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Previous: CALIFORNIA INVESTMENT TRUST II, NSAR-A/A, 1997-05-01 |
Next: WRL SERIES FUND INC, 497J, 1997-05-01 |
CALIFORNIA
INVESTMENT TRUST
FUND GROUP (TM)
SEMI-ANNUAL REPORT
FEBRUARY 28, 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.
<PAGE>
<TABLE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
February 28, 1997
(unaudited)
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
VARIABLE RATE DEMAND NOTES (47.46%)
ANAHEIM PUBLIC IMPROVEMENT CORPORATION
<C> <C> <C> <C>
$ 3,000,000 Certificate of Participation, 1993 Refunding Project 3.200% 03/04/97 $ 3,000,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
4,000,000 Cottage Hospital Santa Barbara 3.100% 03/05/97 4,000,000
400,000 St. Joseph's Health 1991B 3.350% 03/01/97 400,000
1,000,000 Sutter Health 3.350% 03/01/97 1,000,000
CALIFORNIA POLLUTION CONTROL AUTHORITY
1,000,000 So Cal Edison Series 1986A 3.450% 03/01/97 1,000,000
400,000 So Cal Edison Series 1986B 3.450% 03/01/97 400,000
1,900,000 So Cal Edison Series 1986C 3.450% 03/01/97 1,900,000
CALIFORNIA, STATE OF
1,600,000 Revenue Anticipation Notes 3.300% 03/01/97 1,600,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Rev. Cert. of Participation 3.000% 03/05/97 3,000,000
IRVINE, CITY OF
1,000,000 Updates Improvement Project 3.350% 03/01/97 1,000,000
IRVINE RANCH WATER DISTRICT
1,300,000 Consolidated Series, 1985 B 3.200% 03/01/97 1,300,000
2,800,000 Consolidated Series, 1993 3.300% 03/01/97 2,800,000
LOS ANGELES COUNTY
2,400,000 Metropolitan Transportation Agency 3.200% 03/05/97 2,400,000
LOS ANGELES COUNTY
2,500,000 Pension Obligation Refunding Bonds 3.200% 03/04/97 2,500,000
NEWPORT BEACH, CITY OF
1,700,000 Newport Beach Hoag Memorial Hospital, 1996A 3.350% 03/01/97 1,700,000
2,300,000 Newport Beach Hoag Memorial Hospital, 1996C 3.350% 03/01/97 2,300,000
ORANGE COUNTY WATER DISTRICT
3,800,000 Certificates of Participation, 1990 Project B 3.250% 03/01/97 3,800,000
RIVERSIDE, CITY OF, REDEVELOPMENT AGENCY
2,900,00 Multi-family Housing Revenue Bonds 2.850% 03/06/97 2,900,000
SAN BERNARDINO COUNTY TRANSPORTATION AUTHORITY
1,200,000 Sales Tax Revenue Bonds 3.250% 03/05/97 1,200,000
SANTA CLARA, CITY OF
1,100,000 Floating Rate Demand Electric Revenue Series C 3.250% 03/04/97 1,100,000
SOUTH SAN FRANCISCO, CITY OF
625,000 City and County Sewer Bonds 3.250% 03/05/97 625,000
4,500,000 SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY 3.250% 03/04/97 4,500,000
-----------
Total Variable Rate Demand Notes (cost $44,425,000) 44,425,000
-----------
TAX AND REVENUE ANTICIPATION NOTES (26.31%)
2,000,000 Brentwood Unified School District 4.500% 07/01/97 2,004,826
3,000,000 CA Educational Facilities, Stanford University 5.000% 12/01/97 3,034,242
</TABLE>
1
<PAGE>
<TABLE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(Continued)
February 28, 1997
(unaudited)
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
TAX AND REVENUE ANTICIPATION NOTES (Continued)
<C> <C> <C> <C>
$ 3,000,000 California, State of, Revenue Anticipation 4.500% 06/30/97 $ 3,005,069
2,000,000 Los Altos Elementary School District 4.250% 07/01/97 2,003,218
2,000,000 Los Angeles Unified School District 4.500% 06/30/97 2,004,468
