CALIFORNIA
INVESTMENT TRUST
----------------
FUND GROUP
ANNUAL REPORT
AUGUST 31, 1997
This report is intended only for the information of shareholders or those who
have received the offering prospectus covering shares of beneficial interest of
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.
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CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
VARIABLE RATE DEMAND NOTES** (53.55%)
<S> <C> <C> <C>
ANAHEIM PUBLIC IMPROVEMENT CORP.
$2,900,000 Certificates of Participation, 1993 Refunding Project . 2.950% 9/2/97 $2,900,000
CALIFORNIA HEALTH FACILITIES FIN. AUTHORITY
4,000,000 Cottage Hospital Santa Barbara ........................ 3.000% 9/2/97 4,000,000
CALIFORNIA POLLUTION CONTROL AUTHORITY
1,000,000 So Cal Edison Series 1986B ............................ 3.500% 9/2/97 1,000,000
900,000 So Cal Edison Series 1986C ............................ 3.500% 9/2/97 900,000
100,000 So Cal Edison Series 1986D ............................ 3.500% 9/2/97 100,000
1,100,000 Pacific Gas & Electric Series A ....................... 3.450% 9/2/97 1,100,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Rev. Certificates of Participation ...... 3.000% 9/3/97 3,000,000
IRVINE, CITY OF
1,400,000 Updates Improvement Project ........................... 3.400% 9/2/97 1,400,000
IRVINE RANCH WATER DISTRICT
600,000 Consolidated Refunding Series, 1995 ................... 3.400% 9/2/97 600,000
3,100,000 Consolidated Series, 1995 ............................. 3.400% 9/2/97 3,100,000
LOS ANGELES MTA
4,400,000 Tax Revenue Refunding Bonds, 1993 Series A ............ 3.000% 9/3/97 4,400,000
LOS ANGELES COUNTY
2,500,000 Pension Obligation Refunding Bonds .................... 2.950% 9/2/97 2,500,000
NEWPORT BEACH, CITY OF
500,000 Newport Beach Hoag Memorial Hospital, 1992A ........... 3.400% 9/2/97 500,000
2,300,000 Newport Beach Hoag Memorial Hospital, 1996A ........... 3.400% 9/2/97 2,300,000
900,000 Newport Beach Hoag Memorial Hospital, 1996B ........... 3.400% 9/2/97 900,000
ORANGE COUNTY WATER DISTRICT
2,400,000 Certificates of Participation, 1990 Project B ......... 3.500% 9/2/97 2,400,000
ORANGE COUNTY SANITATION DISTRICT
1,800,000 Refunding Certificates of Particitpation .............. 3.400% 9/2/97 1,800,000
RIVERSIDE REDEVELOPMENT AGENCY
2,900,000 Multi-family Housing Revenue Bonds .................... 3.050% 9/2/97 2,900,000
SAN BERNARDINO COUNTY TRANS. AUTHORITY
3,600,000 Sales Tax Revenue Bonds ............................... 3.000% 9/2/97 3,600,000
SANTA CLARA, CITY OF
1,100,000 Electric Revenue Series C ............................. 3.000% 9/2/97 1,100,000
1,000,000 Electric Revenue Series A ............................. 3.000% 9/2/97 1,000,000
SOUTH SAN FRANCISCO, CITY OF
600,000 Certificates of Participation ......................... 3.150% 9/2/97 600,000
SOUTHERN CA PUBLIC POLLUTION AUTHORITY
4,500,000 Power Project Revenue Bond, Series C .................. 2.950% 9/2/97 4,500,000
TUSTIN, CITY OF
3,100,000 Limited Obligation Improvement Bonds .................. 3.400% 9/2/97 3,100,000
------------
Total Variable Rate Demand Notes
(cost $49,700,000)........................... 49,700,000
------------
TAX AND REVENUE ANTICIPATION NOTES (21.32%)
3,000,000 CA Educational Facilities, Stanford University ........ 5.000% 12/01/97 3,011,331
1,000,000 CA School Cash Res. Program ........................... 4.750% 07/02/98 1,007,213
</TABLE>
1
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CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS -- (Continued)
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
<S> <C> <C> <C>
TAX AND REVENUE ANTICIPATION NOTES (continued)
$1,000,000 Cambell Union School District ......................... 4.500% 09/15/98 $1,005,740
1,500,000 Fremont Unified School District ....................... 4.250% 06/30/98 1,504,169
1,500,000 Hillsborough City School District ..................... 4.500% 07/09/98 1,507,997
1,000,000 Los Angeles Unified School District ................... 4.500% 07/01/98 1,005,595
1,750,000 Mountain View-Los Altos School District 1997 .......... 4.250% 07/02/98 1,755,890
1,950,000 San Carlos School District ............................ 4.250% 06/30/98 1,955,889
3,000,000 San Diego, CA Area Local Cops ......................... 4.750% 10/01/97 3,002,026
1,000,000 San Francisco City and County Sewer Revenue* .......... 7.250% 10/01/97 1,018,004
1,500,000 San Mateo Union High School District .................. 4.500% 07/10/98 1,507,714
1,500,000 Santa Rosa School District, 1997 ...................... 4.500% 07/02/98 1,508,658
------------
Total Tax and Revenue Anticipation Notes
(cost $19,790,226)............................ 19,790,226
------------
COMMERCIAL PAPER (25.75%)
CA EDUCATIONAL FACILITIES FIN. AUTHORITY
1,000,000 Carnegie Institution .................................. 3.750% 10/02/97 1,000,000
3,000,000 Carnegie Institution .................................. 3.500% 10/23/97 3,000,000
EASTBAY MUNICIPAL UTILITY DISTRICT
3,500,000 Water System Series ................................... 3.500% 09/04/97 3,500,000
LA DEPARTMENT OF WATER & POWER
3,500,000 LA Wastewater ......................................... 3.600% 11/04/97 3,500,000
2,500,000 Electric Plant Short-Term Revenue Certificates ........ 3.650% 10/08/97 2,500,000
METROPOLITAN WATER DISTRICT OF SO. CA
1,200,000 Metropolitan Water District of Southern CA ............ 3.450% 10/15/97 1,200,000
2,400,000 Metropolitan Water District of Southern CA ............ 3.550% 10/08/97 2,400,000
SACRAMENTO MUNICIPAL UTILITIES DISTRICT
3,800,000 Utility Improvement Project ........................... 3.650% 10/01/97 3,800,000
SAN DIEGO COUNTY REGIONAL TRANS. AUTH.
3,000,000 Sales Tax Revenue, Series A ........................... 3.500% 11/04/97 3,000,000
------------
Total Commercial Paper
(cost $23,900,000) .......................... 23,900,000
------------
Total Investments (100.62%)
(cost $93,390,226) (a) ...................... 93,390,226
Liabilities in Excess of Other Assets (-0.62%).... (572,037)
------------
Net Assets (100.00%)......................... $ 92,818,189
============
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(a) Aggregate cost for federal income tax purposes is $93,390,226.
* Denotes bond issue refunded prior to maturity and secured by 100% US
Government Direct Obligations.
** Stated maturity reflects next reset date.
See accompanying notes to financial statements
2
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CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (93.04%)
<S> <C> <C> <C>
ASSOCIATION OF BAY AREA GOVERNMENTS
$2,500,000 Tax Allocation Revenue Bonds .......................... 6.000% 12/15/15 $2,618,750
CALIFORNIA EDUCATIONAL FAC. AUTHORITY
2,025,000 Forward Refunding Revenue Bonds, 1997 Series A ........ 5.600% 10/01/04 2,154,094
1,290,000 Revenue Bonds (Pooled Colleges & Universities) ........ 5.250% 12/01/07 1,312,575
2,000,000 Revenue Bonds (University of San Francisco) ........... 6.000% 10/01/16 2,115,000
CA POLLUTION CONTROL AUTHORITY
3,000,000 San Diego Gas & Electric, Series 1996A ................ 5.900% 06/01/14 3,183,750
CALIFORNIA, STATE OF
5,000,000 General Obligations ................................... 6.250% 09/01/12 5,600,000
STATE OF CA DEPT. OF WATER RESOURCES
2,320,000 Water System Revenue Bonds, Central Valley J-1 ........ 7.000% 12/01/11 2,755,000
2,835,000 Water System Revenue Bonds, Central Valley J-3 ........ 7.000% 12/01/11 3,366,563
CA STATE PUBLIC WORKS BOARD
4,000,000 Imperial County, Revenue Bonds, 1991 Series A ......... 6.500% 09/01/17 4,575,000
5,000,000 Lease Revenue Refunding Bonds,1994 Series A ........... 5.500% 06/01/14 5,062,500
3,630,000 California Community Colleges, 1994 Series A .......... 9.000% 10/01/03 4,473,975
CA STATEWIDE COMMUNITIES DEV. AUTHORITY
4,000,000 Certificates of Particitpation, Cedars Sinai .......... 6.500% 08/01/12 4,465,000
3,615,000 Children's Hospital of Los Angeles, Series 1993 ....... 6.000% 06/01/09 3,962,944
CASTAIC LAKE WATER AGENCY
2,090,000 Certificates of Participation, 1994 Series A .......... 7.250% 08/01/09 2,526,288
CENTRAL COAST WATER AUTHORITY
1,420,000 California Revenue Refunding Bonds,1996 Series A ...... 6.000% 10/01/08 1,572,650
CONTRA COSTA WATER DISTRICT
4,000,000 Water Revenue Bonds, Series E ......................... 6.250% 10/01/12 4,445,000
CULVER CITY REDEVELPOMENT FIN. AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993 .......... 5.500% 11/01/14 3,090,000
EAST BAY MUNICIPAL UTILITY DISTRICT
2,020,000 Water System Subordinated Rev. Refunding, 1996 ........ 5.000% 06/01/15 1,954,350
ELK GROVE UNIFIED SCHOOL DISTRICT
3,000,000 Special Tax Refunding, Series 1995 .................... 6.500% 12/01/24 3,480,000
FAIRFIELD, CITY OF
2,000,000 Refunding Water Revenue Bonds, 1996 ................... 5.375% 04/01/17 1,985,000
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 Gen. Obligation Convertible Bonds, 1993 Series C ...... 6.250% 05/01/12 4,573,900
FREMONT UNIFIED SCHOOL DISTRICT
3,000,000 General Obligation Bonds .............................. 5.250% 09/01/03 2,936,250
FRESNO, CITY OF
4,000,000 Sewer System Revenue Bonds ............................ 5.250% 09/01/19 3,960,000
KERN HIGH SCHOOL DISTRICT
2,555,000 General Obligation Bonds, 1996 Series A ............... 6.600% 08/01/16 2,938,250
LA CONVENTION & EXHIBIT CENTER
1,300,000 Certificates of Participation 1985 .................... 9.000% 12/01/05 1,704,625
560,000 Certificates of Participation, 1985 Series A .......... 9.000% 12/01/05 732,200
4,500,000 Lease Revenue Bonds, 1993 Series A .................... 6.000% 08/15/10 4,966,875
LA DEPARTMENT OF AIRPORTS, CITY OF
2,500,000 Refunding Revenue Bonds ............................... 6.500% 05/15/04 2,806,250
LA STATE BUILDING AUTHORITY
3,500,000 Lease Revenue Refunding Bonds ......................... 5.625% 05/01/11 3,701,250
</TABLE>
3
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CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
<S> <C> <C> <C>
LA UNIFIED SCHOOL DISTRICT
$1,625,000 General Obligation Bonds, Series A .................... 4.900% 07/01/09 $1,620,938
LA, DEPARTMENT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994 .................. 8.500% 06/01/04 3,686,250
LOS ANGELES COUNTY
2,000,000 Tax & Revenue Anticipation Notes, Series A 97-98 ...... 4.500% 06/30/98 2,011,220
LA COUNTY TRANSPORTATION COMMISSION
4,540,000 Sales Tax Revenue Refunding Bonds, 1991 Series B ...... 6.500% 07/01/10 5,141,550
M-S-R PUBLIC POWER AGENCY
3,500,000 San Juan Project Refunding Rev Bonds, Ser. F .......... 6.125% 07/01/13 3,854,375
METROPOLITAN WATER DISTRICT OF SO. CA
4,000,000 Water Revenue Bonds 1995 Series A ..................... 5.750% 07/01/15 4,125,000
NORTHERN CA, TRANSMISSION AGENCY OF
1,000,000 CA-Oregon Transmission Project, Series 1990A .......... 7.000% 05/01/13 1,193,750
REDEVELOPMENT AGENCY OF OAKLAND
4,000,000 Central District Redevelopment Project Ser. 1992 ...... 5.500% 02/01/14 4,115,000
ORANGE COUNTY LOCAL TRANS. AUTHORITY
3,000,000 Measure M Sales Tax Revenue Bonds ..................... 9.500% 02/15/03 3,712,500
PITTSBURG PUBLIC FINANCING AUTHORITY
3,700,000 Refunding Bonds, Series A ............................. 5.125% 06/01/15 3,635,250
POMONA UNIFIED SCHOOL DISTRICT
1,175,000 General Obligation Refunding Bonds .................... 5.700% 08/01/08 1,266,062
PORT HUENEME, CITY OF
2,200,000 Refunding Certificates of Participation, 1992 ......... 6.000% 04/01/12 2,370,500
RANCHO CA WATER DISTRICT FINANCE AUTH.
3,000,000 Revenue Refunding Bonds ............................... 5.875% 11/01/10 3,202,500
RIVERSIDE, CITY OF
2,000,000 Sewer Revenue Refunding Bonds, Series 1993 ............ 4.800% 08/01/01 2,042,500
RIVERSIDE, CITY OF
1,500,000 Water Revenue Bond Issue 1991 ......................... 9.000% 10/01/01 1,756,875
RIVERSIDE COUNTY TRANS. AGENCY
2,000,000 General Obligation Refunding Bonds .................... 5.750% 06/01/09 2,167,500
SACRAMENTO MUNICIPAL UTILITY DISTRICT
4,000,000 Refunding Revenue Bonds Series A ...................... 6.250% 08/15/10 4,510,000
SACRAMENTO COUNTY SANITATION DISTRICT
2,000,000 Revenue Bonds, 1995 ................................... 5.000% 12/01/15 1,907,500
SADDLEBACK VALLEY SCHOOL DISTRICT
1,575,000 Special Tax Revenue Bonds, 1996 Series A .............. 6.000% 09/01/16 1,691,156
SAN BERNARDINO, COUNTY OF
3,000,000 Certificates of Participation, Series B ............... 6.875% 08/01/24 3,630,000
SAN DIEGO COUNTY REGIONAL TRANS. COMM.
2,000,000 Sales Tax Revenue Bonds, Series A ..................... 6.250% 04/01/03 2,177,500
SAN FRANCISCO AIRPORT COMMISSION
1,650,000 Intl. Airport Refunding Bonds ......................... 6.300% 05/01/11 1,773,750
SAN FRANCISCO PUB. UTILITY COMMISSION
2,000,000 Water Revenue Bonds ................................... 5.000% 11/01/15 1,927,500
SAN FRANCISCO BART DISTRICT
2,950,000 Sales Tax Rev. Refunding Series 1990 .................. 6.750% 07/01/11 3,455,187
SAN JOSE REDEVELOPMENT AGENCY
4,000,000 Merged Area Redevelopment Project ..................... 6.000% 08/01/10 4,410,000
S. J.-SANTA CLARA CLEAN WATER FIN. AUTH.
2,650,000 Sewer Revenue Bonds ................................... 11/15/15 5.375% 2,633,437
</TABLE>
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<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
<S> <C> <C> <C>
SAN MATEO COUNTY REG. TRANS. DISTRICT
$5,000,000 Sales Tax Revenue Bonds, 1993 A ....................... 5.250% 06/01/19 $4,950,000
REDEVELOPMENT AGENCY OF SANTA CLARA
4,000,000 Bayshore North Project Tax Allocation 1992 ............ 7.000% 07/01/10 4,765,000
SOUTH COAST AIR QUALITY MGMT. DISTRICT
2,400,000 Installment Sale Revenue Bonds, Series 1992 ........... 6.000% 08/01/11 2,634,000
SOUTHERN CA PUBLIC POWER AUTHORITY
5,000,000 Multiple Project Revenue Bonds, 1989 .................. 6.750% 07/01/13 5,687,500
SWEETWATER AUTHORITY
3,240,000 Water Revenue Bonds, Series 1994 ...................... 5.250% 04/01/10 3,325,050
TURLOCK IRRIGATION DISTRICT
2,000,000 Revenue Refunding Bonds, 1996 Series A ................ 6.250% 01/01/12 2,225,000
UNIVERSITY OF CALIFORNIA, REGENTS OF
3,000,000 UCLA Central Chiller/Cogeneration Facility ............ 10.000% 11/01/03 3,877,500
2,815,000 Revenue Bonds, Housing System ......................... 5.500% 11/01/09 2,924,081
------------
Total Long-term Securities
(cost $184,451,661) ......................... 197,423,970
------------
VARIABLE RATE DEMAND NOTES** (5.75%)
CA HEALTH FACILITIES FINANCE AUTHORITY
2,000,000 St. Joseph's Health Systems, Series 1991B ............. 3.400% 09/02/97 2,000,000
CA POLLUTION CONTROL FINANCE AUTHORITY
500,000 Southern California Edison 1986A ...................... 3.500% 09/02/97 500,000
IRVINE, CITY OF
1,700,000 Limited Obligation Improvement Bonds, Series A ........ 3.400% 09/02/97 1,700,000
IRVINE RANCH WATER DISTRICT
100,000 Consolidated Series 1991 .............................. 3.400% 09/02/97 100,000
3,600,000 Consolidated Series 1995 .............................. 3.400% 09/02/97 3,600,000
NEWPORT BEACH, CITY OF
3,400,000 Newport Beach Hoag Memorial Hospital, Series 1992 ..... 3.400% 09/02/97 3,400,000
ORANGE COUNTY WATER DISTRICT
900,000 Variable Rate Certificates of Participation, 1990 Prj.B 3.500% 09/02/97 900,000
Total Variable Rate Demand Notes
(cost $12,200,000) .......................... 12,200,000
------------
Total Investments (98.79%)
(cost $196,651,661) (a) .............. 209,623,970
Other Net Assets (1.21%)........................ 2,574,423
------------
Net Assets (100.00%) ..................... $212,198,393
============
</TABLE>
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(a) Aggregate cost for federal income tax purposes is $196,651,661. At August
31, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
** Stated maturity reflects next reset date.
Unrealized appreciation .................. $12,992,954
Unrealized depreciation .................. (20,645)
-----------
Net unrealized appreciation ............ $12,972,309
===========
See accompanying notes to financial statements
5
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CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (97.22%)
<S> <C> <C> <C>
ANAHEIM , CITY OF
$500,000 Electric Revenue Bonds ................................ 5.000% 10/01/03 $516,250
CABRILLO UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1996 Series A ............... 4.700% 08/01/03 405,500
CALIFORNIA EDUCATIONAL FACILITES AUTH.
400,000 University of Santa Clara ............................. 4.700% 09/01/04 406,500
CALIFORNIA, STATE OF
300,000 General Obligation Bonds .............................. 5.750% 10/01/05 325,500
STATE PUBLIC WORKS BOARD
600,000 Energy Efficiency Revenue Bonds 1995 Series A ......... 5.250% 10/01/03 626,250
640,000 Refunding Bonds, Dept. of Corrections ................. 5.250% 12/01/06 670,400
600,000 College and University Housing Revenue ................ 4.900% 11/01/03 615,000
CONTRA COSTA WATER DISTRICT
750,000 Water Revenue Bonds, Series E ......................... 5.800% 10/01/02 801,563
CONTRA COSTA TRANSPORTATION AUTHORITY
500,000 Sales Tax Revenue Bonds 1995 Series A ................. 6.000% 03/01/03 539,375
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project ............... 6.250% 12/01/04 435,500
DESERT SANDS UNIFIED SCHOOL DISTRICT
500,000 Certificates of Participation, Series 1995 ............ 5.300% 03/01/07 520,000
EAST BAY CA MUNICIPAL UTILITY DISTRICT
500,000 Water Revenue Refunding Bonds ......................... 6.000% 06/01/03 540,625
ELSINOR VALLEY CA WATER DISTRICT
500,000 Certificates of Particpation, Series A ................ 5.900% 07/01/05 543,125
FREMONT UNIFIED SCHOOL DISTRICT
500,000 General Obligation Bonds .............................. 4.375% 09/01/16 499,375
LA, CITY OF
500,000 General Obligation Bonds, 1994 Seires A ............... 5.600% 09/01/05 535,000
LA DEPARTMENT OF AIRPORTS
700,000 Revenue Refunding Bonds ............................... 6.500% 05/15/03 774,375
LA UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1997 Series A ............... 6.000% 07/01/07 439,500
275,000 General Obligation Bonds, 1997 Series A ............... 6.000% 07/01/08 301,813
LA, CITY OF
500,000 Wastewater System, Series 1994-A ...................... 8.500% 06/01/03 600,625
LA COUNTY TRANS. COMMISSION
550,000 Sales Tax Revenue Bonds ............................... 5.900% 07/01/07 605,000
NORTHERN CA, TRANS. AGENCY OF
700,000 California/Oregon Transmission Proj., Rev. Bonds ...... 6.100% 05/01/03 759,500
OAK PARK UNIFIED SCHOOL DISTRICT
600,000 General Obligation, Refunding Bonds ................... 5.150% 05/01/07 618,750
ORANGE COUNTY LOCAL TRANS. AUTHORITY
500,000 Limited Tax Bonds, 1994 ............................... 9.500% 02/15/03 618,750
RIO LINDA UNIFIED SCHOOL DISTRICT
300,000 General Obligation Bonds .............................. 6.150% 08/01/03 326,250
RIVERSIDE, CITY OF
550,000 Sewer Revenue Refunding Bonds, Series 1993 ............ 4.800% 08/01/01 561,688
RIVERSIDE COUNTY TRANSPORTATION COMM.
