05%
6,100 NACCO Industries, Inc., Class A................. 295,469
--------------
CONGLOMERATES - 0.66%
4,837 Tenneco, Inc. .................................. 38,090
96,500 Tyco International, Ltd. ....................... 3,866,041
--------------
3,904,131
--------------
CONSUMER FINANCE - 0.31%
16,428 Capital One Financial Corp. .................... 764,929
42,267 MBNA Corp. ..................................... 1,067,242
--------------
1,832,171
--------------
CONTAINERS - METAL/GLASS - 0.58%
11,800 Ball Corp. ..................................... 438,813
24,643 Corning, Inc. .................................. 2,308,741
14,500 Crown Cork & Seal Co., Inc. .................... 295,438
17,280 * Owens-Illinois, Inc. ........................... 413,640
--------------
3,456,632
--------------
CONTAINERS - PAPER - 0.34%
4,457 Bemis Co., Inc. ................................ 140,396
867 Chesapeake Corp. ............................... 27,690
24,189 * Pactiv Corp. ................................... 247,937
3,901 * Sealed Air Corp. ............................... 183,339
7,590 Sonoco Products Co. ............................ 174,570
22,000 Temple-Inland, Inc. ............................ 1,259,500
--------------
2,033,432
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
54 November 30, 1999 (Unaudited)
SOCIAL AWARENESS FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COSMETICS/TOILETRIES - 0.61%
16,947 Avon Products, Inc. ............................ $ 617,506
68,697 Gillette Co. ................................... 2,760,761
6,651 International Flavors &
Fragrances, Inc. ............................... 244,840
--------------
3,623,107
--------------
DRUGS - 7.22%
4,285 Allergan, Inc. ................................. 421,537
3,659 * ALZA Corp. ..................................... 158,023
83,968 American Home Products Corp. ................... 4,366,336
58,284 * Amgen, Inc. .................................... 2,655,565
2,310 Bausch & Lomb, Inc. ............................ 126,617
131,650 Bristol-Myers Squibb Co. ....................... 9,618,678
68,518 Eli Lilly and Co. .............................. 4,916,167
143,024 Merck & Co., Inc. .............................. 11,227,384
93,942 Schering-Plough Corp. .......................... 4,802,785
50,417 Warner-Lambert Co. ............................. 4,521,775
--------------
42,814,867
--------------
ELECTRICAL EQUIPMENT - 0.83%
1,400 * American Power Conversion Corp. ................ 33,338
59,866 Emerson Electric Co. ........................... 3,412,361
6,000 Hubbell, Inc., Class B.......................... 167,250
3,500 Molex, Inc. .................................... 177,188
3,600 * Teradyne, Inc. ................................. 156,825
5,347 Thomas & Betts Corp. ........................... 219,227
15,563 W. W. Grainger, Inc. ........................... 733,406
--------------
4,899,595
--------------
ELECTRONIC INSTRUMENTS - 0.01%
2,200 Tektronix, Inc. ................................ 74,800
--------------
ENTERTAINMENT - 1.46%
7,842 Hasbro, Inc. ................................... 169,093
13,552 Mattel, Inc. ................................... 193,963
78,784 Time Warner, Inc. .............................. 4,859,987
123,416 Walt Disney Co. ................................ 3,440,221
--------------
8,663,264
--------------
FINANCE COMPANIES - 0.57%
51,700 Associates First Capital Corp. ................. 1,719,025
41,886 Household International, Inc. .................. 1,657,115
--------------
3,376,140
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCIAL SERVICES - 1.10%
39,875 American Express Co. ........................... $ 6,033,586
4,608 Countrywide Credit Industries, Inc. ............ 129,600
8,716 H & R Block, Inc. .............................. 374,798
1 Waddell & Reed Financial, Inc., Class A......... 13
--------------
6,537,997
--------------
FOODS - 1.91%
23,239 BestFoods....................................... 1,273,787
31,110 Campbell Soup Co. .............................. 1,388,284
29,776 ConAgra, Inc. .................................. 718,346
36,192 General Mills, Inc. ............................ 1,363,985
32,754 H. J. Heinz Co. ................................ 1,371,574
8,089 Hershey Foods Corp. ............................ 397,372
29,038 Kellogg Co. .................................... 983,662
9,896 Quaker Oats Co. ................................ 645,714
21,527 Ralston-Ralston Purina Group.................... 639,083
65,280 Sara Lee Corp. ................................. 1,583,040
11,496 Wm. Wrigley Jr. Co. ............................ 956,324
--------------
11,321,171
--------------
FOOTWEAR - 0.13%
16,803 NIKE, Inc., Class B............................. 772,938
--------------
FREIGHT - 0.14%
19,302 * FDX Corp. ...................................... 814,303
--------------
<PAGE>
FUNERAL SERVICES - 0.02%
18,233 Service Corp. International..................... 137,887
--------------
GOVERNMENT SPONSORED - 1.46%
49,647 Federal Home Loan Mortgage Corp. ............... 2,451,321
84,484 Federal National
Mortgage Association............................ 5,628,747
11,078 SLM Holding Corp. .............................. 549,053
--------------
8,629,121
--------------
HARDWARE & TOOLS - 0.15%
12,819 Black & Decker Corp. ........................... 575,253
10,600 Snap-on, Inc. .................................. 320,650
396 Stanley Works................................... 12,326
--------------
908,229
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
HEALTHCARE - 0.40%
14,406 Cardinal Health, Inc. .......................... $ 753,600
16,310 * HealthSouth Corp. .............................. 92,763
3,603 * Humana, Inc. ................................... 25,221
15,704 IMS Health, Inc. ............................... 370,026
14,856 McKesson HBOC, Inc. ............................ 347,259
14,768 United HealthCare Corp. ........................ 767,013
--------------
2,355,882
--------------
HEAVY DUTY TRUCKS/PARTS - 0.11%
12,900 Cummins Engine Co., Inc. ....................... 522,450
1,400 Eaton Corp. .................................... 108,413
--------------
630,863
--------------
HOSPITAL MANAGEMENT - 0.20%
33,951 Columbia/HCA Healthcare Corp. .................. 925,165
1,786 * Lifepoint Hospitals, Inc. ...................... 20,986
9,822 * Tenet Healthcare Corp. ......................... 219,152
1,786 * Triad Hospitals, Inc. .......................... 22,102
--------------
1,187,405
--------------
HOSPITAL SUPPLIES - 3.25%
106,912 Abbott Laboratories............................. 4,062,656
26,533 Baxter International, Inc. ..................... 1,792,636
15,099 Becton, Dickinson and Co. ...................... 411,448
2,614 Biomet, Inc. ................................... 82,831
15,854 * Boston Scientific Corp. ........................ 334,916
935 Hillenbrand Industries, Inc. ................... 31,965
92,889 Johnson & Johnson............................... 9,637,234
74,498 Medtronic, Inc. ................................ 2,896,110
--------------
19,249,796
--------------
HOUSEHOLD PRODUCTS - 2.94%
21,912 Clorox Co. ..................................... 976,454
57,314 Colgate-Palmolive Co. .......................... 3,145,105
9,292 Newell Rubbermaid, Inc. ........................ 304,894
98,712 Procter & Gamble Co. ........................... 10,660,896
43,495 Unilever NV - ADR............................... 2,367,759
--------------
17,455,108
--------------
INFORMATION PROCESSING - 0.03%
6,713 * Parametric Technology Corp. .................... 152,301
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 55
SOCIAL AWARENESS FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
INFORMATION PROCESSING - BUSINESS SOFTWARE -
4.76%
7,711 * BMC Software, Inc. ............................ $ 561,457
252,716 * Microsoft Corp. ............................... 23,009,002
67,935 * Oracle Corp. .................................. 4,606,842
2,227 * Peoplesoft, Inc. .............................. 41,895
--------------
28,219,196
--------------
INFORMATION PROCESSING -
COMPUTER HARDWARE
SYSTEMS - 2.37%
5,055 * Apple Computer, Inc. .......................... 494,758
80,029 Compaq Computer Corp. ......................... 1,955,708
123,610 * Dell Computer Corp. ........................... 5,315,229
13,140 * Gateway, Inc. ................................. 1,003,568
40,098 * Sun Microsystems, Inc. ........................ 5,302,961
--------------
14,072,224
--------------
INFORMATION PROCESSING - COMPUTER SERVICES -
2.24%
107,148 * America Online, Inc. .......................... 7,788,320
44,566 Automatic Data Processing, Inc. ............... 2,200,446
31,135 Electronic Data Systems Corp. ................. 2,002,370
18,828 First Data Corp. .............................. 814,311
2,044 * Gartner Group, Inc., Class B................... 22,612
10,573 Paychex, Inc. ................................. 422,259
--------------
13,250,318
--------------
INFORMATION PROCESSING -
DATA SERVICES - 4.72%
31,635 * Cendant Corp. ................................. 523,955
3,872 Comdisco, Inc. ................................ 93,412
24,771 Computer Associates
International, Inc. ........................... 1,610,114
7,353 * Computer Sciences Corp. ....................... 479,783
11,102 * Compuware Corp. ............................... 375,386
54,566 * EMC Corp. ..................................... 4,559,671
58,343 Hewlett-Packard Co. ........................... 5,535,292
3,200 Honeywell, Inc. ............................... 358,200
102,438 International Business Machines................ 10,557,516
7,783 * Novell, Inc. .................................. 152,255
22,335 Pitney Bowes, Inc. ............................ 1,070,684
9,167 * Seagate Technology, Inc. ...................... 339,179
13,810 * Solectron Corp. ............................... 1,137,599
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
DATA SERVICES - Continued
44,558 Xerox Corp. .................................... $ 1,205,851
--------------
27,998,897
--------------
INFORMATION PROCESSING - NETWORKING - 2.64%
15,240 * 3Com Corp. ..................................... 606,743
163,010 * Cisco Systems, Inc. ............................ 14,538,453
7,553 * General Insturment Corp. ....................... 494,722
--------------
15,639,918
--------------
INSURANCE - CASUALTY - 0.22%
9,169 Chubb Corp. .................................... 491,115
4,090 Progressive Corp. .............................. 329,501
3,366 SAFECO Corp. ................................... 79,732
13,509 St. Paul Companies, Inc. ....................... 407,803
--------------
1,308,151
--------------
INSURANCE - LIFE - 0.37%
9,361 Aetna, Inc. .................................... 511,345
32,315 Conseco, Inc. .................................. 654,379
4,031 Jefferson-Pilot Corp. .......................... 273,604
16,464 Lincoln National Corp. ......................... 686,342
2,856 Torchmark Corp. ................................ 90,678
--------------
2,216,348
--------------
INSURANCE - MULTILINE - 3.00%
6,013 Aegon, N.V. - ADR............................... 541,922
1,021 AFLAC, Inc. .................................... 48,880
48,156 Allstate Corp. ................................. 1,261,085
104,185 American International Group, Inc. ............. 10,757,100
27,781 Aon Corp. ...................................... 991,434
14,997 CIGNA Corp. .................................... 1,233,503
4,572 Cincinnati Financial Corp. ..................... 153,162
13,092 Hartford Financial Services
Group, Inc. .................................... 611,233
25,278 Marsh & McLennan
Companies, Inc. ................................ 1,987,482
5,987 UnumProvident Corp. ............................ 194,952
--------------
17,780,753
--------------
LEISURE TIME - 0.01%
1,947 Brunswick Corp. ................................ 42,469
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LODGING - 0.05%
3,716 Hilton Hotels Corp. ............................ $ 37,392
7,442 Marriott International, Inc. ................... 242,330
--------------
279,722
--------------
MACHINERY - AGRICULTURE - 0.20%
27,573 Deere & Co. .................................... 1,183,916
--------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.36%
43,689 Caterpillar, Inc. .............................. 2,026,076
10,178 Foster Wheeler Corp. ........................... 103,688
--------------
2,129,764
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.32%
1,200 * American Standard
Companies, Inc. ................................ 46,725
6,700 Briggs & Stratton Corp. ........................ 358,031
19,047 Cooper Industries, Inc. ........................ 817,831
15,495 Dover Corp. .................................... 672,096
37,181 Illinois Tool Works, Inc. ...................... 2,407,470
16,743 Ingersoll-Rand Co. ............................. 810,989
12,815 Johnson Controls, Inc. ......................... 698,418
6,500 Nordson Corp. .................................. 318,906
19,445 Pall Corp. ..................................... 455,742
1,700 Parker Hannifin Corp. .......................... 80,006
11,100 Tecumseh Products Co. .......................... 533,147
15,100 Tidewater, Inc. ................................ 482,255
8,072 Timken Co. ..................................... 154,377
--------------
7,835,993
--------------
MEDICAL TECHNOLOGY - 0.32%
2,579 * Celera Genomics................................. 157,964
17,548 * Guidant Corp. .................................. 877,400
10,516 PE Corp. - PE Biosystems Group.................. 858,369
--------------
1,893,733
--------------
MERCHANDISE - DRUG - 0.40%
18,709 CVS Corp. ...................................... 742,513
9,962 Rite Aid Corp. ................................. 75,338
52,902 Walgreen Co. ................................... 1,540,771
--------------
2,358,622
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
56 November 30, 1999 (Unaudited)
SOCIAL AWARENESS FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - 1.82%
2,323 American Greetings Corp., Class A............... $ 54,736
2,100 * Best Buy Co., Inc. ............................. 131,250
5,000 Circuit City Stores, Inc. ...................... 242,500
8,920 * Costco Wholesale Corp. ......................... 817,852
2,480 Dollar General Corp. ........................... 60,760
42,394 Gap, Inc. ...................................... 1,716,947
81,521 Home Depot, Inc. ............................... 6,445,254
2,378 Ikon Office Solutions, Inc. .................... 15,903
3,156 * Kohl's Corp. ................................... 227,824
2,850 Limited, Inc. .................................. 120,947
2,341 Nordstrom, Inc. ................................ 65,109
16,744 * Staples, Inc. .................................. 393,484
4,504 Tandy Corp. .................................... 345,119
5,668 TJX Companies, Inc. ............................ 148,431
1,477 * Toys "R" Us, Inc. .............................. 25,848
--------------
10,811,964
--------------
MERCHANDISING -
DEPARTMENT - 0.34%
21,146 Dayton Hudson Corp. ............................ 1,492,114
1,473 * Federated Department Stores, Inc. .............. 69,323
13,624 May Department Stores Co. ...................... 458,107
--------------
2,019,544
--------------
MERCHANDISING - FOOD - 0.58%
24,713 Albertsons, Inc. ............................... 789,271
35,942 * Kroger Co. ..................................... 766,014
29,803 * Safeway, Inc. .................................. 1,098,986
15,889 SYSCO Corp. .................................... 604,775
7,109 Winn-Dixie Stores, Inc. ........................ 186,167
--------------
3,445,213
--------------
MERCHANDISING - MASS - 2.54%
12,825 J.C. Penney Co., Inc. .......................... 286,158
15,124 * KMart Corp. .................................... 150,295
20,628 Sears Roebuck and Co. .......................... 705,220
241,088 Wal-Mart Stores, Inc. .......................... 13,892,695
--------------
15,034,368
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
METALS - MISCELLANEOUS - 0.08%
7,437 Engelhard Corp. ................................ $ 125,035
13,888 Precision Castparts Corp. ...................... 377,580
--------------
502,615
--------------
METALS - STEEL - 0.21%
12,600 AK Steel Holding Corp. ......................... 208,688
10,000 Carpenter Technology Corp. ..................... 262,500
7,300 Harsco Corp. ................................... 217,631
12,400 Ryerson Tull, Inc. ............................. 253,425
19,848 Worthington Industries, Inc. ................... 317,568
--------------
1,259,812
--------------
MISCELLANEOUS - 0.05%
1,815 BBT Corp. ...................................... 58,307
9,155 Equifax, Inc. .................................. 226,586
--------------
284,893
--------------
MOBILE HOMES - 0.00%
887 Fleetwood Enterprises, Inc. .................... 18,627
--------------
NATURAL GAS - DIVERSIFIED - 0.92%
3,832 Eastern Enterprises............................. 217,466
83,749 El Paso Energy Corp. ........................... 3,224,337
72,400 Kinder Morgan, Inc. ............................ 1,470,625
31,300 Questar Corp. .................................. 537,969
--------------
5,450,397
--------------
OIL - INTEGRATED DOMESTIC - 0.19%
19,966 Ashland Oil, Inc. .............................. 673,853
7,700 Kerr-McGee Corp. ............................... 440,824
--------------
1,114,677
--------------
OIL - SERVICE - PRODUCTS - 0.09%
6,100 * BJ Services Co. ................................ 212,738
11,300 * Noble Drilling Corp. ........................... 314,988
1,200 * Varco International, Inc. ...................... 12,825
--------------
540,551
--------------
OIL - SERVICES - 1.07%
63,300 Baker Hughes, Inc. ............................. 1,598,325
15,300 ENSCO International, Inc. ...................... 306,956
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - SERVICES - Continued
8,700 * Global Marine, Inc. ............................ $ 133,219
57,900 Halliburton Co. ................................ 2,240,006
7,800 * Nabors Industries, Inc. ........................ 207,188
11,600 * Rowan Companies, Inc. .......................... 198,650
21,000 Schlumberger, Ltd. ............................. 1,261,312
4,700 * Smith International, Inc. ...................... 187,413
3,300 Transocean Offshore, Inc. ...................... 93,019
5,100 York International Corp. ....................... 113,794
--------------
6,339,882
--------------
OIL/GAS PRODUCERS - 0.14%
10,000 Helmerich & Payne, Inc. ........................ 226,250
23,108 Ultramar Diamond Shamrock Corp. ................ 584,921
--------------
811,171
--------------
PAPER/FOREST PRODUCTS - 0.83%
14,409 Avery Dennison Corp. ........................... 855,534
8,419 Fort James Corp. ............................... 242,046
48,325 Kimberly-Clark Corp. ........................... 3,086,758
9,697 Longview Fibre Co. ............................. 123,637
6,736 Louisiana Pacific Corp. ........................ 82,516
14,400 Mead Corp. ..................................... 513,900
--------------
4,904,391
--------------
POLLUTION CONTROL - 0.10%
35,496 Waste Management, Inc. ......................... 576,810
--------------
PUBLISHING - NEWS - 0.74%
6,850 Dow Jones & Co., Inc. .......................... 415,281
23,631 Gannett Co., Inc. .............................. 1,691,093
2,042 Knight-Ridder, Inc. ............................ 111,417
11,806 New York Times Co., Class A..................... 453,793
3,357 Times Mirror Co. ............................... 216,736
14,774 Tribune Co. .................................... 710,075
1,400 Washington Post Co., Class B.................... 800,100
--------------
4,398,495
--------------
PUBLISHING/PRINTING - 0.28%
6,090 Deluxe Corp. ................................... 159,482
14,372 Dun & Bradstreet Corp. ......................... 388,044
19,120 McGraw-Hill, Inc. .............................. 1,083,865
--------------
1,631,391
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 57
SOCIAL AWARENESS FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RAILROAD - 1.21%
58,788 Burlington Northern Santa Fe Corp. ............. $ 1,704,852
46,301 CSX Corp. ...................................... 1,646,579
11,400 Kansas City Southern
Industries, Inc. ............................... 679,013
55,610 Norfolk Southern Corp. ......................... 1,188,664
41,161 Union Pacific Corp. ............................ 1,937,140
--------------
7,156,248
--------------
RESTAURANTS - 0.82%
103,016 McDonald's Corp. ............................... 4,635,720
6,072 * Tricon Global Restaurants, Inc. ................ 251,988
--------------
4,887,708
--------------
SAVINGS & LOAN - 0.18%
2,690 Golden West Financial Corp. .................... 271,522
27,430 Washington Mutual, Inc. ........................ 795,470
--------------
1,066,992
--------------
SECURITIES RELATED - 1.34%
42,960 Charles Schwab Corp. ........................... 1,629,795
13,436 Franklin Resources, Inc. ....................... 422,394
2,504 Lehman Brothers Holdings, Inc. ................. 191,243
22,018 Merrill Lynch & Co., Inc. ...................... 1,775,201
32,320 Morgan Stanley Dean Witter & Co. ............... 3,898,606
