<PAGE>
Annual Report
RSI Retirement Trust
Core Equity Fund
Value Equity Fund
Emerging Growth Equity Fund
International Equity Fund
Actively Managed Bond Fund
Intermediate-Term Bond Fund
Short-Term Investment Fund
[PHOTO]
September 30, 2000
[LOGO]
BROKER/DEALER:
Retirement System
Distributors Inc.
317 Madison Avenue
New York, NY 10017-5201
800-772-3615
www.rsgroup.com
<PAGE>
TABLE OF CONTENTS
------------------------------------------------------
<TABLE>
<S> <C>
President's Message.............................. 1
Investment Review................................ 2
Combined Financial Statements.................... 22
Financial Statements of Investment Funds..... 24
Core Equity Fund............................. 24
Value Equity Fund............................ 28
Emerging Growth Equity Fund.................. 32
International Equity Fund.................... 36
Actively Managed Bond Fund................... 41
Intermediate-Term Bond Fund.................. 48
Short-Term Investment Fund................... 55
Notes to Financial Statements.................... 60
Independent Auditor's Report..................... 77
Annual Meeting Results........................... 78
Officers, Consultants, Investment Managers,
Custodian, Distributor, Transfer Agent......... 80
Board of Trustees................................ 81
</TABLE>
[LOGO]
is a registered trademark of Retirement System Group Inc.
THE INFORMATION CONTAINED HEREIN SHALL NOT BE CONSTRUED TO BE OR CONSTITUTE AN
OFFER OR SOLICITATION OF AN OFFER TO BUY UNITS IN THE RSI RETIREMENT TRUST.
SALES OF UNITS IN THE TRUST MAY BE MADE ONLY IN THOSE STATES WHERE SUCH UNITS
ARE EXEMPT FROM REGISTRATION OR HAVE BEEN QUALIFIED FOR SALE. TOTAL RETURNS ARE
BASED ON HISTORICAL RESULTS AND ARE NOT INTENDED TO INDICATE FUTURE PERFORMANCE.
FUTURE PERFORMANCE AND UNIT NET ASSET VALUE WILL FLUCTUATE SO THAT UNITS, IF
REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST. THIS MATERIAL MUST
BE PRECEDED OR ACCOMPANIED BY A PROSPECTUS.
<PAGE>
PRESIDENT'S MESSAGE
To Our Unitholders:
Performance returns in equities were solidly positive for the
year ended September 30, 2000. However, the downward turn in
the markets that started back in March of 2000, continued
through the balance of the year. During correction periods,
value-type stocks tend to outperform their growth counterparts.
Value stocks have been recently buoyed by the returns of
financial services, energy and capital goods, giving them
positive returns in the face of the S&P 500 Index which
generated negative returns for two consecutive quarters (i.e.,
the third and fourth quarters of fiscal year 2000) for the
first time since 1984.
The equity markets remain in a state of unrest at the close
of fiscal year 2000, a situation that became more pronounced
during the second half of the year. It is now apparent that the
slowdown fueled by the Federal Reserve's six rate increases
during the last 15 months is causing the U.S. economy to slow.
Ongoing tensions in the Middle East coupled with the
dramatically higher oil and natural gas prices are having their
impact as well.
The year has been characterized by extreme volatility, with
an overall trend toward the downside. During times of market
volatility and downswings, it is important that investors bear
in mind that keeping a long-term investment strategy and
diversifying your portfolio are the best protection devices you
can arm yourself with. Keep in mind that the markets are
cyclical in nature, so what falls, will, in all probability,
eventually rise again. It is also crucial for an investor to
diversify his or her assets. You can hedge your risk by
allocating your assets across a broad range of securities (i.e.
stocks, bonds and cash equivalent markets) to minimize your
exposure, as the various markets tend to react differently to
economic and political events. While there are no surefire
guarantees, by adding time and diversity to your investments,
you do cut the overall risk.
On behalf of the Board of Trustees, I would like to thank
our unitholders for choosing RSI Retirement Trust to help meet
your retirement savings objectives. Please feel free to call me
at 212-503-0101 if you would like to discuss any part of this
Annual Report.
Sincerely,
/s/William Dannecker
William Dannecker
President and Trustee
1
<PAGE>
INVESTMENT REVIEW
EQUITY MARKET ENVIRONMENT
Overall, the equity market for fiscal year 2000 (covers the
period from October 1, 1999 through September 30, 2000) ended
generally higher; however, the markets became increasing
volatile as investor's concerns about interest rates, inflation
and corporate profits continued to cloud the outlook. Many of
the indices used to track the market, although positive for the
year, are well below their highs set back in March and have
experienced wide daily fluctuations. Growth stocks outperformed
value stocks as investors continued to purchase stocks that
offered the highest earnings growth potential. However, most of
this performance was gained in the first half of the year when
growth outperformed value by a wide margin. The second half of
the year proved to be a different picture as value outperformed
growth, investor's fears of higher inflation and an increased
risk of an economic slowdown, both negatives for growth stocks,
began to surface.
In the end, the S&P 500 returned 13.29%, the Russell 1000
Growth Index returned 23.41% and the Russell 1000 Value Index
returned 8.92%. Investors also favored small and mid-size
companies as the Russell 2000 Index, a measure of small to
medium size companies, advanced 23.38% for the year ended
9/30/00. Small cap growth stocks, as measured by the Russell
2000 Growth Index, also reflected robust returns for the year,
up 29.66%, with strong upside results for the first two
quarters followed by two successive down quarters for the
second half of fiscal year 2000.
Outside the U.S., the markets during fiscal year 2000
experienced a high degree of volatility, starting the first
quarter with a stellar MSCI EAFE Index return of 16.99%, only
to be followed by three consecutive quarters of negative
performance to end the year with a return of 3.20%. The first
quarter saw a meteoric rise in the so-called "TMT" stocks
throughout the world, those stocks in the technology, media and
telecommunications sectors. In the ensuing quarters, the
marketplace saw protracted volatility on the downside, as the
U.S. Federal Reserve, the European Central Bank and even the
Bank of Japan effected a number of interest rate increases. By
the fourth quarter of the fiscal year, many bellwether
companies from both the old and new economy issued profit
warnings due to a fear of a slowdown in profit growth, the high
price of oil, and the weakened Euro.
2
<PAGE>
CORE EQUITY FUND
The Core Equity Fund seeks capital appreciation over the long
term. The Fund invests in a broadly diversified group of
high-quality, medium to large companies which the manager,
Retirement System Investors Inc., believes to be reasonably
valued relative to their earnings growth potential.
PORTFOLIO COMMENTARY
The Core Equity Fund for fiscal year 2000 reflected a net
return of 11.08% (gross return of 12.18%) and trailed the S&P
500 Index by 2+ percentage points. Throughout the year the fund
continued to maintain its overweight position in the Technology
sector due to the long-term earnings growth outlook. In fact,
many of these companies have growth rates that far exceed the
overall market. In addition to earnings growth, the companies
the Fund holds are leaders in their respective industries and
possess sustainable competitive advantages. We believe these
companies offer the greatest potential for capital appreciation
over the long term. Over the past year, stock selection was
mixed, and the principal reason for the Fund's performance
shortfall vis-a-vis the market was with holdings such as Xerox,
Lucent and Intel that disappointed, which offset most of the
gains in larger holdings such as EMC and Cisco.
The energy sector also posted strong results as many of the
integrated oil companies reported record earnings as the price
of oil and natural gas rose sharply from depressed levels.
These companies performed well and the fund was well
represented in this area. The slight overweight position in the
financial sector also proved beneficial, as financials
outperformed the general market, especially in the second half
of the year. Under-exposure in several areas such as
Communication Services, Consumer Cyclicals and Consumer Staples
also helped as these sectors experienced a wide range of
problems, resulting in poor performance relative to the general
markets.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MEASURING RISK AND RETURN
CORE EQUITY FUND VS S&P 500
For 10-Year Period Ended 9/30/00
<TABLE>
<S> <C> <C>
CORE EQUITY S&P 500
RETURN 17.70% 19.42%
RISK 11.78% 12.28%
</TABLE>
THIS CHART COMPARES THE HISTORICAL AVERAGE ANNUAL TOTAL RETURN
AND THE RISK (AS MEASURED BY THE STANDARD DEVIATION) OF THE
CORE EQUITY FUND AND THE STANDARD & POOR'S 500 INDEX FOR THE
TEN-YEAR PERIOD ENDED 9/30/00. THE S&P 500 INDEX IS AN
UNMANAGED INDEX OF COMMON STOCKS WIDELY USED AS A MEASURE OF
THE BROAD EQUITY MARKET AND IS A REPRESENTATIVE MARKET INDEX
FOR THIS FUND.
STANDARD DEVIATION IS A STATISTICAL MEASURE OF VOLATILITY OFTEN
USED AS A MEASURE OF RISK. IN GENERAL, THE GREATER THE STANDARD
DEVIATION, THE GREATER THE TENDENCY TO VARY FROM THE AVERAGE
ANNUAL TOTAL RETURN. BY COMPARING THE MAGNITUDE OF THE STANDARD
DEVIATIONS, THE RELATIVE VOLATILITY OF EACH INVESTMENT CAN BE
DETERMINED. A LOWER STANDARD DEVIATION REFLECTS LOWER
VOLATILITY.
3
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
CORE EQUITY FUND VS S&P 500
<TABLE>
<CAPTION>
CORE EQUITY S&P 500
<S> <C> <C>
89 $10,000.00 $10,000.00
90 $9,558.82 $9,068.78
91 $11,429.29 $11,903.00
92 $12,424.40 $13,219.30
93 $14,241.19 $14,938.76
94 $14,687.14 $15,487.99
95 $19,286.93 $20,086.62
96 $23,358.20 $24,177.02
97 $31,426.42 $33,969.60
98 $32,789.02 $37,064.07
99 $43,892.11 $47,322.96
00 $51,006.48 $58,999.42
</TABLE>
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
CORE EQUITY S&P 500
1 year $11,108 $11,329
3 year $15,514 $15,789
5 year $25,279 $26,677
10 year $51,006 $58,999
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE RETURNS
<S> <C> <C>
1 year 11.08% 13.29%
3 year 55.14% 57.89%
5 year 152.79% 166.77%
10 year 410.06% 489.99%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS
<S> <C> <C>
1 year 11.08% 13.29%
3 year 15.77% 16.45%
5 year 20.38% 21.68%
10 year 17.70% 19.42%
</TABLE>
PERFORMANCE RESULTS
The Core Equity Fund returned 11.08% for the one-year period
ended September 30, 2000 and trailed the S&P 500, which
returned 13.29% for the same period. The S&P 500 is an
unmanaged representative index of the broad equity market. (All
market index results that appear in this report are gross,
since expenses are not applicable.) For the three, five and ten
years ended September 30, 2000, the Core Fund produced average
annual returns of 15.77%, 20.38% and 17.70%, respectively,
while the S&P 500 posted average annual returns of 16.45%,
21.68% and 19.42% for these same three periods.
It should be noted that the Core Equity Fund's average
annualized return for the ten years ended September 30, 2000,
was achieved while taking less risk (as measured by standard
deviation) than the S&P 500 (see chart on page 3).
The Core Equity Fund returned 11.08% for the one-year
period ended September 30, 2000 and trailed the 17.80% return
of its new Lipper benchmark, the Lipper Large-Cap Core Funds
Average, for the same period. (The new Lipper benchmark become
effective with the first quarter of fiscal year 2000.) As noted
in the table below, for the trailing three, five and ten years
ended September 30, 2000, the Fund achieved average annualized
returns that were in line with its Lipper benchmark results for
these periods. Past performance is not a guarantee of future
results.
CORE EQUITY FUND VS LIPPER LARGE CAP CORE FUNDS AVERAGE
FOR PERIODS ENDED SEPTEMBER 30, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annualized
----------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
CORE EQUITY FUND(1) 11.08% 15.77% 20.38% 17.70%
Lipper Large Cap Core Funds Avg.(2) 17.80 15.85 19.84 17.89
</TABLE>
1. All performance results shown are net of management fees
and all related investment expenses.
2. Lipper Inc. is an independent reporting service that
measures the performance of most U.S. mutual funds. The
performance results reflect an unmanaged index and are net
of all expenses other than sales charges and redemption
fees.
--------------------------------------------------------------------------------
4
<PAGE>
VALUE EQUITY FUND
The Value Equity Fund seeks income and capital appreciation by
investing in a diversified portfolio of stocks with a below
average price-to-earnings (P/E) ratio and above-average growth
prospects. The portfolio typically has a dividend yield that is
higher than the market itself. The aim of the portfolio
manager, Retirement System
Investors Inc., is to produce above-market returns by choosing
stocks whose current prices do not adequately reflect their
ability to grow earnings and dividends over time.
PORTFOLIO COMMENTARY
The Value Equity Fund posted solid performance for the year
(net return of 22.34% and a gross return of 23.66%) and
outperformed the market (the Russell 1000 Value Index) by over
1,300 basis points. The Fund's performance was helped by an
overweight position relative to the index in the Energy sector.
This sector benefited from higher commodity prices and an
increase in activity in oil-field services. During the year the
Fund added stocks that should continue to benefit from a
sustained higher price for oil and natural gas. The Financial
sector performed well in the second half of the fiscal year as
investors reacted to lower long-term interest rates and an
increased level of mergers and acquisitions in this sector.
Lower or stable interest rates and moderate GDP growth provide
an excellent environment for financial companies to realize
higher stock prices. The fund was well represented in this area
with over 20% of its assets in financial related companies.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MEASURING RISK AND RETURN
VALUE EQUITY FUND VS
RUSSELL 1000 VALUE INDEX
For 10-Year Period Ended 9/30/00
<TABLE>
<S> <C> <C>
VALUE EQUITY RUSSELL 1000 VALUE
RETURN 18.68% 17.88%
RISK 13.46% 11.79%
</TABLE>
THIS CHART COMPARES THE HISTORICAL AVERAGE ANNUAL TOTAL RETURN
AND THE RISK (AS MEASURED BY THE STANDARD DEVIATION) OF THE
VALUE EQUITY FUND AND THE RUSSELL 1000 VALUE INDEX FOR THE
TEN-YEAR PERIOD ENDED 9/30/00. THE RUSSELL 1000 VALUE INDEX IS
A REPRESENTATIVE MARKET INDEX FOR THIS FUND. SEE THE CORE
EQUITY FUND CHART (P.3) FOR A DEFINITION OF STANDARD DEVIATION.
The fund added to the Capital Goods sector, especially in
the defense related industries. These stocks were trading at
very low relative valuations and had several catalysts that
benefited the group. The first was an increase in spending in
the aerospace industry and the second was a planned increase in
defense department outlays. Both expectations seem to be taking
shape and the sector has performed well.
One area of under-performance came from the Communication
Services sector. Increased competition, lower margins and
regulatory problems negatively affected this sector. However,
some stocks in this sector are trading at historically low
valuation levels and the Fund recently added to some positions.
The risk/reward trade-off makes for a compelling investment.
The under-weighting in the Consumer
5
<PAGE>
Cyclical sector, especially in the retail area, has helped the
Fund's relative performance. These stocks have been negatively
impacted by the higher energy prices that have taken a larger
percentage of consumer's discretionary income. As consumers
spend more on energy, they have less to spend in retail stores.
Finally, the Fund added to the Utility sector over the last
year. This sector has been out of favor with investors for
years but structural changes within the sector have caused
investors to re-evaluate prospects accordingly. Deregulation,
restructuring and an increased demand in electricity have
caused renewed interest in the group. In fact, the utility
sector of the broader market was the best performing sector of
the market in this fiscal year.
6
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
VALUE EQUITY FUND VS RUSSELL 1000 VALUE INDEX
<TABLE>
<CAPTION>
VALUE EQUITY RUSSELL 1000
<S> <C> <C>
89 $10,000.00 $10,000.00
90 $7,587.18 $8,473.32
91 $10,256.30 $10,925.00
92 $10,953.42 $12,279.13
93 $12,643.71 $15,394.92
94 $12,915.87 $15,289.48
95 $15,580.22 $19,522.95
96 $18,941.69 $23,027.15
97 $27,388.33 $32,767.40
98 $26,867.88 $33,944.56
99 $34,383.44 $40,300.66
00 $55,443.68 $51,803.90
</TABLE>
<TABLE>
<CAPTION>
GROWTH
OF
$10,000
<S> <C> <C>
VALUE EQUITY RUSSELL 1000
1
year $12,234 $10,892
3
year $15,359 $13,396
5
year $27,000 $22,484
10
year $55,444 $51,804
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE
RETURNS
<S> <C> <C>
1
year 22.34% 8.92%
3
year 53.59% 33.96%
5
year 170.00% 124.84%
10
year 454.44% 418.04%
</TABLE>
<TABLE>
<CAPTION>
AVER-
AGE
ANNU-
AL RE-
TURNS
<S> <C> <C>
1
year 22.34% 8.92%
3
year 15.38% 10.24%
5
year 21.98% 17.59%
10
year 18.68% 17.88%
</TABLE>
PERFORMANCE RESULTS
For the one-year period ended September 30, 2000, the Value
Equity Fund returned 22.34% versus the 8.92% return of the
Russell 1000 Value Index, an unmanaged representative index
reflecting the performance of approximately 750 stocks with a
less-than-average growth orientation. For the three-, five- and
ten-year periods ended September 30, 2000; the Fund produced
average annual returns of 15.38%, 21.98% and 18.68% and
outperformed the average annualized returns of the Russell 1000
Value Index for all three periods. The Index returned 10.24%,
17.59% and 17.88%, respectively, for these three periods.
[Retirement Systems Investors Inc. has been the manager of the
Fund since April 1, 1995. During the period it returned 22.78%
per annum, while the Russell 1000 Value Index reflected an
average annualized return of 19.50% for the same period.] The
Fund's risk profile, as measured by standard deviation of
return, versus the market, the Russell 1000 Value Index, is
reflected in the chart on page 5.
For the one-year period ended September 30, 2000, the
Fund's return of 22.34% compared favorably to the 11.94% return
of the Lipper Multi-Cap Value Funds Average, the Fund's new
performance benchmark for fiscal year 2000. (The new Lipper
benchmark became effective with the first quarter of fiscal
year 2000.) For the recent three-, five- and ten-year periods
ended September 30, 2000, the Value Equity Fund reflected
average annualized returns of 15.38%, 21.98% and 18.68% and
substantially outpaced the Lipper benchmark returns for all
three periods. The Fund achieved strong first quartile results
for all three periods ranking in the top 6% (18th out of 336
funds), top 2% (4th out of 209 funds) and top 12% (10th out of
86 funds) of its Lipper benchmark grouping, respectively.
[Retirement System Investors Inc., the manager of this Fund
since April 1, 1995, or 5 1/2 years ended September 30, 2000,
reflected an average annualized return of 22.78% and exceeded
the 15.66% average annualized return for the Lipper Multi-Cap
Value
7
<PAGE>
Equity Funds Average by 712 basis points per year. Value ranked
in the top 4% of it Lipper benchmark grouping, 6th out of 190
funds for this time period.] Past performance is not a
guarantee of future results.
VALUE EQUITY FUND VS LIPPER MULTI-CAP VALUE FUNDS AVERAGE
FOR PERIODS ENDED SEPTEMBER 30, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annualized
----------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
VALUE EQUITY FUND(1) 22.34% 15.38% 21.98% 18.68%
Lipper Multi-Cap Value Funds Avg.(2) 11.94 6.45 13.80 15.32
</TABLE>
1. All performance results shown are net of management fees
and all related investment expenses.
2. Lipper Inc. is an independent reporting service that
measures the performance of most U.S. mutual funds. The
performance results reflect an unmanaged index and are net
of all expenses other than sales charges and redemption
fees.
--------------------------------------------------------------------------------
EMERGING GROWTH EQUITY FUND
The Emerging Growth Equity Fund seeks capital appreciation
through investment in securities of rapidly growing, good
quality, emerging companies, those in the $75 million to $1.5
billion capitalization range at time of purchase.
Two investment managers manage the Emerging Growth Equity
Fund. HLM Management Company, Inc. ("HLM"), under sub-advisory
agreement with Retirement System Investors Inc., since
April 1, 1997, and Retirement System Investors Inc.
("Investors") since February 8, 1999, at which time Friess
Associates, Inc. ("Friess") was removed as a sub-advisor. At
that time, Investors was given $10 million of assets to manage,
while the remainder of the Friess assets was given to HLM to
manage. Effective January 8, 2000, each portfolio manager was
given 50% of the Fund's assets to manage. As of September 30,
2000, HLM was managing $49.0 million of fund assets (49.6%),
and Investors was managing $49.7 million of fund assets
(50.4%).
PORTFOLIO COMMENTARY
Investors invests in emerging and rapidly growing companies,
with a focus on innovative new companies, that have the
potential to become future leaders. For fiscal year 2000, the
assets managed by Investors reflected a gross return of 79.71%
and significantly outperformed the market (the Russell 2000
Growth Index with a return of 29.66%). During the year, market
volatility continued to increase, especially in the technology
area. However, by focusing on several new emerging industry
leaders and a wide range of emerging growth sub-sectors,
Investors was able to dampen some of this volatility and ended
the fiscal year on a high note.
8
<PAGE>
Performance was enhanced by large exposure to the
technology and health care sectors. As the year progressed,
technology sector exposure was reduced, both by falling market
prices and a push toward greater diversification. Specifically,
the Fund benefited by strong performance of fiber-optic
component firms and communications chip suppliers. Within
technology, some notable winners included Ortel, MMC Networks
and Transwitch. In the health care area, performance benefited
from Barr Laboratories, Dura Pharmaceuticals and Pharmaceutical
Product Development. However, these gains were offset by losses
in consumer cyclical and telecommunication services. Fossil,
Sportsline, Talk.com and Pac-West Telecomm negatively impacted
performance. Looking ahead, the Fund is positioned to take
advantage of recent market volatility. The Manager's
fundamental security selection process will be critical in
identifying new emerging leaders in the coming year. Numerous
opportunities are unfolding in the fields of Internet
infrastructure, wireless data, fiber optics and biotechnology.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MEASURING RISK AND RETURN
EMERGING GROWTH EQUITY FUND VS
RUSSELL 2000 GROWTH INDEX
For 10-Year Period Ended 9/30/00
<TABLE>
<CAPTION>
EMERGING GROWTH RUSSELL 2000 GROWTH
<S> <C> <C>
RETURN 24.26% 16.26%
RISK 26.79% 22.25%
</TABLE>
THIS CHART COMPARES THE HISTORICAL AVERAGE ANNUAL TOTAL RETURN AND THE RISK (AS
MEASURED BY THE STANDARD DEVIATION) OF THE EMERGING GROWTH EQUITY FUND AND THE
RUSSELL 2000 GROWTH INDEX FOR THE TEN-YEAR PERIOD ENDED 9/30/00. THE RUSSELL
2000 GROWTH INDEX IS A REPRESENTATIVE MARKET INDEX FOR THIS FUND. SEE THE CORE
EQUITY FUND CHART (P.3) FOR A DEFINITION OF STANDARD DEVIATION.
Investors identifies companies through intensive research
working with company managements, analysts and industry
contacts. At September 30, 2000, the portion of the Fund's
portfolio managed by Investors held 58 stocks.
