<PAGE> 1
CALIFORNIA
INVESTMENT TRUST
----------------------
F U N D G R O U P (TM)
ANNUAL REPORT
AUGUST 31, 1996
This report is intended only for the information of shareholders or those who
have received the offering prospectus covering shares of beneficial interest of
the CALIFORNIA INVESTMENT TRUST FUND GROUP which contains information about the
management fee and other costs. Investments in shares of the funds of California
Investment Trust Fund Group are neither insured nor guaranteed by the U.S.
Government, and there is no assurance that any Fund which is a Money Market Fund
will be able to maintain a stable net asset value of $1.00 per share.
<PAGE> 2
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- ---------
VARIABLE RATE DEMAND NOTES (44.79%)
<S> <C> <C> <C>
ANAHEIM PUBLIC IMPROVEMENT CORPORATION
$ 3,000,000 Certificate of Participation, 1993 Refunding Project .... 3.200% 09/03/96 $ 3,000,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
2,300,000 Cottage Hospital Santa Barbara ......................... 3.150% 09/04/96 2,300,000
3,150,000 Sutter Memorial ......................................... 3.750% 09/03/96 3,150,000
CALIFORNIA STATEWIDE COMMUNITIES DEVELOPMENT AUTHORITY
400,000 Northern California Retired Officer's Community ........ 3.750% 09/03/96 400,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Certificates of Participation.............. 3.200% 09/04/96 3,000,000
IRVINE, CITY OF
1,090,000 Updates Improvement Project.............................. 3.750% 09/03/96 1,090,000
IRVINE RANCH WATER DISTRICT
200,000 Consolidated Series, 1985................................ 3.800% 09/03/96 200,000
2,200,000 Consolidated Series, 1985................................ 3.750% 09/03/96 2,200,000
1,800,000 Consolidated Series, 1991................................ 3.750% 09/03/96 1,800,000
900,000 Consolidated Series, 1993................................ 3.750% 09/03/96 900,000
1,100,000 Consolidated Series, 1995................................ 3.750% 09/03/96 1,100,000
800,000 1986 Capital Improvement Project......................... 3.600% 09/03/96 800,000
LOS ANGELES COUNTY MTA
2,400,000 Proposition C Tax Revenue Bonds.......................... 3.200% 09/04/96 2,400,000
LOS ANGELES, COUNTY OF
2,500,000 Pension Obligation Refunding Bonds....................... 3.200% 09/03/96 2,500,000
NEWPORT BEACH, CITY OF
1,600,000 Newport Beach Hoag Memorial Hospital, 1992............... 3.70% 09/03/96 1,600,000
ORANGE COUNTY
1,150,000 Refunding Certificates of Participation, Series 1993..... 3.750% 09/03/96 1,150,000
ORANGE COUNTY WATER DISTRICT
4,800,000 Certificates of Participation, 1990 Projects............. 3.600% 09/03/96 4,800,000
RIVERSIDE, CITY OF
2,900,000 Multifamily Revenue Demand Bonds, 1985G.................. 3.300% 09/03/96 2,900,000
SAN BERNARDINO, COUNTY OF
1,200,000 Certificates of Participation, 1996...................... 3.300% 09/03/96 1,200,000
SAN BERNARDINO COUNTY TRANSPORTATION AUTHORITY
3,000,000 Sales Tax Revenue Bonds, 1994 A.......................... 3.350% 09/04/96 3,000,000
SANTA CLARA, CITY OF
1,100,000 Floating Rate Demand Electric Revenue Bonds, C........... 3.300% 09/03/96 1,100,000
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
4,500,000 Palo Verde Project....................................... 3.300% 09/03/96 4,500,000
SOUTH SAN FRANCISCO, CITY OF
625,000 1991 Water Quality Control Plant Project................. 3.450% 09/04/96 625,000
TUSTIN, CITY OF
400,000 Limited Obligation Improvement Bonds..................... 3.750% 09/03/96 400,000
</TABLE>
1
<PAGE> 3
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- ---------
VARIABLE RATE DEMAND NOTES (CONTINUED)
<S> <C> <C> <C>
WESTERN RIVERSIDE COUNTY WASTEWATER AUTHORITY
$ 200,000 1996 Variable Rate Revenue Bonds ........................ 3.750% 09/03/96 $ 200,000
-------------
Total Variable Rate Demand Notes
(cost $46,315,000 ) ............................ 46,315,000
=============
TAX AND REVENUE ANTICIPATION NOTES (30.57%)
1,255,000 Alameda Contra Costa Transit District.................... 4.250% 01/30/97 1,257,497
2,000,000 Brentwood Unified School District ..................... 4.500% 07/01/97 2,011,987
3,000,000 California School Cash Reserve Program................... 4.500% 12/27/96 3,006,075
3,000,000 California, State of, Revenue Anticipation............... 4.500% 06/30/97 3,012,651
2,000,000 Los Altos Elementary School District..................... 4.250% 07/01/97 2,007,991
2,000,000 Los Angeles Unified School District ................... 4.500% 06/30/97 2,011,151
3,000,000 LA County Tax and Revenue Anticipation Series A.......... 4.500% 06/30/97 3,013,755
2,000,000 LA County Local Educational Agencies..................... 4.750% 06/30/97 2,013,507
1,500,000 Petaluma Elementary School District...................... 4.500% 07/01/97 1,508,391
1,500,000 Roseville City School District .......................... 4.700% 09/05/96 1,500,078
1,000,000 Sacramento Redevelopment Agency, City of * ............. 8.150% 11/01/96 1,026,995
2,000,000 San Diego, City of....................................... 4.500% 07/02/97 2,012,027
3,500,000 San Diego, County of..................................... 4.500% 09/30/96 3,501,596
3,650,000 Stockton California Parking District *................... 8.000% 09/01/96 3,723,000
-------------
Total Tax and Revenue Anticipation Notes
(cost $31,606,701) ............................. 31,606,701
=============
COMMERCIAL PAPER (24.08%)
CALIFORNIA EDUCATIONAL FACILITIES FINANCE AUTHORITY
3,000,000 Carnegie Institution..................................... 3.400% 09/20/96 3,000,000
2,000,000 Carnegie Institution..................................... 3.550% 11/12/96 2,000,000
CALIFORNIA, STATE OF
2,500,000 General Obligation Commercial Paper ..................... 3.450% 09/06/96 2,500,000
EASTBAY MUNICIPAL UTILITY DISTRICT
3,500,000 Water System Series...................................... 3.450% 11/19/96 3,500,000
LA DEPARTMENT OF WATER & POWER
3,500,000 Electric Plant Short-Term Revenue Certificates........... 3.350% 09/13/96 3,500,000
METROPOLITAN WATER DISTRICT OF SO. CA
1,200,000 Metropolitan Water District of Southern California ...... 3.450% 09/10/96 1,200,000
2,400,000 Metropolitan Water District of Southern California ...... 3.450% 10/24/96 2,400,000
SAN DIEGO COUNTY REGIONAL TRANSPORTATION AUTHORITY
3,000,000 Sales Tax Revenue, Series A.............................. 3.350% 10/04/96 3,000,000
</TABLE>
2
<PAGE> 4
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- ---------
COMMERCIAL PAPER (CONTINUED)
<S> <C> <C> <C>
SACRAMENTO MUNICIPAL UTILITY DISTRICT
$ 2,800,000 Commercial Paper Notes, Series I......................... 3.300% 09/10/96 $ 2,800,000
1,000,000 Commercial Paper Notes, Series I......................... 3.500% 12/18/96 1,000,000
-------------
Total Commercial Paper
(cost $24,900,000) ............................. 24,900,000
------------
Total Investments (99.44%)
(cost $102,821,701) (a) ........................ 102,821,701
Other Assets in Excess of Liabilities (0.56%) 580,356
-------------
Net Assets (100.00%)........................... $ 103,402,057
=============
</TABLE>
(a) Aggregate cost for federal income tax purposes is $102,821,701.
* Denotes Bond issue refunded prior to maturity and secured by 100% US
Government Direct Obligations.
See accompanying notes to financial statements
3
<PAGE> 5
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- -------
<S> <C> <C> <C> <C>
LONG-TERM SECURITIES (97.69%)
CALIFORNIA POLLUTION CONTROL AUTHORITY
$ 3,000,000 San Diego Gas & Electric, Series 1996A................... 5.900% 06/01/14 $ 3,026,250
CALIFORNIA, STATE OF
9,000,000 General Obligations ..................................... 6.250% 09/01/12 9,607,500
STATE OF CA DEPT OF WATER RESOURCES
2,320,000 Dept. of Water Resources Central Valley J-1 .............. 7.000% 12/01/11 2,650,600
2,835,000 Dept. of Water Resources Central Valley J-3 .............. 7.000% 12/01/11 3,238,987
CALIFORNIA STATE PUBLIC WORKS BOARD
8,000,000 State Prisons, Imperial County .......................... 6.500% 09/01/17 8,460,000
2,000,000 State Prisons 1993 Series A ............................. 5.250% 12/01/13 1,892,500
5,000,000 Lease Revenue Bonds Regents of Univ. of CA ............. 5.500% 06/01/14 4,750,000
3,630,000 California Community Colleges 1994 Series A ............. 9.000% 10/01/03 4,419,525
CA STATEWIDE COMMUNITIES DEV. AUTH.
6,000,000 Hospital Revenue Certs. of Part., Cedar Sinai ........... 6.500% 08/01/12 6,255,000
3,615,000 Children's Hospital of Los Angeles, Series 1993.......... 6.000% 06/01/09 3,746,044
CASTAIC LAKE WATER AGENCY
2,090,000 Refunding Revenue Certificates Series 1994A ............. 7.250% 08/01/09 2,427,012
CONTRA COSTA WATER AUTHORITY
4,000,000 Water District Series E ................................. 6.250% 10/01/12 4,270,000
CULVER CITY REDEVELOPMENT FINANCE AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993............. 5.500% 11/01/14 2,917,500
EAST BAY MUNICIPAL UTILITY DISTRICT
2,020,000 Water System Subordinated Rev. Refunding, 1996........... 5.000% 06/01/15 1,838,200
ELK GROVE UNIFIED SCHOOL DISTRICT
4,000,000 Special Tax Revenue Bonds................................ 6.500% 12/01/24 4,395,000
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 Gen. Obligation Convertible Bonds, 1993 Series C......... 0.000% 05/01/12 4,070,400
CITY OF FRESNO
6,000,000 Sewer System Revenue Bonds .............................. 5.250% 09/01/19 5,587,500
LA CONVENTION & EXHIBIT CENTER
1,300,000 LA Convention & Exhibit Center Series 85................ 9.000% 12/01/20 1,667,250
560,000 LA Convention & Exhibit Center Series 85................ 9.000% 12/01/10 718,200
4,500,000 LA Convention & Exhibit Center Series 1995 A .......... 6.000% 08/15/10 4,674,375
LA, CITY OF, DEPARTMENT OF AIRPORTS
2,500,000 Refunding Revenue Bonds................................... 6.500% 05/15/04 2,737,500
LOS ANGELES STATE BUILDING AUTHORITY
5,250,000 Lease Revenue Refunding Bonds............................. 5.625% 05/01/11 5,026,875
LA, DEPT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994 .................... 8.500% 06/01/04 3,645,000
LA COUNTY TRANS COMMISSION
4,540,000 Transportation Commission, Series 1991 .................. 6.500% 07/01/10 4,948,600
M-S-R PUBLIC POWER AGENCY
2,000,000 San Juan Project Refunding Rev Bond, Ser. D ............. 6.750% 07/01/20 2,260,000
5,410,000 San Juan Project Refunding Rev Bond, Ser. F ............. 6.125% 07/01/13 5,694,025
</TABLE>
4
<PAGE> 6
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- -------
<S> <C> <C> <C> <C>
LONG-TERM SECURITIES (CONTINUED)
METROPOLITAN WATER DISTRICT OF SO. CA
$ 4,000,000 Water Revenue Bonds 1995 Series A........................ 5.750% 07/01/15 $ 3,980,000
NORTHERN CALIFORNIA, TRANSMISSION AGENCY OF
1,000,000 CA-Oregon Transmission Project, Series 1990A............. 7.000% 05/01/13 1,151,250
NORTHERN CALIFORNIA POWER AGENCY
1,425,000 Geothermal Project, Series A............................. 5.850% 07/01/10 1,473,094
REDEVELOPMENT AGENCY OF OAKLAND
5,650,000 Central District Redevelopment Project Ser. 1992 ........ 5.500% 02/01/14 5,501,687
ORANGE COUNTY LOCAL TRANS AUTHORITY
3,000,000 Measure M Sales Tax Revenue Bonds ....................... 9.500% 02/15/03 3,735,000
PASADENA, CITY OF
4,000,000 Certificate of Part., 1990 Capital Imp. Projects......... 6.250% 01/01/18 4,105,000
PORT HUENEME, CITY OF
2,200,000 Refunding Cert. of Participation, 1992................... 6.000% 04/01/12 2,279,750
RIVERSIDE
2,000,000 Sewer Revenue Bonds...................................... 5.000% 08/01/11 1,872,500
SACRAMENTO MUNICIPAL UTILITY DISTRICT
9,000,000 Refunding Revenue Bond Series A ........................ 6.250% 08/15/10 9,607,500
SACRAMENTO COUNTY SANITATION DISTRICT
2,000,000 Revenue Bonds , 1995..................................... 5.000% 12/01/15 1,772,500
SAN BERNARDINO COUNTY
5,500,000 Capital Facilities Project .............................. 6.875% 08/01/24 6,345,625
SAN FRANCISCO BART DISTRICT
2,950,000 Sales Tax Rev. Refunding Series 1990 .................... 6.750% 07/01/11 3,307,688
SAN JOSE REDEVELOPMENT AGENCY
5,500,000 Merged Area Redevelopment Project ...................... 6.000% 08/01/10 5,768,125
SAN JOSE-SANTA CLARA CLEAN WATER FINANCE AUTHORITY
2,650,000 Sewer Revenue Bonds...................................... 5.375% 11/15/15 2,507,563
SAN MATEO COUNTY REG. TRANS. DISTRICT
10,000,000 Sales Tax Revenue Bonds, 1993 A ......................... 5.250% 06/01/19 9,262,500
REDEVELOPMENT AGENCY OF SANTA CLARA
6,000,000 Bayshore North Project Tax Allocation 1992 ............. 7.000% 07/01/10 6,840,000
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT
2,400,000 Installment Sale, Bonds ................................. 6.000% 08/01/11 2,511,000
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
2,000,000 Multiple Project Revenue Bonds, 1989 .................... 6.750% 07/01/12 2,190,000
6,800,000 Multiple Project Revenue Bonds, 1989..................... 6.750% 07/01/13 7,429,000
UNIVERSITY OF CALIFORNIA, UCLA REGENTS
3,000,000 UCLA Central Chiller/Cogeneration Facility .............. 10.000% 11/01/03 3,858,750
-------------
Total Long-term Securities
(cost $183,462,215) ........................... 190,422,375
=============
</TABLE>
5
<PAGE> 7
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- -------
<S> <C> <C> <C> <C>
VARIABLE RATE DEMAND NOTES (0.97%)
CALIFORNIA HEALTH FACILITIES FINANCE AUTHORITY
$ 200,000 Sutter Health 1996B...................................... 3.650% 09/03/96 $ 200,000
500,000 Sutter Health............................................ 3.750% 09/03/96 500,000
IRVINE WATER RANCH DISTRICT
400,000 Consolidated Series, 1985................................ 3.800% 09/03/96 400,000
REGIONAL AIRPORTS IMPROVEMENT CORPORATION
300,000 Facilities Sublease Revenue Bonds........................ 3.700% 09/03/96 300,000
400,000 Facilities Sublease Revenue Bonds........................ 3.700% 09/03/96 400,000
100,000 Facilities Sublease Revenue Bonds........................ 3.700% 09/03/96 100,000
-------------
Total Variable Rate Demand Notes
(cost $1,900,000) .................................. 1,900,000
-------------
Total Investments (98.66%)
(cost $185,362,215) (a) ....................... 192,322,375
Other Assets in Excess of Liabilities (1.34%)............ 2,603,208
-------------
Net Assets (100.00%) .............................. $ 194,925,583
=============
</TABLE>
(a) Aggregate cost for federal income tax purposes is $185,362,215. At August
31, 1996, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
<TABLE>
<S> <C>
Unrealized appreciation ......................................................... $ 8,470,690
Unrealized depreciation ......................................................... (1,510,530)
------------
Net unrealized appreciation ................................................. $ 6,960,160
============
</TABLE>
See accompanying notes to financial statements
6
<PAGE> 8
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- -------
LONG-TERM SECURITIES (97.53%)
CABRILLO UNIFIED SCHOOL DISTRICT
<S> <C> <C> <C> <C>
$ 400,000 General Obligations, 1996, Series A...................... 4.700% 08/01/03 $ 395,500
CALIFORNIA, STATE OF
300,000 General Obligations ..................................... 5.750% 10/01/05 314,250
STATE PUBLIC WORKS BOARD
600,000 College and University Housing Revenue ............... 4.900% 11/01/03 598,500
600,000 Energy Efficiency Revenue Bonds 1995 Series A ... 5.250% 10/01/03 610,500
CONTRA COSTA CA WATER DISTRICT
750,000 Water Revenue Bond, Series E ........................... 5.800% 10/01/02 789,375
CONTRA COSTA TRANSPORTATION AUTHORITY
800,000 Sales Tax Revenue Bonds 1995 Series A................. 6.000% 03/01/03 851,000
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project ................. 6.250% 12/01/04 429,000
DESERT SANDS UNIFIED SCHOOL DISTRICT
735,000 Certificates of Participation, Series 1995............... 5.300% 03/01/07 726,731
EAST BAY CA MUNICIPAL UTILITY DISTRICT
500,000 Water Revenue Refunding Bonds.......................... 6.000% 06/01/03 532,500
ELSINOR VALLEY CA WATER DISTRICT
1,000,000 Certificate of Participation, Series A ................. 5.900% 07/01/05 1,052,500
INDUSTRY, CITY OF
700,000 Refunding Bonds, Series 1993............................. 5.500% 07/01/09 697,375
LONG BEACH FINANCE AUTHORITY
700,000 Revenue Bonds Series 1992................................ 5.150% 01/15/08 685,125
LOS ANGELES, CITY OF
965,000 General Obligation, Series A ........................... 5.600% 09/01/05 996,363
LOS ANGELES DEPARTMENT OF AIRPORTS
700,000 Revenue Refunding Bonds.................................. 6.500% 05/15/03 763,000
LOS ANGELES, CITY OF
710,000 Wastewater System, Series 1994-A ........................ 8.500% 06/01/03 850,225
LA COUNTY TRANSPORTATION COMMISSION
550,000 Sales Tax Revenue Bonds................................... 5.900% 07/01/07 579,563
METROPOLITAN WATER DIST. OF SO. CA
800,000 Waterworks Revenue Bonds................................. 5.500% 07/01/09 800,000
NORTHERN CALIFORNIA, TRANSMISSION AGENCY OF
700,000 California/Oregon Transmission Proj., Rev. Bonds ... 6.100% 05/01/03 747,250
OAK PARK UNIFIED SCHOOL DISTRICT
1,000,000 General Obligation, Refunding Bonds.................. 5.150% 05/01/07 983,750
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
800,000 Local Trans Authority, Second Senior Ser. 1994 .... 9.500% 02/15/03 996,000
RIVERSIDE COUNTY TRANSPORTATION COMMISSION
260,000 Sales Tax Revenue Bonds ................................. 5.500% 06/01/04 268,125
</TABLE>
7
<PAGE> 9
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- ---------
<S> <C> <C> <C> <C>
LONG-TERM SECURITIES (CONTINUED)
SACRAMENTO MUNICIPAL WATER DISTRICT
$ 900,000 Electric Revenue Refunding Bonds ........................ 5.100% 11/15/03 $ 911,250
COUNTY OF SACRAMENTO PFA
400,000 Main Detention Facility Certificate of Part. ............ 5.300% 06/01/04 406,500
SAN DIEGO COUNTY REG. TRANS COMM.