--------------
7,917,239
--------------
SEMICONDUCTOR EQUIPMENT - 0.39%
19,358 * Applied Materials, Inc. ........................ 1,886,195
4,914 * KLA-Tencor Corp. ............................... 415,540
--------------
2,301,735
--------------
SEMICONDUCTORS - 4.00%
3,530 * Advanced Micro Devices, Inc. ................... 99,723
1,288 * Integrated Device Technology, Inc. ............. 30,349
175,676 Intel Corp. .................................... 13,472,153
2,966 * LSI Logic Corp. ................................ 179,258
11,384 * Micron Technology, Inc. ........................ 764,151
17,500 Motorola, Inc. ................................. 1,999,375
3,301 * National Semiconductor Corp. ................... 140,293
39,600 Rockwell International Corp. ................... 1,965,150
52,916 Texas Instruments, Inc. ........................ 5,083,243
--------------
23,733,695
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - 6.34%
23,145 ALLTEL Corp. ................................... $ 2,002,043
99,800 AT&T Corp. ..................................... 5,576,325
11,685 * Global Crossing, Ltd. .......................... 509,758
141,352 Lucent Technologies, Inc. ...................... 10,327,531
96,372 * MCI Worldcom, Inc. ............................. 7,968,760
10,003 * Nextel Communications, Inc., Class A............ 991,547
86,648 Nortel Networks Corp. .......................... 6,411,952
1,800 * QUALCOMM, Inc. ................................. 652,163
1,832 Scientific-Atlanta, Inc. ....................... 106,829
25,008 * Tellabs, Inc. .................................. 1,622,394
30,580 Vodafone Airtouch, Plc. - ADR................... 1,442,994
--------------
37,612,296
--------------
TEXTILE - PRODUCTS - 0.03%
5,513 V. F. Corp. .................................... 164,701
--------------
UTILITIES - COMMUNICATION - 6.04%
106,920 Bell Atlantic Corp. ............................ 6,769,373
127,036 BellSouth Corp. ................................ 5,867,475
60,000 GTE Corp. ...................................... 4,380,000
237,176 SBC Communications, Inc. ....................... 12,318,329
64,774 Sprint Corp. ................................... 4,493,696
21,784 * Sprint Corp. (PCS Group)........................ 1,998,636
--------------
35,827,509
--------------
UTILITIES - ELECTRIC - 1.81%
11,280 * AES Corp. ...................................... 653,535
26,375 Allegheny Energy, Inc. ......................... 764,875
4,400 Black Hills Corp. .............................. 96,250
31,104 Cinergy Corp. .................................. 787,320
3,383 Cleco Corp. .................................... 110,370
22,500 DPL, Inc. ...................................... 402,188
6,006 Hawaiian Electric Industries, Inc. ............. 183,558
10,014 Idacorp, Inc. .................................. 280,392
5,481 Indiana Energy, Inc. ........................... 107,907
13,980 IPALCO Enterprises, Inc. ....................... 252,514
9,402 Kansas City Power & Light Co. .................. 216,834
12,658 Minnesota Power, Inc. .......................... 216,768
43,030 Montana Power Co. .............................. 1,328,551
29,879 New Century Energies, Inc. ..................... 939,321
22,287 Nisource, Inc. ................................. 419,274
15,157 OGE Energy Corp. ............................... 323,981
28,442 Potomac Electric Power Co. ..................... 677,275
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
17,468 Puget Sound Energy, Inc. ......................... $ 358,094
32,352 Scottish Power, Plc. - ADR........................ 1,162,660
9,560 Sierra Pacific Resources.......................... 171,483
24,709 TECO Energy, Inc. ................................ 494,180
26,629 UtiliCorp United, Inc. ........................... 535,909
8,187 Washington Gas Light Co. ......................... 229,236
--------------
10,712,475
--------------
UTILITIES -
GAS, DISTRIBUTION - 0.91%
10,694 AGL Resources, Inc. .............................. 197,839
35,986 KeySpan Corp. .................................... 924,390
87,422 MCN Energy Group, Inc. ........................... 2,180,086
33,419 National Fuel Gas Co. ............................ 1,673,039
12,730 NICOR, Inc. ...................................... 441,572
--------------
5,416,926
--------------
UTILITIES - GAS, PIPELINE - 1.35%
22,533 Columbia Energy Group............................. 1,413,946
28,441 Consolidated Natural Gas Co. ..................... 1,823,778
45,886 ONEOK, Inc. ...................................... 1,236,054
19,924 Peoples Energy Corp. ............................. 732,207
82,030 Williams Companies, Inc. ......................... 2,768,513
--------------
7,974,498
--------------
WATER SERVICES - 0.07%
16,027 American Water Works Co., Inc. ................... 409,690
--------------
TOTAL COMMON STOCK
(Cost $441,609,361)............................... 571,307,722
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
58 November 30, 1999 (Unaudited)
SOCIAL AWARENESS FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CORPORATE SHORT TERM COMMERCIAL PAPER - 3.44%
MACHINERY - INDUSTRIAL/SPECIALTY - 3.44%
$20,417,000 Cooper Industries, Inc.,
5.74% due 12/01/99................................ $ 20,417,000
--------------
TOTAL CORPORATE SHORT TERM COMMERCIAL PAPER
(Cost $20,417,000)................................ 20,417,000
--------------
UNITED STATES GOVERNMENT - SHORT TERM - 0.21%
U. S. TREASURY BILLS - 0.21%
United States Treasury Bills:
50,000 5.28% due 01/13/00................................ 49,685
25,000 4.83% due 12/30/99................................ 24,902
10,000 4.80% due 01/06/00................................ 9,952
25,000 4.75% due 12/30/99................................ 24,904
25,000 4.74% due 01/06/00................................ 24,881
350,000 4.51% due 12/09/99................................ 349,647
100,000 4.50% due 12/09/99................................ 99,900
25,000 4.45% due 12/09/99................................ 24,976
75,000 4.44% due 12/09/99................................ 74,925
100,000 4.43% due 12/09/99................................ 99,901
100,000 4.40% due 12/09/99................................ 99,902
50,000 4.40% due 12/23/99................................ 49,865
300,000 3.90% due 12/09/99................................ 299,740
--------------
1,233,180
--------------
TOTAL UNITED STATES GOVERNMENT -
SHORT TERM
(Cost $1,233,180)................................. 1,233,180
--------------
TOTAL INVESTMENTS
(Cost $463,259,541) - 100.03%..................... $ 592,957,902
--------------
* Non-income producing
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<C> <S> <C>
- --------------------------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/30/99)
63(2) S&P 500 Index Futures
(December/$1,391.50)................................ $ 689,685
------------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $1,181,250 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 250
<TABLE>
<CAPTION>
<S> <C> <C>
- -----------------------------------------------------------------------------
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $463,259,541)...................... $592,957,902
Receivable for dividends and interest........................... 557,343
Other assets.................................................... 533
------------
TOTAL ASSETS.................................................... 593,515,778
------------
LIABILITIES:
Payable for capital stock reacquired............................ 45,581
Payable to affiliates:
Advisory fees.................................................. 243,824
Accounting services............................................ 15,841
Accrued expenses and other liabilities.......................... 410,011
------------
TOTAL LIABILITIES............................................... 715,257
------------
NET ASSETS...................................................... $592,800,521
------------
- -----------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
23,189,272 shares outstanding................................... $ 231,893
Additional paid in capital...................................... 440,435,830
Undistributed net realized gain on securities................... 21,638,136
Undistributed net investment income............................. 106,616
Unrealized appreciation of:
Investments..................................... $ 129,698,361
Futures......................................... 689,685 130,388,046
-------------- ------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING........................................... $592,800,521
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
SOCIAL AWARENESS FUND (Unaudited) - CONTINUED 59
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Dividends....................................................... $ 3,542,147
Interest........................................................ 279,035
-----------
Total investment income........................................ 3,821,182
-----------
EXPENSES:
Advisory fees................................................... 1,391,090
Custodian fees.................................................. 13,545
Registration and filing fees.................................... 11,880
Audit fees and tax services..................................... 5,151
Accounting services............................................. 83,465
Directors' fees and expenses.................................... 4,077
Report to shareholders.......................................... 29,547
Miscellaneous................................................... 4,287
-----------
Total expenses................................................. 1,543,042
-----------
NET INVESTMENT INCOME........................................... 2,278,140
-----------
REALIZED AND UNREALIZED GAIN ON SECURITIES:
Net realized gain on securities:
Investments........................................ $ 868,822
Futures contracts.................................. 247,352 1,116,174
-----------
Net unrealized appreciation of securities during the
period:
Investments........................................ 30,893,073
Futures contracts.................................. 689,685 31,582,758
----------- -----------
Net realized and unrealized gain on securities
during the period............................................. 32,698,932
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................ $34,977,072
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the
For the Six Fiscal Year
Months Ended Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 2,278,140 $ 3,836,206
Net realized gain on securities............... 1,116,174 22,017,924
Net unrealized appreciation of securities
during the period............................. 31,582,758 50,690,174
------------------------------
Increase in net assets resulting from
operations................................... 34,977,072 76,544,304
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................... (2,129,951) (4,053,286)
Net realized gain on securities............... - (37,006,972)
------------------------------
Decrease in net assets resulting from
distributions to shareholders................ (2,129,951) (41,060,258)
------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.............. 42,462,112 118,062,922
Proceeds from capital stock issued for
distributions reinvested...................... 2,129,951 41,060,258
------------------------------
44,592,063 159,123,180
Cost of capital stock repurchased............. (6,603,220) (6,810,019)
------------------------------
Increase in net assets resulting
from capital stock transactions.............. 37,988,843 152,313,161
------------------------------
TOTAL INCREASE IN NET ASSETS.................. 70,835,964 187,797,207
NET ASSETS:
Beginning of year............................. 521,964,557 334,167,350
------------------------------
End of period (including undistributed net
investment income of $106,616 and $(41,573)).. $592,800,521 $521,964,557
------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold.................. 1,724,155 5,074,114
Shares issued for distributions reinvested.... 86,509 1,800,031
Shares of capital stock repurchased........... (267,515) (308,485)
------------------------------
Increase in shares outstanding............... 1,543,149 6,565,660
Shares outstanding:
Beginning of year............................ 21,646,123 15,080,463
------------------------------
End of period................................ 23,189,272 21,646,123
------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
60 November 30, 1999 (Unaudited)
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
COMMON STOCK - 54.28%
ADVERTISING - 0.13%
3,390 Interpublic Group Corp. ........................ $ 159,330
2,100 Omnicom Group, Inc. ............................ 185,063
--------------
344,393
--------------
AEROSPACE/DEFENSE - 0.52%
1,342 B.F. Goodrich Co. .............................. 30,279
11,611 Boeing Co. ..................................... 473,873
781 Crane Co. ...................................... 14,351
2,354 General Dynamics Corp. ......................... 121,378
4,766 Lockheed Martin Corp. .......................... 94,724
832 Northrop Grumman Corp. ......................... 46,748
558 Perkinelmer, Inc. .............................. 22,948
4,118 Raytheon Co., Class B........................... 126,370
1 * Teledyne Techologies, Inc. ..................... 5
1,478 TRW, Inc. ...................................... 77,133
5,768 United Technologies Corp. ...................... 325,891
--------------
1,333,700
--------------
AIRLINES - 0.13%
1,852 * AMR Corp. ...................................... 112,740
1,714 Delta Air Lines, Inc. .......................... 84,415
6,121 Southwest Airlines Co. ......................... 99,849
813 * US Airways Group, Inc. ......................... 22,713
--------------
319,717
--------------
APPAREL & PRODUCTS - 0.01%
710 Liz Claiborne, Inc. ............................ 26,581
--------------
APPLIANCES/FURNISHINGS - 0.06%
2,400 Leggett & Platt, Inc. .......................... 51,450
1,029 Maytag Corp. ................................... 49,069
929 Whirlpool Corp. ................................ 56,669
--------------
157,188
--------------
AUTO - CARS - 0.55%
- Daimlerchrysler AG.............................. 3
6,805 Delphi Automotive Systems Corp. ................ 107,179
14,556 Ford Motor Co. ................................. 735,077
7,778 General Motors Corp. ........................... 560,016
--------------
1,402,275
--------------
AUTO - ORIGINAL EQUIPMENT - 0.03%
1,700 Danaher Corp. .................................. 83,513
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
AUTO - REPLACEMENT PARTS - 0.07%
1,808 * AutoZone, Inc. ................................. $ 49,833
900 Cooper Tire & Rubber Co. ....................... 13,500
2,126 Genuine Parts Co. .............................. 54,745
1,876 Goodyear Tire & Rubber Co. ..................... 63,315
682 Pep Boys-Manny, Moe & Jack...................... 6,607
--------------
188,000
--------------
BANKS - NEW YORK CITY - 1.10%
8,816 Bank of New York Co., Inc. ..................... 351,538
40,663 Citigroup, Inc. ................................ 2,190,718
2,084 J. P. Morgan & Co., Inc. ....................... 274,046
--------------
2,816,302
--------------
BANKS - OTHER - 1.45%
20,814 Bank of America Corp. .......................... 1,217,618
11,527 First Union Corp. .............................. 445,951
11,073 FleetBoston Financial Corp. .................... 418,698
6,176 Mellon Financial Corp. ......................... 225,038
7,494 National City Corp. ............................ 186,882
1,711 Providian Financial Corp. ...................... 135,383
1,310 Republic of New York Corp. ..................... 92,601
1,700 Union Planters Corp. ........................... 72,463
19,836 Wells Fargo Co. ................................ 922,373
--------------
3,717,007
--------------
BANKS - REGIONAL - 1.49%
4,750 AmSouth Bancorporation.......................... 107,172
14,099 BankOne Corp. .................................. 496,990
10,058 Chase Manhattan Corp. .......................... 776,980
1,930 Comerica, Inc. ................................. 102,290
3,657 Fifth Third Bancorp............................. 255,990
11,891 Firstar Corp. .................................. 309,165
2,802 Huntington Bancshares, Inc. .................... 77,580
5,380 KeyCorp......................................... 145,260
1,300 Northern Trust Corp. ........................... 125,856
3,673 PNC Bank Corp. ................................. 204,770
2,700 Regions Financial Corp. ........................ 74,081
2,000 SouthTrust Corp. ............................... 77,625
1,900 State Street Corp. ............................. 139,531
2,100 Summit Bancorp. ................................ 68,513
3,885 SunTrust Banks, Inc. ........................... 271,463
3,300 Synovus Financial Corp. ........................ 66,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
BANKS - REGIONAL - Continued
8,821 U.S. Bancorp, Inc. ............................. $ 301,568
2,452 Wachovia Corp. ................................. 189,877
--------------
3,790,711
--------------
BEVERAGE -
BREWERS/DISTRIBUTORS - 0.28%
478 Adolph Coors Co., Class B....................... 23,781
5,596 Anheuser-Busch Companies, Inc. ................. 418,650
833 Brown-Forman Corp., Class B..................... 52,219
5,225 Seagram Co., Ltd. .............................. 227,614
--------------
722,264
--------------
BEVERAGE - SOFT DRINKS - 1.07%
29,799 Coca-Cola Co. .................................. 2,005,845
5,100 Anheuser-Busch Companies, Inc. ................. 108,056
17,661 PepsiCo, Inc. .................................. 610,408
--------------
2,724,309
--------------
BROADCASTING - 1.01%
9,179 * CBS Corp. ...................................... 477,311
4,100 * Clear Channel
Communications, Inc. ........................... 329,538
9,068 Comcast Corp., Class A.......................... 409,760
7,263 * Media One Group, Inc. .......................... 575,592
6,109 U S WEST, Inc. ................................. 379,140
8,400 * Viacom, Inc., Class B........................... 417,900
--------------
2,589,241
--------------
BUILDING MATERIALS - 0.18%
505 Armstrong World Industries, Inc. ............... 16,918
4,584 Lowe's Companies, Inc. ......................... 228,340
5,334 Masco Corp. .................................... 134,684
2,068 Sherwin-Williams Co. ........................... 44,333
1,200 Vulcan Materials Co. ........................... 48,300
--------------
472,575
--------------
CHEMICAL - MAJOR - 0.67%
2,619 Dow Chemical Co. ............................... 306,750
12,530 E.I. du Pont de Nemours and Co. ................ 744,752
1,253 Hercules, Inc. ................................. 29,759
7,608 Monsanto Co. ................................... 320,962
2,135 PPG Industries, Inc. ........................... 125,031
2,622 Rohm and Haas Co. .............................. 96,031
1,620 Union Carbide Corp. ............................ 94,770
--------------
1,718,055
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 61
ASSET ALLOCATION FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CHEMICAL - MISCELLANEOUS - 0.15%
2,722 Air Products and Chemicals, Inc. ............... $ 88,125
988 Eastman Chemical Co. ........................... 38,409
1,606 Ecolab, Inc. ................................... 55,608
400 * FMC Corp. ...................................... 19,400
731 Great Lakes Chemical Corp. ..................... 24,260
573 Millipore Corp. ................................ 18,802
1,886 Praxair, Inc. .................................. 84,162
1,236 Sigma Aldrich Corp. ............................ 35,381
900 * W.R. Grace & Co. ............................... 12,263
--------------
376,410
--------------
COAL - 0.00%
100 NACCO Industries, Inc., Class A................. 4,844
--------------
CONGLOMERATES - 0.57%
6,660 Allied Signal, Inc. ............................ 398,351
1,100 ITT Industries, Inc. ........................... 38,363
1,281 Loews Corp. .................................... 81,984
1,856 Textron, Inc. .................................. 131,892
20,180 Tyco International, Ltd. ....................... 808,461
--------------
1,459,051
--------------
CONSUMER FINANCE - 0.14%
2,400 Capital One Financial Corp. .................... 111,750
9,661 MBNA Corp. ..................................... 243,939
--------------
355,689
--------------
CONTAINERS - METAL/GLASS - 0.15%
400 Ball Corp. ..................................... 14,875
2,992 Corning, Inc. .................................. 280,312
1,493 Crown Cork & Seal Co., Inc. .................... 30,420
700 Owens Corning................................... 11,025
1,900 * Owens-Illinois, Inc. ........................... 45,481
--------------
382,113
--------------
CONTAINERS - PAPER - 0.05%
600 Bemis Co., Inc. ................................ 18,900
2,051 * Pactiv Corp. ................................... 21,023
982 * Sealed Air Corp. ............................... 46,154
700 * Temple-Inland, Inc. ............................ 40,075
--------------
126,152