260,000 Sales Tax Revenue Bonds, 1993 Series A ................ 5.500% 06/01/04 276,250
ROCKLIN UNIFIED SCHOOL DISTRICT
535,000 General Obligation Bonds .............................. 5.000% 09/01/04 553,725
SACRAMENTO MUNICIPAL WATER DISTRICT
500,000 Electric Revenue Refunding Bonds ...................... 5.100% 11/15/03 518,125
COUNTY OF SACRAMENTO PFA
400,000 Main Detention Facility Certificates of Participation . 5.300% 06/01/04 419,000
SAN DIEGO COUNTY REG. TRANS COMM.
600,000 Second Senior Sales Tax Revenue Bonds ................. 5.000% 04/01/03 616,500
</TABLE>
6
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<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
<S> <C> <C> <C>
SAN DIEGO COUNTY WATER AUTHORITY
$600,000 Water Revenue Refunding COP Series 1993A .............. 5.500% 05/01/05 $636,000
SAN FRANCISCO, CITY & COUNTY
500,000 Hall Improvement Project, Series A .................... 5.100% 06/15/06 518,125
450,000 School District Facilities Improvement, Series B ...... 6.500% 06/15/05 508,500
SAN FRANCISCO AIRPORT COMMISSION
455,000 Refunding Revenue Bonds ............................... 5.150% 05/01/03 470,356
SAN FRANCISCO, CITY & COUNTY
500,000 Sewer Revenue Refunding Bonds Series 1992 ............. 5.500% 10/01/02 527,500
SAN JOSE REDEVELOPMENT AGENCY
500,000 Tax Allocation Bonds .................................. 6.000% 08/01/06 551,875
SAN MATEO JOINT POWERS AUTHORITY
400,000 Refunding Revenue Bonds, 1993 Series A ................ 5.100% 08/01/03 412,500
SANTA ROSA, CITY OF
400,000 Wastewater Revenue Refunding Bonds, Series A .......... 5.125% 09/01/05 413,000
SIGNAL HILL REDEVELOPMENT AGENCY
500,000 Signal Hill Project No. 1, 1993 ....................... 5.200% 10/01/03 521,875
SOUTHERN CA PUBLIC POWER AUTHORITY
500,000 Transmission Project Revenue Bonds, Series A .......... 6.000% 07/01/04 544,375
SOUTH COUNTY REGIONAL WASTEWATER
390,000 Revenue Bonds, Gilroy Series 1992A .................... 5.900% 08/01/06 418,762
UNIVERSITY OF CALIFORNIA, REGENTS OF
650,000 Housing System Revenue Bonds .......................... 5.000% 11/01/02 670,312
500,000 Multi-purpose Projects, Series C ...................... 10.000% 09/01/02 626,250
VISALIA, CITY OF
500,000 Wastewater System Revenue Bonds ....................... 5.900% 12/01/05 546,875
WISEBURN SCHOOL DISTRICT
325,000 General Obligation Bonds, 1997 Series A ............... 6.875% 08/01/05 374,968
------------
Total Long-term Securities
(cost $22,996,376) .......................... 23,711,090
------------
VARIABLE RATE DEMAND NOTES** (1.23%)
IRVINE RANCH WATER DISTRICT
100,000 Consolidated Series, 1985B ............................ 3.400% 09/02/97 100,000
NEWPORT BEACH, CITY OF
200,000 Newport Beach Hoag Memorial Hos., Series 1996 ......... 3.400% 09/02/97 200,000
Total Variable Rate Demand Notes ------------
(cost $300,000) ............................. 300,000
------------
Total Investments (98.45%)
(cost $23,296,376) (a) .................. 24,011,087
Other Net Assets (1.55%) ................... 378,667
------------
Net Assets (100.00%) .................... $ 24,389,754
============
</TABLE>
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** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $23,296,376. At August
31, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation .................. $ 721,345
Unrealized depreciation .................. (6,634)
----------
Net unrealized appreciation .............. $ 714,711
==========
See accompanying notes to financial statements
7
<PAGE>
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
Government National Mortgage Association (49.82%)
$ 959,045 6.500% 05/15/11 $ 952,657
1,877,800 6.500% 03/15/26 1,815,514
938,535 6.500% 01/15/26 907,404
953,780 6.500% 03/15/11 947,428
989,539 6.500% 03/15/26 956,716
970,726 6.500% 05/15/11 964,261
975,613 6.500% 04/15/26 943,251
975,895 6.500% 04/15/26 943,524
851,705 7.000% 04/15/24 846,186
943,892 7.000% 03/15/26 933,274
1,897,739 7.000% 01/15/26 1,876,389
940,985 7.000% 04/15/26 931,735
952,484 7.000% 05/15/26 943,121
1,052,760 7.000% 10/15/11 1,063,003
409,429 9.000% 10/15/18 434,763
45,326 10.000% 10/15/10 49,179
7,757 10.000% 07/15/13 8,416
40,297 10.000% 09/15/18 44,176
20,816 11.250% 07/15/13 23,054
-----------
Total Government National Mortgage Association (cost $15,331,633) 15,584,051
-----------
United States Treasury Bonds (23.27%)
2,150,000 7.875% 02/15/21 2,446,971
2,000,000 8.125% 02/15/21 2,335,626
2,000,000 8.875% 02/15/19 2,494,376
-----------
Total United States Treasury Bonds (cost $7,449,134)............ 7,276,973
-----------
United States Treasury Notes (17.93%)
400,000 5.875% 11/30/01 395,125
2,000,000 6.250% 02/15/07 1,980,625
2,100,000 6.500% 10/15/06 2,113,782
1,100,000 6.625% 04/30/02 1,117,188
-----------
Total United States Treasury Notes (cost $5,612,243) ........... 5,606,720
-----------
United States Treasury Bills (1.90%)
400,000 5.220% 11/13/97 395,843
200,000 5.570% 09/18/97 199,502
-----------
Total United States Treasury Bills (cost $595,345).............. 595,345
-----------
United States Treasury Strips (6.39%)
4,000,000 0.00% 05/15/08 1,999,336
-----------
Total United States Treasury Strips (cost $2,069,506) .......... 1,999,336
-----------
Total Investments (cost $31,057,861) (a) (99.31%) .............. 31,062,425
Other Net Assets (0.69%)........................................ 214,362
-----------
Net Assets (100.00%)........................................ $31,276,787
===========
- ------------
(a) Aggregate cost for federal income tax purposes is $31,057,861. At August
31, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation .................. $354,437
Unrealized depreciation .................. (349,873)
---------
Net unrealized appreciation............. $ 4,564
=========
See accompanying notes to financial statements
8
<PAGE>
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
August 31, 1997
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
United States Treasury Bills (99.99%)
$ 19,200,000 5.380% 09/04/97 $ 19,191,627
18,000,000 5.290% 09/11/97 17,973,967
25,750,000 5.570% 09/18/97 25,685,541
10,500,000 5.030% 10/02/97 10,005,994
15,700,000 5.390% 10/09/97 15,614,635
3,000,000 5.020% 10/16/97 2,981,175
3,000,000 5.060% 11/06/97 2,972,170
3,500,000 5.220% 11/13/97 3,462,616
100,000 5.388% 11/20/97 98,884
3,300,000 5.180% 12/04/97 3,255,867
3,300,000 5.140% 12/11/97 3,252,690
------------
Total Investments (cost $104,495,166) (a)(99.99%) ........... 104,495,166
Other Net Assets (0.01%)..................................... 13,810
------------
Net Assets (100.00%) ...................................... $104,508,976
============
- ------------
(a) Cost for federal income tax purposes is $ 104,495,166.
See accompanying notes to financial statements
9
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1997
Shares Value
------ -----
COMMON STOCK (85.26%)
Capital Goods (5.07%)
Production (1.30%)
250 Briggs & Stratton ................................ $ 12,078
3,360 Caterpillar Inc. ................................. 195,090
350 Cincinnati Milacron Inc. ......................... 9,013
940 Cooper Industries ................................ 50,114
2,240 Deere & Co. ...................................... 125,440
1,100 Dover Co. ........................................ 75,969
300 FMC Corp.* ....................................... 24,919
350 Foster Wheeler Corp. ............................. 15,991
2,120 Illinois Tool Works .............................. 102,555
950 Ingersol Rand Co. ................................ 57,119
1,000 Pall Corp. ....................................... 23,688
640 Parker Hannifin .................................. 41,160
390 Raychem .......................................... 36,294
540 Timken Co. ....................................... 20,216
5,560 Westinghouse Electric ............................ 143,170
----------
932,816
----------
Machinery (Agriculture & Construction) (.06%)
630 Case Equipment ................................... 42,249
----------
Machinery (Industrial) (0..09%)
410 Harnischfeger .................................... 16,451
1,187 Thermo Electron Corp.* ........................... 47,777
----------
64,228
----------
Pollution Control (0.28%)
1,850 Browning Ferris .................................. 64,634
4,270 Waste Management Inc. ............................ 136,640
----------
201,274
----------
Electrical Equipment (2.98%)
1,908 AMP Inc. ......................................... 95,400
3,900 Emerson Electric Co. ............................. 213,281
28,680 General Electric ................................. 1,792,500
440 Grainger WW Inc. ................................. 39,078
----------
2,140,259
----------
Transportation Equipment (0.04%)
340 Cummins Engine ................................... 26,159
----------
Conglomerate (0.32%)
1,480 Tenneco, Inc. .................................... 71,873
2,120 Tyco international, LTD .......................... 166,287
----------
238,160
----------
Total Capital Goods .............................. 3,645,145
----------
Consumer Cyclical (6.75%)
Housing (0.09%)
1,703 Costco Companies Inc.* ........................... 61,414
340 Kaufman & Broad Corp. ............................ 6,800
----------
68,214
----------
Building Material (0.05%)
720 Johnson Controls ................................. 34,335
----------
Auto & Truck (1.92%)
250 Aeroquip-Vickers, Inc. ........................... 13,969
6,330 Chrysler ......................................... 222,341
880 Dana ............................................. 40,535
670 Eaton Corp. ...................................... 60,342
500 Echlin Corp. ..................................... 18,531
10,270 Ford Motor Co. ................................... 441,610
6,570 General Motors Corp. ............................. 412,268
1,575 Genuine Parts Co. ................................ 48,628
1,020 ITT Industries ................................... 32,130
670 Paccar Inc. ...................................... 31,741
1,120 TRW Inc. ......................................... 58,380
----------
1,380,475
----------
Auto Part (0.05%)
1,200 Autozone, Inc.* .................................. 33,900
----------
Tire & Rubber (0.17%)
730 Cooper Tire and Rubber Co. ....................... 18,341
470 Goodrich, B.F. Co. ............................... 19,799
1,350 Goodyear Tire & Rubber ........................... 83,194
----------
121,334
----------
Appliance (0.21%)
360 Armstrong World Ind. ............................. 24,638
1,180 Black and Decker ................................. 45,209
880 Maytag Corp. ..................................... 24,145
530 Snap-On Inc. ..................................... 22,260
650 Whirlpool Corp. .................................. 37,213
----------
153,465
----------
Household Products (0.11%)
1,804 Federated Dept. Stores* .......................... 75,768
----------
Textile & Apparel (0.46%)
1,406 CVS Corp. ........................................ 79,263
640 Liz Claiborne Inc. ............................... 28,520
2,490 Nike Class B ..................................... 132,904
500 Reebok International Ltd. ........................ 21,969
330 Russell Co. ...................................... 9,405
180 Spring Industries ................................ 8,460
550 VF Corp. ......................................... 48,606
----------
329,127
----------
Retail-General (3.53%)
650 American Greetings Corp. ......................... 22,588
2,940 American Stores Co. .............................. 69,641
800 Charming Stores Inc.* ............................ 4,825
850 Circuit City Stores .............................. 30,281
1,880 Dayton Hudson Corp. .............................. 107,160
990 Dillard Dept. Stores Class A ..................... 39,600
2,490 Gap Inc. ......................................... 110,649
520 Giant Foods ...................................... 16,900
330 Great Atlantic & Pacific ......................... 8,271
6,244 Home Depot ....................................... 294,662
340 Jostens .......................................... 8,203
2,540 Kroger* .......................................... 76,518
1,500 Lowes Cos. ....................................... 51,844
2,170 May Dept. Stores ................................. 116,773
300 Mercantile Stores Co. ............................ 18,731
710 Nordstrom Inc. ................................... 41,535
2,230 Penney, JC Co. ................................... 133,800
540 Pep Boys-Manny, Mo, Jack ......................... 14,310
1,060 Rite Aid Corp. ................................... 53,066
3,400 Sears Robuck & Co. ............................... 192,950
590 Supervalu Inc. ................................... 23,158
520 Tandy Corp. ...................................... 34,515
2,355 The Limited Ltd. ................................. 53,576
10
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Retail-General (Continued)
1,260 TJX Cos, Inc. .................................... $ 34,650
2,380 Toys R Us, Inc.* ................................. 82,259
19,920 Wal-Mart Stores Inc. ............................. 707,160
4,280 Walgreen Co. ..................................... 115,293
1,320 Winn-Dixie Stores Inc. ........................... 44,468
1,160 Woolworth Corp.* ................................. 25,955
----------
2,533,341
----------
Lodging (0.16%)
1,416 HFS, Inc.* ....................................... 78,853
1,460 Mirage Resorts Inc.* ............................. 39,146
----------
117,999
----------
Total Consumer Cyclical .......................... 4,847,958
----------
Consumer Non-Durable (22.70%)
Health Care (0.66%)
490 Bausch & Lomb Inc. ............................... 20,121
800 Beverly Enterprises* ............................. 13,050
1,000 Biomet Inc. ...................................... 20,750
2,000 Corning Corp. .................................... 105,750
550 Manor Care ....................................... 16,981
2,360 Warner-Lambert Co. ............................... 299,868
----------
476,520
----------
Consumer Product (0.19%)
1,480 Cognizant Corp. .................................. 62,160
1,380 Newell Co. ....................................... 54,338
540 Tupperware Corp. ................................. 18,124
----------
134,622
----------
Food, Beverage & Tobacco (6.11%)
4,975 Archer-Daniels-MidLand Co. ....................... 107,582
4,070 Campbell Soup .................................... 188,746
21,660 Coca-Cola ........................................ 1,241,389
2,110 Conagra Inc. ..................................... 135,699
1,260 CPC International ................................ 112,298
1,370 Darden Restaurants ............................... 13,786
330 Fleming Cos., Inc. ............................... 6,229
1,480 Fortune Brands, Inc. ............................. 50,875
1,380 General Mills .................................... 88,493
3,210 H J Heinz Co. .................................... 133,616
1,340 Hershey Foods .................................... 71,523
3,680 Kellogg Co. ...................................... 164,680
1,000 Loews Corp. ...................................... 101,938
13,610 Pepsi Co. ........................................ 489,960
21,330 Philip Morris Co., Inc. .......................... 930,521
820 Pioneer Hi-Bred Int. ............................. 70,264
1,180 Quaker Oats ...................................... 55,460
920 Ralston-Ralston Purina Grp. ...................... 82,800
4,220 Sara Lee Corp. ................................... 169,855
1,580 Sysco Corp. ...................................... 56,090
1,630 UST Inc. ......................................... 47,066
1,010 Wrigley Wm Jr. ................................... 73,225
----------
4,392,095
----------
Retail-Food & Drugs (0.20%)
2,190 Albertson's Inc. ................................. 75,281
4,220 K Mart * ......................................... 58,553
340 Longs Drug Stores ................................ 8,606
----------
142,440
----------
Communications & Media (1.33%)
780 Andrew Corp.* .................................... 19,403
800 Clear Channel Comm.* ............................. 54,350
2,686 Comcast Corp CLA Spec. ........................... 62,953
400 Comcast Corp CLA ................................. 9,300
840 Dow Jones & Co. .................................. 35,963
1,220 Gannett Co., Inc. ................................ 118,874
630 Harcourt General Inc. ............................ 29,964
1,665 Interpublic Group Cos. Inc. ...................... 81,169
830 Knight Ridder Inc. ............................... 42,019
850 New York Times Class A ........................... 40,163
5,670 TeleCommunications Inc.A* ........................ 99,225
4,942 Time Warner Inc. ................................. 254,513
900 Times Mirror Co. A-New ........................... 45,619
1,300 Tribune Co. ...................................... 64,269
----------
957,784
----------
Entertainment & Leisure (0.78%)
850 Brunswick Corp. .................................. 25,925
1,125 Hasbro, Inc. ..................................... 30,234
330 King World Productions, Inc. ..................... 13,118
2,562 Mattel CS ........................................ 85,667
6,070 McDonalds Corp. .................................. 287,187
64 Viacom Inc. Cl A* ................................ 1,888
3,034 Viacom Inc. Cl B* ................................ 89,882
1,120 Wendys International ............................. 26,950
----------
560,851
----------
Apparel (0.03%)
660 Fruit of the Loom* ............................... 17,655
430 Stride Rite Corp. ................................ 5,106
----------
22,761
----------
Drugs (7.38%)
6,780 Abbott Labs ...................................... 406,376
570 Allergan ......................................... 18,454
730 Alza Corp. Class A* .............................. 21,170
5,530 Amer Home Products Corp. ......................... 398,160
490 Bard C.R. Inc. ................................... 16,905
2,370 Baxter International, Inc. ....................... 126,054
1,260 Becton Dickinson Co. ............................. 60,401
8,720 Bristol-Meyer/Squibb ............................. 662,720
600 Guidant Corp. .................................... 52,688
1,410 Humana Inc.* ..................................... 33,223
11,580 Johnson & Johnson ................................ 656,441
4,750 Lilly, Eli & Co. ................................. 496,969
2,080 Medtronic Inc. ................................... 187,980
10,570 Merck & Co. ...................................... 970,458
11,160 Pfizer, Inc. ..................................... 617,985
4,420 Pharmacia & Upjohn, Inc. ......................... 150,556
6,420 Schering Plough Corp. ............................ 308,160
1,170 St. Jude Medical * ............................... 44,533
2,587 Tenet Healthcare Corp.* .......................... 70,496
----------
5,299,729
----------
Hospital Supply & Service (0.02%)
540 US Surgical Corp. ................................ 17,786
----------
Cosmetic & Soap (2.17%)
480 Alberto-Culver Co. Cl B .......................... 14,010
1,160 Avon Products, Inc. .............................. 74,313
450 Clorox ........................................... 59,063
2,560 Colgate Palmolive Co. ............................ 160,640
4,900 Gillette Co. ..................................... 405,781
960 Int'l Flavors & Fragrance ........................ 49,080
5,960 Proctor & Gamble ................................. 793,052
----------
1,555,939
----------
11
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
COMMON STOCK (85.26%)
Liquor (0.52%)
4,310 Anheuser-Busch Cos., Inc. ........................ $183,714
600 Brown Foreman Cl. B .............................. 28,950
1,310 Coors (Adolph) ................................... 48,306
3,250 Seagrams LTD ..................................... 113,547
----------
374,517
----------
Travel & Recreation (0.97%)
3,415 CUC International, Inc.* ......................... 80,253
300 Fleetwood Enterprises ............................ 9,338
890 Harrahs Entertainment, Inc.* ..................... 19,969
2,100 Hilton Hotels Corp. .............................. 64,444
1,110 Marriot Intl. .................................... 73,884
5,894 Walt Disney Co. .................................. 452,733
----------
700,621
----------
Printing & Publishing (0.16%)
1,330 Donnelley, RR & Sons ............................. 51,787
860 McGraw Hill Cos., Inc. ........................... 52,729
400 Meredith Corporation ............................. 12,000
----------
116,516
----------
Business Service (1.39%)
400 Autodesk Inc. .................................... 17,500
2,520 Automatic Data Proc., Inc. ....................... 114,818
590 Ceridian Corporation.* ........................... 20,392
5,840 Cisco Systems Inc.* .............................. 440,190
3,160 Computer Associates .............................. 211,325
650 Computer Sciences* ............................... 48,344
860 Deluxe Corp. ..................................... 28,326
1,480 Dunn & Bradstreet ................................ 41,440
900 H&R Block ........................................ 35,325
270 Harland, John H Co. .............................. 5,349
870 Moore Corp. ...................................... 17,237
410 National Service Inds. ........................... 18,143
----------
998,389
----------
Office Products (0.07%)
1,140 Avery Dennisson Co. .............................. 46,811
----------
Health Care Service (0.72%)
1,697 Boston Scientific* ............................... 119,639
950 Cardinal Health, Inc. ............................ 62,938
5,830 Columbia/HCA Hthcare Corp. ....................... 184,009
2,786 Healthsouth Corp.* ............................... 69,476
1,600 United Healthcare Corp. .......................... 77,800
---------
513,862
----------
Total Consumer Non-Durable ....................... 16,311,243
----------
Banking & Financial Service (13.62%)
Bank & Bank Holding Cos. (6.73%)
5,050 Banc One Corp. ................................... 270,806
3,350 Bank of New York ................................. 149,494
6,260 BankAmerica ...................................... 411,986
1,320 BankBoston Corp. ................................. 109,725
700 Bankers Trust New York ........................... 72,625
1,680 Barnett Bank Inc. ................................ 114,450
3,788 Chase Manhattan Corp. ............................ 421,178
4,172 Citicorp ......................................... 532,452
1,000 Comerica ......................................... 70,813
1,930 Corestates Financial ............................. 118,695
1,380 Fifth Third Bancorp .............................. 80,730
2,748 First Chicago NBD Corp. .......................... 197,169
4,800 First Union Corp. ................................ 230,700
2,285 Fleet Financial Group, Inc. ...................... 147,240