800,000 Second Senior Sales Tax Revenue Bonds.................... 5.000% 04/01/03 802,000
SAN FRANCISCO CITY & CNTY., AIRPORT COMMISSION
455,000 Refunding Revenue Bonds.................................. 5.150% 05/01/03 460,119
SAN FRANCISCO, CITY & COUNTY
500,000 Sewer Revenue Refunding Bonds Series 1992................ 5.500% 10/01/02 516,875
SAN MATEO JOINT POWERS AUTHORITY
400,000 Joint Powers Authority, Series A ........................ 5.100% 08/01/03 404,000
CITY OF SANTA ROSA
400,000 Wastewater Refunding .................................... 5.125% 09/01/05 399,500
SIGNAL HILL REDEVELOPMENT AGENCY
745,000 Signal Hill Project No. 1, 1993 ......................... 5.200% 10/01/03 758,037
SOUTHERN CA PUBLIC POWER AUTHORITY
800,000 Transmission Project Revenue Bonds, Series A............. 6.000% 07/01/04 851,000
TURLOCK IRRIGATION DISTRICT
1,000,000 Revenue Refunding Bonds 1996 Series A.................... 6.000% 01/01/08 1,051,250
UNIVERSITY OF CA, REGENTS OF THE
650,000 Housing System Revenue Bonds............................. 5.000% 11/01/02 654,875
700,000 Multi-purpose Projects, Series C......................... 10.000% 09/01/02 879,375
VISALIA, CITY OF
800,000 Wastewater System Revenue Bonds.......................... 5.900% 12/01/05 847,000
-----------
Total Long-term Securities
(cost $23,446,004) .................................. 23,608,413
-----------
VARIABLE RATE DEMAND NOTES (6.19%)
CALIFORNIA POLLUTION CONTROL AUTHORITY
1,000,000 Southern California Edison Series A...................... 3.750% 09/01/96 1,000,000
CITY OF IRVINE
500,000 Updates Improvement Bonds............................. 3.750% 09/01/96 500,000
-----------
Total Variable Rate Demand Notes
(cost $1,500,000) ................................ 1,500,000
-----------
Total Investments (103.72%)
(cost $24,946,004) (a) ........................... 25,108,413
Liabilities in excess of Other Assets (-3.72%) ........ (901,684)
-----------
Net Assets (100.00%) ............................. $ 24,206,729
============
</TABLE>
8
<PAGE> 10
(a) Aggregate cost for federal income tax purposes is $24,946,004. At August
31, 1996, unrealized appreciation (depreciation) of securities for
federal income tax purposes is as follows:
<TABLE>
<S> <C>
Unrealized appreciation ...................... $ 303,413
Unrealized depreciation ...................... (141,004)
----------
Net unrealized appreciation .................. $ 162,409
==========
</TABLE>
See accompanying notes to financial statements
9
<PAGE> 11
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- -------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (49.74%)
<S> <C> <C> <C>
$ 998,516 8.000% 07/15/24 $ 1,002,510
958,945 7.000% 04/15/24 916,205
814,055 8.000% 07/15/24 817,311
1,987,894 6.500% 03/15/26 1,830,114
982,232 6.500% 01/15/26 904,272
993,479 7.000% 03/15/26 943,495
2,026,901 7.000% 01/15/26 1,924,923
1,000,363 6.500% 03/15/26 920,964
985,057 7.000% 04/15/26 935,499
1,006,310 6.500% 04/15/26 926,439
987,106 6.500% 04/15/26 908,759
987,124 7.000% 05/15/26 937,462
46,847 10.000% 10/15/10 50,624
21,244 11.250% 07/15/13 23,681
8,000 10.000% 07/15/13 8,645
41,167 10.000% 09/15/18 44,949
478,767 9.000% 10/15/18 499,863
872,574 8.000% 09/15/21 873,392
------------
Total Government National Mortgage Association (cost $14,722,785)................ 14,469,107
------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
UNITED STATES TREASURY BONDS (37.06%)
1,600,000 9.000% 11/15/18 1,899,000
1,500,000 8.875% 02/15/19 1,761,093
2,000,000 8.500% 02/15/20 2,270,624
2,000,000 8.750% 05/15/20 2,327,500
2,300,000 8.125% 08/15/21 2,519,938
------------
Total United States Treasury Bonds (cost $11,202,036) ........................... 10,778,155
------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
UNITED STATES TREASURY NOTES (0.85%)
250,000 6.500% 05/31/01 247,734
------------
Total United States Treasury Notes (cost $248,345) ............................... 247,734
------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C>
UNITED STATES TREASURY STRIPS (10.45%)
6,000,000 0.000% 11/15/18 1,175,441
6,000,000 0.000% 05/15/19 1,135,535
4,000,000 0.000% 11/15/19 729,736
------------
Total United States Treasury Strips (cost $3,247,896) ............................ 3,040,712
------------
</TABLE>
10
<PAGE> 12
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- -------
<S> <C> <C> <C>
UNITED STATES TREASURY BILL (1.03%)
$ 300,000 5.170% 10/10/96 $ 298,387
------------
Total United States Treasury Bill (cost $298,387)....................................... 298,387
------------
Total Investments (cost $29,719,449) (a) (99.13%)....................................... 28,834,095
Other Assets in Excess of Liabilities (0.87%)........................................... 253,669
------------
Net Assets (100.00%).................................................................... $ 29,087,764
============
</TABLE>
(a) Aggregate cost for federal income tax purposes is $29,719,449. At August
31, 1996, unrealized appreciation (depreciation) of securities for
federal income tax purposes is as follows:
<TABLE>
<S> <C>
Unrealized appreciation ....................................... $ 86,356
Unrealized depreciation ....................................... (971,710)
-----------
Net unrealized depreciation ................................... $ (885,354)
===========
</TABLE>
11
<PAGE> 13
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1996
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- -------
UNITED STATES TREASURY BILLS (100.09%)
<S> <C> <C> <C>
$ 2,500,000 4.875%-5.150% 11/14/96 $ 2,474,773
1,900,000 5.060% 12/12/96 1,872,021
3,400,000 5.040% 01/09/97 3,338,120
3,000,000 5.050% 10/03/96 2,986,533
3,300,000 5.170% 10/10/96 3,281,857
3,600,000 4.965% 10/24/96 3,573,686
1,000,000 4.960%-5.000% 10/31/96 991,720
3,800,000 5.170% 11/07/96 3,764,285
2,700,000 5.070% 11/21/96 2,669,200
2,100,000 5.140% 11/29/96 2,072,666
3,000,000 5.270% 12/19/96 2,952,176
3,200,000 4.935% 09/19/96 3,191,915
4,800,000 5.030% 10/17/96 4,768,533
------------
</TABLE>
<TABLE>
<S> <C>
Total Investments (cost $37,937,485) (a) (100.09%)............ 37,937,485
Liabilities in Excess of Other Assets (-.09%)................. (34,779)
------------
Net Assets (100.00%) ......................................... $ 37,902,706
============
</TABLE>
(a) Cost for federal income tax purposes is $37,937,485.
See accompanying notes to financial statements
12
<PAGE> 14
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1996
SHARES VALUE
------ -----
COMMON STOCK (85.71%)
CAPITAL GOODS (4.80%)
PRODUCTION (1.26%)
<TABLE>
<S> <C>
200 Briggs & Stratton ............. $ 8,700
1,500 Caterpillar Inc.................. 103,313
100 Cincinnati Milacron Inc.......... 1,975
700 Cooper Industries ............... 28,350
2,000 Deere & Co....................... 79,500
1,100 Dover Co......................... 48,263
300 FMC Corp.*....................... 19,200
300 Foster Wheeler Corp.............. 12,938
900 Illinois Tool Works.............. 62,213
700 Ingersol Rand Co. ............... 29,925
800 Pall Corp........................ 18,800
550 Parker Hannifin.................. 21,450
300 Raychem.......................... 20,588
100 Timken Co........................ 3,800
1,000 Tyco International Ltd. ......... 42,250
3,200 Westinghouse Electric............ 52,400
---------
553,665
---------
MACHINERY (AGRICULTURE & CONSTRUCTION)(0.07%)
400 Case Equipment .................. 18,200
300 Varity Corp. New*................ 15,075
---------
33,275
---------
MACHINERY (INDUSTRIAL) (0.03%)
100 Giddings and Lewis Inc........... 1,300
300 Harnischfeger.................... 11,325
---------
12,625
---------
POLLUTION CONTROL (0.27%)
3,700 WMX Technologies, Inc............ 117,013
---------
ELECTRICAL EQUIPMENT (3.01%)
1,628 AMP Inc.......................... 62,271
1,700 Emerson Electric Co.............. 142,375
12,810 General Electric................. 1,064,831
800 General Instrument Corp.* .. 21,900
300 Grainger WW Inc.................. 20,250
600 Scientific-Atlanta Inc........... 8,100
---------
1,319,727
---------
TRANSPORTATION EQUIPMENT (0.02%)
200 Cummins Engine................... 7,525
---------
Conglomerate (0.14%)
1,200 Tenneco, Inc..................... 59,700
---------
Total Capital Goods.............. 2,103,530
---------
CONSUMER CYCLICAL (7.18%)
HOUSING (0.00%)
100 Kaufman & Broad Home Corp. 1,225
---------
BUILDING MATERIAL (0.49%)
3,633 Home Depot....................... 193,003
300 Johnson Controls................. 21,150
---------
214,153
---------
AUTO & TRUCK (2.13%)
5,800 Chrysler Corp.................... 168,925
700 Dana............................. 21,000
500 Eaton Corp....................... 27,688
500 Echlin Corp...................... 15,250
9,010 Ford Motor Co.................... 301,835
5,800 General Motors Corp.............. 288,550
900 Genuine Parts Co. ............... 38,588
900 ITT Industries .................. 20,588
215 Paccar Inc....................... 9,729
100 Trinova Corp..................... 3,138
400 TRW Inc.......................... 37,000
---------
932,291
---------
TIRE & RUBBER (0.18%)
500 Cooper Tire and Rubber Co. 9,750
200 Goodrich, B.F. Co................ 15,000
1,200 Goodyear Tire & Rubber........... 54,750
----------
79,500
----------
APPLIANCE (0.27%)
300 Armstrong World Ind.............. 18,563
1,180 Black and Decker................. 46,610
600 Maytag Corp...................... 16,100
300 Snap-On Inc...................... 13,688
500 Whirlpool Corp................... 24,500
----------
119,461
----------
HOUSEHOLD PRODUCTS (0.16%)
1,494 Federated Department Stores*..... 51,730
400 Tupperware Corp.*................ 17,500
---------
69,230
---------
TEXTILE & APPAREL (0.48%)
400 Liz Claiborne Inc................ 13,900
700 Melville Corp.................... 29,575
1,100 Nike Class B..................... 118,800
500 Reebok International Ltd......... 18,000
100 Russell Co....................... 3,200
100 Spring Industries ............... 4,513
400 VF Corp.......................... 23,500
---------
211,488
---------
RETAIL-GENERAL (3.35%)
400 American Greetings Corp.......... 10,300
1,000 American Stores Co............... 41,125
800 Charming Stores Inc.*............ 5,350
700 Circuit City Stores.............. 22,050
1,500 Dayton Hudson Corp............... 51,750
900 Dillard Dept. Stores Class A..... 30,600
2,200 Gap Inc.......................... 77,000
400 Giant Foods...................... 13,450
100 Great Atlantic & Pacific......... 2,675
100 Jostens.......................... 1,863
1,270 Kroger*.......................... 53,816
1,100 Lowes Cos........................ 39,738
1,900 May Dept. Stores................. 86,450
300 Mercantile Stores Co............. 15,825
</TABLE>
13
<PAGE> 15
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1996
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<S> <C> <C>
RETAIL-GENERAL (CONTINUED)
600 Nordstrom Inc....................... $ 23,400
1,700 Penney, JC Co....................... 89,888
400 Pep Boys-Manny, Mo, Jack............ 13,400
500 Rite Aid Corp....................... 15,938
3,000 Sears Robuck & Co................... 132,000
400 Supervalu Inc....................... 11,250
400 Tandy Corp.......................... 17,650
2,105 The Limited Ltd..................... 38,943
500 TJX Cos, Inc......................... 16,000
2,100 Toys R Us, Inc.*.................... 61,950
17,640 Wal-Mart Stores Inc................. 467,460
1,900 Walgreen Co......................... 62,700
1,200 Winn-Dixie Stores Inc............... 41,250
1,000 Woolworth Corp.*.................... 21,250
---------
1,465,071
---------
LODGING (0.12%)
900 HSF Inc.*........................... 53,888
---------
Total Consumer Cyclical............. 3,146,307
---------
CONSUMER NON-DURABLE (23.91%)
HEALTH CARE (0.38%)
400 Bausch & Lomb Inc................... 13,250
800 Beverly Enterprises*................ 8,200
900 Biomet Inc.*........................ 14,063
400 Manor Care.......................... 13,750
2,000 Warner-Lambert Co................... 119,000
---------
168,263
---------
CONSUMER PRODUCT (0.09%)
1,200 Newell Co........................... 37,350
---------
FOOD, BEVERAGE & TOBACCO (6.92%)
1,200 American Brands..................... 48,750
4,168 Archer-Daniels-MidLand Co........... 73,991
1,900 Campbell Soup....................... 123,738
19,240 Coca-Cola........................... 962,000
1,900 Conagra Inc......................... 80,038
1,000 CPC International................... 68,875
1,200 Darden Restaurants.................. 9,600
100 Fleming Cos., Inc................... 1,600
1,200 General Mills....................... 66,000
2,850 HJ Heinz Co......................... 89,775
500 Hershey Foods....................... 43,563
1,700 Kellogg Co.......................... 114,750
800 Loews Corporation................... 59,800
12,040 Pepsi Co............................ 346,150
6,370 Philip Morris Co., Inc.............. 571,708
820 Pioneer Hi-Bred Int................. 45,203
1,000 Quaker Oats......................... 32,875
700 Ralston-Ralston Purina Grp.......... 43,750
3,700 Sara Lee Corp....................... 116,550
1,400 Sysco Corp.......................... 44,975
1,400 UST Inc............................. 42,000
800 Wrigley Wm Jr....................... 43,300
---------
3,028,991
---------
RETAIL-FOOD & DRUGS (0.27%)
1,900 Albertson's Inc..................... 80,513
3,500 KMart............................... 35,000
100 Longs Drug Stores................... 4,000
----------
119,513
----------
COMMUNICATIONS & MEDIA (1.17%)
300 Andrew Corp.*....................... 13,350
1,600 Comcast Corp CL A Spec.............. 25,800
400 Comcast Corp CL A................... 6,350
700 Dow Jones & Co...................... 27,388
1,100 Gannett Co., Inc.................... 73,700
400 Harcourt General Inc................ 19,150
1,110 Interpublic Group Cos. Inc.......... 50,228
600 Knight Ridder Inc................... 20,250
700 New York Times Class A.............. 21,875
5,000 TeleCommunications Inc.A*........... 74,375
3,000 Time Warner Inc..................... 100,125
800 Times Mirror Co. A-New.............. 34,700
650 Tribune Co.......................... 46,719
----------
514,010
----------
ENTERTAINMENT & LEISURE (1.14%)
400 Bally Entertainment Corp.*.......... 10,900
700 Brunswick Corp...................... 14,788
500 Hasbro, Inc......................... 18,375
100 King World Productions, Inc.*....... 3,525
2,085 Mattel CS........................... 54,992
5,400 McDonalds Corp...................... 250,425
1,513 Price/Costco, Inc.*................. 30,071
300 Shoney's, Inc.*..................... 2,738
64 Viacom Inc. Cl A*................... 2,000
2,784 Viacom Inc. Cl B*................... 87,696
1,000 Wendys International................ 20,250
----------
495,760
----------
APPAREL (0.04%)
550 Fruit of the Loom*.................. 15,263
200 Stride Rite Corp.................... 1,700
----------
16,963
----------
DRUGS (7.59%)
6,100 Abbott Labs......................... 275,263
400 Allergan............................ 15,550
500 Alza Corp. Class A*................. 13,688
4,800 Amer Home Products Corp............. 284,400
400 Bard C.R. Inc....................... 12,400
2,100 Baxter International, Inc........... 93,713
1,260 Becton Dickinson Co................. 51,503
3,900 Bristol-Meyer/Squibb................ 342,225
300 Community Psychiatric*.............. 2,400
1,280 Humana Inc.*........................ 24,000
10,040 Johnson & Johnson................... 494,470
4,240 Lilly, Eli & Co..................... 242,740
1,800 Medtronic Inc....................... 93,600
9,500 Merck & Co.......................... 623,438
4,900 Pfizer, Inc......................... 347,900
3,920 Pharmacia & Upjohn, Inc............. 164,640
2,800 Schering Plough Corp................ 156,450
</TABLE>
14
<PAGE> 16
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
DRUGS (CONTINUED)
1,170 St. Jude Medical*.............. $ 41,974
2,040 Tenet Healthcare Corp.*........ 42,840
-----------
3,323,194
-----------
HOSPITAL SUPPLY & SERVICE (0.17%)
1,287 Boston Scientific Corp.*....... 59,041
400 US Surgical Corp............... 14,600
-----------
73,641
-----------
COSMETIC & SOAP (2.00%)
100 Alberto-Culver Co. Cl B........ 4,138
1,000 Avon Products, Inc............. 47,875
300 Clorox ....................... 28,088
1,000 Colgate Palmolive Co........... 81,250
3,400 Gillette Co.................... 216,750
700 Int'l Flavors & Fragrance...... 30,100
5,230 Proctor & Gamble............... 464,816
-----------
873,017
-----------
LIQUOR (0.67%)
2,000 Anheuser-Busch Cos., Inc....... 151,500
500 Brown Foreman Cl. B............ 18,125
1,310 Coors (Adolph)................. 26,200
2,900 Seagrams....................... 96,063
-----------
291,888
-----------
TRAVEL & RECREATION (1.04%)
1,810 CUC International, Inc.*....... 62,219
300 Fleetwood Enterprises.......... 8,325
600 Harrahs Entertainment, Inc.*... 11,400
300 Hilton Hotels Corp............. 32,063
800 Marriot Intl................... 43,900
5,244 Walt Disney Co................. 298,908
-----------
456,815
-----------
PRINTING & PUBLISHING (0.17%)
1,200 Donnelley, RR & Sons........... 39,150
600 McGraw Hill Cos., Inc.......... 24,600
200 Meredith Corporation........... 8,600
-----------
72,350
-----------
RESTAURANT (0.01%)
100 Luby's Cafeterias Inc.......... 2,363
400 Ryan's Family Steak House*..... 3,350
-----------
5,713
-----------
BUSINESS SERVICE (1.67%)
200 Autodesk Inc................... 4,600
2,200 Automatic Data Proc., Inc...... 91,575
1,600 Browning Ferris................ 40,800
4,900 Cisco Systems Inc.*............ 258,475
2,850 Computer Associates............ 149,625