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
COSMETICS/TOILETRIES - 0.28%
699 Alberto-Culver Co., Class B..................... $ 18,392
3,114 Avon Products, Inc. ............................ 113,466
13,092 Gillette Co. ................................... 526,134
1,271 International Flavors &
Fragrances, Inc. ............................... 46,789
--------------
704,781
--------------
DRUGS - 4.05%
775 Allergan, Inc. ................................. 76,241
1,214 * ALZA Corp. ..................................... 52,430
15,756 American Home Products Corp. ................... 819,312
12,304 * Amgen, Inc. .................................... 560,601
692 Bausch & Lomb, Inc. ............................ 37,930
23,928 Bristol Myers Squibb Co. ....................... 1,748,239
13,160 Eli Lilly and Co. .............................. 944,230
28,274 Merck & Co., Inc. .............................. 2,219,508
46,726 Pfizer, Inc. ................................... 1,690,896
6,111 Pharmacia & Upjohn, Inc. ....................... 334,195
17,708 Schering-Plough Corp. .......................... 905,322
10,254 Warner-Lambert Co. ............................. 919,655
1,200 * Watson Pharmaceuticals, Inc. ................... 44,625
--------------
10,353,184
--------------
ELECTRICAL EQUIPMENT - 2.25%
2,084 * Cabletron Systems, Inc. ........................ 47,802
5,188 Emerson Electric Co. ........................... 295,716
39,502 General Electric Co. ........................... 5,135,259
1,700 Molex, Inc. .................................... 86,063
510 National Service Industries, Inc. .............. 15,077
2,100 * Teradyne, Inc. ................................. 91,481
650 Thomas & Betts Corp. ........................... 26,650
1,096 W. W. Grainger, Inc. ........................... 51,649
--------------
5,749,697
--------------
ELECTRONIC INSTRUMENTS - 0.02%
550 Tektronix, Inc. ................................ 18,700
1,876 * Thermo Electron Corp. .......................... 28,140
--------------
46,840
--------------
ENTERTAINMENT - 0.84%
7,400 Carnival Corp., Class A......................... 326,525
1,539 * Harrah's Entertainment, Inc. ................... 42,515
2,349 Hasbro, Inc. ................................... 50,650
5,061 Mattel, Inc. ................................... 72,436
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
ENTERTAINMENT - Continued
15,626 Time Warner, Inc. .............................. $ 963,928
24,812 Walt Disney Co. ................................ 691,634
--------------
2,147,688
--------------
FINANCE COMPANIES - 0.20%
8,778 Associates First Capital Corp. ................. 291,868
5,776 Household International, Inc. .................. 228,513
--------------
520,381
--------------
FINANCIAL SERVICES - 0.38%
5,421 American Express Co. ........................... 820,265
1,400 Countrywide Credit Industries, Inc. ............ 39,375
1,159 H & R Block, Inc. .............................. 49,837
1,500 T. Rowe Price Associates, Inc. ................. 54,000
--------------
963,477
--------------
FOODS - 0.73%
7,419 Archer-Daniels-Midland Co. ..................... 92,274
3,338 BestFoods....................................... 182,964
5,250 Campbell Soup Co. .............................. 234,281
5,882 ConAgra, Inc. .................................. 141,903
3,668 General Mills, Inc. ............................ 138,238
4,334 H J Heinz Co. .................................. 181,486
1,644 Hershey Foods Corp. ............................ 80,762
4,932 Kellogg Co. .................................... 167,071
3,900 Nabisco Group Holdings Corp. ................... 45,094
1,619 Quaker Oats Co. ................................ 105,640
3,900 Ralston-Ralston Purina Group.................... 115,781
10,892 Sara Lee Corp. ................................. 264,131
1,376 Wm. Wrigley Jr. Co. ............................ 114,466
--------------
1,864,091
--------------
FOOTWEAR - 0.06%
3,431 NIKE, Inc., Class B............................. 157,826
700 * Reebok International, Ltd. ..................... 6,300
--------------
164,126
--------------
FREIGHT - 0.07%
3,608 * FDX Corp. ...................................... 152,213
763 Ryder System, Inc. ............................. 17,215
--------------
169,428
--------------
FUNERAL SERVICES - 0.01%
3,245 Service Corp. International..................... 24,540
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
62 November 30, 1999 (Unaudited)
ASSET ALLOCATION FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GOLD MINING - 0.06%
4,683 Barrick Gold Corp. ............................. $ 84,294
3,171 Homestake Mining Co. ........................... 26,161
3,879 Placer Dome, Inc. .............................. 44,124
--------------
154,579
--------------
GOVERNMENT SPONSORED - 0.52%
12,325 Federal National
Mortgage Association............................ 821,153
8,380 Federal Home Loan
Mortgage Corp. ................................. 413,763
1,900 SLM Holding Corp. .............................. 94,169
--------------
1,329,085
--------------
HARDWARE & TOOLS - 0.04%
1,084 Black & Decker Corp. ........................... 48,645
784 Snap-on, Inc. .................................. 23,716
1,088 Stanley Works................................... 33,864
--------------
106,225
--------------
HEALTHCARE - 0.23%
3,250 Cardinal Health, Inc. .......................... 170,016
1,300 * HCR Manor Care, Inc. ........................... 26,081
4,968 * HealthSouth Corp. .............................. 28,256
2,069 * Humana, Inc. ................................... 14,483
3,802 IMS Health, Inc. ............................... 89,585
3,409 McKesson HBOC, Inc. ............................ 79,685
1,400 * Quintiles Transnational Corp. .................. 30,888
2,105 United HealthCare Corp. ........................ 109,327
800 * Wellpoint Health Networks, Inc. ................ 46,050
--------------
594,371
--------------
HEAVY DUTY TRUCKS/PARTS - 0.08%
500 Cummins Engine Co., Inc. ....................... 20,250
1,953 Dana Corp. ..................................... 54,196
878 Eaton Corp. .................................... 67,990
827 * Navistar International Corp. ................... 30,754
988 PACCAR, Inc. ................................... 40,632
--------------
213,822
--------------
HOME BUILDERS - 0.02%
732 Centex Corp. ................................... 17,385
600 Kaufman & Broad Home Corp. ..................... 13,275
500 Pulte Corp. .................................... 10,031
--------------
40,691
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
HOSPITAL MANAGEMENT - 0.11%
6,836 Columbia/HCA Healthcare Corp. ................. $ 186,281
300 Shared Medical Systems Corp. .................. 13,125
3,781 * Tenet Healthcare Corp. ........................ 84,364
--------------
283,770
--------------
HOSPITAL SUPPLIES - 1.37%
18,348 Abbott Laboratories............................ 697,224
3,510 Baxter International, Inc. .................... 237,144
2,994 Becton, Dickinson and Co. ..................... 81,587
1,400 Biomet, Inc. .................................. 44,363
4,946 * Boston Scientific Corp. ....................... 104,484
619 C. R. Bard, Inc. .............................. 33,619
16,248 Johnson & Johnson.............................. 1,685,729
822 Mallinckrodt, Inc. ............................ 27,332
14,164 Medtronic, Inc. ............................... 550,626
1,047 * St Jude Medical, Inc. ......................... 27,811
--------------
3,489,919
--------------
HOUSEHOLD PRODUCTS - 1.27%
1,700 * Bed Bath & Beyond, Inc. ....................... 53,125
2,796 Clorox Co. .................................... 124,597
7,032 Colgate-Palmolive Co. ......................... 385,881
4,843 Minnesota Mining & Manufacturing Co. (3M)...... 462,809
3,378 Newell Rubbermaid, Inc. ....................... 110,841
16,038 Procter & Gamble Co. .......................... 1,732,103
700 Tupperware Corp. .............................. 12,469
6,896 Unilever NV - ADR.............................. 375,401
--------------
3,257,226
--------------
INFORMATION PROCESSING - 0.07%
800 * Comverse Technology, Inc. ..................... 96,700
3,256 * Parametric Technology Corp. ................... 73,871
--------------
170,571
--------------
INFORMATION PROCESSING - BUSINESS SOFTWARE -
2.79%
2,900 * BMC Software, Inc. ............................ 211,156
1,000 Citrix Systems, Inc. .......................... 94,875
61,528 * Microsoft Corp. ............................... 5,601,932
17,380 * Oracle Corp. .................................. 1,178,581
2,900 * Peoplesoft, Inc. .............................. 54,556
--------------
7,141,100
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING -
COMPUTER HARDWARE
SYSTEMS - 1.47%
1,200 * Adaptec, Inc. .................................. $ 64,650
1,928 * Apple Computer, Inc. ........................... 188,703
20,472 Compaq Computer Corp. .......................... 500,272
30,612 * Dell Computer Corp. ............................ 1,316,315
3,800 * Gateway, Inc. .................................. 290,225
1,600 * Lexmark International Group, Inc. .............. 132,800
2,299 * Silicon Graphics, Inc. ......................... 21,697
9,356 * Sun Microsystems, Inc. ......................... 1,237,331
--------------
3,751,993
--------------
INFORMATION PROCESSING -
COMPUTER SERVICES - 1.20%
26,800 * America Online, Inc. ........................... 1,948,024
7,458 Automatic Data Processing, Inc. ................ 368,239
1,764 * Ceridian Corp. ................................. 38,147
5,900 Electronic Data Systems Corp. .................. 379,444
5,198 First Data Corp. ............................... 224,814
3,000 Paychex, Inc. .................................. 119,813
--------------
3,078,481
--------------
INFORMATION PROCESSING -
DATA SERVICES - 2.59%
1,500 Adobe Systems, Inc. ............................ 103,031
735 Autodesk, Inc. ................................. 21,545
8,696 * Cendant Corp. .................................. 144,028
6,433 Computer Associates
International, Inc. ............................ 418,145
1,970 * Computer Sciences Corp. ........................ 128,543
4,300 * Compuware Corp. ................................ 145,394
12,162 * EMC Corp. ...................................... 1,016,287
12,165 Hewlett Packard Co. ............................ 1,154,153
1,565 Honeywell, Inc. ................................ 175,182
21,848 International Business Machines................. 2,251,709
900 * Network Appliance, Inc. ........................ 105,919
4,084 * Novell, Inc . .................................. 79,893
3,206 Pitney Bowes, Inc. ............................. 153,688
2,518 * Seagate Technology, Inc. ....................... 93,166
3,300 * Solectron Corp. ................................ 271,838
3,700 * Unisys Corp. ................................... 106,375
7,966 Xerox Corp. .................................... 215,580
--------------
6,584,476
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 63
ASSET ALLOCATION FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INFORMATION PROCESSING - NETWORKING - 1.49%
4,344 * 3Com Corp. ..................................... $ 172,946
39,148 * Cisco Systems, Inc. ............................ 3,491,511
2,047 * General Instrument Corp. ....................... 134,079
--------------
3,798,536
--------------
INSURANCE - CASUALTY - 0.12%
2,084 Chubb Corp. .................................... 111,624
900 Progressive Corp. .............................. 72,506
1,553 SAFECO Corp. ................................... 36,787
2,768 St. Paul Companies, Inc. ....................... 83,559
--------------
304,476
--------------
INSURANCE - LIFE - 0.16%
1,797 Aetna, Inc. .................................... 98,161
3,907 Conseco, Inc. .................................. 79,117
1,296 Jefferson-Pilot Corp. .......................... 87,966
2,380 Lincoln National Corp. ......................... 99,216
1,570 Torchmark Corp. ................................ 49,848
--------------
414,308
--------------
INSURANCE - MISCELLANEOUS - 0.05%
1,244 MBIA, Inc. ..................................... 62,200
1,306 MGIC Investment Corp. .......................... 73,789
--------------
135,989
--------------
INSURANCE - MULTILINE - 1.24%
3,200 AFLAC, Inc. .................................... 153,200
9,592 Allstate Corp. ................................. 251,191
18,686 American International Group, Inc. ............. 1,929,329
3,128 Aon Corp. ...................................... 111,631
2,229 CIGNA Corp. .................................... 183,335
2,000 Cincinnati Financial Corp. ..................... 67,000
2,706 Hartford Financial Services
Group, Inc. .................................... 126,336
3,226 Marsh & McLennan
Companies, Inc. ................................ 253,644
2,874 UnumProvident Corp. ............................ 93,585
--------------
3,169,251
--------------
LEISURE TIME - 0.02%
1,143 Brunswick Corp. ................................ 24,932
2,400 * Mirage Resorts, Inc. ........................... 30,750
--------------
55,682
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
LODGING - 0.06%
4,300 Hilton Hotels Corp. ............................ $ 43,271
2,988 Marriott International, Inc. ................... 97,297
--------------
140,568
--------------
MACHINE TOOLS - 0.00%
444 Milacron, Inc. ................................. 6,466
--------------
MACHINERY - AGRICULTURE - 0.05%
2,770 Deere & Co. .................................... 118,937
--------------
MACHINERY - CONSTRUCTION & CONTRACTS - 0.09%
4,240 Caterpillar, Inc. .............................. 196,630
903 Fluor Corp. .................................... 37,982
526 Foster Wheeler Corp. ........................... 5,359
--------------
239,971
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 0.26%
300 Briggs & Stratton Corp. ........................ 16,031
1,107 Cooper Industries, Inc. ........................ 47,532
2,520 Dover Corp. .................................... 109,305
3,660 Illinois Tool Works, Inc. ...................... 236,985
2,034 Ingersoll-Rand Co. ............................. 98,522
987 Johnson Controls, Inc. ......................... 53,792
1,495 Pall Corp. ..................................... 35,039
1,304 Parker Hannifin Corp. .......................... 61,370
700 Timken Co. ..................................... 13,388
--------------
671,964
--------------
MEDICAL TECHNOLOGY - 0.11%
3,612 * Guidant Corp. .................................. 180,600
1,212 PE Corp. - PE Biosystems Group.................. 98,930
--------------
279,530
--------------
MERCHANDISE - DRUG - 0.22%
4,678 CVS Corp. ...................................... 185,658
497 Longs Drug Stores Corp. ........................ 12,487
3,162 Rite Aid Corp. ................................. 23,913
12,108 Walgreen Co. ................................... 352,646
--------------
574,704
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
MERCHANDISE - SPECIALTY - 1.32%
789 American Greetings Corp., Class A............... $ 18,591
2,500 * Best Buy Co., Inc. ............................. 156,250
2,402 Circuit City Stores, Inc. ...................... 116,497
1,300 * Consolidated Stores Corp. ...................... 20,475
2,666 * Costco Wholesale Corp. ......................... 244,439
2,668 Dollar General Corp. ........................... 65,366
1,957 Fortune Brands, Inc. ........................... 66,905
10,380 Gap, Inc. ...................................... 420,390
17,912 Home Depot, Inc. ............................... 1,416,167
1,806 Ikon Office Solutions, Inc. .................... 12,078
391 Jostens, Inc. .................................. 7,185
2,000 * Kohl's Corp. ................................... 144,375
2,544 Limited, Inc. .................................. 107,961
1,666 Nordstrom, Inc. ................................ 46,336
4,500 * Office Depot, Inc. ............................. 50,063
5,600 * Staples, Inc. .................................. 131,600
2,364 Tandy Corp. .................................... 181,142
3,856 TJX Companies, Inc. ............................ 100,979
3,033 * Toys "R' Us, Inc. .............................. 53,078
--------------
3,359,877
--------------
MERCHANDISING -
DEPARTMENT - 0.26%
5,352 Dayton Hudson Corp. ............................ 377,651
1,330 Dillards, Inc., Class A......................... 25,104
2,516 * Federated Department Stores, Inc. .............. 118,409
4,035 May Department Stores Co. ...................... 135,677
--------------
656,841
--------------
MERCHANDISING - FOOD - 0.33%
5,023 Albertsons, Inc. ............................... 160,437
500 Great Atlantic & Pacific Tea Co., Inc. ......... 12,719
9,984 * Kroger Co. ..................................... 212,784
6,100 * Safeway, Inc. .................................. 224,937
1,692 Supervalu, Inc. ................................ 32,888
4,014 SYSCO Corp. .................................... 152,783
1,779 Winn-Dixie Stores, Inc. ........................ 46,588
--------------
843,136
--------------
MERCHANDISING - MASS - 1.32%
3,148 J.C. Penney Co., Inc. .......................... 70,240
5,976 * KMart Corp. .................................... 59,387
4,596 Sears, Roebuck and Co. ......................... 157,126
53,648 Wal-Mart Stores, Inc. .......................... 3,091,465
--------------
3,378,218
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
64 November 30, 1999 (Unaudited)
ASSET ALLOCATION FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
METALS - ALUMINUM - 0.17%
2,743 Alcan Aluminium, Ltd. ......................... $ 93,262
4,380 Alcoa, Inc. ................................... 286,890
742 Reynolds Metals Co. ........................... 46,421
--------------
426,573
--------------
METALS - COPPER - 0.04%
1,973 Newmont Mining Corp. .......................... 46,735
911 Phelps Dodge Corp. ............................ 47,372
--------------
94,107
--------------
METALS - MISCELLANEOUS - 0.04%
1,474 Engelhard Corp. ............................... 24,782
1,953 * Freeport-McMoRan Copper & Gold, Inc., Class
B ............................................. 30,882
2,307 * Inco, Ltd. .................................... 42,391
--------------
98,055
--------------
METALS - STEEL - 0.05%
2,279 Allegheny Technologies, Inc. .................. 28,701
1,595 * Bethlehem Steel Corp. ......................... 9,969
1,067 Nucor Corp. ................................... 53,817
1,015 USX-US Steel Group, Inc. ...................... 25,692
1,100 Worthington Industries, Inc. .................. 17,600
--------------
135,779
--------------
MISCELLANEOUS - 0.07%
3,900 BBT Corp. ..................................... 125,288
1,700 Equifax, Inc. ................................. 42,075
1 * Water Pik Technologies, Inc. .................. 7
--------------
167,370
--------------
MOBILE HOMES - 0.00%
400 Fleetwood Enterprises, Inc. ................... 8,400
--------------
MULTIMEDIA - 0.01%
602 Meredith Corp. ................................ 22,763
--------------
NATURAL GAS - DIVERSIFIED - 0.08%
2,562 Coastal Corp. ................................. 90,311
300 Eastern Enterprises............................ 17,025
2,741 El Paso Energy Corp. .......................... 105,529
--------------
212,865
--------------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
OIL - INTEGRATED DOMESTIC - 0.49%
1,064 Amerada Hess Corp. ............................. $ 61,646
862 Ashland Oil, Inc. .............................. 29,093
3,908 Atlantic Richfield Co. ......................... 376,633
2,663 Burlington Resources, Inc. ..................... 89,543
7,529 Conoco, Inc., Class B........................... 197,166
1,073 Kerr-McGee Corp. ............................... 61,429
4,207 Occidental Petroleum Corp. ..................... 92,291
3,084 Phillips Petroleum Co. ......................... 147,454
2,960 Unocal Corp. ................................... 98,235
3,711 USX-Marathon Group.............................. 98,110
--------------
1,251,600
--------------
OIL -
INTEGRATED INTERNATIONAL - 2.31%
7,859 Chevron Corp. .................................. 696,013
29,228 Exxon Mobil Corp. .............................. 2,318,146
9,400 Mobil Corp. .................................... 980,538
25,792 Royal Dutch Petroleum Co. ...................... 1,495,935
6,674 Texaco, Inc. ................................... 406,697
--------------
5,897,329
--------------
OIL - SERVICES - 0.28%
3,920 Baker Hughes, Inc. ............................. 98,980
5,291 Halliburton Co. ................................ 204,695
681 McDermott International, Inc. .................. 5,831
1,029 * Rowan Companies, Inc. .......................... 17,622
6,602 Schlumberger, Ltd. ............................. 396,533
--------------
723,661
--------------
OIL/GAS PRODUCERS - 0.07%
1,500 Anadarko Petroleum Corp. ....................... 45,188
1,400 Apache Corp. ................................... 50,138
600 Helmerich & Payne, Inc. ........................ 13,575
1,104 Sunoco, Inc. ................................... 28,221
3,011 Union Pacific Resources
Group, Inc. .................................... 39,331
--------------
176,453
--------------
PAPER/FOREST PRODUCTS - 0.53%