1,230 Huntington Bancshares ............................ 39,821
2,260 Mellon Bank ...................................... 108,763
1,620 Morgan, J.P. & Co., Inc. ......................... 173,745
6,660 Nations Bank Corp. ............................... 395,438
3,220 Norwest Corp. .................................... 184,949
2,960 PNC Financial Corp. .............................. 128,020
480 Republic New York Corp. .......................... 51,390
1,700 State Street Corp. ............................... 84,788
1,940 Sun Trust Banks, Inc. ............................ 121,250
2,206 U.S. Bancorp ..................................... 193,207
1,450 Wachovia Corp. ................................... 90,263
2,171 Washington Mutual ................................ 129,989
813 Wells Fargo & Co. ................................ 206,705
----------
4,836,391
----------
Savings & Loan (0.34%)
6,200 Freddie Mac ...................................... 201,888
500 Golden West Financial ............................ 41,156
----------
243,044
----------
Finance Company (1.68%)
1,300 Ahmanson, HF & Co. ............................... 65,975
4,120 American Express Co. ............................. 320,330
470 Beneficial Corp. ................................. 33,634
800 Household International .......................... 88,750
2,940 Merrill Lynch .................................... 180,810
1,930 National City Corp. .............................. 109,045
910 Salomon Inc. ..................................... 54,486
5,563 Travelers Group, Inc. ............................ 353,250
----------
1,206,280
----------
Insurance (3.46%)
1,304 Aetna Life & Cas. Co. ............................ 124,450
3,867 Allstate Corp. ................................... 282,533
2,112 American General Corp. ........................... 101,772
6,462 American Intl. Group ............................. 609,851
1,410 AON Corporation .................................. 71,822
1,510 Chubb Group ...................................... 100,981
660 Cigna Corp C ..................................... 121,028
720 General RE Corp. ................................. 139,590
1,020 Hartford Group ................................... 81,345
620 Jefferson Pilot .................................. 43,129
2,003 Keycorp New ...................................... 121,432
910 Lincoln National Corp. ........................... 60,913
1,260 Marsh & McClennan Co. ............................ 85,995
370 MBIA, Inc. ....................................... 41,903
1,000 MGIC Investment .................................. 50,313
600 Progressive Corp. ................................ 59,400
810 Providian Corp. .................................. 30,173
1,100 Safeco Corp. ..................................... 54,038
730 St. Paul Companies ............................... 53,564
1,400 Sunamerica ....................................... 75,425
1,240 Torchmark Corp. .................................. 46,733
570 TransAmerica Corp. ............................... 56,181
1,280 Unum Corp. ....................................... 52,800
1,020 USF&G ............................................ 22,376
----------
2,487,747
----------
Financial Services (1.41%)
1,400 Charles Schwab Corp. ............................. 59,413
1,500 Conseco, Inc. .................................... 64,500
12
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Financial Services (continued)
870 Countrywide Credit Ind Inc. ...................... $ 29,308
1,200 Equifax .......................................... 35,325
9,490 Fed Natl. Mtge. Assn. ............................ 417,560
1,190 Green Tree Financial Corp. ....................... 52,286
2,902 MBNA Corporation ................................. 111,546
5,038 Morgan Stanley Group ............................. 242,454
----------
1,012,392
----------
Total Banking & Financial Services ............... 9,785,854
----------
Utility (7.14%)
Electric(0.80%)
1,374 Cinergy Corp. .................................... 45,428
2,040 Consolidated Edison .............................. 62,475
3,128 Duke Power ....................................... 151,512
3,810 Edison International ............................. 91,916
1,375 GPU, Inc. ........................................ 46,234
2,560 Pacificorp ....................................... 53,120
300 Peoples Energy Corp. ............................. 11,306
2,085 Texas Utilities .................................. 72,714
1,080 Union Electric Co. ............................... 40,163
----------
574,868
----------
Telephone(4.83%)
1,650 Alltell Corp. .................................... 52,181
14,010 AT&T ............................................. 546,390
4,770 Ameritech Corp. .................................. 299,019
6,726 Bell Atlantic .................................... 486,800
8,630 Bell South Corp. ................................. 379,720
1,010 DSC Comm. Corp.* ................................. 29,416
1,370 Frontier Corp. ................................... 30,226
8,410 GTE Corp. ........................................ 374,771
5,970 MCI Communications ............................... 170,145
8,010 SBC Communications ............................... 435,544
3,740 Sprint Corporation Com. .......................... 175,780
4,150 US West, Inc. .................................... 148,622
5,426 US West Media Group, Inc.* ....................... 108,520
7,672 Worldcom, Inc.* .................................. 229,681
----------
3,466,815
----------
Energy (1.51%)
1,630 American Elect. Pwr. Co. ......................... 71,211
1,280 Baltimore Gas & Electric ......................... 34,560
1,310 Carolina Power & Light ........................... 44,213
1,830 Central & S/W Corp. .............................. 37,858
920 Coastal Corp. .................................... 53,130
820 Consolidated Natural Gas ......................... 48,431
1,550 Dominion Resources ............................... 55,800
1,310 DTE Energy Co. ................................... 38,809
1,980 Entergy Corp. New ................................ 49,129
1,590 FPL Group, Inc. .................................. 73,935
3,392 Houston Industries ............................... 68,688
1,360 Niagara Mohawk Power* ............................ 12,155
430 Nicor ............................................ 15,614
920 Northern States Power ............................ 44,275
1,330 Ohio Edison ...................................... 29,260
740 Pacific Enterprises .............................. 24,374
1,930 PECO Energy Co. .................................. 45,958
3,610 PG&E ............................................. 83,707
2,120 Public Services Enterprises ...................... 52,603
750 Sonat Inc. ....................................... 37,359
5,850 Southern Co. ..................................... 123,216
1,870 Unicom Corp. ..................................... 44,179
----------
1,088,464
----------
Total Utilities .................................. 5,130,147
----------
Service(0.23%)
Distributor (0.04%)
1,130 IKON Office Solution ............................. 29,380
----------
Consumer (0.09%)
2,050 Service Corp. International ...................... 65,600
----------
Environmental Services (0.06%)
2,720 Laidlaw .......................................... 39,780
----------
Miscellaneous (0.04%)
1,400 PP&L Resources, Inc. ............................. 30,712
----------
Total Service .................................... 165,472
----------
Transportation (1.13%)
Air Transportation (0.37%)
790 AMR Corp.* ....................................... 79,593
650 Delta Airlines ................................... 56,225
1,080 Federal Express* ................................. 71,753
1,260 Southwest Airlines Co. ........................... 35,280
690 US Air Group, Inc.* .............................. 23,546
----------
266,397
----------
Railroad (0.69%)
1,325 Burlington No./Santa Fe .......................... 121,486
1,840 CSX Corp. ........................................ 105,225
1,090 Norfolk Southern Co. ............................. 106,820
2,120 Union Pacific Corp. .............................. 137,668
910 Whitman Corp. .................................... 22,295
----------
493,494
----------
Trucking (0.07%)
300 Caliber System, Inc. ............................. 12,525
570 Navistar Intl.* .................................. 14,143
710 Ryder System ..................................... 25,338
----------
52,006
----------
Total Transportation ............................. 811,897
----------
Manufacturing (7.71%)
Consumer Durable (0.35%)
680 Eastman Chemical Co. ............................. 40,672
2,930 Eastman Kodak .................................... 191,549
400 Polaroid Corp. ................................... 21,125
----------
253,346
----------
Building & Housing (0.26%)
250 Centex Corp. ..................................... 13,594
310 Crane Co. ........................................ 13,679
730 Fluor Corp. ...................................... 40,971
1,400 Masco Co. ........................................ 62,213
450 Owens Corning .................................... 18,253
210 Pulte Corp. ...................................... 7,691
770 Stanley Works .................................... 32,773
----------
189,174
----------
13
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Chemical (2.55%)
970 Air Products & Chem. Inc. ........................ $ 79,116
2,130 Dow Chemical ..................................... 188,505
9,740 Dupont De Nemours & Co. .......................... 606,924
560 Ecolab, Inc. ..................................... 25,235
770 Grace WR & Co. ................................... 52,986
550 Great Lakes Chemical ............................. 25,575
930 Hercules ......................................... 48,069
870 Millipore Corp. .................................. 43,065
5,090 Monsanto Co. ..................................... 223,642
1,320 Morton Intl. Co. ................................. 43,890
580 Nalco Chemical ................................... 23,200
1,620 PPG Industries ................................... 102,060
1,350 Praxair, Inc. .................................... 72,141
640 Rohm & Haas Co. .................................. 61,320
1,300 Rubbermaid Inc. .................................. 32,500
510 Safety Kleen ..................................... 10,296
1,500 Sherwin Williams ................................. 41,156
860 Sigma-Aldrich Corp. .............................. 28,058
1,130 Union Carbide Corp. .............................. 57,983
1,362 Williams Cos. .................................... 63,418
----------
1,829,139
----------
Diversified (0.48%)
1,020 ITT Corp.* ....................................... 64,069
1,390 Unilever (NY Shares) ............................. 279,738
----------
343,807
----------
Capital Good (0.02%)
440 Keystone Intermational Inc. ...................... 16,583
----------
Paper & Forest Products (1.22%)
420 Boise Cascade .................................... 16,616
830 Champion Intl. ................................... 49,126
1,640 Fort James Corp. ................................. 68,880
790 Georgia Pacific Co. .............................. 72,088
2,609 International Paper .............................. 137,625
4,892 Kimberly Clark ................................... 232,064
940 Louisiana-Pacific Co. ............................ 20,798
450 Mead Corp. ....................................... 31,922
250 Potlatch Corp. ................................... 11,672
480 Temple Inland .................................... 30,960
600 Union Camp Co. ................................... 35,588
880 Westvaco Corp. ................................... 29,810
1,720 Weyerhaeuser Co. ................................. 99,330
480 Willamette Inds. ................................. 38,280
----------
874,759
----------
Metal & Mineral (0.35%)
1,982 Allegheny Teledyne, Inc. ......................... 61,194
800 Armco Inc.* ...................................... 4,750
960 Bethlehem Steel* ................................. 11,520
420 Inland Steel Inds. ............................... 8,846
760 Nucor Corp. ...................................... 43,083
2,500 USX-Marathon ..................................... 81,406
730 USX-US Steel ..................................... 25,641
790 Worthington Inds., Inc. .......................... 14,664
----------
251,104
----------
Container(0.20%)
260 Ball Corp. ....................................... 8,548
460 Bemis Co. ........................................ 20,211
1,110 Crown Cork & Seal ................................ 56,471
1,250 Owens-Illinois, Inc.* ............................ 43,516
860 Stone Container Corp. ............................ 14,835
----------
143,581
----------
Computer (0.69%)
550 Data General* .................................... 19,766
3,124 Dell Computer* ................................... 256,363
2,010 EMC Corp.* ....................................... 103,138
1,930 Seagate Technology* .............................. 73,702
1,502 Silicon Graphics, Inc.* .......................... 41,211
----------
494,180
----------
Non Ferrous Metal (0.59%)
1,960 Alcan Aluminum Ltd. .............................. 68,478
1,510 Aluminum Co. of Amer. ............................ 124,198
370 Asarco, Inc. ..................................... 11,378
1,250 Englehard Corp. .................................. 26,094
1,465 Inco Ltd. ........................................ 39,647
1,409 Newmont Mining Co. ............................... 59,618
570 Phelps Dodge ..................................... 45,849
640 Reynolds Metals .................................. 45,240
----------
420,502
Gold and Precious Metal (0.29%)
3,103 Barrick Gold Corp. ............................... 70,593
1,950 Battle Mountain Gold Co. ......................... 11,091
810 Cypress Amax Mineral Co. ......................... 20,453
1,210 Echo Bay Mines Ltd. .............................. 6,126
1,700 Freeport McMoran Cop.-B .......................... 47,600
1,270 Homestake Mining Co. ............................. 17,780
2,080 Placer Dome, Inc. ................................ 34,580
----------
208,223
----------
Miscellaneous (0.71%)
3,640 3M Co. ........................................... 327,145
1,560 Applied Materials, Inc.* ......................... 147,225
870 Mallinckrodt Group, Inc. ......................... 31,646
100 Nacco Industries Class A ......................... 8,625
----------
514,641
----------
Total Manufacturing .............................. 5,539,039
----------
Technology (13.18%)
Office Equipment (0.04%)
3,070 Novell* .......................................... 28,781
----------
Electronic (3.97%)
410 EG&G ............................................. 8,713
430 General Signal Co. ............................... 18,651
340 Harris Corp. ..................................... 29,623
9,178 Hewlett-Packard Co. .............................. 562,726
14,280 Intel Corp. ...................................... 1,315,545
5,150 Motorola, Inc. ................................... 377,881
1,200 National Semiconductor* .......................... 41,100
2,240 Northern Telecom ................................. 222,040
380 Perkin-Elmer Corp. ............................... 28,120
450 Tektronix, Inc. .................................. 25,003
1,650 Texas Instruments ................................ 187,481
600 Thomas & Betts Co. ............................... 33,600
----------
2,850,483
----------
Bio-Technology (0.16%)
2,300 Amgen* ........................................... 113,994
----------
Software (2.13%)
600 Adobe Systems Inc. ............................... 23,625
1,638 Bay Networks* .................................... 57,944
10,540 Microsoft Corp.* ................................. 1,393,256
14
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Software (continued)
1,200 Parametric Tech Co.* ............................. $ 55,725
----------
1,530,550
----------
Business-Machines & Software (3.20%)
1,050 Amdahl Corp.* .................................... 12,928
1,080 Apple Computer, Inc.* ............................ 23,490
1 Commscope Inc.* .................................. 12
5,850 Compaq Computers* ................................ 383,175
1,350 Digital Equipment* ............................... 58,050
1,100 Honeywell ........................................ 76,038
8,735 IBM .............................................. 881,143
1,190 Nextlevel Systems Inc.* .......................... 23,874
8,520 Oracle Systems* .................................. 324,825
1,300 Pitney Bowes Systems ............................. 99,288
3,200 Sun Microsystems* ................................ 153,600
1,020 Tandem Computer, Inc.* ........................... 34,680
1,510 Unisys Corp.* .................................... 17,082
2,820 Xerox Corp. ...................................... 212,910
----------
2,301,095
----------
Business Service (0.24%)
3,894 First Data ....................................... 159,897
200 Shared Medical Systems ........................... 9,800
----------
169,697
----------
Semi Conductor (0.23%)
1,170 Advanced Micro Devices* .......................... 43,802
1,320 LSI Logic Corp.* ................................. 42,488
1,810 Micron Technology, Inc. .......................... 80,658
----------
166,948
----------
Telecommunications (1.01%)
4,330 Airtouch Communications* ......................... 146,408
1,320 Cabletron Systems* ............................... 39,930
5,535 Lucent Technologies .............................. 431,038
670 Scientific-Atlanta Inc. .......................... 14,573
1,550 Tellabs, Inc.* ................................... 92,516
----------
724,465
----------
Aerospace Aircraft (1.60%)
2,460 Allied Signal, Inc. .............................. 203,104
8,493 Boeing ........................................... 462,338
550 General Dynamics Corp. ........................... 43,794
600 Northrop Gruman Corp. ............................ 70,238
1,900 Rockwell Intl. Corp. ............................. 114,000
1,400 Textron, Inc. .................................... 87,238
2,120 United Technologies Corp. ........................ 165,493
----------
1,146,205
----------
Telecom Equipment (0.41%)
1,736 Lockheed Martin Corp. ............................ 180,001
2,050 Raytheon ......................................... 112,750
----------
292,751
----------
Miscellaneous (0.19%)
2,870 3 Com Corporation* ............................... 143,321
----------
Total Technology ................................. 9,468,290
----------
Energy (7.75%)
Oil & Gas - Domestic (1.73%)
880 Amerada Hess Corp. ............................... $ 51,150
4,320 Amoco Corp. ...................................... 408,510
500 Anadarko Petroleum Corp. ......................... 36,719
740 Apache Corp. ..................................... 29,369
650 Ashland Inc. ..................................... 32,581
2,800 Atlantic Richfield ............................... 210,000
1,090 Burlington Resources, Inc. ....................... 55,181
480 Columbia Gas System, Inc. ........................ 31,680
220 Helmerich & Payne ................................ 15,538
430 Kerr McGee Co. ................................... 26,714
910 Oryx Energy * .................................... 24,058
400 Pennzoil ......................................... 30,875
2,290 Phillips Petroleum Co. ........................... 108,918
1,480 Sun Co. .......................................... 57,535
2,160 Unocal Corp. ..................................... 84,375
460 Western Atlas Inc.* .............................. 36,455
----------
1,239,658
----------
Oil & Gas International (4.83%)
5,670 Chevron Corp. .................................... 439,071
21,580 Exxon Corp. ...................................... 1,320,426
6,840 Mobil Corp. ...................................... 497,610
18,640 Royal Dutch Pet.-ADR ............................. 945,980
2,300 Texaco ........................................... 265,075
----------
3,468,162
----------
Oil & Gas Service (0.56%)
700 Rowan Cos.,Inc.* ................................. 20,913
4,260 Schlumberger ..................................... 324,559
2,164 Union Pacific Resources Grp. ..................... 54,100
----------
399,572
----------
Natural Gas (0.16%)
2,691 Enron ............................................ 103,781
240 Oneok, Inc. ...................................... 7,770
----------
111,551
----------
Energy Raw Material (0.47%)
1,570 Baker Hughes, Inc. ............................... 66,529
1,560 Dresser Inds. .................................... 65,130
180 Eastern Enterprises .............................. 6,424
2,168 Halliburton Co. .................................. 103,522
300 Louisiana Land & Explor. ......................... 22,969
480 McDermott International .......................... 15,480
2,810 Occidental Petroleum ............................. 65,830
----------
345,884
----------
Miscellaneous
1 General Semiconductor Inc.* ...................... 7
----------
Total Energy ..................................... 5,564,834
----------
Total Common Stocks
(Cost$39,338,497) ....................................... 61,269,879
----------
15
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Par
Value Value
----- -----
Short-Term Investments (14.43%)
United States Treasury Bills
$5,000,000 5.3163% 09/18/97 (b) ............................. $4,987,302
2,176,929 Portico U.S. Government Money Market Fund ........ 2,176,929
3,206,827 Portico Institutional Money Market Fund .......... 3,206,827
-----------
Total Short-Term Investments (Cost $10,371,058) .. 10,371,058
-----------
Total Investments (Cost $49,709,555)(99.70%) ..... 71,640,937
Other Net Assets (0.30%) ......................... 218,932
-----------
Net Assets (100.00%) .......................... $71,859,869
===========
- ------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $49,709,555. At August
31, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ......................... $ 22,526,074
Unrealized depreciation ......................... (594,692)
------------
Net unrealized appreciation ................. $ 21,931,382
------------
(b) At August 31, 1997, certain United States Treasury Bills with a market
value of $495,015 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1997 (Contracts-$500 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
------------
S&P 500 Stock Index:
5/December 97/Long ............................ $ (17,120)
17/September 97/Long .......................... 292,085
----------
$ 274,965
==========
See accompanying notes to financial statements
16
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1997
Shares Value
------ -----
COMMON STOCKS (89.02%)
Capital Goods (5.99%)
Production (0.12%)
1,000 Tecumseh Prod. Co. Cl. A ......................... $ 56,500
----------
Machinery-Agricult & Construction (0.21%)
3,129 AGCO Corp. ....................................... 101,693
