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Previous: PUTNAM AMERICAN GOVERNMENT INCOME FUND, NSAR-A, 2000-05-26 |
Next: NUCLEUS INC, PRE 14A, 2000-05-26 |
<PAGE>
SEMI-ANNUAL REPORT
RSI RETIREMENT TRUST
CORE EQUITY FUND
VALUE EQUITY FUND
EMERGING GROWTH EQUITY FUND
INTERNATIONAL EQUITY FUND
[PHOTO] ACTIVELY MANAGED BOND FUND
INTERMEDIATE-TERM BOND FUND
SHORT-TERM INVESTMENT FUND
MARCH 31, 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.................... 9
Financial Statements of Investment Funds..... 11
Core Equity Fund............................. 11
Value Equity Fund............................ 15
Emerging Growth Equity Fund.................. 19
International Equity Fund.................... 23
Actively Managed Bond Fund................... 28
Intermediate-Term Bond Fund.................. 35
Short-Term Investment Fund................... 42
Notes to Financial Statements.................... 47
Officers, Consultants, Investment Managers,
Custodian, Distributor, Transfer Agent......... 64
Board of Trustees................................ 65
</TABLE>
[LOGO]
is a registered trademark of Retirement System Group Inc.
This Semi-Annual Report is unaudited.
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:
During the first half of our fiscal year--October 1, 1999
through March 31, 2000--the performance returns generated by
the equity markets were extraordinary, with most of the major
market indices reflecting high double-digit returns. However,
many investors felt equities were overvalued at the end of the
March quarter, and the April "correction," which has continued
into May, has brought things back to reality.
Two of the RSI Retirement Trust's equity funds--the
Emerging Growth Equity Fund and the Value Equity
Fund--performed extremely well in the six-month period covered
by this report. Each outperformed its respective Lipper
benchmark by more than five percentage points, with Emerging
Growth returning 70.15% and Value returning 14.66%.
While calendar year 1999 was a lackluster year for bonds,
there was some recovery during the period covered in this
report, with most indices reflecting modestly positive returns.
Long-term results, once again, were a source of
satisfaction for the Trust. Six of the seven funds outperformed
their Lipper benchmarks for the 15-year period ended March 31,
2000. This impressive performance was accomplished while the
portfolio managers kept within the style parameters deemed
appropriate for their funds. As always, the Trustees are
mindful of the fact that they are responsible for investing
retirement plan and IRA assets exclusively, assets that should
be invested with discipline and without exposure to undue
risks.
At this point, the underlying strength of the economy
continues unabated. While there is an ongoing threat of
inflation, the Federal Reserve has been trying to minimize this
hazard with interest rate hikes. The course of future stock
prices will depend on the success of containing inflation.
On behalf of the Board of Trustees, I thank our unitholders
for choosing RSI Retirement Trust to help meet your retirement
savings objectives. If you have any questions, please call me
at 212-503-0101.
Sincerely,
/s/William Dannecker
William Dannecker
President and Trustee
May 15, 2000
1
<PAGE>
INVESTMENT REVIEW
EQUITY FUNDS
After a lackluster third quarter, 1999, the first quarter of
fiscal year 2000 (i.e., fourth quarter 1999) was very strong.
All the major market indices reflected double-digit returns,
with the exception of the value-related indices, which were
quite depressed. It was a period when growth stocks (small-,
mid- and large-cap stocks) continued to outperform, with
small-cap stocks, as represented by the Russell 2000 Growth
Index, the front runner by a substantial degree, up 33.4% for
the quarter. Mid- to large-cap growth stocks, as measured by
the Russell 1000 Growth Index, were also very strong, with the
Index up 25.1%. Value stocks were the laggards, with the
Russell 2000 Value Index (representing small-cap value stocks)
being most depressed, at 1.5%, and the Russell 1000 Value Index
(which includes mid- to large-cap value stocks) somewhat
stronger, at 5.4% for the period. Technology and Internet and
related stocks were the place to be invested during the fourth
quarter. The NASDAQ (OTC) Composite, which is dominated by
technology stocks, returned 48.2% for the fourth quarter.
Non-U.S. stocks, as measured by the MSCI EAFE Index,
reflected a strong relative performance for the fourth quarter,
up 17.0%. The Pacific Basin contributed significantly to
non-U.S. returns, including Hong Kong, Japan and Singapore,
which were each up over 25%. During this period, the emerging
markets equities were the only major asset grouping to
challenge the performance of U.S. technology stocks. The Morgan
Stanley Emerging Markets Free Index rose 25.5%, its strongest
quarterly return since the fourth quarter of 1993.
For the second three months of fiscal year 2000, the
markets started off weak, and this trend continued into
February, with two exceptions: technology stocks and small-cap
growth and value stocks, which were the most successful for the
month. For February, the NASDAQ (OTC) Composite was
significantly up, at 19.2%, followed by the Russell small-cap
indices, which reflected returns of 23.3% (Russell 2000 Growth
Index), 16.5% (Russell 2000 Index, a blend of growth and value
stocks) and 6.1% for the Russell 2000 Value Index. In March,
there definitely was a flight to quality as large-cap value
stocks were clearly in favor, with the Russell 1000 Value Index
up 12.2% and the S&P 500 Index, a proxy for the broad equity
index, up 9.8%. Small-cap growth stocks (conservative to very
aggressive growth companies) were totally out-of-favor in
March, with a double digit loss of -10.5% experienced by the
Russell 2000 Growth Index. This downward trend has continued
subsequent to quarter end March 31, 2000.
Non-U.S. stocks, as represented by the MSCI EAFE Index,
reflected monthly returns for the quarter of -6.4%, 2.7%, and
3.9%, respectively, and ended the quarter about break-even
at -0.1%. For the quarter, Japan continued to reflect solid
performance, with the Nikkei 225 Index reaching the 20,000
level for the first time since July, 1997. However, although
the European Markets outperformed the U.S. for the quarter in
local currency terms, the weak Euro currency vis-a-vis the U.S.
dollar detracted from gains. Emerging markets were much less
buoyant for the quarter versus the fourth quarter results, with
the Morgan Stanley Emerging Markets Free Index up nominally, at
2.4%.
Overall, the six months ended March 31, 2000, was a period
that reflected unique double digit returns, with the NASDAQ
(OTC) Composite Index up over 66%, followed by the Russell 2000
Growth Index at 45.8%, the Russell 1000 Growth
2
<PAGE>
Index at 34.1%, the Russell 2000 Index at 26.8%, the S&P 500
Index, up 17.5% and MSCI EAFE, at 16.9%. For the fiscal
half-year, both large-cap and small-cap value stocks lagged
growth stocks, a situation that also prevailed for the 1999
fiscal half-year.
For the past six months, the U.S. experienced very strong
economic growth in a climate of reasonably low, but increasing
inflation, low unemployment, an evolving inverted interest rate
yield curve, respectable corporate profits and ongoing merger
activity. Perhaps with the exception of the now inverted yield
curve, the other factors have continued to help propel the
stock market, albeit with much more pronounced volatility on an
intra-day and intra-month basis.
Economic growth (Gross Domestic Product, or "GDP") was
extraordinarily strong, growing at an annualized rate of 7.3%
for the fourth quarter, 1999 (versus 6.0% for the fourth
quarter, 1998). The momentum for the first quarter continues,
with GDP forecast estimates ranging from 5% to 6%, annualized.
Signs of an overheated economy, along with the recent
higher inflation numbers and the Federal Reserve policy-makers'
committment to increase rates in an attempt to slow down the
economy, led to the stock markets starting to unravel in April.
Internet and technology stocks were the hardest hit, with the
NASDAQ (OTC) Composite down 15.6% for April. A cloud has been
hovering over the markets in general, most significantly
affecting technology stocks, due in part to the recent anti-
trust ruling against Microsoft Corporation. This comes on the
back of Microsoft's lackluster results for the quarter. This
situation has just added to the dynamics of the volatile nature
of the markets, which is adversely affecting investor
sentiment, especially for the technology stocks and small-cap
aggressive growth companies. A flight to quality appears to be
underway and is evidenced by the strong relative performance of
value stocks in March, a trend that continued in April.
For the six months ended March 31, 2000, the pattern
changed, with small-cap growth stocks staging a major come
back. In this environment, the Trust's Emerging Growth Equity
Fund reflected a return of 70.15% and substantially
outperformed the Trust large-cap growth Core Equity Fund and
its large-cap Value Equity Fund, which achieved returns of
11.38% and 14.66%, respectively. (For the past six-months ended
March 31, 1999, the latter two funds turned in very strong
double digit results). The International Equity Fund, thanks to
a 20%+ return for the fourth quarter, 1999, finished the recent
six-month period up 21.73% (versus 16.95% for the same period
last year).
CORE EQUITY FUND
The Core Equity Fund posted an 11.38% return for the six months
ended March 31, 2000, compared to the 21.65% return of the
Lipper Large-Cap Core Funds Average, its performance benchmark.
For the one-year period ended March 31, 2000, the Core Fund
returned 17.47%, while the Lipper benchmark returned 21.70% for
the same period. Over the longer term (15 years ended
March 31, 2000), however, the Core Fund outperformed its
benchmark, achieving a 17.23% annualized return, compared to
the 16.05% annualized return of the Lipper Large-Cap Core Funds
Average.
3
<PAGE>
The Core Equity Fund's 15-year annualized return of 17.23%
was achieved while taking less risk (as measured by standard
deviation) than the overall market, as represented by the S&P
500. The standard deviation of return for the Fund was 14.61
versus 15.06 for the index over the 15-year period.
VALUE EQUITY FUND
The Value Equity Fund achieved a 14.66% return for the fiscal
year-to-date, ended March 31, 2000, easily outperforming the
8.76% return of its performance benchmark, the Lipper Multi-Cap
Value Funds Average. For the one-year period ended March 31,
2000, the Value Equity returned 16.39%, exceeding the Lipper
benchmark's return of 7.97% by a substantial margin. With this
performance, the Value Fund ranked in the top 17% of its Lipper
grouping (81st out of 480 funds) for the 12-month period.
For the five years ended March 31, 2000, the Value Fund
recorded an annualized return of 23.72%, compared to the 16.32%
annualized return of its benchmark. This performance placed it
in the top 3% (6th out of 204 funds) of its Lipper grouping.
(It should be noted that Retirement System Investors commenced
managing the Fund on April 1, 1995, or five years ended
March 31, 2000.) For the longer time periods, the Fund also
outperformed its Lipper benchmark. For the 15 years ended
March 31, 2000, Value exceeded its Lipper benchmark by 115
basis points with an annualized return of 14.49% versus 13.34%
for the benchmark.
EMERGING GROWTH EQUITY FUND
The Emerging Growth Equity Fund returned 70.15% for the six
months ended March 31, 2000, comparing favorably to its
benchmark, the Lipper Small-Cap Growth Funds Average, which
returned 64.98%. For the one-year period ended March 31, 2000,
the Fund achieved a 108.49% return, outperforming the 93.41%
return of its Lipper benchmark by an impressive margin. The
Fund reflected an annualized return of 28.12% for the five-year
period ended March 31, 2000, compared to the 25.03% return of
its benchmark. For the 15 years ended March 31, 2000, the
Emerging Growth Equity Fund achieved an annual return of
18.20%, surpassing the benchmark's annual return of 16.39% for
the same period. For this 15-year period, the Fund ranked in
the top third of its Lipper benchmark grouping (3rd out of 9
funds).
INTERNATIONAL EQUITY FUND
The International Equity Fund's return for the six-month period
ended March 31, 2000 was 21.73%, while the Lipper International
Equity Funds Average, the Fund's performance benchmark,
returned 26.65%. For the one-year period ended March 31, 2000,
the Fund returned 27.98%, compared to its Lipper benchmark's
return of 39.77%. For the longer time periods (5 years, 10
years and 15 years ended March 31, 2000), the Fund also
underperformed versus its Lipper benchmark.
Although the International Equity Fund's 15-year annualized
return of 13.51% trailed the Lipper International Funds Average
for this period, the return was achieved with appreciably less
risk (as measured by standard deviation) than the market, as
measured by the MSCI EAFE Index. The standard deviation of
return for the Fund was 15.89 versus 18.91 for the index over
this time period.
4
<PAGE>
FIXED-INCOME FUNDS
In the fourth quarter of 1999, we saw inflation, as measured by
the Consumer Price Index (CPI, i.e., Urban Consumers seasonally
adjusted data, as reported by the U.S. Department of Labor) was
a non-factor, up only 0.2% for the quarter (the same scenario
that existed for the fourth quarter of 1998). However, for the
first quarter of 2000, inflation reared its ugly side, up 1.7%.
Major increases in energy prices have been a driving factor for
the spike up in inflation (in relative terms). Interest rates
did rise during the fourth quarter, but in the first quarter,
the yield curve inverted as a result of the Fed's announcement
of the debt buyback program. The short end of the yield curve
responded when the Fed met on November 16, 1999, and raised
both the Fed Funds rate and the discount rate by 25 basis
points, to 5.50% and 5.00%, respectively. At both meetings in
the first quarter of 2000, the Fed again repeated the quarter
percentage point respective rate hikes, bringing the Fed Funds
rate to 6.0% and the discount rate to 5.5%.
During the six-months ended March 31, 2000, the six-month
Treasury Bill rose to 6.15% from 4.95% at September 30, 1999,
an increase of 120 basis points. The one-year Treasury rose one
full percentage point to 6.2% over this period, while the
30-year Treasury declined to 5.8% at the recent quarter-end,
down from 6.1% at September 30, 1999. The 10-year Treasury
ended the six-month fiscal half year period at 6.0%, up
marginally from the 5.9% at the start of fiscal year 2000. This
security is now considered by many to be the benchmark Treasury
as the supply of 30-year bonds diminishes. The 90-Day Treasury
Bill was ahead of the 30-year Treasury Bond at March 31, 2000
by 0.1% -- 5.9% versus 5.8%, respectively. Interest rate
spreads at the intermediate to long end of the yield curve for
the past six months initially contracted, but for the quarter
ending March 31, 2000, the situation changed. Mortgage spreads
to Treasuries widened to 193 basis points from 132 basis points
at December 31, 1999 and 140 basis points at September 31,
1999. Corporate spreads (the spread between the 10-year AA/A
Corporate Bond and the 10-year Treasury) widened to 119 basis
points from 86 basis points at calendar year end and 97 basis
points at the start of fiscal year 2000.
For the fourth quarter of 1999, fixed-income total returns
(interest plus price changes), as measured by the Lehman
Brothers Aggregate Bond Index, reflected a near break-even
return, at -0.12%. For the first quarter of 2000, with
contracting interest rate, the Index rebounded nicely with a
2.21% return and finished the fiscal half-year at 2.08%. For
the short- to intermediate-term securities (represented by the
Lehman Brothers Government-Intermediate Bond Index), the total
fourth quarter return was flat at -0.04%, but rebounded nicely
to 1.63% for the first quarter and 1.59% for the recent
six-month period. Cash equivalent-type investments (the 90-Day
Treasury Bills), with the benefit of higher interest rates,
finished the first quarter at 1.36%, up from the 1.24% return
realized for the fourth quarter, and 2.61% for the six-months
ended March 31, 2000.
ACTIVELY MANAGED BOND FUND
The Actively Managed Bond Fund returned 1.69% for the six
months ended March 31, 2000, while its benchmark, the Lipper
U.S. Government Bond Funds Average, returned 1.80% for the same
period. For the one-year period ended March 31, 2000, the Fund
returned -0.50%, while its benchmark returned 0.75%.
5
<PAGE>
With an annualized return of 6.67% for the five years ended
March 31, 2000, the Fund outpaced the benchmark, which returned
6.11%. This performance put the Fund in the top 17% of its
Lipper grouping (21st out of 126 funds). The Fund's annualized
return was 8.59% for the 15 years ended March 31, 2000, while
the Lipper benchmark returned 7.66% per year. For the 15-year
period, the Fund was the top performer (1st out of 16 funds) in
its Lipper grouping.
The Fund continues to emphasize quality of holdings, with
more than 94% in U.S. Government and other AAA-rated
securities. At March 31, 2000, the average maturity and average
duration of portfolio holdings was 8.1 years and 5.6 years,
respectively, compared to 8.8 years and 6.1 years,
respectively, at the start of fiscal year 2000.
INTERMEDIATE-TERM BOND FUND
For the six-month period ended March 31, 2000, the
Intermediate-Term Bond Fund returned 1.36%, compared to the
1.25% return of its benchmark, the Lipper Short-Intermediate
(one to five years maturity) U.S. Government Funds Average. For
the five-year period ended March 31, 2000, the Fund returned
5.82% per year, while the benchmark achieved a 5.47% annualized
return. For the 15 years ended March 31, 2000, the Fund, with
an annualized return of 7.98%, outperformed its benchmark's
return of 7.68% per year. For this period, the Fund was the
top-performing fund in its grouping (1st out of 4 funds).