490 Computer Sciences *............ 34,300
860 Deluxe Corp.................... 32,895
1,300 Dunn & Bradstreet.............. 74,913
700 H&R Block...................... 17,500
100 Harland, John H Co............. 2,513
600 Moore Corp..................... 10,500
300 National Service Inds.......... 11,400
-----------
729,096
-----------
OFFICE PRODUCT (0.07%
570 Avery Dennison Co.............. 29,141
-----------
HEALTH CARE SERVICE (0.58%)
3,887 Columbia/HCA Hthcare Corp...... 190,942
400 Ecolab Inc..................... 12,150
1,300 United Healthcare Corp......... 50,213
-----------
253,305
-----------
Total Consumer Non-Durable ... 10,489,010
-----------
BANKING & FINANCIAL SERVICE (12.00%)
BANK & BANK HOLDING COS. (6.16%)
3,530 Banc One Corp.................. 135,464
1,200 Banc of Boston................. 63,300
3,000 Bank of New York............... 83,625
2,800 BankAmerica Corp............... 217,000
500 Bankers Trust New York......... 38,875
600 Barnett Bank Inc............... 39,375
1,200 Boatmens Bancshares............ 63,900
3,348 Chase Manhattan Corp........... 249,008
3,732 Citicorp....................... 310,689
900 Comerica....................... 43,875
1,690 Corestates Financial........... 69,924
700 Fifth Third Bancorp............ 37,100
1,145 First Bank System Inc.......... 73,566
2,458 First Chicago NBD Corp......... 104,772
2,240 First Union Corp............... 143,080
2,035 Fleet Financial Group, Inc..... 84,961
950 Mellon Bank.................... 52,606
1,400 Morgan, J.P. & Co., Inc........ 122,675
2,300 Nations Bank Corp.............. 195,788
2,700 Norwest Corp................... 101,588
2,600 PNC Financial Corp............. 81,250
400 Republic New York Corp......... 26,450
1,800 Suntrust Banks, Inc............ 69,075
1,300 U.S. Bancorp................... 49,725
1,300 Wachovia Corp.................. 59,475
733 Wells Fargo & Co............... 182,334
-----------
2,699,480
-----------
SAVINGS & LOAN (0.33%)
1,400 Fed. Home Loan Mortgage........ 123,725
400 Golden West Financial.......... 22,200
-----------
145,925
-----------
FINANCE COMPANY (1.47%)
1,300 Ahmanson, HF&Co................ 32,825
3,700 American Express Co............ 161,875
400 Beneficial Corp................ 22,550
1,100 Great Western Financial........ 27,225
800 Household International........ 63,400
1,400 Merrill Lynch.................. 85,750
1,660 National City Corp............. 62,458
700 Salomon Inc.................... 31,500
3,580 Travelers Group, Inc........... 155,282
-----------
642,865
-----------
INSURANCE (3.00%)
1,124 Aetna Life & Cas. Co........... 74,324
300 Alexander & Alex. Svcs. Inc.... 4,725
3,427 Allstate Corp.................. 152,930
1,600 American General Corp.......... 58,400
3,675 American Intl. Group........... 349,125
700 AON Corp....................... 35,350
</TABLE>
15
<PAGE> 17
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
SHARES VALUE
- ------ -----
<TABLE>
<CAPTION>
INSURANCE (CONTINUED)
<S> <C>
1,200 Chubb Group ....................................... $ 53,250
500 Cigna Corp C ...................................... 58,063
600 General RE Corp ................................... 86,925
900 ITT Hartford Group ................................ 47,475
450 Jefferson Pilot ................................... 23,119
1,843 Keycorp New ....................................... 73,950
700 Lincoln National Corp. ............................ 30,975
500 Marsh &McClennan Co. .............................. 46,500
500 MGIC Investment ................................... 31,688
700 Providian Corporation ............................. 28,963
1,000 Safeco Corp. ...................................... 33,125
500 St. Paul Companies ................................ 25,875
400 Torchmark Corp. ................................... 17,000
500 TransAmerica Corp. ................................ 34,063
500 Unum Corp. ........................................ 31,750
900 USF&G ............................................. 14,513
150 USLife ............................................ 4,388
----------
1,316,476
----------
FINANCIAL SERVICES (1.04%)
1,290 Dean Witter Disc. &Co ............................. 64,500
8,400 Fed Natl. Mtge. Assn .............................. 260,400
900 Green Tree Financial Corp. ........................ 31,275
1,725 MBNA Corporation .................................. 52,397
1,000 Morgan Stanley Group .............................. 47,750
----------
456,322
----------
Total Banking & Financial Services 5,261,068
----------
UTILITY (9.32%)
ELECTRIC(0.96%)
1,204 Cinergy Corp. ..................................... 36,120
1,800 Consolidated Edison ............................... 47,025
1,600 Duke Power ........................................ 74,800
3,400 Edison International .............................. 59,075
1,375 General Public Utilities .......................... 43,313
2,300 Pacificorp ........................................ 46,288
100 Peoples Energy Corp. .............................. 3,400
1,700 Texas Utilities ................................... 69,700
1,080 Union Electric Co. ................................ 40,365
----------
420,086
----------
TELEPHONE(6.05%)
1,500 Alltell Corp. ..................................... 42,375
12,290 AT&T .............................................. 645,225
4,300 Ameritech Corp. ................................... 221,988
3,400 Bell Atlantic ..................................... 191,250
7,600 Bell South Corp. .................................. 275,500
900 DSC Comm. Corp.* .................................. 26,775
7,400 GTE Corp .......................................... 291,375
5,200 MCI Communications ................................ 130,650
3,300 NYNEX Corp. ....................................... 142,313
3,300 Pacific Telesis Group ............................. 106,838
4,700 SBC Communications ................................ 219,138
3,300 Sprint Corporation Com ............................ 134,063
3,600 US West, Inc. ..................................... 106,200
3,600 US West Media Group* .............................. 65,250
2,572 Worldcom, Inc.* ................................... 54,012
----------
2,652,952
----------
ENERGY (2.31%)
1,400 American Elect. Pwr. Co. .......................... 58,100
1,000 Baltimore Gas & Electric .......................... 26,000
1,310 Carolina Power & Light ............................ 45,686
1,600 Central & S/W Corp. ............................... 42,200
800 Coastal Corp. ..................................... 31,700
700 Consolidated Natural Gas .......................... 38,063
1,400 Dominion Resources ................................ 52,325
1,310 DTE Energy Co. .................................... 37,335
500 Enserch ........................................... 10,063
1,800 Entergy Corp. New ................................. 45,675
1,400 FPL Group, Inc. ................................... 61,950
2,000 Houston Industries ................................ 43,500
4,360 Niagara Mohawk Power .............................. 35,970
200 Nicor ............................................. 6,275
1,000 Noram Energy Corp. ................................ 14,625
920 Northern States Power ............................. 41,975
1,200 Ohio Edison ....................................... 25,200
500 Pacific Enterprises ............................... 14,938
3,200 PG&E .............................................. 72,400
1,200 Panenergy Corp. ................................... 39,750
1,700 Peco Energy Co. ................................... 39,950
1,900 Public Services Enterprises ....................... 51,538
500 Sonat Inc. ........................................ 22,063
5,100 Southern Co. ...................................... 115,388
1,700 Unicom Corp. ...................................... 39,100
----------
1,011,769
----------
Total Utilities ................................... 4,084,807
----------
SERVICE(0.31%)
DISTRIBUTOR (0.10%)
1,000 Alco Standard Corp. ............................... 43,625
----------
CONSUMER (0.15%)
2,300 Laidlaw Inc. Cl. B ................................ 22,138
800 Service Corp. Intl ................................ 45,100
----------
67,238
----------
MISCELLANEOUS (0.06%)
1,250 PP&L Resources, Inc.* ............................. 28,125
----------
Total Service ..................................... 138,988
----------
TRANSPORTATION (1.43%)
AIR TRANSPORTATION (0.39%)
700 AMR Corp.* ........................................ 57,400
600 Delta Airlines .................................... 42,525
540 Federal Express* .................................. 40,433
1,000 Southwest Airlines Co. ............................ 22,875
500 USAir Group, Inc.* ................................ 8,938
----------
172,171
----------
RAILROAD (0.96%)
1,095 Burlington No./Santa Fe ........................... 87,600
500 Conrail, Inc. ..................................... 34,063
1,600 CSX Corp .......................................... 81,000
1,000 Norfolk Southern Co. .............................. 83,375
1,600 Union Pacific Corp. ............................... 116,600
800 Whitman Corp. ..................................... 17,900
----------
420,538
----------
</TABLE>
16
<PAGE> 18
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C>
TRUCKING (0.08%)
300 Caliber System, Inc. .............................. $ 5,213
300 Consol Freightways ................................ 6,900
570 Navistar Intl.* ................................... 5,558
500 Ryder System ...................................... 14,188
100 Yellow Corp.* ..................................... 1,338
----------
33,197
----------
Total Transportation .............................. 625,906
----------
MANUFACTURING (8.06%)
CONSUMER DURABLE (0.53%)
550 Eastman Chemical Co. .............................. 30,731
2,600 Eastman Kodak ..................................... 188,500
100 Outboard Marine ................................... 1,675
300 Polaroid Corp. .................................... 12,713
----------
233,619
----------
BUILDING & HOUSING (0.38%)
100 Centex Corp. ...................................... 3,213
1,800 Corning Corp. ..................................... 67,050
100 Crane Co. ......................................... 4,000
500 Fluor Corp. ....................................... 32,000
1,100 Masco Co. ......................................... 32,038
300 Owens Corning* .................................... 10,913
100 Pulte Corp. ....................................... 2,488
600 Stanley Works ..................................... 16,500
----------
168,202
----------
CHEMICAL (2.70%)
700 Air Products &Chem. Inc. .......................... 38,325
2,000 Dow Chemical ...................................... 159,500
4,300 Dupont De Nemours &Co ............................. 353,138
700 Grace WR &Co ...................................... 45,938
400 Great Lakes Chemical .............................. 23,000
700 Hercules .......................................... 34,825
4,500 Monsanto Co. ...................................... 144,563
1,320 Morton Intl. Co. .................................. 49,005
400 Nalco Chemical .................................... 12,850
1,500 PPG Industries .................................... 74,063
1,200 Praxair, Inc. ..................................... 49,350
640 Rohm &Haas Co. .................................... 40,000
1,200 Rubbermaid Inc. ................................... 31,800
400 Safety Kleen ...................................... 6,900
500 Sherwin Williams .................................. 21,875
300 Sigma-Aldrich Corp. ............................... 15,825
900 Union Carbide Corp. ............................... 38,925
818 Williams Cos ...................................... 40,798
----------
1,180,680
----------
DIVERSIFIED (0.50%)
900 ITT Corp.* ........................................ 47,925
1,200 Unilever (NY Shares) .............................. 172,200
----------
220,125
----------
PAPER & FOREST PRODUCTS (1.23%)
200 Boise Cascade ..................................... 6,750
700 Champion Intl ..................................... 30,100
600 Georgia Pacific Co. ............................... 44,625
2,249 International Paper ............................... 89,960
500 James River of Virginia ........................... 13,000
2,146 Kimberly Clark .................................... 168,193
800 Louisiana-Pacific Co. ............................. 17,400
300 Mead Corp. ........................................ 17,175
100 Potlatch Corp. .................................... 3,763
400 Temple Inland ..................................... 19,750
400 Union Camp Co. .................................... 19,400
600 Westvaco Corp. .................................... 17,175
1,600 Weyerhaeuser Co. .................................. 71,400
350 Willamette Inds ................................... 21,613
----------
540,304
----------
METAL & MINERAL (0.36%)
1,982 Allegheny Teledyne Inc.* .......................... 40,135
800 Armco Inc.* ....................................... 3,500
700 Bethlehem Steel* .................................. 7,175
300 Inland Steel Inds ................................. 5,175
600 Nucor Corp. ....................................... 28,050
2,200 USX-Marathon ...................................... 45,925
500 USX-US Steel ...................................... 13,750
600 Worthington Inds., Inc. ........................... 12,150
----------
155,860
----------
CONTAINER(0.16%)
100 Ball Corp. ........................................ 2,363
400 Bemis Co. ......................................... 11,950
1,050 Crown Cork &Seal .................................. 49,088
600 Stone Container Corp. ............................. 8,325
----------
71,726
----------
COMPUTER (0.31%)
3,550 Data General* ..................................... 39,938
1,700 EMC Corp. Massachusetts* .......................... 32,725
760 Seagate Technology, Inc.* ......................... 36,480
1,182 Silicon Graphics, Inc.* ........................... 27,482
----------
136,625
----------
NON FERROUS METAL (0.71%)
1,700 Alcan Aluminum Ltd. ............................... 53,338
1,400 Aluminum Co. of Amer .............................. 86,975
300 Asarco, Inc. ...................................... 7,763
1,050 Englehard Corp. ................................... 21,394
1,275 Inco Ltd. ......................................... 41,119
919 Newmont Mining Co. ................................ 48,592
500 Phelps Dodge ...................................... 30,250
400 Reynolds Metals ................................... 21,400
----------
310,831
----------
GOLD AND PRECIOUS METAL (0.52%)
2,673 Barrick Gold Corp. ................................ 72,171
1,700 Battle Mountain Gold Co. .......................... 14,450
550 Cypress Amax Mineral Co. .......................... 11,688
900 Echo Bay Mines Ltd. ............................... 8,944
1,570 Freeport McMoran Cop.-B ........................... 46,119
1,100 Homestake Mining Co. .............................. 18,150
1,800 Placer Dome, Inc. ................................. 43,200
1,000 Santa Fe Pacific Gold Corp ........................ 13,000
----------
227,722
----------
MISCELLANEOUS (0.66%)
3,200 3M Co. ............................................ 220,000
1,200 Applied Materials, Inc.* .......................... 29,100
870 Mallinckrodt Group, Inc. .......................... 35,235
100 Nacco Industries Class A 4,850
----------
289,185
----------
Total Manufacturing ............................... 3,534,879
----------
</TABLE>
17
<PAGE> 19
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
<S> <C>
TECHNOLOGY (10.97%)
OFFICE EQUIPMENT (0.07%)
2,800 Novell* ............................................................... $ 29,225
----------
ELECTRONIC (3.13%)
200 EG&G .................................................................. 3,750
200 General Signal Co. .................................................... 8,025
200 Harris Corp. .......................................................... 12,300
7,918 Hewlett-Packard Co. ................................................... 346,413
6,290 Intel Corp. ........................................................... 502,021
4,500 Motorola, Inc. ........................................................ 240,188
1,000 National Semiconductor* ............................................... 18,375
2,000 Northern Telecom ...................................................... 99,750
300 Perkin-Elmer Corp. .................................................... 15,563
450 Tektronix, Inc. ....................................................... 17438
1,500 Texas Instruments ..................................................... 70,125
600 Thomas &Betts Co. ..................................................... 22,050
300 Western Atlas, Inc.* .................................................. 18,225
----------
1,374,223
----------
BIO-TECHNOLOGY (0.34%)
2,000 Amgen* ................................................................ 116,500
870 Millipore Corp. ....................................................... 33,278
----------
149,778
----------
SOFTWARE (1.36%)
1,468 Bay Networks* ......................................................... 40,370
4,540 Microsoft Corp.* ...................................................... 556,150
----------
596,520
----------
BUSINESS-MACHINES &SOFTWARE (2.80%)
900 Amdahl Corp.* ......................................................... 8,944
1,000 Apple Computer, Inc. .................................................. 24,250
400 Ceridian Corp.* ....................................................... 17,050