HLM invests in high-quality, small capitalization emerging
growth companies that are entrepreneurially managed and are
rapidly growing in new markets. For the fiscal year ended
September 30, 2000, the gross performance of the portion of the
Fund managed by HLM of 64.51% also significantly outpaced the
Russell 2000 Growth Index by nearly 35 percentage points. The
performance drivers for HLM were technology, energy and
healthcare. HLM began the year with 33% of the portfolio in
technology, following themes of Internet infrastructure,
wireless technological advancements and continued strength in
the semiconductor capital equipment cycle. Although the
technology weighting advanced to 38% at fiscal year-end,
increasing uncertainty and confusion in this sector is
unfolding and thus HLM is proceeding cautiously by reducing its
exposure to this major sector.
At the start of calendar year 2000, holdings were added in
energy and healthcare companies to capitalize on good buying
opportunities. The price of
9
<PAGE>
natural gas was at $2.40/MCF (1000 cubic feet) and it was
becoming clear that capacity was tight---a classic
supply/demand situation, which has led to natural gas prices at
fiscal year end close to $5.50/MCF and a significant increase
in the price of those stocks. At the end of September, energy
stocks accounted for 7% of the HLM portfolio. In the healthcare
sector, pricing improved in the services sector and business at
the laboratory services companies was showing very strong
pickup. This resulted in healthcare weightings growing from 8%
of the portfolio in October to over 21% at September 30th.
Healthcare and energy were the clear performance drivers in the
third and fourth quarters of fiscal year 2000.
As market sensitivities increased during the year, HLM took
action to reduce portfolio exposure of stocks that had been
public less than one year and judiciously sold other holdings
that were showing signs of weakness. This reduction program
also contributed to the performance, especially with newer
issues as the IPO market started to skid in May and June after
being very robust in the first half of the fiscal year.
On September 30, 2000, the HLM portfolio held 39 stocks,
and only one holding (DIANON Systems, Inc.) overlapped with
Investors holdings (HLM held 43 stocks at September 30, 1999).
Traditionally, HLM likes to holds between 40 and 60 stocks in
order to achieve its desired diversification. This manager
continues to look for stocks to add which have strong and
improving fundamentals and to increase the holdings in the
portfolio with the goal of reducing the cash level to 5% or
less of total portfolio assets under management.
10
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
EMERGING GROWTH EQUITY FUND
VS RUSSELL 2000 GROWTH INDEX
<TABLE>
<CAPTION>
EMERGING GROWTH RUSSELL 2000 GROWTH
<S> <C> <C>
89 $10,000.00 $10,000.00
90 $7,794.10 $7,376.44
91 $12,151.92 $11,121.85
92 $12,630.92 $11,097.42
93 $18,493.41 $14,336.16
94 $18,722.50 $14,461.73
95 $27,375.66 $18,536.66
96 $34,919.85 $20,873.85
97 $43,974.66 $25,748.80
98 $28,580.67 $19,354.62
99 $42,147.37 $25,672.78
00 $87,728.37 $45,127.52
</TABLE>
<TABLE>
<CAPTION>
GROWTH
OF
$10,000
<S> <C> <C>
EMERGING GROWTH EQUITY RUSSELL 2000 GROWTH
1
year $16,223 $12,966
3
year $15,549 $12,928
5
year $24,977 $17,958
10
year $87,728 $45,128
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE
RETURNS
<S> <C> <C>
1
year 62.23% 29.66%
3
year 55.49% 29.28%
5
year 149.77% 79.58%
10
year 777.28% 351.28%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE
ANNUAL
RETURNS
<S> <C> <C>
1
year 62.23% 29.66%
3
year 15.85% 8.94%
5
year 20.09% 12.42%
10
year 24.26% 16.26%
</TABLE>
PERFORMANCE RESULTS
As was the case for fiscal year 1999, the Emerging Growth
Equity Fund again was the best performing Trust investment
fund for fiscal year 2000 with a net return of 62.23%. It
significantly exceeded the 29.66% return of the Russell 2000
Growth Index, a representative index that reflects the
performance of small company growth securities. For the three-,
five- and ten-year periods ended September 30, 2000, the Fund's
average annualized net returns of 15.85%, 20.09% and 24.26%,
respectively, significantly outperformed the average annual
returns of the Russell 2000 Growth Index of 8.94%, 12.42% and
16.26% for these trailing periods. The Fund's risk profile (as
measured by standard deviation) verses the market (the Russell
2000 Growth Index) is reflected in the chart on page 9.
For the one-year period ended September 30, 2000, the
Emerging Growth Equity Fund (the highest performing Trust
investment fund) produced a return of 62.23%, compared to that
of its new benchmark, the Lipper Small-Cap Growth Funds Average
return of 56.56%. (The new Lipper benchmark became effective
with the first quarter of fiscal year 2000.) The three-year
annualized return of 15.85% trailed its Lipper benchmark, which
returned 19.77% per year. However, for the longer periods (five
and ten years), the average annualized returns exceeded the
Lipper Small-Cap Growth Funds Average, with the Fund's average
annualized returns of 20.09% and 24.26% versus annualized
returns of 18.89% and 20.98%, respectively, for the Lipper
benchmark. For these two periods, the Fund ranked in the top
34% (27th out of 80 funds) and top 15% (3rd out of 21 funds),
respectively, of the Lipper Small-Cap Growth Funds grouping.
Past performance is not a guarantee of future performance.
11
<PAGE>
EMERGING GROWTH EQUITY FUNDS VS LIPPER SMALL-CAP GROWTH FUNDS
AVERAGE
FOR PERIODS ENDED SEPTEMBER 30, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annualized
----------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
EMERGING GROWTH EQUITY
FUND(1) 62.23% 15.85% 20.09% 24.26%
Lipper Small-Cap Growth Funds
Avg.(2) 56.56 19.77 18.89 20.98
</TABLE>
1. All performance results shown are net of management fees
and all related investment expenses.
2. Lipper Inc. is an independent reporting service that
measures the performance of most U.S. mutual funds. The
performance results reflect an unmanaged index and are net
of all expenses other than sales charges and redemption
fees.
--------------------------------------------------------------------------------
INTERNATIONAL EQUITY FUND
The International Equity Fund seeks capital appreciation by
investing in common stocks in well established companies that
are headquartered in foreign countries, in order to take
advantage of opportunities outside the U.S. capital markets.
Holdings are concentrated in the larger markets abroad, and
some investments are also made in emerging markets. The
portfolio manager, Bank of Ireland Asset Management (U.S.)
Limited ("BIAM") first identifies economic and business themes
that it believes will provide a favorable framework for
selecting stocks. It then selects companies best positioned to
take advantage of the opportunities presented by such themes
with a focus on the following: companies whose current prices
are undervalued relative to their long-term prospective
earnings growth rate; their historic valuation levels and that
of their competitors; and companies of substantial size and
liquidity, strong balance sheets, proven management and
diversified earnings streams. (BIAM replaced Morgan Grenfell
Investment Services Limited, effective March 1, 1999 and
manages under a sub-advisory agreement with Retirement System
Investors Inc.)
PORTFOLIO COMMENTARY
The portfolio for fiscal year 2000 reflected a net return of
10.65% (gross return of 12.99%) and outperformed the market
(MSCI EAFE Index) by nearly 7.5 percentage points. Within the
thematic framework of the portfolio, the largest theme of the
portfolio, GROWTH IN TELECOMMUNICATIONS was the overall largest
contributor to performance, but was a tale of two stories. In
the first two quarters of the fiscal year, the theme added
significant value while the second half of the year was
followed by a downturn in the theme. For the first half of
fiscal 2000, holdings in the theme produced spectacular returns
spurred by high growth prospects, strong demand and a busy pace
of mergers and acquisitions in the telecom sector. One of the
portfolio's top holdings, Vodafone, a leading U.K. cellular
phone operator bought Manessmann, a German telecom operator,
another top holding in the portfolio. The combined company is
the largest mobile phone operator in the world with businesses
in 25 countries and given its superior growth rate, we continue
to believe strongly in the
12
<PAGE>
company. In the last two quarters, like many of the "TMT"
companies, companies in the theme experienced a correction due
to profit taking and worries about the capital expenditure
necessary to acquire third-generation mobile licenses.
The TECHNOLOGICAL INNOVATION theme, a theme mostly comprised of
Japanese technology companies, was also a significant performer
over the period. While the overall Japanese market did well
during the first half of fiscal 2000, many of the portfolio's
Japanese holdings enjoyed very strong returns. The portfolio
holds a number of high quality companies that have demonstrated
consistent earnings growth, meaningful balance sheet
restructuring and attention to shareholder value. BIAM took
profits in some of the companies that did particularly well and
deployed the funds in some new names. Over the last few years,
the overall domestic Japanese economy has experienced weak
growth and sectors such as banking, construction and steel
production, need to consolidate to improve over-capacity. BIAM
remains cautiously optimistic that there will be an improvement
in corporate earnings, an increase in corporate activity, more
focused capital investment and an improvement in consumer
confidence, albeit at a slow pace.
During the year, the
portfolio was hedged
against the Japanese yen adding
value to the
portfolio as the Japanese yen depreciated versus the US dollar.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MEASURING RISK AND RETURN
INTERNATIONAL EQUITY FUND VS
MSCI EAFE
<TABLE>
<CAPTION>
FOR 10-YEAR
PERIOD ENDED INTERNATIONAL MSCI
9/30/00 EQUITY EAFE
9.34% 9.63%
13.36% 14.23%
RETURN
RISK
<S> <C> <C>
</TABLE>
THIS CHART COMPARES THE HISTORICAL AVERAGE ANNUAL TOTAL RETURN
AND THE RISK (AS MEASURED BY THE STANDARD DEVIATION) OF THE
INTERNATIONAL EQUITY FUND AND THE EAFE FOR THE TEN-YEAR PERIOD
ENDED 9/30/00. THE EAFE IS A REPRESENTATIVE MARKET INDEX FOR
THIS FUND. SEE THE CORE EQUITY FUND CHART (P.3) FOR A
DEFINITION OF STANDARD DEVIATION.
It should be noted that the MSCI EAFE Index for fiscal year
2000 under performed the broad U.S. equity market (the S&P 500
Index) by over 10 percentage points, 3.20% vs. 13.29%. (For the
previous five fiscal years, only in 1999 did the MSCI EAFE
Index outperform the S&P 500 Index--30.94% vs. 27.68%.)
13
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INTERNATIONAL EQUITY FUND VS MSCI EAFE
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY MSCI EAFE
<S> <C> <C>
89 $10,000.00 $10,000.00
90 $8,495.13 $7,239.11
91 $9,820.92 $8,824.60
92 $9,488.63 $8,196.75
93 $11,532.70 $10,357.05
94 $12,781.29 $11,372.74
95 $13,509.64 $12,034.49
96 $15,188.17 $13,072.84
97 $17,148.36 $14,664.94
98 $15,251.94 $13,439.76
99 $18,752.77 $17,598.12
00 $24,425.64 $25,087.17
</TABLE>
<TABLE>
<CAPTION>
GROWTH
OF
$10,000
<S> <C> <C>
INTERNATIONAL EQUITY MSCI EAFE
1
year $11,065 $10,320
3
year $12,100 $12,384
5
year $15,359 $15,091
10
year $24,426 $25,087
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE
RETURNS
<S> <C> <C>
1
year 10.65% 3.20%
3
year 21.00% 23.84%
5
year 53.59% 50.91%
10
year 144.26% 150.87%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE
ANNUAL
RETURNS
<S> <C> <C>
1
year 10.65% 3.20%
3
year 6.56% 7.39%
5
year 8.96% 8.58%
10
year 9.34% 9.63%
</TABLE>
PERFORMANCE RESULTS
For the one-year period ended September 30, 2000, the
International Equity Fund returned 10.65% and appreciably
exceeded the MSCE EAFE Index, which returned 3.20% for the
period. For the recent three years, the Fund reflected an
annualized return of 6.56% and trailed the average annual
return of the MSCI EAFE Index, which returned 7.39%. For the
five- and ten years ended September 30, 2000 however, the
International Equity Fund average annual returns of 8.96% and
9.34% were in line with the MSCI EAFE Index per year returns of
8.58% and of 9.63%. During this period, the Fund had a lower
risk exposure as measured by standard deviation, than the MSCI
EAFE Index (see chart on page 13).
The International Equity Fund's return of 10.65% for the
one-year period ended September 30, 2000, modestly under
performed the 10.77% return of the Lipper International Funds
Average, the Fund's performance benchmark. For the trailing
three-, five- and ten-year periods ended September 30, 2000,
the Fund returned 6.56%, 8.96% and 9.34% per annum,
respectively, versus an average annualized return of 8.25%,
10.37% and 10.43%, respectively, for the Lipper benchmark. Past
performance is not a guarantee of future results.
INTERNATIONAL EQUITY FUND VS LIPPER INTERNATIONAL FUNDS AVERAGE
FOR PERIODS ENDED SEPTEMBER 30, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annualized
----------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
INTERNATIONAL EQUITY
FUND(1) 10.65% 6.56% 8.96% 9.34%
Lipper International Funds
Avg.(2) 10.77 8.25 10.37 10.43
</TABLE>
1. All performance results shown are net of management fees
and all related investment expenses.
2. Lipper Inc. is an independent reporting service that
measures the performance of most U.S. mutual funds. The
performance results reflect an unmanaged index and are net
of all expenses other than sales charges and redemption
fees.
--------------------------------------------------------------------------------
14
<PAGE>
FIXED-INCOME MARKET ENVIRONMENT
Bond markets began fiscal year 2000 in a rising interest rate
environment as the uncertainty surrounding Y2K led investors to
reduce buying and to stress liquidity ahead of this event. The
yield curve inverted in the beginning of 2000 as the Treasury
commenced their buyback program. The Federal Reserve raised the
Fed Funds rate 175 basis points by June 30th since tightening
began in June 1999. The last increase by the Fed took place in
May 2000 at which time it raised both the Fed Funds rate and
the Discount rate by 50 basis points to 6.50% and 6.00%,
respectively. Although the Fed has taken no additional action
since May (including their last meeting on November 15th), it
remains poised to act on signs of inflation. The FOMC has cited
huge gains in productivity and easing consumer demand as the
bases for their decision to leave rates unchanged. We also have
several good months of reports, which show the economy is
indeed slowing. Tempered consumer demand, coupled with the
strong likelihood that much of the recent rate hikes have not
yet trickled into the general economy, continues to give the
Fed room to "watch and wait." The two main concerns that
confront the economy and the Fed are: the tight labor market,
as evidenced by a decreasing pool of workers willing to take
jobs and the high cost of oil--intensified by the crisis in the
Middle East. Uncertainty about energy costs and the fiscal
fallout from the coming elections and a new administration
could pose temporary hurdles.
Interest rates continued to rise through June 2000 and then
gradually began to fall as the Fed's action over the prior
twelve months began to take an effect on the economy. More
recently, the ten-year note and 30-year Bond have snapped back
to a traditional positive slope. Concern over oil and labor
markets suggests inflation worries and this resulted in a
backup in long yields. The 30-year Bond ended fiscal 2000 at
5.87% versus 6.05% the year before; the ten-year Treasury note
fell 9 basis points from 5.88% to 5.79%; the five-year rose to
5.83% from 5.75%; and the two-year Treasury rose to 5.97% from
5.60%, one year earlier.
15
<PAGE>
ACTIVELY MANAGED BOND FUND
The Actively Managed Bond Fund invests in high-quality,
fixed-income securities (bonds and other debt securities) with
maturities of up to 30 years. Retirement System Investors Inc.
has managed the Fund exclusively since August 2, 1993. Its
performance index is the Lehman Brothers Aggregate Bond Index.
PORTFOLIO COMMENTARY
The two- to-ten year portion of the yield
curve remains inverted at the end of fiscal year 2000. Yield
spreads widened sharply in the first half of 2000 between
mortgages, agencies, corporates and Treasuries. Volatility
increased in the fixed-income markets as the implied
creditworthiness of the two major Government Sponsored Entities
(GSE), FNMA and FHLMC, were questioned. Concerns about
inflation caused the Fed to raise their key rate 100 basis
points between February to May 2000. These conditions hampered
the performance of the spread products held in the Actively
Managed Bond Fund. This will reverse when spreads return to
their historical norms. Yield spreads narrowed somewhat from
their year-to-date high levels as the economy began to exhibit
signs of moderation by the end of the second quarter, but they
still remain close to the top of the record levels reached in
April and May of this year. Investment objectives during the
fiscal year primarily consisted of buying Agencies, mortgages
and corporates to maximize yield, while limiting our risk
exposure.
The Actively Managed Bond Fund began fiscal 2000 with a
duration of 6.0 years and ended the twelve months with a
duration of 6.6 years on September 30, 2000. The Lehman
Brothers Aggregate Bond Index had a modified duration of 4.8
years at the end of fiscal 2000. At September 30, 2000, the
yield to maturity of the Fund was 7.66% versus 6.96% for the
Lehman Brothers Aggregate Bond Index.
The Fund stresses and maintains high quality of holdings,
with 7.8% in U.S. Treasuries, 19.8% in Federal Agency notes and
bonds, 3.5% in mortgage pass thrus, 61.6% in Agency and AAA
rated collateralized mortgage obligations and 5.6% in
corporates as of fiscal year end. (The quality of holdings is
restricted to "A" or better at the time of purchase and at
least 65% of holdings must be in U.S. Government or Agency
issues.)
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MEASURING RISK AND RETURN
ACTIVELY MANAGED BOND FUND VS
LEHMAN BROTHERS AGGREGATE BOND INDEX
For 10-Year Period Ended 9/30/00
<TABLE>
<S> <C> <C>
ACTIVELY MANAGED LEHMAN BROS.
RETURN 7.86% 8.04%
RISK 5.20% 4.40%
</TABLE>
THIS CHART COMPARES THE HISTORICAL AVERAGE ANNUAL TOTAL RETURN AND THE RISK (AS
MEASURED BY THE STANDARD DEVIATION) OF THE ACTIVELY MANAGED BOND FUND AND THE
LEHMAN BROS. AGGREGATE BOND INDEX FOR THE TEN-YEAR PERIOD ENDED 9/30/00. LEHMAN
BROS. IS A REPRESENTATIVE MARKET INDEX FOR THIS FUND. SEE THE CORE EQUITY FUND
CHART (P.3) FOR A DEFINITION OF STANDARD DEVIATION.
16
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
ACTIVELY MANAGED BOND FUND VS LEHMAN BROTHERS
AGGREGATE BOND INDEX
<TABLE>
<CAPTION>
ACTIVELY MANAGED LEHMAN BROS. INDEX
<S> <C> <C>
89 $10,000 $10,000
90 $10,488 $10,755
91 $12,365 $12,474
92 $13,975 $14,041
93 $15,601 $15,443
94 $14,822 $14,945
95 $16,824 $17,043
96 $17,513 $17,879
97 $19,276 $19,613
98 $21,460 $21,870
99 $21,164 $21,788
00 $21,318 $21,671
</TABLE>
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
ACTIVELY MANAGED BOND FUND LB AGG. BOND INDEX
1 year $10,564 $10,699
3 year $11,599 $11,184
5 year $13,289 $13,676
10 year $21,318 $21,671
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE RETURNS
<S> <C> <C>
1 year 5.64% 6.99%
3 year 15.99% 18.84%
5 year 32.89% 36.76%
10 year 113.18% 116.71%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS
<S> <C> <C>
1 year 5.64% 6.99%
3 year 5.07% 5.92%
5 year 5.85% 6.46%
10 year 7.86% 8.04%
</TABLE>
PERFORMANCE RESULTS
The Actively Managed Bond Fund posted a net return of 5.64%
(gross return of 6.51%) for the one-year period ended
September 30, 2000 and trailed the Lehman Brothers Aggregate
Bond Index, a representative market index, which returned
6.99%. For the recent three- and five-year periods, the Fund's
average annualized net returns were 5.07% and 5.85% compared to
the market index returns of 5.92% and 6.46% per annum. Over the
longer term, ten years ended September 30, 2000, the Fund had a
net return of 7.86% per year compared to the 8.04% average
annualized return of the Lehman Brothers Aggregate Bond Index.
During this ten-year period, the Fund's risk profile, as
measured by standard deviation, exceeded that of the market
index (see chart on page 16).
The Actively Managed Bond Fund fell short of its Lipper
benchmark, the U.S. Government Bond Funds Average, for the
one-year period ended September 30, 2000, with a return of
5.64%, compared to the 6.12% for the benchmark. Over the longer
term (three-, five- and ten-years ended September 30, 2000),
the Fund showed strong results compared to its Lipper benchmark
with average annualized returns of 5.07%, 5.85% and 7.86%,
respectively. For all three periods, the Lipper benchmark
reflected returns of 4.93%, 5.37% and 7.03% per annum. For the
five-and ten-year periods, the Fund achieved a top 24% ranking
(30th out of 130 funds) and a top 13% ranking (6th out of 49
funds), respectively, in the Lipper U.S. Government Funds
grouping. Past performance is not a guarantee of future
results.
ACTIVELY MANAGED BOND FUND VS LIPPER U.S. GOVERNMENT BOND FUNDS
AVERAGE
FOR PERIODS ENDED SEPTEMBER 30, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annualized
----------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
ACTIVELY MANAGED BOND FUND(1) 5.64% 5.07% 5.85% 7.86%
Lipper U.S. Government Bond Funds
Avg.(2) 6.12 4.93 5.37 7.03
</TABLE>
1. All performance results shown are net of management fees
and all related investment expenses.
2. Lipper Inc. is an independent reporting service that
measures the performance of most U.S. mutual funds. The
performance results reflect an unmanaged index and are net
of all expenses other than sales charges and redemption
fees.
--------------------------------------------------------------------------------
17
<PAGE>
INTERMEDIATE-TERM BOND FUND
The Intermediate-Term Bond Fund invests in high-quality,
fixed-income securities that mature within ten years or have
expected average lives of ten years or less. It is managed by
Retirement System Investors Inc. Its performance index is the
Lehman Brothers Government-Intermediate Bond Index.
PORTFOLIO COMMENTARY
The volatile environment that existed for fixed-income
investors as the inflation debate heated during the first half
of this year did not adversely affect the performance of the
Intermediate-Term Bond Fund in the twelve-month period ended
September 30, 2000. Our guidelines mandate that the
Intermediate-Term Bond Fund accept considerably less risk than
the overall market and the Actively Managed Bond Fund. The
Intermediate-Term Bond Fund is limited to investments with
stated final maturities or average lives of ten years or less.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MEASURING RISK AND RETURN
INTERMEDIATE-TERM BOND FUND VS
LEHMAN BROTHERS GOVERNMENT-
INTERMEDIATE BOND INDEX
For 10-Year Period Ended 9/30/00
<TABLE>
<S> <C> <C>
INTERMEDIATE-TERM LEHMAN BROS.
RETURN 6.70% 7.23%
RISK 3.54% 3.62%
</TABLE>
THIS CHART COMPARES THE HISTORICAL AVERAGE ANNUAL TOTAL RETURN
AND THE RISK (AS MEASURED BY THE STANDARD DEVIATION) OF THE
INTERMEDIATE-TERM BOND FUND AND THE LEHMAN BROS. GOVERNMENT-
INTERMEDIATE BOND INDEX FOR THE TEN-YEAR PERIOD ENDED 9/30/00.
LEHMAN BROS. IS A REPRESENTATIVE MARKET INDEX FOR THIS FUND.
SEE THE CORE EQUITY FUND CHART (P.3) FOR A DEFINITION OF
STANDARD DEVIATION.
Interest rates were rising at
the beginning of the fiscal year
as a direct result of Fed action.