3,000,000 LA County Tax and Revenue Anticipation Series A 4.500% 06/30/97 3,005,511
2,000,000 LA County Local Educational Agencies 4.750% 06/30/97 2,005,412
1,500,000 Petaluma Elementary School District 4.500% 07/01/97 1,503,378
2,000,000 San Diego, City of 4.500% 07/02/97 2,004,866
3,000,000 San Diego, County of 4.750% 10/01/97 3,014,449
1,000,000 San Francisco City and County Sewer Revenue* 7.250% 10/01/97 1,036,430
-----------
Total Tax and Revenue Anticipation Notes
(cost $24,621,869) 24,621,869
-----------
COMMERCIAL PAPER (25.53%)
CALIFORNIA EDUCATIONAL FACILITIES FINANCE AUTHORITY
1,000,000 Carnegie Institution 3.450% 03/10/97 1,000,000
3,000,000 Carnegie Institution 3.500% 04/04/97 3,000,000
EASTBAY MUNICIPAL UTILITY DISTRICT
3,500,000 Water System Series 3.300% 05/21/97 3,500,000
LOS ANGELES DEPARTMENT OF WATER & POWER
3,500,000 L.A. Wastewater 3.400% 03/14/97 3,500,000
2,500,000 Electric Plant Short-Term Revenue Certificates 3.300% 05/20/97 2,500,000
METROPOLITAN WATER DISTRICT OF SO. CA
1,200,000 Metropolitan Water District of Southern California 3.400% 04/04/97 1,200,000
2,400,000 Metropolitan Water District of Southern California 3.300% 05/20/97 2,400,000
SACRAMENTO MUNICIPAL UTILITIES DISTRICT
2,800,000 Utility Improvement Project 3.350% 05/22/97 2,800,000
1,000,000 Utility Improvement Project 3.350% 05/22/97 1,000,000
SAN DIEGO COUNTY REGIONAL TRANSPORTATION AUTHORITY
3,000,000 Sales Tax Revenue, Series A 3.300% 05/01/97 3,000,000
-----------
Total Commercial Paper (cost $23,900,000) 23,900,000
-----------
Total Investments (99.30%) (cost $92,946,869) (a) 92,946,869
Other Net Assets (0.70%) 658,842
-----------
Net Assets (100.00%) $93,605,711
===========
<FN>
- -----------
(a) Aggregate cost for federal income tax purposes is $92,946,869.
* Denotes bond issue refunded prior to maturity and secured by 100% US
Government Direct Obligations.
See accompanying notes to financial statements
</FN>
</TABLE>
2
<PAGE>
<TABLE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
February 28, 1997
(unaudited)
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (96.90%)
ANAHEIM PUBLIC FINANCE AUTHORITY
<S> <C> <C> <C>
$1,000,000 Lease Revenue Bonds 6.000% 09/01/09 $ 1,076,250
ASSOCIATION OF BAY AREA GOVERNMENTS
2,500,000 Tax Allocation Revenue Bonds 6.000% 12/15/15 2,596,875
CALIFORNIA EDUCATIONAL FACILITIES AUTHORITY
2,000,000 Refunding Revenue (University of San Francisco) 6.000% 10/01/16 2,080,000
CALIFORNIA POLLUTION CONTROL AUTHORITY
3,000,000 San Diego Gas & Electric, Series 1996A 5.900% 06/01/04 3,146,250
CALIFORNIA, STATE OF
7,000,000 General Obligations 6.250% 09/01/12 7,673,750
STATE OF CA DEPT OF WATER RESOURCES
2,320,000 Dept. of Water Resources Central Valley J-1 7.000% 12/01/11 2,723,100
2,835,000 Dept. of Water Resources Central Valley J-3 7.000% 12/01/11 3,327,580
CALIFORNIA STATE PUBLIC WORKS BOARD
4,000,000 State Prisons, Imperial County 6.500% 09/01/17 4,395,000
2,000,000 State Prisons 1993 Series A 5.250% 12/01/13 1,962,500
5,000,000 Lease Revenue Bonds Regents of Univ. of CA 5.500% 06/01/14 4,968,750
3,630,000 California Community Colleges 1994 Series A 9.000% 10/01/03 4,460,363
1,750,000 Department of Corrections 5.200% 12/01/09 1,756,562
CA STATEWIDE COMMUNITIES DEV. AUTH.