2,000 Compaq Computers* ..................................................... 113,250
1,200 Digital Equipment* .................................................... 46,350
800 Honeywell ............................................................. 46,500
4,400 IBM ................................................................... 503,250
2,340 Intergraph* ........................................................... 21,353
5,000 Oracle Systems* ....................................................... 176,250
1,000 Pitney Bowes Systems .................................................. 48,250
1,300 Sun Microsystems* ..................................................... 70,688
900 Tandem Computer, Inc.* ................................................ 9,450
1,300 Unisys Corp.* ......................................................... 7,638
2,400 Xerox Corp. ........................................................... 131,700
----------
1,224,923
----------
BUSINESS SERVICE (0.33%)
1,417 First Data ............................................................ 133,926
200 Shared Medical Systems ................................................ 10,925
----------
144,851
----------
SEMI CONDUCTOR (0.18%)
1,000 Advanced Micro Devices* ............................................... 12,750
1,320 LSI Logic Corp.* ...................................................... 28,875
1,600 Micron Technology, Inc. ............................................... 36,400
----------
78,025
----------
TELECOMMUNICATIONS (0.42%)
4,000 Airtouch Communications* .............................................. 110,000
520 Cabletron Systems* .................................................... 31,720
700 Tellabs, Inc.* ........................................................ 44,363
----------
186,083
----------
AEROSPACE AIRCRAFT (1.71%)
2,200 Allied Signal, Inc. ................................................... 135,850
2,600 Boeing ................................................................ 235,300
400 General Dynamics Corp. ................................................ 25,650
1,800 McDonnell Douglas Corp. ............................................... 90,225
300 Northrop Gruman Corp. ................................................. 21,525
1,700 Rockwell Intl. Corp. .................................................. 88,400
600 Textron, Inc. ......................................................... 51,225
900 United Technologies Corp. ............................................. 101,475
----------
749,650
----------
MISCELLANEOUS (0.11%)
1,070 3Com Corporation* 50,023
----------
AEROSPACE-DEFENSE (0.52%)
1,526 Lockheed Martin Corp. ................................................. 128,375
1,900 Raytheon Co. .......................................................... 97,850
----------
226,225
----------
Total Technology ...................................................... 4,809,526
----------
ENERGY (7.73%)
OIL & GAS - DOMESTIC (1.71%)
880 Amerada Hess Corp. .................................................... 44,770
3,800 Amoco Corp. ........................................................... 262,200
400 Ashland Inc. .......................................................... 14,850
1,200 Atlantic Richfield .................................................... 140,100
800 Burlington Resources, Inc. ............................................ 34,100
300 Columbia Gas System, Inc. ............................................. 16,875
100 Helmerich &Payne ...................................................... 3,950
300 Kerr-McGee Co. ........................................................ 17,213
700 Oryx Energy* .......................................................... 12,250
300 Pennzoil .............................................................. 16,013
2,000 Phillips Petroleum Co. ................................................ 81,000
700 Santa Fe Energy Resources* ............................................ 8,225
1,480 Sun Co. ............................................................... 34,965
1,900 Unocal Corp. .......................................................... 65,075
----------
751,586
----------
OIL & GAS INTERNATIONAL (5.02%)
5,000 Chevron Corp. ......................................................... 294,375
9,520 Exxon Corp. ........................................................... 774,690
3,000 Mobil Corp. ........................................................... 338,250
4,100 Royal Dutch Pet.-ADR .................................................. 612,438
2,000 Texaco ................................................................ 177,500
----------
2,197,253
----------
OIL & GAS SERVICE (0.39%)
700 Rowan Cos.,Inc.* ...................................................... 10,763
1,900 Schlumberger .......................................................... 160,313
----------
171,076
----------
NATURAL GAS (0.18%)
1,900 Enron ................................................................. 76,238
100 Oneok, Inc. ........................................................... 2,738
----------
78,976
----------
ENERGY RAW MATERIAL (0.43%)
1,100 Baker Hughes, Inc. .................................................... 33,275
1,420 Dresser Inds .......................................................... 41,180
100 Eastern Enterprises ................................................... 3,663
800 Halliburton Co. ....................................................... 42,100
100 Louisiana Land &Explor ................................................ 5,688
</TABLE>
18
<PAGE> 20
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
ENERGY RAW MATERIAL (CONTINUED)
<S> <C>
400 McDermott International.. $ 8,300
2,400 Occidental Petroleum .... 55,800
-----------
190,006
-----------
Total Energy ............ 3,388,897
-----------
Total Common Stocks
(Cost $31,393,334) ......... 37,582,918
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE VALUE
----- -----
SHORT TERM INVESTMENTS (14.02%)
UNITED STATES TREASURY BILLS
<S> <C>
$ 1,000,000 5.270% 12/19/96 ............................. $ 985,346
4,500,000 4.935% 09/19/96 (b) .......................... 4,488,573
-----------
5,473,919
-----------
676,343 PORTICO INSTITUTIONAL MONEY MARKET FUND. ........ 676,343
-----------
Total Short-Term Investments (Cost $6,150,262) 6,150,262
-----------
Total Investments (Cost $37,543,596) (99.73%) 43,733,124
Other Assets in Excess of Liabilities (0.27%) 116,274
-----------
Net Assets (100.00%) ................. $43,849,398
===========
</TABLE>
*Non-Income Producing Security
(a)Aggregate cost for federal income tax purposes is $37,543,596. At August 31,
1996, unrealized appreciation (depreciation) of securities for federal income
tax purpose is as follows:
<TABLE>
<S> <C>
Unrealized appreciation ...................... $ 7,340,176
Unrealized depreciation ...................... (1,150,648)
-----------
Net unrealized appreciation .................. $ 6,189,528
===========
</TABLE>
(b) At August 31, 1996, certain United States Treasury Bills with a market
value of $306,000 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1996
(Contracts-$500 times premium/delivery month/commitment)
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
S&P 500 Stock Index: (DEPRECIATION)
--------------
<S> <C>
10/Sept. 96/Long .......................................... $ (47,400)
8/Dec. 96/Long ........................................... (32,005)
-----------
$ (79,405)
===========
</TABLE>
See accompanying notes to financial statements
19
<PAGE> 21
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
COMMON STOCKS (92.15%)
CAPITAL GOODS (5.44%)
PRODUCTION (0.16%)
1,000 Tecumseh Prod. Co. Cl. A ........................... $ 52,500
----------
52,500
----------
MACHINERY-INDUSTRIAL (1.38%)
1,200 Albany Intl. Corp. Cl A ............................ 24,450
500 Lawson Products .................................... 10,750
1,600 Modine Manufacturing Co. ........................... 41,200
1,800 Stewart &Stevenson Svcs ............................ 35,775
6,887 Thermo Electron Corp. .............................. 272,897
1,900 Watson Pharm, Inc.* ................................ 55,100
1,200 Watts Industry ..................................... 22,350
----------
462,522
----------
POLLUTION CONTROL (0.16%)
1,600 Calgon Carbon Corp. ................................ 18,400
1,400 Donaldson Co. Inc. ................................. 36,050
----------
54,450
----------
ENGINEERING &CONSTRUCTION (0.52%)
1,400 Jacobs Engineering Group* .......................... 32,725
1,300 Structural Dyn. Research* .......................... 32,825
1,900 Vulcan Materials Co. ............................... 109,963
----------
175,513
----------
ELECTRICAL EQUIPMENT (2.32%)
1,700 Ametek, Inc. ....................................... 32,938
3,400 Cirrus Logic, Inc.* ................................ 52,700
3,530 Hubble, Inc. Cl. B ................................. 127,521
3,500 Integrated Device Tech.* ........................... 31,938
3,050 IPALCO ............................................. 82,350
3,348 Mark IV Industries, Inc. ........................... 71,982
5,306 Molex, Inc. ........................................ 174,435
4,400 Teradyne, Inc.* .................................... 68,200
1,600 Varian Assoc ....................................... 73,000
3,230 Vishay Intertechnology, Inc.* ...................... 65,004
----------
780,068
----------
TRANSPORTATION EQUIPMENT (0.71%)
3,100 Danaher Corp. ...................................... 128,650
2,100 Federal Signal ..................................... 47,512
1,900 Trinity Industries ................................. 61,513
----------
237,675
----------
CONGLOMERATE (0.19%)
1,600 Rayonier, Inc. ..................................... 63,400
----------
Total Capital Goods ................................ 1,826,128
----------
CONSUMER CYCLICAL (6.52%)
HOUSING (0.30%)
4,993 Clayton Homes, Inc. ................................ 100,484
----------
BUILDING MATERIAL (0.05%)
900 Calmat Co. ......................................... 16,200
----------
AUTO & TRUCK (0.12%)
900 Teleflex, Inc. ..................................... 41,400
----------
AUTO PARTS (0.17%)
900 Arvin Inds., Inc. .................................. 20,700
1,600 Superior Industries ................................ 37,600
----------
58,300
----------
TIRE & RUBBER (0.12%)
800 Carlisle Cos., Inc. ................................ 41,200
----------
APPLIANCE (0.03%)
300 National Presto Inds.* ............................. 10,950
----------
HOUSEHOLD PRODUCTS (0.16%)
2,400 Fingerhut Cos ...................................... 32,100
800 Stanhome Inc. ...................................... 20,400
----------
52,500
----------
TEXTILE &APPAREL (1.28%)
2,600 Burlington Inds., Inc.* ............................ 35,100
2,500 Cintas Corp. ....................................... 135,625
7,200 Shaw Industries, Inc. .............................. 108,000
3,100 UNIFI, Inc. ........................................ 84,863
2,700 Warnco Group Cl A .................................. 66,825
----------
430,413
----------
SHOES (0.29%)
1,900 Nine West Group, Inc.* ............................. 97,850
----------
RETAIL-GENERAL (4.00%)
200 American Stores Comp. .............................. 8,225
3,600 Bed Bath &Beyond* .................................. 81,450
2,300 Best Buy Co.* ...................................... 50,600
3,600 Callaway Golf Co. .................................. 118,800
1,700 Claire's Stores, Inc. .............................. 56,100
2,500 Consolidated Stores Corp.* ......................... 95,000
3,843 Dollar General Corp. ............................... 123,937
1,100 Duty Free International ............................ 16,088
3,000 Family Dollar Stores ............................... 51,000
2,000 Fastenal Co. ....................................... 93,500
800 Hancock Fabrics .................................... 6,900
2,200 Heilig-Meyers Co. .................................. 39,050
3,900 Kohls Department Stores* ........................... 148,200
1,200 Macfruegals Bargains* .............................. 25,350
1,100 Meyer, Fred, Inc.* ................................. 32,725
1,800 Micro Warehouse, Inc.* ............................. 48,375
2,104 Payless Shoesource* ................................ 73,903
1,700 Tambrands .......................................... 72,250
1,400 Tiffany &Co ........................................ 48,825
4,400 Viking Office Products* ............................ 113,850
1,700 Waban, Inc.* ....................................... 36,125
----------
1,340,253
----------
Total Consumer Cyclical ..................................... 2,189,550
----------
CONSUMER NON-DURABLE (19.02%)
HEALTHCARE (1.07%)
2,600 Appria Healthcare Group* ........................... 65,650
600 Datascope Corp.* ................................... 10,650
1,200 Dentsply International, Inc. ....................... 48,600
500 Diagnostic Products Corp. .......................... 18,530
</TABLE>
20
<PAGE> 22
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS(CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
HEALTHCARE (CONTINUED)
2,100 Hlthcare & Retirement Del.* .......................... $ 51,975
3,000 Nelcor Puritan Bennet, Inc.* ........................ 77,250
500 Pacificare Health System* ............................ 40,250
2,847 Value Health, Inc.* .................................. 45,196
--------
358,134
--------
CONSUMER PRODUCTS (0.35%)
2,200 First Brands Corp. ................................... 50,050
1,354 Lancaster Colony Corp. ............................... 49,252
4,000 Service Merchandise Co.* ............................. 18,500
--------
117,802
--------
FOOD BEVERAGE & TOBACCO (2.91%)
1,700 Bob Evans Farms ...................................... 24,863
6,800 Coca-Cola Enterprises ................................ 274,550
1,800 Dean Foods Co. ....................................... 46,575
3,200 Dole Food Company .................................... 132,400
600 Dreyer Grand Ice Cream ............................... 17,400
2,650 Flowers Inds., Inc. .................................. 47,700
800 International Multifoods, Inc. ....................... 13,300
1,300 Lance, Inc. .......................................... 22,100
4,300 McCormick & Co ....................................... 88,150
800 Michael Foods, Inc. .................................. 8,700
1,100 Savanna Foods & Inds.................................. 13,613
1,200 Smucker (J.M.) Co. Cl. A.............................. 19,800
7,700 Tyson Foods, Inc. Cl. A .............................. 186,725
1,900 Universal Corp. ...................................... 47,975
1,100 Universal Foods Corp. ................................ 31,488
--------
975,339
--------
RETAIL-FOOD & DRUGS (0.84%)
1,954 Hannaford Brothers Co. ............................... 65,459
3,600 Revco D.S., Inc.* .................................... 92,700
1,800 Ruddick Corp. ........................................ 23,175
2,300 Vons Co.* ............................................ 101,775
--------
283,109
--------
COMMUNICATIONS & MEDIA (1.68%)
2,300 Belo (A.H.)Corp. Sr. A ............................... 92,288
600 CPI Corp.............................................. 11,025
4,800 Home Shopping Network* ............................... 51,600
1,000 Information Resources* ............................... 12,625
3,900 Omnicom Group ........................................ 176,963
1,000 TCA Cable TV, Inc. ................................... 26,000
600 Washington Post, Class B ............................. 193,950
--------
564,451
--------
ENTERTAINMENT & LEISURE (1.42%)
1,600 Chris Craft Industries* .............................. 64,800
5,500 Circus Circus Enterprises, Inc.* ..................... 187,000
9,600 Mirage Resorts* ...................................... 223,200
--------
475,000
--------
APPAREL (0.35%)
900 Ann Taylor Stores* ................................... 13,050
2,050 CML Group, Inc. ...................................... 8,456
1,200 Jones Apparel Group* ................................. 66,450
1,400 Lands End ............................................ 29,400
--------
117,356
--------
DRUGS (1.57%)
1,770 Bergen Brunswig Corp. Cl A .......................... 49,339
1,800 Carter-Wallace, Inc. ................................ 20,250
2,400 Forest Laboratories Cl. A* .......................... 98,700
6,200 IVAX Corp. .......................................... 99,975
2,400 McKesson Corp. ...................................... 102,300
6,300 Mylan Laboratories .................................. 103,163
1,100 R P Scherer Corp.* .................................. 52,938
--------
526,665
--------
HOSPITAL SUPPLY & SERVICE (0.73%)
1,100 Acuson Corp.* ....................................... 14,988
5,620 Laboratory Corp. of Am. Hld.* ....................... 22,480
1,100 Pacificare Health Sys. A* ........................... 83,875
5,100 Stryker Corp. ....................................... 124,631
--------
245,974
--------
COSMETICS & SOAP (0.05%)
800 Church and Dwight ................................... 16,900
--------
TRAVEL & RECREATION (0.24%)
2,700 Promus Hotel Corp.* ................................. 81,338
--------
PRINTING & PUBLISHING (0.65%)
1,600 Banta Corp. ......................................... 37,500
600 Gibson Greetings, Inc.* ............................. 7,800
2,000 Glatfelter (P.H.) Co. ............................... 36,500
800 Golden Books Family Ent.* ........................... 9,000
600 Houghton Mifflin Co. ................................ 28,500