1,363 Avery Dennison Corp. ........................... 80,928
666 Boise Cascade Corp. ............................ 23,060
1,107 Champion International Corp. ................... 61,368
2,638 Fort James Corp. ............................... 75,843
2,066 Georgia-Pacific Corp. .......................... 82,253
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PAPER/FOREST PRODUCTS - Continued
5,015 International Paper Co. ........................ $ 261,720
6,434 Kimberly-Clark Corp. ........................... 410,972
1,343 Louisiana Pacific Corp. ........................ 16,452
1,268 Mead Corp. ..................................... 45,252
315 Potlatch Corp. ................................. 12,743
1,221 Westvaco Corp. ................................. 36,859
2,844 Weyerhaeuser Co. ............................... 174,195
1,378 Willamette Industries, Inc. .................... 57,015
--------------
1,338,660
--------------
PHOTOGRAPHY - 0.10%
3,834 Eastman Kodak Co. .............................. 237,229
546 Polaroid Corp. ................................. 10,511
--------------
247,740
--------------
POLLUTION CONTROL - 0.06%
2,300 * Allied Waste Industries, Inc. .................. 18,688
4,000 Laidlaw, Inc. .................................. 24,500
7,462 Waste Management, Inc. ......................... 121,258
--------------
164,446
--------------
PUBLISHING - NEWS - 0.25%
1,127 Dow Jones & Co., Inc. .......................... 68,324
3,338 Gannett Co., Inc. .............................. 238,875
996 Knight-Ridder, Inc. ............................ 54,344
2,058 New York Times Co., Class A..................... 79,104
767 Times Mirror Co. ............................... 49,519
2,902 Tribune Co. .................................... 139,477
--------------
629,643
--------------
PUBLISHING/PRINTING - 0.11%
900 Deluxe Corp. ................................... 23,569
1,986 Dun & Bradstreet Corp. ......................... 53,622
871 Harcourt General, Inc. ......................... 28,852
2,356 McGraw-Hill, Inc. .............................. 133,556
1,496 R. R. Donnelley and Sons Co. ................... 35,904
--------------
275,503
--------------
RAILROAD - 0.22%
5,599 Burlington Northern Santa Fe Corp. ............. 162,371
2,576 CSX Corp. ...................................... 91,609
1,300 Kansas City Southern Industies, Inc. ........... 77,431
4,605 Norfolk Southern Corp. ......................... 98,432
2,946 Union Pacific Corp. ............................ 138,646
--------------
568,489
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 65
ASSET ALLOCATION FUND - CONTINUED
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
RESTAURANTS - 0.34%
1,557 Darden Restaurants, Inc. ....................... $ 27,734
16,322 McDonald's Corp. ............................... 734,490
1,876 * Tricon Global Restaurants, Inc. ................ 77,854
1,500 Wendy's International, Inc. .................... 33,094
--------------
873,172
--------------
SAVINGS & LOAN - 0.10%
625 Golden West Financial Corp. .................... 63,086
6,958 Washington Mutual, Inc. ........................ 201,782
--------------
264,868
--------------
SECURITIES RELATED - 0.74%
1,444 Bear Stearns Co., Inc. ......................... 58,923
9,900 Charles Schwab Corp. ........................... 375,580
3,000 Franklin Resources, Inc. ....................... 94,313
1,400 Lehman Brothers Holdings, Inc. ................. 106,925
4,430 Merrill Lynch & Co., Inc. ...................... 357,169
6,912 Morgan Stanley Dean Witter & Co. ............... 833,760
1,800 Paine Webber Group, Inc. ....................... 70,538
--------------
1,897,208
--------------
SEMICONDUCTOR EQUIPMENT - 0.21%
4,566 * Applied Materials, Inc. ........................ 444,900
1,100 * KLA-Tencor Corp. ............................... 93,019
--------------
537,919
--------------
SEMICONDUCTORS - 2.21%
1,757 * Advanced Micro Devices, Inc. ................... 49,635
2,100 * Analog Devices, Inc. ........................... 120,619
39,904 Intel Corp. .................................... 3,060,137
1,810 * LSI Logic Corp. ................................ 109,392
3,044 * Micron Technology, Inc. ........................ 204,329
7,290 Motorola, Inc. ................................. 832,883
2,037 * National Semiconductor Corp. ................... 86,573
2,317 Rockwell International Corp. ................... 114,981
9,456 Texas Instruments, Inc. ........................ 908,367
1,900 * Xilinx, Inc. ................................... 170,050
--------------
5,656,966
--------------
TELECOMMUNICATIONS - 4.03%
1,800 * ADC Communications, Inc. ....................... 95,963
3,684 ALLTEL Corp. ................................... 318,666
1,024 * Andrew Corp. ................................... 14,272
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TELECOMMUNICATIONS - Continued
38,537 AT&T Corp. ..................................... $ 2,153,254
1,700 CenturyTel, Inc. ............................... 78,200
9,269 * Global Crossing, Ltd. .......................... 404,360
36,966 Lucent Technologies, Inc. ...................... 2,700,827
22,529 * MCI Worldcom, Inc. ............................. 1,862,867
4,400 * Nextel Communications, Inc., Class A............ 436,150
15,966 Nortel Networks Corp. .......................... 1,181,484
1,900 * QUALCOMM, Inc. ................................. 688,394
881 Scientific-Atlanta, Inc. ....................... 51,373
4,708 * Tellabs, Inc. .................................. 305,432
1 Vodafone Airtouch, Plc. - ADR................... 24
--------------
10,291,266
--------------
TEXTILE - PRODUCTS - 0.02%
400 Russell Corp. .................................. 5,225
200 Springs Industries, Inc., Class A............... 8,000
1,400 V. F. Corp. .................................... 41,825
--------------
55,050
--------------
TOBACCO - 0.32%
28,829 Philip Morris Companies, Inc. .................. 758,563
2,127 UST, Inc. ...................................... 56,631
--------------
815,194
--------------
UTILITIES - COMMUNICATION - 2.52%
18,690 Bell Atlantic Corp. ............................ 1,183,311
22,754 BellSouth Corp. ................................ 1,050,950
11,787 GTE Corp. ...................................... 860,451
41,125 SBC Communications, Inc. ....................... 2,135,909
10,440 Sprint Corp. ................................... 724,275
5,260 * Sprint Corp. (PCS Group)........................ 482,605
--------------
6,437,501
--------------
UTILITIES - ELECTRIC - 0.98%
2,500 * AES Corp. ...................................... 144,844
1,625 Ameren Corp. ................................... 56,266
2,349 American Electric Power, Inc. .................. 73,700
1,906 Carolina Power & Light Co. ..................... 57,418
2,592 Central & South West Corp. ..................... 51,840
1,918 Cinergy Corp. .................................. 48,549
1,400 CMS Energy Corp. ............................... 46,550
2,699 Consolidated Edison, Inc. ...................... 93,116
1,798 Constellation Energy Group, Inc. ............... 52,929
2,308 Dominion Resources, Inc. ....................... 104,726
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
1,793 DTE Energy Co. ................................. $ 59,281
4,404 Duke Energy Corp. .............................. 223,228
4,217 Edison International, Inc. ..................... 111,751
2,927 Entergy Corp. .................................. 80,675
2,826 FirstEnergy Corp. .............................. 65,881
1,200 Florida Progress Corp. ......................... 51,300
2,170 FPL Group, Inc. ................................ 94,938
1,554 GPU, Inc. ...................................... 49,728
1,400 New Century Energies, Inc. ..................... 44,013
2,300 * Niagara Mohawk Holdings, Inc. .................. 34,500
1,868 Northern States Power Co. ...................... 38,177
4,635 P G & E Corp. .................................. 103,708
2,277 Peco Energy Co. ................................ 74,999
1,000 Pinnacle West Capital Corp. .................... 33,188
1,946 PP&L Resources, Inc. ........................... 44,880
2,681 Public Service Enterprise Group, Inc. .......... 93,835
3,589 Reliant Energy, Inc. ........................... 89,052
2,056 Scottish Power, Plc. - ADR...................... 71,835
8,208 Southern Co. ................................... 191,862
3,294 Texas Utilities Co. ............................ 117,966
2,600 Unicom Corp. ................................... 83,038
--------------
2,487,773
--------------
UTILITIES -
GAS, DISTRIBUTION - 0.03%
590 NICOR, Inc. .................................... 20,466
1,800 Tosco Corp. .................................... 48,713
--------------
69,179
--------------
UTILITIES - GAS, PIPELINE - 0.28%
1,030 Columbia Energy Group........................... 64,633
1,195 Consolidated Natural Gas Co. ................... 76,629
8,594 Enron Corp. .................................... 327,109
400 ONEOK, Inc. .................................... 10,775
400 Peoples Energy Corp. ........................... 14,700
2,934 Sempra Energy................................... 54,279
5,226 Williams Companies, Inc. ....................... 176,377
--------------
724,502
--------------
TOTAL COMMON STOCK
(Cost $81,655,340).............................. 138,713,120
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
66 November 30, 1999 (Unaudited)
ASSET ALLOCATION FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
CORPORATE BONDS - 7.73%
AEROSPACE/DEFENSE - 0.41%
$ 620,000 Lockheed Martin Corp.,
7.95% due 12/01/05.......................... $ 616,150
425,000 United Technologies Corp.,
6.63% due 11/15/04.......................... 420,355
--------------
1,036,505
--------------
BANKS - OTHER - 0.59%
1,000,000 Capital One Bank,
6.40% due 05/08/03.......................... 963,720
600,000 First Union National Bank,
5.80% due 12/01/08.......................... 537,246
--------------
1,500,966
--------------
BANKS - REGIONAL - 0.32%
445,000 First Union Corp.,
6.95% due 11/01/04.......................... 440,243
420,000 Wachovia Corp.,
5.63% due 12/15/08.......................... 376,051
--------------
816,294
--------------
BUILDING MATERIALS - 0.32%
865,000 Owens Corning,
7.70% due 05/01/08.......................... 808,005
--------------
CHEMICAL - MAJOR - 0.16%
425,000 Dow Chemical Co.,
7.38% due 11/01/29.......................... 412,752
--------------
CONGLOMERATES - 0.20%
510,000(1) Tyco International Group S.A.,
6.88% due 09/05/02.......................... 502,554
--------------
FINANCE COMPANIES - 0.20%
510,000 Finova Capital Corp.,
7.25% due 11/08/04.......................... 507,731
--------------
FINANCIAL SERVICES - 0.59%
430,000 Countrywide Home Loans, Inc.,
6.25% due 04/15/09.......................... 393,596
300,000 Doral Financial Corp.,
8.50% due 07/08/04.......................... 298,602
820,000 Transamerica Finance Corp.,
7.25% due 08/15/02.......................... 820,795
--------------
1,512,993
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FOOD - 0.16%
$ 410,000 Fred Meyer, Inc.,
7.45% due 03/01/08.......................... $ 403,169
--------------
MACHINERY - AGRICULTURE - 0.16%
425,000 Deere & Co.,
6.55% due 07/15/04.......................... 417,197
--------------
MERCHANDISE - DRUG - 0.22%
925,000 Rite Aid Corp.,
6.00% due 12/15/05.......................... 573,500
--------------
MERCHANDISING - FOOD - 0.16%
425,000 Safeway, Inc.,
7.50% due 09/15/09.......................... 418,468
--------------
NATURAL GAS - DIVERSIFIED - 0.13%
320,000 PanEnergy Corp.,
7.38% due 09/15/03.......................... 324,713
--------------
OIL/GAS PRODUCERS - 0.26%
700,000 Valero Energy Corp.,
7.38% due 03/15/06.......................... 669,872
--------------
SECURITIES RELATED - 0.15%
425,000 Merrill Lynch & Co.,
6.00% due 02/17/09.......................... 388,306
--------------
<PAGE>
TELECOMMUNICATIONS - 0.74%
765,000 AT&T Corp.,
6.50% due 03/15/29.......................... 667,103
915,000 Bell Atlantic Pennsylvania, Inc.,
6.00% due 12/01/28.......................... 739,659
500,000 Northwestern Bell Telephone,
7.75% due 05/01/30.......................... 486,140
10,000(1) US West Capital Funding, Inc.,
6.88% due 08/15/01.......................... 9,931
--------------
1,902,833
--------------
UTILITIES - ELECTRIC - 1.89%
1,015,000 Arizona Public Service Co.,
5.88% due 02/15/04.......................... 970,858
850,000 Edison International, Inc.,
6.88% due 09/15/04.......................... 835,983
475,000 National Rural Utilities Cooperative Finance
Corp.,
5.70% due 01/15/10.......................... 422,532
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
UTILITIES - ELECTRIC - Continued
$ 1,000,000 Pennsylvania Electric Co.,
Series C,
6.63% due 04/01/19.......................... $ 892,040
665,000(1) Potomac Capital Investment
Corp., MTND,
7.55% due 11/19/01.......................... 669,145
1,023,222 Texas Utilities Co.,
6.62% due 07/01/01.......................... 1,024,054
--------------
4,814,612
--------------
UTILITIES - GAS, PIPELINE - 1.07%
425,000 Duke Capital Corp.,
7.50% due 10/01/09.......................... 426,275
1,000,000 Enron Corp.,
6.75% due 09/01/04.......................... 978,019
1,000,000 Peco Energy Transition Trust,
6.13% due 03/01/09.......................... 935,309
420,000 Williams Companies, Inc.,
7.63% due 07/15/19.......................... 406,342
--------------
2,745,945
--------------
TOTAL CORPORATE BONDS
(Cost $20,710,211).......................... 19,756,415
--------------
UNITED STATES GOVERNMENT -
LONG TERM - 7.20%
FEDERAL AGENCIES - 0.26%
Government National Mortgage Association:
440,139 6.50% due 01/15/29......................... 418,683
252,926 6.50% due 04/15/29......................... 240,596
--------------
659,279
--------------
GOVERNMENT SPONSORED - 6.61%
Federal Home Loan Mortgage Corp.:
274,301 8.50% due 11/01/26......................... 282,527
137,718 8.00% due 07/01/25......................... 139,956
179,296 8.00% due 08/01/25......................... 182,209
5,348 8.00% due 06/01/27......................... 5,430
246,315 8.00% due 09/01/27......................... 250,086
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 67
ASSET ALLOCATION FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GOVERNMENT SPONSORED - Continued
Federal Home Loan Mortgage Corp.:
$ 759,402 7.50% due 09/01/25............................... $ 759,636
500,050 7.50% due 11/01/29............................... 499,425
607,879 7.00% due 03/01/12............................... 605,788
1,000,099 6.50% due 07/01/14............................... 977,907
499,739 6.50% due 06/01/29............................... 476,936
820,000 6.25% due 07/15/04............................... 809,496
686,401 6.00% due 05/01/14............................... 657,655
269,673 6.00% due 05/01/29............................... 250,289
Federal National Mortgage Association:
394,286 8.50% due 12/01/25............................... 406,233
24,690 7.50% due 09/01/25............................... 24,706
394,953 7.50% due 10/01/25............................... 394,704
392,837 7.50% due 04/01/26............................... 392,590
122,017 7.50% due 10/01/26............................... 121,940
334,573 7.50% due 09/01/27............................... 333,841
217,537 7.50% due 11/01/27............................... 217,061
604,421 7.00% due 04/01/28............................... 590,628
99,430 7.00% due 09/01/28............................... 97,161
925,000 6.65% due 11/07/07............................... 898,841
790,000 6.50% due 08/15/04............................... 787,282
98,456 6.50% due 09/01/28............................... 93,903
456,737 6.50% due 07/01/29............................... 435,613
925,539 6.50% due 08/01/29............................... 882,733
456,380 6.50% due 10/01/29............................... 435,273
63,000 6.50% due 11/01/29............................... 60,086
885,000 6.37% due 01/30/08............................... 847,529
1,000,000 6.28% due 02/12/08............................... 953,280
3,266,453 6.00% due 01/01/29............................... 3,028,589
--------------
16,899,333
--------------
UNITED STATES BONDS & NOTES - 0.33%
200,000 United States Treasury Bonds,
5.25% due 02/15/29................................ 169,781
United States Treasury Notes:
425,000 6.00% due 08/15/09............................... 419,620
255,000 3.88% due 01/15/09............................... 249,622
--------------
839,023
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
TOTAL UNITED STATES GOVERNMENT -
LONG TERM
(Cost $18,891,387).......................... $ 18,397,635
--------------
FOREIGN CORPORATE BONDS - 2.35%
BANKS - OTHER - 0.33%
$ 850,000 Asian Development Bank,
6.50% due 10/21/02.......................... 846,583
--------------
FINANCE COMPANIES - 0.26%
665,000 Newcourt Credit Group, Inc.,
6.88% due 02/16/05.......................... 653,422
--------------
INSURANCE - MULTILINE - 0.62%
Fairfax Financial Holdings, Ltd.:
740,000 8.25% due 10/01/15......................... 908,182
1,000,000 7.38% due 03/15/06......................... 666,096
--------------
1,574,278
--------------
PUBLISHING - NEWS - 0.31%
820,000 United News & Media, Plc.,
7.75% due 07/01/09.......................... 784,068
--------------
TELECOMMUNICATIONS - 0.70%
255,000(1) AT&T Canada, Inc.,
7.65% due 09/15/06.......................... 256,936
770,000(1) Cable & Wire Optus, Ltd.,
8.13% due 06/15/09.......................... 777,530
985,000 MetroNet Communications Corp., zero coupon
due 06/15/08................................ 774,821
--------------
1,809,287
--------------
UTILITIES - ELECTRIC - 0.13%
425,000(1) Israel Electric Corp.,
8.10% due 12/15/96.......................... 344,667
--------------
TOTAL FOREIGN CORPORATE BONDS
(Cost $6,177,090)........................... 6,012,305
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FOREIGN GOVERNMENT BONDS - LONG TERM - 0.08%
CANADA - 0.08%
$ 210,000 Quebec-Province,
7.50% due 09/15/29................................ $ 209,368
--------------
TOTAL FOREIGN GOVERNMENT BONDS -
LONG TERM
(Cost $209,053)................................... 209,368
--------------
CORPORATE SHORT TERM COMMERCIAL PAPER - 27.71%
FINANCE COMPANIES - 2.54%
6,500,000 GTE Funding Corp.,
5.70% due 12/02/99................................ 6,498,971
--------------
FINANCIAL SERVICES - 0.47%
1,201,000 Textron Financial Corp.,
5.62% due 12/09/99................................ 1,199,499
--------------
HARDWARE & TOOLS - 3.91%
10,000,000 Snap-on, Inc.,
5.48% due 12/13/99................................ 9,981,700
--------------
HEALTHCARE - 3.49%
8,922,000 Cardinal Health, Inc.,
5.70% due 12/01/99................................ 8,922,000
--------------
INSURANCE - MULTILINE - 3.91%
10,000,000 Aon Corp.,
5.55% due 12/13/99................................ 9,981,460
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 1.46%
3,748,000 Cooper Industries, Inc.,
5.74% due 12/01/99................................ 3,748,000
--------------
MISCELLANEOUS - 3.13%
8,000,000 CVS Corp.,
5.70% due 12/09/99................................ 7,989,865
--------------
NATURAL GAS - DIVERSIFIED - 1.56%
4,000,000 Wisconsin Gas Co.,
5.57% due 12/10/99................................ 3,994,429
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
68 November 30, 1999 (Unaudited)
ASSET ALLOCATION FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SECURITIES RELATED - 3.72%
$ 9,500,000 Merrill Lynch & Co.,
5.65% due 12/03/99................................ $ 9,497,017
--------------
UTILITIES - ELECTRIC - 3.52%
9,000,000 OGE Energy Corp.,
5.60% due 12/02/99................................ 8,998,598
--------------
TOTAL CORPORATE SHORT TERM COMMERCIAL PAPER
(Cost $70,811,539)................................ 70,811,539
--------------
UNITED STATES GOVERNMENT - SHORT TERM - 0.28%
U. S. TREASURY BILLS - 0.28%
United States Treasury Bills:
625,000 4.83% due 12/30/99............................... 622,561
100,000 4.25% due 12/09/99............................... 99,905
--------------
722,466
--------------
TOTAL UNITED STATES GOVERNMENT - SHORT TERM
(Cost $722,466)................................... 722,466
--------------
TOTAL INVESTMENTS
(Cost $199,177,086) - 99.63%...................... $ 254,622,848
--------------
*Non-income producing
</TABLE>
- ----
<TABLE>
<S> <C>
(1) Securities exempt from registration under Rule 144A of the
Securities Act of 1933. These securities may be sold in
transactions exempt from registration, normally to qualified
institutional buyers. At November 30, 1999, the aggregate value of these
securities was $2,560,763, representing 1.00% of net assets.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
UNREALIZED
CONTRACTS APPRECIATION
<S> <C> <C>
- ------------------------------------------------------------
FUTURES CONTRACTS PURCHASED(1)
(Delivery month/Value at 11/30/99)
23(2) S&P 500 Index Futures
(December/$1,391.50).............. $ 106,425
---------
</TABLE>
(1) U.S. Treasury Bills with a market value of approximately $431,250 were
maintained in a segregated account with a portion placed as collateral for
futures contracts.