As we moved into the new
millennium, the Treasury
announced its buyback program,
which immediately resulted in an
inverted yield curve. The 30-year
Treasury bond dropped well below
the 10-year Treasury note,
indicating its dwindling supply
and the 10-year note soon
became the new benchmark Treasury. The inversion of the yield
curve caused by the Treasury's buyback program led portfolio
managers to shorten their average maturities and duration. The
two and five year Treasuries reached their twelve-month highs
in May 2000 of 6.90% and 6.80%, respectively, and investors
were hard-pressed to pick up yield by extending further out on
the curve. The Intermediate-Term Bond Fund is yield-oriented;
with a yield to maturity of 7.35% at September 30, 2000 versus
6.23% for the Lehman Brothers Government-Intermediate Bond
Index. The duration of the Fund was 3.3 years at the beginning
of the fiscal year and ended Fiscal 2000 virtually unchanged at
3.2 years--in line with the Lehman Brothers Index.
The Intermediate-Term Bond Fund maintained an emphasis on
high quality, fixed-income investments. At the end of Fiscal
2000, 94.10% of the holdings were rated AAA, including 3.9% in
U.S. Treasuries, 10.0% in Agency mortgage passthrus, 53.0% in
Agency and AAA-rated CMO's and 27.0% in Federal Agency notes
and bonds. (The quality of holdings is restricted to single-A
or better at the time of purchase, and at least 65.0% in U.S.
Government or Agency issues.)
18
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
INTERMEDIATE-TERM BOND FUND VS LEHMAN
BROTHERS GOVERNMENT-INTERMEDIATE BOND INDEX
<TABLE>
<CAPTION>
INTERMEDIATE-TERM BOND LEHMAN BROTHERS INDEX
<S> <C> <C>
89 $10,000.00 $10,000.00
90 $10,857.68 $10,857.81
91 $12,347.06 $12,333.97
92 $13,756.85 $13,871.39
93 $14,751.66 $14,932.24
94 $14,439.01 $14,708.17
95 $15,917.02 $16,267.74
96 $16,656.02 $17,098.59
97 $17,935.36 $18,438.73
98 $19,384.97 $20,394.69
99 $19,635.10 $20,555.23
00 $19,125.97 $20,106.02
</TABLE>
<TABLE>
<CAPTION>
GROWTH
OF
$10,000
<S> <C> <C>
INTERMEDIATE-TERM BOND FUND LB GOV'T-INTER. BOND INDEX
1
year $10,576 $10,621
3
year $11,578 $11,840
5
year $13,047 $13,420
10
year $19,126 $20,106
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE
RETURNS
<S> <C> <C>
1
year 5.76% 6.21%
3
year 15.78% 18.40%
5
year 30.47% 34.20%
10
year 91.26% 101.06%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE
ANNUAL
RETURNS
<S> <C> <C>
1
year 5.76% 6.21%
3
year 5.01% 5.79%
5
year 5.46% 6.06%
10
year 6.70% 7.23%
</TABLE>
PERFORMANCE RESULTS
The Intermediate-Term Bond Fund posted a net return of 5.76%
(gross return of 7.02%) for the one-year period ended
September 30, 2000 versus a 6.21% return for the Lehman
Brothers Government-Intermediate Bond Index, a representative
market index. For the three- and five-years ended
September 30, 2000, the Fund reflected average annualized net
returns of 5.01% and 5.46% compared to 5.79% and 6.06% per
annum for the market index. For the ten-year period ended
September 30, 2000, the Intermediate-Term Bond Fund achieved an
average annualized net return of 6.70%, while the market index
returned 7.23% per year. Both the Fund and market index had
similar risk profiles, as measured by standard deviation,
during this period (see chart on page 18).
For the one-year period ended September 30, 2000, the Fund
had a return of 5.76% versus 5.38% for the Lipper
Short-Intermediate (one to five years maturity) U.S. Government
Funds Average, the Fund's performance benchmark. For this
period, the Fund ranked in the top 32% (29th out of 91 funds)
of its Lipper benchmark grouping. For the three-, five-, and
ten-year periods, the Fund experienced average annualized
returns of 5.01%, 5.46% and 6.70%, respectively, outperforming
the Lipper benchmark for all three periods by 30, 29 and 17
basis points per year, respectively. Past performance is not a
guarantee of future results.
INTERMEDIATE-TERM BOND FUND VS LIPPER SHORT-INTERMEDIATE U.S.
GOV'T.
FUNDS AVERAGE
FOR PERIODS ENDED SEPTEMBER 30, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annualized
----------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
INTERMEDIATE-TERM BOND FUND(1) 5.76% 5.01% 5.46% 6.70%
Lipper Short-Intermediate (1 to 5 years
maturity) U.S. Gov't. Funds Avg.(2) 5.38 4.71 5.17 6.53
</TABLE>
1. All performance results shown are net of management fees
and all related investment expenses.
2. Lipper Inc. is an independent reporting service that
measures the performance of most U.S. mutual funds. The
performance results reflect an unmanaged index and are net
of all expenses other than sales charges and redemption
fees.
--------------------------------------------------------------------------------
19
<PAGE>
SHORT-TERM INVESTMENT FUND
The Short-Term Investment Fund, managed by Retirement System
Investors Inc., invests in high-quality, cash equivalent-type
securities maturing in one year or less, and U.S. Government
instruments with maturities of up to two years. The portfolio's
maximum average maturity is one year.
MARKET ENVIRONMENT AND PORTFOLIO COMMENTARY
Short-term interest rates were already on the rise at the
beginning of fiscal 2000. The Federal Reserve adopted a
tightening bias in the first half of 1999 due to the
concern that the economy was exceeding its non-inflationary
growth potential and consequently raised rates by 75 basis
points by the end of 1999. Still concerned with the prospect of
inflation, the Fed raised the Fund and Discount rates an
additional 100 basis points to their current levels of 6.50%
and 6%, respectively. During the 52-week period beginning
September 30, 1999, the 90-day Treasury bill jumped from 4.85%
to 6.21% at September 30, 2000. During the same period, the
two-year Treasury rose from 5.60% at the beginning of fiscal
2000 to 5.98% at the end of the twelve-month period.
During the one year ended
September 30, 2000, the
Short-Term Investment Fund's
average maturity shortened by one
week to 273 days at the end of
September 2000. Higher short
rates provided the Fund with
reinvestment opportunities
throughout the year. Short
intersector spreads (e.g.,
one-month commercial paper versus
two-year Treasuries) widened from
29 basis points at the start of
the fiscal year to 50 basis
points at the end of the 52-week
period. The short portion of the
curve
steepened as the economy steamed ahead and investors
anticipated additional rate increases by the Fed. The two-year
note reached its fiscal year high in May 2000 at 6.90% and then
gradually began to fall to close the twelve-month period at
5.97%.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
MEASURING RISK AND RETURN
SHORT-TERM INVESTMENT FUND VS
SALOMON BROS. 6-MONTH U.S. TREASURY BILLS
For 10-Year Period Ended 9/30/00
<TABLE>
<S> <C> <C>
SHORT-TERM INVESTMENT SALOMON BROS. T-BILLS
RETURN 4.52% 5.10%
RISK 0.63% 0.51%
</TABLE>
THIS CHART COMPARES THE HISTORICAL AVERAGE ANNUAL TOTAL RETURN
AND THE RISK (AS MEASURED BY THE STANDARD DEVIATION) OF THE
SHORT-TERM INVESTMENT FUND AND THE SALOMON BROS. 6-MONTH U.S.
TREASURY BILLS FOR THE TEN-YEAR PERIOD ENDED 9/30/00. T-BILLS
ARE A REPRESENTATIVE MARKET INDEX FOR THIS FUND. SEE THE CORE
EQUITY FUND CHART (P. 3) FOR A DEFINITION OF STANDARD
DEVIATION.
Investment changes during the fiscal year included an
increase in our position of callable and non-callable Federal
agencies to 70.0% of holdings. Higher short-term interest rates
prompted the Federal Agencies to issue new higher coupon notes
maturing up to two year in various structures and degrees of
call protection. At the end of the fiscal year, the Short-Term
Investment Fund maintained 98.1% of its investments in
AAA-rated securities.
20
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SHORT-TERM INVESTMENT FUND
VS SALOMON BROS. 6-MONTH
U.S. TREASURY BILLS
<TABLE>
<CAPTION>
SALOMON BROS.
<S> <C> <C>
Short-Term T-Bills
89 $10,000 $10,000
90 $10,834 $10,825
91 $11,527 $11,560
92 $11,959 $12,081
93 $12,233 $12,480
94 $12,597 $12,956
95 $13,249 $13,720
96 $13,889 $14,469
97 $14,568 $15,252
98 $15,308 $16,072
99 $15,973 $16,840
00 $15,556 $16,451
</TABLE>
<TABLE>
<CAPTION>
GROWTH OF $10,000
<S> <C> <C>
SHORT-TERM INVESTMENT SALOMON BROS. T-BILLS
1 year $10,550 $10,574
3 year $11,569 $11,675
5 year $12,721 $12,979
10 year $15,556 $16,451
</TABLE>
<TABLE>
<CAPTION>
CUMULATIVE RETURNS
<S> <C> <C>
1 year 5.50% 5.74%
3 year 15.69% 16.75%
5 year 27.21% 29.79%
10 year 55.56% 64.51%
</TABLE>
<TABLE>
<CAPTION>
AVERAGE ANNUAL RETURNS
<S> <C> <C>
1 year 5.50% 5.74%
3 year 4.98% 5.30%
5 year 4.93% 5.35%
10 year 4.52% 5.10%
</TABLE>
PERFORMANCE RESULTS
For the one year period ended September 30,
2000, the Short-Term Investment Fund returned 5.50% versus
5.43% for the Lipper Money Market Funds Average, an unmanaged
index of money funds that reflects performance after fees and
expenses are taken out. Salomon Brothers 6-Month U.S. Treasury
Bills (an unmanaged index, which provides a representative
proxy for the short-term fixed-income securities market),
returned 5.74% for this period. For the recent three-year
period, the Fund's average annualized return of 4.98% compared
favorably with its Lipper benchmark return, but trailed the
Salomon Brothers 6-Month US Treasury Bills, which returned
5.30% per annum over the 3 years ended September 30, 2000.
For the five-year period ended September 30, 2000 the Fund
returned 4.93% annually, compared to the 4.95% average
annualized return of its Lipper benchmark, and the 5.35% return
per year for the Salomon Brothers index. The Fund's 4.52%
average annualized return for the ten-year period ended
September 30, 2000, trailed the 4.65% per year return of the
Lipper benchmark and the 5.10% average annualized return of the
Salomon Brothers 6-Month US Treasury Bills for the same period.
Both the Fund and the Salomon Brothers 6-Month Treasury Bills
had extremely low risk profiles, as measured by standard
deviation, during this period (see chart on page 20). Past
performance is not a guarantee of future results.
SHORT-TERM INVESTMENT FUND VS LIPPER RETAIL MONEY FUNDS AVERAGE
FOR PERIODS ENDED SEPTEMBER 30, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Average Annualized
----------------------------
1 Year 3 Years 5 Years 10 Years
------ ------- ------- --------
<S> <C> <C> <C> <C>
SHORT-TERM INVESTMENT FUND(1) 5.50% 4.98% 4.93% 4.52%
Lipper Money Market Funds
Avg.(2) 5.43 4.94 4.95 4.65
</TABLE>
1. All performance results shown are net of management fees
and all related investment expenses.
2. Lipper Inc. is an independent reporting service that
measures the performance of most U.S. mutual funds. The
performance results reflect an unmanaged index and are net
of all expenses other than sales charges and redemption
fees.
--------------------------------------------------------------------------------
21
<PAGE>
COMBINED FINANCIAL STATEMENTS
RSI RETIREMENT TRUST
Combined Statement of Assets and Liabilities September 30,
2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$510,569,648)--Note 2(A) $669,719,723
Receivable for investments sold 1,157,265
Receivable for units sold 1,380,269
Dividends and interest receivable 2,037,055
Unrealized appreciation on forward currency
contracts--Note 6 13,407
Other assets 231,869
------------
674,539,588
LIABILITIES
Payable for investments purchased $3,706,407
Payable for units redeemed 230,889
Payable to investment managers 301,435
Unrealized depreciation on forward currency
contracts--Note 6 200
Accrued expenses and other payables 565,062 4,803,993
---------- ------------
NET ASSETS $669,735,595
============
</TABLE>
Combined Statement of Operations Year Ended September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends (net of foreign withholding tax
of $116,870) $4,491,446
Interest 19,821,973
Securities Lending 66,041
----------
Total Income $24,379,460
Expenses:
Investment managers' fees--Note 3(A) 3,676,907
Shareholder servicing fees and
expenses--Note 3(B) 3,070,462
Custodian fees and expenses 243,727
Legal and auditing fees 228,971
Consultant fees 95,536
Trustees' fees and expenses--Note 3(C) 234,175
Printing and Postage 104,755
Insurance 71,515
Other 249,366
----------
Total Expenses 7,975,414
Less fees paid indirectly--Note 4 (31,438)
Less expense reimbursement--Note 3(A) (149,448)
----------
Net Expenses 7,794,528
-----------
INVESTMENT INCOME--NET 16,584,932
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS--Note 4:
Net Realized gain (loss) on:
Investments 76,439,962
Options written 5,163
Foreign currency transactions (49,270)
----------
76,395,855
----------
Unrealized appreciation on investments:
Investments 8,687,345
Foreign currency translations of other
assets and liabilities 143,762
----------
8,831,107
----------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS 85,226,962
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $101,811,894
===========
</TABLE>
See Notes to Financial Statements
22
<PAGE>
RSI RETIREMENT TRUST (CONTINUED)
Combined Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
9/30/00 9/30/99
------------- -------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 16,584,932 $ 15,982,409
Net realized gain 76,395,855 53,911,923
Net unrealized appreciation 8,831,107 36,209,054
------------- -------------
Net increase in net assets resulting from
operations 101,811,894 106,103,386
------------- -------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 206,857,722 190,767,775
Value of units redeemed (297,632,173) (222,297,742)
------------- -------------
Net (decrease) in net assets resulting from
capital transactions (90,774,451) (31,529,967)
------------- -------------
Net increase 11,037,443 74,573,419
NET ASSETS at beginning of year 658,698,152 584,124,733
------------- -------------
NET ASSETS at end of year $ 669,735,595 $ 658,698,152
============= =============
</TABLE>
See Notes to Financial Statements
23
<PAGE>
FINANCIAL STATEMENTS OF INVESTMENT FUNDS
CORE EQUITY FUND
Statement of Investments
September 30, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
COMMON STOCKS 90.9%
BANKING 8.4%
48,683 Bank of America Corp. $ 2,549,772
97,464 Chase Manhattan Corp. 4,501,619
180,377 Citigroup, Inc. 9,751,631
------------
16,803,022
------------
BEVERAGES & TOBACCO 0.3%
15,000 Anheuser-Busch
Cos., Inc. 634,688
------------
BROADCASTING &
PUBLISHING 0.1%
2,000 Time Warner, Inc. 156,500
------------
BUILDING PRODUCTS 1.9%
91,500 Armstrong Holdings, Inc. 1,092,281
39,000 Southdown, Inc. 2,778,750
------------
3,871,031
------------
CHEMICALS 0.8%
38,550 E.I. Du Pont De
Nemours & Co. 1,597,416
------------
COMPUTER SOFTWARE &
PERIPHERALS 0.9%
44,000 BMC Software, Inc.* 838,750
41,875 Computer Associates
International, Inc. 1,054,727
------------
1,893,477
------------
COMPUTER SYSTEMS 17.4%
243,700 EMC Corp.* 24,156,762
32,200 Hewlett-Packard Corp. 3,123,400
67,000 International Business
Machines Corp. 7,537,500
------------
34,817,662
------------
DIVERSIFIED 2.5%
139,589 Honeywell
International, Inc. 4,972,858
------------
DRUG, HEALTH CARE &
PHARMACEUTICALS 12.5%
2,500 Elan Corp. Plc--Spons
ADR* 136,875
93,900 Johnson & Johnson 8,820,731
88,571 Merck & Co., Inc. 6,593,004
212,400 Pfizer, Inc. 9,544,725
------------
25,095,335
------------
ELECTRONICS & ELECTRICAL 17.6%
12,281 Agilent
Technologies, Inc.* 601,001
</TABLE>
<TABLE>
219,600 Cisco Systems, Inc.* $ 12,132,899
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
5,000 Dallas Semiconductor
Corp. 164,375
125,800 Emerson Electric & Co. 8,428,600
263,600 Intel Corp. 10,939,400
39,950 Motorola, Inc. 1,128,588
36,750 Texas Instruments, Inc. 1,734,141
------------
35,129,004
------------
ENERGY 9.4%
83,458 BP Amoco Plc--Spons ADR 4,423,274
18,000 Exxon Mobil Corp. 1,604,250
114,081 Royal Dutch Petroleum Co. 6,837,730
113,800 Texaco, Inc. 5,974,500
------------
18,839,754
------------
FINANCIAL SERVICES 2.2%
62,210 Fannie Mae 4,448,015
------------
INSURANCE 5.5%
115,726 American International
Group, Inc. 11,073,532
------------
MACHINERY & ENGINEERING 1.5%
89,926 Ingersoll-Rand Co. 3,046,243
------------
METALS & MINING 0.1%
11,224 Alcoa, Inc. 284,108
------------
OFFICE & BUSINESS
EQUIPMENTS 0.2%
25,127 Xerox Corp. 378,475
------------
OIL & GAS EXPLORATION,
PRODUCTION & SERVICES 2.0%
82,905 Halliburton Co. 4,057,163
1,000 The Williams Cos., Inc. 42,250
------------
4,099,413
------------
RETAIL 0.2%
10,400 Tiffany & Co. 401,050
500 Wal-Mart Stores, Inc. 24,063
------------
425,113
------------
TELECOMMUNICATIONS 2.9%
175,364 Lucent
Technologies, Inc. 5,359,562
12,000 Worldcom, Inc.* 364,500
------------
5,724,062
------------
</TABLE>
See Notes to Financial Statements 24
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
TELECOMMUNICATIONS
EQUIPMENT 4.5%
15,500 Corning, Inc. $ 4,603,499
5,500 Cypress Semiconductor
Corp.* 228,594
3,000 Nortel Networks Corp. 178,688
100 Qualcomm, Inc.* 7,125
84,600 Tellabs, Inc.* 4,039,650
------------
9,057,556
------------
TRANSPORTATION & SHIPPING 0.0%
500 United Parcel
Service, Inc. 28,188
------------
Total Common Stocks (Cost $53,562,552) $182,375,452
------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
SHORT TERM INVESTMENT--
REPURCHASE AGREEMENT 9.0%
$17,983,739 Bear Stearns &
Co., Inc., Dated
9/29/00, 6.50%, Due
10/2/00, Collateralized
by $38,880,000 United
States Treasury Strips
Due 2/15/13 (Value
$18,334,253) $ 17,983,739
------------
Total Short Term
Investments--Repurchase Agreement
(Cost $17,983,739) $ 17,983,739
------------
Total Investments (Cost $71,546,291) 99.9% $200,359,191
Other assets in excess of liabilities 0.1% 331,897
---- ------------
Total Net Assets 100.0% $200,691,088
==== ============
</TABLE>
*Denotes non-income producing security.
See Notes to Financial Statements 25
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$71,546,291)--Note 2(A) $200,359,191
Receivable for units sold 432,330
Dividends and interest receivable 111,323
Other assets 30,674
------------
200,933,518
LIABILITIES:
Payable for units redeemed $ 51,024
Payable to investment manager 85,507
Accrued expenses 105,899 242,430
------------
NET ASSETS at value, applicable to 1,699,656
outstanding units of
beneficial interest--Note 5 $200,691,088
============
NET ASSET VALUE offering and redemption price
per unit
($200,691,088 divided by 1,699,656 units) $ 118.08
============
</TABLE>
Statement of Operations Year Ended September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $1,956,199
Interest 496,892
----------
Total Income $ 2,453,091
Expenses:
Investment manager's fees--Note 3(A) 1,004,969
Shareholder servicing fees and
expenses--Note 3(B) 724,235
Custodian fees and expenses 32,150
Legal and auditing fees 33,265
Consultant fees 13,648
Trustees' fees and expenses--Note 3(C) 29,272
Printing and Postage 14,965
Insurance 23,543
Other 27,107
----------
Total Expenses 1,903,154
Net Expenses 1,903,154
-----------
INVESTMENT INCOME--NET 549,937
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4:
Net realized gain on investments: 14,832,153
Unrealized appreciation on investments: 3,863,210
----------
NET REALIZED AND UNREALIZED GAIN 18,695,363
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $19,245,300
===========
</TABLE>
See Notes to Financial Statements
26
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statements of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 549,937 $ 751,531
Net realized gain 14,832,153 28,244,344
Net unrealized appreciation 3,863,210 20,327,846
------------ ------------
Net increase in net assets resulting from
operations 19,245,300 49,323,721
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 52,313,461 32,286,369
Value of units redeemed (45,240,744) (83,603,978)
------------ ------------
Net increase (decrease) in net assets resulting
from capital transactions 7,072,717 (51,317,609)
------------ ------------
Net increase (decrease) 26,318,017 (1,993,888)
NET ASSETS at beginning of year 174,373,071 176,366,959
------------ ------------
NET ASSETS at end of year $200,691,088 $174,373,071
============ ============
</TABLE>
See Notes to Financial Statements
27
<PAGE>
VALUE EQUITY FUND
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
COMMON STOCKS 97.9%
AEROSPACE & DEFENCE 4.8%
37,000 General Dynamics Corp. $ 2,324,062
27,400 Lockheed Martin Corp. 903,104
11,300 Northrop Grumman Corp. 1,026,888
-----------
4,254,054
-----------
AUTO PARTS & SUPPLIES 0.0%
2,016 Visteon Corp. 30,498
-----------
AUTOMOTIVE 0.4%
15,400 Ford Motor Co. 389,813
-----------
BANKING 10.8%
19,488 Bank of America Corp. 1,020,684
50,000 Chase Manhattan Corp. 2,309,375
51,056 Citigroup, Inc. 2,760,214
26,000 Washington Mutual, Inc. 1,035,125
51,400 Wells Fargo Co. 2,361,188
-----------
9,486,586
-----------
BEVERAGES & TOBACCO 2.3%
6,800 Anheuser-Busch Cos., Inc. 287,725
3,000 PepsiCo, Inc. 138,000
56,000 Philip Morris Cos., Inc. 1,648,500
-----------
2,074,225
-----------
BUILDING PRODUCTS 4.2%
46,200 Martin Marietta
Materials, Inc. 1,768,536
27,796 Southdown, Inc. 1,980,465
-----------
3,749,001
-----------
CHEMICALS 0.5%
12,300 Praxair, Inc. 459,713
-----------
COMPUTER SOFTWARE &
PERIPHERALS 1.3%
13,900 BMC Software, Inc.* 264,969
34,900 Computer Associates
International, Inc. 879,044
-----------
1,144,013
-----------
COMPUTER SYSTEMS 0.8%
6,100 International Business
Machines Corp. 686,250
-----------
CONSUMER GOODS & SERVICES 2.7%
42,500 Kimberly Clark Corp. 2,372,031
-----------
DIVERSIFIED 6.4%
36,461 Honeywell International,
Inc. 1,298,923
48,700 Tyco International Ltd. 2,526,313
<CAPTION>
SHARES VALUE
------ -----
26,500 United Technologies Corp. $ 1,835,125
<C> <S> <C> <C>
-----------
5,660,361
-----------
DRUG, HEALTH CARE &
PHARMACEUTICALS 7.1%
24,400 American Home Products
Corp. 1,380,125
9,800 Bristol Myers Squibb Co. 559,825
34,800 Elan Corp. Plc-Spons ADR* 1,905,299
11,400 Eli Lilly & Co. 924,825
10,100 Johnson & Johnson 948,769
8,000 Merck & Co., Inc. 595,500
-----------
6,314,343
-----------
ELECTRONICS & ELECTRICAL 4.4%
53,400 Dallas Semiconductor
Corp. 1,755,525
29,400 Emerson Electric & Co. 1,969,800
4,300 Micron Technology, Inc.* 197,800
-----------
3,923,125
-----------
ENERGY 5.1%
10,502 BP Amoco Plc--Spons ADR 556,606
14,500 Conoco, Inc. 378,813
24,764 Exxon Mobil Corp. 2,207,091
8,000 Royal Dutch Petroleum Co. 479,500
16,100 Texaco, Inc. 845,250
-----------
4,467,260
-----------
FINANCIAL SERVICES 2.6%
5,000 J.P. Morgan & Co., Inc. 816,875
16,400 Morgan Stanley Dean
Witter & Co. 1,499,575
-----------
2,316,450
-----------
FOOD PRODUCTS & SERVICES 1.5%
18,800 McDonald's Corp. 567,525
15,500 Safeway, Inc.* 723,656
-----------
1,291,181
-----------
INSURANCE 5.9%
15,700 American General Corp. 1,224,600
13,500 American International
Group, Inc. 1,291,781
37,000 Hartford Financial
Services
Group, Inc. 2,698,688
-----------
5,215,069
-----------
MACHINERY & ENGINEERING 0.3%
1,200 Ingersoll-Rand Co. 40,650
13,000 Ingersoll-Rand
Co.-Convertible
Preferred 234,000
-----------
274,650
-----------
</TABLE>
See Notes to Financial Statements 28
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
METALS & MINING % 1.9
<C> <S> <C> <C>
64,976 Alcoa, Inc. $ 1,644,705
-----------
OIL & GAS EXPLORATION,
PRODUCTION & SERVICES 9.4%
37,264 Anadarko Petroleum Corp. 2,476,565
14,000 Apache Corp. 827,750
36,000 EOG Resources, Inc. 1,399,500
44,095 Halliburton Co. 2,157,899
11,400 Noble Drilling Corp.* 572,850
14,800 Transocean Sedco Forex,
Inc. 867,650
-----------
8,302,214
-----------
PAPER PRODUCTS 1.1%
42,700 Mead Corp. 998,113
-----------
PRINTING & PUBLISHING 1.8%
25,600 McGraw-Hill Cos., Inc. 1,627,200
-----------
RETAIL 2.1%
31,700 CVS Corp. 1,468,106
14,100 Federated Department
Stores* 368,363
-----------
1,836,469
-----------
TELECOMMUNICATIONS 9.9%
16,000 AT&T Corp. 470,000
51,300 SBC Communications, Inc. 2,565,000
85,066 Verizon Communications 4,120,383
50,000 Worldcom, Inc.* 1,518,750
-----------
8,674,133
-----------
TELECOMMUNICATIONS
EQUIPMENT 3.0%
22,800 Cypress Semiconductor
Corp.* 947,625
<CAPTION>
SHARES VALUE
------ -----
19,300 Integrated Device Technology, Inc.* $ 1,745,444
<C> <S> <C> <C>
-----------
2,693,069
-----------
TRANSPORTATION & SHIPPING 2.0%
39,900 FedEx Corp. 1,769,166
-----------
UTILITIES 5.6%
37,700 Duke Energy Corp. 3,232,775
12,000 El Paso Energy Corp. 739,500
21,100 TXU Corp.--Convertible Preferred 985,106
-----------
4,957,381
-----------
Total Common Stocks (Cost $69,811,513) 86,611,073
-----------
<CAPTION>
PRINCIPAL
AMOUNT
------
SHORT TERM INVESTMENT--
<C> <S> <C> <C>
REPURCHASE AGREEMENT 2.0%
$1,739,970 Bear Stearns & Co., Inc., Dated
9/29/00, 6.50%, Due 10/2/00,
Collateralized by $6,200,000
United States Treasury Strips Due
5/15/21 (Value $1,774,750) $ 1,739,970
-----------
Total Short Term Investments--Repurchase Agreement
(Cost $1,739,970) $ 1,739,970
-----------
Total Investments (Cost $71,551,483) 99.9% $88,351,043
Other assets in excess of liabilities 0.1% 94,385
---- -----------
Total Net Assets 100.0% $88,445,428
==== ===========
</TABLE>
* Denotes non-income producing security.