2,200 Lee Enterprises ..................................... 45,100
1,400 Media General Inc. Cl. A ............................ 43,575
1,900 The Topps Co.* ...................................... 9,025
--------
217,000
--------
RESTAURANT (0.97%)
4,100 Brinker International* .............................. 61,500
1,200 Buffets, Inc.* ...................................... 16,500
3,200 Cracker Barrel Old Country .......................... 74,800
1,000 Intl. Dairy Queen, Inc.* ............................ 21,000
2,100 Lone Star Steakhouse* ............................... 69,563
2,300 Outback Steakhouse, Inc.* ........................... 64,975
750 Sbarro, Inc. ........................................ 18,563
--------
326,901
--------
BUSINESS SERVICE (2.01%)
2,400 Comdisco ............................................ 62,400
4,700 Dial Corp. .......................................... 54,050
700 Ennis Business Forms ................................ 7,525
2,700 Noble Affiliates .................................... 108,338
3,650 Paychex, Inc. ....................................... 195,275
1,800 PHH Corporation ..................................... 51,975
2,200 Pittson Brink's Group ............................... 62,150
4,700 Vaid Corp. .......................................... 66,975
2,400 Wallace Computer Services ........................... 65,100
--------
673,788
--------
OFFICE PRODUCTS (1.58%)
700 Cross (A.T.) Co. A .................................. 8,400
1,300 Hon Inds ............................................ 45,825
1,400 Intellegent Electronics, Inc. ....................... 10,150
1,300 Miller (Herman), Inc. ............................... 48,770
8,200 Office Depot* ....................................... 130,175
6,300 Office Max, Inc.* ................................... 88,200
1,200 Standard Register Co. ............................... 32,850
</TABLE>
21
<PAGE> 23
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS(CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
OFFICE PRODUCTS (CONTINUED)
8,350 Staples, Inc.* ..................................... $ 164,913
----------
529,283
----------
HEALTHCARE SERVICES (2.49%)
3,400 Cardinal Health, Inc. .............................. 249,475
3,000 Foundation Health Corp.* ........................... 90,000
1,600 Healthcare Compare Corp.* .......................... 68,400
7,993 Healthsouth Corp.* ................................. 258,773
2,209 Horizon/CMS Hlthcare Corp.* ........................ 27,613
2,500 Novacare, Inc.* .................................... 22,500
3,800 Vencor, Inc.* ...................................... 119,225
----------
835,986
----------
HEALTH & BEAUTY AIDS (0.11%)
4,000 Perrigo Co.* ....................................... 36,500
----------
Total Consumer Non-Durable ......................... 6,381,493
----------
BANKING & FINANCIAL SERVICES (14.37%)
BANK & BANK HOLDING COS. (7.53%)
2,150 Bancorp Hawaii, Inc. ............................... 81,431
3,000 Central Fidelity Banks, Inc. ....................... 70,500
2,384 City National Corp. ................................ 42,018
2,300 Crestar Financial Corp. ............................ 133,688
1,300 Dauphin Deposit Corp. .............................. 36,725
3,400 First of America Bancorp ........................... 160,650
3,950 First Security Corp. Del ........................... 107,638
3,200 First Tennessee Ntl., Corp. ........................ 109,200
1,800 First Virginia ..................................... 74,700
3,900 Firstar Corp. ...................................... 184,275
5,400 Hibernia Bank ...................................... 59,400
5,000 Marshall and Isley Corp. ........................... 137,500
3,350 Merchantile Bancorporation ......................... 163,731
2,200 Mercantile Bankshares Corp. ........................ 58,575
2,900 Northern Trust ..................................... 190,313
4,600 Pinnacle West ...................................... 132,250
3,300 Regions Financial Corp. ............................ 150,975
4,900 Southtrust Corp. ................................... 144,550
4,400 State Street Boston Corp. .......................... 238,150
4,800 Summit Bancorp ..................................... 186,000
1,900 Wilmington Trust Corp. ............................ 62,225
----------
2,524,494
----------
FINANCE COMPANY (0.20%)
4,500 Nabors Inds.* ...................................... 66,938
----------
INVESTMENT COMPANY (0.45%)
6,487 Bear Stearns Cos., Inc. ............................ 151,634
----------
INSURANCE (3.25%)
7,562 AFLAC Corp ......................................... 259,944
3,200 American Fin. Group, Inc. .......................... 99,600
1,800 FHP International Corp.* ........................... 65,250
1,100 Hartford Steam ..................................... 49,088
3,400 Healthsource, Inc.* ................................ 51,000
3,800 Progressive Corp. .................................. 206,625
2,100 Provident Cos ...................................... 77,700
2,900 SunAmerica ......................................... 197,563
1,200 Transatlantic Holdings, Inc. ....................... 83,250
----------
1,090,020
----------
FINANCIAL SERVICES (2.94%)
9,300 Charles Schwab Corp. ............................... 232,500
3,325 AG Edwards ......................................... 93,100
8,300 Equifax ............................................ 211,650
4,300 Franklin Resources, Inc. ........................... 255,850
5,200 Paine Webber ....................................... 107,250
3,000 T. Rowe Price ...................................... 87,000
----------
987,350
----------
Total Banking & Finance ............................ 4,820,436
----------
UTILITY (11.96%)
ELECTRIC (8.68%)
6,400 Allegheny Power System ............................. 189,600
2,400 Atlantic Energy, Inc. .............................. 42,600
600 Black Hills Corp. .................................. 15,000
2,300 Calenergy, Inc.* ................................... 69,575
900 Central Louisiana Electric ......................... 23,738
1,300 Central Maine Power Co. ............................ 15,763
4,800 CMS Energy Corp. ................................... 143,400
2,700 Delmarva Power & Light ............................. 55,350
5,100 Florida Progress Corp. ............................. 176,588
1,300 Hawaiian Electric Inds ............................. 45,338
1,700 Idaho Power Co. .................................... 55,888
4,000 Illinova Corp. ..................................... 104,500
3,300 Kansas City Power & Light .......................... 90,750
3,000 LG&E Energy Corp. .................................. 68,250
5,364 Midamerican Energy Co.* ............................ 85,154
1,400 Minnesota Power & Light ............................ 37,625
2,500 Montana Power Co. .................................. 54,063
2,100 Nevada Power Co. ................................... 43,313
3,400 New Eng. Elect. System ............................. 110,925
3,800 New York State Elec. & Gas ......................... 81,700
3,300 Nipsco Industries .................................. 122,100
6,700 Northeast Utilities ................................ 85,425
2,100 Oklahoma Gas & Electric ............................ 85,050
2,700 Portland General Corp. ............................. 97,875
6,300 Potomac Electric Power Co. ......................... 155,138
3,400 Public Service Co. of Colo ......................... 121,125
1,700 Public Service Co. of N. Mex ....................... 33,150
3,400 Puget Sound Power & Light .......................... 77,775
5,500 SCANA Corp ......................................... 149,875
1,900 Southwestern Pub. Svc. Co. ......................... 62,225
6,200 Teco Energy, Inc. .................................. 148,025
2,100 Utilicorp United Inc. .............................. 60,638
5,900 Wisc. Energy Corp. ................................. 162,250
1,400 WPL Holdings, Inc. ................................ 42,700
----------
2,912,471
----------
GAS (0.83%)
2,500 Atlanta Gas Light Co. ............................. 50,625
2,600 Brooklyn Union Gas Co. ............................ 70,525
900 Indiana Energy, Inc. .............................. 22,838
3,500 MCN Corp .......................................... 93,625
</TABLE>
22
<PAGE> 24
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS(CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
GAS (CONTINUED)
1,900 Washington Gas Light Co. ........................... $ 41,563
----------
279,176
----------
TELEPHONE (2.34%)
6,174 360Communications Co.* ............................. 147,404
3,100 Century Telephone Entps ............................ 105,013
8,300 Frontier Corp. ..................................... 244,850
1,700 Lincoln Telecommunications ......................... 26,350
3,400 Southern New Eng. TeleCom .......................... 129,625
3,100 Telephone & Data ................................... 132,138
----------
785,380
----------
MISCELLANEOUS (0.11%)
1,900 Vanguard Cellular Sys. Cl. A* ...................... 36,338
----------
Total Utility ..................................... 4,013,365
----------
SERVICE (2.70%)
DISTRIBUTOR (0.55%)
2,100 Alexander & Baldwin, Inc. .......................... 53,550
4,000 American Water Works, Inc. ......................... 85,500
700 Scholastic Corp.* .................................. 47,425
----------
186,475
----------
POLLUTION CONTROL (0.39%)
4,700 USA Waste Services, Inc. ........................... 129,250
----------
BUSINESS (1.50%)
1,100 Applied Bioscience, Inc.* .......................... 10,725
2,400 Fiserv, Inc.* ...................................... 81,300
1,600 Flightsafety Intl .................................. 70,800
1,700 Kelly Services, Inc. Cl. A ......................... 48,450
4,300 Man Power, Inc. .................................... 153,188
3,000 Medaphis* .......................................... 37,875
3,650 Olsten Corp. ....................................... 101,744
----------
504,082
----------
CONSUMER (0.26%)
1,900 Rollins, Inc.* ..................................... 39,663
3,000 Sotheby's .......................................... 46,500
----------
86,163
----------
Total Service ...................................... 905,970
----------
TRANSPORTATION (1.81%)
AIR TRANSPORTATION (0.20%)
1,000 Airbourne Freight Corp. ............................ 23,625
500 Alaska Airgroup, Inc.* ............................. 10,563
1,400 Atlantic SE Airlines ............................... 32,200
----------
66,388
----------
RAILROAD (0.80%)
900 Gatx Corp. ......................................... 41,625
3,250 Illinois Central Corp. Cl. A ....................... 98,313
1,900 Kansas City Southern Inds .......................... 76,950
2,600 Ogden Corp. ........................................ 51,025
----------
267,913
----------
TRUCKING (0.16%)
1,100 Arnold Inds., Inc. ................................. 17,325
2,000 Hunt (J.B.) ........................................ 36,250
----------
53,575
----------
MISCELLANEOUS (0.65%)
1,100 American President Cos. Ltd. ....................... 25,988
4,100 Harley Davidson .................................... 168,100
1,400 Overseas Shipholding Group ......................... 26,250
----------
220,338
----------
Total Transportation ............................... 608,214
----------
MANUFACTURING (10.42%)
CONSUMER DURABLE (0.40%)
4,700 Leggett & Platt .................................... 133,950
----------
BUILDING & HOUSING (0.05%)
700 Southdown, Inc. .................................... 16,275
----------
CHEMICAL (3.71%)
3,200 Airgas, Inc.* ...................................... 72,000
3,000 Albemarle Corp. .................................... 48,375
1,300 Betz Labs .......................................... 63,863
3,400 Cabot Corp. ........................................ 93,500
3,267 Crompton & Knowles Corp. ........................... 49,005
1,000 Dexter Corp. ....................................... 29,125
5,400 Ethyl Corp. ........................................ 48,600
1,200 Ferro Corp. ........................................ 31,350
600 Fuller (H.B.) Corp. ................................ 21,225
2,000 Georgia Gulf Corp.* ................................ 63,000
4,800 IMC Global, Inc. ................................... 206,400
5,000 Iowa Beef Processing ............................... 116,875
1,800 Lawter International ............................... 21,375
1,600 Loctite Corp. ...................................... 70,200
3,300 Lubrizol Corp. ..................................... 93,638
4,200 Lyondell Petrochemical ............................. 95,550
400 NCH Corp ........................................... 22,250
3,375 RPM, Inc. Ohio ..................................... 54,000
2,000 Schulman (A.), Inc. ................................ 43,500
----------
1,243,831
----------
DIVERSIFIED (0.79%)
800 Goulds Pumps, Inc. ................................. 17,800
600 Lukens, Inc. ....................................... 12,075
800 Nordson Corp. ...................................... 40,900
1,300 Olin Corp. ......................................... 103,025
3,000 Witco Corp. ........................................ 90,750
----------
264,550
----------
CAPITAL GOOD (0.79%)
1,300 Harsco Corporation ................................. 79,138
1,200 Kennametal, Inc. ................................... 37,200
1,900 Keystone Intl., Inc. ............................... 38,238
1,000 Magnetek, Inc.* .................................... 10,375
2,200 York Intl. Corp. New Com.* ........................ 99,275
---------
264,226
---------
PAPER & FOREST PRODUCT (0.97%)
1,800 Bowater, Inc. ...................................... 64,800
1,000 Chesapeake Corp..................................... 24,500
2,400 Consolidated Papers ................................ 123,600
2,700 Longview Fibre Co. ................................. 41,513
1,700 Pentair, Inc. ...................................... 46,325
1,512 Wausau Paper Mills Co. ............................. 27,027
----------
327,765
----------
</TABLE>
23
<PAGE> 25
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
METAL & MINERALS (0.49%)
600 Brush Wellman ............... $ 11,400
900 Carpenter Technology ........ 30,375
2,475 Hanna (M.A.)Co............... 53,831
300 Maxxam, Inc.*................ 12,263
1,200 Minerals Technology, Inc. ... 45,750
800 Oregon Steel Mills, Inc...... 12,100
-----------
165,719
-----------
CONTAINER (0.74%)
500 Cleveland Cliffs Corp........ 19,500
2,200 Sealed Air Corp.*............ 83,325
4,875 Sonoco Products, Inc......... 144,422
-----------
247,247
-----------
COMPUTER (1.57%)
2,044 AST Research, Inc.* ......... 10,987
4,900 Dell Computer Corp.*......... 328,913
800 Exabyte Corp.*............... 11,800
700 Measurex Corp................ 19,250
2,300 Quantum Corp.*............... 35,363
1,200 Sequent Computer Systems*.... 13,500
2,814 Storage Technology Corp.*.... 106,580
-----------
526,393
-----------
NON FERROUS METALS (0.31%)
2,400 Alumax, Inc.*................ 79,200
1,400 Federal Mogul Corp........... 24,150
-----------
103,350
-----------
MISCELLANEOUS (0.60%)
6,600 International Game Tech. .... 134,475
700 Kaydon Corp.................. 31,413
1,800 Wellman, Inc................. 37,125
-----------
203,013
-----------
Total Manufacturing.......... 3,496,319
-----------
TECHNOLOGY (14.64%)
OFFICE EQUIPMENT (0.37%)
2,400 Diebold...................... 123,300
-----------
ELECTRONIC (1.86%)
2,637 Arrow Electronics, Inc.*..... 120,313
2,300 Avnet, Inc................... 107,525
2,400 Litton Inds.*................ 111,900
3,900 Sensormatic Elect. Corp...... 71,663
2,600 Solectron Corp.*............. 97,175
1,200 Symbol Technologies, Inc.* .. 53,400
1,300 Verifone, Inc.*.............. 62,075
-----------
624,051
-----------
BIOTECHNOLOGY (1.68%)
1,500 Beckman Instruments, Inc. ... 55,313
1,900 Biogen, Inc.*................ 132,525
3,600 Centocor, Inc.*.............. 121,950
8,812 Chiron Corp.*................ 172,936
3,400 Genzyme Corp.*............... 81,175
-----------
563,899
-----------
SOFTWARE (4.14%)
3,900 Adobe Systems, Inc........... 136,013
2,700 BMC Software, Inc.*.......... 201,150
1,100 Borland Intl.*............... 8,525
4,325 Cadence Design System, Inc.*. 128,128
2,200 Compuware Corp.*............. 94,600
2,800 Electronic Arts*............. 86,450
7,800 Informix Corp.*.............. 175,500
6,700 Parametric Tech. Co.*........ 303,384
2,200 Reynolds &Reynolds Cl. A..... 110,275
1,800 Sterling Software*........... 122,175
2,300 Symantec Corp.*.............. 22,425
-----------
1,388,625
-----------
BUSINESS-MECHANICS & SOFTWARE (0.71%)
600 Advance Labs Tech.*.......... 18,413
4,400 American Online, Inc.*....... 133,100
750 Granite Construction, Inc.... 14,250
2,100 Imation Corp.*............... 49,613
1,200 Stratus Computer*............ 22,500
-----------
237,876
-----------
BUSINESS-SERVICE (0.09%)
900 Policy Mgmt. Systems Corp.*.. 31,725
-----------
SEMICONDUCTOR (1.91%)
2,300 Altera Corp.*................ 101,200
5,100 Atmel Corp.*................. 131,963
3,800 Cypress Semiconductor*....... 44,175
3,900 Linear Technology Corp. ..... 132,600
3,200 Maxim Integrated Products*... 98,200
3,800 Xilinx, Inc.*................ 133,000
-----------
641,138
-----------
TELECOMMUNICATIONS (2.18%)
3,300 ADC Telecommunications, Inc.*. 187,275
2,500 Comsat Corp.................. 56,563
11,414 Nextel Communications* ..... 186,904
2,200 Octel Communications*........ 64,075
4,500 U S Robotics Corp............ 236,250
-----------
731,067
-----------