----------
Machinery-Industrial (1.13%)
1,200 Albany Intl. Corp. Cl A .......................... 32,475
1,200 Borg-Warner Automotive ........................... 62,550
2,136 Flowserve Corporation ............................ 75,294
500 Lawson Products .................................. 13,500
1,600 Modine Manufacturing Co. ......................... 49,000
1,800 Stewart & Stevenson Svcs. ........................ 43,875
2,200 Watson Pharm, Inc.* .............................. 115,637
1,200 Watts Industry ................................... 29,250
2,200 York Intl. Corp. New Com. ........................ 98,725
----------
520,306
----------
Pollution Control (0.46%)
1,600 Calgon Carbon Corp. .............................. 22,000
1,400 Donaldson Co. Inc. ............................... 62,475
3,600 U.S. Filter Corp.* ............................... 129,600
----------
214,075
----------
Engineering & Construction (0.49%)
1,400 Jacobs Engineering Group* ........................ 44,800
1,300 Structural Dyn. Research* ........................ 34,531
1,700 Vulcan Materials Co. ............................. 149,388
----------
228,719
----------
Electrical Equipment (2.70%)
1,700 Ametek, Inc.* .................................... 39,100
3,400 Cirrus Logic, Inc.* .............................. 58,438
3,530 Hubble, Inc. Cl. B ............................... 161,939
3,500 Integrated Device Tech.* ......................... 47,688
2,250 IPALCO ........................................... 73,266
3,515 Mark IV Industries, Inc. ......................... 88,314
6,232 Molex, Inc. ...................................... 243,827
4,400 Teradyne, Inc.* .................................. 245,025
2,300 UCAR International* .............................. 108,531
1,600 Varian Assoc. .................................... 91,300
3,391 Vishay Intertechnology, Inc.* .................... 90,497
----------
1,247,925
----------
Transportation Equipment (0.64%)
3,100 Danaher Corp. .................................... 166,044
2,100 Federal Signal ................................... 54,600
1,900 Trinity Industries ............................... 75,525
----------
296,169
----------
Conglomerate (0.24%)
1,540 Newport News Shipbuilding ........................ 29,838
1,600 Rayonier, Inc. ................................... 78,100
----------
107,938
----------
Total Capital Goods ............................. 2,773,325
----------
Consumer Cyclical (6.40%)
Housing (0.22%)
6,241 Clayton Homes, Inc. .............................. 104,927
----------
Building Material (0.32%)
1,700 BJ'S Wholesale Club* ............................. $ 49,088
900 Calmat Co. ....................................... 19,350
2,300 Martin Marietta Materials ........................ 80,356
----------
148,794
----------
Auto & Truck (0.12%)
1,800 Teleflex, Inc. ................................... 57,038
----------
Auto Parts (0.16%)
900 Arvin Inds., Inc. ................................ 31,331
1,600 Superior Industries .............................. 43,600
----------
74,931
----------
Tire & Rubber (0.14%)
1,600 Carlisle Cos., Inc. .............................. 67,500
----------
Appliance (0.03%)
300 National Presto Inds. ............................ 11,925
----------
Household Products (0.16%)
2,400 Fingerhut Cos. ................................... 48,600
800 Stanhome Inc. .................................... 26,000
----------
74,600
----------
Textile & Apparel (1.02%)
2,600 Burlington Inds., Inc.* .......................... 31,363
2,696 CVS Corp. ........................................ 151,987
7,200 Shaw Industries, Inc. ............................ 80,550
3,100 UNIFI, Inc. ...................................... 118,963
2,700 Warnaco Group Cl A ............................... 87,581
----------
470,444
----------
Shoes (0.17%)
1,900 Nine West Group, Inc.* ........................... 80,275
----------
Retail-General (3.83%)
1,700 Barnes & Noble Inc* .............................. 78,944
3,600 Bed Bath & Beyond* ............................... 111,600
2,300 Best Buy Co.* .................................... 39,100
3,600 Callaway Golf Co. ................................ 121,275
2,550 Claire's Stores, Inc. ............................ 53,550
4,613 CompUSA* ......................................... 142,715
4,281 Consolidated Stores Corp. ........................ 160,270
4,803 Dollar General Corp. ............................. 199,024
4,500 Family Dollar Stores* ............................ 95,625
2,000 Fastenal Co. ..................................... 115,250
800 Hancock Fabrics .................................. 10,000
2,200 Heilig-Meyers Co. ................................ 33,000
3,700 Kohls Department Stores* ......................... 255,069
1,200 Mac Frugals Bargains ............................. 32,700
1,100 Meyer, Fred, Inc.* ............................... 57,200
1,800 Micro Warehouse, Inc.* ........................... 47,025
2,104 Payless Shoesource* .............................. 134,919
1,740 Tiffany & Co. .................................... 78,735
----------
1,766,001
----------
Lodging (0.23%)
2,700 Promus Hotel Corp.* .............................. 104,794
----------
Total Consumer Cyclical .......................... 2,961,229
17
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Consumer Non-Durable (17.62%)
Healthcare (0.99%)
2,600 Appria Healthcare Group* ......................... $ 45,500
2,900 Covance, Inc.* ................................... 52,925
600 Datascope Corp.* ................................. 12,675
1,200 Dentsply International, Inc. ..................... 67,500
500 Diagnostic Products Corp. ........................ 13,875
2,100 Hlthcare & Retirement Del.* ...................... 76,519
6,300 Mylan Laboratories ............................... 133,875
816 Pacificare Health System* ........................ 55,794
----------
458,663
----------
Consumer Products (0.44%)
2,833 Acnielson Corp.* ................................. 64,451
2,200 First Brands Corp. ............................... 54,863
1,354 Lancaster Colony Corp. ........................... 70,154
4,000 Service Merchandise Co.* ......................... 15,500
----------
204,968
----------
Food Beverage & Tobacco (3.87%)
1,700 Bob Evans Farms .................................. 30,175
18,900 Coca-Cola Enterprises ............................ 519,750
1,800 Dean Foods Co. ................................... 79,875
3,200 Dole Food Company ................................ 125,000
600 Dreyer Grand Ice Cream ........................... 28,050
3,975 Flowers Inds., Inc. .............................. 73,538
3,900 Hormel Foods Corp. ............................... 116,025
800 Int. Multifoods, Inc. ............................ 21,500
1,911 Interstate Bakeries Corp. ........................ 112,032
1,300 Lance, Inc. ...................................... 27,788
4,300 McCormick & Co. .................................. 101,588
1,100 Savanna Foods & Inds. ............................ 19,250
1,200 Smucker (J.M.)Co. Cl. A .......................... 31,725
3,900 Starbucks Corp.* ................................. 159,900
10,950 Tyson Foods, Inc. Cl. A .......................... 232,688
1,900 Universal Corp. .................................. 69,113
1,100 Universal Foods Corp. ............................ 42,694
----------
1,790,691
----------
Retail-Food & Drugs (0.20%)
1,954 Hannaford Brothers Co. ........................... 66,436
1,800 Ruddick Corp. .................................... 27,000
----------
93,436
----------
Communications & Media (1.52%)
3,200 Belo (A.H.)Corp. Sr. A ........................... 137,200
600 CPI Corp. ........................................ 14,250
1,000 Information Resources* ........................... 18,000
3,900 Omnicom Group .................................... 264,225
1,000 TCA Cable TV, Inc. ............................... 38,000
550 Washington Post, Class B ......................... 231,413
----------
703,088
----------
Entertainment & Leisure(0.77%)
1,648 Chris Craft Industries* .......................... 80,855
5,000 Circus Circus Ent., Inc.* ........................ 119,687
2,178 Gtech Holdings Corp.* ............................ 65,476
2,986 Premark International ............................ 88,834
----------
354,852
----------
Apparel (0.37%)
900 Ann Taylor Stores* ............................... 15,413
2,400 Jones Apparel Group* ............................. 120,450
1,400 Lands End * ...................................... 36,838
----------
172,701
----------
Drugs (1.37%)
2,750 Allegiance Corp. ................................. 86,281
2,212 Bergen Brunswig Corp. Cl A ....................... 92,904
1,800 Carter-Wallace, Inc. ............................. 28,688
2,100 Forest Laboratories Cl. A* ....................... 86,231
6,200 IVAX Corp.* ...................................... 58,513
2,300 McKesson Corp. ................................... 215,481
1,100 R P Scherer Corp.* ............................... 61,944
----------
630,042
----------
Hospital Supply & Service (0.96%)
1,100 Acuson Corp.* .................................... 29,631
5,620 Labrtry Corp. of Am. Hld.* ....................... 14,753
4,050 Omnicare Inc. .................................... 117,197
1,200 Pacificare Health Sys. A* ........................ 79,500
5,100 Stryker Corp. .................................... 203,681
----------
444,762
----------
Cosmetics & Soap (0.05%)
800 Church and Dwight ................................ 22,900
----------
Printing & Publishing (0.55%)
1,600 Banta Corp. ...................................... 43,200
600 Gibson Greetings, Inc.* .......................... 13,500
2,000 Glatfelter (P.H.) Co. ............................ 41,375
800 Golden Books Family Ent.* ........................ 7,950
1,200 Houghton Mifflin Co. ............................. 41,625
2,200 Lee Enterprises .................................. 56,375
1,400 Media General Inc. Cl. A ......................... 51,450
----------
255,475
----------
Restaurant (0.68%)
4,100 Brinker International* ........................... 68,675
1,200 Buffets, Inc.* ................................... 13,125
3,200 Cracker Barrel Old Country ....................... 98,400
1,000 Intl. Dairy Queen, Inc.* ......................... 24,625
2,100 Lone Star Steakhouse* ............................ 36,094
2,300 Outback Steakhouse, Inc.* ........................ 55,488
750 Sbarro, Inc. ..................................... 20,063
----------
316,470
----------
Business Service (2.20%)
2,500 Cintas Group ..................................... 174,375
3,600 Comdisco ......................................... 97,875
4,700 Dial Corp. ....................................... 79,313
2,700 Noble Affiliates ................................. 125,213
5,475 Paychex, Inc. .................................... 187,519
2,200 Pittson Brink's Group ............................ 78,100
2,164 Sungard Data Systems Inc.* ....................... 112,799
4,700 Viad Corp. ....................................... 85,481
2,400 Wallace Computer Services ........................ 74,400
----------
1,015,075
----------
Office Products (1.88%)
1,300 Hon Inds. ........................................ 76,050
2,600 Miller (Herman), Inc. ............................ 134,550
8,200 Office Depot* .................................... 151,187
6,300 Office Max, Inc.* ................................ 93,319
1,200 Standard Register Co. ............................ 41,025
8,350 Staples, Inc.* ................................... 196,225
3,281 Unisource Worldwide, Inc. ........................ 59,468
800 U.S. Post Office Products* ....................... 25,950
4,400 Viking Office Products* .......................... 92,950
----------
870,724
----------
18
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Healthcare Services (1.65%)
6,300 Foundation Health Corp.* ......................... $ 200,419
5,400 Health Mgmt. Assoc. A.* .......................... 159,638
1,600 Healthcare Compare Corp.* ........................ 89,200
2,209 Horizon/CMS Hlthcare Corp.* ...................... 45,423
2,500 Novacare, Inc.* .................................. 37,656
2,315 Sybron International Corp.* ...................... 92,455
3,500 Vencor, Inc.* .................................... 140,438
----------
765,229
----------
Health & Beauty Aids (0.12%)
4,000 Perrigo Co.* ..................................... 57,250
----------
Total Consumer Non-Durable ....................... 8,156,326
----------
Banking & Financial Services(14.82%)
Bank & Bank Holding Cos. (7.89%)
3,000 Central Fidelity Banks, Inc. ..................... 117,375
2,384 City National Corp. .............................. 66,603
5,400 Crestar Financial Corp. .......................... 241,313
4,500 First of America Bancorp ......................... 231,750
5,925 First Security Corp. Del. ........................ 167,381
3,200 First Tennesse Ntl., Corp. ....................... 170,400
1,800 First Virginia ................................... 122,625
7,200 Firstar Corp. .................................... 242,550
6,400 Hibernia Bank .................................... 97,200
4,600 Marshall and Isley Corp. ......................... 216,200
4,221 Merchantile Bancorp .............................. 290,985
3,300 Mercantile Bankshares Corp. ...................... 92,813
5,800 Northern Trust ................................... 308,125
2,400 Old Kent Financial Corp. ......................... 147,000
2,150 Pacific Century Financial ........................ 106,022
4,600 Pinnacle West .................................... 148,638
6,600 Regions Financial Corp. .......................... 226,050
4,900 Southtrust Corp. ................................. 219,275
5,800 Summit Bancorp ................................... 344,375
1,900 Wilmington Trust Corp. ........................... 95,713
----------
3,652,393
----------
Finance Company (0.62%)
3,300 Capital One Financial Corp. ...................... 127,050
3,100 Union Planters Corp. ............................. 158,875
----------
285,925
----------
Investment Company (0.52%)
6,111 Bear Stearns Cos., Inc. .......................... 241,766
----------
Insurance (3.72%)
6,962 AFLAC Corp. ...................................... 383,345
1,800 AMBAC Financial Grp. ............................. 145,463
3,200 American Fin. Group, Inc. ........................ 138,400
1,300 Finova Group Inc. ................................ 109,931
1,100 HSB Group, Inc. .................................. 59,125
4,200 Old Republic ..................................... 150,938
3,900 Oxford Health Plans* ............................. 285,188
3,400 Provident Cos. ................................... 221,425
1,700 The PMI Group .................................... 98,281
1,800 Transatlantic Holdings, Inc. ..................... 127,237
----------
1,719,333
----------
Financial Services (2.07%)
3,325 A G Edwards ...................................... 132,169
6,250 Franklin Resources Inc. .......................... 483,594
4,600 Paine Webber ..................................... 176,813
3,000 T. Rowe Price .................................... 165,000
----------
957,576
----------
Total Banking & Finance .......................... 6,856,993
----------
Utility (9.24%)
Electric (6.33%)
6,400 Allegheny Power System ........................... 186,000
2,400 Atlantic Energy, Inc. ............................ 41,550
600 Black Hills Corp. ................................ 16,725
3,200 Calenergy, Inc.* ................................. 106,000
900 Central Louisiana Electric ....................... 23,625
1,300 Central Maine Power Co. .......................... 16,494
4,800 CMS Energy Corp. ................................. 172,500
2,700 Delmarva Power & Light ........................... 48,431
5,100 Florida Progress Corp. ........................... 164,156
1,300 Hawaiian Electric Inds. .......................... 47,044
1,700 Idaho Power Co. .................................. 53,763
4,000 Illinova Corp. ................................... 92,000
3,300 Kansas City Power & Light ........................ 94,463
3,000 LG&E Energy Corp. ................................ 67,875
5,364 Midamerican Energy Co. ........................... 91,523
1,400 Minnesota Power & Light .......................... 48,125
2,500 Montana Power Co. ................................ 57,656
2,100 Nevada Power Co. ................................. 44,363
5,205 New Century Engeries Inc.* ....................... 210,152
3,400 New England Syst. ................................ 130,050
3,800 New York State Elec. & Gas ....................... 92,625
3,300 Nipsco Industries ................................ 134,681
6,700 Northeast Utilities .............................. 67,419
2,100 Oklahoma Gas & Electric .......................... 93,319
6,300 Potomac Electric Power Co 1 ...................... 142,931
1,700 Public Ser. Co. of N. Mex. ....................... 31,025
4,196 Puget Sound Power & Light ........................ 106,474
5,500 SCANA Corp. ...................................... 132,688
6,200 Teco Energy, Inc. ................................ 149,188
2,600 Utilicorp United Inc. ............................ 77,350
5,900 Wisc. Energy Corp. ............................... 150,819
1,400 WPL Holdings, Inc. ............................... 38,763
----------
2,929,777
----------
Gas (1.09%)
2,500 Atlanta Gas Light Co. ............................ 47,344
2,600 Brooklyn Union Gas Co. ........................... 78,487
900 Indiana Energy, Inc. ............................. 22,894
3,800 MCN Corp. ........................................ 116,613
6,610 Noble Drilling Corp.* ............................ 187,972
1,900 Washington Gas Light Co. ......................... 48,331
----------
501,641
----------
Telephone (1.71%)
6,174 360 Communications Co.* .......................... 113,447
1,700 Aliant Communications ............................ 38,463
3,100 Century Telephone Entps. ......................... 112,569
3,900 LCI International, Inc.* ......................... 93,600
5,075 NCR Corp.* ....................................... 179,845
3,400 S. New Eng. TeleCom .............................. 130,050
3,100 Telephone & Data ................................. 122,450
----------
790,424
----------
19
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Energy (0.06%)
1,108 PG&E Corp. ....................................... $ 25,692
----------
Miscellaneous (0.06%)
1,900 Vanguard Cellular Sys. Cl. A* .................... 27,788
----------
Total Utility .................................... 4,275,322
----------
Service (3.27%)
Distributor (0.35%)
2,100 Alexander & Baldwin, Inc. ........................ 56,700
4,000 American Water Works, Inc. ....................... 83,000
700 Scholastic Corp.* ................................ 23,975
----------
163,675
----------
Pollution Control (0.69%)
7,600 USA Waste Services, Inc.* ........................ 319,200
----------
Business (1.34%)
2,400 Fiserv, Inc.* .................................... 108,000
1,700 Kelly Services, Inc. Cl. A ....................... 56,950
4,300 ManPower, Inc. ................................... 183,556
3,000 Medaphis* ........................................ 27,375
3,650 Olsten Corp. ..................................... 68,438
3,000 Robert Half Intl.* ............................... 175,125
----------
619,444
----------
Consumer (0.39%)
1,900 Rollins, Inc. .................................... 41,088
3,000 Sotheby's ........................................ 56,813
2,100 Stewart Enterprises Inc. ......................... 82,950
----------
180,851
----------
Miscellaneous (0.50%)
6,200 Corrections Corp. of Am.* ........................ 229,400
----------
Total Service .................................... 1,512,570
----------
Transportation (1.94%)
Air Transportation (0.22%)
1,000 Airbourne Freight Corp. .......................... 49,250
500 Alaska Airgroup, Inc.* ........................... 13,719
1,400 ASA Holdings, Inc. ............................... 41,650
----------
104,619
----------
Railroad (0.83%)
1,200 Gatx Corp. ....................................... 75,075
3,250 Illinois Central Corp. Cl. A ..................... 109,078
1,900 Kansas City Southern Inds. ....................... 142,263
2,600 Ogden Corp. ...................................... 60,288
----------
386,704
----------
Trucking (0.27%)
1,100 Arnold Inds., Inc. ............................... 23,513
2,100 Consolidated Freightways ......................... 75,863
2,000 Hunt (J.B.)* ..................................... 33,250
----------
132,626
----------
Miscellaneous (0.60%)
1,100 American President Cos. Ltd. ..................... 35,200
3,800 Harley Davidson .................................. 205,675
1,400 Overseas Shipholding Grp. ........................ 34,388
----------
275,263
----------
Total Transportation ............................. 899,212
----------
Manufacturing (9.02%)
Consumer Durable (0.44%)
4,700 Leggett & Platt .................................. 202,100
----------
Building & Housing (0.11%)
1,100 Southdown, Inc. .................................. 51,631
----------
Chemical (3.02%)
3,200 Airgas, Inc.* .................................... 58,200
3,000 Albemarle Corp. .................................. 73,688
1,300 Betzdearborn, Inc. ............................... 84,744
3,400 Cabot Corp. ...................................... 93,075
3,267 Crompton & Knowles Corp. ......................... 82,492
2,300 Cytec, Inds.* .................................... 112,269
1,000 Dexter Corp. ..................................... 38,000
5,400 Ethyl Corp. ...................................... 48,600
1,200 Ferro Corp. ...................................... 45,150
600 Fuller (H.B.) Corp. .............................. 33,113
2,000 Georgia Gulf Corp. ............................... 57,500
4,800 IMC Global, Inc. ................................. 168,900
5,000 Iowa Beef Processing ............................. 114,688
1,800 Lawter International ............................. 23,625
2,900 Lubrizol Corp. ................................... 127,056
4,200 Lyondell Petrochemical ........................... 101,850
400 NCH Corp. ........................................ 27,200
3,375 RPM, Inc. Ohio ................................... 68,555
2,000 Schulman (A.), Inc. .............................. 43,750
----------
1,402,455
----------
Diversified (0.68%)
600 Lukens, Inc. ..................................... 11,213
800 Nordson Corp. .................................... 46,200
2,600 Olin Corp. ....................................... 115,700
3,000 Witco Corp. ...................................... 141,000
----------
314,113
----------
Capital Good (0.42%)
2,600 Harsco Corporation ............................... 117,163
1,200 Kennametal, Inc. ................................. 56,175
1,000 Magnetek, Inc.* .................................. 21,063
----------
194,401