The Intermediate-Term Bond Fund continues to emphasize
quality of holdings, with over 94% in U.S. Government and other
AAA-rated securities. At March 31, 2000, the average maturity
and average duration of all portfolio holdings was 3.6 years
and 2.7 years, respectively, versus 4.1 years and 3.1 years,
respectively, at the start of fiscal year 2000.
SHORT-TERM INVESTMENT FUND
For the six months ended March 31, 2000, the Short-Term
Investment Fund posted a return of 2.15%, versus the 2.51%
return of the Lipper Money Market Funds Average (a
representative benchmark). The Fund achieved a 4.80% annual
return for the five-year period ended March 31, 2000,
comparable to the 4.93% return of its Lipper benchmark. For the
15 years ended March 31, 2000, the Fund produced an annual
return of 5.57%, while the Lipper benchmark's annualized return
was 5.55%.
The Short-Term Investment Fund continues to emphasize
quality of holdings, with 78.8% in U.S. Government securities,
9.9% in A1/P1 or higher rated commercial paper, 3.8% in
AA-rated securities and 7.5% in A-rated issues. The average
maturity of portfolio holdings declined about 10% to 265 days
at March 31, 2000 , from 280 days at September 30, 1999.
6
<PAGE>
EQUITY FUNDS
NET INVESTMENT PERFORMANCE1
FOR PERIODS ENDED MARCH 31, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Annualized
---------------------------------------
6 Months 1 Year 3 Years 5 Years 10 Years 15 Years
-------- ------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
CORE EQUITY FUND 11.38% 17.47% 25.03% 25.34% 17.07% 17.23%
Lipper Large-Cap Core
Funds Average 21.65 21.70 26.08 24.42 17.13 16.05
VALUE EQUITY FUND 14.66 16.39 22.64 23.72 15.66 14.49
Lipper Multi-Cap
Value Funds Average2 8.76 7.97 12.96 16.32 13.40 13.34
EMERGING GROWTH
EQUITY FUND 70.15 108.49 30.98 28.12 22.01 18.20
Lipper Small-Cap
Growth Funds
Average2 64.98 93.41 37.34 25.03 20.03 16.39
INTERNATIONAL EQUITY
FUND3 21.73 27.98 13.81 13.62 9.43 13.51
Lipper International
Equity Funds
Average3 26.65 39.77 18.02 15.42 10.68 15.25
</TABLE>
1. All performance results shown are net of management fees
and all related expenses, unless otherwise footnoted.
2. Lipper Inc. (a Reuters company) 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.
3. The International Equity Fund was started on May 1, 1984.
The inception date for all other funds was January 1, 1983.
---------------------------------------------------------------
7
<PAGE>
FIXED-INCOME FUNDS*
NET INVESTMENT PERFORMANCE(1)
FOR PERIODS ENDED MARCH 31, 2000
---------------------------------------------------------------
<TABLE>
<CAPTION>
Annualized
---------------------------------------
6 Months 1 Year 3 Years 5 Years 10 Years 15 Years
-------- ------- ------- ------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
ACTIVELY MANAGED BOND
FUND 1.69% (0.50)% 6.38% 6.67% 7.80% 8.59%
Lipper U.S.
Government Bond
Funds Average(2) 1.80 0.75 5.77 6.11 7.02 7.66
INTERMEDIATE-TERM
BOND FUND 1.36 1.60 5.27 5.82 6.81 7.98
Lipper Short-
Intermediate
(1 to 5 year
maturity) U.S.
Government Funds
Average(2) 1.25 1.64 4.93 5.47 6.57 7.68
SHORT-TERM INVESTMENT
FUND 2.15 4.21 4.73 4.80 4.61 5.57
Lipper Money Market
Funds Average(2) 2.51 4.72 4.82 4.93 4.73 5.55
</TABLE>
* The inception date for all fixed-income funds was
January 1, 1983.
1. All performance results shown are net of management fees
and all related expenses, unless otherwise footnoted.
2. Lipper Inc. (a Reuters company) 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.
---------------------------------------------------------------
8
<PAGE>
COMBINED FINANCIAL STATEMENTS
RSI RETIREMENT TRUST
Combined Statement of Assets and Liabilities March 31, 2000
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$517,445,144)--Note 2(A) $695,792,141
Cash 6,507,231
Receivable for investments sold 1,895,775
Receivable for units sold 3,435,256
Dividends and interest receivable 2,163,553
Collateral for securities loaned, at fair
value--Note 4 552,500
Other assets 142,772
------------
710,489,228
LIABILITIES:
Payable for investments purchased $1,620,577
Payable upon return of securities
loaned--Note 4 552,500
Options written, at value (premiums
received $79,022) 167,750
Payable for units redeemed 503,795
Payable for investment managers 325,540
Net loss on forward foreign currency
contracts 134,010
Accrued expenses 664,163 3,968,335
---------- ------------
NET ASSETS--Note 5 $706,520,893
============
</TABLE>
Combined Statement of Operations Six Months Ended March 31,
2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $1,892,834
Interest 10,472,517
----------
Total Income $12,365,351
Expenses:
Investment manager's fees--Note 3(A) 1,800,507
Shareholder servicing fees and
expenses--Note 3(B) 1,560,951
Custodian fees and expenses 134,550
Legal and auditing fees 100,040
Consultant fees 34,727
Trustees' fees and expenses--Note 3(C) 133,904
Printing and Postage 64,442
Insurance 34,471
Other 121,949
----------
Total Expenses 3,985,541
Less fees paid indirectly--Note 4 (21,175)
Less expense reimbursement--Note 3(A) (72,927)
Net Expenses 3,891,439
-----------
INVESTMENT INCOME--NET 8,473,912
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS--Note 4:
Realized gain (loss) on:
Investments 62,856,077
Options written 5,163
Foreign currency transactions (81,164)
----------
62,780,076
----------
Unrealized appreciation (depreciation) on
investments:
Investments 27,884,268
Options written (88,728)
Foreign currency translations of other
assets and liabilities (3,033)
----------
27,792,507
----------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS 90,572,583
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $99,046,495
===========
</TABLE>
See Notes to Financial Statements
9
<PAGE>
RSI RETIREMENT TRUST (CONTINUED)
Combined Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED 3/31/00 9/30/99
(UNAUDITED) (AUDITED)
------------- -------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 8,473,912 $ 15,982,409
Net realized gain 62,780,076 53,911,923
Net unrealized appreciation 27,792,507 36,209,054
------------- -------------
Net increase in net assets resulting from
operations 99,046,495 106,103,386
------------- -------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 148,117,496 190,767,775
Value of units redeemed (199,341,250) (222,297,742)
------------- -------------
Net (decrease) in net assets resulting from
capital transactions (51,223,754) (31,529,967)
------------- -------------
Net increase 47,822,741 74,573,419
NET ASSETS at beginning of year 658,698,152 584,124,733
------------- -------------
NET ASSETS at end of year $ 706,520,893 $ 658,698,152
============= =============
</TABLE>
See Notes to Financial Statements
10
<PAGE>
FINANCIAL STATEMENTS OF INVESTMENT FUNDS
CORE EQUITY FUND
Statement of Investments
March 31, 2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
COMMON STOCKS 95.2%
BANKING 8.4%
48,683 Bank of America Corp. $ 2,552,815
65,576 Chase Manhattan Corp. 5,717,408
136,283 Citigroup, Inc. 8,083,285
5,500 Washington Mutual, Inc. 145,750
------------
16,499,258
------------
BEVERAGES & TOBACCO 0.2%
5,500 Anheuser-Busch
Cos., Inc. 342,375
------------
BROADCASTING &
PUBLISHING 0.1%
2,000 Time Warner, Inc. 200,000
------------
BUILDING PRODUCTS 2.0%
91,500 Armstrong World
Industries, Inc. 1,635,563
39,000 Southdown, Inc. 2,301,000
------------
3,936,563
------------
CHEMICALS 1.4%
53,300 E.I. Du Pont De
Nemours & Co. 2,818,238
------------
COMPUTER SOFTWARE &
PERIPHERALS 2.4%
44,000 BMC Software, Inc.* 2,169,750
41,875 Computer Associates
International, Inc. 2,478,477
------------
4,648,227
------------
COMPUTER SYSTEMS 17.7%
178,200 EMC Corp.* 22,274,999
32,200 Hewlett-Packard Corp. 4,268,513
67,000 International Business
Machines Corp. 7,906,000
------------
34,449,512
------------
DIVERSIFIED 3.6%
135,189 Honeywell
International, Inc. 7,122,770
------------
DRUG, HEALTH CARE &
PHARMACEUTICALS 10.3%
2,500 Elan Corp. Plc* 118,750
93,900 Johnson & Johnson 6,578,869
88,571 Merck & Co., Inc. 5,502,473
212,400 Pfizer, Inc. 7,765,874
------------
19,965,966
------------
ELECTRONICS & ELECTRICAL 21.1%
219,600 Cisco Systems, Inc.* 16,977,825
125,800 Emerson Electric & Co. 6,651,675
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
131,800 Intel Corp. $ 17,372,887
700 Texas Instruments, Inc. 112,000
------------
41,114,387
------------
ENERGY 8.7%
83,458 BP Amoco Plc--Spons ADR 4,428,490
114,081 Royal Dutch Petroleum Co. 6,566,787
113,800 Texaco, Inc. 6,102,525
------------
17,097,802
------------
FINANCIAL SERVICES 1.8%
62,210 Fannie Mae 3,510,977
------------
INSURANCE 4.3%
77,151 American International
Group, Inc. 8,448,035
------------
MACHINERY & ENGINEERING 2.0%
89,926 Ingersoll-Rand Co. 3,979,226
------------
METALS & MINING 0.2%
5,612 Alcoa, Inc. 394,243
------------
OFFICE & BUSINESS
EQUIPMENT 0.8%
61,127 Xerox Corp. 1,589,302
------------
OIL & GAS EXPLORATION,
PRODUCTION & SERVICES 1.7%
82,905 Halliburton Co. 3,399,105
------------
RETAIL 0.2%
5,200 Tiffany & Co. 434,850
500 Wal-Mart Stores, Inc. 27,750
------------
462,600
------------
TELECOMMUNICATIONS 5.5%
175,364 Lucent
Technologies, Inc. 10,653,363
2,000 MCI WorldCom, Inc.* 90,750
------------
10,744,113
------------
TELECOMMUNICATIONS
EQUIPMENT 2.8%
700 Corning, Inc. 135,800
84,600 Tellabs, Inc.* 5,324,513
------------
5,460,313
------------
TRANSPORTATION &
SHIPPING 0.0%
500 United Parcel Service,
Inc. 31,500
------------
Total Common Stocks (Cost $46,236,765) $186,214,512
------------
</TABLE>
See Notes to Financial Statements 11
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
SHORT TERM INVESTMENTS
REPURCHASE AGREEMENT 4.5%
$8,757,911 Bear Stearns &
Co., Inc., Dated
3/31/00, 5.99%, Due
4/3/00, Collateralized
by $35,555,000 United
States Treasury Bond
Due 08/15/23 (Value
$8,933,194) $ 8,757,911
------------
Total Short Term
Investments--Repurchase
Agreements (Cost $8,757,911)
$ 8,757,911
------------
Total Investments (Cost $54,994,676) 99.7% $194,972,423
------------
</TABLE>
<TABLE>
<CAPTION>
EXPIRATION
# OF DATE /
CONTRACTS STRIKE PRICE VALUE
- --------- ------------ -----
<C> <S> <C> <C> <C>
WRITTEN COVERED CALL
OPTIONS 0.1%
50 EMC Corp. April 2000 / 95 $ (157,500)
20 EMC Corp. April 2000 / 130 (10,250)
------------
Total Written Covered Call Options
(Premiums Received $79,022) $ (167,750)
------------
Other assets in excess of liabilities 0.4% 790,003
----- ------------
Total Net Assets 100.0% $195,594,676
===== ============
</TABLE>
*Denotes non-income producing security.