AEROSPACE AIRCRAFT (0.50%)
950 Precision Castparts......... 46,431
3,300 Sunstrand Corp.............. 123,338
-----------
169,769
-----------
AEROSPACE/DEFENSE (0.36%)
1,300 Gencorp, Inc................. 18,038
1,100 OEA, Inc..................... 42,488
1,100 Ronr, Inc.*.................. 22,963
800 Thiokol Corp................. 35,900
-----------
119,389
-----------
MISCELLANEOUS (0.84%)
4,200 Amer. Pwr. Conversion Corp.*. 57,750
6,100 Analog Devices*.............. 147,162
1,150 Duriron Co................... 31,050
3,300 Mentor Graphics*............. 45,169
-----------
281,131
-----------
Total Technology............. 4,911,970
-----------
</TABLE>
24
<PAGE> 26
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1996
<TABLE>
<CAPTION>
SHARES VALUE
------ -----
<S> <C>
ENERGY (5.27%)
OIL & GAS-DOMESTIC (2.82%)
3,100 Anadarko Petroleum Corp. .... $ 163,525
4,700 Apache Corp.................. 138,063
1,500 Diamond Shamrock, Inc.*...... 41,063
1,800 El Paso Natural Gas.......... 74,925
1,400 Mapco, Inc................... 75,425
2,400 Murphy Oil Corp.............. 105,000
1,700 National Fuel Gas Co......... 62,900
1,600 Parker & Parsley Petro Co.... 39,600
1,700 Quaker State Corp............ 26,988
2,200 Questar...................... 79,750
1,500 Seagull Energy Corp.*........ 27,000
2,300 Tosco Corp................... 110,400
-----------
944,639
-----------
OIL & GAS-INTERNATIONAL (0.38%)
2,200 Parker Drilling Co.*......... 15,400
5,200 Ranger Oil Ltd............... 35,750
2,691 Weatherford Enterra, Inc.*... 77,366
-----------
128,516
-----------
OIL & GAS SERVICE (1.47%)
1,300 BJ Services*................. 48,913
3,200 Ensco Intl., Inc.*........... 93,600
8,800 Global Marine, Inc.*......... 126,500
2,100 Smith International. Inc.*... 72,975
3,300 Tidewater, Inc............... 126,638
1,600 Varco Intl., Inc.*........... 25,800
-----------
494,426
-----------
ENERGY-RAW MATERIALS (0.42%)
3,393 AES Corp.*................... 141,751
-----------
MISCELLANEOUS (0.18%)
400 Sequa Corp.*................. 17,500
2,000 Valero Energy Corp........... 42,250
-----------
59,750
-----------
Total Energy ........................... 1,769,082
-----------
Total Common Stock
(cost $26,304,280).................... 30,922,527
-----------
</TABLE>
<TABLE>
<CAPTION>
PAR
VALUE
-----
SHORT-TERM INVESTMENTS (7.73%)
<S> <C> <C> <C>
UNITED STATES TREASURY BILLS
$ 750,000 5.270% 12/19/96 ..................................$ 739,009
1,000,000 4.935% 09/19/96 (b) ............................... 997,463
--------------
1,736,432
--------------
858,319 PORTICO INSTITUTIONAL MONEY MARKET FUND................ 858,319
--------------
Total Short-Term Investments (Cost $2,594,791)......... 2,594,791
--------------
Total Investments (Cost $28,899,071)(98.88%)........... 33,517,318
Other Assets in Excess of Liabilities (0.12%).......... 41,768
--------------
Net Assets (100.00%)......................................................$ 33,559,086
==============
</TABLE>
25
<PAGE> 27
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1996
*Non-Income Producing Security
(a)Aggregate cost for federal income tax purposes is $28,899,071. At August 31,
1996, unrealized appreciation (depreciation) of securities for federal income
tax purpose is as follows:
<TABLE>
<S> <C>
Unrealized appreciation ............................. $ 6,845,885
Unrealized depreciation ............................. (2,227,638)
` -----------
Net unrealized appreciation ...................... $ 4,618,247
===========
</TABLE>
(b) At August 31, 1996, certain United States Treasury Bills with a market
value of $160,000 were pledged to cover margin requirements for futures
contracts.
(c)Futures contracts at August 31, 1996
(Contracts-$500 times premium/delivery month/commitment)
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
(DEPRECIATION)
--------------
<S> <C>
S&P 400 Index:
10/Sept. 96/Long ......................... $ (11,400)
11/Dec. 96/Long .......................... 8,065
---------
$ (3,335)
=========
</TABLE>
See accompanying notes to financial statements
26
<PAGE> 28
STATEMENTS OF ASSETS AND LIABILITIES
AUGUST 31, 1996
<TABLE>
<CAPTION>
CALIFORNIA CALIFORNIA CALIFORNIA
TAX-FREE TAX-FREE INSURED
MONEY MARKET INCOME INTERMEDIATE
FUND FUND FUND
---- ---- ----
<S> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$102,821,701, $185,362,215 and $24,946,004
respectively) (Note 1) ............................ $ 102,821,701 $ 192,322,375 $ 25,108,413
Cash .............................................. 81,991 239,137 15,191
Interest receivable ............................... 771,606 2,638,842 399,241
Receivable for fund shares sold ................... 384,906 88,419 --
------------- ------------- ------------
Total Assets .................................. 104,060,204 195,288,773 25,522,845
------------- ------------- ------------
LIABILITIES
Payable for investments purchased ................. -- -- 1,269,408
Payable for fund shares repurchased ............... 616,925 5,635 --
Payable to investment advisor ..................... 26,006 81,426 6,948
Accrued expenses .................................. 5,935 55,407 4,832
Distributions payable ............................. 9,281 220,722 34,928
------------- ------------- ------------
Total Liabilities ............................. 658,147 363,190 1,316,116
------------- ------------- ------------
Net Assets:
(Applicable to 103,471,398, 15,840,474 and
2,322,509 shares of beneficial interest with no
par value, unlimited number of shares
authorized) ................................... $ 103,402,057 $ 194,925,583 $ 24,206,729
============= ============= ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$103,402,057 / 103,471,398 shares ............. $ 1.00
============
$194,925,583 / 15,840,474 shares .............. $ 12.31
============
$24,206,729 / 2,322,509 shares ................ $ 10.42
============
Net assets at August 31, 1996 consisted of:
Paid-in capital ................................ $ 103,471,398 $ 188,091,140 $ 24,070,333
Undistributed net investment income ............ -- 1,644 7,750
Accumulated net realized losses ................ (69,341) (127,361) (33,763)
Unrealized appreciation of investments ......... -- 6,960,160 162,409
------------- ------------- ------------
$ 103,402,057 $ 194,925,583 $ 24,206,729
============= ============= ============
</TABLE>
See accompanying notes to financial statements
27
<PAGE> 29
STATEMENTS OF ASSETS AND LIABILITIES
AUGUST 31, 1996
<TABLE>
<CAPTION>
U.S. THE UNITED
GOVERNMENT STATES S&P 500 S&P MIDCAP
SECURITIES TREASURY INDEX INDEX
FUND TRUST FUND FUND
---- ----- ---- ----
<S> <C> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$29,719,449, $37,937,485, $37,543,596
and $28,899,071 respectively) (Note 1) .................... $ 28,834,095 $ 37,937,485 $ 43,733,124 $ 33,517,318
Cash ...................................................... 78,656 16,297 -- --
Interest receivable ....................................... 210,764 -- 4,353 3,808
Dividends receivable ...................................... -- -- 90,344 42,243
Receivable for fund shares sold ........................... 36,000 37,634 69,911 6,564
Variation margin receivable ............................... -- -- -- 940
------------ ------------ ------------ ------------
Total Assets ........................................... 29,159,515 37,991,416 43,897,732 33,570,873
------------ ------------ ------------ ------------
LIABILITIES
Payable for fund shares repurchased ....................... -- 75,565 -- --
Payable to Investment Advisor ............................. 10,375 4,792 743 2,291
Accrued expenses .......................................... 7,028 6,288 5,351 9,496
Distributions payable ..................................... 54,348 2,065 -- --
Variation margin payable .................................. -- -- 42,240 --
------------ ------------ ------------ ------------
Total Liabilities ...................................... 71,751 88,710 48,334 11,787
------------ ------------ ------------ ------------
Net Assets:
(Applicable to 2,867,067, 37,901,076,
2,960,594 and 2,322,817 shares of
beneficial interest with no par value,
unlimited number of shares authorized) .................... $ 29,087,764 $ 37,902,706 $ 43,849,398 $ 33,559,086
============ ============ ============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$29,087,764 / 2,867,067 shares ............................ $ 10.15
============
$37,902,706 /37,901,076 shares ............................ $ 1.00
============
$43,849,398 /2,960,594 shares ............................. $ 14.81
============
$33,559,086 / 2,322,817 shares ............................ $ 14.45
============
Net assets at August 31, 1996 consisted of:
Paid-in capital ........................................... $ 29,508,978 $ 37,901,076 $ 37,108,951 $ 27,441,762
Undistributed net investment income ....................... 10,226 -- 185,625 82,610
Accumulated net realized gains ............................ 453,914 1,630 444,699 1,419,802
Unrealized appreciation (depreciation)
of investments ......................................... (885,354) -- 6,189,528 4,618,247
Unrealized depreciation of futures contracts .............. -- -- (79,405) (3,335)
------------ ------------ ------------ ------------
$ 29,087,764 $ 37,902,706 $ 43,849,398 $ 33,559,086
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
28
<PAGE> 30
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
CALIFORNIA CALIFORNIA CALIFORNIA
TAX-FREE TAX-FREE INSURED
MONEY MARKET INCOME INTERMEDIATE
FUND FUND FUND
----------- ----------- -----------
<S> <C> <C> <C>
Investment Income:
Interest income ..................................... $ 3,241,693 $11,136,139 $ 1,150,759
----------- ----------- -----------
Expenses:
Management fees (Note 2) ............................ 462,785 953,158 117,306
Transfer agent fees ................................. 32,233 62,852 7,032
Accounting services ................................. 25,730 66,453 24,660
Custodian fees ...................................... 20,442 34,033 4,473
Legal and audit fees ................................ 17,653 67,486 3,917
Trustees fees ....................................... 3,844 3,892 3,843
Insurance ........................................... 949 2,179 151
Printing ............................................ 2,264 11,798 1,237
Registration & dues ................................. 838 3,590 66
----------- ----------- -----------
Total expenses .................................. 566,738 1,205,441 162,685
Less reimbursement from adviser (Note 2) .. (196,188) --- (33,648)
----------- ----------- -----------
Net expenses .................................... 370,550 1,205,441 129,037
----------- ----------- -----------
Net investment income ...................... 2,871,143 9,930,698 1,021,722
----------- ----------- -----------
Realized and Unrealized Gain on Investments:
Net realized gain (loss) from
security transactions ........................... (7,237) 1,141,813 252,253
Change in unrealized appreciation of investments .... --- 819,602 (413,306)
----------- ----------- -----------
Net realized and unrealized gain (loss) on
investments ..................................... (7,237) 1,961,415 (161,053)
----------- ----------- -----------
Net increase in net assets resulting
from operations ................................. $ 2,863,906 $11,892,113 $ 860,669
=========== =========== ===========
</TABLE>
See accompanying notes to financial statements
29
<PAGE> 31
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 1996
<TABLE>
<CAPTION>
U.S. THE UNITED
GOVERNMENT STATES S&P 500 S&P MIDCAP
SECURITIES TREASURY INDEX INDEX
FUND TRUST FUND FUND
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income:
Interest income .................................. $ 2,067,886 $ 2,021,795 $ 238,583 $ 176,460
Dividend income .................................. --- --- 667,622 439,323
----------- ----------- ----------- -----------
Total ........................................ 2,067,886 2,021,795 906,205 615,783
----------- ----------- ----------- -----------
Expenses:
Management fees (Note 2) ......................... 152,331 194,340 83,907 121,051
Transfer agent fees .............................. 12,591 9,802 18,174 14,046
Accounting services .............................. 22,517 20,301 23,614 21,816
Custodian fees ................................... 6,379 9,502 21,354 19,238
Legal and audit fees ............................. 12,419 10,620 7,887 7,997
Trustees fees .................................... 2,929 3,001 2,865 2,903
Printing ......................................... 2,487 1,413 4,289 4,013
Insurance ........................................ 270 355 6,240 91
Registration & dues .............................. 4,749 5,206 11,548 8,880
Standard & Poor's licensing fees ................. ---. ---. 10,000 10,000
----------- ----------- ----------- -----------
Total expenses ............................... 216,672 254,540 189,878 210,035
Less reimbursement from adviser (Note 2). (20,327) (89,737) (122,682) (91,951)
----------- ----------- ----------- -----------
Net expenses ................................. 196,345 164,803 67,196 118,084
----------- ----------- ----------- -----------
Net investment income ................... 1,871,541 1,856,992 839,009 497,699
----------- ----------- ----------- -----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain from security transactions ..... 515,038 6,239 201,229 1,720,601
Net realized gain from futures contracts ......... --- --- 439,470 327,260
Change in unrealized appreciation of investments . (1,961,734) --- 3,212,679 827,425
Decrease in unrealized appreciation of
futures contracts ............................ --- --- (146,030) (289,620)
----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on
investments .................................. (1,446,696) 6,239 3,707,348 2,585,666
----------- ----------- ----------- -----------
Net increase in net assets resulting
from operations .............................. $ 424,845 $ 1,863,231 $ 4,546,357 $ 3,083,365
=========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements
30
<PAGE> 32
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE CALIFORNIA TAX-FREE
MONEY MARKET FUND INCOME FUND
---------------------------------- ----------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1996 1995
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .................... $ 2,871,143 $ 2,705,783 $ 9,930,698 $ 10,166,949
Net realized gain (loss) on investments .. (7,237) (7,604) 1,141,813
(1,269,174)
Increase in unrealized
appreciation of investments ........... --- --- 819,602 4,388,088
------------- ------------- ------------- -------------
Net increase in net
assets resulting from operations ...... 2,863,906 2,698,179 11,892,113 13,285,863
Undistributed investment income
included in price of shares sold
and repurchased ..................... --- --- (48,607) (113,983)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ................................ (2,871,143) (2,705,783) (9,898,576) (10,989,636)
Distributions from realized capital
gains on investments .................. --- --- --- (3,411,745)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... 22,997,717 (5,515,970) (3,064,916) (27,812,252)
------------- ------------- ------------- -------------
Total increase (decrease) ................ 22,990,480 (5,523,574) (1,119,986) (29,041,753)
NET ASSETS
Beginning of year ........................ 80,411,577 85,935,151 196,045,569 225,087,322
------------- ------------- ------------- -------------
End of year* ............................. $ 103,402,057 $ 80,411,577 $ 194,925,583 $ 196,045,569
============= ============= ============= =============
* Including undistributed net
investment income of: .............. $ --- $ --- $ 1,644 $ 18,129
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
31
<PAGE> 33
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
CALIFORNIA INSURED U.S. GOVERNMENT
INTERMEDIATE FUND SECURITIES FUND
------------------------------ ------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ........................... $ 1,021,722 $ 946,107 $ 1,871,541 $ 1,907,404
Net realized gain (loss) on investments ......... 252,253 (286,016) 515,038
185,598
Increase (decrease) in unrealized
appreciation of investments .................. (413,306) 980,269 (1,961,734) 743,511
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations ............. 860,669 1,640,360 424,845 2,836,513
Undistributed investment income
included in price of shares sold
and repurchased ............................ (3,699) (191) (1,739) (9,780)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ....................................... (1,015,189) (1,017,602) (1,864,644) (2,066,368)
Distributions from realized capital
gains on investments ......................... --- (2,172) --- ---
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions .............................. 849,529 1,094,869 645,403 (1,104,006)
------------ ------------ ------------ ------------
Total increase (decrease) ....................... 691,310 1,715,264 (796,135) (343,641)
NET ASSETS
Beginning of year ............................... 23,515,419 21,800,155 29,883,899 30,227,540
------------ ------------ ------------ ------------
End of year* .................................... $ 24,206,729 $ 23,515,419 $ 29,087,764 $ 29,883,899
============ ============ ============ ============
* Including undistributed net
investment income of: ..................... $ 7,750 $ 4,916 $ 10,226 $ 5,068
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
32
<PAGE> 34
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