4,000,000 Hospital Revenue Certs. of Part., Cedar Sinai 6.500% 08/01/12 4,345,000
3,615,000 Children's Hospital of Los Angeles, Series 1993 6.000% 06/01/09 3,904,200
1,000,000 Children's Hospital of Los Angeles, Series 1993 6.000% 06/01/10 1,075,000
CASTAIC LAKE WATER AGENCY
2,090,000 Refunding Revenue Certificates Series 1994A 7.250% 08/01/09 2,497,550
CONTRA COSTA WATER AUTHORITY
4,000,000 Water District Series E 6.250% 10/01/12 4,390,000
CULVER CITY REDEVELPOMENT FINANCE AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993 5.500% 11/01/14 3,026,250
EAST BAY MUNICIPAL UTILITY DISTRICT
2,020,000 Water System Subordinated Rev. Refunding, 1996 5.000% 06/01/15 1,888,700
ELK GROVE UNIFIED SCHOOL DISTRICT
3,000,000 Special Tax Revenue Bonds 6.500% 12/01/24 3,416,250
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 Gen. Obligation Convertible Bonds, 1993 Series C 0.000% 05/01/12 4,293,000
FREMONT UNIFIED SCHOOL DISTRICT
3,000,000 Refunding General Obligation Bonds 5.250% 09/01/16 2,868,750
CITY OF FRESNO
5,000,000 Sewer System Revenue Bonds 5.250% 09/01/19 4,856,250
KERN CALIFORNIA HIGH SCHOOL DISTRICT
2,555,000 Refunding General Obligation 6.600% 08/01/16 2,858,407
LA CONVENTION & EXHIBIT CENTER
1,300,000 LA Convention & Exhibit Center Series 85 9.000% 12/01/20 1,696,500
560,000 LA Convention & Exhibit Center Series 85 9.000% 12/01/10 730,800
4,500,000 LA Convention & Exhibit Center Series 1995 A 6.000% 08/15/10 4,837,500
LA, CITY OF, DEPARTMENT OF AIRPORTS
2,500,000 Refunding Revenue Bonds 6.500% 05/15/04 2,793,750
</TABLE>
3
<PAGE>
<TABLE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(Continued)
February 28, 1997
(unaudited)
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
LOS ANGELES STATE BUILDING AUTHORITY
<C> <C> <C> <C>
$ 3,500,000 Lease Revenue Refunding Bonds 5.625% 05/01/11 $ 3,535,000
LA, DEPT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994 8.500% 06/01/04 3,690,000
LA COUNTY TRANS COMMISSION
4,540,000 Transportation Commission, Series 1991 6.500% 07/01/10 5,101,825
M-S-R PUBLIC POWER AGENCY
3,500,000 San Juan Project Refunding Rev Bond, Ser. F 6.125% 07/01/13 3,806,250
METROPOLITAN WATER DISTRICT OF SO. CA
4,000,000 Water Revenue Bonds 1995 Series A 5.750% 07/01/15 4,055,000
NORTHERN CALIFORNIA POWER AGENCY
1,425,000 Geothermal Project, Series A 5.850% 07/01/10 1,510,500
NORTHERN CALIFORNIA, TRANSMISSION AGENCY OF
1,000,000 CA-Oregon Transmission Project, Series 1990A 7.000% 05/01/13 1,186,250
OAKLAND JOINT POWER FINANCE AUTHORITY
2,000,000 Lease Revenue Bonds 5.900% 08/01/16 2,055,000
REDEVELOPMENT AGENCY OF OAKLAND
4,000,000 Central District Redevelopment Project Ser. 1992 5.500% 02/01/14 4,035,000
ORANGE COUNTY LOCAL TRANS AUTHORITY
3,000,000 Measure M Sales Tax Revenue Bonds 9.500% 02/15/03 3,742,500
POMONA, CITY OF
1,175,000 Unified School District 5.700% 08/01/08 1,244,032
PORT HUENEME, CITY OF
2,200,000 Refunding Cert. of Participation, 1992 6.000% 04/01/12 2,354,000
RIVERSIDE,CITY OF
2,000,000 Sewer Revenue Bonds 5.000% 08/01/11 1,947,500
RIVERSIDE COUNTY TRANSPORTATION AGENCY
2,000,000 Sales Tax Revenue bonds 5.750% 06/01/09 2,132,500
SACRAMENTO MUNICIPAL UTILITY DISTRICT
6,500,000 Refunding Revenue Bond Series A 6.250% 08/15/10 7,182,500
SACRAMENTO COUNTY SANITATION DISTRICT
2,000,000 Revenue Bonds, 1995 5.000% 12/01/15 1,832,500
SADDLEBACK VALLEY SCHOOL DISTRICT
1,575,000 Public Finance Authority 6.000% 09/01/16 1,673,438
SAN BERNARDINO COUNTY
3,000,000 Capital Facilities Project 6.875% 08/01/24 3,551,250
SAN FRANCISCO CITY AND COUNTY PUBLIC UTILITY COMMISSION