(2) Per 250.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $199,177,086)...................... $254,622,848
Receivables for:
Investments sold............................................... 1,354,339
Dividends and interest......................................... 798,549
Other assets.................................................... 19,069
------------
TOTAL ASSETS.................................................... 256,794,805
------------
LIABILITIES:
Payable for:
Investments purchased.......................................... 708,330
Capital stock reacquired....................................... 232,928
Payable to affiliates:
Advisory fees.................................................. 105,274
Accounting services............................................ 6,959
Accrued expenses and other liabilities.......................... 173,868
------------
TOTAL LIABILITIES............................................... 1,227,359
------------
NET ASSETS...................................................... $255,567,446
------------
- -----------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
17,174,453 shares outstanding................................... $ 171,744
Additional paid in capital...................................... 184,546,779
Undistributed net realized gain on securities................... 15,239,890
Undistributed net investment income............................. 56,846
Unrealized appreciation of:
Investments........................................ $55,445,762
Futures............................................ 106,425 55,552,187
----------- ------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING........................................... $255,567,446
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
69
ASSET ALLOCATION FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<CAPTION>
<S> <C> <C>
INVESTMENT INCOME:
Dividends........................................................ $ 926,603
Interest......................................................... 3,315,181
-----------
Total investment income......................................... 4,241,784
-----------
EXPENSES:
Advisory fees.................................................... 632,038
Custodian fees................................................... 6,333
Registration and filing fees..................................... 7,854
Audit fees and tax services...................................... 2,310
Accounting services.............................................. 37,922
Directors' fees and expenses..................................... 1,794
Report to shareholders........................................... 19,899
Miscellaneous.................................................... 3,631
-----------
Total expenses.................................................. 711,781
-----------
NET INVESTMENT INCOME............................................ 3,530,003
-----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES:
Net realized gain on securities:
Investments........................................ $ 11,039,504
Futures contracts.................................. 695 11,040,199
------------
Net unrealized appreciation (depreciation) of
securities during the period:
Investments........................................ (3,409,412)
Futures contracts.................................. 106,425 (3,302,987)
------------ -----------
Net realized and unrealized gain during the period............. 7,737,212
-----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS................. $11,267,215
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
November 30, 1999 May 31, 1999
------------------------------
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income..................... $ 3,530,003 $ 6,215,127
Net realized gain on securities........... 11,040,199 4,442,130
Net unrealized appreciation (depreciation)
of securities
during the period......................... (3,302,987) 14,745,732
------------------------------
Increase in net assets resulting from
operations.............................. 11,267,215 25,402,989
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income..................... (3,516,930) (6,223,150)
Net realized gain on securities........... - (12,942,384)
------------------------------
Decrease in net assets resulting from
distributions to shareholders............. (3,516,930) (19,165,534)
------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.......... 7,574,855 29,740,452
Proceeds from capital stock issued
for distributions reinvested.............. 3,516,930 19,165,534
------------------------------
11,091,785 48,905,986
Cost of capital stock repurchased......... (11,747,821) (6,769,056)
------------------------------
Increase (decrease) in net assets
resulting
from capital stock transactions........... (656,036) 42,136,930
------------------------------
TOTAL INCREASE IN NET ASSETS.............. 7,094,249 48,374,385
NET ASSETS:
Beginning of year......................... 248,473,197 200,098,812
------------------------------
End of period (including undistributed net
investment income of $56,846 and
$43,773).................................. $255,567,446 $248,473,197
-------------------------------
<PAGE>
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold.............. 519,880 2,076,208
Shares issued for distributions
reinvested................................ 241,042 1,352,667
Shares of capital stock repurchased....... (808,686) (476,138)
------------------------------
Increase (decrease) in shares
outstanding............................... (47,764) 2,952,737
Shares outstanding:
Beginning of year........................ 17,222,217 14,269,480
------------------------------
End of period............................ 17,174,453 17,222,217
------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
70 November 30, 1999 (Unaudited)
CAPITAL CONSERVATION FUND
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE BONDS - 90.90%
AIRLINES - 5.12%
$1,500,000 Delta Air Lines, Inc.,
9.75% due 05/15/21.................................... $ 1,648,680
1,482,915 U.S. Airways, Inc. Pass-Thru,
6.85% due 01/30/18.................................... 1,297,017
-----------
2,945,697
-----------
AUTO - CARS - 2.54%
1,500,000 Hertz Corp.,
6.00% due 01/15/03.................................... 1,459,170
-----------
BANKS - OTHER - 5.75%
1,000,000 Bank of America Corp.,
7.20% due 04/15/06.................................... 1,000,230
1,500,000 Santander Finance Issuances,
7.25% due 11/01/15.................................... 1,405,455
1,000,000 Toronto Dominion Bank,
6.13% due 11/01/08.................................... 900,480
-----------
3,306,165
-----------
BANKS - REGIONAL - 6.75%
1,500,000 Bank Boston Capital Trust I,
8.25% due 12/15/26.................................... 1,444,530
1,500,000 Barnett Capital Trust I,
8.06% due 12/01/26.................................... 1,437,555
1,000,000 SouthTrust Corp.,
7.63% due 05/01/04.................................... 1,000,490
-----------
3,882,575
-----------
BUILDING MATERIALS - 3.24%
2,000,000 CSR America, Inc.,
6.88% due 07/21/05.................................... 1,859,720
-----------
DRUGS - 3.32%
2,000,000 Akzo Nobel, Inc.,
6.00% due 11/15/03.................................... 1,907,800
-----------
FINANCE COMPANIES - 8.90%
1,000,000 C.I.T. Group Holdings, Inc.,
8.38% due 11/01/01.................................... 1,026,770
2,000,000 Capital One Bank,
8.13% due 03/01/00.................................... 2,006,520
2,000,000 Finova Capital Corp.,
9.13% due 02/27/02.................................... 2,081,360
-----------
5,114,650
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
FINANCIAL SERVICES - 5.93%
$2,000,000 Bear Stearns Co., Inc.,
6.15% due 03/02/04................................... $ 1,914,420
1,500,000 Doral Financial Corp.,
8.50% due 07/08/04................................... 1,493,008
-----------
3,407,428
-----------
HEALTHCARE - 2.07%
1,500,000 Columbia Healthcare Corp.,
7.50% due 12/15/23................................... 1,192,500
-----------
HEAVY DUTY TRUCKS/PARTS - 2.31%
1,500,000 Dana Corp.,
7.00% due 03/15/28................................... 1,327,500
-----------
INFORMATION PROCESSING -
DATA SERVICES - 3.44%
2,000,000 Comdisco, Inc.,
6.13% due 08/01/01................................... 1,976,260
-----------
MERCHANDISE - DRUG - 0.81%
500,000 Mallinckrodt, Inc.,
6.00% due 10/15/03................................... 466,910
-----------
MERCHANDISING - DEPARTMENT - 7.98%
2,000,000 Associated Dry Goods Corp.,
8.85% due 03/01/06................................... 2,151,220
2,500,000 Federated Department Stores, Inc.,
6.79% due 07/15/27................................... 2,444,225
-----------
4,595,445
-----------
MERCHANDISING - MASS - 2.50%
1,500,000 ShopKo Stores, Inc.,
6.50% due 08/15/03................................... 1,434,855
-----------
METALS - STEEL - 3.42%
2,000,000 Pohang Iron & Steel Co., Ltd. - ADR, 7.50% due
08/01/02............................................. 1,965,700
-----------
OIL/GAS PRODUCERS - 1.83%
1,000,000 Tosco Corp.,
9.63% due 03/15/02................................... 1,050,000
-----------
PAPER/FOREST PRODUCTS - 3.93%
2,000,000 Georgia-Pacific Corp.,
9.50% due 12/01/11................................... 2,256,880
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- -------------------------------------------------------------------------------
PUBLISHING - NEWS - 3.48%
$2,000,000 News America Holdings, Inc.,
8.25% due 08/10/18................................... $ 1,998,860
-----------
TELECOMMUNICATIONS - 7.00%
2,000,000 360 Communications Co.,
7.13% due 03/01/03................................... 2,000,200
2,000,000 Airtouch Communications, Inc.,
7.50% due 07/15/06................................... 2,021,400
-----------
4,021,600
-----------
UTILITIES - COMMUNICATION - 4.03%
2,500,000 CenturyTel, Inc.,
7.20% due 12/01/25................................... 2,313,675
-----------
UTILITIES - GAS, PIPELINE - 6.55%
2,000,000 Columbia Energy Group,
7.62% due 11/28/25................................... 1,741,520
2,000,000 Enron Corp.,
7.63% due 09/10/04................................... 2,025,440
-----------
3,766,960
-----------
TOTAL CORPORATE BONDS
(Cost $54,892,678)................................... 52,250,350
-----------
UNITED STATES GOVERNMENT -
LONG TERM - 5.80%
FEDERAL AGENCIES - 1.09%
490,475 Federal Home Loan Bank,
5.75% due 12/15/16................................... 488,479
Government National Mortgage Association:
21,800 9.50% due 05/15/18.................................. 23,192
2,396 9.50% due 06/15/18.................................. 2,550
90,538 9.50% due 07/15/18.................................. 96,315
15,071 9.50% due 08/15/18.................................. 16,033
1,469 9.50% due 10/15/18.................................. 1,562
-----------
628,131
-----------
GOVERNMENT SPONSORED - 4.71%
682,931 Federal Home Loan Mortgage Corp., 6.50% due
06/01/12............................................. 668,631
Federal National Mortgage Association:
459,347 7.50% due 07/01/26.................................. 458,915
1,060,836 7.00% due 05/01/11.................................. 1,056,124
522,762 7.00% due 06/01/11.................................. 520,310
-----------
2,703,980
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 71
CAPITAL CONSERVATION FUND - CONTINUED
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
TOTAL UNITED STATES GOVERNMENT - LONG TERM
(Cost $3,317,931)..................................... $ 3,332,111
-----------
FOREIGN BONDS - 1.74%
TELECOMMUNICATIONS - 1.74%
$1,000,000 Cable & Wireless
Communication, Plc.,
6.75% due 12/01/08.................................... 1,001,730
-----------
TOTAL FOREIGN BONDS
(Cost $974,425)....................................... 1,001,730
-----------
TOTAL INVESTMENTS
(Cost $59,185,034) - 98.44%........................... $56,584,191
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $59,185,034).......................... $56,584,191
Receivable for dividends and interest.............................. 1,196,016
Other assets....................................................... 50,022
-----------
TOTAL ASSETS....................................................... 57,830,229
-----------
LIABILITIES:
Payable for capital stock reacquired............................... 301,957
Payable to affiliates:
Advisory fees..................................................... 24,045
Accounting services............................................... 1,818
Accrued expenses and other liabilities............................. 22,357
-----------
TOTAL LIABILITIES.................................................. 350,177
-----------
NET ASSETS......................................................... $57,480,052
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
6,327,547 shares outstanding....................................... $ 63,274
Additional paid in capital......................................... 60,637,538
Accumulated net realized loss on securities........................ (642,587)
Undistributed net investment income................................ 22,670
Unrealized depreciation of securities.............................. (2,600,843)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $57,480,052
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
72
CAPITAL CONSERVATION FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest........................................................... $ 2,185,686
-----------
EXPENSES:
Advisory fees...................................................... 151,951
Registration and filing fees....................................... 132
Audit fees and tax services........................................ 648
Accounting services................................................ 9,117
Report to shareholders............................................. 14,196
Miscellaneous...................................................... 1,518
-----------
Total expenses.................................................... 177,562
-----------
NET INVESTMENT INCOME.............................................. 2,008,124
-----------
</TABLE>
<TABLE>
<S> <C>
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities.................................... (25,401)
Net unrealized depreciation of securities during the period........ (2,004,184)
-----------
Net realized and unrealized loss on securities during the
period.......................................................... (2,029,585)
-----------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS................... $ (21,461)
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 2,008,124 $ 4,074,661
Net realized loss on securities.............. (25,401) (100,001)
Net unrealized depreciation of securities
during the period........................... (2,004,184) (1,841,039)
------------------------------
Increase (decrease) in net assets resulting
from operations............................ (21,461) 2,133,621
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (2,018,773) (4,075,946)
Net realized gain on securities.............. - -
------------------------------
Decrease in net assets resulting from
distributions to shareholders............... (2,018,773) (4,075,946)
------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............. 2,165,517 10,972,502
Proceeds from capital stock issued for
distributions reinvested.................... 2,018,773 4,075,946
------------------------------
4,184,290 15,048,448
Cost of capital stock repurchased............ (7,794,509) (13,629,170)
------------------------------
Increase (decrease) in net assets resulting
from capital stock transactions............ (3,610,219) 1,419,278
------------------------------
TOTAL DECREASE IN NET ASSETS................. (5,650,453) (523,047)
NET ASSETS:
Beginning of year............................ 63,130,505 63,653,552
------------------------------
End of period (including undistributed net
investment income of $22,670 and $33,319)... $57,480,052 $ 63,150,505
------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................. 234,574 1,136,484
Shares issued for distributions reinvested... 220,476 424,316
Shares of capital stock repurchased.......... (847,718) (1,417,596)
------------------------------
Increase (decrease) in shares outstanding... (392,668) 143,204
Shares outstanding:
Beginning of year........................... 6,720,215 6,577,011
------------------------------
End of period............................... 6,327,547 6,720,215
------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 73
GOVERNMENT SECURITIES FUND
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
UNITED STATES GOVERNMENT -
LONG TERM - 98.26%
FEDERAL AGENCIES - 22.57%
Federal Home Loan Bank:
$1,155,000 7.26% due 09/06/01................................... $ 1,173,041
500,000 7.00% due 09/24/04................................... 496,875
1,000,000 6.61% due 06/09/04................................... 983,440
2,000,000 6.38% due 12/20/00................................... 2,005,000
5,000,000 6.12% due 08/26/08................................... 4,664,850
3,000,000 6.11% due 06/19/03................................... 2,924,520
3,000,000 5.91% due 03/27/08................................... 2,816,250
1,145,000 5.81% due 01/21/05................................... 1,098,307
3,000,000 5.70% due 12/19/00................................... 2,986,860
2,000,000 5.63% due 03/19/01................................... 1,985,620
Federal Home Loan Bank (Pools/REMICS),
175,000 5.50% due 02/25/19................................... 171,992
-----------
21,306,755
-----------
GOVERNMENT SPONSORED - 46.12%
Federal Farm Credit:
1,150,000 7.10% due 11/02/02................................... 1,169,769
1,500,000 6.92% due 05/13/02................................... 1,516,170
Federal Home Loan Mortgage Corp.:
1,500,000 7.09% due 06/01/05................................... 1,477,965
3,500,000 6.71% due 11/09/05................................... 3,407,565
3,857,357 6.50% due 02/01/29................................... 3,681,346
1,500,000 6.37% due 01/23/06................................... 1,442,115
1,000,000 6.25% due 10/15/02................................... 995,780
Federal National Mortgage Association:
1,000,000 9.05% due 04/10/00................................... 1,009,530
2,000,000 7.27% due 08/24/05................................... 1,977,820
3,000,000 7.00% due 08/27/12................................... 2,863,110
2,000,000 6.85% due 09/12/05................................... 1,956,560
4,000,000 6.25% due 12/13/02................................... 3,945,000
1,475,000 6.15% due 07/02/08................................... 1,379,818
3,000,000 6.06% due 05/07/03................................... 2,930,160
1,000,000 5.81% due 03/02/04................................... 967,190
2,500,000 5.50% due 09/29/03................................... 2,408,600
1,000,000 5.42% due 02/02/04................................... 956,250
112,000 5.13% due 02/13/04................................... 106,085
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GOVERNMENT SPONSORED - Continued
Tennessee Valley Authority:
$2,500,000 6.75% due 11/01/25................................... $ 2,369,700
2,000,000 6.38% due 06/15/05................................... 1,971,880
3,000,000 6.00% due 03/15/13................................... 2,752,980
2,500,000 5.38% due 11/13/08................................... 2,259,375
-----------
43,544,768
-----------
UNITED STATES BONDS, NOTES
& STRIPS - 29.57%
United States Treasury Bonds:
1,800,000 9.00% due 11/15/18................................... 2,257,596
4,000,000 8.75% due 08/15/20................................... 4,953,760
3,500,000 8.50% due 02/15/20................................... 4,227,335
3,500,000 7.25% due 08/15/22................................... 3,776,185
2,000,000 6.75% due 08/15/26................................... 2,056,880
1,000,000 6.13% due 11/15/27................................... 952,190
United States Treasury Notes:
3,000,000 5.75% due 08/15/03................................... 2,963,430
4,500,000 5.50% due 12/31/00................................... 4,479,615
1,500,000 5.50% due 01/31/03................................... 1,474,920
1,500,000 United States Treasury Strips,
zero coupon due 11/15/09.............................. 778,665
-----------
27,920,576
-----------
TOTAL UNITED STATES GOVERNMENT - LONG TERM
(Cost $95,333,869).................................... 92,772,099
-----------
TOTAL INVESTMENTS
(Cost $95,333,869) - 98.26%........................... $92,772,099
-----------
</TABLE>
<TABLE>
<CAPTION>
<C> <S> <C>
- ---------------------
</TABLE>
<TABLE>
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $95,333,869).......................... $92,772,099
Receivables for:
Investments sold.................................................. 509,399
Dividends and interest............................................ 1,573,252
Other assets....................................................... 20,176
-----------
TOTAL ASSETS....................................................... 94,874,926
-----------
LIABILITIES:
Payable for capital stock reacquired............................... 102,104
Payable to affiliates:
Advisory fees..................................................... 39,274
Accounting services............................................... 2,837
Accrued expenses and other liabilities............................. 320,293
-----------
TOTAL LIABILITIES.................................................. 464,508
-----------
NET ASSETS......................................................... $94,410,418
-----------
- --------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
9,805,329 shares outstanding....................................... $ 98,054
Additional paid in capital......................................... 98,328,998
Accumulated net realized loss on securities........................ (1,484,809)
Undistributed net investment income................................ 29,945
Unrealized depreciation of securities.............................. (2,561,770)
-----------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.............................................. $94,410,418
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
74
GOVERNMENT SECURITIES FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest........................................................... $ 2,996,193
-----------
EXPENSES:
Advisory fees...................................................... 250,394
Custodian fees..................................................... 1,998
Registration and filing fees....................................... 378
Audit fees and tax services........................................ 1,365
Accounting services................................................ 15,024
Directors' fees and expenses....................................... 1,212
Report to shareholders............................................. 16,530
Miscellaneous...................................................... 1,743
-----------
Total expenses.................................................... 288,644
-----------
NET INVESTMENT INCOME.............................................. 2,707,549
-----------
</TABLE>
<TABLE>
<S> <C> <C>
REALIZED AND UNREALIZED LOSS ON SECURITIES:
Net realized loss on securities:
Investments.......................................... $ (303,890)
Futures contracts.................................... (8,428) (312,318)
----------
Net unrealized depreciation of securities during the
period.......................................................... (2,426,456)
-----------
Net realized and unrealized loss on securities
during the period............................................. (2,738,774)
-----------
DECREASE IN NET ASSETS RESULTING FROM OPERATIONS................. $ (31,225)
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the Six For the Fiscal
Months Ended Year Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 2,707,549 $ 5,822,015
Net realized gain (loss) on securities....... (312,318) 561,716
Net unrealized depreciation of securities
during the period........................... (2,426,456) (3,151,203)
------------------------------
Increase (decrease) in net assets resulting
from operations............................ (31,225) 3,232,528
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (2,731,505) (5,815,587)
Net realized gain on securities.............. - -
------------------------------
Decrease in net assets resulting from
distributions to shareholders............... (2,731,505) (5,815,587)
------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............. 8,389,537 65,762,148
Proceeds from capital stock issued for
distributions reinvested.................... 2,731,505 5,815,587
------------------------------
11,121,042 71,577,735
Cost of capital stock repurchased............ (21,372,769) (53,690,018)
------------------------------
Increase (decrease) in net assets resulting
from capital stock transactions............ (10,251,727) 17,887,717
------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS...... (13,014,457) 15,304,658
NET ASSETS:
Beginning of year............................ 107,424,875 92,120,217
------------------------------
End of period (including undistributed net
investment income of $29,945 and $53,901)... $ 94,410,418 $107,424,875
------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................. 857,619 6,399,271
Shares issued for distributions reinvested... 282,016 569,433
Shares of capital stock repurchased.......... (2,187,257) (5,245,250)
------------------------------
Increase (decrease) in shares outstanding... (1,047,622) 1,723,454
Shares outstanding:
Beginning of year........................... 10,852,951 9,129,497
------------------------------
End of period............................... 9,805,329 10,852,951
------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 75
INTERNATIONAL GOVERNMENT BOND FUND
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
GOVERNMENT BONDS - 85.52%
AUSTRALIA - 0.86%
Commonwealth:
A$ 500,000 7.50% due 07/15/05........................... $ 333,542
A$ 500,000 7.50% due 09/15/09........................... 337,186
A$ 1,000,000 New South Wales Tsy,
5.50% due 10/01/02............................ 620,269
--------------
1,290,997
--------------
AUSTRIA - 4.38%
Republic of Austria:
DM 1,000,000 7.25% due 05/03/07........................... 572,962
As 145,346 7.13% due 07/12/04........................... 159,362
As 145,346 7.00% due 05/16/05........................... 159,655
As 145,346 6.50% due 11/17/05........................... 156,359
As 436,038 6.25% due 05/31/06........................... 464,244
As 218,019 5.63% due 07/15/07........................... 224,103
(Euro)1,822,285 5.50% due 01/18/04........................... 1,878,644
(Yen) 100MM 4.75% due 12/20/04........................... 1,155,705
(Yen) 50MM 4.50% due 09/28/05........................... 578,786
As 218,019 4.38% due 02/28/02........................... 219,555
(Euro)1,000,000 4.30% due 07/15/03........................... 996,866
--------------
6,566,241
--------------
BELGIUM - 3.42%
Kingdom of Belgium:
Bf 247,893 8.75% due 06/25/02........................... 275,620
Bf 247,893 8.00% due 12/24/12........................... 302,000
Bf 247,893 8.00% due 03/28/15........................... 304,173
Bf 619,733 7.75% due 10/15/04........................... 699,855
Bf 495,786 7.50% due 07/29/08........................... 569,326
Bf 371,840 7.00% due 05/15/06........................... 411,407
Bf 495,786 6.50% due 03/31/05........................... 533,553
Bf 495,787 6.25% due 03/28/07........................... 527,658
Bf 500,000 5.50% due 03/28/28........................... 465,480
Bf 495,787 5.00% due 03/28/01........................... 506,824
(Euro) 600,000 3.75% due 03/28/09........................... 530,520
--------------
5,126,416
--------------
CANADA - 3.91%
Government of Canada:
C$ 550,000 9.50% due 06/01/10........................... 467,689
C$ 500,000 9.00% due 12/01/04........................... 380,455
C$ 500,000 9.00% due 06/01/25........................... 457,220
C$ 1,000,000 8.75% due 12/01/05........................... 766,189
C$ 1,000,000 8.50% due 04/01/02........................... 714,710
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CANADA - Continued
Government of Canada:
C$ 1,000,000 8.00% due 06/01/23................................ $ 826,255
C$ 1,000,000 7.25% due 06/01/03................................ 702,813
C$ 1,000,000 7.00% due 12/01/06................................ 711,952
C$ 500,000 6.50% due 06/01/04................................ 344,282
C$ 750,000 5.50% due 06/01/09................................ 486,651
-----------
5,858,216
-----------
DENMARK - 1.92%
Kingdom of Denmark:
DK 2,500,000 8.00% due 05/15/03................................ 370,412
DK 3,000,000 8.00% due 03/15/06................................ 462,373
DK 5,500,000 7.00% due 12/15/04................................ 802,242
DK 1,250,000 7.00% due 11/10/24................................ 189,100
DK 5,000,000 6.00% due 11/15/02................................ 698,564
DK 2,500,000 6.00% due 11/15/09................................ 349,282
-----------
2,871,973
-----------
FINLAND - 2.18%
Republic of Finland:
FIM 504,562 9.50% due 03/15/04................................ 598,167
FIM 504,563 7.25% due 04/18/06................................ 566,566
Ff 5,000,000 7.00% due 06/15/04................................ 829,604
(Yen) 100MM 6.00% due 01/29/02................................ 1,100,201
(Euro)168,187 6.00% due 04/25/08................................ 176,728
-----------
3,271,266
-----------
FRANCE - 3.62%
Government of France:
Ff 533,571 8.50% due 11/25/02................................ 596,854
Ff 228,673 8.50% due 12/26/12................................ 296,468
Ff 1,067,143 6.75% due 10/25/03................................ 1,156,607
Ff 304,898 6.50% due 10/25/06................................ 335,682
Ff 1,295,816 6.00% due 10/25/25................................ 1,322,834
Ff 304,898 5.50% due 04/25/04................................ 316,755