See Notes to Financial Statements 12
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$54,994,676)--Note 2(A) $194,972,423
Receivable for investments sold 213,593
Receivable for units sold 728,509
Dividends and interest receivable 98,166
Other assets 15,166
------------
196,027,857
LIABILITIES:
Options written, at value (premiums
received $79,022) $167,750
Payable for units redeemed 80,291
Payable for investment managers 84,821
Accrued expenses 100,319 433,181
------------
NET ASSETS at value, applicable to 1,651,983
outstanding units of beneficial
interest--Note 5 $195,594,676
============
NET ASSET VALUE offering and redemption price
per unit
($195,594,676 divided by 1,651,983 units) $ 118.40
============
</TABLE>
Statement of Operations Six Months Ended March 31, 2000
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 883,306
Interest 146,743
----------
Total Income $ 1,030,049
Expenses:
Investment manager's fees--Note 3(A) 476,951
Shareholder servicing fees and
expenses--Note 3(B) 346,255
Custodian fees and expenses 15,189
Legal and auditing fees 14,865
Consultant fees 4,961
Trustees' fees and expenses--Note 3(C) 16,738
Printing and Postage 9,206
Insurance 11,573
Other 13,039
Net Expenses 908,777
-----------
INVESTMENT INCOME--NET 121,272
REALIZED AND UNREALIZED GAIN ON
INVESTMENTS--Note 4:
Net realized gain on:
Investments 4,920,390
----------
4,920,390
----------
Unrealized appreciation (depreciation) on:
Investments 15,028,057
Options written (88,728)
----------
14,939,329
----------
NET REALIZED AND UNREALIZED GAIN 19,859,719
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $19,980,991
===========
</TABLE>
See Notes to Financial Statements
13
<PAGE>
CORE EQUITY FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
3/31/00 9/30/99
(UNAUDITED) (AUDITED)
------------ ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 121,272 $ 751,531
Net realized gain 4,920,390 28,244,344
Net unrealized appreciation 14,939,329 20,327,846
------------ ------------
Net increase in net assets resulting from
operations 19,980,991 49,323,721
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 33,455,771 32,286,369
Value of units redeemed (32,215,157) (83,603,978)
------------ ------------
Net increase (decrease) in net assets resulting
from capital transactions 1,240,614 (51,317,609)
------------ ------------
Net increase (decrease) 21,221,605 (1,993,888)
NET ASSETS at beginning of year 174,373,071 176,366,959
------------ ------------
NET ASSETS at end of year $195,594,676 $174,373,071
============ ============
</TABLE>
See Notes to Financial Statements
14
<PAGE>
VALUE EQUITY FUND
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
COMMON & PREFERRED STOCKS 92.4%
AEROSPACE & DEFENSE 1.0%
17,700 General Dynamics Corp. $ 880,575
6,900 Lockheed Martin Corp. 141,019
-----------
1,021,594
-----------
AUTOMOTIVE 1.5%
16,099 DaimlerChrysler AG 1,053,478
10,400 Ford Motor Co. 477,750
-----------
1,531,228
-----------
BANKING 8.1%
12,188 Bank of America Corp. 639,108
24,100 Chase Manhattan Corp. 2,101,219
49,392 Citigroup, Inc. 2,929,562
26,000 Washington Mutual, Inc. 689,000
40,800 Wells Fargo Co. 1,670,250
-----------
8,029,139
-----------
BEVERAGES & TOBACCO 1.2%
4,800 Anheuser-Busch
Cos., Inc. 298,800
42,700 Philip Morris Cos., Inc. 902,038
-----------
1,200,838
-----------
BUILDING PRODUCTS 4.2%
45,200 Martin Marietta
Materials, Inc. 2,147,000
33,996 Southdown, Inc. 2,005,764
-----------
4,152,764
-----------
CHEMICALS 0.3%
6,700 Praxair, Inc. 278,888
-----------
COMPUTER SOFTWARE &
PERIPHERALS 2.2%
13,900 BMC Software, Inc.* 685,444
25,800 Computer Associates
International, Inc. 1,527,037
-----------
2,212,481
-----------
COMPUTER SYSTEMS 1.5%
5,600 Apple Computer, Inc.* 760,200
6,100 International Business
Machines Corp. 719,800
-----------
1,480,000
-----------
CONSUMER GOODS & SERVICES 1.6%
28,500 Kimberly Clark Corp. 1,596,000
-----------
DIVERSIFIED 4.4%
31,261 Honeywell
International, Inc. 1,647,064
46,500 Tyco International Ltd. 2,319,188
6,300 United Technologies Corp. 398,081
-----------
4,364,333
-----------
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
DRUG, HEALTH CARE &
PHARMACEUTICALS 9.2%
19,400 Alza Corp.* $ 728,713
24,400 American Home Products
Corp. 1,308,450
19,000 Beverly
Enterprises, Inc.* 70,063
14,100 Bristol Myers Squibb Co. 814,275
48,800 Elan Corp. Plc* 2,317,999
10,100 Eli Lilly & Co. 636,300
10,100 Johnson & Johnson 707,631
8,000 Merck & Co., Inc. 497,000
62,100 Tenet Healthcare Corp.* 1,428,300
17,100 Watson
Pharmaceutical, Inc.* 678,656
-----------
9,187,387
-----------
ELECTRONICS & ELECTRICAL 5.5%
55,600 Dallas Semiconductor
Corp. 1,952,950
23,400 Emerson Electric & Co. 1,237,275
9,600 Micron Technology, Inc.* 1,209,600
45,600 Rayovac Corp.* 1,060,200
-----------
5,460,025
-----------
ENERGY 5.0%
13,250 BP Amoco Plc--Spons ADR 703,078
14,500 Conoco, Inc. 357,063
22,746 Conoco, Inc.--Class B 582,866
19,164 Exxon Mobil Corp. 1,491,199
13,519 Royal Dutch Petroleum Co. 778,187
19,900 Texaco, Inc. 1,067,138
-----------
4,979,531
-----------
FINANCIAL SERVICES 3.4%
17,000 Associates First Capital
Corp. 364,438
12,890 Fannie Mae 727,479
15,000 FleetBoston Financial
Corp. 547,500
3,900 Merrill Lynch &
Co., Inc. 409,500
16,400 Morgan Stanley Dean
Witter & Co. 1,337,625
-----------
3,386,542
-----------
FOOD PRODUCTS & SERVICES 1.4%
8,000 McDonald's Corp. 300,500
24,500 Safeway, Inc.* 1,108,625
-----------
1,409,125
-----------
INSURANCE 4.5%
14,600 AFLAC, Inc. 665,213
14,000 Allstate Corp. 333,375
14,700 American General Corp. 825,038
9,000 American International
Group, Inc. 985,500
30,700 Hartford Financial
Services Group, Inc. 1,619,424
-----------
4,428,550
-----------
</TABLE>
See Notes to Financial Statements 15
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
MACHINERY & ENGINEERING % 0.1
<C> <S> <C> <C>
7,500 Milacron, Inc. $ 108,281
2,000 Thermo Electron Corp.* 40,750
-----------
149,031
-----------
MERCHANDISING 1.3%
44,550 Hasbro, Inc. 735,075
52,460 Mattel, Inc. 547,551
-----------
1,282,626
-----------
METALS & MINING 3.6%
41,488 Alcoa, Inc. 2,914,532
13,000 Nucor Corp. 650,000
-----------
3,564,532
-----------
OIL & GAS EXPLORATION,
PRODUCTION & SERVICES 5.7%
1,800 Atlantic Richfield Co. 153,000
17,700 Burlington
Resources, Inc. 654,900
31,000 EOG Resources, Inc. 656,813
46,095 Halliburton Co. 1,889,894
9,000 Noble Drilling Corp.* 372,938
17,900 Transocean Sedco
Forex, Inc. 918,494
69,400 Union Pacific Resources
Group, Inc. 1,006,300
-----------
5,652,339
-----------
PAPER PRODUCTS 2.8%
11,700 International Paper Co. 500,175
42,700 Mead Corp. 1,491,831
46,800 Smurfit-Stone Container
Corp.* 792,675
-----------
2,784,681
-----------
PRINTING & PUBLISHING 0.5%
11,300 McGraw-Hill Cos., Inc. 514,150
-----------
REAL ESTATE INVESTMENT
TRUST 2.1%
18,300 Boston Properties, Inc. 582,169
178,500 HRPT Properties Trust 1,550,719
-----------
2,132,888
-----------
RETAIL 2.7%
26,900 CVS Corp. 1,010,431
14,100 Federated Department
Stores* 588,675
14,500 Kmart Corp.* 140,469
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
20,900 Kmart Financing
Corp.--Convertible
Preferred $ 900,006
-----------
2,639,581
-----------
TELECOMMUNICATIONS 11.4%
8,250 AT&T Corp. 464,063
9,400 Bell Atlantic Corp. 574,575
29,600 BellSouth Corp. 1,391,200
52,300 GTE Corp. 3,713,299
20,200 MCI WorldCom, Inc.* 916,575
51,300 SBC Communications, Inc. 2,154,600
28,200 US West, Inc. 2,048,025
-----------
11,262,337
-----------
TRANSPORTATION & SHIPPING 2.8%
38,400 FedEx Corp.* 1,497,600
1,290 United Parcel
Service, Inc. 81,270
73,250 Werner Enterprises, Inc. 1,236,094
-----------
2,814,964
-----------
UTILITIES 4.4%
2,723 Avista Corp. 110,962
32,400 Duke Energy Corp. 1,701,000
10,900 MediaOne Group, Inc.* 882,900
31,400 Peoples Energy Corp. 861,538
21,100 Texas Utilities
Co.--Preferred 832,131
-----------
4,388,531
-----------
Total Common & Preferred Stocks (Cost
$81,339,025) $91,904,085
-----------
<CAPTION>
PRINCIPAL
AMOUNT
- ------
SHORT TERM INVESTMENTS
<C> <S> <C> <C>
REPURCHASE AGREEMENT 7.2%
$7,183,123 Bear Stearns &
Co., Inc., Dated
3/31/00 5.99% Due
4/3/00 Collateralized
by $25,910,000 United
States Treasury Strips
Due 05/15/21 (Value
$7,327,607) $ 7,183,123
-----------
Total Short Term Investments--Repurchase
Agreement
(Cost $7,183,123)
$ 7,183,123
-----------
</TABLE>
<TABLE>
<C> <S> <C> <C> <C>
Total Investments (Cost $88,522,148) 99.6% $99,087,208
Other assets in excess of liabilities 0.4% 361,954
------ -----------
Total Net Assets 100.0% $99,449,162
====== ===========
</TABLE>
* Denotes non-income producing security.
See Notes to Financial Statements 16
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$88,522,148)--Note 2(A) $99,087,208
Receivable for investments sold 873,185
Receivable for units sold 447,005
Dividends and interest receivable 110,800
Other assets 28,467
-----------
100,546,665
LIABILITIES:
Payable for investments purchased $ 899,668
Payable for units redeemed 94,078
Payable for investment managers 29,925
Accrued expenses 73,832 1,097,503
--------- -----------
NET ASSETS at value, applicable to 1,204,464 outstanding
units of beneficial interest--Note 5 $99,449,162
===========
NET ASSET VALUE offering and redemption price per unit
($99,449,162 divided by 1,204,464 units) $ 82.57
===========
</TABLE>
Statement of Operations Six Months Ended March 31, 2000
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 734,776
Interest 62,496
----------
Total Income $ 797,272
Expenses:
Investment manager's fees--Note 3(A) 167,747
Shareholder servicing fees and expenses--Note 3(B) 207,804
Custodian fees and expenses 12,858
Legal and auditing fees 13,611
Consultant fees 4,961
Trustees' fees and expenses--Note 3(C) 16,738
Printing and Postage 9,206
Insurance 4,052
Other 13,658
----------
Total Expenses 450,635
Less fees paid indirectly--Note 4 (16,000)
----------
Net Expenses 434,635
-----------
INVESTMENT INCOME--NET 362,637
REALIZED AND UNREALIZED GAIN (LOSS)--NOTE 4:
Net realized gain on:
Investments 14,108,329
Options written 5,163
----------
14,113,492
----------
Unrealized (depreciation) on:
Investments (1,776,577)
----------
NET REALIZED AND UNREALIZED GAIN 12,336,915
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $12,699,552
===========
</TABLE>
See Notes to Financial Statements
17
<PAGE>
VALUE EQUITY FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED 3/31/00 9/30/99
(UNAUDITED) (AUDITED)
------------- ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 362,637 $ 721,620
Net realized gain 14,113,492 12,242,537
Net unrealized appreciation (depreciation) (1,776,577) 12,749,798
------------ ------------
Net increase in net assets resulting from
operations 12,699,552 25,713,955
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 17,435,966 23,902,497
Value of units redeemed (15,525,387) (28,708,085)
------------ ------------
Net increase (decrease) in net assets resulting
from capital transactions 1,910,579 (4,805,588)
------------ ------------
Net increase 14,610,131 20,908,367
NET ASSETS at beginning of year 84,839,031 63,930,664
------------ ------------
NET ASSETS at end of year $ 99,449,162 $ 84,839,031
============ ============
</TABLE>
See Notes to Financial Statements
18
<PAGE>
EMERGING GROWTH EQUITY FUND
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
COMMON STOCKS 95.7%
AEROSPACE & DEFENSE 2.2%
36,500 Mercury Computer
Systems, Inc.* $ 1,783,938
28,200 Moog, Inc.--Class A* 518,175
------------
2,302,113
------------
AIRLINES 0.2%
17,500 Frontier Airlines, Inc.* 205,625
------------
BROADCASTING & PUBLISHING 1.0%
24,600 Citadel Communications
Corp.* 1,036,275
------------
BUSINESS SERVICES 11.5%
44,200 Administaff, Inc.* 1,734,850
5,700 Concentric Network Corp.* 313,500
19,750 Diamond Technology
Partners, Inc.* 1,297,328
20,700 ECsoft Group Plc, Spons
ADR* 362,250
10,700 F.Y.I., Inc.* 290,238
47,700 Forrester
Research, Inc.* 2,587,724
13,200 Management Network
Group, Inc.* 354,750
19,200 Pomeroy Computer
Resources, Inc.* 348,000
24,000 Quanta Services, Inc.* 1,456,500
29,900 ReSourcePhoenix.com, Inc.* 373,750
24,000 Safeguard
Scientifics, Inc.* 1,687,500
23,700 Technology Solutions Co.* 209,597
14,300 U.S. Interactive, Inc.* 495,138
11,800 Verio, Inc.* 531,738
------------
12,042,863
------------
COMPUTER SERVICE SOFTWARE 18.1%
15,000 ACE*COMM Corp.* 164,063
11,200 Apropos
Technology, Inc.* 402,500
32,800 Bottomline
Technologies, Inc.* 1,195,150
33,500 Brio Technology, Inc.* 1,262,531
49,700 Cybex Computer Products
Corp.* 1,863,749
1,600 Cysive, Inc.* 109,600
3,300 Digital River, Inc.* 70,538
7,800 eBenX, Inc.* 230,100
43,200 Globix Corp.* 1,641,599
17,700 GRIC
Communications, Inc.* 597,375
1,000 Harbinger Corp.* 28,875
54,700 HearMe, Inc.* 1,381,175
35,000 Hyperion Solutions Corp.* 1,137,500
33,000 IntraNet
Solutions, Inc.* 1,520,063
33,100 MTI Technology Corp.* 870,944
12,700 NetCreations, Inc.* 533,400
15,500 Objective Systems
Integrators, Inc.* 234,438
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
7,000 Open Market, Inc.* $ 179,375
16,100 QRS Corp.* 1,207,500
47,000 Sanchez Computer
Associates, Inc.* 1,642,062
47,550 SERENA Software, Inc.* 1,515,656
16,000 Silicon Storage
Technology, Inc.* 1,178,000
------------
18,966,193
------------
COMPUTER SERVICES 1.3%
9,000 Breakaway
Solutions, Inc.* 409,500
23,700 eLoyalty Corp.* 564,356
13,100 NetSolve, Inc.* 422,475
------------
1,396,331
------------
CONSUMER GOODS & SERVICES 3.7%
14,700 1-800 CONTACTS, Inc.* 501,638
33,850 Fossil, Inc.* 780,666
29,400 Sportsline USA, Inc.* 865,462
52,600 Student Advantage, Inc.* 526,000
69,450 THQ, Inc.* 1,241,418
------------
3,915,184
------------
DRUG, HEALTH CARE &
PHARMACEUTICALS 6.9%
34,000 Barr Laboratories, Inc.* 1,427,999
79,800 Dura
Pharmaceuticals, Inc.* 982,538
5,400 Genome Therapeutics
Corp.* 126,225
22,900 Genzyme Molecular
Oncology* 346,363
10,700 Hyseq, Inc.* 477,488
54,000 Ligand
Pharmaceuticals, Inc.* 951,750
22,300 OraPharma, Inc.* 411,156
38,900 Pharmaceutical Product
Development, Inc.* 658,869
37,100 Priority Healthcare
Corp.--Class B* 1,859,637
------------
7,242,025
------------
EDUCATIONAL SERVICES 1.5%
27,500 Learning Tree
International, Inc.* 981,406
23,300 Scientific Learning
Corp.* 562,113
------------
1,543,519
------------
ELECTRONICS & ELECTRICAL 15.6%
49,500 ACT Manufacturing, Inc.* 2,768,905
47,000 Advanced Digital
Information Corp.* 1,606,813
35,100 Applied Science &
Technology, Inc.* 1,048,613
37,500 Dallas Semiconductor
Corp. 1,317,188
</TABLE>
See Notes to Financial Statements 19
<PAGE>
EMERGING GROWTH EQUITY FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
7,800 Exar Corp.* $ 558,188
61,200 Galileo Technology Ltd.* 1,116,900
29,900 MMC Networks, Inc.* 979,225
12,800 Photronics, Inc.* 447,200
8,800 Power
Integrations, Inc.* 218,900
25,700 RadiSys Corp.* 1,545,213
2,000 Rayovac Corp.* 46,500
6,000 Sage, Inc.* 132,000
2,000 Signal Technology Corp.* 52,250
30,000 TranSwitch Corp.* 2,881,874
22,350 Triquint
Semiconductor, Inc.* 1,641,328
------------
16,361,097
------------
FINANCIAL SERVICES 1.9%
45,400 Eaton Vance Corp. 1,949,363
------------
HOME BUILDING 0.8%
39,600 Toll Brothers, Inc.* 792,000
------------
MANUFACTURING/CAPITAL
GOODS 4.2%
24,900 Asyst
Technologies, Inc.* 1,455,094
39,500 Maverick Tube Corp.* 1,278,813
27,200 Pri Automation, Inc.* 1,657,499
------------
4,391,406
------------
MEDICAL EQUIPMENT &
SUPPLIES 2.1%
45,700 Cytyc Corp.* 2,187,888
------------
MEDICAL SERVICES & DRUGS 1.2%
10,600 Allscripts, Inc.* 634,675
23,500 Covance, Inc.* 252,625
59,500 Twinlab Corp.* 418,359
------------
1,305,659
------------
MEDICAL/HOSPITAL SERVICES 2.1%
44,950 Accredo Health, Inc.* 1,480,540
34,100 Colorado Medtech, Inc.* 260,013
76,300 Quadramed Corp.* 438,725
------------
2,179,278
------------
OIL & GAS EXPLORATION,
PRODUCTION & SERVICES 3.0%
25,900 Evergreen
Resources, Inc.* 626,456
104,000 Global Industries Ltd.* 1,521,000
15,400 Prima Energy Corp.* 415,800
</TABLE>
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
31,700 Tom Brown, Inc.* $ 578,525
------------
3,141,781
------------
TELECOMMUNICATIONS 10.7%
35,000 CellStar Corp.* 278,906
37,600 Commscope, Inc.* 1,715,500
20,500 Pac-West Telecomm, Inc.* 635,500
50,500 Performance
Technologies, Inc.* 2,187,281
32,200 Pinnacle Holdings, Inc.* 1,738,800
18,000 Rural Cellular Corp.,
Class A* 1,211,625
80,400 TALK.com, Inc.* 1,286,400
56,700 Tekelec* 2,104,988
------------
11,159,000
------------
TELECOMMUNICATIONS
EQUIPMENT 7.7%
24,600 Celeritek, Inc.* 1,554,413
19,900 MCK
Communications, Inc.* 950,225
5,500 Natural MicroSystems,
Corp.* 1,327,188
23,000 Osicom
Technologies, Inc.* 2,581,749
27,833 Three-Five
Systems, Inc.* 1,669,980
------------
8,083,555
------------
Total Common Stocks (Cost $73,208,838) $100,201,155
------------
<CAPTION>
PRINCIPAL
AMOUNT
- ------
SHORT TERM INVESTMENTS
<C> <S> <C> <C>
REPURCHASE AGREEMENT 3.7%
$3,914,546 Bear Stearns &
Co., Inc., Dated
3/31/00, 5.99%, Due
4/3/00, Collateralized
by $2,805,000 United
States Treasury Bond
Due 08/15/23 (Value
$704,756), and
$7,785,000 United
States Treasury Strips
Due 05/15/14 (Value
$3,289,543) $ 3,914,546
------------
Total Short Term
Investments--Repurchase
Agreement (Cost $3,914,546)
$ 3,914,546
------------
Total Investments (Cost $77,123,384) 99.4% $104,115,701
Other assets in excess of liabilities 0.6% 595,623
------ ------------
Total Net Assets 100.0% $104,711,324
====== ============
</TABLE>
* Denotes non-income producing security.