4,000,000 Water Revenue Bonds. 5.000% 11/01/15 3,775,000
SAN FRANCISCO BART DISTRICT
2,950,000 Sales Tax Rev. Refunding Series 1990 6.750% 07/01/11 3,418,313
SAN FRANCISCO STATE BUILDING AUTHORITY
2,425,000 Revenue Lease Revenue Bonds 6.000% 12/01/09 2,625,063
SAN JOSE REDEVELOPMENT AGENCY
4,000,000 Merged Area Redevelopment Project 6.000% 08/01/10 4,300,000
SAN JOSE-SANTA CLARA CLEAN WATER FINANCE AUTHORITY
2,650,000 Sewer Revenue Bonds 5.375% 11/15/15 2,597,000
</TABLE>
4
<PAGE>
<TABLE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(Continued)
February 28, 1997
(unaudited)
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
SAN MATEO COUNTY REG. TRANS. DISTRICT
<S> <C> <C> <C>
$ 5,000,000 Sales Tax Revenue Bonds, 1993 A 5.250% 06/01/19 $ 4,825,000
REDEVELOPMENT AGENCY OF SANTA CLARA
6,000,000 Bayshore North Project Tax Allocation 1992 7.000% 07/01/10 7,050,000
SOUTH COAST AIR QUALITY MANAGEMENT DISTRICT
2,400,000 Installment Sale, Bonds 6.000% 08/01/11 2,589,000
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
5,000,000 Multiple Project Revenue Bonds, 1989 6.750% 07/01/13 5,618,750
TURLOCK IRRIGATION DISTRICT
2,000,000 Revenue Bonds 6.250% 01/01/12 2,202,500
UNIVERSITY OF CALIFORNIA, UCLA REGENTS
3,000,000 UCLA Central Chiller/Cogeneration Facility 10.000% 11/01/03 3,877,500
UNIVERSITY OF CALIFORNIA
2,815,000 Revenue Bonds, Housing System 5.500% 11/01/09 2,860,740
------------
Total Long-term Securities
(cost $180,210,890) 190,018,800
------------
VARIABLE RATE DEMAND NOTES (3.71%)
CALIFORNIA POLLUTION CONTROL FINANCING AUTHORITY
100,000 Southern California Edison, 1986 C 3.450% 03/01/97 100,000
800,000 Shell 1991 B 3.350% 03/01/97 800,000
CALIFORNIA HEALTH FACILITIES FINANCING AUTHORITY
885,000 St. Joseph's Health System Series 1985A 3.3500% 03/01/97 885,000
1,000,000 St. Joseph's Health System Series 1986A 3.200% 03/01/97 1,000,000
CALIFORNIA, STATE OF
900,000 Revenue Anticipation Note 3.300% 03/01/97 900,000
IRVINE RANCH WATER DISTRICT
900,000 1986 Capital Improvement Project 3.300% 03/01/97 900,000
NEWPORT BEACH, CITY OF
2,600,000 Newport Beach Hoag Memorial Hospital, 1992 3.350% 03/01/97 2,600,000
100,000 Newport Beach Hoag Memorial Hospital, 1996 3.350% 03/01/97 100,000
------------
Total Variable Rate Demand Notes (cost $7,285,000) 7,285,000
------------
Total Investments (100.61%)(cost $187,495,890) (a) 197,303,800
Liabilities in Excess of Other Assets (-0.61%) (1,191,405)
------------
Net Assets (100.00%) $196,112,395
============
(a) Aggregate cost for federal income tax purposes is $187,495,890. At February
28, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 10,322,726
Unrealized depreciation (514,816)
------------
Net unrealized appreciation $ 9,807,910
============
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
5
<PAGE>
<TABLE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
February 28, 1997
(unaudited)
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (96.40%)
ANAHEIM , CITY OF
<S> <C> <C> <C>
$ 500,000 Electric Revenue Bonds 5.000% 10/01/03 $ 513,750
CABRILLO UNIFIED SCHOOL DISTRICT
400,000 General Obligations, 1996, Series A 4.700% 08/01/03 403,000
CALIFORNIA EDUCATIONAL
400,000 University of Santa Clara 4.700% 09/01/04 402,000
CALIFORNIA, STATE OF
300,000 General Obligations 5.750% 10/01/05 322,875
STATE PUBLIC WORKS BOARD
600,000 College and University Housing Revenue 4.900% 11/01/03 621,000
600,000 Energy Efficiency Revenue Bonds 1995 Series A 5.250% 10/01/03 611,250
CONTRA COSTA CA WATER DISTRICT
750,000 Water Revenue Bond, Series E 5.800% 10/01/02 800,625