----------
Paper & Forest Product (0.93%)
2,100 Bowater, Inc. .................................... 107,494
1,000 Chesapeake Corp. ................................. 34,375
2,400 Consolidated Papers .............................. 139,950
2,700 Longview Fibre Co. ............................... 56,531
1,700 Pentair, Inc. .................................... 60,563
1,512 Wausau Paper Mills Co. ........................... 33,075
----------
431,988
----------
Metal & Minerals (0.60%)
1,300 AK Steel Holding Corp. ........................... 58,825
600 Brush Wellman, Inc. .............................. 15,000
900 Carpenter Technology ............................. 40,331
2,475 Hanna (M.A.)Co. .................................. 64,041
300 Maxxam, Inc.* .................................... 16,500
1,200 Minerals Technology, Inc. ........................ 47,700
1,300 Oregon Steel Mills, Inc. ......................... 35,019
----------
277,416
----------
Container (0.64%)
500 Cleveland Cliffs Corp. ........................... 20,844
2,200 Sealed Air Corp.* ................................ 114,125
20
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Container (continued)
4,875 Sonoco Products, Inc. ............................ $ 158,742
----------
293,711
----------
Computer (0.99%)
800 Exabyte Corp.* ................................... 9,400
6,600 Quantum Corp.* ................................... 231,413
2,000 Sequent Computer Systems* ........................ 56,375
3,114 Storage Technology Corp.* ........................ 158,619
----------
455,807
----------
Non Ferrous Metals (0.39%)
2,800 Alumax, Inc.* .................................... 116,025
1,800 Federal Mogul Corp. .............................. 64,350
----------
180,375
----------
Miscellaneous (0.80%)
1 Culligan Water Tech.* ............................ 23
3,500 Hillenbrand Industries ........................... 153,781
6,600 International Game Tech. ......................... 132,000
700 Kaydon Corp. ..................................... 41,344
1,800 Wellman, Inc. .................................... 40,950
----------
368,098
----------
Total Manufacturing .............................. 4,172,095
----------
Technology (13.77%)
Office Equipment (0.63%)
3,600 Diebold .......................................... 166,950
3,500 Lexmark Intl. Group CL A* ........................ 122,500
----------
289,450
----------
Electronic (1.94%)
2,637 Arrow Electronics, Inc.* ......................... 162,011
2,100 Avnet, Inc. ...................................... 145,294
2,400 Litton Inds.* .................................... 119,700
3,054 SCI Systems Inc.* ................................ 120,060
3,900 Sensormatic Elect. Corp. ......................... 50,944
5,600 Solectron Corp.* ................................. 234,500
1,800 Symbol Technologies, Inc. ........................ 66,600
----------
899,109
----------
Biotechnology (1.45%)
1,500 Beckman Instruments, Inc. ........................ 70,594
3,800 Biogen, Inc.* .................................... 149,625
3,600 Centocor, Inc.* .................................. 161,550
8,812 Chiron Corp.* .................................... 197,169
3,400 Genzyme Corp.* ................................... 95,625
----------
674,563
----------
Software (2.75%)
5,100 BMC Software, Inc.* .............................. 319,388
4,925 Cadence Design System, Inc.* ..................... 234,245
4,400 Compuware Corp.* ................................. 271,700
2,800 Electronic Arts* ................................. 86,275
7,800 Informix Corp.* .................................. 70,688
4,400 Reynolds & Reynolds Cl. A ........................ 88,550
4,466 Sterling Commerce, Inc.* ......................... 147,657
2,300 Symantec Corp.* .................................. 55,344
----------
1,273,847
----------
Business-Mechanics & Software (1.02%)
4,800 American Online, Inc.* ........................... 309,600
600 ATL Ultrasound Inc.* ............................. 24,375
750 Granite Construction, Inc. ....................... 15,750
2,100 Imation Corp.* ................................... 56,831
1,200 Stratus Computer* ................................ 66,600
----------
473,156
----------
Business-Service (0.12%)
900 Policy Mgmt. Systems Corp.* ...................... 54,056
----------
Semiconductor (2.49%)
4,600 Altera Corp.* .................................... 244,950
5,100 Atmel Corp.* ..................................... 180,413
3,800 Cypress Semiconductor* ........................... 67,450
3,900 Linear Technology Corp. .......................... 255,694
3,200 Maxim Integrated Prod.* .......................... 221,200
3,800 Xilinx, Inc.* .................................... 180,500
----------
1,150,207
----------
Telecommunications (1.45%)
6,600 ADC Telecom., Inc.* .............................. 245,025
2,500 Comsat Corp. ..................................... 54,219
12,244 Nextel Communications* ........................... 306,865
2,200 Octel Communications* ............................ 66,825
----------
672,934
----------
Aerospace Aircraft (0.57%)
1,250 Precision Castparts .............................. 80,781
3,100 Sunstrand Corp. .................................. 182,900
----------
263,681
----------
Aerospace/Defense (0.41%)
2,000 Gencorp, Inc. .................................... 53,500
1,100 OEA, Inc.* ....................................... 40,906
1,100 Rohr, Inc.* ...................................... 29,769
800 Thiokol Corp. .................................... 63,700
----------
187,875
----------
Miscellaneous (0.94%)
4,800 Amer. Pwr. Conversion Corp.* ..................... 126,000
8,133 Analog Devices* .................................. 269,406
3,300 Mentor Graphics .................................. 38,363
----------
433,769
----------
Total Technology ................................. 6,372,647
----------
Energy (6.95%)
Oil & Gas-Domestic (2.53%)
2,911 El Paso Natural Gas .............................. 163,744
2,800 Mapco, Inc. ...................................... 84,000
2,400 Murphy Oil Corp. ................................. 128,850
1,700 National Fuel Gas Co. ............................ 75,544
3,700 Pioneer Natural Resources* ....................... 147,769
1,700 Quaker State Corp. ............................... 26,350
2,200 Questar .......................................... 88,000
3,200 Seagull Energy Corp.* ............................ 78,200
7,800 Tosco Corp. ...................................... 257,888
3,730 Ultramar Diamond Shamrock ........................ 121,691
----------
1,172,036
----------
Oil &Gas-International (0.49%)
3,800 Parker Drilling Co.* ............................. 50,113
5,200 Ranger Oil Ltd. .................................. 50,375
2,691 Weatherford Enterra, Inc.* ....................... 123,954
----------
224,442
----------
Oil & Gas Service (3.02%)
1,900 BJ Services* ..................................... 137,275
3,600 Ensco Intl., Inc. ................................ 228,600
8,800 Global Marine, Inc. .............................. 250,250
4,500 Nabors Industries ................................ 154,969
2,100 Smith International. Inc.* ....................... 152,775
3,100 Tidewater, Inc. .................................. 162,750
21
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Oil & Gas Service (continued)
2,600 Transocean Offshore, Inc. ........................ $ 247,163
1,600 Varco Intl., Inc.* ............................... 63,566
----------
1,397,348
----------
Natural Gas (0.00%)
1 Enron ............................................ 19
----------
Energy-Raw Materials (0.67%)
8,386 AES Corp.* ....................................... 310,282
----------
Miscellaneous (0.24%)
400 Sequa Corp.* ..................................... $ 20,500
2,700 Valero Energy Corp. .............................. 89,944
----------
110,444
----------
Total Energy ..................................... 3,214,571
----------
Total Common Stock
(cost $28,592,342 ) ..................................... 41,194,290
----------
Par
Value
-----
Short-Term Investments (10.93%)
United States Treasury Bills
$2,000,000 5.570% 09/18/97(b) ............................... 1,994,966
3,059,497 Portico Institutional Money Market Fund .......... 3,059,497
-----------
Total Short-Term Investments (Cost $5,054,463) ... 5,054,463
-----------
Total Investments (Cost $ 33,646,805)(99.95%)..... 46,248,753
Other Net Assets (0.05%).......................... 22,143
-----------
Net Assets (100%) ............................ $46,270,901
===========
- ------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $ 33,646,805. At August
31, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ............................ $14,204,836
Unrealized depreciation ............................ (1,602,888)
-----------
Net unrealized appreciation .................... $12,601,948
===========
(b) At August 31, 1997, certain United States Treasury Bills with a market
value of $990,030 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1997 (Contracts-$500 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
------------
S&P MidCap 400 Index:
11/December 97/Long ................................ $ 58,990
19/September 97/Long ............................... 261,965
----------
$ 320,955
==========
See accompanying notes to financial statements
22
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS
August 31, 1997
Shares Value
------ -----
COMMON STOCK (66.53%)
Capital Good (2.75%)
Production(0.60%)
1,100 Cooper Inds., Inc. ............................... $ 58,644
----------
Electrical Equipment (1.35%)
2,640 AMP, Inc. ........................................ 132,000
----------
Conglomerate (0.80%)
1,600 Tenneco, Inc. .................................... 77,700
----------
Total Capital Good ............................... 268,344
----------
Consumer Cyclical (6.88%)
Building Material (0.88%)
1,800 Johnson Controls, Inc. ........................... 85,838
----------
Auto & Truck (3.38%)
3,880 Chrysler Corp. ................................... 136,285
4,480 Ford Motor Co. ................................... 192,640
----------
328,925
----------
Retail-General (2.62%)
2,030 May Dept. Stores Co. ............................. 109,239
2,000 JC Penny Co. ..................................... 120,000
1,160 The Limited, Inc. ................................ 26,390
----------
255,629
----------
Total Consumer Cyclical .......................... 670,392
----------
Consumer Non-Durable(6.53%)
Health Care (0.32%)
750 Bausch & Lomb, Inc. .............................. 30,797
----------
Food, Beverage & Tobacco (2.40%)
4,000 H.J. Heinz Co. ................................... 166,500
1,550 Phillip Morris Co., Inc. ......................... 67,619
----------
234,119
----------
Entertainment & Leisure (0.12%)
380 Brunswick Corp. .................................. 11,590
----------
Drugs (1.61%)
1,350 Baxter International Inc. ........................ 71,803
1,120 Bristol-Myers/Squibb Co. ......................... 85,120
----------
156,923
----------
Cosmetic & Soap(0.85%)
1,320 Colgate Palmolive Co. ............................ 82,830
----------
Business Service (1.23%)
2,100 Deluxe Corp. ..................................... 69,169
1,800 Dun & Bradstreet Corp. ........................... 50,400
----------
119,569
----------
Total Consumer Non-Durable ....................... 635,828
----------
Banking & Finance (19.02%)
Bank & Bank Holding Co. (16.36%)
4,120 Banc One Corp. ................................... 220,935
1,800 Bankers Trust New York ........................... 186,750
2,600 Chase Manhattan Corp. ............................ 289,088
3,600 CoreStates Financial Corp. ....................... 221,400
2,790 First Chicago NBD Corp. .......................... 200,183
2,000 Mellon Bank Corp. ................................ 96,250
1,850 Morgan (J.P.) & Co., Inc. ........................ 198,413
2,000 PNC Financial Corp. .............................. 86,500
375 Wells Fargo & Co. ................................ 95,344
----------
1,594,863
----------
Insurance (2.66%)
2,400 American General ................................. 115,650
2,100 Marsh & McLennan ................................. 143,325
----------
258,975
----------
Total Banking & Finance .......................... 1,853,838
----------
Utility (9.44%)
Electric (1.47%)
1,830 Cinenrgy Corp. ................................... 60,504
1,700 Duke Power ....................................... 82,344
----------
142,848
----------
Telephone (6.42%)
3,100 ALLTEL Corp. ..................................... 98,038
2,930 Ameritech Corp. .................................. 183,674
3,530 Bell Atlantic Corp. .............................. 255,484
2,000 GTE Corp. ........................................ 89,125
----------
626,321
----------
Energy (1.55%)
7,180 Southern Co. ..................................... 151,229
----------
Total Utility .................................... 920,398
----------
Transportation (0.87%)
Railroad (0.87%)
570 Norfolk Southern Corp. ........................... 55,860
450 Union Pacific Corp. .............................. 29,222
----------
Total Transportation ............................. 85,082
----------
Manufacturing (6.87%)
Chemical (3.63%)
3,700 Dupont De Nemours & Co. .......................... 230,556
2,650 Williams Companies, Inc. ......................... 123,391
----------
353,947
----------
Paper & Forrest Product (1.66%)
990 International Paper .............................. 52,223
1,200 Union Camp Corp. ................................. 71,175
660 Weyerhaeuser Co. ................................. 38,115
----------
161,513
----------
Miscellaneous (1.58%)
1,710 3M & Co. ......................................... 153,686
----------
Total Manufacturing .............................. 669,146
----------
Technology (4.25%)
Electronic (1.46%)
4,400 EG & G, Inc. ..................................... 93,500
560 Harris Corp. ..................................... 48,790
----------
142,290
----------
23
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Business-Mechanic & Software (2.04%)
2,600 Pitney Bowes Inc. ................................ $ 198,575
----------
Aerospace Aircraft (0.75%)
920 General Dynamics Corp. ........................... 73,255
----------
Total Technology ................................. 414,120
----------
Energy (9.92%)
Oil & Gas (4.82%)
1,710 Amoco Corp. ...................................... 161,702
4,225 Phillips Petroleum Co. ........................... 200,952
3,300 Ultramar Diamond Shamrock ........................ 107,663
----------
470,317
----------
Oil & Gas International (3.86%)
4,360 Exxon Corp. ...................................... 266,778
1,500 Mobil Corp. ...................................... 109,125
----------
375,903
----------
Energy Raw Material (1.24%)
2900 Dresser Industries ............................... 121,075
----------
Total Energy ..................................... 967,295
----------
Total Common Stock
(cost $5,720,051) .......................................... 6,484,443
----------
Par
Value
-----
Short-Term Investments (32.92%)
United States Treasury Bills
$3,050,000 5.570% 09/18/97 (b) .............................. 3,042,490
166,413 Portico Institutional Money Market Fund .......... 166,413
----------
Total Short-Term Investments (Cost $3,208,903) ... 3,208,903
----------
Total Investments (Cost $8,928,954)(99.45%) ...... 9,693,346
Other Net Assets (0.55%) ......................... 53,173
----------
Net Assets (100.00%) ........................ $9,746,519
==========
- ------------
(a) Aggregate cost for federal income tax purposes is $8,928,954. At August 31,
1997, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ............................ $ 797,542
Unrealized depreciation ............................ (33,150)
---------
Net unrealized appreciation .................... $ 764,392
=========
(b) At August 31, 1997, certain United States Treasury Bills with a market
value of $792,024 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1997 (Contracts-$500 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
------------
S&P BARRA/Value Stock Index:
2/December 97/Long ................................. $ (1,665)
12/September 97/Long ............................... 110,010
---------
$ 108,345
=========
See accompanying notes to financial statements
24
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1997
Shares Value
------ -----
Common Stock (80.87%)
Capital Good (4.14%)
Machinery - Agricult & Const (0.14%)
213 Lindsay Manufacturing Co. ........................ $ 8,307
----------
Machinery-Industrial (0.77%)
407 BMC Industries, Inc. ............................. 12,668
600 JLG Industries, Inc. ............................. 7,013
414 PAXAR Corp.* ..................................... 9,005
676 Vicor Corp.* ..................................... 16,985
----------
45,671
----------
Pollution Control (0.13%)
172 Ionics Inc.* ..................................... 7,353
----------
Engineering & Construction (0.86%)
325 CDI Corp.* ....................................... 11,456
287 Greenfield Industries, Inc. ...................... 7,570
224 Lone Star Industries ............................. 11,900
296 Manitowoc Company, Inc. .......................... 10,693
803 Morrison Knudson Corp.* .......................... 9,586
----------
51,205
----------
Electrical Equipment (1.69%)
394 Belden Inc. ...................................... 15,268
391 California Microwave, Inc.* ...................... 6,354
441 Chips & Technologies, Inc.* ...................... 7,414
774 International Rectifier Corp.* ................... 17,657
258 Kuhlman Corp. .................................... 7,321
295 Marshall Industries* ............................. 11,708
308 Oak Industries, Inc.* ............................ 8,913
462 Pioneer Standard Elec., Inc. ..................... 6,930
357 Tracor Inc.* ..................................... 10,755
457 Trimble Navigation Ltd.* ......................... 7,712
----------
100,032
----------
Transportation Equipment (0.55%)
293 Halter Marine Group, Inc.* ....................... 11,592
153 SPX Corp. ........................................ 8,893
422 Wabash Natl. Corp. ............................... 12,396
----------
32,881
----------
Total Capital Good .......................... 245,449
----------
Consumer Cyclical (8.52%)
Optical Photo Equipment (0.11%),
338 X-Rite Inc. ...................................... 6,507
----------
Housing (0.64%)
604 Oakwood Homes Corp. .............................. 16,383
535 The Ryland Group Inc. ............................ 8,928
587 Toll Bros., Inc.* ................................ 12,621
----------
37,932
----------
Building Material (0.99%)
320 ABM Industries, Inc. ............................. 7,860
407 Apogee Enterprises, Inc. ......................... 8,903
476 Geon Co. ......................................... 9,461
612 Justin Industries, Inc. .......................... 8,950
496 Rexel Inc.* ...................................... 10,323
246 Texas Industries Inc. ............................ 8,195
276 Visx Inc.* ....................................... 5,158
----------
58,850
----------
Auto & Truck (0.32%)
180 Applied Power, Inc. CL A ......................... 11,430
257 Wynn's International Inc. ........................ 7,421
----------
18,851
----------
Auto Part (0.93%)
337 A.O. Smith Corp. ................................. 11,879
562 Breed Technologies, Inc. ......................... 11,943
270 Clarcor, Inc. .................................... 7,071
593 Gentex Corp.* .................................... 14,232
222 O'Reilly Automotive, Inc.* ....................... 9,796
----------
54,921
----------
Appliance (0.30%)
1,303 Fedders Corp. .................................... 8,144
342 Interface, Inc. .................................. 9,576
----------
17,720
----------
Household Product (0.47%)
197 Aptargroup, Inc. ................................. 11,081
387 Williams-Sonoma, Inc.* ........................... 17,318
----------
28,399
----------
Textile & Apparel (1.60%)
566 Authentic Fitness Corp. .......................... 8,879
411 Brown Group ...................................... 6,859
303 Fabri-Centers of America, Inc. ................... 7,386
332 G & K Services Inc., CL A ........................ 11,578
531 Griffon Corp.* ................................... 7,434
340 Kellwood Co. ..................................... 12,282
486 Mohawk Industries* ............................... 12,575
547 Nautica Enterprises, Inc.* ....................... 13,025
214 Oxford Industries, Inc. .......................... 7,182
321 Pilliowtex Corp. ................................. 7,644
----------
94,844
----------
Shoes (0.52%)
407 Footstar Inc.* ................................... 10,099
122 The Timberland Co.* .............................. 8,060
564 Wolverine World Wide, Inc. ....................... 12,478
----------
30,637
----------
Retail - General (2.26%)
391 Carson Pirie Scott & Co.* ........................ 13,881
396 Discount Auto Parts, Inc.* ....................... 8,093
356 The Dress Barn, Inc.* ............................ 7,298
415 Eagle Hardware & Garden, Inc.* ................... 9,104
366 Michaels Stores, Inc.* ........................... 8,944
956 Pier 1 Imports, Inc. ............................. 16,261
410 Proffitts, Inc.* ................................. 22,012
460 Shopko Stores, Inc.* ............................. 12,650
358 Stein Mart, Inc.* ................................ 10,024
239 The Toro Company ................................. 8,873
25
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Retail - General (Continued)
564 World Color Dress Inc.* .......................... $ 16,850
----------
133,990
----------
Lodging (0.39%)
430 Marcus Corporation ............................... 10,669
651 Prime Hospitality Corp.* ......................... 12,369
----------
23,038
----------
Total Consumer Cyclical ..................... 505,689
----------
Consumer Non-Durable (17.77%)
Health Care (1.89%)
409 Ballard Medical Products ......................... 9,458
684 Bio-Technology General* .......................... 8,721
218 Compdent Corp.* .................................. 5,287
474 Grandcare Inc. W/I* .............................. 5,688
430 Invacare Corp. ................................... 9,030
381 Mentor Corp. ..................................... 11,716
204 NBTY Inc.* ....................................... 4,539
850 Orthodontic Centers of Am* ....................... 14,556
351 Owens & Minor Hldg C.* ........................... 4,760
815 Phycor Inc.* ..................................... 23,992
350 Rotech Medical Corp.* ............................ 6,300
357 U.S. Bioscience Inc.* ............................ 3,592
251 Vital Signs Inc. ................................. 4,393
----------
112,032
----------
Consumer Product (0.56%)