See Notes to Financial Statements 20
<PAGE>
EMERGING GROWTH EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$77,123,384)--Note 2(A) $104,115,701
Receivable for investments sold 714,256
Receivable for units sold 473,456
Dividends and interest receivable 24,389
Other assets 12,479
------------
105,340,281
LIABILITIES:
Payable for investments purchased $ 405,614
Payable for units redeemed 11,491
Payable for investment managers 99,552
Accrued expenses 112,300 628,957
--------- ------------
NET ASSETS at value, applicable to 760,144 outstanding
units of beneficial interest--Note 5 $104,711,324
============
NET ASSET VALUE offering and redemption price per unit
($104,711,324 divided by 760,144 units) $ 137.75
============
</TABLE>
Statement of Operations Six Months Ended March 31, 2000
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 6,137
Interest 176,911
---------
Total Income $ 183,048
Expenses:
Investment manager's fees--Note 3(A) 506,357
Shareholder servicing fees and expenses--Note 3(B) 270,784
Custodian fees and expenses 32,934
Legal and auditing fees 15,064
Consultant fees 4,961
Trustees' fees and expenses--Note 3(C) 33,476
Printing and Postage 9,206
Insurance 3,761
Other 13,247
---------
Total Expenses 889,790
Less fees paid indirectly--Note 4 (5,175)
---------
Net Expenses 884,615
-----------
INVESTMENT (LOSS)--NET (701,567)
REALIZED AND UNREALIZED GAIN ON INVESTMENTS--Note 4:
Net realized gain on investments 41,794,682
Unrealized appreciation on investments 10,428,964
---------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS 52,223,646
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $51,522,079
===========
</TABLE>
See Notes to Financial Statements
21
<PAGE>
EMERGING GROWTH EQUITY FUND (CONTINUED)
Combined Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED 3/31/00 9/30/99
(UNAUDITED) (AUDITED)
------------- ------------
<S> <C> <C>
OPERATIONS:
Investment (loss)--net $ (701,567) $ (970,762)
Net realized gain 41,794,682 8,306,803
Net unrealized appreciation 10,428,964 16,958,264
------------ ------------
Net increase in net assets resulting from operations 51,522,079 24,294,305
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 43,979,051 15,660,494
Value of units redeemed (66,980,979) (19,050,135)
------------ ------------
Net (decrease) in net assets resulting from capital
transactions (23,001,928) (3,389,641)
------------ ------------
Net increase 28,520,151 20,904,664
NET ASSETS at beginning of year 76,191,173 55,286,509
------------ ------------
NET ASSETS at end of year $104,711,324 $ 76,191,173
============ ============
</TABLE>
See Notes to Financial Statements
22
<PAGE>
INTERNATIONAL EQUITY FUND
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
COMMON STOCKS 90.6%
AUTO PARTS & SUPPLIES 0.3%
6,255 Michelin--Class B $ 200,745
-----------
AUTOMOBILES 1.5%
21,171 Bayerische Motoren Werke AG 667,501
9,000 Honda Motor Co., Ltd. 372,057
-----------
1,039,558
-----------
BANKING 9.3%
27,450 ABN Amro Holding NV 611,740
64,000 Banco Santander Central Hispano SA 687,725
15,000 Bank of Tokyo-Mitsubishi Ltd. 214,547
37,372 Barclays Plc 990,877
39,150 DBS Group Holdings Ltd. 517,263
10,000 HypoVereinsbank AG 617,184
75,330 Lloyds TSB Group Plc 797,355
31,000 National Australia Bank Ltd. 398,540
20,850 Overseas-Chinese Banking Corp. 129,206
15,773 Royal Bank of Scotland Group Plc 232,629
3,024 UBS AG 794,786
37,784 Westpac Banking Corp. 236,525
-----------
6,228,377
-----------
BEVERAGES & TOBACCO 0.3%
3,820 Heineken NV 204,146
-----------
BROADCASTING & PUBLISHING 3.2%
27,989 Elsevier NV 283,889
65,380 News Corp. Ltd. 913,553
24,000 Reuters Group Plc 485,865
15,000 Singapore Press Holdings 239,400
3,825 VNU NV 225,276
-----------
2,147,983
-----------
CHEMICALS 0.3%
900 Celanese AG * 18,171
395 Lonza AG * 214,285
-----------
232,456
-----------
COMMERCIAL SERVICES 0.3%
8,890 Brambles Industries Ltd. 226,100
-----------
CONSUMER GOODS & SERVICES 5.1%
14,000 Fuji Photo Film Co., Ltd. 616,974
19,000 Kao Corp. 581,680
18,000 Shiseido Co., Ltd. 244,820
17,261 Vivendi 1,990,252
-----------
3,433,726
-----------
ELECTRONICS & ELECTRICAL 13.0%
3,300 Alcatel SA 724,057
35,000 Canon, Inc. 1,518,548
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
75,000 Hitachi Ltd. $ 891,386
5,000 Hoya Corp. 472,871
30 Keyence Corp. 11,992
3,265 Koninklijke Philips Electronics NV 548,609
1,200 Mabuchi Motor Co., Ltd. 127,529
6,000 Murata Mfg. Co. 1,459,561
26,000 NEC Corp. 768,098
5,000 Pioneer Corp. 141,861
2,100 Rohm Co., Ltd. 730,951
8,800 Sony Corp. 1,244,089
-----------
8,639,552
-----------
ENERGY 5.9%
71,504 ENI SpA 357,839
1,918,000 PetroChina Co., Ltd. * 315,295
9,430 Royal Dutch Petroleum Co. 550,513
161,242 Shell Transport & Trading Co. Plc 1,349,169
9,440 Total Fina SA--Class B 1,413,648
-----------
3,986,464
-----------
ENGINEERING 1.0%
119,800 Invensys Plc 534,173
27,700 TI Group Plc 137,209
-----------
671,382
-----------
FINANCIAL SERVICES 3.6%
2,100 3I Group Plc 44,121
2,600 Acom Co., Ltd. 281,636
8,980 Fortis (NL) 229,856
30,086 ING Groep NV 1,629,430
2,400 Takefuji Corp. 257,398
-----------
2,442,441
-----------
FOOD & SERVICES 3.2%
67,860 Cadbury Schweppes Plc 450,891
71,460 Diageo Plc 536,941
656 Nestle SA 1,175,729
-----------
2,163,561
-----------
GAMING/HOTELS 0.5%
77,800 Hilton Group Plc 362,104
-----------
HEALTH 8.8%
17,515 AstraZeneca Plc 706,645
16,873 Aventis SA 923,514
39,895 Glaxo Wellcome Plc 1,141,147
646 Novartis AG 883,507
86 Roche Holding AG 934,122
19,000 Takeda Chemical Industries Ltd. 1,352,313
-----------
5,941,248
-----------
</TABLE>
See Notes to Financial Statements 23
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
INSURANCE 5.6%
57,150 Allied Zurich Plc $ 624,980
8,330 AXA SA 1,180,470
49,000 Old Mutual Plc * 117,255
68,040 Prudential Corp. Plc 1,029,000
458 Swiss Reinsurance Co. 793,589
-----------
3,745,294
-----------
LEISURE 1.9%
32,089 EMI Group Plc 348,871
85,080 Granada Group Plc 911,415
-----------
1,260,286
-----------
MEDIA 0.7%
13,780 Pearson Plc 479,455
-----------
METALS FABRICATOR 0.6%
395 Alusuisse Lonza Group AG 249,444
6,400 Pohang Iron & Steel Co. ADR 176,000
-----------
425,444
-----------
MULTI-INDUSTRY 0.5%
58,350 British American Tobacco Plc 322,077
-----------
REAL ESTATE 1.2%
35,000 Cheung Kong Holdings Ltd. 523,663
34,000 Sun Hung Kai Properties Ltd. 294,741
-----------
818,404
-----------
RETAIL 0.8%
20,950 Koninklijke Ahold NV 545,065
-----------
TELECOMMUNICATIONS 20.7%
64,410 Cable & Wireless Plc 1,209,406
51,000 China Telecom (Hong Kong) Ltd. * 447,024
<CAPTION>
SHARES VALUE
------ -----
<C> <S> <C> <C>
6,920 Ericsson LM--Class B $ 607,902
11,180 Koninklijke KPN NV 1,279,999
3,930 Korea Telecom Corp. ADR * 171,938
55,300 Marconi Plc 660,328
35 Nippon Telegraph & Telephone Corp. 556,232
34 NTT Mobile Communications
Network, Inc. 1,395,603
4,510 Tele Danmark A/S 405,756
18,900 Telecom Corp. of New Zealand Ltd. 85,521
109,450 Telecom Italia SpA 1,633,786
36,136 Telefonica SA 912,849
77,400 Telstra Corp., Ltd. 357,058
740,269 Vodafone AirTouch Plc 4,127,426
-----------
13,850,828
-----------
TRANSPORTATION 0.2%
8,952 Railtrack Group Plc 104,609
-----------
UTILITIES 2.1%
9,100 Electricidade de Portugal SA 170,233
28,000 Hong Kong Electric Holdings Ltd. 84,505
14,015 TNT Post Group NV 314,747
10,750 Veba AG 549,294
13,468 Viag AG 273,208
-----------
1,391,987
-----------
Total Common Stocks
(Cost $50,335,089) $60,863,292
-----------
Total Investments (Cost $50,335,089) 99.9% $60,863,292
Other assets in excess of liabilities 9.4% 6,289,753
---- -----------
Total Net Assets 100.0% $67,153,045
==== ===========
</TABLE>
* Denotes non-income producing security.
See Notes to Financial Statements 24
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
Geographical Diversification March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PERCENT OF
NET ASSETS
----------
COUNTRY TOTAL
- ------- -----
<S> <C>
United Kingdom 26.3%
Japan 19.6
Netherlands 9.6
Switzerland 7.5
France 7.2
Australia 3.2
Germany 3.2
Denmark 3.0
Italy 3.0
Hong Kong 2.5
Spain 2.4
Singapore 1.3
Sweden 0.9
Korea 0.5
Portugal 0.3
New Zealand 0.1
-----
Total Investments 90.6%
Other Assets Less Liabilities 9.4%
-----
Total 100.0%
=====
</TABLE>
See Notes to Financial Statements 25
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$50,335,089)--Note 2(A) $60,863,292
Cash 6,310,017
Receivable for units sold 369,806
Dividends and interest receivable 195,302
Collateral for securities loaned, at fair
value--Note 4 552,500
Other assets 35,471
-----------
68,326,388
LIABILITIES:
Payable for investments purchased $315,295
Payable upon return of securities
loaned--Note 4 552,500
Payable for units redeemed 1,823
Payable for investment managers 43,101
Net loss on forward foreign currency contracts 134,010
Accrued expenses 126,614 1,173,343
-------- -----------
NET ASSETS at value, applicable to 987,388
outstanding units of beneficial interest--Note 5 $67,153,045
===========
NET ASSET VALUE offering and redemption price per
unit
($67,153,045 divided by 987,388 units) $ 68.01
===========
</TABLE>
See Notes to Financial Statements
26
<PAGE>
INTERNATIONAL EQUITY FUND (CONTINUED)
Statement of Operations Six Months Ended March 31, 2000
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Dividends $ 268,615
Interest 71,420
---------
Total Income $ 340,035
Expenses:
Investment manager's fees--Note 3(A) 218,348
Shareholder servicing fees and
expenses--Note 3(B) 150,598
Custodian fees and expenses 46,665
Legal and auditing fees 15,065
Consultant fees 4,961
Trustees' fees and expenses--Note 3(C) 16,738
Printing and Postage 9,206
Insurance 1,418
Other 16,642
---------
Total Expenses 479,641
---------
Net Expenses 479,641
-----------
INVESTMENT (LOSS)--NET (139,606)
REALIZED AND UNREALIZED GAIN (LOSS)--Note 4:
Net realized gain (loss) on:
Investments 3,877,596
Foreign currency transactions (81,164)
---------
3,796,432
---------
Unrealized appreciation on investments:
Investments 6,905,185
Foreign currency translations of other assets
and liabilities (3,033)
---------
6,902,152
---------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
AND FOREIGN CURRENCIES 10,698,584
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $10,558,978
===========
</TABLE>
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED 3/31/00 9/30/99
(UNAUDITED) (AUDITED)
------------- ------------
<S> <C> <C>
OPERATIONS:
Investment (loss)--net $ (139,606) $ (144,963)
Net realized gain 3,796,432 4,582,643
Net unrealized appreciation 6,902,152 3,022,585
----------- ------------
Net increase in net assets resulting from operations 10,558,978 7,460,265
----------- ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 14,670,626 18,155,816
Value of units redeemed (7,364,485) (10,410,771)
----------- ------------
Net increase in net assets resulting from capital
transactions 7,306,141 7,745,045
----------- ------------
Net increase 17,865,119 15,205,310
NET ASSETS at beginning of year 49,287,926 34,082,616
----------- ------------
NET ASSETS at end of year $67,153,045 $ 49,287,926
=========== ============
</TABLE>
See Notes to Financial Statements
27
<PAGE>
ACTIVELY MANAGED BOND FUND
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
COMMERCIAL PAPER 1.8%
$ 2,900,000 Gillette Co.
6.20% Due 4/3/2000 $ 2,898,502
------------
Total Commercial Paper (Cost $2,899,001) $ 2,898,502
------------
CORPORATE BONDS 4.6%
$ 1,500,000 CNA Financial Corp.
6.75% Due 11/15/2006 $ 1,362,645
2,002,000 Deutsche Bank Financial
Medium Term Note
0.00% Due 7/18/2017 513,953
100,000 Financing Corp.
9.40% Due 2/8/2018 123,597
2,000,000 J.C. Penny Co., Inc.
8.25% Due 8/15/2022 1,793,300
657,000 Merrill Lynch & Co.
Medium Term Note
0.00% Due 2/25/2027 74,556
1,000,000 PMI Group, Inc.
6.75% Due 11/15/2006 949,759
1,000,000 Public Service Electric & Gas
9.125% Due 7/1/2005 MBIA 1,067,773
320,000 Public Service Electric & Gas
6.375% Due 5/1/2008 300,271
3,000,000 Transamerica Financial Corp.
0.00% Due 9/1/2012 1,136,019
1,000,000 TSY-Linked Call Strips
0.00% Due 11/15/2024 128,234
------------
Total Corporate Bonds (Cost $8,132,164) $ 7,450,107
------------
MORTGAGES 12.0%
$ 2,012,629 ABN Amro Mortgage Corp.
Remic 98-5 A11
8.82% Due 1/25/2029 $ 1,910,759
1,948,673 Chase Mortgage Finance Corp.
Remic 94-G A13
7.00% Due 4/25/2025 1,756,047
1,070,031 Chase Mortgage Finance Corp.
Remic 98-S2 A12
7.00% Due 7/25/2028 759,701
1,000,000 First Union Residential Trust
Remic 98-B 1A8
6.75% Due 8/25/2028 908,690
1,082,921 General Electric Capital Mortgage Services
Remic 98-12 2A8
6.75% Due 6/25/2028 901,438
5,005,000 PNC Mortgage Securities Corp.
Remic 98-4 3A2
6.75% Due 5/25/2028 4,546,791
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
MORTGAGES (CONTINUED)
$ 504,023 Prudential Home Mortgage Securities, Inc.
Remic 94-21 A8
7.80% Due 6/25/2024 $ 478,796
2,000,000 Residential Accredit Loans, Inc.
Remic 97-QS8 A9
7.375% Due 8/25/2027 1,979,440
1,116,688 Residential Funding Mortgage Securities I
Remic 93-S47 A15
9.00% Due 12/25/2023 1,027,691
500,000 Residential Funding Mortgage Securities I
Remic 97-S12 A17
7.25% Due 8/15/2027 483,292
2,103,000 Residential Funding Mortgage Securities I
Remic 98-S13 A14
6.75% Due 6/25/2028 1,858,358
2,411,000 Salomon Brothers Mortgage Securities VII
Remic 98-NC3 A5
6.93% Due 8/25/2028 2,297,538
640,000 Saxon Asset Securities Trust
Remic 98-4 AF5
6.93% Due 1/25/2030 591,008
------------
Total Mortgages (Cost $21,121,549) $ 19,499,549
------------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 80.3%
$ 10,073 Collateralized Mortgage Security Corp.