THE UNITED STATES
TREASURY TRUST
----------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31,
1996 1995
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income .................... $ 1,856,992 $ 1,437,605
Net realized gain on investments ......... 6,239 21,715
------------ ------------
Net increase in net
assets resulting from operations ...... 1,863,231 1,459,320
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ................................ (1,856,992) (1,437,605)
Distributions from realized capital
gains on investments .................. (10,667) (18,771)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ....................... 8,110,028 10,526,034
------------ ------------
Total increase ........................... 8,105,600 10,528,978
NET ASSETS
Beginning of year ........................ 29,797,106 19,268,128
------------ ------------
End of year * ............................ $ 37,902,706 $ 29,797,106
============ ============
* Including undistributed net
investment income of: .............. $ --- $ ---
============ ============
</TABLE>
See accompanying notes to financial statements
33
<PAGE> 35
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
S&P 500 S&P MIDCAP
INDEX FUND INDEX FUND
-------------------------------- --------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ............................. $ 839,009 $ 540,701 $ 497,699 $ 467,567
Net realized gain on investments .................. 201,229 126,863 1,720,601 636,630
Net realized gain on
futures contracts .............................. 439,470 798,460 327,260 256,105
Increase in unrealized
appreciation of investments .................... 3,212,679 1,954,219 827,425 2,781,170
Increase (decrease) in unrealized
appreciation of futures contracts .............. (146,030) (71,385) (289,620) 175,145
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations ............... 4,546,357 3,348,858 3,083,365 4,316,617
Undistributed investment income
included in price of shares sold
and repurchased .............................. 52,233 14,497 7,839 (2,423)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ......................................... (824,485) (506,583) (508,545) (452,252)
Distributions from realized capital
gains on investments ........................... (958,225) (46,686) (1,304,003) (797,770)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ................................ 19,233,328 4,160,352 6,112,586 1,314,239
------------ ------------ ------------ ------------
Total increase .................................... 22,049,208 6,970,438 7,391,242 4,378,411
NET ASSETS
Beginning of year ................................. 21,800,190 14,829,752 26,167,844 21,789,433
------------ ------------ ------------ ------------
End of year* ...................................... $ 43,849,398 $ 21,800,190 $ 33,559,086 $ 26,167,844
============ ============ ============ ============
* Including undistributed net
investment income of: ....................... $ 136,614 $ 118,868 $ 82,610 $ 85,617
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
34
<PAGE> 36
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
-----------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1996 AUGUST 31, 1995
----------------------------- ---------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ----------- ------------
<S> <C> <C> <C> <C>
Shares sold ............................ 19,241,362 $ 239,721,369 2,982,528 $ 35,212,115
Shares issued in reinvestment of
dividends ........................... 590,351 7,370,563 944,581 11,028,287
------------ ------------- ----------- ------------
19,831,713 247,091,932 3,927,109 46,240,402
Shares repurchased ..................... (20,037,128) (250,156,848) (6,382,493) (74,052,654)
------------ ------------- ----------- ------------
Net decrease ........................ (205,415) $ (3,064,916) (2,455,384) $(27,812,252)
============ ============= =========== ============
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
-----------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1996 AUGUST 31, 1995
----------------------------- ---------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ----------- ------------
<S> <C> <C> <C> <C>
Shares sold ............................ 486,799 $ 5,134,564 978,758 $ 9,740,809
Shares issued in reinvestment of
dividends ........................... 61,399 647,284 67,965 686,965
------------ ------------- ----------- ------------
548,198 5,781,848 1,046,723 10,427,774
Shares repurchased ..................... (467,461) (4,932,319) (936,177) (9,332,905)
------------ ------------- ----------- ------------
Net increase ........................ 80,737 $ 849,529 110,546 $ 1,094,869
============ ============= =========== ============
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE THE UNITED STATES
MONEY MARKET FUND TREASURY TRUST
-------------------------------- --------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, 1996 AUGUST 31, 1995 AUGUST 31, 1996 AUGUST 31, 1995
-------------- --------------- ------------- ---------------
SHARES/VALUE SHARES/VALUE SHARES/VALUE SHARES/VALUE
-------------- --------------- ------------- ---------------
<S> <C> <C> <C> <C>
Shares sold ............................ 340,959,349 146,409,663 142,670,759 52,708,869
Shares issued in reinvestment of
dividends ........................... 2,690,146 2,530,269 1,792,248 1,427,559
------------ ------------- ----------- ------------
343,649,495 148,939,932 144,463,007 54,136,428
Shares repurchased ..................... (320,651,778) (154,455,902) (136,352,979) (43,610,394)
------------ ------------- ----------- ------------
Net increase (decrease) ............. 22,997,717 (5,515,970) 8,110,028 10,526,034
============ ============= =========== ============
</TABLE>
See accompanying notes to financial statements
35
<PAGE> 37
STATEMENT OF CHANGES IN NET ASSETS -- (CONTINUED)
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES FUND
-----------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1996 AUGUST 31, 1995
----------------------------- ---------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ----------- ------------
<S> <C> <C> <C> <C>
Shares sold ............................ 435,901 $ 4,635,912 719,796 $ 7,461,139
Shares issued in reinvestment of
dividends ........................... 115,296 1,230,789 142,827 1,454,004
------------ ------------- ----------- ------------
551,197 5,866,701 862,623 8,915,143
Shares repurchased ..................... (488,489) (5,221,298) (991,818) (10,019,149)
------------ ------------- ----------- ------------
Net increase (decrease) ............. 62,708 $ 645,403 (129,195) $ (1,104,006)
============ ============= =========== ============
</TABLE>
<TABLE>
<CAPTION>
S&P 500 INDEX FUND
-----------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1996 AUGUST 31, 1995
----------------------------- ---------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ----------- ------------
<S> <C> <C> <C> <C>
Shares sold ............................ 1,401,521 $ 20,434,952 412,534 $ 5,077,535
Shares issued in reinvestment of
dividends ........................... 121,420 1,710,169 43,886 509,025
------------ ------------- ----------- ------------
1,522,941 22,145,121 456,420 5,586,560
Shares repurchased ..................... (199,649) (2,911,793) (122,148) (1,426,208)
------------ ------------- ----------- ------------
Net increase ........................ 1,323,292 $ 19,233,328 334,272 $ 4,160,352
============ ============= =========== ============
</TABLE>
<TABLE>
<CAPTION>
S&P MIDCAP INDEX FUND
-----------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1996 AUGUST 31, 1995
----------------------------- ---------------------------
SHARES VALUE SHARES VALUE
------------ ------------- ----------- ------------
<S> <C> <C> <C> <C>
Shares sold ............................ 495,843 $ 7,090,800 292,712 $ 3,562,660
Shares issued in reinvestment of
dividends ........................... 126,606 1,742,125 107,087 1,207,423
------------ ------------- ----------- ------------
622,449 8,832,925 399,799 4,770,083
Shares repurchased ..................... (193,733) (2,720,339) (290,400) (3,455,844)
------------ ------------- ----------- ------------
Net increase ........................ 428,716 $ 6,112,586 109,399 $ 1,314,239
============ ============= =========== ============
</TABLE>
See accompanying notes to financial statements
36
<PAGE> 38
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE MONEY MARKET FUND
------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1994 1993 1992
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ........ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. 0.032 0.032 0.022 0.022 0.031
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.032) (0.032) (0.022) (0.022) (0.031)
--------- --------- --------- --------- ---------
Net asset value, end of year .............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========= ========= ========= ========= =========
Total Return .............................. 3.26% 3.27% 2.18% 2.27% 3.18%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ..... $ 103,402 $ 80,412 $ 85,935 $ 58,754 $ 92,913
Ratio of expenses to average net
assets:
Before expense reimbursements ... 0.61% 0.66% 0.68% 0.39% 0.15%
After expense reimbursements .... 0.40% 0.40% 0.35% 0.24% 0.15%
Ratio of net investment income to
average net assets:
Before expense reimbursements ... 2.90% 2.97% 1.83% 2.10% 3.05%
After expense reimbursements .... 3.11% 3.23% 2.16% 2.25% 3.05%
</TABLE>
See accompanying notes to the financial statements
37
<PAGE> 39
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
----------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .............. $ 12.22 $ 12.17 $ 13.39 $ 12.42 $ 11.85
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ........................ 0.62 0.61 0.65 0.69 0.73
Net gain (loss) on securities (both
realized and unrealized) .................. 0.09 0.30 (0.92) 1.04 0.57
-------- -------- -------- -------- --------
Total from investment operations ....... 0.71 0.91 (0.27) 1.73
-------- -------- -------- -------- --------
1.30
LESS DISTRIBUTIONS
Dividends from net investment
income .................................... (0.62) (0.66) (0.66) (0.68) (0.73)
Distributions from capital gains ............. --- (0.20) (0.29) (0.08) .---
-------- -------- -------- -------- --------
Total distributions .................... (0.62) (0.86) (0.95) (0.76) (0.73)
-------- -------- -------- -------- --------
Net asset value, end of year .................... $ 12.31 $ 12.22 $ 12.17 $ 13.39 $ 12.42
======== ======== ======== ======== ========
Total Return .................................... 5.40% 8.01% (2.15)% 14.55% 11.29%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ........... $194,926 $196,046 $225,087 $274,325 $217,321
Ratio of expenses to average net assets:
Before expense reimbursements ......... 0.60% 0.62% 0.60% 0.60% 0.60%
After expense reimbursements .......... 0.60% 0.62% 0.60% 0.60% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements ......... 4.96% 5.13% 5.09% 5.41% 5.98%
After expense reimbursements .......... 4.96% 5.13% 5.09% 5.41% 5.98%
Portfolio Turnover ........................... 10.34% 32.21% 31.27% 25.42% 45.43%
</TABLE>
See accompanying notes to the financial statements
38
<PAGE> 40
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
---------------------------------------------------
OCTOBER 20,
YEAR ENDED YEAR ENDED YEAR ENDED 1992* TO
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1994 1993
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ........ $ 10.49 $ 10.23 $ 10.65 $ 10.00
--------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................... 0.46 0.44 0.44 0.40
Net gain (loss) on securities (both
realized and unrealized) ............... (0.07) 0.30 (0.42) 0.61
--------- --------- --------- ---------
Total from investment operations .... 0.39 0.74 0.02 1.01
--------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income ................................ (0.46) (0.48) (0.44) (0.36)
--------- --------- --------- ---------
Net asset value, end of period .............. $ 10.42 $ 10.49 $ 10.23 $ 10.65
========= ========= ========= =========
Total Return ................................ 3.75% 7.46% 0.23% 11.91%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) ..... $ 24,207 $ 23,515 $ 21,800 $ 11,145
Ratio of expenses to average net
assets:
Before expense reimbursements ..... 0.70% 0.76% 0.88% 2.00%**
After expense reimbursements ...... 0.55% 0.60% 0.46% 0.16%**
Ratio of net investment income to
average net assets:
Before expense reimbursements ..... 4.22% 4.19% 3.77% 2.75%**
After expense reimbursements ...... 4.37% 4.35% 4.19% 4.59%**
Portfolio Turnover ....................... 36.08% 43.56% 8.91% ---
</TABLE>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
39
<PAGE> 41
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES FUND
-------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1994 1993 1992
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ......... $ 10.66 $ 10.30 $ 11.76 $ 10.52 $ 9.80
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.66 0.70 0.67 0.71 0.72
Net gain (loss) on securities (both
realized and unrealized) ............. (0.51) 0.41 (1.40) 1.29 0.73
--------- --------- --------- --------- ---------
Total from investment operations .. 0.15 1.11 (0.73) 2.00
--------- --------- --------- --------- ---------
1.45
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.66) (0.75) (0.67) (0.71) (0.73)
Distributions from capital gains ........ .--- .--- (0.06) (0.05) .---
--------- --------- --------- --------- ---------
Total distributions ............... (0.66) (0.75) (0.73) (0.76) (0.73)
--------- --------- --------- --------- ---------
Net asset value, end of year ............... $ 10.15 $ 10.66 $ 10.30 $ 11.76 $ 10.52
========= ========= ========= ========= =========
Total Return ............................... 1.26% 11.42% (6.44)% 20.09% 15.46%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ...... $ 29,088 $ 29,884 $ 30,228 $ 35,787 $ 79,858
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.71% 0.75% 0.73% 0.75% 0.63%
After expense reimbursements ..... 0.65% 0.64% 0.62% 0.52% 0.38%
Ratio of net investment income to
average net assets:
Before expense reimbursements .... 6.10% 6.72% 5.99% 6.32% 6.87%
After expense reimbursements ..... 6.16% 6.83% 6.10% 6.55% 7.12%
Portfolio Turnover ...................... 89.11% 169.83% 129.06% 52.30% 122.14%
</TABLE>
See accompanying notes to the financial statements
40
<PAGE> 42
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
THE UNITED STATES TREASURY TRUST
-------------------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1994 1993 1992
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.050 0.050 0.031 0.028 0.041
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.050) (0.050) (0.031) (0.028) (0.041)
--------- --------- --------- --------- ---------
Net asset value, end of year ............... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========= ========= ========= ========= =========
Total Return ............................... 5.11% 5.10% 3.11% 2.86% 4.18%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ...... $ 37,903 $ 29,797 $ 19,268 $ 28,449 $ 16,799
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.66% 0.72% 0.75% 0.65% 0.73%
After expense reimbursements ..... 0.43% 0.50% 0.52% 0.32% 0.25%
Ratio of net investment income to
average net assets:
Before expense reimbursements .... 4.60% 4.75% 2.62% 2.43% 3.66%
After expense reimbursements ..... 4.83% 4.97% 2.85% 2.76% 4.14%
</TABLE>
See accompanying notes to the financial statements
41
<PAGE> 43
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
S&P 500 INDEX FUND
-----------------------------------------------------------------------------
APRIL 20,
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 1992* TO
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1994 1993 1992
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 13.31 $ 11.38 $ 11.25 $ 10.09 $ 10.00
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.36 0.39 0.30 0.30 0.10
Net gain on securities (both
realized and unrealized) .............. 2.05 1.94 0.26 1.16 0.03
--------- --------- --------- --------- ---------
Total from investment operations ... 2.41 2.33 0.56 1.46 0.13
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.37) (0.37) (0.30) (0.30) (0.04)
Distributions from capital gains ........ (0.54) (0.03) (0.13) .--- .---
--------- --------- --------- --------- ---------
Total distributions ............... (0.91) (0.40) (0.43) (0.30) (0.04)
--------- --------- --------- --------- ---------
Net asset value, end of period ............. $ 14.81 $ 13.31 $ 11.38 $ 11.25 $ 10.09
========= ========= ========= ========= =========
Total Return ............................... 18.63% 21.06% 5.17% 14.77% 3.66%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 43,849 $ 21,800 $ 14,830 $ 11,352 $ 4,380
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.57% 1.04% 1.01% 1.41% 2.71%**
After expense reimbursements ..... 0.20% 0.20% 0.20% 0.09% 0.00%**
Ratio of net investment income to
average net assets:
Before expense reimbursements .... 2.13% 2.40% 1.95% 1.54% 0.94%**
After expense reimbursements ..... 2.50% 3.24% 2.76% 2.86% 3.65%**
Portfolio Turnover ...................... 1.87% 3.68% 1.22% 8.46% ---
Average per share broker commission...... $ 0.028 (1)
</TABLE>
* Commencement of operations
** Annualized
(1) Not required information prior to August 31, 1995.