310 Juno Lighting, Inc. .............................. 5,154
240 Paragon Trade Brands* ............................ 3,825
346 Russ Berrie & Co. Inc. ........................... 9,904
372 Sola International* .............................. 11,532
258 USA Detergents, Inc.* ............................ 3,032
----------
33,447
----------
Food, Beverage & Tobacco (1.78%)
612 Chiquita Brands Int'l. ........................... 8,721
96 Coca-Coca Bottling ............................... 5,016
237 Commonwealth Engery Sys. ......................... 5,836
466 Dimon Inc. ....................................... 11,184
222 Earthgrains Co. .................................. 9,102
209 Natures Sunshine Prod. Inc. ...................... 4,363
520 Richfood Holdings, Inc. .......................... 11,700
519 Rykoff-Sexton Inc. ............................... 13,105
150 Schweitzer-Mauduit Intl Inc. ..................... 6,000
198 Smithfield Foods, Inc.* .......................... 10,915
435 Triarc Co.* ...................................... 9,108
320 Whole Foods Market Inc.* ......................... 10,880
----------
105,930
----------
Retail - Food and Drugs (0.67%)
534 Arbor Drugs ...................................... 12,749
395 Casey's General Stores ........................... 8,986
174 Smith Food and Drug Cl. B* ....................... 9,527
452 The Sports Authority Inc.* ....................... 8,418
----------
39,680
----------
Communications & Media (1.15%)
265 Advo Inc.* ....................................... 4,886
193 GC Companies* .................................... 7,780
600 Intl Family Entertainment* ....................... 20,925
282 Metro Networks Inc.* ............................. 8,531
464 Valassis Communication* .......................... 14,094
432 Westwood One Inc.* ............................... 12,150
----------
68,366
----------
Entertainment & Leisure (1.19%)
1,243 Aztar Corp.* ..................................... 8,701
230 Carmike Cinemas Inc.* ............................ 7,245
641 Foodmaker Inc.* .................................. 12,580
296 Galoob Toys Inc.* ................................ 6,142
673 Grand Casinos Inc.* .............................. 10,389
468 Regal Cinemas Inc.* .............................. 13,279
960 Shoney's Inc.* ................................... 5,520
392 Showboat Inc. .................................... 6,517
----------
70,373
----------
Apparel (1.29%)
452 Guilford Mills Inc. .............................. 9,831
377 Gymboree Corp.* .................................. 9,237
514 Just For Feet Inc.* .............................. 6,746
327 Mens Wearhouse Inc.* ............................. 11,874
511 Phillips Van Heusen Corp. ........................ 7,346
659 Ross Stores Inc. ................................. 19,358
289 St. John Knits Inc. .............................. 12,174
----------
76,566
----------
Drugs (1.17%)
434 Cor Therapeutics Inc.* ........................... 7,161
312 Cygnus Inc.* ..................................... 5,850
457 ICN Pharmaceuticals, Inc. ........................ 16,509
616 Liposome Company Inc.* ........................... 4,735
451 N. American Vaccine Inc.* ........................ 9,246
432 Noven Pharmaceuticals* ........................... 3,861
532 Roberts Pharmaceuticals* ......................... 5,952
642 Sequus Pharmaceuticals Inc.* ..................... 4,334
338 Vertex Pharmaceuticals Inc.* ..................... 11,577
----------
69,225
----------
Hospital Supply & Service (1.65%)
300 ADAC Laboratories ................................ 5,887
230 Coherent Inc.* ................................... 10,551
628 Indexx Laboratories Inc.* ........................ 11,814
532 Mariner Health Group Inc.* ....................... 7,714
345 Medimmune Inc.* .................................. 9,143
238 Patterson Dental Co.* ............................ 8,419
220 Renal Care Group Inc.* ........................... 7,178
324 Respironics* ..................................... 7,492
390 Safeskin Corp.* .................................. 12,968
421 Sunrise Medical* ................................. 6,236
326 Tecnol Medical Products Inc.* .................... 7,009
192 Vitalink Pharmacy Svcs Inc.* ..................... 3,804
----------
98,215
----------
26
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Liquor (0.20%)
287 Canadaigua Wine Co., Inc.* ....................... $ 11,695
----------
Printing & Publishing (0.15%)
301 Bowne & Co. Inc. ................................. 8,710
----------
Restaurant (1.47%)
451 Applebee's Intl., Inc. ........................... 11,501
573 CKE Restaurants, Inc. ............................ 18,479
211 IHOP Corp.* ...................................... 7,741
464 Landry's Seafood Rest.* .......................... 11,136
479 Luby's Cafeterias, Inc. .......................... 9,430
302 Ruby Tuesday Inc.* ............................... 8,154
881 Ryan's Family Steak House* ....................... 8,149
309 Showbiz Pizza Time, Inc.* ........................ 7,223
255 Sonic Corp.* ..................................... 5,642
----------
87,455
----------
Business Service (1.46%)
382 BISYS Group Inc.* ................................ 12,893
324 Catalina Marketing Corp.* ........................ 15,005
282 Ciber Inc.* ...................................... 11,262
472 DeVry Inc.* ...................................... 12,803
394 National Data Corp. .............................. 14,750
366 Norrell Corp. .................................... 11,826
335 Pittson Services - Burlington .................... 8,040
----------
86,579
----------
Office Product (0.13%)
250 New England Business Srvc. ....................... 7,625
----------
Health Care Service (2.87%)
470 Coventry Corp.* .................................. 7,814
288 Express Scripts, Inc.* ........................... 14,364
458 Genesis Health Ventures* ......................... 15,973
361 Integrated Health Services ....................... 11,913
417 Lincare Holdings Inc.* ........................... 19,886
223 Living Centers of America* ....................... 8,558
426 Magellan Health Srvs., Inc.* ..................... 12,993
357 OccuSystems, Inc.* ............................... 11,246
357 Renal Treatment Ctrs., Inc.* ..................... 12,093
257 Rural/Metro Corp.* ............................... 7,068
302 Sierra Health Services, Inc.* .................... 9,947
482 Steris Corp.* .................................... 18,075
460 Universal Hlth Services - B* ..................... 20,154
----------
170,084
----------
Health & Beauty Aids (0.14%)
355 Regis Corp. ...................................... 8,587
----------
Total Consumer Non-Durable .................. 1,054,569
----------
Banking & Financial Service (13.71%)
Bank & Bank Holding Co. (5.25%)
122 Banc One Corp. ................................... 6,542
273 CCB Financial Corp. .............................. 22,079
370 Centura Banks, Inc. .............................. 21,044
204 Coast Savings Financial Inc.* .................... 9,397
260 Commnet Cellular, Inc.* .......................... 9,100
354 Cullen/Frost Bankers, Inc. ....................... 15,753
539 Deposit Guaranty Corp. ........................... 17,282
421 First Commercial Corp. ........................... 17,577
353 Firstmerit Corp. ................................. 16,547
273 Firstbank Puerto Rico ............................ 7,695
107 JSB Financial, Inc. .............................. 4,855
632 Keystone Fin., Inc. .............................. 21,409
416 Magna Group, Inc. ................................ 15,106
541 Provident Financial Group ........................ 25,630
169 RCSB Financial, Inc. ............................. 8,260
548 Riggs Natl Corp. ................................. 11,508
477 St. Paul Bancorp ................................. 11,031
200 Summit Bancorp ................................... 11,904
214 U.S. Trust Corp. ................................. 11,235
296 Whitney Holding Co. .............................. 11,914
241 Zero Corp. ....................................... 6,492
755 Zions Bancorporation ............................. 29,256
----------
311,616
----------
Savings & Loan (2.07%)
237 Astoria Financial Corp. .......................... 11,406
512 Charter One Financial, Inc. ...................... 27,840
343 Commercial Federal Corp. ......................... 14,427
508 Downey Financial Corp. ........................... 11,240
411 First Financial Corp. - WI ....................... 13,255
136 Onbancorp, Inc. .................................. 7,072
757 Sovereign Bancorp, Inc. .......................... 11,734
489 TCF Financial Corp. .............................. 26,070
----------
123,044
----------
Finance Companies (0.71%)
533 Amresco Inc.* .................................... 15,890
260 North American Mortgage .......................... 6,727
381 Pioneer Group, Inc. .............................. 12,383
306 Piper Jaffray Companies, Inc. .................... 6,923
----------
41,923
----------
Investment Companies (1.36%)
370 Alex, Brown, Inc. ................................ 31,334
315 Eaton Vance Corp. ................................ 9,017
134 Interra Financial, Inc. .......................... 5,829
199 Legg Mason, Inc. ................................. 12,288
450 Raymond James Fncl. Corp. ........................ 13,050
309 SEI Investments Co. .............................. 8,961
----------
80,479
----------
27
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Insurance (2.68%)
223 Allied Group, Inc. ............................... $ 9,868
225 American Bankers Ins. Grp. ....................... 14,850
305 Enhance Fncl. Svcs. Grp. ......................... 14,106
100 Executive Risk, Inc. ............................. 5,781
302 Fremont General Corp. ............................ 12,042
429 Frontier Insurance Group ......................... 15,015
178 Gallagher Arthur J & Co. ......................... 6,364
149 Life Re Corp. .................................... 7,646
198 Mutual Risk Mgmt., Ltd. .......................... 9,158
302 Orion Capital Corp. .............................. 12,835
338 Protective Life Corp. ............................ 16,816
161 Selective Insurance Group ........................ 7,929
218 Trenwick Group Inc. .............................. 7,930
349 Washington National Corp. ........................ 10,296
300 Zenith Ntnl. Ins. Corp. .......................... 8,081
----------
158,717
----------
Real Estate (0.38%)
233 First American Finl. Corp. ....................... 10,427
160 Macdermid, Inc. .................................. 12,400
----------
22,827
----------
Financial Service (1.26%)
174 Capital Re Corp. ................................. 8,841
481 Cash American Int'l., Inc. ....................... 5,171
246 CMAC Investment Corp. ............................ 11,347
410 First Michigan Bank Corp. ........................ 15,273
634 National Auto Credit, Inc.* ...................... 5,231
404 Primark Corp.* ................................... 10,984
522 Quick & Reilly Group, Inc. ....................... 17,879
----------
74,726
----------
Total Banking & Financial Service ........... 813,332
----------
Utility (2.61%)
Electric (0.82%)
149 CIlCORP, Inc. .................................... 5,988
332 Eastern Utilities Assoc. ......................... 6,349
213 Interstate Power Co. ............................. 6,230
150 Orange & Rockland Utls. .......................... 5,091
31 Puget Sound Energy, Inc. ......................... 787
338 Sierra Pacific Resources ......................... 10,563
354 TNP Enterprises, Inc. ............................ 8,297
155 United Illuminating Co. .......................... 5,415
----------
48,720
----------
Gas (1.08%)
428 Atmos Energy Corp. ............................... 11,663
193 Central Hudson Gas & Elct. ....................... 6,441
323 Piedmont Natural Gas, Inc. ....................... 8,539
314 Pool Energy Services Co.* ........................ 9,832
211 Public Service Co. of NC ......................... 4,497
486 Southwestern Energy Co. .......................... 6,197
388 Vintage Petroleum, Inc. .......................... 16,660
----------
63,829
----------
Telephone (0.45%)
282 ACC Corp.* ....................................... 8,249
257 Billing Information Concepts.* ................... 9,638
200 Blount Intl. Inc. - CL A ......................... 9,388
----------
27,275
----------
Water (0.26%)
316 Philadelphia Suburban Corp. ...................... 7,327
447 United Water Resources, Inc. ..................... 7,990
----------
15,317
----------
Total Utility ............................... 155,141
----------
Service (2.42%)
Distributor (1.02%)
328 Fisher Scientific Int'l., Inc. ................... 16,154
279 Hughes Supply, Inc. .............................. 7,149
394 Kent Electronics Corp.* .......................... 14,750
580 Tech Data Corp.* ................................. 22,584
----------
60,637
----------
Pollution Control (0.10%)
454 Dames & Moore, Inc. .............................. 5,959
----------
Business (0.27%)
321 Interim Services, Inc.* .......................... 15,849
----------
Miscellaneous (1.03%)
251 Bassett Furniture Inds., Inc. .................... 6,903
200 Central Parking Corp. ............................ 9,150
248 Stone & Webster, Inc. ............................ 11,749
249 Tetra Technologies, Inc.* ........................ 5,229
368 True North Communications ........................ 9,246
671 Tuboscope Vetco Intl. Co.* ....................... 18,704
----------
60,981
----------
Total Service ............................... 143,426
----------
Transportation (2.33%)
Air Transportation (0.63%)
375 Air Express ...................................... 11,391
595 Comair Holdings, Inc. ............................ 15,991
266 Expeditors Intl Wash, Inc. ....................... 9,742
----------
37,124
----------
Trucking (1.41%)
449 American Freightways Corp.* ...................... 7,184
707 Fritz Companies, Inc.* ........................... 9,191
437 Heartland Express, Inc.* ......................... 10,816
248 Landstar System, Inc.* ........................... 6,789
214 M S Carriers, Inc* ............................... 5,029
593 Rollins Truck Leasing Corp. ...................... 9,599
355 US Freightways Corp. ............................. 10,650
524 Werner Enterprises, Inc. ......................... 11,462
416 Yellow Corp.* .................................... 13,052
----------
83,772
----------
28
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Miscellaneous (0.29%)
282 AAR Corp. ........................................ $ 9,465
379 Kirby Corp.* ..................................... 7,675
----------
17,140
----------
Total Transportation ........................ 138,036
----------
Manufacturing (10.96%)
Consumer Durable (1.22%)
265 Ethan Allen Interiors, Inc. ...................... 19,478
383 Intermet Corp. ................................... 6,631
289 K2 Inc. .......................................... 8,959
306 La-Z-Boy Chair Co. ............................... 10,825
542 Outboard Marine Corp. ............................ 9,688
311 Scotts Company Class A* .......................... 8,708
403 Sturm Ruger & Co., Inc. .......................... 7,909
----------
72,198
----------
Building & Housing (0.57%)
84 Butler Manufacturing ............................. 3,024
736 Champion Enterprises, Inc.* ...................... 12,696
321 Ply Gem Industries ............................... 6,219
340 U.S. Home Corp.* ................................. 12,006
----------
33,945
----------
Chemical (1.14%)
307 Brady (WH) Co. ................................... 9,325
235 Cambrex Corp. .................................... 11,442
108 Chemed Corporation ............................... 4,064
356 Lilly Industries, Inc. ........................... 7,876
521 Mississippi Chemical Corp. ....................... 11,299
312 OM Group, Inc. ................................... 11,427
496 Regeneron Pharmaceutical* ........................ 4,588
277 W D-40 Co. ....................................... 7,687
----------
67,708
----------
Diversified (0.93%)
533 Kemet Corp.* ..................................... 15,524
307 Kulicke & Soffa Industries* ...................... 14,103
173 SPS Technologies, Inc.* .......................... 14,856
399 Standard Products, Inc. .......................... 10,574
----------
55,057
----------
Capital Good (0.41%)
254 Standex International Corp. ...................... 8,017
241 Tredegar Industries, Inc. ........................ 16,584
----------
24,601
----------
Paper & Forest Product (0.90%)
307 Buckeye Cellulose Corp.* ......................... 12,088
274 Caraustar Industries ............................. 9,847
279 Mosinee Paper Corp. .............................. 8,300
428 Pope & Talbot, Inc. .............................. 8,988
299 TJ International, Inc. ........................... 7,550
401 Universal Forest Products ........................ 6,817
----------
53,590
----------
Metal & Mineral (1.42%)
318 AMCOL International Corp. ........................ 5,406
395 Baldor Electric Co. .............................. 12,048
368 Castle (A.M.) & Co. .............................. 9,476
273 Commercial Metals Co. ............................ 8,395
1,418 Helca Mining Co.* ................................ 7,710
525 Myers Industries, Inc. ........................... 8,344
365 Pogo Producing Co. ............................... 15,832
407 Valmont Industries, Inc. ......................... 8,547
259 Wolverine Tube, Inc.* ............................ 8,320
----------
84,078
----------
Container (0.07%)
201 Shorewood Packaging Corp.* ....................... 4,347
----------
Computer (1.51%)
507 C Cube Microsystems* ............................. 15,210
345 Comverse Technology, Inc.* ....................... 15,848
469 Gerber Scientific, Inc. .......................... 10,142
779 Komag, Inc.* ..................................... 13,681
196 Kronos, Inc.* .................................... 5,316
495 Methode Electronics CL A ......................... 11,756
443 Network Equip. Tech. Inc.* ....................... 8,334
391 Telxon Corp. ..................................... 9,384
----------
89,671
----------
Non-Ferrous Metal (0.32%)
384 Material Sciences* ............................... 6,144
299 Mueller Industries* .............................. 13,100
----------
19,244
----------
Gold & Precious Metal (0.57%)
346 Alpharma, Inc. Class A ........................... 7,590
57 Alpharma, Inc. Rts.* ............................. 317
883 Coeur D'Alene Mines* ............................. 12,583
390 Getchell Gold Corp.* ............................. 13,260
----------
33,750
----------
Miscellaneous (1.90%)
537 Arctic Cat, Inc. ................................. 5,840
529 Birmingham Steel Corp. ........................... 9,919
300 Delta & Pine Land Co. ............................ 11,025
257 Innovex, Inc. .................................... 8,642
295 Lydall, Inc.* .................................... 7,006
177 Medusa Corp. ..................................... 8,319
178 Novellus Systems, Inc.* .......................... 20,403
256 Quanex Corp. ..................................... 9,296
334 Regal-Beloit Corp. ............................... 10,041
441 Roper Industries, Inc. ........................... 12,458
373 WMS Industries, Inc.* ............................ 9,208
----------
112,157
----------
Total Manufacturing ......................... 650,346
----------
29
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Technology (13.25%)
Office Equipment (0.08%)
274 Filenet Corp.* ................................... $ 4,915
----------
Electronic (2.46%)
330 Applied Magnetics Co.* ........................... 12,189
338 BE Aerospace, Inc.* .............................. 11,999
564 Checkpoint Systems, Inc.* ........................ 7,967
326 Etec Systems, Inc.* .............................. 21,842
96 Fluke Corp. ...................................... 4,752
253 Itron, Inc.* ..................................... 6,072
620 Read-Rite Corp.* ................................. 17,786
291 Sanmina Corp.* ................................... 23,062
150 Speedfam Int'l., Inc.* ........................... 8,231
120 Unitrode Corp.* .................................. 9,360
476 Vitesse Semiconductor* ........................... 22,431
----------
145,691
----------
Bio-Technology (1.00%)
626 Advanced Tissue Sciences* ........................ 9,781
544 Alliance Pharmaceutical* ......................... 5,542
483 Cephalon, Inc.* .................................. 5,192
376 Dekalb Genetics Corp. Cl. B ...................... 14,758
361 Enzo Biochem, Inc.* .............................. 5,821
337 Mycogen Corp.* ................................... 8,341
279 Protein Design Labs, Inc.* ....................... 9,939
----------
59,374
----------
Software (2.53%)
442 Bantec, Inc.* .................................... 10,940
291 Boole & Babbage, Inc.* ........................... 7,566
335 Broederbund Software, Inc.* ...................... 9,883
468 Cerner Corp.* .................................... 13,806
555 Cognex Corp.* .................................... 21,229
321 Cyrix Corp.* ..................................... 9,008
257 Dialogic Corp.* .................................. 10,280
936 Platinum Technology* ............................. 22,230
517 Sterling Software, Inc.* ......................... 17,740
682 System Software Assoc., Inc.* .................... 10,358
357 Vantive Corp.* ................................... 10,889
429 Xircom, Inc.* .................................... 6,060
----------
149,989
----------
Business - Mechanics & Software (0.97%)
777 Axciom Corp.* .................................... 13,792
245 Fair Issac & Company, Inc. ....................... 10,336
303 Henry (Jack) & Assoc. ............................ 7,575
295 Hyperion Software Corp.* ......................... 8,500
690 Network General Corp.* ........................... 11,471
321 Viewlogic Systems, Inc.* ......................... 5,738
----------
57,412
----------
Business - Service (0.76%)
556 American Mgmt. Systems* .......................... 13,900
741 Anixter International* ........................... 11,995
333 Franklin Covey Co.* .............................. 8,283
373 Zebra Tech CL A* ................................. 10,957
----------
45,135
----------
Semiconductor (1.95%)
399 Dallas Semiconductor Corp.* ...................... 15,287
353 Lattice Semiconductor Corp.* ..................... 22,482
775 Microchip Tech.* ................................. 31,339
231 Park Electrochemical Corp. ....................... 6,843
130 Photronics, Inc.* ................................ 7,670
736 S3, Inc.* ........................................ 11,822
612 VLSI Technology* ................................. 20,196
----------
115,639
----------
Telecommunication (2.23%)
401 Allen Telecom, Inc.* ............................. 9,574