Ff 609,796 5.50% due 04/25/07................................ 628,040
(Euro)457,347 5.50% due 04/25/29................................ 439,229
(Euro)304,898 5.25% due 04/25/08................................ 308,367
-----------
5,400,836
-----------
GERMANY - 8.97%
Federal Republic of Germany:
DM 1,022,583 7.50% due 09/09/04................................ 1,145,615
DM 1,585,004 7.13% due 12/20/02................................ 1,715,167
</TABLE>
<TABLE>
<CAPTION>
PAR MARKET
VALUE VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
GERMANY - Continued
Federal Republic of Germany:
DM 1,533,875 6.50% due 07/15/03.............................. $ 1,640,363
DM 1,533,875 6.50% due 10/14/05.............................. 1,667,568
DM 511,291 6.25% due 04/26/06.............................. 549,981
DM 1,022,583 6.25% due 01/04/24.............................. 1,078,426
DM 511,291 6.00% due 01/05/06.............................. 542,150
DM 1,533,875 6.00% due 01/04/07.............................. 1,626,296
DM 1,022,583 6.00% due 06/20/16.............................. 1,093,883
(Euro) 511,291 4.75% due 07/04/28.............................. 439,511
DM 1,917,344 4.50% due 08/19/02.............................. 1,942,153
-----------
13,441,113
-----------
IRELAND - 0.47%
Republic of Ireland:
11b 126,973 8.25% due 08/18/15.............................. 157,067
11b 126,973 8.00% due 08/18/06.............................. 146,511
11b 190,460 6.50% due 10/18/01.............................. 199,940
11b 190,460 6.25% due 10/18/04.............................. 201,341
-----------
704,859
-----------
ITALY - 8.79%
Republic of Italy:
Lit 516,456 12.00% due 06/01/01............................. 577,501
Lit 516,456 12.00% due 01/01/02............................. 597,850
Lit 258,228 10.50% due 04/01/05............................. 325,572
Lit 258,228 10.50% due 09/01/05............................. 329,398
Lit 1,755,950 10.00% due 08/01/03............................. 2,077,107
Lit 258,228 9.50% due 01/01/05.............................. 312,275
Lit 258,228 9.50% due 02/01/06.............................. 318,755
Lit 1,032,912 9.00% due 11/01/23.............................. 1,436,465
Lit 516,456 8.50% due 04/01/04.............................. 593,843
Lit 774,684 8.50% due 08/01/04.............................. 895,136
Lit 516,456 7.75% due 09/15/01.............................. 552,675
Lit 774,684 6.75% due 02/01/07.............................. 858,756
Lit 258,228 6.25% due 03/01/02.............................. 270,925
Lit 1,032,912 5.75% due 09/15/02.............................. 1,075,371
Lit 750,000 5.25% due 11/01/29.............................. 688,545
(Euro) 500,000 5.00% due 02/15/03.............................. 509,720
(Euro)1,032,912 5.00% due 05/01/08.............................. 1,023,742
(Euro) 758,228 4.50% due 05/01/09.............................. 721,696
-----------
13,165,332
-----------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
76 November 30, 1999 (Unaudited)
INTERNATIONAL GOVERNMENT BOND FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
JAPAN - 27.83%
Government of Japan:
(Yen) 250MM 6.60% due 06/20/01............................. $ 2,687,017
(Yen) 105MM 6.00% due 12/20/01............................. 1,149,549
(Yen) 365MM 5.50% due 03/20/02............................. 4,000,245
(Yen) 120MM 5.00% due 12/20/02............................. 1,335,083
(Yen) 100MM 5.00% due 09/21/09............................. 1,254,551
(Yen) 100MM 5.00% due 03/20/15............................. 1,316,853
(Yen) 200MM 4.80% due 12/20/02............................. 2,202,269
(Yen) 127MM 4.50% due 06/20/03............................. 1,412,140
(Yen) 75MM 4.50% due 12/20/04............................. 859,477
(Yen) 150MM 4.40% due 09/22/03............................. 1,672,170
(Yen) 200MM 4.20% due 09/21/15............................. 2,441,063
(Yen) 150MM 4.10% due 06/21/04............................. 1,676,634
(Yen) 100MM 3.90% due 06/21/04............................. 1,101,429
(Yen) 100MM 3.80% due 09/20/16............................. 1,171,649
(Yen) 250MM 3.50% due 03/21/16............................. 2,823,616
(Yen) 100MM 3.30% due 06/20/06............................. 1,090,427
(Yen) 200MM 3.20% due 03/20/06............................. 2,169,655
(Yen) 250MM 3.00% due 09/20/05............................. 2,676,458
(Yen) 150MM 2.90% due 12/20/05............................. 1,594,676
(Yen) 100MM 2.70% due 03/20/07............................. 1,058,195
(Yen) 150MM 2.00% due 12/20/07............................. 1,501,400
(Yen) 200MM 1.40% due 11/20/03............................. 2,004,637
(Yen) 250MM 1.10% due 10/22/01............................. 2,487,377
--------------
41,686,570
--------------
NETHERLANDS - 3.72%
Government of the Netherlands:
NG 226,890 8.25% due 02/15/07............................. 270,262
NG 680,670 7.75% due 03/01/05............................. 775,118
NG 226,890 7.50% due 04/15/10............................. 266,833
NG 340,335 7.50% due 01/15/23............................. 412,424
NG 907,560 6.50% due 04/15/03............................. 968,554
NG 680,670 6.00% due 01/15/06............................. 721,957
NG 907,560 5.75% due 01/15/04............................. 950,262
NG 226,890 5.75% due 02/15/07............................. 237,337
(Euro)500,000 3.75% due 07/15/09............................. 446,685
(Euro)517,803 3.00% due 02/15/02............................. 508,509
--------------
5,557,941
--------------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
PORTUGAL - 2.03%
Republic of Portugal:
Ff 457,347 6.63% due 05/13/08........................... $ 494,513
(Euro) 374,098 5.38% due 06/23/08........................... 376,055
(Euro) 374,098 4.81% due 04/23/03........................... 382,426
(Euro)2,000,000 3.95% due 07/15/09........................... 1,789,562
--------------
3,042,556
--------------
SPAIN - 4.29%
Government of Spain:
Pst 300,506 10.00% due 02/28/05.......................... 370,564
Ff 2,000,000 6.50% due 06/20/01........................... 317,769
Pst 1,416,705 6.00% due 01/31/08........................... 1,467,088
(Euro) 601,012 6.00% due 01/31/29........................... 602,732
Pst 405,382 5.25% due 01/31/03........................... 416,735
(Euro) 559,782 5.15% due 07/30/09........................... 556,222
(Euro) 977,606 5.00% due 01/31/01........................... 998,383
(Euro) 989,385 4.50% due 07/30/04........................... 984,190
(Euro) 750,000 3.00% due 01/31/03........................... 719,155
--------------
6,432,838
--------------
SWEDEN - 1.83%
Kingdom of Sweden:
SK 3,000,000 9.00% due 04/20/09........................... 436,601
C$ 500,000 6.75% due 12/31/01........................... 343,565
SK 5,000,000 6.75% due 05/05/14........................... 635,343
SK 2,000,000 6.50% due 10/25/06........................... 247,678
SK 3,000,000 6.00% due 02/09/05........................... 362,729
SK 6,000,000 5.50% due 04/12/02........................... 714,267
--------------
2,740,183
--------------
SWITZERLAND - 0.64%
Government of Switzerland:
Chf 500,000 4.50% due 07/08/02........................... 327,065
Chf 500,000 4.50% due 04/08/06........................... 336,971
Chf 500,000 4.00% due 04/08/28........................... 297,189
--------------
961,225
--------------
UNITED KINGDOM - 5.35%
Government of United Kingdom:
(Pounds)400,000 9.00% due 10/13/08........................... 787,438
(Pounds)250,000 9.00% due 07/12/11........................... 529,703
(Pounds)500,000 8.50% due 12/07/05........................... 896,193
(Pounds)500,000 8.00% due 12/07/15........................... 1,076,947
(Pounds)500,000 8.00% due 06/07/21........................... 1,173,024
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UNITED KINGDOM - Continued
Government of United Kingdom:
(Pounds)1,000,000 7.50% due 12/07/06......................... $ 1,749,331
(Pounds)1,084,250 5.75% due 12/07/09......................... 1,799,888
--------------
8,012,524
--------------
UNITED STATES - 1.31%
Federal National Mortgage Association:
(Pounds) 750,000 6.88% due 06/07/02......................... 1,198,260
(Pounds) 500,000 5.50% due 12/07/03......................... 761,542
--------------
1,959,802
--------------
TOTAL GOVERNMENT BONDS
(Cost $130,961,590)......................... 128,090,888
--------------
SUPRANATIONAL - 5.77%
Ff 1,600,000 Eurofima,
9.25% due 12/18/03.......................... 283,725
European Investment Bank:
Lit 1,100MM 10.50% due 02/07/02........................ 642,900
(Pounds) 250,000 9.00% due 05/14/02......................... 417,041
Ff 2,000,000 6.13% due 10/08/04......................... 321,211
(Yen) 100MM 4.63% due 02/26/03......................... 1,108,699
(Yen) 100,000,000 3.00% due 09/20/06......................... 1,079,081
International Bank for
Reconstruction & Development:
Lit 150MM 10.80% due 11/13/01........................ 87,718
Lit 200MM 9.45% due 08/11/03......................... 119,779
(Pounds) 400,000 9.25% due 07/20/07......................... 741,959
(Yen) 250MM 5.25% due 03/20/02......................... 2,733,558
(Yen) 100MM 4.50% due 03/20/03......................... 1,108,601
--------------
TOTAL SUPRANATIONAL
(Cost $8,294,725)........................... 8,644,272
--------------
CORPORATE BONDS - 6.67%
FRANCE - 3.63%
Credit Local de France:
Lit 1,000MM 9.00% due 06/14/01......................... 556,137
Ff 5,000,000 8.88% due 06/10/02......................... 844,699
Ff 8,000,000 6.25% due 09/27/05......................... 1,282,445
Ff 4,000,000 6.00% due 11/15/01......................... 631,974
Ff 10,000,000 Elf Aquitaine SA,
7.13% due 08/11/03.......................... 1,641,925
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) 77
INTERNATIONAL GOVERNMENT BOND FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FRANCE - Continued
Ff 3,000,000 Toyota Motor Credit,
6.25% due 04/11/02........................... $ 476,446
------------
5,433,626
------------
GERMANY - 0.63%
(Euro) 1,000,000 Kreditanst Fur Wie,
3.50% due 07/15/04........................... 950,056
------------
UNITED KINGDOM - 1.03%
(Pounds) 1,000,000 European Investment Bank,
6.00% due 11/26/04........................... 1,545,056
------------
UNITED STATES - 1.38%
DM 4,000,000 General Electric Capital Corp.,
4.50% due 12/28/01.......................... 2,064,541
------------
TOTAL CORPORATE BONDS
(Cost $11,454,773)........................... 9,993,279
------------
TOTAL INVESTMENTS
(Cost $150,711,088) - 97.96%................. $146,728,439
------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
- -----------------------------------------------------------------------------
<S> <C> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $150,711,088)..................... $146,728,439
Receivable for dividends and interest.......................... 3,454,710
Other assets................................................... 299,900
------------
TOTAL ASSETS................................................... 150,483,049
------------
LIABILITIES:
Payable to affiliates-advisory fees............................ 62,450
Accrued expenses and other liabilities......................... 629,370
------------
TOTAL LIABILITIES.............................................. 691,820
------------
NET ASSETS..................................................... $149,791,229
------------
- -----------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share, 1,000,000,000 shares
authorized,
12,974,068 shares outstanding.................................. $ 129,741
Additional paid in capital..................................... 153,409,370
Accumulated net realized loss on securities.................... (1,496,565)
Undistributed net investment income............................ 1,851,951
Unrealized depreciation of:
Investments..................................... $ (3,982,649)
Foreign currency translation.................... (120,619) (4,103,268)
------------- ------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING.......................................... $149,791,229
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
78 INTERNATIONAL GOVERNMENT BOND FUND (Unaudited) - CONTINUED
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Interest (net of foreign withholding taxes of $71,327)......... $3,480,355
----------
EXPENSES:
Advisory fees.................................................. 386,352
Custodian fees................................................. 4,040
Audit fees and tax services.................................... 1,744
Accounting services............................................ 23,245
Directors' fees and expenses................................... 1,422
Report to shareholders......................................... 18,359
Miscellaneous.................................................. 11,088
----------
Total expenses................................................ 446,250
----------
NET INVESTMENT INCOME.......................................... 3,034,105
----------
REALIZED AND UNREALIZED GAIN (LOSS) ON SECURITIES
AND FOREIGN CURRENCIES:
Net realized gain (loss) on securities:
Investments....................................... $(1,725,454)
Foreign currency transaction...................... 15,562
Futures........................................... 27,411 (1,682,481)
-----------
Net unrealized appreciation (depreciation) of
securities during the period:
Investments....................................... 182,567
Foreign currency translation...................... (162,424) 20,143
----------- ----------
Net realized and unrealized loss on securities
and foreign currencies during the period.................... (1,662,338)
----------
INCREASE IN NET ASSETS RESULTING FROM OPERATIONS............... $1,371,767
----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the
For the Six Fiscal Year
Months Ended Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income......................... $ 3,034,105 $ 6,875,709
Net realized gain (loss) on securities and
foreign currency transactions................ (1,682,481) 399,978
Net unrealized appreciation of securities and
translation of foreign currencies during the
period....................................... 20,143 2,241,457
------------------------------
Increase in net assets resulting from
operations.................................. 1,371,767 9,517,144
------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income......................... (2,099,997) (6,419,995)
Net realized gain on securities............... - (872,765)
------------------------------
Decrease in net assets resulting from
distributions to shareholders............... (2,099,997) (7,292,760)
------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold.............. 55,257,156 85,397,013
Proceeds from capital stock issued for
distributions reinvested..................... 2,099,997 7,292,760
------------------------------
57,357,153 92,689,773
Cost of capital stock repurchased............. (65,346,956) (92,187,778)
------------------------------
Increase (decrease) in net assets resulting
from capital stock transactions............. (7,989,803) 501,995
------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS....... (8,718,033) 2,726,379
NET ASSETS:
Beginning of year............................. 158,509,262 155,782,883
------------------------------
End of period (including undistributed net
investment income of $1,851,951 and
$917,843).................................... $149,791,229 $158,509,262
------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold.................. 4,802,000 6,993,303
Shares issued for distributions reinvested.... 181,847 596,194
Shares of capital stock repurchased........... (5,656,396) (7,588,479)
------------------------------
Increase (decrease) in shares outstanding.... (672,549) 1,018
Shares outstanding:
Beginning of year............................ 13,646,617 13,645,599
------------------------------
End of period................................ 12,974,068 13,646,617
------------------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
November 30, 1999 (Unaudited) MONEY MARKET FUND 79
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
SCHEDULE OF INVESTMENTS
CORPORATE SHORT TERM COMMERCIAL PAPER - 100.66%
AUTO - CARS - 2.15%
$10,000,000 Hertz Corp.,
5.68% due 01/12/00................................ $ 9,933,575
--------------
BANKS - OTHER - 3.63%
17,000,000 Bank of America Corp.,
5.00% due 01/24/00................................ 16,767,653
--------------
BANKS - REGIONAL - 3.20%
Bank One:
5,000,000 6.50% due 01/14/00................................ 5,007,987
8,000,000 5.84% due 05/22/00................................ 7,775,074
2,000,000 NationsBank Corp.,
5.38% due 04/15/00................................ 2,000,909
--------------
14,783,970
--------------
BEVERAGE - SOFT DRINKS - 1.08%
5,000,000 Coca Cola Co.,
5.25% due 12/03/99................................ 4,998,534
--------------
CHEMICAL - MAJOR - 2.83%
10,704,000 E.I. du Pont de Nemours and Co.,
5.65% due 02/25/00................................ 10,537,556
2,535,000 PPG Industries, Inc.,
5.87% due 01/28/00................................ 2,511,022
--------------
13,048,578
--------------
CHEMICAL - MISCELLANEOUS - 0.43%
2,000,000 Dow Chemical Co.,
5.41% due 03/15/00................................ 1,999,787
--------------
CONGLOMERATES - 1.33%
6,200,000 Fortune Brands, Inc.,
5.90% due 02/18/00................................ 6,136,766
--------------
CONSUMER FINANCE - 9.20%
Associates Corp. of North America:
3,344,000 5.68% due 01/10/00................................ 3,322,581
14,500,000 5.62% due 01/10/00................................ 14,361,692
2,000,000 Commercial Credit Co.,
6.00% due 04/15/00................................ 2,005,550
5,000,000 Countrywide Home Loans, Inc.,
6.22% due 02/25/00................................ 4,999,096
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
CONSUMER FINANCE - Continued
$17,849,000 Sears Roebuck Acceptance Corp.,
5.14% due 12/06/99................................ $ 17,751,549
--------------
42,440,468
--------------
DRUGS - 2.99%
3,900,000 CVS Corp.,
5.95% due 02/17/00................................ 3,849,015
5,167,000 Schering Corp.,
5.92% due 01/18/00................................ 5,125,932
4,842,000 Schering-Plough Corp.,
5.45% due 12/08/99................................ 4,836,859
--------------
13,811,806
--------------
ENTERTAINMENT - 1.66%
4,290,000 Mattel, Inc.,
5.33% due 12/01/99................................ 4,290,000
3,400,000 Walt Disney Co.,
5.66% due 01/19/00................................ 3,373,511
--------------
7,663,511
--------------
FEDERAL AGENCIES - 1.52%
Federal Home Loan Bank:
2,000,000 5.09% due 03/03/00................................ 2,000,000
3,000,000 4.93% due 01/19/00................................ 2,999,899
2,000,000 4.90% due 02/11/00................................ 1,999,688
--------------
6,999,587
--------------
FINANCE COMPANIES - 19.60%
Caterpilar Financial Services Corp.:
3,000,000 6.23% due 01/20/00, Series F...................... 3,000,184
9,700,000 5.92% due 02/04/00................................ 9,641,381
3,000,000 5.90% due 12/15/99, Series F...................... 3,000,579
15,422,000 Ciesco, LP,
5.65% due 01/31/00................................ 15,283,248
8,500,000 CIT Group Holdings, Inc.,
5.12% due 12/20/99................................ 8,436,972
Ford Motor Credit Co.:
2,000,000 8.38% due 01/15/00................................ 2,007,204
4,952,000 5.16% due 12/02/99................................ 4,936,290
11,982,000 General Electric Capital Corp.,
5.20% due 12/13/99................................ 11,878,897
6,200,000 General Electric Capital Services, Inc.,
5.32% due 03/01/00................................ 6,125,430
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
FINANCE COMPANIES - Continued
General Motors Acceptance Corp.:
$ 2,000,000 9.63% due 05/15/00................................ $ 2,038,882
2,000,000 6.38% due 06/06/00................................ 2,009,385
6,000,000 5.16% due 12/07/99................................ 5,924,765
2,000,000 IBM Credit Corp.,
5.27% due 04/07/00................................ 1,999,605
International Lease Finance Corp.:
1,000,000 6.64% due 02/01/00................................ 1,002,470
13,317,000 5.85% due 02/10/00................................ 13,164,513
--------------
90,449,805
--------------
FINANCIAL SERVICES - 4.20%
19,633,000 Household Finance Corp.,
5.26% due 12/17/99................................ 19,378,573
--------------
FOODS - 5.51%
5,000,000 Albertson's, Inc.,
5.42% due 07/14/00................................ 4,995,561
12,741,000 Archer-Daniels-Midland Co.,
5.72% due 01/28/00................................ 12,577,725
8,000,000 Kellogg Co.,
5.72% due 03/28/00................................ 7,849,985
--------------
25,423,271
--------------
GOVERNMENT SPONSORED - 2.73%
12,670,000 Province of British Columbia,
5.15% due 12/16/99................................ 12,617,433
--------------
HEALTHCARE - 2.00%
9,320,000 Baxter International, Inc.,
5.58% due 01/18/00................................ 9,248,880
--------------
HOSPITAL SUPPLIES - 1.17%
5,410,000 Abbott Laboratories,
5.44% due 12/22/99................................ 5,392,809
--------------
INFORMATION PROCESSING -
DATA SERVICES - 0.64%
3,000,000 IBM Corp.,
5.63% due 02/07/00................................ 2,967,515
--------------
INSURANCE - LIFE - 3.67%
17,149,000 Jefferson-Pilot Corp.,
5.70% due 02/02/00................................ 16,942,644
--------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
80 November 30, 1999 (Unaudited)
MONEY MARKET FUND - CONTINUED
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
INSURANCE - MULTILINE - 3.90%
$18,107,000 Aon Corp.,
5.82% due 01/25/00................................ $ 17,990,377
--------------
MACHINERY -
INDUSTRIAL/SPECIALTY - 4.10%
13,944,000 Cooper Industries, Inc.,
5.74% due 12/01/99................................ 13,944,000
5,000,000 Dover Corp.,
5.97% due 01/28/00................................ 4,951,563
--------------
18,895,563
--------------
MERCHANDISING - MASS - 3.44%
15,920,000 Wal-Mart Stores, Inc.,
5.30% due 12/07/99................................ 15,888,287
--------------
PHOTOGRAPHY - 2.23%
10,400,000 Eastman Kodak Co.,
5.65% due 02/03/00................................ 10,309,293
--------------
PUBLISHING/PRINTING - 1.31%
6,099,000 R. R. Donnelley and Sons Co.,
5.83% due 01/24/00................................ 6,045,595
--------------
SECURITIES RELATED - 9.00%
Bear Stearns Co., Inc.:
5,000,000 6.14% due 04/13/00................................ 5,000,000
5,000,000 6.13% due 05/03/00................................ 5,000,000
3,000,000 5.40% due 06/12/00................................ 3,000,000
Merrill Lynch & Co.:
7,100,000 5.00% due 02/02/00................................ 7,020,923
3,100,000 4.93% due 02/01/00................................ 3,071,487
Morgan Stanley Dean Witter & Co.:
4,500,000 6.11% due 01/14/00................................ 4,500,000
7,000,000 5.75% due 01/27/00................................ 6,935,613
7,000,000 5.61% due 12/09/99................................ 7,000,122
--------------
41,528,145
--------------
UTILITIES - COMMUNICATION - 4.97%
16,117,000 Bellsouth Telecommunications, Inc.,
5.85% due 01/27/00................................ 16,017,167
7,000,000 GTE Corp.,
5.82% due 02/08/00................................ 6,921,176
--------------
22,938,343
--------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
<TABLE>
<CAPTION>
PAR
VALUE MARKET VALUE
<C> <S> <C>
- --------------------------------------------------------------------------------
UTILITIES - ELECTRIC - 2.13%
$ 4,500,000 Conectiv, Inc.,
6.30% due 01/28/00................................ $ 4,453,758
5,429,000 Southern California Edison Co.,
5.70% due 01/25/00................................ 5,378,130
--------------
9,831,888
--------------
TOTAL CORPORATE SHORT TERM COMMERCIAL PAPER
(Cost $464,432,656)............................... 464,432,656
--------------
TOTAL INVESTMENTS
(Cost $464,432,656) - 100.66%..................... $ 464,432,656
--------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------
<S> <C>
STATEMENT OF ASSETS AND LIABILITIES
ASSETS:
Investments, at market (Cost $464,432,656)........................ $464,432,656
Receivables for:
Fund shares sold................................................. 626,804
Dividends and interest........................................... 721,569
Other assets...................................................... 4,682
------------
TOTAL ASSETS...................................................... 465,785,711
------------
LIABILITIES:
Payable for capital stock reacquired.............................. 4,135,425
Payable to affiliates:
Advisory fees.................................................... 186,758
Accounting services.............................................. 12,173
Accrued expenses and other liabilities............................ 62,657
------------
TOTAL LIABILITIES................................................. 4,397,013
------------
NET ASSETS........................................................ $461,388,698
------------
- -------------------------------------------------------------------------------
NET ASSETS REPRESENTED BY:
Capital stock, $.01 par value per share,
1,000,000,000 shares authorized,
461,388,698 shares outstanding.................................... $ 4,613,888
Additional paid in capital........................................ 456,774,810
------------
NET ASSETS APPLICABLE
TO SHARES OUTSTANDING............................................. $461,388,698
------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
MONEY MARKET FUND (Unaudited) - CONTINUED 81
STATEMENT OF OPERATIONS
For the Six Months Ended November 30, 1999
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Interest........................................................... $11,022,668
-----------
EXPENSES:
Advisory fees...................................................... 1,029,510
Custodian fees..................................................... 6,162
Registration and filing fees....................................... 88
Audit fees and tax services........................................ 3,153
Accounting services................................................ 76,748
Directors' fees and expenses....................................... 3,030
Directors' retirement plan expenses................................ 30,942
Report to shareholders............................................. 31,831
Miscellaneous...................................................... 3,541
-----------
Total expenses.................................................... 1,185,005
-----------
NET INVESTMENT INCOME.............................................. 9,837,663
-----------
INCREASE IN ASSETS RESULTING FROM OPERATIONS....................... $ 9,837,663
-----------
</TABLE>
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
For the
For the Six Fiscal Year
Months Ended Ended
November 30, 1999 May 31, 1999
<S> <C> <C>
-------------------------------
<CAPTION>
(audited)
<S> <C> <C>
OPERATIONS:
Net investment income........................ $ 9,837,663 $ 12,156,853
-------------------------------
Increase in net assets resulting from
operations.................................. 9,837,663 12,156,853
-------------------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income........................ (9,837,663) (12,156,853)
-------------------------------
CAPITAL STOCK TRANSACTIONS:
Proceeds from capital stock sold............. 315,474,611 456,114,092
Proceeds from capital stock issued for
distributions reinvested..................... 9,837,663 12,202,772
-------------------------------
325,312,274 468,316,864
Cost of capital stock repurchased............ (211,317,457) (311,898,433)
-------------------------------
Increase in net assets resulting from
capital stock transactions.................. 113,994,817 156,418,431
-------------------------------
TOTAL INCREASE IN NET ASSETS................. 113,994,817 156,418,431
NET ASSETS:
Beginning of year............................ 347,393,881 190,975,450
-------------------------------
End of period................................ $ 461,388,698 $ 347,393,881
-------------------------------
CHANGE IN SHARES OUTSTANDING:
Shares of capital stock sold................. 315,474,611 456,114,092
Shares issued for distributions reinvested... 9,837,663 12,202,773
Shares of capital stock repurchased.......... (211,317,457) (311,898,434)
-------------------------------
Increase in shares outstanding.............. 113,994,817 156,418,431
Shares outstanding:
Beginning of year........................... 347,393,881 190,975,450
-------------------------------
End of period............................... 461,388,698 347,393,881
-------------------------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- --------------------------------------------------------------------------------
<PAGE>
82
NOTES TO FINANCIAL STATEMENTS (Unaudited)
Note 1 -- Organization
American General Series Portfolio Company (the "Series" or "AGSPC") was
incorporated under the laws of Maryland on December 7, 1984, by The Variable
Annuity Life Insurance Company, hereafter referred to as ("VALIC" or the
"Adviser"), and is registered under the Investment Company Act of 1940, as
amended, (the "1940 Act") as an open-end, management investment company. The
Series consists of the following 13 separate mutual funds issuing its own
separate class of shares of common stock:
Stock Index Fund Social Awareness Fund
MidCap Index Fund Asset Allocation Fund
Small Cap Index Fund Capital Conservation Fund
International Equities Fund Government Securities Fund
Growth Fund International Government Bond Fund
Growth & Income Fund Money Market Fund
Science & Technology Fund
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, Futures, and Forward Currency Contracts
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 bank, 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.