See accompanying notes to the financial statements
42
<PAGE> 44
FINANCIAL HIGHLIGHTS (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
S&P MIDCAP INDEX FUND
----------------------------------------------------------------------------
APRIL 20,
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 1992* TO
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1996 1995 1994 1993 1992
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 13.82 $ 12.21 $ 12.23 $ 10.12 $ 10.00
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.24 0.26 0.22 0.25 0.09
Net gain on securities (both
realized and unrealized) ............. 1.33 2.04 0.22 2.11 0.07
--------- --------- --------- --------- ---------
Total from investment operations .. 1.57 2.30 0.44 2.36 0.16
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.25) (0.25) (0.22) (0.25) (0.04)
Distributions from capital gains ........ (0.69) (0.44) (0.24) .--- .---
--------- --------- --------- --------- ---------
Total distributions ........................ (0.94) (0.69) (0.46) (0.25) (0.04)
--------- --------- --------- --------- ---------
Net asset value, end of period ............. $ 14.45 $ 13.82 $ 12.21 $ 12.23 $ 10.12
========= ========= ========= ========= =========
Total Return ............................... 11.77% 20.24% 3.75% 23.64% 4.48%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 33,559 $ 26,168 $ 21,789 $ 16,243 $ 3,279
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.71% 0.80% 0.97% 1.36% 3.74%**
After expense reimbursements ..... 0.40% 0.40% 0.40% 0.17% 0.00%**
Ratio of net investment income (loss)
to average net assets:
Before expense reimbursements .... 1.38% 1.70% 1.30% 0.97% (0.46)%**
After expense reimbursements ..... 1.69% 2.10% 1.87% 2.16% 3.28%**
Portfolio Turnover ...................... 18.18% 11.71% 15.01% 8.16% 0.87%
Average per share commission............. $0.021 (1)
</TABLE>
* Commencement of operations
** Annualized
(1) Not required information prior to August 31, 1995
See accompanying notes to the financial statements
43
<PAGE> 45
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 1996
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund
and California Insured Intermediate Fund are three separate series of shares of
beneficial interest of California Investment Trust. U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund and S&P MidCap Index
Fund are separate series of shares of beneficial interest of California
Investment Trust II. Both Trusts are registered under the Investment Company Act
of 1940, as amended, as diversified open-end management investment companies.
Both Trusts were organized as Massachusetts business trusts on September 11,
1985 and are authorized to issue an unlimited number of no par value shares in
one or more series. The investment objectives of the Funds are as follows.
California Tax-Free Income Fund and California Insured Intermediate Fund seeks
as high a level of income exempt from federal and California personal income
taxes as is consistent with prudent investment management and safety of capital.
California Tax-Free Money Market Fund - capital preservation, liquidity and the
highest achievable current income exempt from both federal and California
personal income taxes consistent with safety. U.S. Government Securities Fund -
seeks safety from credit risk, liquidity, and as high a level of income as is
consistent with these objectives by investment in full faith and credit
obligations of the U.S. Government and its agencies or instrumentalities. The
United States Treasury Trust seeks preservation of capital safety, liquidity and
consistent with these objectives, the highest attainable current income exempt
from state income taxes. S&P 500 Index Fund and S&P MidCap Index Fund -
diversified mutual funds that seek to provide investment results that correspond
to the total return of publicly traded common stocks represented in the Standard
& Poor's 500 Composite Stock Price Index and the Standard & Poor's MidCap 400
Index, respectively. The following is a summary of significant accounting
policies followed by the Funds.
(a) Security Valuation --- Portfolio securities of the S&P 500 and S&P
MidCap Index Funds listed on a national exchange are valued at the last reported
sales price. U.S. Treasury Bills are valued at amortized cost which approximates
market value. Portfolio securities of the California Tax-Free Income Fund,
California Insured Intermediate Fund and the U.S. Government Securities Fund are
valued by an independent pricing service that uses market quotations,
representing the mean between the latest available bid and asked prices, prices
provided by market makers, or estimates of market values obtained from yield
data relating to instruments or securities with similar characteristics, in
accordance with procedures established in good faith by the Board of Trustees.
Securities with remaining maturities of 60 days or less are valued on the
amortized cost basis as reflecting fair value. All other securities are valued
at their fair value as determined in good faith by the Board of Trustees.
California Tax-Free Money Market Fund and The United States Treasury Trust
securities are valued at amortized cost which the Board of Trustees has
determined in good faith to constitute fair value.
(b) Futures Contracts --- Initial margin deposits required upon
entering into futures contracts are satisfied by the segregation of specific
securities or cash, as collateral, for the account of the broker (the Fund's
agent in acquiring the futures position). During the period the futures contract
is open, changes in the value of the contract are recognized as unrealized gains
or losses by "marking to market" on a daily basis to reflect the market value of
the contract at the end of each day's trading. Variation margin payments are
made or received depending upon whether unrealized gains or losses are incurred.
When the contract is closed, the Fund records a realized gain or loss equal to
the difference between the proceeds from (or cost of) the closing transaction
and the Fund's basis in the contract. The S&P 500 Index Fund and S&P MidCap
Index Fund may purchase or sell stock index futures to maintain cash reserves
while remaining fully invested, to facilitate trading, to reduce transaction
costs, or to seek higher investment returns when a futures contract is priced
more attractively than the underlying equity security or index. Risks include
the possibility of an illiquid market and an imperfect correlation between the
change in market value of the stocks held by a Fund and the prices of futures
contracts.
44
<PAGE> 46
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
AUGUST 31, 1996
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
(c) Federal Income Taxes --- No provision is considered
necessary for Federal income taxes. The Funds intend to qualify for and
elect the tax treatment applicable to regulated investment companies
under the Internal Revenue Code and to distribute all of their taxable
income to shareholders. California Tax-Free Money Market Fund has
capital loss carryovers available to offset future gains, if any, of
approximately $37,000 which expire as follows, $8,000 in 1997, $10,000
in 1999, $4,000 in 2000, $2,000 in 2003 and $13,000 in 2004. The
California Tax-Free Income Fund and the California Insured Intermediate
Fund have capital loss carryovers of approximately $127,000 and $34,000
respectively, which expires in 2003.
(d) Security Transactions, Investment Income and Distributions
to Shareholders --- Security transactions are recorded on the trade
date. Interest income is recorded on the accrual basis. Dividend income
is recorded on the ex-dividend date. Discounts and premiums on
securities purchased are amortized in accordance with tax regulations.
Distributions to shareholders are recorded on the ex-dividend date for
the California Tax-Free Income Fund, the California Insured
Intermediate Fund, the U.S. Government Securities Fund, S&P 500 Index
Fund, and S&P MidCap Index Fund. Income distributions and capital gain
distributions are determined in accordance with income tax regulations
which may differ from generally accepted accounting principles. These
differences are primarily due to differing treatments for futures
contracts and post October capital losses. For the California Tax-Free
Money Market Fund and The United States Treasury Trust, dividends from
net investment income are declared daily and reinvested or paid in cash
monthly. The two Funds intend to maintain a continuous net asset value
per share of $1.00. If net asset value per share using available market
information deviates from $1.00 by $.005 or more, the Board of Trustees
would consider what steps, if any, should be taken to restore net asset
value per share to $1.00.
(e) Equalization --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund, the U.S. Government Securities
Fund, S&P 500 Index Fund and S&P MidCap Index Fund follow the
accounting practice of "equalization" whereby part of the proceeds from
capital share transactions equivalent to a proportionate share of the
distributable investment income on the date of the transaction, is
transferred to or from the undistributed net investment income account.
Undistributed net investment income is therefore unaffected by capital
share transactions.
(f) Concentration --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund and the California Tax-Free Money
Market Fund invest in debt instruments of municipal issuers. The
issuer's abilities to meet their obligations may be affected by
economic developments in the state of California.
(g) Use of Estimates in Financial Statements - In preparing
financial statements in conformity with generally accepted accounting
principles, management makes estimates and assumptions that affect the
reported amounts of assets and liabilities at the date of the financial
statements, as well as the reported amounts of income and expenses
during the period. Actual results may differ from these estimates.
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each
Fund with management and administrative services pursuant to a Management
Agreement.
45
<PAGE> 47
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
AUGUST 31, 1996
In accordance with the terms of the management agreements with
California Tax-Free Money Market Fund, California Tax-Free Income Fund,
California Insured Intermediate Fund, U.S. Government Securities Fund, and The
U.S. Treasury Trust, CCM receives compensation at the annual rate of 0.50% of
the Funds' average daily net assets not exceeding $100 million, 0.45% on net
assets from $100 million to $500 million, and 0.40% on net assets above $500
million. In accordance with the terms of the management agreements with the S&P
500 Index Fund and S&P MidCap Index Fund, CCM receives as compensation at the
annual rate of .25% and .40%, respectively, of the Funds' average daily net
assets. CCM has agreed to reduce its fee by, or reimburse the Funds for, any
amount necessary to prevent the Funds' total expenses, excluding extraordinary
items, from exceeding 1.00% of the Funds' average daily net assets. The manager
has voluntarily reimbursed more expenses than contractually obliged. This
voluntary reimbursement may cease at any time without prior notice.
Reimbursement from the manager for the year ended August 31, 1996, is as
follows:
<TABLE>
<S> <C>
California Tax-Free Money Market Fund ..... $196,188
California Insured Intermediate Fund ...... $ 33,648
U.S. Government Securities Fund ........... $ 20,327
The United States Treasury Trust .......... $ 89,737
S&P 500 Index Fund ........................ $122,682
S&P MidCap Index Fund ..................... $ 91,951
</TABLE>
CCM has retained Bank of America NT&SA to act as Sub-Advisor to the S&P
500 Index Fund and S&P MidCap Index Fund, subject to supervision by the Manager
and the Trust's Board of Trustees. Under the Sub-Advisory Agreement, the
Sub-Advisor is responsible for the actual management of each Fund's portfolio.
The responsibility for making decisions to buy, sell or hold a particular
security rests with the Sub-Advisor. The Sub-Advisor makes all the investment
decisions and places transactions accordingly. CCM compensates the Sub-Advisor
at an annual rate of 0.10% of the average net assets of the Fund.
Certain officers and trustees of the Trust are also partners of CCM.
NOTE 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments
during the year ended August 31, 1996 were as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
----------- -----------
<S> <C> <C>
California Tax-Free Income Fund ............ $19,949,451 $24,482,390
California Insured Intermediate Fund ....... $ 9,408,187 $ 8,231,958
U.S. Government Securities Fund ............ $27,006,944 $26,296,579
S&P 500 Index Fund ......................... $16,243,318 $ 537,070
S&P Midcap Index Fund ...................... $11,220,045 $ 4,769,625
</TABLE>
For the year ended August 31, 1996, 100% of the distributions paid from net
investment income of the California Tax-Free Money Market Fund, California
Tax-Free Income Fund and California Insured Intermediate Fund qualifies as
tax-exempt interest dividends to noncorporate shareholders.
46
<PAGE> 48
Report of Independent Certified Public Accountants
To the Shareholders and Board of Trustees
California Investment Trust
California Investment Trust II
We have audited the accompanying statements of assets and liabilities of
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund, each a series of shares of beneficial
interest of California Investment Trust, and the U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund and S&P MidCap Index
Fund, each a series of shares of beneficial interest of California Investment
Trust II, including the portfolios of investments, as of August 31, 1996 and the
related statements of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended and the
financial highlights for the periods indicated thereon. These financial
statements and financial highlights are the responsibility of the Trusts'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
August 31, 1996, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
California Tax-Free Money Market Fund, California Tax-Free Income Fund,
California Insured Intermediate Fund, the U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund and S&P MidCap Index Fund as of
August 31, 1996, the results of their operations for the year then ended, the
changes in their net assets for each of the two years in the period then ended
and the financial highlights for the periods referred to above, in conformity
with generally accepted accounting principles.
Tait, Weller & Baker
Philadelphia, Pennsylvania
September 27, 1996
<PAGE> 49
-----------------
CALIFORNIA Bulk Rate
INVESTMENT TRUST U.S. Postage
----------------- PAID
F U N D G R O U P Milwaukee, WI
PERMIT NO. 2855
44 MONTGOMERY STREET #2100 -----------------
SAN FRANCISCO, CA 94104