Remic X1
7.00% Due 6/1/2006 $ 10,005
500,000 Federal Home Loan Bank
8.00% Due 3/28/2008 496,394
2,620,000 Federal Home Loan Bank
6.55% Due 3/20/2009 2,447,777
8,000,000 Federal Home Loan Bank
0.00% Due 6/25/2012 2,938,760
11,320,000 Federal Home Loan Bank
0.00% Due 7/2/2012 4,137,109
300,000 Federal Home Loan Bank
6.10% Due 10/22/2013 263,842
1,400,000 Federal Home Loan Bank
6.76% Due 1/29/2014 1,284,851
10,000,000 Federal Home Loan Bank
0.00% Due 6/26/2017 2,394,600
10,000,000 Federal Home Loan Bank
0.00% Due 7/14/2017 2,380,730
56,058 Federal Home Loan Mortgage Corp
Remic 12A
9.25% Due 11/15/2019 57,377
</TABLE>
See Notes to Financial Statements 28
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 495,903 Federal Home Loan Mortgage Corp.
Pool #730299
9.00% Due 8/1/2006 $ 501,102
272,086 Federal Home Loan Mortgage Corp.
Pool #533624
8.50% Due 12/1/2007 276,054
2,850,880 Federal Home Loan Mortgage Corp.
Remic 1515S
8.36% Due 5/15/2008 2,470,785
1,000,000 Federal Home Loan Mortgage Corp.
6.35% Due 5/26/2008 962,543
2,000,000 Federal Home Loan Mortgage Corp.
6.50% Due 3/5/2009 1,864,396
1,000,000 Federal Home Loan Mortgage Corp.
7.00% Due 5/27/2009 953,163
271,000 Federal Home Loan Mortgage Corp.
6.20% Due 9/17/2013 240,294
1,500,000 Federal Home Loan Mortgage Corp.
6.58% Due 12/2/2013 1,362,444
1,500,000 Federal Home Loan Mortgage Corp.
7.01% Due 3/12/2014 1,397,175
357,223 Federal Home Loan Mortgage Corp.
Pool #141001
7.75% Due 9/1/2016 356,175
17,519 Federal Home Loan Mortgage Corp.
Pool #297625
8.50% Due 6/1/2017 17,755
474,837 Federal Home Loan Mortgage Corp.
Remic 2120ZA
6.00% Due 1/15/2019 429,013
317,187 Federal Home Loan Mortgage Corp.
Remic 21Z
9.50% Due 1/15/2020 332,646
808,289 Federal Home Loan Mortgage Corp.
Remic 1290H
7.50% Due 6/15/2021 802,213
1,351,608 Federal Home Loan Mortgage Corp.
Remic 1175D
8.00% Due 11/15/2021 1,358,553
59,363 Federal Home Loan Mortgage Corp.
Remic 1316Z
8.00% Due 6/15/2022 59,917
2,482,800 Federal Home Loan Mortgage Corp.
Remic 1591SH
5.45% Due 9/15/2022 1,844,533
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$15,000,000 Federal Home Loan Mortgage Corp.
0.00% Due 2/2/2023 $ 2,227,740
1,123,472 Federal Home Loan Mortgage Corp.
Remic 1574V
6.50% Due 3/15/2023 1,065,272
637,004 Federal Home Loan Mortgage Corp.
Remic 15PZ
7.00% Due 7/25/2023 600,509
682,525 Federal Home Loan Mortgage Corp.
Remic 1790E
8.00% Due 11/15/2023 686,940
2,435,252 Federal Home Loan Mortgage Corp.
Remic 1663ZA
7.00% Due 1/15/2024 2,174,659
1,484,196 Federal Home Loan Mortgage Corp.
Remic 1671Z
7.00% Due 2/15/2024 1,379,592
4,606,005 Federal Home Loan Mortgage Corp.
Remic 29ZC
8.00% Due 4/25/2024 4,564,324
460,000 Federal Home Loan Mortgage Corp.
Remic 1727MD
8.50% Due 5/15/2024 470,782
627,000 Federal Home Loan Mortgage Corp.
Remic 1727MF
8.50% Due 5/15/2024 641,707
676,000 Federal Home Loan Mortgage Corp.
Remic 1814D
6.50% Due 2/15/2026 606,289
3,429,917 Federal Home Loan Mortgage Corp.
Remic 2089ZB
7.00% Due 8/15/2026 3,066,581
1,840,444 Federal Home Loan Mortgage Corp.
Remic 2123KE
8.50% Due 2/15/2027 1,972,220
4,674,286 Federal Home Loan Mortgage Corp.
Remic 2092DL
8.50% Due 9/15/2027 4,889,720
597,054 Federal Home Loan Mortgage Corp.
Remic 2036B
7.00% Due 3/15/2028 564,747
925,000 Federal Home Loan Mortgage Corp.
Remic 2064U
7.00% Due 6/15/2028 860,571
</TABLE>
See Notes to Financial Statements 29
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 441,545 Federal Home Loan Mortgage Corp.
Remic 2101ZA
6.00% Due 11/15/2028 $ 370,878
1,300,000 Federal National Mortgage Association
Medium Term Note
6.29% Due 1/22/2008 1,216,073
1,855,000 Federal National Mortgage Association
Medium Term Note
6.36% Due 7/16/2008 1,728,654
395,965 Federal National Mortgage Association
Pool #15569
8.25% Due 5/1/2010 406,048
200,000 Federal National Mortgage Association
Medium Term Note
6.69% Due 2/2/2011 187,094
300,000 Federal National Mortgage Association
Remic 96-64PQ
6.50% Due 1/18/2012 278,509
150,000 Federal National Mortgage Association
Medium Term Note
6.77% Due 9/9/2013 139,152
238,156 Federal National Mortgage Association
Pool #87277
7.50% Due 4/1/2018 236,532
41,143 Federal National Mortgage Association
Remic 91-169M
8.40% Due 12/25/2021 43,183
420,000 Federal National Mortgage Association
Remic 92-161H
7.50% Due 9/25/2022 414,090
552,348 Federal National Mortgage Association
Remic 93-124M
0.00% Due 10/25/2022 328,320
371,252 Federal National Mortgage Association
Remic 97-61ZC
7.00% Due 2/25/2023 352,197
2,161,910 Federal National Mortgage Association
Remic 94-69CA
7.25% Due 3/25/2023 2,125,227
3,820,119 Federal National Mortgage Association
Remic 93-247C
7.00% Due 3/25/2023 3,681,658
2,574,316 Federal National Mortgage Association
Remic 93-247Z
7.00% Due 3/25/2023 2,435,359
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 356,000 Federal National Mortgage Association
Remic G93-10J
5.00% Due 3/25/2023 $ 296,563
500,000 Federal National Mortgage Association
Remic G93-15H
7.25% Due 4/25/2023 482,810
675,076 Federal National Mortgage Association
Remic 96-18PB
0.00% Due 5/25/2023 387,598
1,036,578 Federal National Mortgage Association
Remic 93-100K
0.00% Due 6/25/2023 647,158
805,810 Federal National Mortgage Association
Remic 93-112ZB
7.00% Due 7/25/2023 753,095
4,250,267 Federal National Mortgage Association
Remic 94-36UA
7.00% Due 8/25/2023 4,112,764
521,481 Federal National Mortgage Association
Pool #239024
7.00% Due 10/1/2023 504,405
3,197,279 Federal National Mortgage Association
Remic 93-199Z
7.00% Due 10/25/2023 2,898,358
380,579 Federal National Mortgage Association
Remic G95-4B
8.00% Due 11/25/2023 378,186
826,000 Federal National Mortgage Association
Remic 94-97H
8.75% Due 12/25/2023 870,027
815,196 Federal National Mortgage Association
Remic 93-250DZ
7.00% Due 12/25/2023 758,429
759,575 Federal National Mortgage Association
Pool #50966
7.00% Due 1/1/2024 734,702
7,365,677 Federal National Mortgage Association
Remic G97-5ZB
7.05% Due 3/25/2024 6,579,739
3,837,000 Federal National Mortgage Association
Remic 94-61E
7.50% Due 4/25/2024 3,769,425
707,000 Federal National Mortgage Association
Remic 94-65LL
7.375% Due 4/25/2024 683,641
</TABLE>
See Notes to Financial Statements 30
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 2,450,000 Federal National Mortgage Association
Remic 98-49DC
8.50% Due 8/20/2025 $ 2,517,155
1,534,083 Federal National Mortgage Association
Remic 97-42EA
7.25% Due 3/18/2026 1,514,231
385,000 Federal National Mortgage Association
Remic G96-1PK
7.50% Due 6/17/2026 374,590
2,252,602 Federal National Mortgage Association
Remic 97-27Z
7.50% Due 4/18/2027 2,221,281
292,574 Federal National Mortgage Association
Remic 97-49B
10.00% Due 6/17/2027 315,994
900,000 Federal National Mortgage Association
Remic 97-34YL
7.00% Due 6/18/2027 828,994
5,332,695 Federal National Mortgage Association
Remic 98-62DC
9.00% Due 11/25/2028 5,611,933
8,649 Government National Mortgage Association
Pool #1350
6.50% Due 3/15/2002 8,505
818 Government National Mortgage Association
Pool #2919
8.00% Due 2/15/2004 820
21,298 Government National Mortgage Association
Pool #5214
8.00% Due 7/15/2005 21,377
15,893 Government National Mortgage Association
Pool #11192
7.25% Due 4/15/2006 15,695
149,561 Government National Mortgage Association
Pool #10260
8.00% Due 6/15/2006 150,354
691 Government National Mortgage Association
Pool #10855
8.00% Due 7/15/2006 695
2,556 Government National Mortgage Association
Pool #026113
9.00% Due 8/15/2008 2,646
4,016 Government National Mortgage Association
Pool #258110
9.00% Due 1/15/2009 4,164
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 10,891 Government National Mortgage Association
Pool #35238
9.50% Due 9/15/2009 $ 11,375
11,175 Government National Mortgage Association
Pool #158361
9.50% Due 6/15/2016 11,760
6,082 Government National Mortgage Association
Pool #157799
9.00% Due 7/15/2016 6,340
94,024 Government National Mortgage Association
Pool #169957
8.50% Due 7/15/2016 96,759
1,703 Government National Mortgage Association
Pool #176069
9.00% Due 8/15/2016 1,775
19,067 Government National Mortgage Association
Pool #177254
9.00% Due 9/15/2016 19,876
3,412 Government National Mortgage Association
Pool #173806
9.00% Due 10/15/2016 3,557
278,460 Government National Mortgage Association
Pool #152027
8.00% Due 10/20/2016 281,727
1,207 Government National Mortgage Association
Pool #179930
9.50% Due 12/15/2016 1,270
165,356 Government National Mortgage Association
Pool #000675
8.00% Due 12/20/2016 167,296
13,701 Government National Mortgage Association
Pool #199032
9.50% Due 1/15/2017 14,421
202,292 Government National Mortgage Association
Pool #196754
8.50% Due 2/15/2017 208,353
24,943 Government National Mortgage Association
Pool #000710
8.00% Due 2/20/2017 25,260
61,451 Government National Mortgage Association
Pool #205624
8.50% Due 3/15/2017 63,292
85,814 Government National Mortgage Association
Pool #193256
8.00% Due 3/15/2017 87,445
</TABLE>
See Notes to Financial Statements 31
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 8,558 Government National Mortgage Association
Pool #209105
8.00% Due 3/20/2017 $ 8,667
24,867 Government National Mortgage Association
Pool #211434
9.50% Due 4/15/2017 26,174
6,595 Government National Mortgage Association
Pool #216159
8.00% Due 4/15/2017 6,721
64,271 Government National Mortgage Association
Pool #202887
8.00% Due 4/15/2017 65,492
97,944 Government National Mortgage Association
Pool #213606
8.00% Due 4/15/2017 99,806
12,860 Government National Mortgage Association
Backed Trust Remic 1A
0.00% Due 5/20/2017 10,648
157,392 Government National Mortgage Association
Pool #218150
8.00% Due 6/15/2017 160,383
211,457 Government National Mortgage Association
Pool #226673
9.50% Due 7/15/2017 222,566
2,707 Government National Mortgage Association
Pool #226855
9.50% Due 7/15/2017 2,849
3,179 Government National Mortgage Association
Pool #237572
9.50% Due 12/15/2017 3,346
14,437 Government National Mortgage Association
Pool #226651
9.50% Due 6/15/2018 15,197
3,964 Government National Mortgage Association
Pool #247493
8.00% Due 7/15/2018 4,037
1,012 Government National Mortgage Association
Pool #266208
9.50% Due 8/15/2018 1,065
30,916 Government National Mortgage Association
Pool #291195
8.00% Due 5/15/2020 31,434
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 37,801 Government National Mortgage Association
Pool #290123
8.00% Due 6/15/2020 $ 38,435
67,837 Government National Mortgage Association
Pool #319342
8.50% Due 3/15/2022 69,765
133,072 Government National Mortgage Association
Pool #346560
8.00% Due 4/15/2023 135,121
315,154 Government National Mortgage Association
Pool #385850
8.00% Due 8/15/2024 319,766
1,330,550 Government National Mortgage Association
Remic 99-22A
7.00% Due 3/20/2027 1,296,280
460,000 Government National Mortgage Association
Remic 97-8PE
7.50% Due 5/16/2027 446,255
1,000,000 Government National Mortgage Association
Remic 97-18J
7.00% Due 11/20/2027 952,725
1,298,710 Government National Mortgage Association
Remic 99-C
7.00% Due 2/16/2029 1,217,036
1,128,591 Government National Mortgage Association
Pool #511918
8.25% Due 9/15/2029 1,145,407
157,142 Government National Mortgage Association
Remic 99-31ZC
8.00% Due 9/16/2029 159,401
3,520,000 U.S. Treasury Bonds
9.25% Due 2/15/2016 4,580,400
6,800,000 U.S. Treasury Zero Coupon Strips
0.00% Due 2/15/2006 4,703,825
10,180,000 U.S. Treasury Zero Coupon Strips
0.00% Due 2/15/2010 5,498,614
------------
Total United States Government and Agency Obligations
(Cost $136,423,275) $131,022,088
------------
Total Investments (Cost $168,575,989) 98.7% $160,870,246
Other assets in excess of liabilities 1.3% 2,044,323
----- ------------
Total Net Assets 100.0% $162,914,569
===== ============
</TABLE>
See Notes to Financial Statements 32
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$168,575,989)--Note 2(A) $160,870,246
Cash 87,296
Receivable for investments sold 19,507
Receivable for units sold 1,075,986
Interest receivable 1,024,579
Other assets 16,110
------------
163,093,724
LIABILITIES:
Payable for units redeemed $16,896
Payable for investment managers 44,556
Accrued expenses 117,703 179,155
------- ------------
NET ASSETS at value, applicable to 4,305,413 outstanding
units of beneficial interest--Note 5 $162,914,569
============
NET ASSET VALUE offering and redemption price per unit
($162,914,569 divided by 4,305,413 units) $ 37.84
============
</TABLE>
Statement of Operations Six Months Ended March 31, 2000
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $7,099,423
-------
Total Income $ 7,099,423
Expenses:
Investment manager's fees--Note 3(A) 279,473
Shareholder servicing fees and expenses--Note 3(B) 344,106
Custodian fees and expenses 13,505
Legal and auditing fees 15,065
Consultant fees 4,961
Trustees' fees and expenses--Note 3(C) 16,738
Printing and Postage 9,206
Insurance 10,069
Other 24,715
-------
Total Expenses 717,838
-----------
INVESTMENT INCOME--NET 6,381,585
REALIZED AND UNREALIZED LOSS ON INVESTMENTS--Note 4:
Net realized loss on investments (1,545,357)
Unrealized depreciation on investments (1,923,140)
-------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS (3,468,497)
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 2,913,088
===========
</TABLE>
See Notes to Financial Statements
33
<PAGE>
ACTIVELY MANAGED BOND FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED 3/31/00 9/30/99
(UNAUDITED) (AUDITED)
------------- ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 6,381,585 $ 11,073,753
Net realized gain (loss) (1,545,357) 524,140
Net unrealized (depreciation) (1,923,140) (14,244,373)
------------ ------------
Net increase (decrease) in net assets resulting
from operations 2,913,088 (2,646,480)
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 21,484,874 55,604,217
Value of units redeemed (45,680,794) (31,115,385)
------------ ------------
Net increase (decrease) in net assets resulting
from capital transactions (24,195,920) 24,488,832
------------ ------------
Net increase (decrease) (21,282,832) 21,842,352
NET ASSETS at beginning of year 184,197,401 162,355,049
------------ ------------
NET ASSETS at end of year $162,914,569 $184,197,401
============ ============
</TABLE>
See Notes to Financial Statements
34
<PAGE>
INTERMEDIATE-TERM BOND FUND
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
COMMERCIAL PAPER 3.4%
$1,900,000 Gillette Co.
6.20% Due 4/3/2000 $ 1,899,018
-----------
Total Commercial Paper (Cost $1,899,346) $ 1,899,018
-----------
CORPORATE BONDS 2.2%
$ 150,000 American Express Credit Corp.
6.25% Due 8/10/2005 $ 146,999
115,000 Cooper Industries, Inc.