See Notes to Financial Statements 29
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$71,551,483)--Note 2(A) $88,351,043
Receivable for investments sold 403,826
Receivable for units sold 187,368
Dividends and interest receivable 72,005
Other assets 22,217
-----------
89,036,459
LIABILITIES:
Payable for investments purchased $ 435,930
Payable for units redeemed 43,846
Payable to investment manager 38,565
Accrued expenses 72,690 591,031
--------- -----------
NET ASSETS at value, applicable to 1,003,891 outstanding
units of
beneficial interest--Note 5 $88,445,428
===========
NET ASSET VALUE offering and redemption price per unit
($88,445,428 divided by 1,003,891 units) $ 88.10
===========
</TABLE>
Statement of Operations Year Ended September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $1,651,484
Interest 143,221
----------
Total Income $ 1,794,705
Expenses:
Investment manager's fees--Note 3(A) 412,795
Shareholder servicing fees and expenses--Note 3(B) 423,141
Custodian fees and expenses 23,820
Legal and auditing fees 30,185
Consultant fees 13,648
Trustees' fees and expenses--Note 3(C) 29,272
Printing and Postage 14,965
Insurance 8,542
Other 28,789
----------
Total Expenses 985,157
Less fees paid indirectly--Note 4 (26,263)
----------
Net Expenses 958,894
-----------
INVESTMENT INCOME--NET 835,811
REALIZED AND UNREALIZED GAIN ON INVESTMENTS--Note 4:
Net realized gain on:
Investments 13,104,406
Options written 5,163
----------
13,109,569
----------
Unrealized appreciation on investments: 4,457,923
----------
NET REALIZED AND UNREALIZED GAIN 17,567,492
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $18,403,303
===========
</TABLE>
See Notes to Financial Statements
30
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statements of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 835,811 $ 721,620
Net realized gain 13,109,569 12,242,537
Net unrealized appreciation 4,457,923 12,749,798
------------ ------------
Net increase in net assets resulting from operations 18,403,303 25,713,955
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 22,506,304 23,902,497
Value of units redeemed (37,303,210) (28,708,085)
------------ ------------
Net (decrease) in net assets resulting from capital
transactions (14,796,906) (4,805,588)
------------ ------------
Net increase 3,606,397 20,908,367
NET ASSETS at beginning of year 84,839,031 63,930,664
------------ ------------
NET ASSETS at end of year $ 88,445,428 $ 84,839,031
============ ============
</TABLE>
See Notes to Financial Statements
31
<PAGE>
EMERGING GROWTH EQUITY FUND
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
COMMON STOCKS 93.7%
AEROSPACE & DEFENSE 0.9%
28,200 Moog, Inc. Class A* $ 849,525
------------
AIRLINES 0.3%
17,500 Frontier Airlines, Inc.* 337,969
------------
BUSINESS SERVICES 8.8%
12,090 24/7 Media, Inc.* 121,656
22,700 Administaff, Inc.* 1,718,390
14,500 Breakaway Solutions,
Inc.* 128,688
18,050 Diamond Technology
Partners, Inc.* 1,335,700
20,700 ECsoft Group Plc, Spons
ADR* 201,825
23,700 eLoyalty Corp.* 302,174
41,200 Forrester Research, Inc.* 2,572,424
13,800 Management Network Group,
Inc.* 288,075
10,400 Netcentives, Inc.* 80,275
19,200 Pomeroy Computer
Resources, Inc.* 363,600
38,550 Quanta Services, Inc.* 1,060,125
24,100 Safeguard Scientifics,
Inc.* 480,494
2,800 U.S. Interactive, Inc.* 7,000
------------
8,660,426
------------
COMPUTER SERVICE SOFTWARE 12.2%
15,000 ACE*COMM Corp.* 100,313
5,500 Adept Technology, Inc.* 288,750
9,500 Delano Technology Corp.* 149,031
49,200 Globix Corp.* 1,146,975
35,000 Hyperion Solutions Corp.* 901,250
40,300 IntraNet Solutions, Inc.* 2,012,481
20,100 Metalink Ltd.* 361,800
33,450 Netegrity, Inc.* 2,358,224
6,150 Opus360 Corp.* 14,414
3,100 OTG Software, Inc.* 126,713
24,100 Sanchez Computer
Associates, Inc.* 375,056
52,300 Secure Computing Corp.* 1,359,800
32,250 SERENA Software, Inc.* 1,483,500
35,300 WebTrends Corp.* 1,319,338
------------
11,997,645
------------
CONSUMER GOODS & SERVICES 1.9%
25,300 1-800 CONTACTS, Inc.* 1,214,400
21,950 Fossil, Inc.* 285,350
29,900 Sportsline USA, Inc.* 411,125
------------
1,910,875
------------
</TABLE>
<TABLE>
DATA PROCESSING &
REPRODUCTION 0.7%
28,500 InterCept Group, Inc.* $ 662,625
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
------------
DRUG, HEALTH CARE &
PHARMACEUTICALS 11.4%
39,500 Barr Laboratories, Inc.* 2,619,343
40,500 DIANON Systems, Inc.* 1,612,406
63,300 Dura Pharmaceuticals,
Inc.* 2,239,238
55,000 Ligand Pharmaceuticals,
Inc. Class B* 704,688
38,900 Pharmaceutical Product
Development, Inc.* 1,033,281
23,500 Priority Healthcare Corp.
Class B* 1,788,938
30,000 Rehabcare Group Inc.* 1,275,000
------------
11,272,894
------------
EDUCATIONAL SERVICES 4.2%
35,700 Advantage Learning
Systems, Inc.* 1,249,500
39,300 Edison Schools, Inc.* 1,247,775
26,900 Learning Tree
International, Inc.* 1,279,431
56,200 Student Advantage, Inc.* 414,475
------------
4,191,181
------------
ELECTRONICS & ELECTRICAL 14.7%
45,500 ACT Manufacturing, Inc.* 2,400,124
6,900 Aeroflex, Inc.* 335,513
16,000 Anadigics, Inc.* 350,000
24,000 Commscope, Inc.* 588,000
39,500 Dallas Semiconductor
Corp. 1,298,563
3,300 Exar Corp.* 399,300
60,200 Galileo Technology Ltd.* 1,911,350
19,800 Microsemi Corp.* 754,875
12,900 MMC Networks, Inc.* 1,626,206
26,100 RadiSys Corp.* 1,318,050
34,300 Sage, Inc.* 302,269
45,400 TranSwitch Corp.* 2,891,412
7,900 Triquint Semiconductor,
Inc.* 287,363
------------
14,463,025
------------
ENERGY--OTHER 0.5%
30,800 Horizon Offshore, Inc.* 542,850
------------
ENVIRONMENTAL SERVICES 1.5%
58,400 Waste Connections, Inc.* 1,460,000
------------
FINANCIAL SERVICES 2.3%
45,400 Eaton Vance Corp. 2,315,400
------------
FOOD PRODUCTS & SERVICES 0.7%
23,100 California Pizza Kitchen,
Inc.* 645,356
------------
</TABLE>
See Notes to Financial Statements 32
<PAGE>
EMERGING GROWTH EQUITY FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
HOME BUILDING 1.4%
39,600 Toll Brothers, Inc.* $ 1,361,250
------------
MANUFACTIRING/CAPITAL
GOODS 1.4%
50,600 Maverick Tube Corp.* 1,363,038
------------
MEDICAL EQUIPMENT &
SUPPPLIES 0.1%
5,200 ChromaVision Medical
Systems, Inc.* 49,400
------------
MEDICAL SERVICES & DRUGS 0.5%
25,500 Covance, Inc.* 208,781
59,500 Twinlab Corp.* 260,313
------------
469,094
------------
MEDICAL/HOSPITAL SERVICES 7.2%
39,650 Accredo Health, Inc.* 1,937,894
11,400 Advance Paradigm, Inc.* 480,225
34,100 Colorado Medtech, Inc.* 289,850
60,600 LifePoint Hospitals,
Inc.* 2,151,300
55,200 Province Healthcare Co.* 2,204,550
64,300 Quadramed Corp.* 80,375
------------
7,144,194
------------
OIL & GAS EXPLORATION,
PRODUCTION & SERVICES 4.1%
35,200 Evergreen Resources,
Inc.* 1,223,200
19,100 Prima Energy Corp.* 1,017,075
29,500 Swift Energy Co. * 1,226,094
25,200 Tom Brown, Inc.* 617,400
------------
4,083,769
------------
PRODUCTION--TECHNOLOGY 2.3%
40,700 Helix Technology Corp. 1,208,281
51,200 Photronics, Inc.* 1,116,800
------------
2,325,081
------------
TELECOMMUNICATIONS 5.4%
26,200 Aware, Inc.* 1,008,700
35,000 CellStar Corp.* 108,281
31,800 O2Wireless Solutions,
Inc.* 614,138
29,600 Packeteer, Inc.* 1,122,950
</TABLE>
<TABLE>
45,500 Pac-West Telecomm, Inc.* $ 426,563
22,200 Pinnacle Holdings, Inc.* 591,075
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
18,000 Rural Cellular Corp.,
Class A* 1,225,125
61,400 TALK.com, Inc.* 268,625
------------
5,365,457
------------
TELECOMMUNICATIONS
EQUIPMENT 11.2%
41,800 Avocent Corp.* 2,293,775
23,200 Carrier Access Corp.* 455,300
29,100 Celeritek, Inc.* 1,096,706
4,500 Cobalt Networks, Inc.* 260,438
13,900 MRV Communications, Inc.* 625,500
19,300 Natural MicroSystems,
Corp.* 1,037,375
23,600 Network Engines, Inc.* 966,125
53,600 Osicom Technologies,
Inc.* 1,316,550
58,700 Tekelec* 1,926,093
37,100 Three-Five Systems, Inc.* 1,085,175
------------
11,063,037
------------
Total Common Stocks (Cost $73,362,018) $ 92,534,091
------------
<CAPTION>
PRINCIPAL
AMOUNT
------
SHORT TERM INVESTMENTS--
<C> <S> <C> <C>
REPURCHASE AGREEMENT 8.0%
$7,875,131 Bear Stearns & Co., Inc.,
Dated 9/29/00, 6.50%,
Due 10/2/00,
Collateralized by
$8,205,000 United
States Treasury Strips
Due 2/15/13
(Value $3,869,150),
and $12,220,000 United
States Treasury Strips
Due 5/15/18
(Value $4,166,287) $ 7,875,131
------------
Total Short Term
Investment--Repurchase
Agreement (Cost $7,875,131)
$ 7,875,131
------------
Total Investments (Cost $81,237,149) 101.7% $100,409,222
Liabilities in excess of other assets (1.7)% (1,706,255)
------ ------------
Total Net Assets 100.0% $ 98,702,967
====== ============
</TABLE>
* Denotes non-income producing security.
See Notes to Financial Statements 33
<PAGE>
EMERGING GROWTH EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$81,237,149)--Note 2(A) $100,409,222
Receivable for investments sold 675,883
Receivable for units sold 184,390
Dividends and interest receivable 44,687
Other assets 20,544
------------
101,334,726
LIABILITIES:
Payable for investments purchased $2,436,316
Payable for units redeemed 17,255
Payable for investment managers 81,829
Accrued expenses 96,359 2,631,759
--------- ------------
NET ASSETS at value, applicable to 751,486 outstanding
units of beneficial interest--Note 5 $ 98,702,967
============
NET ASSET VALUE offering and redemption price per unit
($98,702,967 divided by 751,486 units) $ 131.34
============
</TABLE>
Statement of Operations Year Ended September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 17,331
Interest 322,514
Securities Lending 66,041
---------
Total Income $ 405,886
Expenses:
Investment manager's fees--Note 3(A) 998,732
Shareholder servicing fees and expenses--Note 3(B) 521,347
Custodian fees and expenses 52,557
Legal and auditing fees 32,885
Consultant fees 13,648
Trustees' fees and expenses--Note 3(C) 58,543
Printing and Postage 14,965
Insurance 7,501
Other 29,575
---------
Total Expenses 1,729,753
Less fees paid indirectly--Note 4 (5,175)
---------
Net Expenses 1,724,578
-----------
INVESTMENT (LOSS)--NET (1,318,692)
REALIZED AND UNREALIZED GAIN ON INVESTMENTS--Note 4:
Net realized gain on investments 45,307,732
Unrealized appreciation on investments 2,608,719
---------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 47,916,451
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $46,597,759
===========
</TABLE>
See Notes to Financial Statements
34
<PAGE>
EMERGING GROWTH EQUITY FUND (CONTINUED)
Statements of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
9/30/00 9/30/99
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment (loss)--net $ (1,318,692) $ (970,762)
Net realized gain 45,307,732 8,306,803
Net unrealized appreciation 2,608,719 16,958,264
------------ ------------
Net increase in net assets resulting from operations 46,597,759 24,294,305
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 50,850,883 15,660,494
Value of units redeemed (74,936,848) (19,050,135)
------------ ------------
Net (decrease) in net assets resulting from capital
transactions (24,085,965) (3,389,641)
------------ ------------
Net increase 22,511,794 20,904,664
NET ASSETS at beginning of year 76,191,173 55,286,509
------------ ------------
NET ASSETS at end of year $ 98,702,967 $ 76,191,173
============ ============
</TABLE>
See Notes to Financial Statements
35
<PAGE>
INTERNATIONAL EQUITY FUND
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
COMMON STOCKS 98.0%
ADVERTISING 0.5%
22,600 WPP Group Plc $ 269,986
-----------
AUTO PARTS & SUPPLIES 0.3%
6,255 Michelin--Class B 173,866
-----------
AUTOMOBILES 1.5%
24,596 Bayerische Motoren Werke AG 839,948
-----------
BANKING 11.0%
37,050 ABN Amro Holding NV 863,115
64,000 Banco Santander Central Hispano SA 702,550
14,000 Bank of Tokyo-Mitsubishi Ltd. 165,445
43,872 Barclays Plc 1,217,512
30,694 DBS Group Holdings Ltd. 338,638
10,000 HypoVereinsbank AG 547,102
92,902 Lloyds TSB Group Plc 866,714
31,000 National Australia Bank Ltd. 428,217
6,000 Overseas-Chinese Banking Corp., Ltd. 37,925
6,573 UBS AG 874,656
32,834 Westpac Banking Corp. 226,713
-----------
6,268,587
-----------
BEVERAGES & TOBACCO 0.6%
5,760 Heineken NV 320,214
-----------
BROADCASTING & PUBLISHING 3.8%
27,989 Elsevier NV 313,666
55,880 News Corp., Ltd. 786,815
31,950 Reuters Group Plc 605,120
11,000 Singapore Press Holdings 164,974
6,325 VNU NV 318,136
-----------
2,188,711
-----------
BUILDING PRODUCTS 0.2%
10,850 RMC Group Plc 94,406
-----------
CHEMICALS 0.8%
6,885 Dem Bayer AG 254,563
395 Lonza AG 187,166
-----------
441,729
-----------
CONSUMER GOODS & SERVICES 1.2%
16,000 Fuji Photo Film Co., Ltd. 535,999
12,000 Shiseido Co., Ltd. 149,028
-----------
685,027
-----------
DIVERSIFIED INDUSTRIALS 2.3%
17,571 Vivendi 1,305,526
-----------
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
ELECTRONICS & ELECTRICAL 11.0%
31,000 Canon, Inc. $ 1,374,145
90,000 Hitachi Ltd. 1,044,420
6,000 Hoya Corp. 470,294
16,453 Koninklijke Philips Electronics NV 708,068
5,500 Murata Mfg. Co. 758,375
34,000 NEC Corp. 772,441
2,100 Rohm Co., Ltd. 575,430
5,400 Sony Corp. 547,696
-----------
6,250,869
-----------
ENERGY 7.3%
71,504 ENI SpA 378,581
2,138,000 PetroChina Co., Ltd. 435,997
11,180 Royal Dutch Petroleum Co. 675,688
163,084 Shell Transport & Trading Co. Plc 1,330,981
9,130 Total Fina SA--Class B 1,335,771
-----------
4,157,018
-----------
ENGINEERING 0.8%
133,800 Invensys Plc 294,262
27,700 TI Group Plc 147,436
-----------
441,698
-----------
FINANCIAL SERVICES 5.9%
13,850 3I Group Plc 344,632
3,500 Acom Co., Ltd. 291,505
10,555 Fortis (NL) NV 323,195
31,916 ING Groep NV 2,125,774
2,700 Takefuji Corp. 297,335
-----------
3,382,441
-----------
FOOD & SERVICES 4.4%
63,810 Cadbury Schweppes Plc 376,901
72,527 Diageo Plc 647,140
716 Nestle SA 1,491,287
-----------
2,515,328
-----------
GAMING/HOTELS 0.4%
86,600 Hilton Group Plc 247,754
-----------
HEALTH 10.7%
16,240 AstraZeneca Plc 851,425
16,873 Aventis SA 1,265,576
37,720 Glaxo Wellcome Plc 1,138,246
635 Novartis AG 973,566
94 Roche Holding AG 826,641
16,000 Takeda Chemical Industries Ltd. 1,057,191
-----------
6,112,645
-----------
</TABLE>
See Notes to Financial Statements 36
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
INSURANCE 6.4%
45,550 Allied Zurich Plc $ 515,531
9,853 AXA SA 1,286,788
63,740 Prudential Corp. Plc 867,947
525 Swiss Reinsurance Co. 1,002,349
-----------
3,672,615
-----------
LEISURE 0.5%
36,089 EMI Group Plc 288,931
-----------
MACHINERY--ELECTRICAL 0.5%
1,800 SMC Corp. 302,332
-----------
MEDIA 1.0%
19,670 Pearson Plc 544,999
-----------
METALS FABRICATOR 0.2%
6,400 Pohang Iron & Steel Co. ADR 119,200
-----------
REAL ESTATE 1.6%
43,000 Cheung Kong Holdings Ltd. 519,791
42,000 Sun Hung Kai Properties Ltd. 395,927
-----------
915,718
-----------
RESTAURANTS & SERVICES 1.1%
66,896 Granada Compass Plc* 624,095
-----------
RETAIL 1.5%
30,000 Koninklijke Ahold NV 850,568
-----------
TELECOMMUNICATIONS 18.6%
17,130 Alcatel 1,095,904
68,460 Cable & Wireless Plc 975,743
71,500 China Mobile Ltd.* 474,564
82,000 China Unicom Ltd.* 183,522
48,020 Ericsson LM--Class B 730,294
24,429 Kononklijke KPN NV 532,020
3,055 Korea Telecom Corp. ADR 102,724
55,300 Marconi Plc 757,108
39 Nippon Telegraph & Telephone Corp. 382,565
23 NTT Mobile Communications
Network, Inc. 659,819
5,400 Tele Danmark A/S 297,011
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
103,200 Telecom Italia SpA $ 1,096,435
38,286 Telefonica SA 758,461
52,650 Telstra Corp., Ltd. 172,218
635,045 Vodafone AirTouch Plc 2,368,411
-----------
10,586,799
-----------
TELEVISION 0.2%
15,928 Granada Media Plc* 104,678
-----------
TRANSPORTATIONS 1.1%
11,495 Brambles Industries Ltd. 300,421
19,500 Peninsular & Oriental Steam
Navigation Co. 170,822
11,052 Railtrack Group Plc 181,215
-----------
652,458
-----------
UTILITIES 2.6%
50,750 Electricidade de Portugal SA 160,323
14,015 TNT Post Group NV 325,875
18,827 Veba AG 970,222
-----------
1,456,420
-----------
Total Common Stocks (Cost $53,099,773) $55,814,566
-----------
<CAPTION>
PRINCIPAL
AMOUNT
------
SHORT TERM INVESTMENT--
<C> <S> <C> <C>
REPURCHASE AGREEMENT 1.8%
$1,006,010 Bear Stearns & Co., Inc., Dated
9/29/00, 6.50%, Due 10/2/00,
Collateralized by $4,995,000
United States Treasury Strips Due
5/15/21 (Value $1,429,819). $ 1,006,010
-----------
Total Short Term Investments--Repurchase
Agreement ($1,006,010) $ 1,006,010
-----------
Total Investments (Cost $54,105,783) 99.8% $56,820,576
Other assets in excess of liabilities 0.2% 170,184
---- -----------
Total Net Assets 100.0% $56,990,760
==== ===========
</TABLE>
* Denotes non-income producing security.