Forward Currency Contracts. Certain Funds may engage in forward currency
contracts, which are agreements between two parties to buy and sell currencies
at a set price on a future date. The U.S. dollar value of forward currency
contracts is determined using current forward currency exchange rates supplied
by a quotation service. The market value of the contract will fluctuate with
changes in currency exchange rates. During the period the forward currency
contract is open, the contract is "marked to market" daily and the change in
market value is recorded as an unrealized gain or loss. When the contract is
closed, the fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at
the time it was closed. The fund could be exposed to risk if the value of the
currency changes unfavorably, if the counterparties to the contracts are unable
to meet the terms of their contracts, or if the fund is unable to enter into a
closing position.
C. Repurchase Agreements
A Fund may acquire securities subject to repurchase agreements. Under a
typical repurchase agreement, a fund would acquire a debt security for a
relatively short period (usually for one day and not more than one week)
subject to an obligation of the seller to repurchase and of the fund to resell
the debt security at an agreed-upon higher price, thereby establishing a fixed
investment return during the fund's holding period. Under each repurchase
agreement, the fund receives, as collateral, securities whose market value is
at least equal to the repurchase price.
D. Foreign Currency Translation
The accounting records of each Fund are maintained in U.S. dollars. Investment
securities and other assets and liabilities denominated in foreign currencies
("local currencies") are translated into U.S. dollars at prevailing exchange
rates at period end. Purchases and sales of securities, income receipts and
expense payments are translated into U.S. dollars at prevailing exchange rate
on the respective dates of the transactions.
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>
83
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
F. Investment Transactions and Related Investment Income
Investment transactions are accounted for on the trade date. Realized gains
and losses on securities sold are determined on the basis of identified cost.
Dividend income and capital gain distributions received are recorded on the ex-
dividend date. Dividend income on certain foreign securities 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 serves as investment adviser to the Series and is an indirect wholly-
owned subsidiary of American General Corporation, Houston, Texas. VALIC has
entered into sub-advisory agreements with the following:
Bankers Trust Company -- prior to October 1, 1999, was sub-adviser for the
Stock Index Fund, the MidCap Index Fund, and the Small Cap Index Fund.
Effective October 1, 1999, the Adviser assumed management for each Fund
previously managed by Bankers Trust Company, who served as investment sub-
adviser from May 1, 1992, to September 30, 1999. T. Rowe Price Associates,
Inc. -- On February 24, 1994, as amended February 2, 1998, the Adviser
entered into a sub-advisory agreement with T. Rowe Price Associates, Inc. to
serve as investment sub-adviser to the Growth Fund and the Science &
Technology Fund. Effective September 1, 1999, the agreement was terminated
with respect to the Growth Fund. Wellington Management Company, LLP -- The
Adviser entered into a sub-advisory agreement with Wellington Management
Company, LLP, effective September 1, 1999, to serve as investment sub-
adviser to the Growth Fund.
Sub-advisers are compensated for their 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:
<TABLE>
<S> <C>
Stock Index Fund, 0.35% on the first $500 million
MidCap Index Fund, 0.25% on assets more than $500 million
Small Cap Index Fund and,
International
Equities Fund
------------------------------------------------------------------------------
Growth Fund 0.80%
------------------------------------------------------------------------------
Growth & Income
Fund 0.75%
------------------------------------------------------------------------------
Science &
Technology Fund 0.90%
------------------------------------------------------------------------------
Social Awareness Fund, 0.50%
Asset Allocation Fund,
Capital Conservation Fund,
Government Securities Fund,
International Government Bond Fund
and, Money Market Fund
</TABLE>
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 certain accounting and administrative services to
the Series. VALIC receives from each Fund an annual fee of 0.03% based on
average daily net asset value of the Fund. At November 30, 1999, the Series
owed to the Adviser $5,349,715 representing fees payable from Advisory and
Accounting Services.
Effective May 1, 1999, American General Distributors, Inc. ("AGD"), replaced
The Variable Annuity Marketing Company ("VAMCO"), as the Distributor for the
Series. AGD and VAMCO are indirect wholly-owned subsidiaries of American
General Corporation. AGD currently receives no compensation for distribution
services performed on behalf of the Series.
During the six months ended November 30, 1999, 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 $63,615,301 $31,703,060
MidCap Index Fund Asset Allocation Fund 736,218 320,416
Stock Index Fund MidCap Index Fund 436,976 198,311
</TABLE>
At November 30, 1999, VALIC Separate Account A (a registered separate account
of VALIC) owned over five percent of the outstanding shares of the Series.
Certain officers and directors of the Series are officers and directors of
VALIC or American General Corporation.
The Series provides a retirement plan for its independent directors who are
not an officer, director or employee of VALIC, or any affiliate. The Series is
responsible for the payment of the retirement benefits, as well as all expenses
of administration of the plan. Benefits under the plan are payable for a ten-
year period upon retirement and are based upon each director's years of
service, as defined, to the Series. At November 30, 1999, the Series had a
retirement plan liability to its independent directors totaling $944,738.
Note 4 -- Investment Activity
The information in the following table is presented on the basis of cost for
Federal income tax purposes at November 30, 1999.
<TABLE>
<CAPTION>
Identified
Cost of Gross Gross Net Unrealized
Investments Unrealized Unrealized Appreciation
Owned Appreciation Depreciation (Depreciation)
-------------- -------------- ------------ --------------
<S> <C> <C> <C> <C>
Stock Index Fund........ $2,444,745,318 $2,816,476,194 $103,123,424 $2,713,352,770
MidCap Index Fund....... 725,933,747 204,909,710 101,264,699 103,645,011
Small Cap Index Fund.... 210,419,037 48,328,831 42,319,444 6,009,387
International Equities
Fund.................... 107,275,147 69,454,754 14,563,751 54,891,003
Growth Fund............. 1,070,511,160 143,720,098 50,372,831 93,347,267
Growth & Income Fund.... 274,861,965 52,263,659 9,290,872 42,972,787
Science & Technology
Fund.................... 2,038,160,938 800,770,219 25,633,117 775,137,102
Social Awareness Fund... 464,831,949 167,808,742 38,993,104 128,815,638
Asset Allocation Fund... 199,414,934 61,799,158 6,484,819 55,314,339
Capital Conservation
Fund.................... 59,185,034 107,828 2,708,671 (2,600,843)
Government Securities
Fund.................... 95,333,869 970,484 3,532,254 (2,561,770)
International Government
Bond Fund............... 150,711,088 8,254,727 12,237,376 (3,982,649)
Money Market Fund....... 464,432,656 - - -
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
84 NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
The following net realized capital loss carryforwards at November 30, 1999,
may be utilized to offset future capital gains.
<TABLE>
<CAPTION>
Capital Loss Carryforward Expiration through
------------------------- ------------------
<S> <C> <C>
Capital Conservation Fund.......... $ 231,795 May 31, 2003
Government Securities Fund......... 1,178,565 May 31, 2003
Money Market Fund.................. 1,907 May 31, 2004
</TABLE>
During the period, the cost of purchases and proceeds from sales of
securities, excluding short term securities were:
<TABLE>
<CAPTION>
Proceeds from
Cost of Securities
Securities Sold or
Purchased Matured
-------------- --------------
<S> <C> <C>
Stock Index Fund................................. $ 303,479,794 $ 102,302,298
MidCap Index Fund................................ 164,976,933 212,274,457
Small Cap Index Fund............................. 73,797,774 88,234,065
International Equities Fund...................... 11,438,261 14,123,592
Growth Fund...................................... 1,209,433,351 1,233,842,035
Growth & Income Fund............................. 225,784,289 226,333,063
Science & Technology Fund........................ 921,254,129 1,250,930,959
Social Awareness Fund............................ 33,442,047 9,108,593
Asset Allocation Fund............................ 129,003,555 172,778,138
Capital Conservation Fund........................ 4,896,469 7,933,194
Government Securities Fund....................... 3,496,720 12,378,480
International Government Bond Fund............... 9,982,181 16,426,613
</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 November 30, 1999 are summarized as follows:
<TABLE>
<CAPTION>
Market Value Collateral Value
------------ ----------------
<S> <C> <C>
Stock Index Fund.................................. $ 21,102,900 $ 21,725,200
MidCap Index Fund................................. 4,657,042 4,821,912
Small Cap Index Fund.............................. 9,355,923 9,899,069
International Equities Fund....................... 7,900,624 8,170,241
Growth Fund....................................... 13,517,528 13,849,020
Growth & Income Fund.............................. 3,940,844 4,061,500
Science & Technology Fund......................... 105,557,019 108,862,667
Social Awareness Fund............................. 3,622,155 3,735,194
Asset Allocation Fund............................. 565,405 581,840
------------------------------
Total........................................... $170,219,440 $175,706,643
------------------------------
</TABLE>
Note 6 - Investment Concentration
A significant portion of Government Securities Fund's investments may be in
U.S. Government sponsored securities. No assurance can be given that the U.S.
Government will provide support to such U.S. Government sponsored agencies or
instrumentalities in the future since it is not required to do so by law. As a
result of the Fund's concentration in such investments, it may be subject to
risks associated with U.S. Government sponsored securities. At November 30,
1999, Government Securities Fund had 46.12% of its net assets invested in such
securities.
At November 30, 1999, International Government Bond Fund had 28% of its net
assets invested in securities issued by the Government of Japan and an
additional 6% in issues of companies located in Japan and/or denominated in
Japanese Yen. Future economic and political developments in a foreign country
could adversely affect the liquidity and value of foreign securities or the
currency exchange rates from which foreign currencies are translated.
Note 7 - Investment Holdings by Country
The following represent investment holdings by country held by the
International Equities Fund as of November 30, 1999:
<TABLE>
<CAPTION>
Percent of Market
Country Net Assets Value
------------------------
<S> <C> <C>
Australia.............................................. 2.49% $ 4,035,992
Austria................................................ 0.29 466,568
Belgium................................................ 1.05 1,704,725
China.................................................. 1.11 1,799,004
Denmark................................................ 0.71 1,155,159
Finland................................................ 3.82 6,196,234
France................................................. 10.01 16,257,228
Germany................................................ 8.93 14,493,379
Hong Kong.............................................. 1.16 1,883,917
Ireland................................................ 0.56 910,253
Italy.................................................. 3.68 5,971,325
Japan.................................................. 27.15 44,081,802
Malaysia............................................... 0.77 1,243,902
Netherlands............................................ 4.62 7,496,861
New Zealand............................................ 0.17 274,672
Norway................................................. 0.25 404,437
Portugal............................................... 0.60 971,926
Singapore.............................................. 1.20 1,948,884
Spain.................................................. 3.32 5,395,742
Sweden................................................. 2.35 3,822,251
Switzerland............................................ 5.27 8,558,262
United Kingdom......................................... 20.38 33,093,627
-----------------------
Total value of investments............................. 99.89 162,166,150
Other assets and liabilities........................... 0.11 180,013
-----------------------
Net assets............................................. 100.00% $162,346,163
-----------------------
</TABLE>
- --------------------------------------------------------------------------------
<PAGE>
85
NOTES TO FINANCIAL STATEMENTS (Unaudited) - CONTINUED
Note 8 - Subsequent Events
On December 21, 1999, annual distributions from undistributed net realized
gains on investments were declared payable on December 22, 1999, to
shareholders of record December 20, 1999, as follows:
<TABLE>
<CAPTION>
Rate
Per Share
---------
<S> <C>
Stock Index Fund...................................................... $0.3574
MidCap Index Fund..................................................... 6.3990
Small Cap Index Fund.................................................. 1.6075
International Equities Fund........................................... 0.6756
Growth Fund........................................................... 1.0064
Growth & Income Fund.................................................. 2.4614
Science & Technology Fund............................................. 5.0693
Social Awareness Fund................................................. 0.9663
Asset Allocation Fund................................................. 0.2594
International Government Bond Fund.................................... 0.0079
</TABLE>
FINANCIAL HIGHLIGHTS (Unaudited)
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
STOCK INDEX FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, ----------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $39.73 $33.38 $26.09 $20.69 $16.81 $14.39
------------------------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.21 0.40 0.40 0.39 0.39 0.37
Net realized and
unrealized gain on
securities............. 2.63 6.51 7.44 5.57 4.26 2.45
------------------------------------------------------------------------------
Total income from
investment operations.. 2.84 6.91 7.84 5.96 4.65 2.82
------------------------------------------------------------------------------
Distributions from:
Net investment income.. (0.20) (0.41) (0.40) (0.39) (0.38) (0.37)
Net realized gain
on securities.......... - (0.15) (0.15) (0.17) (0.39) (0.03)
------------------------------------------------------------------------------
Total distributions.... (0.20) (0.56) (0.55) (0.56) (0.77) (0.40)
------------------------------------------------------------------------------
Net asset value at end
of period............... $42.37 $39.73 $33.38 $26.09 $20.69 $16.81
------------------------------------------------------------------------------
TOTAL RETURN............ 7.17% 20.85% 30.30% 29.24% 28.17% 19.98%
------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.15% 0.32% 0.31% 0.34% 0.35% 0.38%
Ratio of net investment
income to average net
assets.................. 0.52% 1.13% 1.33% 1.76% 2.05% 2.44%
Portfolio turnover
rate.................... 2% 2% 3% 3% 3% 14%
Number of shares
outstanding
at end of period
(000's)................. 121,675 116,731 104,334 93,687 85,117 75,451
Net assets at end of
period (000's).......... $5,155,415 $4,637,628 $3,482,655 $2,444,200 $1,760,786 $1,267,992
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
86 FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
MIDCAP INDEX FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, -----------------------------------------------------------
1999 1999 1998 1997 1996 1995
---------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $25.64 $25.27 $20.83 $19.09 $15.68 $14.54
--------------------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.11 0.23 0.23 0.24 0.24 0.26
Net realized and
unrealized gain on
securities............. 1.65 2.54 5.80 2.95 4.06 1.59
--------------------------------------------------------------------------
Total income from
investment operations.. 1.76 2.77 6.03 3.19 4.30 1.85
--------------------------------------------------------------------------
Distributions from:
Net investment income.. (0.11) (0.23) (0.23) (0.24) (0.24) (0.26)
Net realized gain
on securities.......... - (2.17) (1.36) (1.21) (0.65) (0.45)
--------------------------------------------------------------------------
Total distributions.... (0.11) (2.40) (1.59) (1.45) (0.89) (0.71)
--------------------------------------------------------------------------
Net asset value at end
of period............... $27.29 $25.64 $25.27 $20.83 $19.09 $15.68
--------------------------------------------------------------------------
TOTAL RETURN............ 6.89% 11.91% 29.62% 17.48% 28.10% 13.26%
--------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.19% 0.38% 0.36% 0.40% 0.41% 0.44%
Ratio of net investment
income to
average net assets...... 0.44% 0.92% 0.95% 1.24% 1.36% 1.73%
Portfolio turnover
rate.................... 21% 41% 26% 19% 21% 23%
Number of shares
outstanding
at end of period
(000's)................. 30,773 31,886 31,830 29,137 28,322 25,988
Net assets at end of
period (000's).......... $839,865 $817,573 $804,318 $607,061 $540,688 $407,557
</TABLE>
SMALL CAP INDEX FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, ------------------------------------------------------------
1999 1999 1998 1997 1996 1995
--------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $15.84 $17.94 $16.18 $16.25 $12.49 $11.52
--------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income.. 0.09 0.19 0.19 0.19 0.20 0.17
Net realized and
unrealized gain (loss)
on securities.......... 0.60 (0.74) 3.17 0.93 4.04 0.97
--------------------------------------------------------------------------
Total income (loss)
from investment
operations............. 0.69 (0.55) 3.36 1.12 4.24 1.14
--------------------------------------------------------------------------
Distributions from:
Net investment income.. (0.09) (0.19) (0.19) (0.19) (0.20) (0.17)
Net realized gain
on securities.......... - (1.36) (1.41) (1.00) (0.28) -
--------------------------------------------------------------------------
Total distributions.... (0.09) (1.55) (1.60) (1.19) (0.48) (0.17)
---------------------------------------------------------------------------
Net asset value at end
of period............... $16.44 $15.84 $17.94 $16.18 $16.25 $12.49
---------------------------------------------------------------------------
TOTAL RETURN............ 4.38% (2.45)% 21.34% 7.51% 34.50% 9.98%
---------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.21% 0.41% 0.39% 0.41% 0.41% 0.44%
Ratio of net investment
income to average net
assets.................. 0.58% 1.20% 1.05% 1.34% 1.36% 1.44%
Portfolio turnover
rate.................... 35% 36% 36% 42% 31% 34%
Number of shares
outstanding
at end of period
(000's)................. 13,344 13,890 13,777 11,893 11,129 10,136
Net assets at end of
period (000's).......... $219,351 $220,002 $247,183 $192,459 $180,785 $126,567
- ---------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED 87
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.