Medium Term Note
5.88% Due 2/20/2003 109,625
1,005,000 Old Republic International Corp.
7.00% Due 6/15/2007 986,570
-----------
Total Corporate Bonds (Cost $1,298,241) $ 1,243,194
-----------
MORTGAGES 7.6%
$ 780,259 Bear Stearns Mortgage Securities
Remic 1993-10 A9
7.20% Due 7/25/2024 $ 731,321
456,000 Capstead Securities Corp.
Remic 1993-1E
7.50% Due 2/1/2023 434,299
154,934 CitiCorp Mortgage Securities, Inc.
Remic 1993-7 A3
7.00% Due 6/25/2023 149,454
71,184 CitiCorp Mortgage Securities, Inc.
Remic 1997-3 A4
9.00% Due 8/25/2027 71,152
349,648 Collateralized Mortgage Obligation Trust
Remic 27A
7.25% Due 4/23/2017 344,150
155,459 DLJ Acceptance Trust
Remic 1989-1F
11.00% Due 8/1/2019 170,090
51,445 GE Capital Mortgage Services, Inc.
Remic 1996-17 2A5
7.25% Due 12/25/2011 50,417
300,000 GE Capital Mortgage Services, Inc.
Remic 1996-3 A4
7.00% Due 3/25/2026 287,976
330,000 GE Capital Mortgage Services, Inc.
Remic 1996-HE3 A4
7.49% Due 9/25/2026 328,901
500,000 GE Capital Mortgage Services, Inc.
Remic 1997-92 A5
7.00% Due 10/25/2027 490,550
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
MORTGAGES (CONTINUED)
$ 797,663 GE Capital Mortgage Services, Inc.
Remic 1998-2 A12
7.00% Due 1/25/2028 $ 777,921
6,819 John J Matterer
8.50% Due 1/1/2005 6,819
198,533 Prudential Home Mortgage Securities
Remic 1992-42 A7
7.00% Due 1/25/2008 197,613
197,964 Prudential Home Mortgage Securities
Remic 1992-50 A5
7.63% Due 2/25/2023 195,591
-----------
Total Mortgages (Cost $4,384,367) $ 4,236,254
-----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 85.3%
$ 560,000 Federal Home Loan Bank
5.13% Due 9/15/2003 $ 527,473
500,000 Federal Home Loan Bank
8.00% Due 3/28/2008 496,394
1,000,000 Federal Home Loan Bank
6.75% Due 3/18/2009 943,388
1,640 Federal Home Loan Mortgage Corp.
Pool #200030
9.00% Due 3/1/2001 1,650
2,524 Federal Home Loan Mortgage Corp.
Pool #200035
9.00% Due 5/1/2001 2,541
6,428 Federal Home Loan Mortgage Corp.
Pool #200034
8.50% Due 5/1/2001 6,460
12,052 Federal Home Loan Mortgage Corp.
Pool #200040
9.00% Due 6/1/2001 12,130
13,243 Federal Home Loan Mortgage Corp.
Pool #212242
7.50% Due 7/1/2001 13,239
1,582 Federal Home Loan Mortgage Corp.
Pool #212719
7.50% Due 8/1/2001 1,581
11,258 Federal Home Loan Mortgage Corp.
Pool #320139
8.00% Due 9/1/2001 11,289
27,982 Federal Home Loan Mortgage Corp.
Pool #213857
7.50% Due 11/1/2001 27,973
</TABLE>
See Notes to Financial Statements 35
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 9,036 Federal Home Loan Mortgage Corp.
Pool #214040
7.50% Due 12/1/2001 $ 9,033
15,302 Federal Home Loan Mortgage Corp.
Pool #200070
7.50% Due 4/1/2002 15,275
24,996 Federal Home Loan Mortgage Corp.
Pool #200071
7.50% Due 5/1/2002 24,953
90,380 Federal Home Loan Mortgage Corp.
Pool #251363
8.75% Due 5/1/2003 90,961
500,000 Federal Home Loan Mortgage Corp.
Medium Term Note
7.25% Due 10/26/2004 494,570
1,500,000 Federal Home Loan Mortgage Corp.
6.91% Due 6/20/2005 1,463,010
140,023 Federal Home Loan Mortgage Corp.
Pool #30900
8.50% Due 5/1/2006 142,379
61,429 Federal Home Loan Mortgage Corp.
Pool #290143
8.50% Due 8/1/2006 62,348
1,000,000 Federal Home Loan Mortgage Corp.
6.35% Due 5/26/2008 962,543
1,000,000 Federal Home Loan Mortgage Corp.
6.22% Due 6/24/2008 923,819
1,000,000 Federal Home Loan Mortgage Corp.
6.54% Due 8/26/2008 937,880
983,768 Federal Home Loan Mortgage Corp.
Remic 1587Z
6.50% Due 10/15/2008 930,425
1,000,000 Federal Home Loan Mortgage Corp.
6.41% Due 1/20/2009 928,668
1,200,000 Federal Home Loan Mortgage Corp.
5.50% Due 2/10/2009 1,148,387
165,000 Federal Home Loan Mortgage Corp.
6.47% Due 4/9/2009 153,485
1,000,000 Federal Home Loan Mortgage Corp.
7.00% Due 5/27/2009 953,163
300,000 Federal Home Loan Mortgage Corp.
7.63% Due 9/9/2009 294,413
148,915 Federal Home Loan Mortgage Corp.
Pool #301687
9.00% Due 2/1/2010 151,519
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 174,217 Federal Home Loan Mortgage Corp.
Pool #298007
12.00% Due 2/1/2016 $ 189,525
370,132 Federal Home Loan Mortgage Corp.
Remic 1899ZG
8.00% Due 6/15/2018 374,220
401,357 Federal Home Loan Mortgage Corp.
Pool #360037
10.00% Due 9/1/2018 429,639
102,806 Federal Home Loan Mortgage Corp.
Remic 1302PJ
8.00% Due 5/15/2021 103,466
91,100 Federal Home Loan Mortgage Corp.
Remic 1169 D
7.00% Due 5/15/2021 90,885
560,242 Federal Home Loan Mortgage Corp.
Remic 1261J
8.00% Due 7/15/2021 563,302
110,000 Federal Home Loan Mortgage Corp.
Remic 1311J
7.50% Due 9/15/2021 110,180
47,005 Federal Home Loan Mortgage Corp.
Remic 1397D
7.00% Due 10/15/2021 46,756
393,283 Federal Home Loan Mortgage Corp.
Remic 1316Z
8.00% Due 6/15/2022 396,947
669,000 Federal Home Loan Mortgage Corp.
Remic 1311K
7.00% Due 7/15/2022 638,141
212,680 Federal Home Loan Mortgage Corp.
Remic 1706LB
7.00% Due 6/15/2023 204,762
500,000 Federal Home Loan Mortgage Corp.
Remic 1770PH
8.00% Due 8/15/2023 501,562
140,000 Federal Home Loan Mortgage Corp.
Remic 1692K
7.20% Due 9/15/2023 129,809
367,000 Federal Home Loan Mortgage Corp.
Remic 1695EA
7.00% Due 12/15/2023 350,030
225,000 Federal Home Loan Mortgage Corp.
Remic 1663C
7.00% Due 1/15/2024 216,978
</TABLE>
See Notes to Financial Statements 36
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 121,062 Federal Home Loan Mortgage Corp.
Remic 1847B
7.50% Due 7/15/2024 $ 120,491
265,000 Federal Home Loan Mortgage Corp.
Remic 1753D
8.50% Due 9/15/2024 271,264
200,000 Federal Home Loan Mortgage Corp.
Remic 1900N
7.50% Due 1/15/2024 196,748
312,439 Federal Home Loan Mortgage Corp.
Remic 1924A
10.00% Due 8/15/2025 331,728
1,402,286 Federal Home Loan Mortgage Corp.
Remic 2092DL
8.50% Due 9/15/2027 1,466,916
719,231 Federal Home Loan Mortgage Corp.
Remic 2046PZ
6.50% Due 2/15/2028 626,543
1,252,939 Federal Home Loan Mortgage Corp.
Remic 2137GT
6.50% Due 3/15/2029 1,196,259
6,311 Federal National Mortgage Association
Pool #26607
9.00% Due 5/1/2001 6,386
3,536 Federal National Mortgage Association
Pool #26707
9.00% Due 5/1/2001 3,578
27,116 Federal National Mortgage Association
Pool #28645
9.00% Due 6/1/2001 27,440
37,641 Federal National Mortgage Association
Pool #28785
9.00% Due 6/1/2001 38,091
7,855 Federal National Mortgage Association
Pool #29470
9.00% Due 7/1/2001 7,949
4,463 Federal National Mortgage Association
Pool #7242
8.50% Due 7/1/2001 4,488
839 Federal National Mortgage Association
Pool #29658
8.50% Due 7/1/2001 843
16,242 Federal National Mortgage Association
Pool #30409
8.50% Due 9/1/2001 16,335
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 201,458 Federal National Mortgage Association
Remic 1988-3D
9.10% Due 2/25/2002 $ 202,055
67,100 Federal National Mortgage Association
Pool #47402
8.00% Due 5/1/2002 67,215
38,612 Federal National Mortgage Association
Pool #46872
8.00% Due 5/1/2002 38,637
3,302 Federal National Mortgage Association
Pool #47137
8.00% Due 5/1/2002 3,308
27,537 Federal National Mortgage Association
Pool #46609
8.00% Due 5/1/2002 27,584
28,157 Federal National Mortgage Association
Pool #48103
8.00% Due 5/1/2002 28,205
49,815 Federal National Mortgage Association
Pool #47932
8.00% Due 5/1/2002 49,900
75,010 Federal National Mortgage Association
Pool #50078
8.50% Due 6/1/2003 75,963
72,605 Federal National Mortgage Association
Pool #355656
7.00% Due 8/1/2003 71,781
262,196 Federal National Mortgage Association
Pool #82407
9.00% Due 3/1/2004 268,740
385,000 Federal National Mortgage Association
Medium Term Note
6.87% Due 10/02/2007 369,205
100,000 Federal National Mortgage Association
Medium Term Note
6.58% Due 12/17/2007 95,023
1,500,000 Federal National Mortgage Association
Medium Term Note
6.44% Due 1/7/2008 1,408,824
320,000 Federal National Mortgage Association
Medium Term Note
6.50% Due 3/19/2008 301,834
1,895,000 Federal National Mortgage Association
Medium Term Note
6.48% Due 4/2/2008 1,785,210
</TABLE>
See Notes to Financial Statements 37
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 500,000 Federal National Mortgage Association
Medium Term Note
6.61% Due 4/10/2008 $ 473,502
863,492 Federal National Mortgage Association
Remic 1999-43
7.50% Due 12/25/2008 856,752
378,799 Federal National Mortgage Association
Remic 1994-20Z
6.50% Due 2/25/2009 352,621
461,715 Federal National Mortgage Association
Remic 1994-32Z
6.50% Due 3/25/2009 434,696
1,000,000 Federal National Mortgage Association
Remic G93-32J
6.75% Due 5/25/2009 972,220
1,146,476 Federal National Mortgage Association
Remic 1994-38J
7.00% Due 11/25/2012 1,113,881
132,309 Federal National Mortgage Association
Pool #87277
7.50% Due 4/1/2018 131,407
58,333 Federal National Mortgage Association
Remic 1991-141PH
7.50% Due 4/25/2019 58,288
218,337 Federal National Mortgage Association
Remic 1989-62G
8.60% Due 10/25/2019 224,117
399,255 Federal National Mortgage Association
Pool #522694
10.50% Due 2/1/2020 430,396
415,000 Federal National Mortgage Association
Remic 1992-202J
7.50% Due 4/25/2020 411,101
253,936 Federal National Mortgage Association
Remic 1990-132Z
7.00% Due 11/25/2020 248,148
159,478 Federal National Mortgage Association
Pool #313205
10.00% Due 12/1/2020 169,791
1,000,000 Federal National Mortgage Association
Remic 1992-135J
7.50% Due 2/25/2021 992,404
400,000 Federal National Mortgage Association
Remic 1993-26K
7.00% Due 5/25/2021 385,420
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 218,331 Federal National Mortgage Association
Remic 1992-131H
7.50% Due 6/25/2021 $ 218,148
210,000 Federal National Mortgage Association
Remic G-41PT
7.50% Due 10/25/2021 205,434
276,000 Federal National Mortgage Association
Remic 1993-4K
7.50% Due 11/25/2021 272,666
279,000 Federal National Mortgage Association
Remic 1993-1G
7.50% Due 1/25/2022 278,085
613,040 Federal National Mortgage Association
Remic G92-40ZC
7.00% Due 7/25/2022 599,477
57,000 Federal National Mortgage Association
Remic 1997-7U
7.00% Due 8/18/2022 56,876
1,000,000 Federal National Mortgage Association
Remic 1992-138P
7.50% Due 8/25/2022 988,836
651,252 Federal National Mortgage Association
Remic 1997-84B
9.50% Due 10/18/2022 674,954
645,000 Federal National Mortgage Association
Remic 1993-54J
6.75% Due 10/25/2022 606,356
192,000 Federal National Mortgage Association
Remic 1993-4LA
8.00% Due 1/25/2023 194,952
700,000 Federal National Mortgage Association
Remic 1993-89D
7.00% Due 6/25/2023 672,611
18,811 Federal National Mortgage Association
Remic 1993-244A
0.00% Due 11/25/2023 18,151
331,266 Federal National Mortgage Association
Remic G93-40ZC
6.50% Due 12/25/2023 302,172
230,000 Federal National Mortgage Association
Remic G93-38H
6.50% Due 12/25/2023 217,814
1,000,000 Federal National Mortgage Association
Remic 1994-75N
7.00% Due 4/25/2024 968,697
</TABLE>
See Notes to Financial Statements 38
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$2,207,292 Federal National Mortgage Association
Remic 1994-76KB
0.00% Due 4/25/2024 $ 1,689,673
454,461 Federal National Mortgage Association
Remic 1997-63A
7.00% Due 3/18/2026 443,049
374,003 Federal National Mortgage Association
Remic 1998-34AV
6.50% Due 6/18/2028 338,267
12,035 Federal National Mortgage Association Strips
Remic 29-1
0.00% Due 3/1/2018 9,821
6,840 Government National Mortgage Association
Pool #8881
8.25% Due 3/15/2006 6,991
883 Government National Mortgage Association
Pool #9335
8.25% Due 4/15/2006 902
187,956 Government National Mortgage Association
Pool #9257
8.25% Due 6/20/2025 189,078
517,308 Government National Mortgage Association
Pool #409781
8.25% Due 8/15/2025 524,923
341,107 Government National Mortgage Association
Pool #2326
8.50% Due 11/20/2026 347,875
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$1,315,579 Government National Mortgage Association
Pool #440604
8.25% Due 6/15/2027 $ 1,335,022
246,194 Government National Mortgage Association
Pool #453323
8.25% Due 9/15/2027 249,832
349,862 Government National Mortgage Association
Pool #453336
8.25% Due 9/15/2027 355,033
288,469 Government National Mortgage Association
Pool #427291
8.25% Due 12/15/2027 292,732
200,000 U.S. Treasury Note
7.75% Due 2/15/2001 202,313
3,000,000 U.S. Treasury Strips
0.00% Due 8/15/2002 2,585,996
-----------
Total United States Government and Agency Obligations
(Cost $48,986,861) $47,287,174
-----------
Total Investments (Cost $56,568,815) 98.5% $54,665,640
Other assets in excess of liabilities 1.5% 815,513
----- -----------
Total Net Assets 100.0% $55,481,153
===== ===========
</TABLE>
See Notes to Financial Statements 39
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$56,568,815)--Note 2(A) $54,665,640
Cash 48,348
Receivable for investments sold 68,585
Receivable for units sold 328,189
Interest receivable 472,504
Other assets 11,150
-----------
55,594,416
LIABILITIES:
Payable for units redeemed $17,580
Payable for investment managers 18,554
Accrued expenses 77,129 113,263
------- -----------
NET ASSETS at value, applicable to 1,584,882 outstanding
units of beneficial interest--Note 5 $55,481,153
===========
NET ASSET VALUE offering and redemption price per unit
($55,481,153 divided by 1,584,882 units) $ 35.01
===========
</TABLE>
Statement of Operations Six Months Ended March 31, 2000
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $2,132,546
---------
Total Income $2,132,546
Expenses:
Investment manager's fees--Note 3(A) 117,666
Shareholder servicing fees and expenses--Note 3(B) 161,061
Custodian fees and expenses 7,201
Legal and auditing fees 13,611
Consultant fees 4,961
Trustees' fees and expenses--Note 3(C) 16,738
Printing and Postage 9,206
Insurance 2,923
Other 23,689
---------
Total Expenses 357,056
---------
INVESTMENT INCOME--NET 1,775,490
REALIZED AND UNREALIZED LOSS ON INVESTMENTS--Note 4:
Net realized loss on investments (284,234)
Unrealized depreciation on investments (686,430)
---------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS (970,664)
---------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 804,826
=========
</TABLE>
See Notes to Financial Statements
40
<PAGE>
INTERMEDIATE-TERM BOND FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED 3/31/00 9/30/99
(UNAUDITED) (AUDITED)
------------- ------------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 1,775,490 $ 3,291,906
Net realized gain (loss) (284,234) 51,580
Net unrealized (depreciation) (686,430) (2,550,969)
------------ ------------
Net increase in net assets resulting from operations 804,826 792,517
------------ ------------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 7,677,752 16,296,336
Value of units redeemed (15,525,003) (14,283,691)
------------ ------------
Net increase (decrease) in net assets resulting from
capital transactions (7,847,251) 2,012,645
------------ ------------
Net increase (decrease) (7,042,425) 2,805,162
NET ASSETS at beginning of year 62,523,578 59,718,416
------------ ------------
NET ASSETS at end of year $ 55,481,153 $ 62,523,578
============ ============
</TABLE>
See Notes to Financial Statements
41
<PAGE>
SHORT-TERM INVESTMENT FUND
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
COMMERCIAL PAPER 9.9%
$1,100,000 Ford Motor Credit Co.