See Notes to Financial Statements 37
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
Geographical Diversification September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
COUNTRY TOTAL
------- -----
<S> <C>
United Kingdom 27.7%
Japan 16.4
Netherlands 12.9
Switzerland 9.4
France 8.7
Germany 4.6
Hong Kong 3.5
Australia 3.4
Denmark 3.2
Italy 2.6
Spain 2.6
United States 1.8
Sweden 1.3
Singapore 1.0
Korea 0.4
Portugal 0.3
-----
Total Investments 99.8%
Other Assets Less Liabilities 0.2%
-----
Total 100.0%
=====
</TABLE>
See Notes to Financial Statements 38
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$54,105,783)--Note 2(A) $ 56,820,576
Receivable for units sold 149,324
Dividends and interest receivable 142,512
Unrealized appreciation on forward foreign
currency contracts 13,407
Reclaims receivable 72,379
Other assets 15,600
------------
57,213,798
LIABILITIES:
Payable for investments purchased $ 107,465
Payable for units redeemed 1,347
Payable to investment managers 35,205
Unrealized depreciation on forward foreign
currency contracts 200
Accrued expenses and other payables 78,821 223,038
---------- ------------
NET ASSETS at value, applicable to 921,908
outstanding units of beneficial
interest--Note 5 $ 56,990,760
============
NET ASSET VALUE offering and redemption price
per unit
($56,990,760 divided by 921,908 units) $ 61.82
============
</TABLE>
Statement of Operations Year Ended September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends (net of foreign withholding tax
of $116,870) $ 866,432
Interest 183,370
----------
Total Income $ 1,049,802
Expenses:
Investment manager's fees--Note 3(A) 448,133
Shareholder servicing fees and
expenses--Note 3(B) 310,102
Custodian fees and expenses 77,438
Legal and auditing fees 32,885
Consultant fees 13,648
Trustees' fees and expenses--Note 3(C) 29,272
Printing and Postage 14,965
Insurance 3,289
Other 38,899
----------
Net Expenses 968,631
-----------
INVESTMENT INCOME--NET 81,171
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS--Note 4:
Net Realized gain (loss) on:
Investments 5,426,144
Foreign currency transactions (49,270)
----------
5,376,874
----------
Unrealized appreciation (depreciation) on
investments:
Investments (908,224)
Foreign currency translations of other
assets and liabilities 143,762
----------
(764,462)
----------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS AND FOREIGN CURRENCIES 4,612,412
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 4,693,583
===========
</TABLE>
See Notes to Financial Statements
39
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Statements of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income (loss)--net $ 81,171 $ (144,963)
Net realized gain 5,376,874 4,582,643
Net unrealized appreciation (depreciation) (764,462) 3,022,585
------------ ------------
Net increase in net assets resulting from operations 4,693,583 7,460,265
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 16,774,286 18,155,816
Value of units redeemed (13,765,035) (10,410,771)
------------ ------------
Net increase in net assets resulting from capital
transactions 3,009,251 7,745,045
------------ ------------
Net increase 7,702,834 15,205,310
NET ASSETS at beginning of year 49,287,926 34,082,616
------------ ------------
NET ASSETS at end of year $ 56,990,760 $ 49,287,926
============ ============
</TABLE>
See Notes to Financial Statements
40
<PAGE>
ACTIVELY MANAGED BOND FUND
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
COMMERCIAL PAPER 1.7%
$ 2,630,000 American Home Products,
6.68%, 10/2/2000 $ 2,628,536
------------
Total Commercial Paper (Cost $2,629,024) $ 2,628,536
------------
CORPORATE BONDS 5.7%
$ 200,000 Bank of New York Co., Inc.,
6.50%, 2/19/2013 $ 183,884
760,000 Chase Manhattan Corp.,
Medium Term Note,
0.00%, 2/15/2017 205,960
1,500,000 CNA Financial Corp.,
6.75%, 11/15/2006 1,385,750
2,002,000 Deutsche Bank Financial,
Medium Term Note,
0.00%, 7/18/2017 543,065
100,000 Financing Corp.,
9.40%, 2/8/2018 122,975
2,000,000 J.C. Penny Co., Inc.,
8.25%, 8/15/2022 1,395,639
2,000,000 JP Morgan & Co., Inc.,
0.00%, 4/24/2027 202,174
3,907,000 Merrill Lynch & Co.,
Medium Term Note,
0.00%, 2/25/2027 462,745
469,000 PepsiCo, Inc.,
Medium Term Note,
0.00%, 2/23/2011 432,471
1,000,000 PMI Group, Inc.,
6.75%, 11/15/2006 973,818
1,000,000 Public Service Electric & Gas,
9.13%, 7/1/2005, MBIA 1,078,938
525,000 Public Service Electric & Gas,
6.38%, 5/1/2008 492,620
3,000,000 Transamerica Financial Corp.,
0.00%, 9/1/2012 1,175,574
1,000,000 TSY-Linked Call Strips,
0.00%, 11/15/2024 133,666
------------
Total Corporate Bonds (Cost $9,731,357) $ 8,789,279
------------
MORTGAGES 14.1%
$ 2,070,671 ABN Amro Mortgage Corp.,
Remic 98-5 A11,
8.55%, 1/25/2029 $ 1,903,035
1,993,492 Chase Mortgage Finance Corp.,
Remic 94-G A13,
7.00%, 4/25/2025 1,854,486
1,108,033 Chase Mortgage Finance Corp.,
Remic 98-S2 A12,
7.00%, 7/25/2028 822,559
</TABLE>
<TABLE>
$ 1,000,000 First Union Residential Trust,
Remic 98-B 1A8,
6.75%, 8/25/2028 $ 923,620
1,119,987 General Electric Capital Mortgage Services,
Remic 98-12 2A8,
6.75%, 6/25/2028 915,546
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
5,005,000 PNC Mortgage Securities Corp.,
Remic 98-4 3A2,
6.75%, 5/25/2028 4,619,716
500,000 PNC Mortgage Securities Corp.,
Remic 98-7 1A3,
6.75%, 9/25/2028 472,775
504,022 Prudential Home Mortgage Securities, Inc.,
Remic 94-21 A8,
7.80%, 6/25/2024 493,972
2,000,000 Residential Accredit Loans, Inc.,
Remic 97-QS8 A9,
7.38%, 8/25/2027 1,996,020
500,000 Residential Funding Mortgage Securities I,
Remic 97-S12 A17,
7.25%, 8/25/2027 487,257
1,116,688 Residential Funding Mortgage Securities I,
Remic 93-S47 A15,
9.00%, 12/25/2023 933,962
2,343,000 Residential Funding Mortgage Securities I,
Remic 98-S13 A14,
6.75%, 6/25/2028 2,088,058
100,000 Residential Funding Mortgage Securities I,
Remic 1998-S20 A7,
6.75%, 9/25/2028 89,781
1,000,000 Residential Funding Mortgage Securities I,
Remic 2000-S7 A6,
8.00%, 6/25/2030 1,021,986
2,411,000 Salomon Brothers Mortgage Securities VII,
Remic 98-NC3 A5,
6.93%, 8/25/2028 2,317,767
640,000 Saxon Asset Securities Trust,
Remic 98-4 AF5,
6.93%, 1/25/2030 612,006
------------
Total Mortgages (Cost $23,277,251) $ 21,552,546
------------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 78.3%
$ 500,000 Federal Home Loan Bank,
8.00%, 3/28/2008 $ 499,619
2,620,000 Federal Home Loan Bank,
6.55%, 3/20/2009 2,494,080
8,000,000 Federal Home Loan Bank,
0.00%, 6/25/2012 3,043,720
</TABLE>
See Notes to Financial Statements 41
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$11,320,000 Federal Home Loan Bank,
0.00%, 7/2/2012 $ 4,383,229
300,000 Federal Home Loan Bank,
6.10%, 10/22/2013 267,128
1,400,000 Federal Home Loan Bank,
6.76%, 1/29/2014 1,297,744
500,000 Federal Home Loan Bank,
8.00%, 9/28/2015 489,276
500,000 Federal Home Loan Bank,
8.15%, 10/16/2015 490,335
10,000,000 Federal Home Loan Bank,
0.00%, 6/26/2017 2,491,430
10,000,000 Federal Home Loan Bank,
0.00%, 7/14/2017 2,501,160
50,251 Federal Home Loan Mortgage Corp.,
Remic 12A,
9.25%, 11/15/2019 51,778
227,905 Federal Home Loan Mortgage Corp.,
Remic 1842 EB,
8.00%, 10/15/2023 229,995
443,537 Federal Home Loan Mortgage Corp.,
Pool #730299,
9.00%, 8/1/2006 448,460
254,120 Federal Home Loan Mortgage Corp.,
Pool #533624,
8.50%, 12/1/2007 258,194
2,850,880 Federal Home Loan Mortgage Corp.,
Remic 1515S,
5.16%, 5/15/2008 2,430,508
1,000,000 Federal Home Loan Mortgage Corp.,
6.40%, 5/26/2008 969,759
2,000,000 Federal Home Loan Mortgage Corp.,
6.50%, 3/5/2009 1,900,546
271,000 Federal Home Loan Mortgage Corp.,
6.20%, 9/17/2013 243,105
1,500,000 Federal Home Loan Mortgage Corp.,
6.58%, 12/2/2013 1,376,292
1,500,000 Federal Home Loan Mortgage Corp.,
7.01%, 3/12/2014 1,409,286
301,609 Federal Home Loan Mortgage Corp.,
Pool #141001,
7.75%, 9/1/2016 302,481
12,865 Federal Home Loan Mortgage Corp.,
Pool #297625,
8.50%, 6/1/2017 13,122
489,261 Federal Home Loan Mortgage Corp.,
Remic 2120ZA,
6.00%, 1/15/2019 433,093
</TABLE>
<TABLE>
$ 282,943 Federal Home Loan Mortgage Corp.,
Remic 21Z,
9.50%, 1/15/2020 $ 296,906
839,077 Federal Home Loan Mortgage Corp.,
Remic 1290H,
7.50%, 6/15/2021 839,501
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
61,777 Federal Home Loan Mortgage Corp.,
Remic 1316Z,
8.00%, 6/15/2022 63,133
2,482,800 Federal Home Loan Mortgage Corp.,
Remic 1591SH,
3.36%, 9/15/2022 1,816,755
18,000,000 Federal Home Loan Mortgage Corp.,
0.00%, 2/2/2023 2,959,020
1,154,455 Federal Home Loan Mortgage Corp.,
Remic 1574V,
6.50%, 3/15/2023 1,096,681
709,098 Federal Home Loan Mortgage Corp.,
Remic 15PZ,
7.00%, 7/25/2023 629,660
682,524 Federal Home Loan Mortgage Corp.,
Remic 1790E,
8.00%, 11/15/2023 688,370
2,733,541 Federal Home Loan Mortgage Corp.,
Remic 1663ZA,
7.00%, 1/15/2024 2,460,196
1,536,907 Federal Home Loan Mortgage Corp.,
Remic 1671Z,
7.00%, 2/15/2024 1,408,353
4,679,206 Federal Home Loan Mortgage Corp.,
Remic 29ZC,
8.00%, 4/25/2024 4,633,794
710,000 Federal Home Loan Mortgage Corp.,
Remic 1727MD,
8.50%, 5/15/2024 736,004
893,000 Federal Home Loan Mortgage Corp.,
Remic 1727MF,
8.50%, 5/15/2024 925,916
676,000 Federal Home Loan Mortgage Corp.,
Remic 1814D,
6.50%, 2/15/2026 613,283
3,551,729 Federal Home Loan Mortgage Corp.,
Remic 2089ZB,
7.00%, 8/15/2026 3,165,600
1,840,444 Federal Home Loan Mortgage Corp.,
Remic 2123KE,
8.50%, 2/15/2027 1,933,144
</TABLE>
See Notes to Financial Statements 42
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$ 4,213,332 Federal Home Loan Mortgage Corp.,
Remic 2092DL,
8.50%, 9/15/2027 $ 4,435,336
925,000 Federal Home Loan Mortgage Corp.,
Remic 2064U,
7.00%, 6/15/2028 861,334
863,460 Federal National Mortgage Assoc.,
Remic 2000-9ZX,
7.50%, 3/25/2030 811,007
1,300,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.29%, 1/22/2008 1,243,862
1,855,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.36%, 7/16/2008 1,773,695
350,619 Federal National Mortgage Assoc.,
Pool #15569,
8.25%, 5/1/2010 359,679
300,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.69%, 2/2/2011 286,626
293,393 Federal National Mortgage Assoc.,
Remic 96-64PQ,
6.50%, 1/18/2012 284,572
100,000 Federal National Mortgage Assoc.,
6.80%, 8/27/2012 96,323
150,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.77%, 9/9/2013 141,754
205,572 Federal National Mortgage Assoc.,
Pool #87277,
7.50%, 4/1/2018 206,721
41,142 Federal National Mortgage Assoc.,
Remic 91-169M,
8.40%, 12/25/2021 42,575
420,000 Federal National Mortgage Assoc.,
Remic 92-161H,
7.50%, 9/25/2022 416,344
552,348 Federal National Mortgage Assoc.,
Remic 93-124M,
0.00%, 10/25/2022 336,142
391,876 Federal National Mortgage Assoc.,
Remic 97-61ZC,
7.00%, 2/25/2023 362,447
432,000 Federal National Mortgage Assoc.,
Remic G93-10J,
5.00%, 3/25/2023 362,738
$ 3,820,118 Federal National Mortgage Assoc.,
Remic 93-247C,
7.00%, 3/25/2023 $ 3,740,062
</TABLE>
<TABLE>
1,158,315 Federal National Mortgage Assoc.,
Remic 94-69CA,
7.25%, 3/25/2023 1,139,449
500,000 Federal National Mortgage Assoc.,
Remic G93-15H,
7.25%, 4/25/2023 484,504
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
675,076 Federal National Mortgage Assoc.,
Remic 96-18PB,
0.00%, 5/25/2023 419,245
1,150,215 Federal National Mortgage Assoc.,
Remic 93-100K,
0.00%, 6/25/2023 722,957
834,427 Federal National Mortgage Assoc.,
Remic 93-112ZB,
7.00%, 7/25/2023 750,174
1,593,850 Federal National Mortgage Assoc.,
Remic 94-36UA,
7.00%, 8/25/2023 1,554,009
471,625 Federal National Mortgage Assoc.,
Pool #239024,
7.00%, 10/1/2023 465,041
3,310,829 Federal National Mortgage Assoc.,
Remic 93-199Z,
7.00%, 10/25/2023 3,064,391
379,756 Federal National Mortgage Assoc.,
Remic G95-4B,
8.00%, 11/25/2023 383,017
844,148 Federal National Mortgage Assoc.,
Remic 93-250DZ,
7.00%, 12/25/2023 763,363
826,000 Federal National Mortgage Assoc.,
Remic 94-97H,
8.75%, 12/25/2023 870,144
7,673,144 Federal National Mortgage Assoc.,
Remic G97-5ZB,
7.05%, 3/25/2024 6,933,897
707,000 Federal National Mortgage Assoc.,
Remic 94-65LL,
7.38%, 4/25/2024 697,908
4,278,000 Federal National Mortgage Assoc.,
Remic 94-61E,
7.50%, 4/25/2024 4,213,180
2,450,000 Federal National Mortgage Assoc.,
Remic 98-49DC,
8.50%, 8/20/2025 2,492,265
</TABLE>
See Notes to Financial Statements 43
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$ 385,000 Federal National Mortgage Assoc.,
Remic G96-1PK,
7.50%, 6/17/2026 $ 381,858
2,338,407 Federal National Mortgage Assoc.,
Remic 97-27Z,
7.50%, 4/18/2027 2,229,216
264,044 Federal National Mortgage Assoc.,
Remic 97-49B,
10.00%, 6/17/2027 284,986
900,000 Federal National Mortgage Assoc.,
Remic 97-34YL,
7.00%, 6/18/2027 837,223
4,781,849 Federal National Mortgage Assoc.,
Remic 98-62DC,
9.00%, 11/25/2028 5,087,039
5,187 Government National Mortgage Assoc.,
Pool #1350,
6.50%, 3/15/2002 5,118
681 Government National Mortgage Assoc.,
Pool #2919,
8.00%, 2/15/2004 685
18,845 Government National Mortgage Assoc.,
Pool #5214,
8.00%, 7/15/2005 19,021
13,520 Government National Mortgage Assoc.,
Pool #11192,
7.25%, 4/15/2006 13,487
121,816 Government National Mortgage Assoc.,
Pool #10260,
8.00%, 6/15/2006 123,240
567 Government National Mortgage Assoc.,
Pool #10855,
8.00%, 7/15/2006 573
2,446 Government National Mortgage Assoc.,
Pool #026113,
9.00%, 8/15/2008 2,547
1,594 Government National Mortgage Assoc.,
Pool #258110,
9.00%, 1/15/2009 1,662
10,508 Government National Mortgage Assoc.,
Pool #35238,
9.50%, 9/15/2009 11,051
9,070 Government National Mortgage Assoc.,
Pool #158361,
9.50%, 6/15/2016 9,534
80,882 Government National Mortgage Assoc.,
Pool #169957,
8.50%, 7/15/2016 83,819
</TABLE>
<TABLE>
$ 6,000 Government National Mortgage Assoc.,
Pool #157799,
9.00%, 7/15/2016 $ 6,305
1,660 Government National Mortgage Assoc.,
Pool #176069,
9.00%, 8/15/2016 1,745
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
14,208 Government National Mortgage Assoc.,
Pool #177254,
9.00%, 9/15/2016 14,932
3,352 Government National Mortgage Assoc.,
Pool #173806,
9.00%, 10/15/2016 3,523
195,090 Government National Mortgage Assoc.,
Pool #152027,
8.00%, 10/20/2016 199,072
1,189 Government National Mortgage Assoc.,
Pool #179930,
9.50%, 12/15/2016 1,250
156,223 Government National Mortgage Assoc.,
Pool #000675,
8.00%, 12/20/2016 159,412
11,701 Government National Mortgage Assoc.,
Pool #199032,
9.50%, 1/15/2017 12,296
177,636 Government National Mortgage Assoc.,
Pool #196754,
8.50%, 2/15/2017 184,220
20,081 Government National Mortgage Assoc.,
Pool #000710,
8.00%, 2/20/2017 20,499
84,588 Government National Mortgage Assoc.,
Pool #193256,
8.00%, 3/15/2017 86,824
60,645 Government National Mortgage Assoc.,
Pool #205624,
8.50%, 3/15/2017 62,892
8,396 Government National Mortgage Assoc.,
Pool #209105,
8.00%, 3/20/2017 8,571
63,344 Government National Mortgage Assoc.,
Pool #202887,
8.00%, 4/15/2017 65,018
6,495 Government National Mortgage Assoc.,
Pool #216159,
8.00%, 4/15/2017 6,667
95,724 Government National Mortgage Assoc.,
Pool #213606,
8.00%, 4/15/2017 98,255
</TABLE>
See Notes to Financial Statements 44
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$ 21,260 Government National Mortgage Assoc.,
Pool #211434,
9.50%, 4/15/2017 $ 22,342
11,354 Government National Mortgage Assoc.,
Remic 1A,
0.00%, 5/20/2017 9,116
155,072 Government National Mortgage Assoc.,
Pool #218150,
8.00%, 6/15/2017 159,172
2,677 Government National Mortgage Assoc.,
Pool #226855,
9.50%, 7/15/2017 2,813
187,028 Government National Mortgage Assoc.,
Pool #226673,
9.50%, 7/15/2017 196,542
3,127 Government National Mortgage Assoc.,
Pool #237572,
9.50%, 12/15/2017 3,286
8,335 Government National Mortgage Assoc.,
Pool #226651,
9.50%, 6/15/2018 8,759
3,599 Government National Mortgage Assoc.,
Pool #247493,
8.00%, 7/15/2018 3,693
1,002 Government National Mortgage Assoc.,
Pool #262208,
9.50%, 8/15/2018 1,053
30,287 Government National Mortgage Assoc.,
Pool #291195,
8.00%, 5/15/2020 31,027
37,442 Government National Mortgage Assoc.,
Pool #290123,
8.00%, 6/15/2020 38,356
61,479 Government National Mortgage Assoc.,
Pool #319342,
8.50%, 3/15/2022 63,554
131,843 Government National Mortgage Assoc.,
Pool #346560,
8.00%, 4/15/2023 134,749
289,106 Government National Mortgage Assoc.,
Pool #385850,
8.00%, 8/15/2024 295,398
</TABLE>
<TABLE>
$ 863,265 Government National Mortgage Assoc.,
Remic 99-22A,
7.00%, 3/20/2027 $ 845,845
460,000 Government National Mortgage Assoc.,
Remic 97-8PE,
7.50%, 5/16/2027 455,184
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
1,000,000 Government National Mortgage Assoc.,
Remic 97-18J,
7.00%, 11/20/2027 965,422
1,298,710 Government National Mortgage Assoc.,
Remic 99-C,
7.00%, 2/16/2029 1,189,428
1,124,433 Government National Mortgage Assoc.,
Pool #511918,
8.25%, 9/15/2029 1,144,739
163,534 Government National Mortgage Assoc.,
Remic 99-31ZC,
8.00%, 9/16/2029 170,261
3,520,000 U.S. Treasury Bonds,
9.25%, 2/15/2016 4,611,200
5,000,000 U.S. Treasury Zero Coupon Strips,
0.00%, 2/15/2006 3,651,445
6,180,000 U.S. Treasury Zero Coupon Strips,
0.00%, 2/15/2010 3,529,083
------------
Total United States Government And Agency Obligations
(Cost $125,071,007) $120,560,424
------------
SHORT TERM INVESTMENT--
REPURCHASE AGREEMENT 0.0%
56,695 Bear Stearns & Co., Inc., Dated 9/29/00,
6.50%, Due 10/2/00, Collateralized by
$190,000 United States Treasury Strips
Due 2/15/20 (Value $58,425) $ 56,695
------------
Total Short Term Investments--Repurchase
Agreement (Cost $56,695) $ 56,695
------------
Total Investments (Cost $160,765,334) 99.8% $153,587,480
Other Assets in excess of liabilities 0.2% 342,970
----- ------------
Total Net Assets 100.0% $153,930,450
===== ============
</TABLE>
See Notes to Financial Statements 45
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Assets and Liabilities September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$160,765,334)--Note 2(A) $153,587,480
Receivable for investments sold 19,121
Receivable for units sold 295,423
Interest receivable 934,369
Other assets 27,001
------------
154,863,394
LIABILITIES:
Payable for investments purchased $726,696
Payable for units redeemed 71,332
Payable to investment manager 40,219
Accrued expenses 94,697 932,944
------- ------------
NET ASSETS at value, applicable to 3,915,565 outstanding
units of
beneficial interest--Note 5 $153,930,450
============
NET ASSET VALUE offering and redemption price per unit
($153,930,450 divided by 3,915,565 units) $ 39.31
============
</TABLE>
Statement of Operations Year Ended September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $13,203,748
-------
Total Income $13,203,748
Expenses:
Investment manager's fees--Note 3(A) 532,992
Shareholder servicing fees and expenses--Note 3(B) 649,823
Custodian fees and expenses 28,157
Legal and auditing fees 32,885
Consultant fees 13,648
Trustees' fees and expenses--Note 3(C) 29,272
Printing and Postage 14,965
Insurance 20,543
Other 46,474
-------
Total Expenses 1,368,759
-----------
INVESTMENT INCOME--NET 11,834,989
REALIZED AND UNREALIZED (LOSS) ON INVESTMENTS--Note 4:
Net realized (loss) on investments (1,748,276)
Unrealized (depreciation) on investments (1,395,251)
-------
NET REALIZED AND UNREALIZED (LOSS) ON INVESTMENTS (3,143,527)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 8,691,462
===========
</TABLE>
See Notes to Financial Statements
46
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statements of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 11,834,989 $ 11,073,753
Net realized gain (loss) (1,748,276) 524,140
Net unrealized (depreciation) (1,395,251) (14,244,373)
------------ ------------
Net increase (decrease) in net assets resulting from
operations 8,691,462 (2,646,480)
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 35,035,493 55,604,217
Value of units redeemed (73,993,906) (31,115,385)
------------ ------------
Net increase (decrease) in net assets resulting from
capital transactions (38,958,413) 24,488,832
------------ ------------
Net increase (decrease) (30,266,951) 21,842,352
NET ASSETS at beginning of year 184,197,401 162,355,049
------------ ------------
NET ASSETS at end of year $153,930,450 $184,197,401
============ ============