INTERNATIONAL EQUITIES FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, -----------------------------------------------------------
1999 1999 1998 1997 1996 1995
--------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $11.32 $11.95 $11.44 $11.15 $10.42 $10.14
--------------------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.06 0.22 0.23 0.20 0.17 0.15
Net realized and
unrealized gain
on securities.......... 1.95 0.30 0.85 0.63 0.97 0.34
--------------------------------------------------------------------------
Total income from
investment operations.. 2.01 0.52 1.08 0.83 1.14 0.49
--------------------------------------------------------------------------
Distributions from:
Net investment income.. (0.06) (0.25) (0.24) (0.19) (0.17) (0.15)
Net realized gain
on securities.......... - (0.90) (0.33) (0.35) (0.24) (0.06)
--------------------------------------------------------------------------
Total distributions.... (0.06) (1.15) (0.57) (0.54) (0.41) (0.21)
--------------------------------------------------------------------------
Net asset value at end
of period............... $13.27 $11.32 $11.95 $11.44 $11.15 $10.42
--------------------------------------------------------------------------
TOTAL RETURN............ 17.96% 4.43% 9.92% 7.74% 11.14% 4.92%
--------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.21% 0.43% 0.40% 0.42% 0.42% 0.45%
Ratio of net investment
income to average
net assets............. 0.48% 1.89% 1.92% 1.75% 1.65% 1.47%
Portfolio turnover
rate.................... 8% 8% 9% 12% 20% 14%
Number of shares
outstanding at end of period
(000's)................. 12,234 12,559 13,009 15,857 18,497 20,074
Net assets at end of
period (000's).......... $162,346 $142,108 $155,469 $181,437 $206,259 $209,091
</TABLE>
GROWTH FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, -------------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period........... $24.12 $22.08 $17.62 $16.49 $11.43 $9.87
------------------------------------------------------------------------------
Income (loss) from investment
operations:
Net investment income
(loss)....................... (0.01) (0.08) (0.02) 0.02 0.11 0.04
Net realized and unrealized
gain (loss) on securities.... (1.42) 3.13 4.82 1.45 5.27 1.56
------------------------------------------------------------------------------
Total income (loss) from
investment operations........ (1.43) 3.05 4.80 1.47 5.38 1.60
------------------------------------------------------------------------------
Distributions from:
Net investment income........ - - (0.01) (0.01) (0.09) (0.04)
Net realized gain
on securities................ - (1.01) (0.33) (0.33) (0.23) -
------------------------------------------------------------------------------
Total distributions.......... - (1.01) (0.34) (0.34) (0.32) (0.04)
------------------------------------------------------------------------------
Net asset value at end of
period........................ $22.69 $24.12 $22.08 $17.62 $16.49 $11.43
------------------------------------------------------------------------------
TOTAL RETURN.................. (5.97)% 14.20% 27.41% 9.00% 47.46% 16.25%
------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets............ 0.43% 0.86% 0.84% 0.86% 0.83% 0.91%
Ratio of net investment income
(loss) to average net assets.. (0.02)% (0.36)% (0.11)% 0.09% 0.89% 0.41%
Portfolio turnover rate....... 103% 42% 43% 40% 36% 61%
Number of shares outstanding
at end of period (000's)...... 51,559 52,690 49,832 42,422 25,836 8,800
Net assets at end of period
(000's)....................... $1,169,617 $1,271,034 $1,100,137 $747,654 $425,787 $100,614
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
88 FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are
not annualized.
GROWTH & INCOME FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, ----------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $21.53 $19.91 $16.87 $14.78 $11.09 $9.87
-------------------------------------------------------------------------
Income from investment
operations:
Net investment income. 0.07 0.06 0.08 0.10 0.08 0.09
Net realized and
unrealized gain
on securities......... 1.57 3.17 3.25 2.38 3.77 1.22
--------------------------------------------------------------------------
Total income from
investment operations. 1.64 3.23 3.33 2.48 3.85 1.31
--------------------------------------------------------------------------
Distributions from:
Net investment income.. (0.06) (0.08) (0.08) (0.10) (0.07) (0.09)
Net realized gain
on securities......... - (1.53) (0.21) (0.29) (0.09) -
--------------------------------------------------------------------------
Total distributions... (0.06) (1.61) (0.29) (0.39) (0.16) (0.09)
--------------------------------------------------------------------------
Net asset value at end
of period............... $23.11 $21.53 $19.91 $16.87 $14.78 $11.09
--------------------------------------------------------------------------
TOTAL RETURN............ 7.62% 16.92% 19.87% 17.08% 34.85% 13.35%
--------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.41% 0.82% 0.80% 0.81% 0.79% 0.86%
Ratio of net investment
income to average net
assets.................. 0.30% 0.29% 0.43% 0.70% 0.63% 0.93%
Portfolio turnover
rate.................... 75% 102% 78% 45% 64% 97%
Number of shares
outstanding
at end of period
(000's)................. 13,747 13,790 13,619 12,422 7,685 3,867
Net assets at end of
period (000's).......... $317,685 $296,885 $271,159 $209,545 $113,546 $42,867
</TABLE>
SCIENCE & TECHNOLOGY FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, --------------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $29.95 $22.07 $19.88 $20.48 $14.43 $9.83
------------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income
(loss)................. (0.05) (0.10) (0.09) - - 0.03
Net realized and
unrealized gain on
securities............. 14.17 10.36 2.28 0.33 8.08 4.72
------------------------------------------------------------------------------
Total income from
investment operations.. 14.12 10.26 2.19 0.33 8.08 4.75
------------------------------------------------------------------------------
Distributions from:
Net investment income.. - - - - - (0.02)
Net realized gain
on securities.......... - (2.38) - (0.93) (2.03) (0.13)
------------------------------------------------------------------------------
Total distributions.... - (2.38) - (0.93) (2.03) (0.13)
------------------------------------------------------------------------------
Net asset value at end
of period............... $44.07 $29.95 $22.07 $19.88 $20.48 $14.43
------------------------------------------------------------------------------
TOTAL RETURN............ 47.15% 48.34% 10.85% 1.81% 58.28% 48.61%
------------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.47% 0.96% 0.95% 0.96% 0.94% 1.00%
Ratio of net investment
income (loss) to average
net assets.............. (0.18)% (0.46)% (0.46)% (0.29)% (0.07)% 0.36%
Portfolio turnover
rate.................... 47% 149% 128% 122% 116% 121%
Number of shares
outstanding
at end of period
(000's)................. 63,650 56,211 46,355 40,484 27,696 11,550
Net assets at end of
period (000's).......... $2,805,017 $1,683,585 $1,023,141 $804,982 $567,187 $166,683
- --------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED 89
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.
SOCIAL AWARENESS FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, -----------------------------------------------------------
1999 1999 1998 1997 1996 1995
--------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $24.11 $22.16 $17.90 $15.49 $13.02 $11.98
--------------------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.10 0.21 0.23 0.24 0.26 0.27
Net realized and
unrealized
gain on securities..... 1.44 4.08 5.07 4.19 3.37 1.75
--------------------------------------------------------------------------
Total income from
investment operations.. 1.54 4.29 5.30 4.43 3.63 2.02
--------------------------------------------------------------------------
Distributions from:
Net investment income.. (0.09) (0.22) (0.23) (0.24) (0.25) (0.27)
Net realized gain
on securities.......... - (2.12) (0.81) (1.78) (0.91) (0.71)
--------------------------------------------------------------------------
Total distributions.... (0.09) (2.34) (1.04) (2.02) (1.16) (0.98)
--------------------------------------------------------------------------
Net asset value at end
of period............... $25.56 $24.11 $22.16 $17.90 $15.49 $13.02
--------------------------------------------------------------------------
TOTAL RETURN............ 6.42% 20.05% 30.34% 30.48% 28.85% 18.19%
--------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.28% 0.57% 0.54% 0.56% 0.56% 0.58%
Ratio of net investment
income to
average net assets...... 0.41% 0.93% 1.17% 1.53% 1.80% 2.22%
Portfolio turnover
rate.................... 2% 49% 120% 109% 117% 148%
Number of shares
outstanding
at end of period
(000's)................. 23,189 21,646 15,080 8,677 5,220 4,143
Net assets at end of
period (000's).......... $592,801 $521,965 $334,167 $155,349 $80,887 $53,927
</TABLE>
ASSET ALLOCATION FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, ----------------------------------------------------------
1999 1999 1998 1997 1996 1995
-------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $14.43 $14.02 $12.57 $12.55 $11.24 $10.84
-------------------------------------------------------------------------
Income from investment
operations:
Net investment income. 0.20 0.40 0.41 0.77 0.44 0.44
Net realized and
unrealized gain on
securities............ 0.45 1.26 2.24 1.44 1.53 0.82
-------------------------------------------------------------------------
Total income from
investment operations.. 0.65 1.66 2.65 2.21 1.97 1.26
-------------------------------------------------------------------------
Distributions from:
Net investment income. (0.20) (0.40) (0.41) (0.78) (0.44) (0.44)
Net realized gain
on securities......... - (0.85) (0.79) (1.41) (0.22) (0.42)
-------------------------------------------------------------------------
Total distributions.... (0.20) (1.25) (1.20) (2.19) (0.66) (0.86)
-------------------------------------------------------------------------
Net asset value at end
of period............... $14.88 $14.43 $14.02 $12.57 $12.55 $11.24
-------------------------------------------------------------------------
TOTAL RETURN............ 4.57% 12.23% 21.94% 15.89% 17.90% 12.43%
-------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.28% 0.57% 0.54% 0.57% 0.57% 0.58%
Ratio of net investment
income to average net
assets.................. 1.40% 2.81% 3.02% 3.26% 3.62% 4.03%
Portfolio turnover
rate.................... 61% 160% 24% 103% 119% 133%
Number of shares
outstanding
at end of period
(000's)................. 17,174 17,222 14,269 14,107 15,142 16,319
Net assets at end of
period (000's).......... $255,567 $248,473 $200,099 $177,347 $190,024 $183,393
- -------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
90 FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED
Per share data is for a share of capital stock outstanding throughout the
period. Total return includes reinvestment of dividends on the reinvestment
date. Total returns and ratios for periods of less than one year are not
annualized.
CAPITAL CONSERVATION FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, ----------------------------------------------------------
1999 1999 1998 1997 1996 1995
-------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $9.39 $9.68 $9.31 $9.23 $9.52 $9.13
-------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income. 0.31 0.60 0.61 0.62 0.62 0.63
Net realized and
unrealized gain (loss)
on securities......... (0.31) (0.29) 0.37 0.08 (0.29) 0.39
-------------------------------------------------------------------------
Total income from
investment operations. - 0.31 0.98 0.70 0.33 1.02
-------------------------------------------------------------------------
Distributions from:
Net investment income. (0.31) (0.60) (0.61) (0.62) (0.62) (0.63)
Net realized gain
on securities.......... - - - - - -
-------------------------------------------------------------------------
Total distributions.... (0.31) (0.60) (0.61) (0.62) (0.62) (0.63)
-------------------------------------------------------------------------
Net asset value at end
of period............... $9.08 $9.39 $9.68 $9.31 $9.23 $9.52
-------------------------------------------------------------------------
TOTAL RETURN............ - 3.25% 10.76% 7.75% 3.41% 11.80%
-------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.29% 0.60% 0.54% 0.57% 0.57% 0.58%
Ratio of net investment
income to average net
assets.................. 3.31% 6.24% 6.32% 6.59% 6.47% 6.88%
Portfolio turnover
rate.................... 8% 41% 14% 45% 80% 100%
Number of shares
outstanding
at end of period
(000's)................. 6,328 6,720 6,577 7,168 7,604 6,935
Net assets at end of
period (000's).......... $57,480 $63,131 $63,654 $66,747 $70,212 $60,031
</TABLE>
GOVERNMENT SECURITIES FUND
<TABLE>
<CAPTION>
For the Six
Months Ended
November 30, Fiscal Year Ended May 31,
1999 ----------------------------------------------------------
============ 1999 1998 1997 1996 1995
-------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $9.90 $10.09 $9.67 $9.61 $9.89 $9.55
-------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income. 0.27 0.55 0.58 0.59 0.61 0.60
Net realized and
unrealized gain (loss)
on securities......... (0.27) (0.19) 0.42 0.06 (0.28) 0.35
-------------------------------------------------------------------------
Total income from
investment operations. - 0.36 1.00 0.65 0.33 0.95
-------------------------------------------------------------------------
Distributions from:
Net investment income.. (0.27) (0.55) (0.58) (0.59) (0.61) (0.61)
Net realized gain
on securities.......... - - - - - -
-------------------------------------------------------------------------
Total distributions.... (0.27) (0.55) (0.58) (0.59) (0.61) (0.61)
-------------------------------------------------------------------------
Net asset value at end
of period............... $9.63 $9.90 $10.09 $9.67 $9.61 $9.89
-------------------------------------------------------------------------
TOTAL RETURN............ 0.01% 3.58% 10.60% 6.94% 3.32% 10.43%
-------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses
to average net assets... 0.29% 0.59% 0.54% 0.56% 0.56% 0.58%
Ratio of net investment
income to average net
assets.................. 2.70% 5.46% 5.82% 6.11% 6.21% 6.36%
Portfolio turnover
rate.................... 4% 39% 24% 38% 36% 229%
Number of shares
outstanding
at end of period
(000's)................. 9,805 10,853 9,129 8,672 8,164 5,478
Net assets at end of
period (000's).......... $94,410 $107,425 $92,120 $83,827 $78,423 $54,174
- --------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
FINANCIAL HIGHLIGHTS (Unaudited) - CONTINUED 91
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.
INTERNATIONAL GOVERNMENT BOND FUND
<TABLE>
<CAPTION>
For the Six
Months Ended
November 30, Fiscal Year Ended May 31,
1999 -----------------------------------------------------------
------------ 1999 1998 1997 1996 1995
-------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $11.62 $11.42 $11.33 $11.79 $12.72 $10.97
-------------------------------------------------------------------------
Income (loss) from
investment operations:
Net investment income. 0.23 0.51 0.56 0.63 0.65 0.65
Net realized and
unrealized gain (loss)
on securities......... (0.14) 0.24 (0.26) (0.49) (0.89) 1.80
-------------------------------------------------------------------------
Total income (loss)
from
investment operations. 0.09 0.75 0.30 0.14 (0.24) 2.45
-------------------------------------------------------------------------
Distributions from:
Net investment income. (0.16) (0.48) (0.20) (0.58) (0.68) (0.70)
Net realized gain
on securities......... - (0.07) (0.01) (0.02) (0.01) -
-------------------------------------------------------------------------
Total distributions.... (0.16) (0.55) (0.21) (0.60) (0.69) (0.70)
-------------------------------------------------------------------------
Net asset value at end
of period............... $11.55 $11.62 $11.42 $11.33 $11.79 $12.72
-------------------------------------------------------------------------
TOTAL RETURN............ 0.77% 6.40% 2.65% 1.13% (1.91)% 23.23%
-------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.29% 0.57% 0.55% 0.56% 0.56% 0.59%
Ratio of net investment
income to average net
assets.................. 1.96% 4.27% 4.70% 5.13% 5.45% 5.83%
Portfolio turnover
rate.................... 7% 22% 17% 4% 11% 6%
Number of shares
outstanding
at end of period
(000's)................. 12,974 13,647 13,646 15,680 12,073 6,111
Net assets at end of
period (000's).......... $149,791 $158,509 $155,783 $177,709 $142,383 $77,734
</TABLE>
MONEY MARKET FUND
<TABLE>
<CAPTION>
For the Six
Months Ended Fiscal Year Ended May 31,
November 30, ----------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------------------------------------------------------------------
(audited)
<S> <C> <C> <C> <C> <C> <C>
PER SHARE DATA
Net asset value at
beginning of period..... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
------------------------------------------------------------------------
Income from investment
operations:
Net investment income.. 0.02 0.05 0.05 0.05 0.05 0.05
------------------------------------------------------------------------
Distributions from:
Net investment income.. (0.02) (0.05) (0.05) (0.05) (0.05) (0.05)
------------------------------------------------------------------------
Net asset value at end
of period............... $1.00 $1.00 $1.00 $1.00 $1.00 $1.00
------------------------------------------------------------------------
TOTAL RETURN............ 2.39% 4.84% 5.25% 5.02% 5.26% 4.90%
------------------------------------------------------------------------
RATIOS/SUPPLEMENTAL DATA
Ratio of expenses to
average net assets...... 0.29% 0.57% 0.54% 0.57% 0.57% 0.57%
Ratio of net investment
income to average net
assets.................. 2.39% 4.66% 5.14% 4.95% 5.14% 4.75%
Number of shares
outstanding
at end of period
(000's)................. 461,389 347,394 190,975 128,125 83,618 82,255
Net assets at end of
period (000's).......... $461,389 $347,394 $190,975 $128,125 $83,618 $82,255
</TABLE>
- -------------------------------------------------------------------------------
<PAGE>
92
SUPPLEMENTAL INFORMATION (Unaudited)
SPECIAL MEETING OF SHAREHOLDERS
Proxy Voting Results
The Special Meeting of Shareholders of the Growth Fund of American General
Series Portfolio Company was held on December 16, 1999. Shareholders of the
Fund voted on proposals to approve: (i) a new investment sub-advisory
agreement between VALIC (the "Adviser") and Wellington Management Company, LLP
("Wellington Management"); (ii) changing the Fund's fundamental investment
restriction regarding concentration of investments in a single industry; and
(iii) an arrangement to permit the Adviser to terminate, replace or add sub-
advisers or modify sub-advisory agreements without shareholder approval. The
results of the proposals voted on by shareholders of the Fund were as follows:
Approval of a new investment sub-advisory agreement between VALIC and
Wellington Management Company, LLP ("Wellington Management").
<TABLE>
<S> <C>
Affirmative.............. 47,959,415
Against.................. 2,104,649
Abstain.................. 2,122,988
Total Shares Voted....... 52,187,052
</TABLE>
Approval of changing the Fund's fundamental investment restriction regarding
concentration of investments in a single industry.
<TABLE>
<S> <C>
Affirmative.............. 45,820,201
Against.................. 3,761,573
Abstain.................. 2,605,278
Total Shares Voted....... 52,187,052
</TABLE>
Approval of arrangement to permit the Adviser to terminate, replace or add
sub-advisers or modify sub-advisory agreements without shareholder approval.
<TABLE>
<S> <C>
Affirmative.............. 41,443,090
Against.................. 8,192,979
Abstain.................. 2,550,983
Total Shares Voted....... 52,187,052
</TABLE>
SUPPLEMENT DATED FEBRUARY 1, 2000
TO PROSPECTUS DATED OCTOBER 1, 1999
All Funds
The "Investment Objective" section included in the "Fact Sheet" should
reflect that the investment objective may be changed by the Board of Directors
without shareholder approval.
Although the Series Company normally redeems Fund shares for cash, the Series
Company has the right to pay separate accounts assets other than cash for
redemption amounts exceeding, in any 90-day period, $250,000 or 1% of the net
asset value of the affected Fund, whichever is less.
The Series Company relies upon an exemptive order from the SEC which permits
VALIC, subject to certain conditions, to select new sub-advisers or replace
existing sub-advisers without first obtaining shareholder approval for the
change. The Board of Directors, including a majority of the "independent"
Directors, must approve each new sub-advisory agreement. This allows VALIC to
act more quickly to change sub-advisers when it determines that a change is
beneficial to shareholders by avoiding the delay of calling and holding
shareholder meetings to approve each change. In accordance with the exemptive
order, the Series Company will provide investors with information about each
new sub-adviser and its sub-advisory agreement within 90 days of the hiring of
a new sub-adviser. VALIC is responsible for selecting, monitoring, evaluating
and allocating assets to the Sub-advisers and oversees the Sub-advisers'
compliance with the relevant Fund's investment objective, policies and
restrictions.
Delete the third and fourth paragraphs on page 35 under "Investment Adviser."
Add Capital Conservation Fund, Asset Allocation Fund, and the Government
Securities Fund to the list of funds in the first sentence of the fifth
paragraph.
Social Awareness Fund
The following replaces the second paragraph of the section entitled
"Investment Objective" in the Fund's "Fact Sheet."
The Fund does not invest in companies that are significantly engaged in:
. the production of nuclear energy;
. the manufacture of military weapons or delivery systems;
. the manufacture of alcoholic beverages or tobacco products;
. the operation of gambling casinos; or
. business practices or the production of products that significantly
pollute the environment.
- -------------------------------------------------------------------------------
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY 93
BOARD OF DIRECTORS OFFICERS
Kent E. Barrett Thomas L. West, Jr.,
Judith L. Craven Chairman
Timothy J. Ebner Alice T. Kane,
Gustavo E. Gonzales, Jr. President
Norman Hackerman Kent E. Barrett,
Alice T. Kane Executive Vice President
John W. Lancaster Peter V. Tuters,
Ben H. Love Senior Investment Officer
John E. Maupin, Jr. Maruti D. More,
F. Robert Paulsen Vice President-Investments
R. Miller Upton Teresa S. Moro,
Thomas L. West, Jr. Vice President and Investment Officer
Leon A. Olver,
DISTRIBUTOR Vice President and Investment Officer
American General Distributors, Inc. William Trimbur, Jr.,
2929 Allen Parkway Vice President and Investment Officer
Houston, Texas 77019 Cynthia A. Toles,
Vice President and Secretary
CUSTODIAN Nori L. Gabert,
State Street Bank and Trust Company Vice President and Assistant Secretary
225 Franklin Street Pauletta P. Cohn,
Boston, Massachusetts 02110 Vice President
Cynthia A. Gibbons,
INVESTMENT ADVISER Assistant Vice President
The Variable Annuity Life Gregory R. Seward,
Insurance Company (VALIC) Treasurer
2929 Allen Parkway Gregory R. Kingston,
Houston, Texas 77019 Assistant Treasurer
Jaime M. Sepulveda,
INVESTMENT SUB-ADVISERS Assistant Treasurer
T. Rowe Price Associates, Inc. Kathyrn A. Pearce,
100 East Pratt Street Controller
Baltimore, Maryland 21202 Donna L. Hathaway,
Assistant Controller
Wellington Management Company, LLP Heriberto R. Valdez,
75 State Street Assistant Controller
Boston, Massachusetts 02109
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
TO INSURANCE PRODUCT OWNERS:
This report contains detailed financial information to help you understand
your variable insurance product's past performance and shows the performance
for the funds that you invested in through your variable insurance contract.
The performance does not reflect account charges under your insurance product.
These charges would otherwise lower the performance information shown.
This report is for the information of the shareholders and variable insurance
product 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 the material or products issued
by VALIC or American General Life Insurance Company, please contact your
account representative.
"Standard & Poor's(R)", "Standard & Poor's Mid Cap 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.
American General Financial Group is the marketing name for American General
Corporation and its subsidiaries.
- -------------------------------------------------------------------------------
<PAGE>
AMERICAN GENERAL SERIES PORTFOLIO COMPANY
P.O. Box 3206
Houston, Texas 77253-3206
AMERICAN
GENERAL
FINANCIAL GROUP