6.04% Due 4/4/2000 $ 1,099,262
1,000,000 Gillette Co.
6.20% Due 4/3/2000 999,483
-----------
Total Commercial Paper (Cost $2,099,102) $ 2,098,745
-----------
CORPORATE BONDS 17.8%
$ 250,000 Donaldson, Lufkin & Jenrette, Inc.
Medium Term Note
6.38% Due 5/26/2000 $ 249,829
1,000,000 General Electric Capital Corp.
Medium Term Note
5.625% Due 4/1/2000 999,892
355,000 General Electric Capital Corp.
Medium Term Note
5.93% Due 5/1/2000 354,937
300,000 PepsiCo, Inc.
Medium Term Note
6.80% Due 5/15/2000 300,046
40,000 PepsiCo, Inc.
Medium Term Note
5.88% Due 6/1/2000 39,938
1,000,000 Republic New York Corp.
9.50% Due 7/1/2000 1,006,130
565,000 Wal-Mart Stores, Inc.
9.10% Due 7/15/2000 568,325
250,000 Wells Fargo Co.
Medium Term Note
7.125% Due 4/1/2000 250,006
-----------
Total Corporate Bonds (Cost $3,773,258) $ 3,769,103
-----------
UNITED STATES GOVERNMENT AND AGENCY
OBLIGATIONS 72.3%
$ 250,000 Federal Farm Credit Bank
Medium Term Note
5.44% Due 11/16/2001 $ 244,679
1,000,000 Federal Home Loan Bank
5.66% Due 6/23/2000 999,012
250,000 Federal Home Loan Bank
5.50% Due 7/14/2000 249,579
500,000 Federal Home Loan Bank
5.21% Due 10/20/2000 497,286
500,000 Federal Home Loan Bank
5.29% Due 10/27/2000 497,339
255,000 Federal Home Loan Bank
5.66% Due 12/15/2000 253,658
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 100,000 Federal Home Loan Bank
6.41% Due 4/10/2001 $ 99,670
475,000 Federal Home Loan Bank
6.29% Due 8/24/2001 470,941
100,000 Federal Home Loan Bank
5.15% Due 11/5/2001 97,350
100,000 Federal Home Loan Bank
5.65% Due 12/3/2001 97,966
500,000 Federal Home Loan Bank
7.19% Due 3/6/2002 499,137
49,653 Federal Home Loan Mortgage Corp.
Gold Pool #M90397
7.50% Due 4/1/2000 49,654
41,692 Federal Home Loan Mortgage Corp.
Gold Pool #N93400
6.50% Due 4/1/2000 41,689
129,999 Federal Home Loan Mortgage Corp.
Gold Pool #M80166
6.00% Due 4/1/2000 129,982
79,430 Federal Home Loan Mortgage Corp.
Gold Pool #M90412
8.00% Due 7/1/2000 79,584
126,173 Federal Home Loan Mortgage Corp.
Remic 1674 VA
4.95% Due 7/15/2000 125,605
71,537 Federal Home Loan Mortgage Corp.
Gold Pool #G40001
7.00% Due 8/1/2000 71,201
386,571 Federal Home Loan Mortgage Corp.
Gold Pool #L80033
6.50% Due 8/1/2000 383,802
101,519 Federal Home Loan Mortgage Corp.
Gold Pool #G50295
6.50% Due 9/1/2000 101,005
60,393 Federal Home Loan Mortgage Corp.
Gold Pool #G40009
6.50% Due 9/1/2000 59,961
34,910 Federal Home Loan Mortgage Corp.
Gold Pool #G50337
7.50% Due 10/1/2000 35,087
475,835 Federal Home Loan Mortgage Corp.
Gold Pool #G40014
6.50% Due 10/1/2000 472,427
</TABLE>
See Notes to Financial Statements 42
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 346,005 Federal Home Loan Mortgage Corp.
Gold Pool #L73383
6.50% Due 10/1/2000 $ 344,252
44,740 Federal Home Loan Mortgage Corp.
Gold Pool #L80044
6.00% Due 11/1/2000 44,350
72,525 Federal Home Loan Mortgage Corp.
Gold Pool #M80302
6.00% Due 12/1/2000 71,892
68,365 Federal Home Loan Mortgage Corp.
Pool #220003
8.75% Due 2/1/2001 68,698
250,000 Federal Home Loan Mortgage Corp.
5.48% Due 2/26/2001 247,486
1,000,000 Federal Home Loan Mortgage Corp.
5.70% Due 6/8/2001 987,185
40,871 Federal Home Loan Mortgage Corp.
Pool #200043
9.00% Due 7/1/2001 41,137
229,780 Federal Home Loan Mortgage Corp.
Gold Pool #G40285
7.50% Due 7/1/2001 229,910
312,341 Federal Home Loan Mortgage Corp.
Pool #220011
8.75% Due 8/1/2001 313,861
70,428 Federal Home Loan Mortgage Corp.
Pool #200047
8.50% Due 8/1/2001 70,785
124,601 Federal Home Loan Mortgage Corp.
Gold Pool #M80333
8.00% Due 8/1/2001 125,238
396,110 Federal Home Loan Mortgage Corp.
Gold Pool #M90463
7.00% Due 8/1/2001 394,254
134,343 Federal Home Loan Mortgage Corp.
Gold Pool #N95881
7.00% Due 8/1/2001 133,581
206,580 Federal Home Loan Mortgage Corp.
Remic 1156 IB
7.00% Due 9/15/2001 206,174
1,000,000 Federal Home Loan Mortgage Corp.
5.52% Due 9/28/2001 980,409
188,512 Federal Home Loan Mortgage Corp.
Gold Pool #M80341
7.50% Due 10/1/2001 188,619
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 116,825 Federal Home Loan Mortgage Corp.
Gold Pool #L80130
8.00% Due 11/1/2001 $ 117,422
100,000 Federal Home Loan Mortgage Corp.
Medium Term Note
6.41% Due 11/23/2001 99,146
50,000 Federal Home Loan Mortgage Corp.
5.50% Due 1/28/2002 48,756
3,906 Federal National Mortgage Association
Pool #124789
7.50% Due 4/1/2000 3,906
177 Federal National Mortgage Association
Pool #190808
7.50% Due 4/1/2000 177
1,776 Federal National Mortgage Association
Pool #124833
7.50% Due 5/1/2000 1,773
1,377 Federal National Mortgage Association
Pool #190781
7.50% Due 5/1/2000 1,375
25,878 Federal National Mortgage Association
Remic 93-33 E
6.25% Due 5/25/2000 25,775
605,210 Federal National Mortgage Association
Pool #50754
6.50% Due 6/1/2000 600,496
173 Federal National Mortgage Association
Pool #303072
7.50% Due 7/1/2000 172
77,493 Federal National Mortgage Association
Pool #124909
6.00% Due 7/1/2000 76,772
173,724 Federal National Mortgage Association
Pool #227596
6.50% Due 8/1/2000 172,371
179,614 Federal National Mortgage Association
Pool #50934
6.50% Due 11/1/2000 178,215
28,757 Federal National Mortgage Association
Pool #190116
6.50% Due 11/1/2000 28,533
300,000 Federal National Mortgage Association
Medium Term Note
5.16% Due 12/22/2000 296,691
</TABLE>
See Notes to Financial Statements 43
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Investments
March 31, 2000 (Unaudited)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 428,167 Federal National Mortgage Association
Pool #266905
6.50% Due 1/1/2001 $ 423,475
109,094 Federal National Mortgage Association
Pool #269915
6.50% Due 1/1/2001 108,244
105,538 Federal National Mortgage Association
Pool #264971
6.50% Due 1/1/2001 104,381
361,614 Federal National Mortgage Association
Pool #250065
7.00% Due 4/1/2001 358,606
23,081 Federal National Mortgage Association
Pool #190778
6.00% Due 5/1/2001 22,866
1,150,000 Federal National Mortgage Association
Medium Term Note
5.65% Due 6/1/2001 1,136,078
500,000 Federal National Mortgage Association
6.63% Due 6/5/2001 498,416
100,000 Federal National Mortgage Association
Medium Term Note
6.00% Due 6/21/2001 99,089
100,000 Federal National Mortgage Association
Medium Term Note
6.00% Due 7/17/2001 99,024
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ------ -----
<C> <S> <C> <C>
UNITED STATES GOVERNMENT AND AGENCY OBLIGATIONS
(CONTINUED)
$ 114,136 Federal National Mortgage Association
Pool #250131
8.00% Due 8/1/2001 $ 114,304
275,000 Federal National Mortgage Association
Medium Term Note
5.25% Due 10/1/2001 269,050
135,000 Federal National Mortgage Association
Medium Term Note
6.40% Due 10/16/2001 134,050
78,322 Federal National Mortgage Association
Pool #250161
7.50% Due 12/1/2001 78,094
250,000 Federal National Mortgage Association
Medium Term Note
6.61% Due 1/18/2002 248,081
-----------
Total United States Government and Agency
Obligations (Cost $15,452,683) $15,349,783
-----------
Total Investments (Cost $21,325,043) 100.0% $21,217,631
Liabilities in excess of other assets 0.0% (667)
----- -----------
Total Net Assets 100.0% $21,216,964
===== ===========
</TABLE>
See Notes to Financial Statements 44
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Assets and Liabilities March 31, 2000 (Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
ASSETS:
Investments in securities at value (cost
$21,325,043)--Note 2(A) $21,217,631
Cash 61,570
Receivable for investments sold 6,649
Receivable for units sold 12,305
Interest receivable 237,813
Other assets 23,929
-----------
21,559,897
LIABILITIES:
Payable for units redeemed $281,636
Payable for investment managers 5,031
Accrued expenses 56,266 342,933
-------- -----------
NET ASSETS at value, applicable to 892,191 outstanding
units of beneficial interest--Note 5 $21,216,964
===========
NET ASSET VALUE offering and redemption price per unit
($21,216,964 divided by 892,191 units) $ 23.78
===========
</TABLE>
Statement of Operations Six Months Ended March 31, 2000
(Unaudited)
---------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME:
Income:
Interest $782,978
--------
Total Income $782,978
Expenses:
Investment manager's fees--Note 3(A) 33,965
Shareholder servicing fees and expenses--Note 3(B) 80,343
Custodian fees and expenses 6,198
Legal and auditing fees 12,759
Consultant fees 4,961
Trustees' fees and expenses--Note 3(C) 16,738
Printing and Postage 9,206
Insurance 675
Other 16,959
--------
Total Expenses 181,804
Less expense reimbursement--Note 3(A) (72,927)
--------
Net Expenses 108,877
--------
INVESTMENT INCOME--NET 674,101
REALIZED AND UNREALIZED (LOSS) ON INVESTMENTS--Note 4:
Net realized (loss) on investments (15,329)
Unrealized (depreciation) on investments (91,791)
--------
NET REALIZED AND UNREALIZED (LOSS) ON INVESTMENTS (107,120)
--------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $566,981
========
</TABLE>
See Notes to Financial Statements
45
<PAGE>
SHORT-TERM INVESTMENT FUND (CONTINUED)
Statement of Changes in Net Assets
---------------------------------------------------------------
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED 3/31/00 9/30/99
(UNAUDITED) (AUDITED)
------------- -----------
<S> <C> <C>
OPERATIONS:
Investment income--net $ 674,101 $ 1,259,324
Net realized (loss) (15,329) (40,124)
Net unrealized (depreciation) (91,791) (54,097)
----------- -----------
Net increase in net assets resulting from operations 566,981 1,165,103
----------- -----------
CAPITAL TRANSACTIONS--Note 5:
Value of units sold 9,413,456 28,862,046
Value of units redeemed (16,049,445) (35,125,697)
----------- -----------
Net (decrease) in net assets resulting from capital
transactions (6,635,989) (6,263,651)
----------- -----------
Net (decrease) (6,069,008) (5,098,548)
NET ASSETS at beginning of year 27,285,972 32,384,520
----------- -----------
NET ASSETS at end of year $21,216,964 $27,285,972
=========== ===========
</TABLE>
See Notes to Financial Statements
46
<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
that 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
March 31, 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
(collectively, "Investment Funds" and individually, "Investment
Fund"). 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;
47
<PAGE>
(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.
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. Gains or losses 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
48
<PAGE>
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.
(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 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.
49
<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 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.
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 March 31, 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 $10 million,
Investors Inc. .50% on next $10 million,
.40% on next $20 million,
and .30% over $40 million
Emerging Growth Retirement System 1.00%
Equity Fund Investors, Inc. 1.00% on first $25 million
HLM Management .80% on next $25 million,
Company, Inc. and .60% over $50 million
(Sub-adviser)
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-adviser)
Actively Managed Retirement System .40% on first $50 million,
Bond Fund Investors, Inc. .30% on next $100 million,
and .20% over $150 million
Intermediate-Term Retirement System .40% on first $50 million,
Bond Fund Investors Inc. .30% on next $100 million,
and .20% over $150 million
</TABLE>
50
<PAGE>
<TABLE>
<CAPTION>
INVESTMENT FUND INVESTMENT MANAGER FEE
--------------- ------------------ ---
<S> <C> <C>
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 RSI 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 six months ended
March 31, 2000, Investors has voluntarily waived a portion
of its investment manager's fee from the Short-Term
Investment Fund amounting to $72,927, to limit the Fund's
annual expenses to 0.80% of average net assets.
(B) Shareholder servicing fees and expenses for the six month
period consist of fees paid to Retirement System
Consultants Inc., (a subsidiary of RSGROUP) 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. Such 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 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 six months ended March 31, 2000:
<TABLE>
<CAPTION>
PURCHASES SALES
--------- -----
<S> <C> <C>
Core Equity Fund $ 1,557,571 $ 8,463,691
Value Equity Fund 38,665,091 42,885,271
Emerging Growth Equity Fund 83,033,422 105,302,069
International Equity Fund 12,699,542 10,183,165
Actively Managed Bond Fund 18,884,561 42,159,604
Intermediate-Term Bond Fund 4,684,974 11,415,206
</TABLE>
51
<PAGE>
Net unrealized appreciation (depreciation) consisting of
gross unrealized appreciation and gross unrealized depreciation
at March 31, 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 $139,889,019 $140,467,821 $ (578,802)
Value Equity Fund 10,565,060 16,440,904 (5,875,844)
Emerging Growth Equity Fund 26,992,317 32,334,042 (5,341,725)
International Equity Fund 10,528,203 13,132,822 (2,604,619)
Actively Managed Bond Fund (7,705,743) 1,090,538 (8,796,281)
Intermediate-Term Bond Fund (1,903,175) 79,050 (1,982,225)
Short-Term Investment Fund (107,412) 1,656 (109,068)
</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 March 31, 2000:
<TABLE>
<CAPTION>
VALUE OF
SECURITIES VALUE OF
LOANED COLLATERAL
------ ----------
<S> <C> <C>
Core Equity Fund $ 1,716,797 $ 1,837,894
Value Equity Fund 12,458,372 12,903,206
Emerging Growth Equity Fund 19,563,798 19,631,378
International Equity Fund 547,331 552,500
</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.
In June 1996, the Financial Accounting Standards Board
issued Statement of Financial Accounting Standards No. 125,
"Accounting for Transfers and Servicing of Financial Assets and
Extinguishments of Liabilities" ("SFAS 125"). SFAS 125 provides
accounting and reporting standards for transfers of financial
assets, including repurchase agreements and securities lending
arrangements, and establishes new requirements for pledged
collateral. RSI has adopted this pronouncement effective
January 1, 1998 and its adoption had no effect on the net
assets of the Investment Funds.