</TABLE>
See Notes to Financial Statements
47
<PAGE>
INTERMEDIATE-TERM BOND FUND
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
CORPORATE BONDS 3.3%
$ 150,000 American Express Credit Corp.,
7.45%, 8/10/2005 $ 151,220
115,000 Cooper Industries, Inc.,
Medium Term Note,
5.88%, 2/20/2003 111,626
200,000 General Electric Capital Corp.,
Medium Term Note,
7.00%, 6/25/2009 198,415
1,005,000 Old Republic International Corp.,
7.00%, 6/15/2007 1,005,160
250,000 PepsiCo, Inc.,
Medium Term Note,
6.25%, 3/4/2008 238,885
-----------
Total Corporate Bonds (Cost $1,750,441) $ 1,705,306
-----------
MORTGAGES 9.5%
$ 780,258 Bear Stearns Mortgage Securities,
Remic 1993-10 A9,
7.20%, 7/25/2024 $ 739,506
456,000 Capstead Securities Corp.,
Remic 1993-1E,
7.50%, 2/1/2023 448,075
142,375 CitiCorp Mortgage Securities, Inc.,
Remic 1993-7 A3,
7.00%, 6/25/2023 139,020
8,468 CitiCorp Mortgage Securities, Inc.,
Remic 1997-3 A4,
9.00%, 8/25/2027 8,468
310,535 Collateralized Mortgage Obligation Trust,
Remic 27A,
7.25%, 4/23/2017 309,878
139,332 DLJ Acceptance Trust,
Remic 1989-1F,
11.00%, 8/1/2019 151,516
49,794 GE Capital Mortgage Services, Inc.,
Remic 1996-17 2A5,
7.25%, 12/25/2011 49,335
300,000 GE Capital Mortgage Services, Inc.,
Remic 1996-3 A4,
7.00%, 3/25/2026 293,040
321,360 GE Capital Mortgage Services, Inc.,
Remic 1996-HE3 A4,
7.49%, 9/25/2026 321,154
500,000 GE Capital Mortgage Services, Inc.,
Remic 1997-92 A5,
7.00%, 10/25/2027 496,630
</TABLE>
<TABLE>
$ 747,267 GE Capital Mortgage Services, Inc.,
Remic 1998-2 A12,
7.00%, 1/25/2028 $ 738,016
6,205 John J Matterer,
8.50%, 1/1/2005 6,205
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
141,721 Prudential Home Mortgage Securities,
Remic 1992-42 A7,
7.00%, 1/25/2008 141,066
170,787 Prudential Home Mortgage Securities,
Remic 1992-29 A9,
8.00%, 10/25/2022 171,463
203,488 Prudential Home Mortgage Securities,
Remic 1992-50 A5,
7.63%, 2/25/2023 202,509
242,200 Prudential Home Mortgage Securities,
Remic 1994-15 A7,
6.80%, 5/25/2024 240,487
150,000 Residential Funding Mortgage Securities,
Remic 1992-S33 A11,
8.00%, 10/25/2022 151,389
286,572 Residential Funding Mortgage Securities,
Remic 1996-S20 A7,
7.75%, 9/25/2026 286,856
-----------
Total Mortgages (Cost $4,975,834) $ 4,894,613
-----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 83.4%
$ 500,000 Federal Home Loan Bank,
8.00%, 3/28/2008 $ 499,619
1,000,000 Federal Home Loan Bank,
6.75%, 3/18/2009 959,654
350,000 Federal Home Loan Bank,
8.10%, 5/25/2010 363,239
701 Federal Home Loan Mortgage Corp.,
Pool #200030,
9.00%, 3/1/2001 704
3,093 Federal Home Loan Mortgage Corp.,
Pool #200034,
8.50%, 5/1/2001 3,097
1,187 Federal Home Loan Mortgage Corp.,
Pool #200035,
9.00%, 5/1/2001 1,192
5,846 Federal Home Loan Mortgage Corp.,
Pool #200040,
9.00%, 6/1/2001 5,874
7,534 Federal Home Loan Mortgage Corp.,
Pool #212242,
7.50%, 7/1/2001 7,514
</TABLE>
See Notes to Financial Statements 48
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$ 1,048 Federal Home Loan Mortgage Corp.,
Pool #212719,
7.50%, 8/1/2001 $ 1,045
4,975 Federal Home Loan Mortgage Corp.,
Pool #320139,
8.00%, 9/1/2001 4,975
18,348 Federal Home Loan Mortgage Corp.,
Pool #213857,
7.50%, 11/1/2001 18,300
5,102 Federal Home Loan Mortgage Corp.,
Pool #214040,
7.50%, 12/1/2001 5,089
10,656 Federal Home Loan Mortgage Corp.,
Pool #200070,
7.50%, 4/1/2002 10,651
16,610 Federal Home Loan Mortgage Corp.,
Pool #200071,
7.50%, 5/1/2002 16,601
59,434 Federal Home Loan Mortgage Corp.,
Pool #251363,
8.75%, 5/1/2003 59,358
1,500,000 Federal Home Loan Mortgage Corp.,
6.91%, 6/20/2005 1,481,939
130,510 Federal Home Loan Mortgage Corp.,
Pool #30900,
8.50%, 5/1/2006 133,419
50,664 Federal Home Loan Mortgage Corp.,
Pool #290143,
8.50%, 8/1/2006 51,237
1,000,000 Federal Home Loan Mortgage Corp.,
6.40%, 5/26/2008 969,759
1,000,000 Federal Home Loan Mortgage Corp.,
6.22%, 6/24/2008 948,298
1,000,000 Federal Home Loan Mortgage Corp.,
6.54%, 8/26/2008 956,031
1,016,177 Federal Home Loan Mortgage Corp.,
Remic 1587Z,
6.50%, 10/15/2008 943,283
1,000,000 Federal Home Loan Mortgage Corp.,
6.41%, 1/20/2009 947,643
1,200,000 Federal Home Loan Mortgage Corp.,
5.75%, 2/10/2009 1,172,345
165,000 Federal Home Loan Mortgage Corp.,
6.47%, 4/9/2009 156,509
1,000,000 Federal Home Loan Mortgage Corp.,
7.00%, 5/27/2009 968,039
$ 300,000 Federal Home Loan Mortgage Corp.,
7.63%, 9/9/2009 $ 298,022
</TABLE>
<TABLE>
129,913 Federal Home Loan Mortgage Corp.,
Pool #301687,
9.00%, 2/1/2010 132,264
149,168 Federal Home Loan Mortgage Corp.,
Pool #298007,
12.00%, 2/1/2016 163,291
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
385,186 Federal Home Loan Mortgage Corp.,
Remic 1899ZG,
8.00%, 6/15/2018 386,004
373,628 Federal Home Loan Mortgage Corp.,
Pool #360037,
10.00%, 9/1/2018 397,212
192,932 Federal Home Loan Mortgage Corp.,
Remic 34D,
9.00%, 3/15/2020 198,594
82,592 Federal Home Loan Mortgage Corp.,
Remic 1302PJ,
8.00%, 5/15/2021 83,231
583,029 Federal Home Loan Mortgage Corp.,
Remic 1261J,
8.00%, 7/15/2021 590,288
108,891 Federal Home Loan Mortgage Corp.,
Remic 1311J,
7.50%, 9/15/2021 109,247
37,138 Federal Home Loan Mortgage Corp.,
Remic 1397D,
7.00%, 10/15/2021 37,052
409,279 Federal Home Loan Mortgage Corp.,
Remic 1316Z,
8.00%, 6/15/2022 418,263
754,000 Federal Home Loan Mortgage Corp.,
Remic 1311K,
7.00%, 7/15/2022 733,157
203,000 Federal Home Loan Mortgage Corp.,
Remic 1312I,
8.00%, 7/15/2022 206,581
159,000 Federal Home Loan Mortgage Corp.,
Remic 1547PK,
7.00%, 10/15/2022 157,871
212,679 Federal Home Loan Mortgage Corp.,
Remic 1706LB,
7.00%, 6/15/2023 208,234
500,000 Federal Home Loan Mortgage Corp.,
Remic 1770PH,
8.00%, 8/15/2023 508,035
</TABLE>
See Notes to Financial Statements 49
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$ 367,000 Federal Home Loan Mortgage Corp.,
Remic 1695EA,
7.00%, 12/15/2023 $ 355,608
225,000 Federal Home Loan Mortgage Corp.,
Remic 1663C,
7.00%, 1/15/2024 220,510
209,125 Federal Home Loan Mortgage Corp.,
Remic 1669NF,
6.60%, 2/15/2024 176,465
105,168 Federal Home Loan Mortgage Corp.,
Remic 1847B,
7.50%, 7/15/2024 105,465
200,000 Federal Home Loan Mortgage Corp.,
Remic 1900N,
7.50%, 11/15/2024 200,402
283,552 Federal Home Loan Mortgage Corp.,
Remic 1924A,
10.00%, 8/15/2025 299,063
265,000 Federal Home Loan Mortgage Corp.,
Remic 1753D,
8.50%, 9/15/2024 274,901
1,264,000 Federal Home Loan Mortgage Corp.,
Remic 2092DL,
8.50%, 9/15/2027 1,330,601
455,156 Federal Home Loan Mortgage Corp.,
Remic 2046PZ,
6.50%, 2/15/2028 417,102
1,065,598 Federal Home Loan Mortgage Corp.,
Remic 2137GT,
6.50%, 3/15/2029 1,014,584
2,977 Federal National Mortgage Assoc.,
Pool #26607,
9.00%, 5/1/2001 2,996
1,720 Federal National Mortgage Assoc.,
Pool #26707,
9.00%, 5/1/2001 1,731
15,874 Federal National Mortgage Assoc.,
Pool #28645,
9.00%, 6/1/2001 15,977
19,083 Federal National Mortgage Assoc.,
Pool #28785,
9.00%, 6/1/2001 19,207
2,277 Federal National Mortgage Assoc.,
Pool #7242,
8.50%, 7/1/2001 2,287
</TABLE>
<TABLE>
$ 233 Federal National Mortgage Assoc.,
Pool #29658,
8.50%, 7/1/2001 $ 234
4,044 Federal National Mortgage Assoc.,
Pool #29470,
9.00%, 7/1/2001 4,070
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
2,184 Federal National Mortgage Assoc.,
Pool #30409,
8.50%, 9/1/2001 2,193
37,810 Federal National Mortgage Assoc.,
Remic 1988-3D,
9.10%, 2/25/2002 37,673
2,327 Federal National Mortgage Assoc.,
Pool #47137,
8.00%, 5/1/2002 2,326
52,365 Federal National Mortgage Assoc.,
Pool #47402,
8.00%, 5/1/2002 52,351
38,854 Federal National Mortgage Assoc.,
Pool #47932,
8.00%, 5/1/2002 38,844
21,498 Federal National Mortgage Assoc.,
Pool #48103,
8.00%, 5/1/2002 21,493
17,263 Federal National Mortgage Assoc.,
Pool #46609,
8.00%, 5/1/2002 17,259
29,521 Federal National Mortgage Assoc.,
Pool #46872,
8.00%, 5/1/2002 29,486
61,222 Federal National Mortgage Assoc.,
Pool #50078,
8.50%, 6/1/2003 61,883
61,831 Federal National Mortgage Assoc.,
Pool #355656,
7.00%, 8/1/2003 61,736
210,025 Federal National Mortgage Assoc.,
Pool #82407,
9.00%, 3/1/2004 215,214
385,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.87%, 10/2/2007 376,808
100,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.58%, 12/17/2007 97,340
</TABLE>
See Notes to Financial Statements 50
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$1,000,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.44%, 1/7/2008 $ 966,959
320,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.50%, 3/19/2008 308,328
1,895,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.48%, 4/2/2008 1,824,046
500,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.61%, 4/10/2008 483,529
827,058 Federal National Mortgage Assoc.,
Remic 1999-43,
7.50%, 12/25/2008 830,673
652,262 Federal National Mortgage Assoc.,
Remic 1994-32Z,
6.50%, 3/25/2009 627,429
1,000,000 Federal National Mortgage Assoc.,
Remic G93-32J,
6.75%, 5/25/2009 981,920
1,117,774 Federal National Mortgage Assoc.,
Remic 1994-38J,
7.00%, 11/25/2012 1,093,272
10,949 Federal National Mortgage Assoc.,
Remic 29-1,
0.00%, 3/1/2018 8,769
114,208 Federal National Mortgage Assoc.,
Pool #87277,
7.50%, 4/1/2018 114,847
44,033 Federal National Mortgage Assoc.,
Remic 1991-141PH,
7.50%, 4/25/2019 43,981
198,201 Federal National Mortgage Assoc.,
Remic 1989-62G,
8.60%, 10/25/2019 204,064
394,945 Federal National Mortgage Assoc.,
Pool #522694,
10.50%, 2/1/2020 425,404
415,000 Federal National Mortgage Assoc.,
Remic 1992-202J,
7.50%, 4/25/2020 415,859
229,530 Federal National Mortgage Assoc.,
Remic 1990-132Z,
7.00%, 11/25/2020 226,407
</TABLE>
<TABLE>
$ 144,899 Federal National Mortgage Assoc.,
Pool #313205,
10.00%, 12/1/2020 $ 153,307
506,806 Federal National Mortgage Assoc.,
Remic 1992-135J,
7.50%, 2/25/2021 509,145
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
400,000 Federal National Mortgage Assoc.,
Remic 1993-26K,
7.00%, 5/25/2021 390,984
142,574 Federal National Mortgage Assoc.,
Remic 1992-131H,
7.50%, 6/25/2021 142,188
210,000 Federal National Mortgage Assoc.,
Remic G-41PT,
7.50%, 10/25/2021 208,856
149,050 Federal National Mortgage Assoc.,
Remic 1991-142PI,
8.00%, 10/25/2021 150,503
276,000 Federal National Mortgage Assoc.,
Remic 1993-4K,
7.50%, 11/25/2021 275,321
279,000 Federal National Mortgage Assoc.,
Remic 1993-1G,
7.50%, 1/25/2022 281,115
64,246 Federal National Mortgage Assoc.,
Pool #12479,
10.50%, 4/1/2022 68,548
557,258 Federal National Mortgage Assoc.,
Remic G92-40ZC,
7.00%, 7/25/2022 548,989
7,687 Federal National Mortgage Assoc.,
Remic 1997-7U,
7.00%, 8/18/2022 7,658
547,454 Federal National Mortgage Assoc.,
Remic 1997-84B,
9.50%, 10/18/2022 565,627
645,000 Federal National Mortgage Assoc.,
Remic 1993-54J,
6.75%, 10/25/2022 611,913
192,000 Federal National Mortgage Assoc.,
Remic 1993-4LA,
8.00%, 1/25/2023 195,302
700,000 Federal National Mortgage Assoc.,
Remic 1993-89D,
7.00%, 6/25/2023 677,724
</TABLE>
See Notes to Financial Statements 51
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$ 8,868 Federal National Mortgage Assoc.,
Remic 1993-244A,
0.00%, 11/25/2023 $ 8,656
423,837 Federal National Mortgage Assoc.,
Remic G93-40ZC,
6.50%, 12/25/2023 393,069
230,000 Federal National Mortgage Assoc.,
Remic G93-38H,
6.50%, 12/25/2023 222,339
2,207,292 Federal National Mortgage Assoc.,
Remic 1994-76KB,
0.00%, 4/25/2024 1,743,506
1,033,000 Federal National Mortgage Assoc.,
Remic 1994-75N,
7.00%, 4/25/2024 1,008,009
403,959 Federal National Mortgage Assoc.,
Remic 1997-63A,
7.00%, 3/18/2026 397,528
313,910 Federal National Mortgage Assoc.,
Remic 1998-34AV,
6.50%, 6/18/2028 284,983
5,909 Government National Mortgage Assoc.,
Pool #8881,
8.25%, 3/15/2006 6,026
825 Government National Mortgage Assoc.,
Pool #9335,
8.25%, 4/15/2006 841
187,426 Government National Mortgage Assoc.,
Pool #9257,
8.25%, 6/20/2025 189,455
513,118 Government National Mortgage Assoc.,
Pool #409781,
8.25%, 8/15/2025 523,168
312,205 Government National Mortgage Assoc.,
Pool #2326,
8.50%, 11/20/2026 319,661
</TABLE>
<TABLE>
$1,195,773 Government National Mortgage Assoc.,
Pool #440640,
8.25%, 6/15/2027 $ 1,218,111
172,782 Government National Mortgage Assoc.,
Pool #453323,
8.25%, 9/15/2027 176,010
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
348,218 Government National Mortgage Assoc.,
Pool #453336,
8.25%, 9/15/2027 354,723
250,926 Government National Mortgage Assoc.,
Pool #427291,
8.25%, 12/15/2027 255,614
200,000 U.S. Treasury Note,
7.75%, 2/15/2001 201,000
2,000,000 U.S. Treasury Strips,
0.00%, 8/15/2002 1,794,958
-----------
Total United States Government and Agency Obligations
(Cost $44,228,401) $43,208,893
-----------
SHORT TERM INVESTMENT--
REPURCHASE AGREEMENT 2.8%
$1,465,963 Bear Stearns & Co., Inc., Dated 9/29/00,
6.50%, Due 10/2/00, Collateralized by
$4,865,000 United States Treasury Strips
Due 2/15/20 (Value $1,495,988)
Total Short Term Investments--Repurchase
Agreement (Cost $1,465,963) $ 1,465,963
-----------
Total Investments (Cost $52,420,639) 99.0% $51,274,775
Other assets in excess of liabilities 1.0% 530,020
----- -----------
Total Net Assets 100.0% $51,804,795
===== ===========
</TABLE>
See Notes to Financial Statements 52
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Assets and Liabilities September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$52,420,639)--Note 2(A) $ 51,274,775
Receivable for investments sold 44,041
Receivable for units sold 91,421
Dividends and interest receivable 476,758
Other assets 16,570
------------
51,903,565
LIABILITIES:
Payable for units redeemed $15,502
Payable to investment manager 16,259
Accrued expenses 67,009 98,770
------- ------------
NET ASSETS at value, applicable to 1,418,246 outstanding
units of
beneficial interest--Note 5 $ 51,804,795
============
NET ASSET VALUE offering and redemption price per unit
($51,804,795 divided by 1,418,246 units) $ 36.53
============
</TABLE>
Statement of Operations Year Ended September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $4,049,385
-------
Total Income $ 4,049,385
Expenses:
Investment manager's fees--Note 3(A) 220,888
Shareholder servicing fees and expenses--Note 3(B) 302,834
Custodian fees and expenses 15,531
Legal and auditing fees 35,271
Consultant fees 13,648
Trustees' fees and expenses--Note 3(C) 29,272
Printing and Postage 14,965
Insurance 6,290
Other 44,541
-------
Total Expenses 683,240
------------
INVESTMENT INCOME--NET 3,366,145
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS--Note
4:
Net realized (loss) on investments (448,981)
Unrealized appreciation on investments 70,880
-------
NET REALIZED AND UNREALIZED (LOSS) ON INVESTMENTS (378,101)
------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,988,044
============
</TABLE>
See Notes to Financial Statements
53
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statements of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999
NET INCREASE (DECREASE) IN NET ASSETS FROM: ------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 3,366,145 $ 3,291,906
Net realized gain (loss) (448,981) 51,580
Net unrealized appreciation (depreciation) 70,880 (2,550,969)
------------ ------------
Net increase in net assets resulting from operations 2,988,044 792,517
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 11,928,564 16,296,336
Value of units redeemed (25,635,391) (14,283,691)
------------ ------------
Net increase (decrease) in net assets resulting from
capital transactions (13,706,827) 2,012,645
------------ ------------
Net increase (decrease) (10,718,783) 2,805,162
------------ ------------
NET ASSETS at beginning of year 62,523,578 59,718,416
------------ ------------
NET ASSETS at end of year $ 51,804,795 $ 62,523,578
============ ============
</TABLE>
See Notes to Financial Statements
54
<PAGE>
SHORT-TERM INVESTMENT FUND
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
CORPORATE BONDS 1.9%
$ 100,000 Wal-Mart Stores, Inc., 8.63%, 4/1/2001 $ 100,926
270,000 Walt Disney Co., Series A, Global Bond,
6.38%, 3/30/2001 269,330
-----------
Total Corporate Bonds (Cost $369,850) $ 370,256
-----------
MORTGAGES 2.3%
$ 436,018 Vendee Mortgage Trust,
Remic 1993-1 H,
7.00%, 3/15/2002 434,997
-----------
Total Mortgages (Cost $434,466) $ 434,997
-----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 86.3%
$ 150,000 Federal Farm Credit Bank,
4.70%, 11/2/2000 $ 149,734
250,000 Federal Farm Credit Bank,
6.94%, 5/3/2001 250,541
300,000 Federal Farm Credit Bank,
6.32%, 6/4/2001 299,517
250,000 Federal Farm Credit Bank,
Medium Term Note,
5.44%, 11/16/2001 246,982
500,000 Federal Home Loan Bank,
5.21%, 10/20/2000 499,571
500,000 Federal Home Loan Bank,
5.29%, 10/27/2000 499,442
50,000 Federal Home Loan Bank,
5.87%, 11/21/2000 49,947
255,000 Federal Home Loan Bank,
5.66%, 12/15/2000 254,477
50,000 Federal Home Loan Bank,
5.20%, 2/23/2001 49,725
100,000 Federal Home Loan Bank,
6.41%, 4/10/2001 99,897
475,000 Federal Home Loan Bank,
6.29%, 8/24/2001 473,415
100,000 Federal Home Loan Bank,
5.15%, 11/5/2001 98,585
100,000 Federal Home Loan Bank,
4.96%, 11/20/2001 98,343
200,000 Federal Home Loan Bank,
5.50%, 11/23/2001 197,756
250,000 Federal Home Loan Bank,
5.64%, 11/27/2001 247,510
100,000 Federal Home Loan Bank,
5.65%, 12/3/2001 99,005
250,000 Federal Home Loan Bank,
6.01%, 1/8/2002 248,190
</TABLE>
<TABLE>
$ 150,000 Federal Home Loan Bank,
7.12%, 2/28/2002 $ 150,168
400,000 Federal Home Loan Bank,
5.73%, 3/18/2002 395,446
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
50,000 Federal Home Loan Bank,
5.52%, 4/19/2002 49,260
400,000 Federal Home Loan Bank,
7.25%, 5/30/2002 401,183
375,000 Federal Home Loan Bank,
7.46%, 6/5/2002 376,804
650,000 Federal Home Loan Bank,
7.02%, 9/19/2002 649,365
210,931 Federal Home Loan Mortgage Corp.,
Gold Pool #L73383,
6.50%, 10/1/2000 210,880
920 Federal Home Loan Mortgage Corp.,
Gold Pool #G50337,
7.50%, 10/1/2000 920
33,069 Federal Home Loan Mortgage Corp.,
Gold Pool #L80044,
6.00%, 11/1/2000 32,879
55,107 Federal Home Loan Mortgage Corp.,
Gold Pool #M80302,
6.00%, 12/1/2000 54,545
43,299 Federal Home Loan Mortgage Corp.,
Pool #220003,
8.75%, 2/1/2001 43,459
250,000 Federal Home Loan Mortgage Corp.,
5.48%, 2/26/2001 248,865
150,000 Federal Home Loan Mortgage Corp.,
5.75%, 6/15/2001 149,162
196,112 Federal Home Loan Mortgage Corp.,
Gold Pool #G40285,
7.50%, 7/1/2001 196,216
21,465 Federal Home Loan Mortgage Corp.,
Pool #200043,
9.00%, 7/1/2001 21,568
334,590 Federal Home Loan Mortgage Corp.,
Gold Pool #M90463,
7.00%, 8/1/2001 333,509
108,932 Federal Home Loan Mortgage Corp.,
Gold Pool #N95881,
7.00%, 8/1/2001 108,356
104,288 Federal Home Loan Mortgage Corp.,
Gold Pool #M80333,
8.00%, 8/1/2001 104,530
</TABLE>
See Notes to Financial Statements 55
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$ 35,726 Federal Home Loan Mortgage Corp.,
Pool #200047,
8.50%, 8/1/2001 $ 35,775
302,927 Federal Home Loan Mortgage Corp.,
Pool #220011,
8.75%, 8/1/2001 304,045
470,421 Federal Home Loan Mortgage Corp.,
Remic 1297K,
7.50%, 9/15/2001 469,829
1,000,000 Federal Home Loan Mortgage Corp.,
5.52%, 9/28/2001 990,367
176,582 Federal Home Loan Mortgage Corp.,
Gold Pool #M80341,
7.50%, 10/1/2001 176,675
90,706 Federal Home Loan Mortgage Corp.,
Gold Pool #L80130,
8.00%, 11/1/2001 90,917
100,000 Federal Home Loan Mortgage Corp.,
Medium Term Note,
6.41%, 11/23/2001 99,673
50,000 Federal Home Loan Mortgage Corp.,
5.50%, 1/28/2002 49,354
119,031 Federal National Mortgage Assoc.,
Pool #50934,
6.50%, 11/1/2000 118,569
2,205 Federal National Mortgage Assoc.,
Pool #190116,
6.50%, 11/1/2000 2,196
75,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.05%, 11/22/2000 74,868
200,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.10%, 11/29/2000 199,591
165,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.82%, 12/5/2000 164,821
1,270,000 Federal National Mortgage Assoc.,
8.25%, 12/18/2000 1,274,027
300,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.16%, 12/22/2000 299,174
424,480 Federal National Mortgage Assoc.,
Pool #266905,
6.50%, 1/1/2001 420,846
$ 76,079 Federal National Mortgage Assoc.,
Pool #264971,
6.50%, 1/1/2001 $ 75,428
</TABLE>
<TABLE>
108,059 Federal National Mortgage Assoc.,
Pool #269915,
6.50%, 1/1/2001 107,324