748 Aspect Telecom. Corp.* ........................... 16,456
590 Auspex Systems, Inc.* ............................ 6,490
510 Boston Technology, Inc.* ......................... 15,013
284 Digital Microwave Corp.* ......................... 11,679
999 General Communication* ........................... 8,367
1,084 Geotek Communications, Inc.* ..................... 4,743
480 P Com, Inc.* ..................................... 22,290
584 Picturetel Corp.* ................................ 7,300
321 Symmetricom, Inc.* ............................... 5,176
964 Tel-Save Holdings, Inc.* ......................... 17,232
328 Zilog, Inc.* ..................................... 8,036
----------
132,356
----------
Aerospace Aircraft (0.49%)
94 Northrop Grumman Corp. ........................... 11,035
553 Orbital Sciences Corp.* .......................... 11,993
428 UNC, Inc.* ....................................... 6,367
----------
29,395
----------
Telecom Equipment (0.16%)
143 Alliant Techsystems, Inc.* ....................... 9,232
----------
Miscellaneous (0.63%)
478 Keane, Inc.* ..................................... 28,083
275 National Computer Sys., Inc. ..................... 9,006
----------
37,089
----------
Total Technology ............................ 786,227
----------
Energy (5.16%)
Oil & Gas - Domestic (3.09%)
451 Barrett Resources Corp.* ......................... 16,518
411 Benton Oil & Gas* ................................ 6,550
465 Cabot Oil & Gas Corp. ............................ 10,782
482 Cross Timbers Oil Co. ............................ 10,393
460 Devon Energy Corp. ............................... 19,636
139 Energen Corp. .................................... 5,013
401 HS Resources, Inc.* .............................. 6,115
427 KCS Energy, Inc. ................................. 11,396
776 Monterey Resouces, Inc. .......................... 16,005
30
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1997
Shares Value
------ -----
Oil & Gas - Domestic (continued)
199 New Jersey Resources ............................. $ 6,380
492 Newfield Exploration Co.* ........................ 12,638
247 Northwest Natural Gas ............................ 6,175
395 Plains Resources, Inc.* .......................... $ 7,209
1,325 Santa Fe Energy Res.* ............................ 14,658
449 Snyder Oil Corp. ................................. 8,840
292 Southwest Gas .................................... 5,785
484 United Meridian Corp.* ........................... 18,967
----------
183,060
----------
Oil & Gas - International (0.13%)
203 St. Mary Land & Explor. .......................... 7,257
----------
Oil & Gas - Service (1.24%)
412 Camco International, Inc. ........................ 28,376
462 Global Industrial Tech.* ......................... 8,749
262 Oceaneering International* ....................... 6,108
321 Offshore Logistics, Inc.* ........................ 5,858
634 Pride Petroleum Services* ........................ 20,288
110 Seitel, Inc.* .................................... 4,379
----------
73,758
----------
Natural Gas (0.46%)
332 K N Energy, Inc. ................................. 13,778
214 Pennsylvania Ent. ................................ 5,604
202 Wicor, Inc. ...................................... 7,992
----------
27,374
----------
Miscellaneous (0.24%)
687 Input/Output, Inc.* .............................. 14,427
----------
Total Energy ................................ 305,876
----------
Total Common Stock
(cost $4,247,229) ........................................ 4,798,091
----------
Par
Value
-----
Short-Term Investments (18.71%)
United States Treasury Bills
$800,000 5.570% 09/18/97 (b) .............................. 798,016
40,979 Portico U.S. Government Money Market Fund ........ 40,979
269,280 Portico Institutional Money Market Fund .......... 269,280
----------
Total Short-Term Investments (Cost $1,110,275) ... 1,110,275
----------
Total Investments (Cost $5,357,504)(99.55%) ...... 5,906,366
Other Net Assets (0.45%) ......................... 26,555
----------
Net Assets (100.00%) ........................ $5,932,921
==========
- ------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $5,357,504. At August 31,
1997, unrealized apprec iation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ............................ $669,778
Unrealized depreciation ............................ (120,916)
--------
Net unrealized appreciation ................... $548,862
========
(b) At August 31, 1997, certain United States Treasury Bills with a market
value of $366,311 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1997 (Contracts-$500 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
------------
Russell 2000 Stock Index:
1/Dec.97/Long ...................................... $12,168
4/Sept. 97/Long .................................... 37,715
-------
$49,883
=======
See accompanying notes to financial statements
31
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1997
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
------------- ------------ ------------
ASSETS
<S> <C> <C> <C>
Investments at market value (identified cost
$93,390,226, $196,651,661 and $23,296,376
respectively) (Note 1) $ 93,390,226 $209,623,970 $ 24,011,087
Cash (overdraft) 44,456 (6,802) 41,517
Interest receivable 423,303 2,914,390 380,083
Receivable for fund shares sold 70,586 7,290 ---
------------- ------------ ------------
Total assets 93,928,571 212,538,848 24,432,687
------------- ------------ ------------
LIABILITIES
Payable for investments purchased 1,005,740 --- ---
Payable for fund shares repurchased 58,044 36,278 3,159
Payable to Investment Advisor 26,903 82,853 6,345
Accrued expenses 18,282 30,792 7,506
Distributions payable 1,413 190,532 25,923
------------- ------------ ------------
Total liabilities 1,110,382 340,455 42,933
------------- ------------ ------------
Net Assets:
(Applicable to 92,881,560, 16,503,395 and
2,275,260 shares of beneficial interest with
no par value, unlimited number of shares
authorized) $ 92,818,189 $ 212,198,393 $ 24,389,754
============= ============= ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$92,818,189 / 92,881,560 shares $ 1.00
======
$212,198,393 / 16,503,395 shares $ 12.86
=======
$24,389,754 / 2,275,260 shares $ 10.72
=======
Net assets at August 31, 1997 consisted of:
Paid-in capital $ 92,881,560 $ 196,037,248 $ 23,568,519
Undistributed net investment income --- 111,572 10,249
Accumulated net realized gains (losses) (63,371) 3,077,264 96,275
Unrealized appreciation of investments --- 12,972,309 714,711
------------- ------------ ------------
$ 92,818,189 $ 212,198,393 $ 24,389,754
============= ============= ============
</TABLE>
See accompanying notes to financial statements
32
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1997
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
------------ ------------- ------------ ------------
ASSETS
<S> <C> <C> <C> <C>
Investments at market value (identified cost
$31,057,861, $104,495,166, $49,709,555
and $33,646,805 respectively) (Note 1) $ 31,062,425 $ 104,495,166 $ 71,640,937 $ 46,248,753
Cash 43,077 40,373 --- ---
Interest receivable 241,875 --- 22,772 13,391
Dividends receivable --- --- 110,321 39,111
Receivable for fund shares sold 3,000 15,426 88,961 15,023
Receivable for investments sold --- --- --- 60,403
Receivable from Investment Advisor --- --- 4,984 ---
Variation margin receivable --- --- 18,860 16,515
------------ ------------- ------------ ------------
Total assets 31,350,377 104,550,965 71,886,835 46,393,196
------------ ------------- ------------ ------------
LIABILITIES
Payable to Investment Advisor 11,913 24,067 --- 11,078
Accrued expenses 8,748 11,751 22,100 10,457
Payable for investments purchased --- --- --- 100,260
Payable for fund shares repurchsed 7,668 4,548 4,866 500
Distributions payable 45,261 1,623 --- ---
------------ ------------- ------------ ------------
Total liabilities 73,590 41,989 26,966 122,295
------------ ------------- ------------ ------------
Net Assets:
(Applicable to 3,012,324, 104,508,870,
3,596,530 and 2,492,213 shares of
beneficial interest with no par value,
unlimited number of shares authorized) $ 31,276,787 $ 104,508,976 $ 71,859,869 $ 46,270,901
============ ============= ============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$31,276,787 / 3,012,324 shares $ 10.38
=======
$104,508,976 / 104,508,870 shares $ 1.00
======
$71,859,869 / 3,596,530 shares $ 19.98
=======
$46,270,901 / 2,492,213 shares $ 18.57
=======
Net assets at August 31, 1997 consisted of:
Paid-in capital $ 31,057,379 $ 104,508,870 $ 48,402,664 $ 30,047,399
Undistributed net investment income 51,427 --- 108,369 98,859
Undistributed net realized gains 163,417 106 1,142,489 3,201,740
Unrealized appreciation of investments 4,564 --- 21,931,382 12,601,948
Unrealized appreciation of futures contracts --- --- 274,965 320,955
------------ ------------- ------------ ------------
$ 31,276,787 $ 104,508,976 $ 71,859,869 $ 46,270,901
============ ============= ============ ============
</TABLE>
See accompanying notes to financial statements
33
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1997
S&P
SmallCap Equity
Index Income
Fund Fund
---------- -----------
ASSETS
<S> <C> <C>
Investments at market value
(identified cost $5,357,504
and $8,928,954 respectively) (Note 1) $ 5,906,366 $ 9,693,346
Interest receivable 1,669 2,057
Dividends receivable 2,415 20,711
Receivable for fund shares sold 30,005 16,206
Receivable from Investment Advisor 5,935 ---
Variation margin receivable 5,875 7,350
Deferred organization costs 10,264 20,456
---------- -----------
Total assets 5,962,529 9,760,126
---------- -----------
LIABILITIES
Payable for investments purchased 10,704 ---
Payable to Investment Advisor --- 4,118
Accrued expenses 18,904 9,489
---------- -----------
Total liabilities 29,608 13,607
---------- -----------
Net Assets:
(Applicable to 484,210 and 771,067
shares of beneficial interest with no par value,
unlimited number of shares authorized) $ 5,932,921 $ 9,746,519
=========== ===========
Pricing of Shares:
Net asset value, offering and
redemption price per share
$5,932,921 / 484,210 shares $ 12.25
=======
$9,746,519 / 771,067 shares $ 12.64
=======
Net assets at August 31, 1997 consisted of:
Paid-in capital $ 5,094,309 $ 8,674,195
Undistributed net investment income 13,768 51,300
Undistributed net realized gains 226,099 148,287
Unrealized appreciation
of investments 548,862 764,392
Unrealized appreciation
of futures contracts 49,883 108,345
---------- -----------
$ 5,932,921 $ 9,746,519
=========== ===========
</TABLE>
See accompanying notes to financial statements
34
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS
For Year Ended August 31, 1997
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
------------ ------------ ------------
Investment Income:
<S> <C> <C> <C>
Interest income $ 3,331,103 $ 10,821,589 $ 1,216,345
------------ ------------ ------------
Expenses:
Management fees (Note 2) 479,264 961,291 126,291
Transfer agent fees 36,675 62,329 10,082
Accounting services 21,363 64,631 26,419
Custodian fees 22,886 32,001 4,980
Legal and audit fees 14,727 60,984 4,064
Trustees fees 4,017 3,989 3,971
Insurance 926 1,755 223
Printing 3,899 4,473 1,386
Registration & dues 614 2,673 94
------------ ------------ ------------
Total expenses 584,371 1,194,126 177,510
Less reimbursement from manager (Note 2) (200,511) --- (38,590)
------------ ------------ ------------
Net expenses 383,860 1,194,126 138,920
------------ ------------ ------------
Net investment income 2,947,243 9,627,463 1,077,425
------------ ------------ ------------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions 5,971 3,204,625 130,038
Increase in unrealized appreciation of investments --- 6,012,149 552,302
------------ ------------ ------------
Net realized and unrealized gain on
investments 5,971 9,216,774 682,340
------------ ------------ ------------
Net increase in net assets resulting
from operations $ 2,953,214 $ 18,844,237 $ 1,759,765
============ ============ ============
</TABLE>
See accompanying notes to financial statements
35
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS
For Year Ended August 31, 1997
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
----------- ----------- ----------- -----------
Investment Income:
<S> <C> <C> <C> <C>
Interest income $ 2,009,159 $ 2,198,880 $ 378,983 $ 178,667
Dividend income --- --- 980,355 522,924
----------- ----------- ----------- -----------
Total 2,009,159 2,198,880 1,359,338 701,591
----------- ----------- ----------- -----------
Expenses:
Management fees (Note 2) 150,067 210,368 143,433 155,818
Transfer agent fees 13,036 13,715 35,203 21,658
Accounting services 18,581 22,119 23,538 21,166
Custodian fees 8,598 8,682 22,834 14,552
Legal and audit fees 12,326 9,541 8,500 7,354
Trustees fees 1,995 2,064 1,994 2,005
Insurance 266 302 13,426 315
Printing 2,968 2,068 8,273 5,916
Registration & dues 723 198 1,491 1,003
Standard & Poor's licensing fees --- --- 10,000 10,000
----------- ----------- ----------- -----------
Total expenses 208,560 269,057 268,692 239,787
Less reimbursement from manager (Note 2) (13,522) (100,556) (151,316)* (83,969)*
----------- ----------- ----------- -----------
Net expenses 195,008 168,501 117,376 155,818
----------- ----------- ----------- -----------
Net investment income 1,814,151 2,030,379 1,241,962 545,773
----------- ----------- ----------- -----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from security transactions 181,246 (1,524) 217,651 2,948,458
Net realized gain from futures contracts --- --- 1,325,380 534,845
Increase in unrealized appreciation of investments 889,918 --- 15,741,854 7,983,701
Increase in unrealized gain from futures contracts --- --- 354,370 324,290
----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on
investments 1,071,164 (1,524) 17,639,255 11,791,294
----------- ----------- ----------- -----------
Net increase in net assets resulting
from operations $ 2,885,315 $ 2,028,855 $18,881,217 $12,337,067
=========== =========== =========== ===========
</TABLE>
* During fiscal years ended August 31, 1997 and 1996, the Manager received
monies in the form of quarterly account fees from shareholders of the S&P 500
Index Fund and the S&P MidCap Index Fund to offset custody expenses. For the
fiscal year ended August 31, 1997 the manager received $14,668 from the S&P 500
Index Fund shareholders and $10,190 from the S&P MidCap Index Fund shareholders,
which monies were applied to the Funds' custody charges, reducing the Funds'
operating expenses. The reduction in the Funds' operating expenses had the
effect of lowering the amount of out-of-pocket reimbursements by the Manager in
that fiscal year to $136,648 for the S&P 500 Index Fund and $73,770 for the S&P
MidCap Fund. For the prior fiscal year ended August 31, 1996, the Manager
received $10,453 from the S&P 500 Index Fund shareholders and $9,655 from the
S&P MidCap Index Fund shareholders, which monies were applied to the Funds'
custody charges, reducing the Funds' operating expenses. The reduction in the
Funds' operating expenses had the effect of lowering the amount of out-of-pocket
reimbursements by that Manager in that fiscal year to $112,229 for the S&P 500
Index Fund and $82,296 for the S&P MidCap Index Fund. Previously reported
numbers for the Funds' 1996 fiscal year reflected reimbursement for these two
Funds as $112,682 and $91,951, respectively. The Manager has made arrangements
for quarterly account fees to be paid directly to the custodian in the future.
See accompanying notes to financial statements
36
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF OPERATIONS
Year ended August 31, 1997
S&P
SmallCap Equity
Index Income
Fund* Fund**
-------- ----------
Investment Income:
<S> <C> <C>
Interest income $61,040 $96,751
Dividend income 17,369 83,214
-------- ----------
Total 78,409 179,965
-------- ----------
Expenses:
Management fees (Note 2) 15,081 22,205
Transfer agent fees 7,800 8,600
Accounting services 18,805 18,827
Custodian fees 16,038 3,956
Legal and audit fees 4,728 5,742
Trustees fees 2,000 2,000
Insurance 189 214
Printing 1,494 1,290
Registration & dues 1,303 1,311
Standard & Poor's licensing fees 686 ---
Amortization of deferred organizational costs 2,308 5,136
-------- ----------
Total expenses 70,432 69,281
Less reimbursement from manager (Note 2) (50,827) (35,391)
-------- ----------
Net expenses 19,605 33,890
-------- ----------
Net investment income 58,804 146,075
-------- ----------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions 60,141 1,693
Net realized gain from futures contracts 165,958 200,285
Change in unrealized appreciation of investments 548,862 764,392
Change in unrealized gain from futures contracts 49,883 108,345
-------- ----------
Net realized and unrealized gain on
investments 824,844 1,074,715
-------- ----------
Net increase in net assets resulting
from operations $883,648 $1,220,790
======== ==========
</TABLE>
* Commencement of Operations October 2, 1996
** Commenecement of Operations September 4, 1996
See accompanying notes to financial statements
37
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS
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,
1997 1996 1997 1996
------------ ------------- ------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 2,947,243 $ 2,871,143 $ 9,627,463 $ 9,930,698
Net realized gain (loss) on investments 5,971 (7,237) 3,204,625 1,141,813
Increase in unrealized
appreciation of investments --- --- 6,012,149 819,602
------------ ------------- ------------- -------------
Net increase in net
assets resulting from operations 2,953,214 2,863,906 18,844,237 11,892,113
Undistributed investment income
included in price of shares sold
and repurchased --- --- 84,784 (48,607)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (2,947,243) (2,871,143) (9,602,319) (9,898,576)
Distributions from realized capital
gains on investments --- --- --- ---
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions (10,589,839) 22,997,717 7,946,108 (3,064,916)
------------ ------------- ------------- -------------
Total increase (decrease) (10,583,868) 22,990,480 17,272,810 (1,119,986)
NET ASSETS
Beginning of Year 103,402,057 80,411,577 194,925,583 196,045,569
------------ ------------- ------------- -------------
End of Year $ 92,818,189 $ 103,402,057 $ 212,198,393 $ 194,925,583
============ ============= ============= =============
* Including undistributed net
investment income of: $ --- $ --- $ 111,572 $ 1,644
============ ============= ============= =============
</TABLE>
See accompanying notes to financial statements
38
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
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,
1997 1996 1997 1996
------------ ------------- ------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 1,077,425 $ 1,021,722 $ 1,814,151 $ 1,871,541
Net realized gain on investments 130,038 252,253 181,246 515,038
Increase (decrease) in unrealized
appreciation of investments 552,302 (413,306) 889,918 (1,961,734)
------------ ------------- ------------- -------------
Net increase in net
assets resulting from operations 1,759,765 860,669 2,885,315 424,845
Undistributed investment income
included in price of shares sold
and repurchased (6,547) (3,699) (875) (1,739)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (1,068,379) (1,015,189) (1,804,334) (1,864,644)
Distributions from realized capital
gains on investments --- --- (401,287) ---
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions (501,814) 849,529 1,510,204 645,403
------------ ------------- ------------- -------------
Total increase (decrease) 183,025 691,310 2,189,023 (796,135)
NET ASSETS
Beginning of Year 24,206,729 23,515,419 29,087,764 29,883,899
------------ ------------- ------------- -------------
End of Year $ 24,389,754 $ 24,206,729 $ 31,276,787 $ 29,087,764
============ ============= ============= =============
* Including undistributed net
investment income of: $ 10,249 $ 7,750 $ 51,427 $ 10,226
============ ============= ============= =============
</TABLE>
See accompanying notes to financial statements
39
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
The United States
Treasury Trust
-------------------------------
Year Ended Year Ended
August 31, August 31,
1997 1996
------------ -------------
OPERATIONS:
<S> <C> <C>
Net investment income $ 2,030,379 $ 1,856,992
Net realized gain (loss) on investments (1,524) 6,239
------------ -------------
Net increase in net
assets resulting from operations 2,028,855 1,863,231
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (2,030,379) (1,856,992)
Distributions from realized capital
gains on investments --- (10,667)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions 66,607,794 8,110,028
------------ -------------
Total increase 66,606,270 8,105,600
NET ASSETS
Beginning of year 37,902,706 29,797,106
------------ -------------
End of year* $104,508,976 $ 37,902,706
============ =============
* Including undistributed net
investment income of: $ --- $ ---
============ =============
</TABLE>
See accompanying notes to financial statements
40
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
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,
1997 1996 1997 1996
------------ ------------- ------------ ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income $ 1,241,962 $ 839,009 $ 545,773 $ 497,699
Net realized gain on investments 217,651 201,229 2,948,458 1,720,601
Net realized gain on
futures contracts 1,325,380 439,470 534,845 327,260
Increase in unrealized
appreciation of investments 15,741,854 3,212,679 7,983,701 827,425
Increase (decrease) in unrealized
appreciation of futures contracts 354,370 (146,030) 324,290 (289,620)
------------ ------------- ------------ ------------
Net increase in net
assets resulting from operations 18,881,217 4,546,357 12,337,067 3,083,365
Undistributed investment income
included in price of shares sold
and repurchased 23,729 52,233 1,875 7,839
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (1,199,941) (824,485) (531,399) (508,545)
Distributions from realized capital
gains on investments (870,328) (958,225) (1,714,021) (1,304,003)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions 11,175,794 19,233,328 2,618,293 6,112,586
------------ ------------- ------------ ------------
Total increase 28,010,471 22,049,208 12,711,815 7,391,242
NET ASSETS
Beginning of Year 43,849,398 21,800,190 33,559,086 26,167,844
------------ ------------- ------------ ------------
End of Year $ 71,859,869 $ 43,849,398 $ 46,270,901 $ 33,559,086
============ ============= ============ ============
* Including undistributed net
investment income of: $ 108,369 $ 185,625 $ 98,859 $ 82,610
============ ============= ============ ============
</TABLE>
See accompanying notes to financial statements
41
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
S&P SmallCap Equity
Index Fund Income Fund