For the six months ended March 31, 2000 the Emerging Growth
Equity Fund had expenses paid through brokerage/service
arrangements which amounted to $2,625.
52
<PAGE>
NOTE 5--CAPITAL TRANSACTIONS:
At March 31, 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 six months ended March 31, 2000 were as
follows:
<TABLE>
<CAPTION>
CORE EQUITY VALUE EQUITY
FUND FUND
---- ----
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 301,441 $ 33,455,771 232,419 $ 17,435,966
Units redeemed (289,846) (32,215,157) (206,161) (15,525,387)
-------- ------------ -------- ------------
Net increase
(decrease) 11,595 $ 1,240,614 26,258 $ 1,910,579
======== ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
EMERGING GROWTH INTERNATIONAL
EQUITY FUND EQUITY FUND
----------- -----------
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 384,271 $ 43,979,051 225,005 $14,670,626
Units redeemed (565,191) (66,980,979) (119,780) (7,364,485)
-------- ------------ -------- -----------
Net increase
(decrease) (180,920) $(23,001,928) 105,225 $ 7,306,141
======== ============ ======== ===========
</TABLE>
<TABLE>
<CAPTION>
ACTIVELY MANAGED INTERMEDIATE-TERM
BOND FUND BOND FUND
--------- ---------
UNITS AMOUNT UNITS AMOUNT
----- ------ ----- ------
<S> <C> <C> <C> <C>
Units sold 579,861 $ 21,484,874 221,501 $ 7,677,752
Units redeemed (1,224,657) (45,680,794) (446,777) (15,525,003)
---------- ------------ -------- ------------
Net increase
(decrease) (644,796) $(24,195,920) (225,276) $ (7,847,251)
========== ============ ======== ============
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM
INVESTMENT FUND
---------------
UNITS AMOUNT
----- ------
<S> <C> <C>
Units sold 401,891 $ 9,413,456
Units redeemed (681,583) (16,049,445)
-------- ------------
Net increase
(decrease) (279,692) $ (6,635,989)
======== ============
</TABLE>
53
<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>
54
<PAGE>
Net Assets at March 31, 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) $(197,532,278) $(30,826,137) $(67,135,865) $12,844,886
Accumulated income
(loss) 49,541,886 20,417,836 (5,570,089) (2,046,186)
Accumulated realized
gain 203,696,049 99,292,403 150,424,961 45,965,870
Unrealized
appreciation 139,889,019 10,565,060 26,992,317 10,388,475
------------- ------------ ------------ -----------
$ 195,594,676 $ 99,449,162 $104,711,324 $67,153,045
============= ============ ============ ===========
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM ACTIVELY
INVESTMENT INTERMEDIATE-TERM MANAGED
FUND BOND FUND BOND FUND
---- --------- ---------
<S> <C> <C> <C>
Paid-in capital (deficit) $(23,961,450) $(90,171,712) $(48,910,997)
Accumulated income 44,011,993 131,689,446 183,331,851
Accumulated realized gain 1,273,833 15,866,594 36,199,458
Unrealized appreciation
(depreciation) (107,412) (1,903,175) (7,705,743)
------------ ------------ ------------
$21,216,964 $ 55,481,153 $162,914,569
============ ============ ============
</TABLE>
55
<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 0 $ 0
Options written 110 105,321
Options exercised (40) (26,299)
Options expired 0 0
---- --------
Contracts outstanding at March 31, 2000 70 $ 79,022
==== ========
VALUE EQUITY FUND
Contracts outstanding at September 30, 1999 0 $ 0
Options written 27 7,352
Options exercised (7) (2,189)
Options expired (20) (5,163)
---- --------
Contracts outstanding at March 31, 2000 0 $ 0
==== ========
</TABLE>
As of March 31, 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 loss of $(134,010) which is the difference between
the forward foreign exchange rates at the dates of entry into
the contracts and the forward rates at March 31, 2000.
<TABLE>
<CAPTION>
SETTLEMENT UNREALIZED
CONTRACTS TO BUY DATE GAIN (LOSS)
---------------- ---- -----------
<S> <C> <C> <C>
Japanese Yen for U.S.
46,613,000 $446,883 4/18/00 $ (8,434)
Japanese Yen for U.S.
59,525,000 $574,399 4/28/00 (5,964)
Japanese Yen for U.S.
59,770,000 $542,969 5/2/00 (42,163)
Japanese Yen for U.S.
49,889,000 $467,432 5/9/00 (21,506)
Japanese Yen for U.S.
46,613,000 $449,066 5/18/00 (8,412)
Japanese Yen for U.S.
44,705,000 $414,934 5/18/00 (23,817)
Japanese Yen for U.S.
38,983,000 $356,367 5/30/00 (23,714)
---------
$(134,010)
=========
</TABLE>
56
<PAGE>
NOTE 7--FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
CORE EQUITY FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
3/31/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 9/30/99 9/30/98 9/30/97 9/30/96 9/30/95
----------- ------- ------- ------- ------- -------
<S> <C> <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 $35.57
--------- --------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 0.07 0.37 0.58 0.60 0.72 0.74
Net realized and
unrealized gain on
investments 12.03 26.52 2.72 18.94 9.14 10.40
--------- --------- --------- --------- --------- ---------
Total from Investment
Operations 12.10 26.89 3.30 19.54 9.86 11.14
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of
the Year $118.40 $106.30 $79.41 $76.11 $56.57 $46.71
========= ========= ========= ========= ========= =========
TOTAL RETURN+ 11.38 % 33.86 % 4.34 % 34.54 % 21.11 % 31.21 %
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net
Assets++
Expenses (1.01)% (0.97)% (0.94)% (0.90)% (0.92)% (0.98)%
Investment income--net 0.13 % 0.37 % 0.72 % 0.92 % 1.40 % 1.86 %
Portfolio Turnover Rate+ 0.89 % 8.89 % 5.62 % 5.68 % 9.95 % 7.91 %
Net Assets at End of the
Year ($1,000's) $195,595 $174,373 $176,367 $212,273 $217,356 $189,942
</TABLE>
* Using average units basis.
+ Not annualized for periods of less than a year.
++ Annualized for periods of less than a year.
57
<PAGE>
<TABLE>
<CAPTION>
VALUE EQUITY FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
3/31/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 9/30/99 9/30/98 9/30/97 9/30/96 9/30/95
----------- ------- ------- ------- ------- -------
<S> <C> <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 $27.05
--------- --------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 0.31 0.66 0.57 0.60 0.72 0.93
Net realized and unrealized
gain (loss) on
investments 10.25 15.08 (1.66) 17.09 6.32 4.65
--------- --------- --------- --------- --------- ---------
Total from Investment
Operations 10.56 15.74 (1.09) 17.69 7.04 5.58
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of the
Year $82.57 $72.01 $56.27 $57.36 $39.67 $32.63
========= ========= ========= ========= ========= =========
TOTAL RETURN+ 14.66% 27.97% (1.90)% 44.59% 21.58% 20.63%
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net
Assets++
Expenses (0.98)% (1.02)% (1.11)% (1.20)% (1.20)% (1.32)%
Investment income--net 0.82% 0.94% 0.93% 1.26% 1.98% 3.24 %
Portfolio Turnover Rate+ 44.56% 90.14% 95.66% 99.25% 61.53% 67.06 %
Net Assets at End of the
Year ($1,000's) $99,449 $84,839 $63,931 $60,389 $52,231 $43,824
</TABLE>
* Using average units basis.
+ Not annualized for periods of less than a year.
++ Annualized for periods of less than a year.
58
<PAGE>
<TABLE>
<CAPTION>
EMERGING GROWTH EQUITY FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
3/31/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 9/30/99 9/30/98 9/30/97 9/30/96 9/30/95
----------- ------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
PER UNIT OPERATING
PERFORMANCE:*
(for a unit outstanding
throughout the period)
Net Asset Value, Beginning
of Year $80.96 $54.90 $84.47 $67.07 $52.58 $35.96
--------- --------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment (loss)--net (0.80) (1.05) (0.90) (0.95) (0.90) (0.67)
Net realized and unrealized
gain (loss) on
investments 57.59 27.11 (28.67) 18.35 15.39 17.29
--------- --------- --------- --------- --------- ---------
Total from Investment
Operations 56.79 26.06 (29.57) 17.40 14.49 16.62
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of the
Year $137.75 $80.96 $54.90 $84.47 $67.07 $52.58
========= ========= ========= ========= ========= =========
TOTAL RETURN+ 70.15 % 47.47 % (35.01)% 25.94 % 27.56 % 46.22 %
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net
Assets++
Expenses (1.79)% (1.99)% (1.94)% (1.98)% (1.91)% (2.12)%
Investment (loss)--net (1.42)% (1.55)% (1.22)% (1.39)% (1.54)% (1.61)%
Portfolio Turnover Rate+ 90.50 % 222.98 % 204.41 % 177.68 % 150.40 % 170.54 %
Net Assets at End of the
Year ($1,000's) $104,711 $76,191 $55,287 $91,589 $92,136 $74,625
</TABLE>
* Using average units basis.
+ Not annualized for periods of less than a year.
++ Annualized for periods of less than a year.
59
<PAGE>
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
3/31/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 9/30/99 9/30/98 9/30/97 9/30/96 9/30/95
----------- ------- ------- ------- ------- -------
<S> <C> <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 $38.08
--------- --------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment (loss)--net (0.16) (0.21) (0.14) (0.14) (0.08) (0.02)
Net realized and
unrealized gain (loss)
on investments 12.30 10.64 (5.51) 5.98 5.08 2.19
--------- --------- --------- --------- --------- ---------
Total from Investment
Operations 12.14 10.43 (5.65) 5.84 5.00 2.17
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of
the Year $68.01 $55.87 $45.44 $51.09 $45.25 $40.25
========= ========= ========= ========= ========= =========
TOTAL RETURN+ 21.73 % 22.95 % (11.06)% 12.91 % 12.42 % 5.70 %
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net
Assets++
Expenses (1.74)% (1.97)% (1.94)% (1.96)% (1.93)% (1.90)%
Investment income
(loss)--net (0.51)% (0.39)% (0.27)% (0.29)% (0.20)% (0.07)%
Portfolio Turnover Rate+ 19.36 % 120.42 % 92.82 % 61.87 % 51.29 % 51.40 %
Net Assets at End of the
Year ($1,000's) $67,153 $49,288 $34,083 $35,276 $39,602 $31,143
</TABLE>
* Using average units basis.
+ Not annualized for periods of less than a year.
++ Annualized for periods of less than a year.
60
<PAGE>
<TABLE>
<CAPTION>
ACTIVELY MANAGED
BOND FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
3/31/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 9/30/99 9/30/98 9/30/97 9/30/96 9/30/95
----------- ------- ------- ------- ------- -------
<S> <C> <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 $26.06
--------- --------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 1.32 2.32 2.19 2.04 1.80 1.64
Net realized and
unrealized gain (loss)
on investments (0.69) (2.84) 1.65 1.06 (0.59) 1.88
--------- --------- --------- --------- --------- ---------
Total from Investment
Operations 0.63 (0.52) 3.84 3.10 1.21 3.52
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of
the Year $37.84 $37.21 $37.73 $33.89 $30.79 $29.58
========= ========= ========= ========= ========= =========
TOTAL RETURN+ 1.69 % (1.38)% 11.33 % 10.07 % 4.09 % 13.51 %
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net
Assets++
Expenses (0.80)% (0.78)% (0.81)% (0.81)% (0.80)% (0.84)%
Investment income--net 7.13 % 6.17 % 6.16 % 6.32 % 5.94 % 5.95 %
Portfolio Turnover Rate+ 10.87 % 42.18 % 71.12 % 69.29 % 17.14 % 18.21 %
Net Assets at End of the
Year ($1,000's) $162,915 $184,197 $162,355 $147,139 $150,304 $140,127
</TABLE>
* Using average units basis.
+ Not annualized for periods of less than a year.
++ Annualized for periods of less than a year.
61
<PAGE>
<TABLE>
<CAPTION>
INTERMEDIATE-TERM
BOND FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
3/31/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 9/30/99 9/30/98 9/30/97 9/30/96 9/30/95
----------- ------- ------- ------- ------- -------
<S> <C> <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 $25.40
--------- --------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 1.00 1.85 1.93 1.78 1.74 1.66
Net realized and
unrealized gain (loss)
on investments (0.53) (1.41) 0.62 0.47 (0.45) 0.95
--------- --------- --------- --------- --------- ---------
Total from Investment
Operations 0.47 0.44 2.55 2.25 1.29 2.61
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of
the Year $35.01 $34.54 $34.10 $31.55 $29.30 $28.01
========= ========= ========= ========= ========= =========
TOTAL RETURN+ 1.36 % 1.29 % 8.08 % 7.68 % 4.61 % 10.28 %
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net
Assets++
Expenses (1.16)% (1.12)% (1.10)% (1.04)% (0.98)% (0.98)%
Investment income--net 5.76 % 5.40 % 5.92 % 5.86 % 6.06 % 6.27 %
Portfolio Turnover Rate+ 7.88 % 50.51 % 107.30 % 67.95 % 13.20 % 15.95 %
Net Assets at End of the
Year ($1,000's) $55,481 $62,524 $59,718 $68,389 $74,754 $90,482
</TABLE>
* Using average units basis.
+ Not annualized for periods of less than a year.
++ Annualized for periods of less than a year.
62
<PAGE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENT FUND
----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR YEAR YEAR YEAR YEAR
3/31/00 ENDED ENDED ENDED ENDED ENDED
(UNAUDITED) 9/30/99 9/30/98 9/30/97 9/30/96 9/30/95
----------- ------- ------- ------- ------- -------
<S> <C> <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 $18.36
--------- --------- --------- --------- --------- ---------
Income from Investment
Operations:
Investment income--net 0.58 1.05 1.06 0.97 0.94 0.93
Net realized and
unrealized gain (loss)
on investments (0.08) (0.08) 0.02 0.02 (0.01) 0.02
--------- --------- --------- --------- --------- ---------
Total from Investment
Operations 0.50 0.97 1.08 0.99 0.93 0.95
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of
the Year $23.78 $23.28 $22.31 $21.23 $20.24 $19.31
========= ========= ========= ========= ========= =========
TOTAL RETURN+ 2.15 % 4.35 % 5.09 % 4.89 % 4.82 % 5.17 %
RATIOS/SUPPLEMENTAL DATA
Ratios to Average Net
Assets++
Expenses (0.80)% (0.80)% (0.80)% (0.80)% (0.80)% (0.80)%
Investment income--net 4.97 % 4.63 % 4.89 % 4.67 % 4.76 % 4.94 %
Decrease in above expense
ratio due to fee waiver 0.54 % 0.46 % 0.50 % 0.45 % 0.39 % 0.34 %
Net Assets at End of the
Year ($1,000's) $21,217 $27,286 $32,385 $27,021 $25,668 $27,360
</TABLE>
* Using average units basis.
+ Not annualized for periods of less than a year.
++ Annualized for periods of less than a year.
63
<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, First Vice President and Treasurer
John F. Meuser, Senior Vice President
Durando J. Saccente, Senior Vice President
Veronica A. Fisher, Vice President and Assistant Treasurer
Chris R. Kaufman, Vice President
Stephen A. Hughes, First Vice President
Deborah A. Modzelewski, First Vice President
Kenneth Berkson, Second Vice President
G. Michael Morgenroth, Second Vice President
Barbara L. Schenk, 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
---------------------------------------------------------------
Chase Manhattan Bank*
Custodial Trust Company
DISTRIBUTOR
---------------------------------------------------------------
Retirement System Distributors Inc.
TRANSFER AGENT
---------------------------------------------------------------
Retirement System Consultants Inc.
INDEPENDENT AUDITORS
---------------------------------------------------------------
PricewaterhouseCoopers LLP
COUNSEL
---------------------------------------------------------------
Swidler Berlin Shereff Friedman, LLP
* Terminated as custodian, effective April 3, 2000
64
<PAGE>
BOARD OF TRUSTEES
---------------------------------------------------------------
Herbert G. Chorbajian
Vice Chairman
Charter One Financial, Inc.
Cleveland, OH
Candace Cox
Managing Director
Emerald Capital Advisors, LLC, NY, NY
James P. Cronin
President, Treasurer and Chief Executive Officer
The Dime Savings Bank of Norwich, Norwich, CT
William Dannecker
President and Chief Executive Officer
Retirement System Group Inc., NY, 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*
President 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
President and Chief Executive Officer
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
* Elected to Board April 28, 2000
<PAGE>
[LOGO]
BROKER/DEALER:
RETIREMENT SYSTEM
DISTRIBUTORS INC.
317 MADISON AVENUE
NEW YORK, NY 10017-5201
800-772-3615
WWW.RSGROUP.COM
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