140,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.18%, 3/15/2001 139,790
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
260,957 Federal National Mortgage Assoc.,
Pool #250065,
7.00%, 4/1/2001 259,740
2,621 Federal National Mortgage Assoc.,
Pool #190778,
6.00%, 5/1/2001 2,597
1,150,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.65%, 6/1/2001 1,143,314
500,000 Federal National Mortgage Assoc.,
6.63%, 6/5/2001 500,064
100,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.00%, 6/21/2001 99,601
100,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.00%, 7/17/2001 99,554
95,523 Federal National Mortgage Assoc.,
Pool #250131,
8.00%, 8/1/2001 95,624
275,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.25%, 10/1/2001 271,492
135,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.40%, 10/16/2001 134,607
500,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.38%, 11/19/2001 493,582
69,567 Federal National Mortgage Assoc.,
Pool #250161,
7.50%, 12/1/2001 69,592
100,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.43%, 12/28/2001 98,687
250,000 Federal National Mortgage Assoc.,
Medium Term Note,
6.61%, 1/18/2002 249,506
</TABLE>
See Notes to Financial Statements 56
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Investments
September 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$ 100,000 Federal National Mortgage Assoc.,
5.75%, 3/15/2002 $ 98,938
350,000 Federal National Mortgage Assoc.,
Medium Term Note,
5.75%, 3/20/2002 346,267
50,000 Federal National Mortgage Assoc.,
6.59%, 7/15/2002 49,824
55,000 Federal National Mortgage Assoc.,
6.50%, 7/29/2002 54,709
-----------
Total United States Government and Agency
Obligations (Cost $16,577,189) $16,550,719
-----------
</TABLE>
<TABLE>
SHORT TERM INVESTMENT--
REPURCHASE AGREEMENT 8.1%
<CAPTION>
PRINCIPAL
AMOUNT VALUE
------ -----
<C> <S> <C> <C>
$1,561,464 Bear Stearns & Co., Inc., Dated 9/29/00,
6.50%, Due 10/2/00, Collateralized by
$5,180,000 United Stabtes Treasury Strips
Due 2/15/20 (Value $1,592,850) $ 1,561,464
-----------
Total Short Term Investment--Repurchase
Agreement (Cost $1,561,464) $ 1,561,464
-----------
Total Investments (Cost $18,942,969) 98.6% $18,917,436
Other assets in excess of liabilities 1.4% 252,671
----- -----------
Total Net Asset 100.0% $19,170,107
===== ===========
</TABLE>
See Notes to Financial Statements 57
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Assets and Liabilities September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$18,942,969)--Note 2(A) $18,917,436
Receivable for investments sold 14,394
Receivable for units sold 40,013
Dividends and interest receivable 255,401
Other assets 26,884
-----------
19,254,128
LIABILITIES:
Payable for units redeemed $ 30,583
Payable to investment manager 3,851
Accrued expenses 49,587 84,021
-------- -----------
NET ASSETS at value, applicable to 780,533 outstanding
units of
beneficial interest--Note 5 $19,170,107
===========
NET ASSET VALUE offering and redemption price per unit
($19,170,107 divided by 780,533 units) $ 24.56
===========
</TABLE>
Statement of Operations Year Ended September 30, 2000
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $1,422,843
----------
Total Income $1,422,843
Expenses:
Investment manager's fees--Note 3(A) 58,398
Shareholder servicing fees and expenses--Note 3(B) 138,980
Custodian fees and expenses 14,074
Legal and auditing fees 31,595
Consultant fees 13,648
Trustees' fees and expenses--Note 3(C) 29,272
Printing and Postage 14,965
Insurance 1,807
Other 33,981
----------
Total Expenses 336,720
Less expense reimbursement--Note 3(A) (149,448)
----------
Net Expenses 187,272
----------
INVESTMENT INCOME--NET 1,235,571
REALIZED AND UNREALIZED (LOSS) ON INVESTMENTS--Note 4:
Net realized (loss) on investments (33,216)
Unrealized (depreciation) on investments (9,912)
----------
NET REALIZED AND UNREALIZED (LOSS) ON INVESTMENTS (43,128)
----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $1,192,443
==========
</TABLE>
See Notes to Financial Statements
58
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statements of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 1,235,571 $ 1,259,324
Net realized (loss) (33,216) (40,124)
Net unrealized (depreciation) (9,912) (54,097)
------------ ------------
Net increase in net assets resulting from operations 1,192,443 1,165,103
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 17,448,731 28,862,046
Value of units redeemed (26,757,039) (35,125,697)
------------ ------------
Net (decrease) in net assets resulting from capital
transactions (9,308,308) (6,263,651)
------------ ------------
Net (decrease) (8,115,865) (5,098,548)
NET ASSETS at beginning of year 27,285,972 32,384,520
------------ ------------
NET ASSETS at end of year $ 19,170,107 $ 27,285,972
============ ============
</TABLE>
See Notes to Financial Statements
59
<PAGE>
NOTES TO FINANCIAL STATEMENTS
NOTE 1--GENERAL
Participation in RSI Retirement Trust ("RSI") is limited to
IRA's and trusts established by eligible employers, which
include banks, savings banks, credit unions, savings and loan
associations and other organizations determined by the Trustees
of RSI to have business interests in common with organizations
participating in RSI. Such trusts are exempt from taxation
under Section 501(a) of the Internal Revenue Code ("Code") and
have been established under pension or profit sharing plans
which are qualified under Section 401 of the Code
("Participating Plans").
In order to provide investment products to Participating
Plans, RSI operates, pursuant to an Agreement and Declaration
of Trust amended effective as of August 31, 1984 ("Trust
Agreement"), as a series fund currently issuing, as of
September 30, 2000, seven classes of units of beneficial
interest: Core Equity Fund, Emerging Growth Equity Fund, Value
Equity Fund, International Equity Fund, Actively Managed Bond
Fund, Intermediate-Term Bond Fund and Short-Term Investment
Fund ("Investment Funds"). The Trust Agreement was amended in
1984 to provide for the continued operation of RSI as an
open-end management investment company under the Investment
Company Act of 1940 ("Act"). Retirement System Distributors
Inc. ("Distributors") acts as the distributor of the Investment
Funds' units of beneficial interest. The Distributor is a
wholly owned subsidiary of Retirement System Group Inc.
("RSGroup-Registered Trademark-").
The financial statements of the Investment Funds are
presented on a combined and individual basis. The combined
financial statements should be read in conjunction with the
individual financial statements.
NOTE 2--SIGNIFICANT ACCOUNTING POLICIES
(A) SECURITIES VALUATION: Except for debt securities with
remaining maturities of 60 days or less, investments for
which market prices are available are valued as follows:
(1) each listed equity security is valued at its closing
price obtained from the respective primary exchange on
which the security is listed, or, if there were no
sales on that day, at its last reported current closing
price or bid price;
(2) each unlisted equity security quoted on the NASDAQ is
valued at the last current bid price obtained from the
NASDAQ;
(3) United States Government and agency obligations and
certain other debt obligations are valued based upon
bid quotations from various market makers for identical
or similar obligations;
(4) short-term money market instruments (such as
certificates of deposit, bankers' acceptances and
commercial paper) are most often valued by bid
quotation or by reference to bid quotations of
available yields for similar instruments of issuers
with similar credit ratings.
60
<PAGE>
Debt securities with remaining maturities of 60 days or
less are valued on the basis of amortized cost. In the absence
of an ascertainable market value, investments are valued at
their fair value as determined by the officers of RSI using
methods and procedures reviewed and approved by the RSI's
Trustees.
Investments and other assets and liabilities denominated in
foreign currencies are translated to United States dollars at
the prevailing rate of exchange. It is not practical to isolate
that portion of income arising from changes in the exchange
rates from the portion arising from changes in the market
prices of securities.
(B) SECURITIES TRANSACTIONS AND INVESTMENT INCOME: Securities
transactions are recorded on a trade date plus one basis.
Realized gain and loss from securities transactions are
recorded on a specific cost basis. Dividend income is
recognized on the ex-dividend date or when the dividend
information is known; interest income, including, where
applicable, amortization of discount and premium on
investments and zero coupon bonds, is recognized on an
accrual basis.
The Investment Funds may enter into repurchase agreements
with financial institutions, deemed to be creditworthy by
the Investment Funds' Manager, subject to the sellers'
agreement to repurchase and the Funds' agreement to resell
such securities at a mutually agreed upon price. Securities
purchased subject to repurchase agreements are deposited
with the Investment Funds' custodian and, pursuant to the
terms of the repurchase agreement, must have an aggregate
market value greater than or equal to the repurchase price
plus accrued interest at all times. If the value of the
underlying securities falls below the value of the
repurchase price plus accrued interest, the Investment
Funds will require the seller to deposit additional
collateral by the next business day. If the request for
additional collateral is not met, or the seller defaults on
its repurchase obligation, the Investment Funds maintain
the right to sell the underlying securities at market value
and may claim any resulting loss against the seller.
(C) SECURITIES LOANS: The Investment Funds lend their
securities to other market participants and receive
compensation in the form of fees or they retain a portion
of interest on the investment of any cash received as
collateral. The Investment Funds also continue to receive
interest or dividends on the securities loaned. The loans
are secured by collateral at least equal, at all times, to
the fair value of the securities loaned plus accrued
interest. Gain or loss in the fair value of the securities
loaned that may occur during the term of the loan will be
for the account of the Investment Funds.
Collateral is recognized as an asset and the obligation to
return the collateral is recognized as a liability in all
cases where cash collateral is received. When other forms
of collateral are received the assets and liabilities are
generally not recognized as the counterparties have the
ability to reclaim the collateral on short notice from the
funds.
61
<PAGE>
(D) DIVIDENDS TO UNITHOLDERS: RSI does not normally declare
nor pay dividends on its net investment income or capital
gains.
(E) FEDERAL INCOME TAXES: RSI has received a determination
letter from the Internal Revenue Service stating that it is
exempt from taxation under Section 501(a) of the Internal
Revenue Code with respect to funds derived from
Participating Plans which are pension or profit sharing
trusts maintained in conformity with Section 401 of the
Code.
(F) ACCOUNTING ESTIMATES: The preparation of financial
statements in conformity with generally accepted accounting
principles requires management to make estimates and
assumptions that affect the reported amounts of assets and
liabilities and disclosure of contingent liabilities at the
date of the financial statements and the reported amounts
of increase and decrease in net assets from operations
during the year. Actual results could differ from those
estimates.
(G) OTHER: RSI accounts separately for the assets, liabilities
and operations of each Investment Fund. Expenses directly
attributed to each Investment Fund are charged to that
Investment Fund's operations; expenses which are applicable
to all Investment Funds are allocated among them.
Administrative expenses incurred by RSI relating to the
administration of Plans of Participation are charged to
Full Participation Employers (as defined in the Trust
Agreement) and are not included in the operation of the
Investment Funds.
The Investment Funds may enter into financial futures
contracts which require initial margin deposits of cash or
U.S. Government securities equal to approximately 10% of
the value of the contract. During the period the financial
futures are open, changes in the value of the contracts are
recognized by "marking to market" on a daily basis to
reflect the market value of the contracts at the close of
each day's trading. Accordingly, variation margin payments
are made or received to reflect daily unrealized gains or
losses. The Investment Fund is exposed to market risk as a
result of movements in securities, values and interest
rates.
(H) OPTIONS VALUATION: The Investment Funds may write call
options on equity securities. Premiums received for call
options written are recorded as a liability and "marked to
market" daily to reflect the current value of the option
written. If the written option is not exercised prior to
expiration, the premium received is treated as a realized
gain. If the written option is exercised, the premium
received is added to the sale proceeds of the underlying
security.
62
<PAGE>
NOTE 3--INVESTMENT MANAGERS' FEES AND OTHER TRANSACTIONS WITH
AFFILIATES
(A) Retirement System Investors Inc. ("Investors") is the
Investment Advisor for each investment Fund. Investors has
retained sub-advisors to manage the International Equity
Fund and a portion of the Emerging Growth Equity Fund.
Investors acts as Investment Manager to the remaining Trust
Investment Funds, and in the case of all Investment Funds,
exercises general oversight with respect to the portfolio
management, including reporting of manager performance to
the Trustees and Investment Committee, compliance matters,
sub-advisory portfolio analysis, and presentations to
unitholders.
Beginning January 7, 2000, Investors increased its
portfolio management of the Emerging Growth Equity Fund to
50%. HLM Management Company, Inc. continues as a
sub-advisor for the balance of the Emerging Growth Equity
Fund.
Fees incurred by Investors pursuant to the provisions of
its investment management contracts are payable monthly to
Investors and quarterly to all sub-advisors and are
computed based on the value of the net assets of each
Investment Fund determined on a monthly or quarterly basis
as appropriate at the rates listed in the following table.
The table of rates below are those as of September 30, 2000
as approved by the unitholders.
<TABLE>
<CAPTION>
INVESTMENT FUND INVESTMENT MANAGER FEE
--------------- ------------------ ---
<S> <C> <C>
Core Equity Fund Retirement System .60% on first $50 million
Investors Inc. .50% on next $150 million,
and .40% over $200 million
Value Equity Fund Retirement System .60% on first $50 million,
Investors Inc. .50% on next $150 million,
and .40% over $200 million
Emerging Growth Retirement System 1.00%
Equity Fund Investors Inc. 1.00% on first $25
HLM Management million,
Company, Inc. .80% on next $25 million,
(sub-advisor) and .60% over $50 million
International Bank of Ireland .75% on first $20 million,
Equity Fund Asset .50% on next $30 million,
Management (U.S.) and .35% over $50 million
Limited
(sub-advisor)
Actively Managed Retirement System .40% on first $50 million,
Bond Fund Investors Inc. .30% on next $100 million,
and .20% over $150 million
</TABLE>
63
<PAGE>
<TABLE>
<CAPTION>
INVESTMENT FUND INVESTMENT MANAGER FEE
--------------- ------------------ ---
<S> <C> <C>
Intermediate-Term Retirement System .40% on first $50 million,
Bond Fund Investors Inc. .30% on next $100 million,
and .20% over $150 million
Short-Term Retirement System .25% on first $50 million,
Investment Fund Investors Inc. and .20% over $50 million
</TABLE>
RSI's investment management agreement with Investors
provides for Investors to receive a management fee of 0.20%
per annum of the average daily net assets of the Investment
Funds that employ a sub-advisor. For the year ended
September 30, 2000, Investors has voluntarily waived a
portion of its investment manager's fee from the Short-Term
Investment Fund amounting to $149,448, to limit the Fund's
annual expenses to 0.80% of average net assets.
(B) Shareholder servicing fees and expenses for the year ended
consist of fees paid to Retirement System Consultants Inc.,
(a subsidiary of RSGROUP-REGISTERED TRADEMARK-) under a
contract for providing administrative services for the
Investment Funds. The fee arrangement applicable for each
of the Investment Funds is as follows:
<TABLE>
<CAPTION>
AVERAGE NET ASSETS FEE
------------------ ---
<S> <C>
First $25 million .60%
Next $25 million .50%
Next $25 million .40%
Over $75 million .30%
</TABLE>
(C) Each Trustee who is not an officer of RSI receives an
annual fee of $9,500 and a fee of $950 per meeting
attended, except that such fee is $400 for a telephonic
meeting. Several Trustees also participate in a deferred
compensation plan which permits each Trustee to defer
payment of a portion of their fees. A Trustee and several
officers of RSI are also officers of
RSGROUP-REGISTERED TRADEMARK- and its subsidiaries.
NOTE 4--SECURITIES TRANSACTIONS
The following summarizes the securities transactions, other
than short-term securities, by the various Investment Funds for
the year ended September 30, 2000:
<TABLE>
<CAPTION>
PURCHASES SALES
--------- -----
<S> <C> <C>
Core Equity Fund $ 10,737,610 $ 20,229,824
Value Equity Fund 63,668,377 78,519,514
Emerging Growth Equity Fund 124,830,001 150,458,519
International Equity Fund 20,792,696 17,060,179
Actively Managed Bond Fund 27,446,336 59,334,145
Intermediate-Term Bond Fund 7,976,802 18,361,042
</TABLE>
64
<PAGE>
Net unrealized appreciation (depreciation) consisting of
gross unrealized appreciation and gross unrealized depreciation
at September 30, 2000 for each of the Investment Funds was as
follows:
<TABLE>
<CAPTION>
NET UNREALIZED GROSS GROSS
APPRECIATION UNREALIZED UNREALIZED
(DEPRECIATION) APPRECIATION DEPRECIATION
-------------- ------------ ------------
<S> <C> <C> <C>
Core Equity Fund $128,812,901 $132,444,765 $ (3,631,864)
Value Equity Fund 16,799,560 21,969,442 (5,169,882)
Emerging Growth Equity Fund 19,172,073 30,657,075 (11,485,002)
International Equity Fund 2,714,793 7,523,627 (4,808,834)
Actively Managed Bond Fund (7,177,854) 1,285,414 (8,463,268)
Intermediate-Term Bond Fund (1,145,865) 139,997 (1,285,862)
Short-Term Investment Fund (25,533) 19,088 (44,621)
</TABLE>
The following summarizes the market value of securities
that were on loan to brokers and the value of securities and
cash held as collateral for these loans at September 30, 2000:
<TABLE>
<CAPTION>
VALUE OF
SECURITIES VALUE OF
LOANED COLLATERAL
------ ----------
<S> <C> <C>
Core Equity Fund $ 2,685,730 $ 2,959,039
Value Equity Fund 5,594,629 5,883,416
Emerging Growth Equity Fund 16,924,740 18,551,325
International Equity Fund 4,566,001 4,893,444
</TABLE>
These securities lending arrangements may result in
significant credit exposure in the event the counterparty to
the transaction was unable to fulfill its contractual
obligations. In accordance with industry practice, the
securities lending agreements are generally collaterized by
cash or securities with a market value in excess of the
Investment Funds obligation under the contract. The Investment
Funds attempt to minimize credit risk associated with these
activities by monitoring broker credit exposure and collateral
values on a daily basis and requiring additional collateral to
be deposited with or returned to the Investment Funds when
deemed necessary.
For the year ended September 30, 2000, the Emerging Growth
Equity Fund and the Value Equity Fund each had expenses paid
through brokerage/service arrangements which amounted to $5,175
and $26,263 respectively.
65
<PAGE>
NOTE 5--CAPITAL TRANSACTIONS:
At September 30, 2000 there were an unlimited number of
units of beneficial interest authorized for each Investment
Fund.