--------------- -----------------
October 2, 1996* September 4, 1996*
to to
August 31, 1997 August 31, 1997
--------------- -----------------
OPERATIONS:
<S> <C> <C>
Net investment income $ 58,804 $ 146,075
Net realized gain on investments 60,141 1,693
Net realized gain on
futures contracts 165,958 200,285
Increase in unrealized
appreciation of investments 548,862 764,392
Increase in unrealized
appreciation of futures contracts 49,883 108,345
----------- -----------
Net increase in net
assets resulting from operations 883,648 1,220,790
Undistributed investment income
included in price of shares sold
and repurchased 13,450 31,249
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (58,486) (126,024)
Distributions from realized capital
gains on investments --- (53,691)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions 5,094,309 8,674,195
----------- -----------
Total increase 5,932,921 9,746,519
NET ASSETS
Beginning of period --- ---
----------- -----------
End of period $ 5,932,921 $ 9,746,519
=========== ===========
** Including undistributed net
investment income of: $ 13,768 $ 51,300
=========== ===========
</TABLE>
* Commencement of Operations
See accompanying notes to financial statements
42
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
California Tax Free Income Fund
------------------------------------------------------------------
Year Ended Year Ended
August 31, 1997 August 31, 1996
------------------------------ -----------------------------
Shares Value Shares Value
----------- ------------- ----------- -------------
<S> <C> <C> <C> <C>
Shares sold 15,518,073 $ 195,235,391 19,241,362 $ 239,721,369
Shares issued in reinvestment of
dividends 556,169 7,038,369 590,351 7,370,563
----------- ------------- ----------- -------------
16,074,242 202,273,760 19,831,713 247,091,932
Shares repurchased (15,411,321) (194,327,652) (20,037,128) (250,156,848)
----------- ------------- ----------- -------------
Net increase (decrease) 662,921 $ 7,946,108 (205,415) $ (3,064,916)
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
California Insured Intermediate Fund
------------------------------------------------------------------
Year Ended Year Ended
August 31, 1997 August 31, 1996
------------------------------ -----------------------------
<S> <C> <C> <C> <C>
Shares sold 553,257 $ 5,868,595 486,799 $ 5,134,564
Shares issued in reinvestment of
dividends 65,488 694,600 61,399 647,284
----------- ------------- ----------- -------------
618,745 6,563,195 548,198 5,781,848
Shares repurchased (665,994) (7,065,009) (467,461) (4,932,319)
----------- ------------- ----------- -------------
Net increase (decrease) (47,249) $ (501,814) 80,737 $ 849,529
=========== ============= =========== =============
</TABLE>
<TABLE>
<CAPTION>
California Tax-Free The United States
Money Market Fund Treasury Trust
---------------------------------- ----------------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, 1997 August 31, 1996 August 31, 1997 August 31, 1996
Shares/Value Shares/Value Shares/Value Shares/Value
---------------------------------- ----------------------------------
<S> <C> <C> <C> <C>
Shares sold 227,563,107 340,959,349 177,112,223 142,670,759
Shares issued in reinvestment of
dividends 2,752,018 2,690,146 1,911,369 1,792,248
------------ ------------ ------------ ------------
230,315,125 343,649,495 179,023,592 144,463,007
Shares repurchased (240,904,964) (320,651,778) (112,415,798) (136,352,979)
------------ ------------ ------------ ------------
Net increase (decrease) (10,589,839) 22,997,717 66,607,794 8,110,028
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
43
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
U.S. Government Securities Fund
-----------------------------------------------------------------
Year Ended Year Ended
August 31, 1997 August 31, 1996
----------------------------- ----------------------------
<S> <C> <C> <C> <C>
Shares sold 902,210 $ 9,397,314 435,901 $ 4,635,912
Shares issued in reinvestment of
dividends 140,590 1,478,128 115,296 1,230,789
---------- ------------- ---------- -------------
1,042,800 10,875,442 551,197 5,866,701
Shares repurchased (897,543) (9,365,238) (488,489) (5,221,298)
---------- ------------- ---------- -------------
Net increase 145,257 $ 1,510,204 62,708 $ 645,403
========== ============= ========== =============
</TABLE>
<TABLE>
<CAPTION>
S&P 500 Index Fund
-----------------------------------------------------------------
Year Ended Year Ended
August 31, 1997 August 31, 1996
----------------------------- ----------------------------
<S> <C> <C> <C> <C>
Shares sold 995,232 $ 17,627,409 1,401,521 $ 20,434,952
Shares issued in reinvestment
dividends 116,363 1,976,364 121,420 1,710,169
---------- ------------- ---------- -------------
1,111,595 19,603,773 1,522,941 22,145,121
Shares repurchased (475,659) (8,427,979) (199,649) (2,911,793)
---------- ------------- ---------- -------------
Net increase 635,936 $ 11,175,794 1,323,292 $ 19,233,328
========== ============= ========== =============
</TABLE>
<TABLE>
<CAPTION>
S&P MidCap Index Fund
-----------------------------------------------------------------
Year Ended Year Ended
August 31, 1997 August 31, 1996
----------------------------- ----------------------------
<S> <C> <C> <C> <C>
Shares sold 393,161 $ 6,202,187 495,843 $ 7,090,800
Shares issued in reinvestment of
dividends 135,895 2,070,573 126,606 1,742,125
---------- ------------- ---------- -------------
529,056 8,272,760 622,449 8,832,925
Shares repurchased (359,660) (5,654,467) (193,733) (2,720,339)
---------- ------------- ---------- -------------
Net increase 169,396 $ 2,618,293 428,716 $ 6,112,586
========== ============= ========== =============
</TABLE>
See accompanying notes to financial statements
44
<PAGE>
<TABLE>
<CAPTION>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
S&P SmallCap Index Fund
--------------------------
October 2, 1996*
to
August 31, 1997
--------------------------
Shares Value
------- -----------
<S> <C> <C>
Shares sold 527,577 $ 5,546,419
Shares issued in reinvestment of
dividends 5,093 52,289
------- -----------
532,670 5,598,708
Shares repurchased (48,460) (504,399)
------- -----------
Net increase 484,210 $ 5,094,309
======= ===========
</TABLE>
<TABLE>
<CAPTION>
Equity Income Fund
--------------------------
September 4, 1996*
to
August 31, 1997
--------------------------
Shares Value
------- -----------
<S> <C> <C>
Shares sold 808,442 $ 9,069,892
Shares issued in reinvestment of
dividends 15,282 172,099
------- -----------
823,724 9,241,991
Shares repurchased (52,657) (567,796)
------- -----------
Net increase 771,067 $ 8,674,195
======= ===========
</TABLE>
* Commencement of Operations
See accompanying notes to financial statements
45
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each year)
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,
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<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 0.031 0.032 0.032 0.022 0.022
LESS DISTRIBUTIONS
Dividends from net investment income (0.031) (0.032) (0.032) (0.022) (0.022)
-------- -------- -------- -------- --------
Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
Total Return 3.09% 3.26% 3.27% 2.18% 2.27%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 92,818 $103,402 $ 80,412 $ 85,935 $ 58,754
Ratio of expenses to average net assets:
Before expense reimbursements 0.61% 0.61% 0.66% 0.68% 0.39%
After expense reimbursements 0.40% 0.40% 0.40% 0.35% 0.24%
Ratio of net investment income to average net assets:
Before expense reimbursements 2.86% 2.90% 2.97% 1.83% 2.10%
After expense reimbursements 3.07% 3.11% 3.23% 2.16% 2.25%
</TABLE>
See accompanying notes to the financial statements
46
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
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,
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year $ 12.31 $ 12.22 $ 12.17 $ 13.39 $ 12.42
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.60 0.62 0.61 0.65 0.69
Net gain (loss) on securities (both
realized and unrealized) 0.54 0.09 0.30 (0.92) 1.04
-------- -------- -------- -------- --------
Total from investment operations 1.14 0.71 0.91 (0.27) 1.73
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.59) (0.62) (0.66) (0.66) (0.68)
Distributions from capital gains .--- .--- (0.20) (0.29) (0.08)
-------- -------- -------- -------- --------
Total distributions (0.59) (0.62) (0.86) (0.95) (0.76)
-------- -------- -------- -------- --------
Net asset value, end of year $ 12.86 $ 12.31 $ 12.22 $ 12.17 $ 13.39
======== ======== ======== ======== ========
Total Return 9.48% 5.40% 8.01% (2.15%) 14.55%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $212,198 $194,926 $196,046 $225,087 $274,325
Ratio of expenses to average net assets:
Before expense reimbursements 0.59% 0.60% 0.62% 0.60% 0.60%
After expense reimbursements 0.59% 0.60% 0.62% 0.60% 0.60%
Ratio of net investment income to average net assets:
Before expense reimbursements 4.75% 4.96% 5.13% 5.09% 5.41%
After expense reimbursements 4.75% 4.96% 5.13% 5.09% 5.41%
Portfolio Turnover 34.96% 10.34% 32.21% 31.27% 25.42%
</TABLE>
* Annualized
See accompanying notes to the financial statements
47
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout the period)
California Insured Intermediate Fund
-----------------------------------------------------------------
October 20,
Year Ended Year Ended Year Ended Year Ended 1992* to
August 31, August 31, August 31, August 31, August 31,
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.42 $ 10.49 $ 10.23 $ 10.65 $ 10.00
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.45 0.46 0.44 0.44 0.40
Net gain (loss) on securities (both
realized and unrealized) 0.30 (0.07) 0.30 (0.42) 0.61
-------- -------- -------- -------- --------
Total from investment operations 0.75 0.39 0.74 0.02 1.01
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.45) (0.46) (0.48) (0.44) (0.36)
-------- -------- -------- -------- --------
Net asset value, end of period $ 10.72 $ 10.42 $ 10.49 $ 10.23 $ 10.65
======== ======== ======== ======== ========
Total Return 7.34% 3.75% 7.46% 0.23% 11.91%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 24,390 $ 24,207 $ 23,515 $ 21,800 $ 11,145
Ratio of expenses to average net assets:
Before expense reimbursements 0.70% 0.70% 0.76% 0.88% 2.00%**
After expense reimbursements 0.55% 0.55% 0.60% 0.46% 0.16%**
Ratio of net investment income to average net assets:
Before expense reimbursements 4.12% 4.22% 4.19% 3.77% 2.75%**
After expense reimbursements 4.27% 4.37% 4.35% 4.19% 4.59%**
Portfolio Turnover 32.11% 36.08% 43.56% 8.91% ---
</TABLE>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
48
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
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,
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year $ 10.15 $ 10.66 $ 10.30 $ 11.76 $ 10.52
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.64 0.66 0.70 0.67 0.71
Net gain (loss) on securities (both
realized and unrealized) 0.36 (0.51) 0.41 (1.40) 1.29
-------- -------- -------- -------- --------
Total from investment operations 1.00 0.15 1.11 (0.73) 2.00
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.63) (0.66) (0.75) (0.67) (0.71)
Distributions from capital gains (0.14) .--- .--- (0.06) (0.05)
-------- -------- -------- -------- --------
Total distributions (0.77) (0.66) (0.75) (0.73) (0.76)
-------- -------- -------- -------- --------
Net asset value, end of year $ 10.38 $ 10.15 $ 10.66 $ 10.30 $ 11.76
======== ======== ======== ======== ========
Total Return 10.00% 1.26% 11.42% (6.44%) 20.09%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 31,277 $ 29,088 $ 29,884 $ 30,228 $ 35,787
Ratio of expenses to average net assets:
Before expense reimbursements 0.69% 0.71% 0.75% 0.73% 0.75%
After expense reimbursements 0.65% 0.65% 0.64% 0.62% 0.52%
Ratio of net investment income to average net assets:
Before expense reimbursements 6.00% 6.10% 6.72% 5.99% 6.32%
After expense reimbursements 6.04% 6.16% 6.83% 6.10% 6.55%
Portfolio Turnover 170.76% 89.11% 169.83% 129.06% 52.30%
</TABLE>
* Annualized
See accompanying notes to the financial statements
49
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout the period)
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,
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<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 0.048 0.050 0.050 0.031 0.028
LESS DISTRIBUTIONS
Dividends from net investment income (0.048) (0.050) (0.050) (0.031) (0.028)
-------- -------- -------- -------- --------
Net asset value, end of year $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
Total Return 4.92% 5.11% 5.10% 3.11% 2.86%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $104,509 $ 37,903 $ 29,797 $ 19,268 $ 28,449
Ratio of expenses to average net assets:
Before expense reimbursements 0.64% 0.66% 0.72% 0.75% 0.65%
After expense reimbursements 0.40% 0.43% 0.50% 0.52% 0.32%
Ratio of net investment income to average net assets:
Before expense reimbursements 4.58% 4.60% 4.75% 2.62% 2.43%
After expense reimbursements 4.82% 4.83% 4.97% 2.85% 2.76%
</TABLE>
* Annualized
See accompanying notes to the financial statements
50
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout the period)
S&P 500 Index Fund
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year $ 14.81 $ 13.31 $ 11.38 $ 11.25 $ 10.09
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.38 0.36 0.39 0.30 0.30
Net gain on securities (both
realized and unrealized) 5.44 2.05 1.94 0.26 1.16
-------- -------- -------- -------- --------
Total from investment operations 5.82 2.41 2.33 0.56 1.46
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.37) (0.37) (0.37) (0.30) (0.30)
Distributions from capital gains (0.28) (0.54) (0.03) (0.13) .---
-------- -------- -------- -------- --------
Total distributions (0.65) (0.91) (0.40) (0.43) (0.30)
-------- -------- -------- -------- --------
Net asset value, end of year $ 19.98 $ 14.81 $ 13.31 $ 11.38 $ 11.25
======== ======== ======== ======== ========
Total Return 40.19% 18.63% 21.06% 5.17% 14.77%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 71,860 $ 43,849 $ 21,800 $ 14,830 $ 11,352
Ratio of expenses to average net assets:
Before expense reimbursements 0.46% 0.57% 1.04% 1.01% 1.41%
After expense reimbursements 0.20% 0.20% 0.20% 0.20% 0.09%
Ratio of net investment income to average net assets:
Before expense reimbursements 1.85% 2.13% 2.40% 1.95% 1.54%
After expense reimbursements 2.11% 2.50% 3.24% 2.76% 2.86%
Portfolio Turnover 2.10% 1.87% 3.68% 1.22% 8.46%
Average per share broker commissions (1) $ 0.0300 $ 0.0284
</TABLE>
(1) not required prior to August 31, 1995
See accompanying notes to the financial statements
51
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout the period)
S&P MidCap Index Fund
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1997 1996 1995 1994 1993
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year $ 14.45 $ 13.82 $ 12.21 $ 12.23 $ 10.12
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.22 0.24 0.26 0.22 0.25
Net gain on securities (both
realized and unrealized) 4.85 1.33 2.04 0.22 2.11
-------- -------- -------- -------- --------
Total from investment operations 5.07 1.57 2.30 0.44 2.36
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment income (0.22) (0.25) (0.25) (0.22) (0.25)
Distributions from capital gains (0.73) (0.69) (0.44) (0.24) .---
-------- -------- -------- -------- --------
Total distributions (0.95) (0.94) (0.69) (0.46) (0.25)
-------- -------- -------- -------- --------
Net asset value, end of year $ 18.57 $ 14.45 $ 13.82 $ 12.21 $ 12.23
======== ======== ======== ======== ========
Total Return 36.63% 11.77% 20.24% 3.75% 23.64%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) $ 46,271 $ 33,559 $ 26,168 $ 21,789 $ 16,243
Ratio of expenses to average net assets:
Before expense reimbursements 0.61% 0.71% 0.80% 0.97% 1.36%
After expense reimbursements 0.40% 0.40% 0.40% 0.40% 0.17%
Ratio of net investment income (loss) to average net assets:
Before expense reimbursements 1.19% 1.38% 1.70% 1.30% 0.97%
After expense reimbursements 1.40% 1.69% 2.10% 1.87% 2.16%
Portfolio Turnover 17.80% 18.18% 11.71% 15.01% 8.16%
Average per share broker commissions (1) $ 0.0266 $ 0.0214
</TABLE>
(1) Not required before August 31, 1995
See accompanying notes to the financial statements
52
<PAGE>
<TABLE>
<CAPTION>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout the period)
S&P SmallCap Index Fund Equity Income Fund
October 2, 1996* September 4, 1996*
to to
August 31, 1997 August 31, 1997
--------------- ---------------
<S> <C> <C>
Net asset value, beginning of period $ 10.00 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.23 0.39
Net gain on securities (both
realized and unrealized) 2.22 2.84
------- -------
Total from investment operations 2.45 3.23
------- -------
LESS DISTRIBUTIONS
Dividends from net investment income (0.20) (0.32)
Distributions from capital gains .--- (0.27)
------- -------
Total distributions (0.20) (0.59)
------- -------
Net asset value, end of period $ 12.25 $ 12.64
======= =======
Total Return 24.86% 33.28%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 5,933 $ 9,747
Ratio of expenses to average net assets:
Before expense reimbursements 2.32%** 1.55%**
After expense reimbursements 0.65%** 0.76%**
Ratio of net investment income (loss) to average net assets:
Before expense reimbursements 0.27%** 2.48%**
After expense reimbursements 1.94%** 3.27%**
Portfolio Turnover 19.99%** 2.80%**
Average per share broker commission $0.1219 $0.0300
</TABLE>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
53
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
August 31, 1997
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are 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, S&P MidCap Index Fund,
S&P SmallCap Index Fund and Equity Income 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, S&P MidCap Index Fund and S&P SmallCap 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, the Standard & Poor's MidCap 400 Index
and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of current income by investing primarily in income
producing equity securities. The following is a summary of significant
accounting policies followed by the Funds.
(a) Security Valuation --- Portfolio securities of the S&P 500, S&P
MidCap and S&P SmallCap Index Funds and the Equity Income Fund 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, S&P MidCap Index
Fund, S&P SmallCap Index Fund and Equity Income 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
54
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
August 31, 1997
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Continued)
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.
(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 $29,000 which expire as
follows, $10,000 in 1999, $4,000 in 2000, $2,000 in 2003 and $13,000 in
2004.
(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, S&P MidCap Index Fund, S&P
SmallCap Index Fund and the Equity Income 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, S&P MidCap Index Fund, S&P SmallCap Index Fund and
Equity Income 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.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund,
55
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
August 31, 1997
Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
(CONTINUED)
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. In accordance with the
terms of the management agreements with the S&P SmallCap Index Fund and Equity
Income Fund, CCM Partners receives compensation at the annual rate of 0.50% of
the first $500 million of net assets, plus 0.45% on net assets from $500 Million
to $1 billion, and 0.40% of assets above $1 billion. 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, 1997, is as follows:
California Tax-Free Money Market Fund ....................... $200,511
California Insured Intermediate Fund ........................ $ 38,590
U.S. Government Securities Fund ............................. $ 13,552
The United States Treasury Trust ............................ $100,556
S&P 500 Index Fund .......................................... $151,316
S&P MidCap Index Fund ....................................... $ 83,969
S&P SmallCap IndexFund ...................................... $ 50,827
Equity Income Fund .......................................... $ 35,391
CCM has retained Bank of America NT&SA to act as Sub-Advisor to the S&P 500
Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund and Equity Income
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. In the case of the S&P 500 Index Fund, CCM compensates the
Sub-Advisor at an annual rate of 0.10% on net assets up to $50 million and 0.05%
of net assets above $50 million. CCM Partners compensates the Sub-Advisor at a
rate of 0.15%, 0.10%, and 0.10% of net assets for the Equity Income Fund, S&P
MidCap Index Fund and the S&P SmallCap Index Fund, respectively.
Certain officers and trustees of the Trust are also partners of CCM
Partners.
Note 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the year ended August 31, 1997 were as follows:
Purchases Sales
----------- -----------
California Tax-Free Income Fund ............. $66,322,974 $68,079,624
California Insured Intermediate Fund ........ $ 7,717,267 $ 8,158,786
U.S. Government Securities Fund ............. $49,574,522 $48,782,439
S&P 500 Index Fund .......................... $ 8,802,507 $ 1,074,995
S&P Midcap Index Fund ....................... $ 6,313,050 $ 6,967,124
S&P SmallCap IndexFund ...................... $ 4,776,285 $ 587,324
Equity Income Fund .......................... $ 5,825,308 $ 106,946
For the year ended August 31, 1997, 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.
56
<PAGE>
CALIFORNIA
INVESTMENT GRUST
- ---------------- ---------------
FUND GROUP BULK POSTAGE
PAID
Milwaukee, WI
44 Montgomery Street #2100 PERMIT NO. 2855
San Francisco, CA 94104 ---------------
<PAGE>
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, S&P MidCap Index
Fund, S&P SmallCap Index Fund and Equity Income Fund, each a series of shares of
beneficial interest of California Investment Trust II, including the portfolios
of investments, as of August 31, 1997 and the related statements of operations
for the year or period then ended, the statements of changes in net assets 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, 1997, 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, S&P MidCap Index Fund, S&P
SmallCap Index Fund and Equity Income Fund as of August 31, 1997, the results of
their operations for the year or period then ended, the changes in their net
assets and the financial highlights for the periods referred to above, in
conformity with generally accepted accounting principles.
Tait, Weller & Baker
Philadelphia, Pennsylvania
September 25, 1997