Transactions in the units of beneficial interest of each
Investment Fund for the year ended September 30, 2000 were as
follows:
<TABLE>
<CAPTION>
CORE EQUITY VALUE EQUITY
FUND FUND
---- ----
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 457,165 $ 52,313,461 292,308 $ 22,506,304
Units redeemed (397,897) (45,240,744) (466,623) (37,303,210)
-------- ------------ -------- ------------
Net increase
(decrease) 59,268 $ 7,072,717 (174,315) $(14,796,906)
======== ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
EMERGING GROWTH INTERNATIONAL
EQUITY FUND EQUITY FUND
----------- -----------
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 440,240 $ 50,850,883 257,272 $16,774,286
Units redeemed (629,817) (74,936,848) (217,526) (13,765,035)
-------- ------------ -------- -----------
Net increase
(decrease) (189,577) $(24,085,965) 39,746 $ 3,009,251
======== ============ ======== ===========
</TABLE>
<TABLE>
<CAPTION>
ACTIVELY MANAGED INTERMEDIATE-TERM
BOND FUND BOND FUND
--------- ---------
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 932,288 $ 35,035,493 340,455 $ 11,928,564
Units redeemed (1,966,932) (73,933,906) (732,367) (25,635,391)
---------- ------------ -------- ------------
Net increase
(decrease) (1,034,644) $(38,958,413) (391,912) $(13,706,827)
========== ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM
INVESTMENT FUND
---------------
UNITS AMOUNT
----- ------
<S> <C> <C>
Units sold 734,869 $ 17,448,731
Units redeemed (1,126,219) (26,757,039)
---------- ------------
Net increase
(decrease) (391,350) $ (9,308,308)
========== ============
</TABLE>
66
<PAGE>
Transactions in the units of beneficial interest of each
Investment Fund for the year ended September 30, 1999 were as
follows:
<TABLE>
<CAPTION>
CORE VALUE
EQUITY FUND EQUITY FUND
----------- -----------
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 232,825 $ 32,286,369 322,785 $ 23,902,497
Units redeemed (813,497) (83,603,978) (280,637) (28,708,085)
-------- ------------ -------- ------------
Net increase
(decrease) (580,672) $(51,317,609) 42,148 $ (4,805,588)
======== ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
EMERGING GROWTH INTERNATIONAL
EQUITY FUND EQUITY FUND
----------- -----------
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 219,060 $ 15,660,494 328,739 $ 18,155,816
Units redeemed (285,013) (19,050,135) (196,704) (10,410,771)
-------- ------------ -------- ------------
Net increase
(decrease) (65,953) $ (3,389,641) 132,035 $ 7,745,045
======== ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
ACTIVELY MANAGED INTERMEDIATE-TERM
BOND FUND BOND FUND
--------- ---------
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 1,478,003 $ 55,604,217 475,910 $ 16,296,336
Units redeemed (830,998) (31,115,385) (417,042) (14,283,691)
--------- ------------ -------- ------------
Net increase
(decrease) 647,005 $ 24,488,832 58,868 $ 2,012,645
========= ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM
INVESTMENT FUND
---------------
UNITS AMOUNT
----- ------
<S> <C> <C>
Units sold 1,268,707 $ 28,862,046
Units redeemed (1,548,299) (35,125,697)
---------- ------------
Net increase
(decrease) (279,592) $ (6,263,651)
========== ============
</TABLE>
67
<PAGE>
Net Assets at September 30, 2000 are comprised as follows:
<TABLE>
<CAPTION>
EMERGING
CORE EQUITY VALUE GROWTH EQUITY INTERNATIONAL
FUND FUND FUND EQUITY FUND
---- ---- ---- -----------
<S> <C> <C> <C> <C>
Paid-in capital
(deficit) $(191,700,175) $(47,533,622) $(68,219,902) $ 8,547,996
Accumulated income
(loss) 49,970,552 20,891,010 (6,187,214) (1,825,409)
Accumulated realized
gain 213,607,812 98,288,480 153,938,011 47,546,312
Unrealized
appreciation 128,812,900 16,799,560 19,172,072 2,721,861
------------- ------------ ------------ -----------
$ 200,691,089 $ 88,445,428 $ 98,702,967 $56,990,760
============= ============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM ACTIVELY
INVESTMENT INTERMEDIATE-TERM MANAGED
FUND BOND FUND BOND FUND
---- --------- ---------
<S> <C> <C> <C>
Paid-in capital (deficit) $(26,633,769) $(96,031,288) $(63,673,490)
Accumulated income 44,573,463 133,280,101 188,785,255
Accumulated realized gain 1,255,946 15,701,847 35,996,539
Unrealized appreciation
(depreciation) (25,533) (1,145,865) (7,177,854)
------------ ------------ ------------
$19,170,107 $ 51,804,795 $153,930,450
============ ============ ============
</TABLE>
68
<PAGE>
NOTE 6--FINANCIAL INSTRUMENTS WITH OFF-BALANCE SHEET RISK:
The Investment Funds' activity during the year in writing
equity call options had off-balance sheet risk of accounting
loss. These financial instruments involve market risk in excess
of the amount recognized in the Statement of Assets and
Liabilities. A written equity call option obligates an
Investment Fund to deliver the underlying security upon
exercise by the holder of the option. The Investment Funds
cover options written by owning the underlying security.
A summary of the Investment Funds' option transactions
written for the year follows:
<TABLE>
<CAPTION>
NUMBER OF
OPTIONS PREMIUMS
CONTRACTS RECEIVED
--------- --------
<S> <C> <C>
CORE EQUITY FUND
Contracts outstanding at September 30, 1999 - $ -
Options written 200 154,370
Options exercised (200) (154,370)
Options expired - -
---- ---------
Contracts outstanding at September 30, 2000 0 $ 0
==== =========
VALUE EQUITY FUND
Contracts outstanding at September 30, 1999 - $ -
Options written 27 7,352
Options exercised (7) (2,189)
Options expired (20) (5,163)
---- ---------
Contracts outstanding at September 30, 2000 0 $ 0
==== =========
</TABLE>
As of September 30, 2000, the International Equity Fund had
outstanding forward currency contracts as set forth below.
These contracts are reported in the financial statements at the
Fund's net gain of $13,407 which is the difference between the
forward foreign exchange rates at the dates of entry into the
contracts and the forward rates at September 30, 2000.
<TABLE>
<CAPTION>
SETTLEMENT UNREALIZED
FORWARD CURRENCY CONTRACTS DATE GAIN (LOSS)
-------------------------- ---- -----------
<C> <S> <C> <C>
Long Contracts
British Sterling Pounds for
19,829 U.S. $29,043 10/3/00 $ 275
British Sterling Pounds for
20,228 U.S. $29,625 10/4/00 282
3,414,063 Japanese Yen for U.S. $31,794 10/3/00 (200)
Short Contracts
Japanese Yen for U.S.
31,672,000 $299,052 10/5/00 5,819
Japanese Yen for U.S.
52,193,000 $490,787 10/23/00 6,006
Japanese Yen for U.S.
42,841,000 $400,056 10/30/00 1,025
-------
$13,407
=======
</TABLE>
69
<PAGE>
NOTE 7--FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CORE EQUITY FUND
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999 9/30/1998 9/30/1997 9/30/1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER UNIT OPERATING PERFORMANCE:*
(for a unit outstanding
throughout the year)
Net Asset Value, Beginning of
Year $106.30 $79.41 $76.11 $56.57 $46.71
--------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 0.33 0.37 0.58 0.60 0.72
Net realized and unrealized gain
on investments 11.45 26.52 2.72 18.94 9.14
--------- --------- --------- --------- ---------
Total from Investment Operations 11.78 26.89 3.30 19.54 9.86
--------- --------- --------- --------- ---------
Net Asset Value, End of the Year $118.08 $106.30 $79.41 $76.11 $56.57
========= ========= ========= ========= =========
TOTAL RETURN 11.08 % 33.86 % 4.34 % 34.54 % 21.11 %
RATIOS/SUPPLEMENTAL DATA:
Ratios to Average Net Assets
Expenses (0.99)% (0.97)% (0.94)% (0.90)% (0.92)%
Investment Income--net 0.29 % 0.37 % 0.72 % 0.92 % 1.40 %
Portfolio Turnover Rate 5.86 % 8.89 % 5.62 % 5.68 % 9.95 %
Net Assets at End of the Year
($1,000's) $200,691 $174,373 $176,367 $212,273 $217,356
</TABLE>
* Using average units basis.
70
<PAGE>
NOTE 7--FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
VALUE EQUITY FUND
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999 9/30/1998 9/30/1997 9/30/1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER UNIT OPERATING PERFORMANCE:*
(for a unit outstanding
throughout the year)
Net Asset Value, Beginning of
Year $72.01 $56.27 $57.36 $39.67 $32.63
--------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 0.73 0.66 0.57 0.60 0.72
Net realized and unrealized gain
(loss) on investments 15.36 15.08 (1.66) 17.09 6.32
--------- --------- --------- --------- ---------
Total from Investment Operations 16.09 15.74 (1.09) 17.69 7.04
--------- --------- --------- --------- ---------
Net Asset Value, End of the Year $88.10 $72.01 $56.27 $57.36 $39.67
========= ========= ========= ========= =========
TOTAL RETURN 22.34 % 27.97 % (1.90 )% 44.59 % 21.58 %
RATIOS/SUPPLEMENTAL DATA:
Ratios to Average Net Assets
Expenses (1.05)% (1.02)% (1.11)% (1.20)% (1.20)%
Investment Income--net 0.91 % 0.94 % 0.93 % 1.26 % 1.98 %
Portfolio Turnover Rate 71.85 % 90.14 % 95.66 % 99.25 % 61.53 %
Net Assets at End of the Year
($1,000's) $88,445 $84,839 $63,931 $60,389 $52,231
</TABLE>
* Using average units basis.
71
<PAGE>
NOTE 7--FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
EMERGING GROWTH EQUITY FUND
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999 9/30/1998 9/30/1997 9/30/1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER UNIT OPERATING PERFORMANCE:*
(for a unit outstanding
throughout the year)
Net Asset Value, Beginning of
Year $80.96 $54.90 $84.47 $67.07 $52.58
--------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment (loss)--net (1.62) (1.05) (0.90) (0.95) (0.90)
Net realized and unrealized gain
(loss) on investments 52.00 27.11 (28.67) 18.35 15.39
--------- --------- --------- --------- ---------
Total from Investment Operations 50.38 26.06 (29.57) 17.40 14.49
--------- --------- --------- --------- ---------
Net Asset Value, End of the Year $131.34 $80.96 $54.90 $84.47 $67.07
========= ========= ========= ========= =========
TOTAL RETURN 62.23 % 47.47 % (35.01)% 25.94 % 27.56 %
RATIOS/SUPPLEMENTAL DATA:
Ratios to Average Net Assets
Expenses (1.79)% (1.99)% (1.94)% (1.98)% (1.91)%
Investment (loss)--net (1.37)% (1.55)% (1.22)% (1.39)% (1.54)%
Portfolio Turnover Rate 137.97 % 222.98 % 204.41 % 177.68 % 150.40 %
Net Assets at End of the Year
($1,000's) $98,703 $76,191 $55,287 $91,589 $92,136
</TABLE>
* Using average units basis.
72
<PAGE>
NOTE 7--FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY FUND
---------------------------------------------------------------
YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
9/30/2000 9/30/1999 9/30/1998 9/30/1997 9/30/1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER UNIT OPERATING PERFORMANCE:*
(for a unit outstanding
throughout the year)
Net Asset Value, Beginning of Year $55.87 $45.44 $51.09 $45.25 $40.25
--------- --------- --------- --------- ---------
Income from Investment Operations:
Investment income (loss)--net 0.09 (0.21) (0.14) (0.14) (0.08)
Net realized and unrealized gain
(loss) on investments 5.86 10.64 (5.51) 5.98 5.08
--------- --------- --------- --------- ---------
Total from Investment Operations 5.95 10.43 (5.65) 5.84 5.00
--------- --------- --------- --------- ---------
Net Asset Value, End of the Year $61.82 $55.87 $45.44 $51.09 $45.25
========= ========= ========= ========= =========
TOTAL RETURN 10.65 % 22.95 % (11.06)% 12.91 % 12.42 %
RATIOS/SUPPLEMENTAL DATA:
Ratios to Average Net Assets
Expenses (1.64)% (1.97)% (1.94)% (1.96)% (1.93)%
Investment Income (Loss)--net 0.14 % (0.39)% (0.27)% (0.29)% (0.20)%
Portfolio Turnover Rate 30.82% 120.42% 92.82% 61.87% 51.29%
Net Assets at End of the Year
($1,000's) $56,991 $49,288 $34,083 $35,276 $39,602
</TABLE>
* Using average units basis.
73
<PAGE>
NOTE 7--FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
ACTIVELY MANAGED BOND FUND
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999 9/30/1998 9/30/1997 9/30/1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER UNIT OPERATING PERFORMANCE:*
(for a unit outstanding
throughout the year)
Net Asset Value, Beginning of
Year $37.21 $37.73 $33.89 $30.79 $29.58
--------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 2.67 2.32 2.19 2.04 1.80
Net realized and unrealized gain
(loss) on investments (0.57) (2.84) 1.65 1.06 (0.59)
--------- --------- --------- --------- ---------
Total from Investment Operations 2.10 (0.52) 3.84 3.10 1.21
--------- --------- --------- --------- ---------
Net Asset Value, End of the Year $39.31 $37.21 $37.73 $33.89 $30.79
========= ========= ========= ========= =========
TOTAL RETURN 5.64 % (1.38)% 11.33 % 10.07 % 4.09 %
RATIOS/SUPPLEMENTAL DATA:
Ratios to Average Net Assets
Expenses (0.82)% (0.78)% (0.81)% (0.81)% (0.80)%
Investment Income--net 7.09 % 6.17 % 6.16 % 6.32 % 5.94 %
Portfolio Turnover Rate 16.81 % 42.18 % 71.12 % 69.29 % 17.14 %
Net Assets at End of the Year
($1,000's) $153,930 $184,197 $162,355 $147,139 $150,304
</TABLE>
* Using average units basis.
74
<PAGE>
NOTE 7--FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
INTERMEDIATE-TERM BOND FUND
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999 9/30/1998 9/30/1997 9/30/1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER UNIT OPERATING PERFORMANCE:*
(for a unit outstanding
throughout the year)
Net Asset Value, Beginning of
Year $34.54 $34.10 $31.55 $29.30 $28.01
--------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 2.07 1.85 1.93 1.78 1.74
Net realized and unrealized gain
(loss) on investments (0.08) (1.41) 0.62 0.47 (0.45)
--------- --------- --------- --------- ---------
Total from Investment Operations 1.99 0.44 2.55 2.25 1.29
--------- --------- --------- --------- ---------
Net Asset Value, End of the Year $36.53 $34.54 $34.10 $31.55 $29.30
========= ========= ========= ========= =========
TOTAL RETURN 5.76 % 1.29 % 8.08 % 7.68 % 4.61 %
RATIOS/SUPPLEMENTAL DATA:
Ratios to Average Net Assets
Expenses (1.20)% (1.12)% (1.10)% (1.04)% (0.98)%
Investment Income--net 5.90 % 5.40 % 5.92 % 5.86 % 6.06 %
Portfolio Turnover Rate 14.39 % 50.51 % 107.30 % 67.95 % 13.20 %
Net Assets at End of the Year
($1,000's) $51,805 $62,524 $59,718 $68,389 $74,754
</TABLE>
75
<PAGE>
NOTE 7--FINANCIAL HIGHLIGHTS (CONTINUED)
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENT FUND
---------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
9/30/2000 9/30/1999 9/30/1998 9/30/1997 9/30/1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
PER UNIT OPERATING PERFORMANCE:*
(for a unit outstanding
throughout the year)
Net Asset Value, Beginning of
Year $23.28 $22.31 $21.23 $20.24 $19.31
--------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 1.26 1.05 1.06 0.97 0.94
Net realized and unrealized gain
(loss) on investments 0.02 (0.08) 0.02 0.02 (0.01)
--------- --------- --------- --------- ---------
Total from Investment Operations 1.28 0.97 1.08 0.99 0.93
--------- --------- --------- --------- ---------
Net Asset Value, End of the Year $24.56 $23.28 $22.31 $21.23 $20.24
========= ========= ========= ========= =========
TOTAL RETURN 5.50 % 4.35 % 5.09 % 4.89 % 4.82 %
RATIOS/SUPPLEMENTAL DATA:
Ratios to Average Net Assets
Expenses (0.80)% (0.80)% (0.80)% (0.80)% (0.80)%
Investment income--net 5.28 % 4.63 % 4.89 % 4.67 % 4.76 %
Decrease in above expense ratio
due to fee waiver 0.64 % 0.46 % 0.50 % 0.45 % 0.39 %
Net Assets at End of the Year
($1,000's) $19,170 $27,286 $32,385 $27,021 $25,668
</TABLE>
* Using average units basis.
76
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
---------------------------------------------------------------
To the Board of Trustees and Unitholders of
RSI Retirement Trust
In our opinion, the accompanying combined and individual
statements of assets and liabilities, including the schedules
of investments, and the related statements of operations and of
changes in net assets and the financial highlights present
fairly, in all material respects, the financial position of the
Core Equity Fund, Value Equity Fund, Emerging Growth Equity
Fund, International Equity Fund, Actively Managed Bond Fund,
Intermediate-Term Bond Fund and Short-Term Investment Fund
series of RSI Retirement Trust, (hereafter referred to as the
"Funds") at September 30, 2000, the results of each of their
operations for the year then ended, the changes in each of
their net assets for each of the two years then ended, and the
financial highlights for each of the five years presented, in
conformity with accounting principles generally accepted in the
United States of America. These financial statements and
financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Funds' management;
our responsibility is to express an opinion on these financial
statements based on our audits. We conducted our audits of
these financial statements in accordance with accounting
principles generally accepted in the United States of America
which require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements are
free of material misstatement. An audit includes examining, on
a test basis, evidence supporting the amounts and disclosures
in the financial statements, assessing the accounting
principles used and significant estimates made by management,
and evaluating the overall financial statement presentation. We
believe that out audits, which included confirmation of
securities at September 30, 2000 by correspondence with the
custodian and brokers, provide a reasonable basis for our
opinion. The financial statements for the year ended
September 30, 1998, including the financial highlights for each
of the three years in the period then ended, were audited by
other independent accountants whose report dated October 30,
1998 expressed an unqualified opinion on those financial
statements.
PricewaterhouseCoopers LLP
New York, New York
November 3, 2000
77
<PAGE>
2000 ANNUAL MEETING
RESULTS
On April 28, 2000, RSI Retirement Trust held its Annual
Meeting of Trust Participants to consider: (1) the election of
six Trustees for terms of three years, (2) ratification or
rejection of PricewaterhouseCoopers LLP as independent
accountants of RSI Retirement Trust for the fiscal year ending
September 30, 2000, and (3) approval of a new investment
management agreement between RSI Retirement Trust and
Retirement System Investors Inc. ("Investors"), providing for
an increase in the fees payable to Investors with respect to
management of the Value Equity Fund at all asset levels over
$10 million. These results, which are unaudited, follow:
<TABLE>
<CAPTION>
PROPOSAL 1: ELECTION OF TRUSTEES
--------------------------------
SHARES % OF SHARES VOTED % OF OUTSTANDING SHARES
<S> <C> <C> <C>
NOMINEE:
Herbert G. Chorbajian
FOR 7,283,176 99.11 63.19
AGAINST 65,084 .89 .56
ABSTAIN 0 0 --
NOMINEE:
James P. Cronin
FOR 7,283,176 99.11 63.19
AGAINST 65,084 .89 .56
ABSTAIN 0 0 --
NOMINEE:
Ralph L. Hodgkins, Jr.
FOR 7,282,864 99.11 63.19
AGAINST 65,396 .89 .57
ABSTAIN 0 0 --
NOMINEE:
Joseph L. Mancino
FOR 7,283,176 99.11 63.19
AGAINST 65,084 .89 .56
ABSTAIN 0 0 --
NOMINEE:
William L. Schrauth
FOR 7,282,864 99.11 63.19
AGAINST 65,396 .89 .57
ABSTAIN 0 0 --
NOMINEE:
William E. Swan
FOR 7,283,176 99.11 63.19
AGAINST 65,084 .89 .56
ABSTAIN 0 0 --
</TABLE>
78
<PAGE>
Trustees Candace Cox, William Dannecker, Maurice E.
Kinkade, William G. Lillis, William A. McKenna, Jr. and Raymond
L. Willis are serving terms that did not expire during the
fiscal year ended September 30, 2000.
<TABLE>
<CAPTION>
PROPOSAL 2: APPROVAL OF INDEPENDENT ACCOUNTANTS
-----------------------------------------------
SHARES % OF SHARES VOTED % OF OUTSTANDING SHARES
<S> <C> <C> <C>
FOR 7,401,542 99.75 64.22
AGAINST 17,872 .24 .16
ABSTAIN 502 .01 --
<CAPTION>
PROPOSAL 3: APPROVAL OF NEW INVESTMENT MANAGEMENT AGREEMENT
-----------------------------------------------------------
SHARES % OF SHARES VOTED % OF OUTSTANDING SHARES
<S> <C> <C> <C>
FOR 834,307 99.02 67.20
AGAINST 7,322 .87 .59
ABSTAIN 931 .11 .07
</TABLE>
79
<PAGE>
OFFICERS
---------------------------------------------------------------
William Dannecker, President
James P. Coughlin, C.F.A., Executive Vice President and Chief
Investment Officer
Stephen P. Pollak, Esq., Executive Vice President, Counsel and
Secretary
Heidi Viceconte, Vice President and Treasurer
John F. Meuser, Senior Vice President
Durando J. Saccente, Senior Vice President
Veronica A. Fisher, Vice President and Assistant Treasurer
Deborah A. Modzelewski, Vice President
Kenneth Berkson, First Vice President
Stephen A. Hughes, First Vice President
G. Michael Morgenroth, First Vice President
Barbara Schenk, First Vice President
Judith Neibloom, Second Vice President
CONSULTANTS
---------------------------------------------------------------
Actuarial--Retirement System Consultants Inc.
Administrative and Recordkeeping--Retirement System Consultants
Inc.
Investments--Hewitt Investment Group (a Division of Hewitt
Associates, LLC)
INVESTMENT MANAGERS
---------------------------------------------------------------
Bank of Ireland Asset Management (U.S.) Limited
HLM Management Company, Inc.
Retirement System Investors Inc.
CUSTODIAN
---------------------------------------------------------------
Custodial Trust Company
DISTRIBUTOR
---------------------------------------------------------------
Retirement System Distributors Inc.
TRANSFER AGENT
---------------------------------------------------------------
Retirement System Consultants Inc.
INDEPENDENT AUDITORS
---------------------------------------------------------------
PricewaterhouseCoopers LLP
COUNSEL
---------------------------------------------------------------
Swidler Berlin Shereff Friedman, LLP
80
<PAGE>
BOARD OF TRUSTEES
---------------------------------------------------------------
Herbert G. Chorbajian
Vice Chairman
Charter One Financial, Inc.,
Cleveland, OH
Candace Cox
Managing Director
Emerald Capital Advisors, LLC, New York, NY
James P. Cronin
President, Treasurer and Chief Executive Officer
The Dime Savings Bank of Norwich, Norwich, CT
William Dannecker
Chairman and Chief Executive Officer
Retirement System Group Inc., New York, NY
Ralph L. Hodgkins, Jr.
Retired Chief Executive Officer
Mid Maine Savings Bank, FSB, Auburn, ME
Maurice E. Kinkade
Director of Development
Maplebrook School, Amenia, NY
Willliam G. Lillis
Real Estate Consultant
Joseph L. Mancino
Chairman and Chief Executive Officer
The Roslyn Savings Bank, Jericho, NY
William A. McKenna, Jr.
Chairman, President and Chief Executive Officer
Ridgewood Savings Bank, Ridgewood, NY
William L. Schrauth
Chairman of the Board of Trustees
The Savings Bank of Utica, Utica, NY
William E. Swan
President and Chief Executive Officer
First Niagara Bank, Lockport, NY
Raymond L. Willis
Private Investments
81
<PAGE>
[LOGO]
BROKER/DEALER:
RETIREMENT SYSTEM
DISTRIBUTORS INC.
317 Madison Avenue
New York, NY 10017-5201
800-772-3615
www.rsgroup.com