CONTRA COSTA TRANSPORTATION AUTHORITY
800,000 Sales Tax Revenue Bonds 1995 Series A 6.000% 03/01/03 864,000
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project 6.250% 12/01/04 433,500
DESERT SANDS UNIFIED SCHOOL DISTRICT
735,000 Certificates of Participation, Series 1995 5.300% 03/01/07 748,781
EAST BAY CA MUNICIPAL UTILITY DISTRICT
500,000 Water Revenue Refunding Bonds 6.000% 06/01/03 541,250
ELSINOR VALLEY CA WATER DISTRICT
1,000,000 Certificate of Particpation, Series A 5.900% 07/01/05 1,077,500
FREMONT UNIFIED SCHOOL DISTRICT
600,000 General Obligation Bonds 4.375% 09/01/03 594,750
LOS ANGELES, CITY OF
965,000 General Obligation, Series A 5.600% 09/01/05 1,020,488
LOS ANGELES DEPARTMENT OF AIRPORTS
700,000 Revenue Refunding Bonds 6.500% 05/15/03 774,375
LOS ANGELES, CITY OF
710,000 Wastewater System, Series 1994-A 8.500% 06/01/03 857,325
LA COUNTY TRANSPORTATION COMMISSION
550,000 Sales Tax Revenue Bonds 5.900% 07/01/07 598,125
METROPOLITAN WATER DIST. OF SO. CA
800,000 Waterworks Revenue Bonds 5.500% 07/01/09 824,000
NORTHERN CALIFORNIA, TRANSMISSION AGENCY OF
700,000 California/Oregon Transmission Proj., Rev. Bonds 6.100% 05/01/03 758,625
OAK PARK UNIFIED SCHOOL DISTRICT
1,000,000 General Obligation, Refunding Bonds 5.150% 05/01/07 1,015,000
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
800,000 Local Trans Authority, Second Senior Ser. 1994 9.500% 02/15/03 998,000
RIO LINDA UNIFIED SCHOOL DISTRICT
300,000 General Obligation Bonds 6.150% 08/01/03 325,875
RIVERSIDE COUNTY TRANSPORTATION COMMISSION
260,000 Sales Tax Revenue Bonds 5.500% 06/01/04 273,975
ROCKLIN UNIFIED SCHOOL DISTRICT
535,000 General Obligation Bonds 5.000% 09/01/04 547,706
SACRAMENTO MUNICIPAL WATER DISTRICT
900,000 Electric Revenue Refunding Bonds 5.100% 11/15/03 929,250
COUNTY OF SACRAMENTO PFA
400,000 Main Detention Facility Certificate of Part 5.300% 06/01/04 415,500
</TABLE>
6
<PAGE>
<TABLE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
SAN DIEGO COUNTY REG. TRANS COMM.
<S> <C> <C> <C> <C>
$ 800,000 Second Senior Sales Tax Revenue Bonds 5.000% 04/01/03 $ 818,000
SAN FRANCISCO CITY & CNTY., AIRPORT COMMISSION
455,000 Refunding Revenue Bonds 5.150% 05/01/03 468,650
SAN FRANCISCO, CITY & COUNTY
500,000 Sewer Revenue Refunding Bonds Series 1992 5.500% 10/01/02 526,250
SAN MATEO JOINT POWERS AUTHORITY
400,000 Joint Powers Authority, Series A 5.100% 08/01/03 411,000
CITY OF SANTA ROSA
400,000 Wastewater Refunding 5.125% 09/01/05 409,000
SIGNAL HILL REDEVELOPMENT AGENCY
745,000 Signal Hill Project No. 1, 1993 5.200% 10/01/03 773,869
SOUTHERN CA PUBLIC POWER AUTHORITY
800,000 Transmission Project Revenue Bonds, Series A 6.000% 07/01/04 868,000
TURLOCK IRRIGATION DISTRICT
1,000,000 Revenue Refunding Bonds 1996 Series A 6.000% 01/01/08 1,086,250
UNIVERSITY OF CA, REGENTS OF THE
650,000 Housing System Revenue Bonds 5.000% 11/01/02 663,812
700,000 Multi-purpose Projects, Series C 10.000% 09/01/02 884,625
VISALIA, CITY OF
800,000 Wastewater System Revenue Bonds 5.900% 12/01/05 867,000
-----------
Total Long-term Securities (cost $24,344,532) 25,048,981
-----------
VARIABLE RATE DEMAND NOTES (6.14%)
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
300,000 Southern California Edison, Series 1986C 3.450% 03/01/97 300,000
200,000 Southern California Edison, Series 1986D 3.400% 03/01/97 200,000
CALIFORNIA HEALTH FACILITIES FINANCE AUTHORITY
200,000 Sutter Memorial 3.350% 03/01/97 200,000
IRVINE RANCH WATER DISTRICT
300,000 Consolidated Series, 1985B 3.350% 03/01/97 300,000
100,000 Consolidated Series, 1986 3.250% 03/01/97 100,000
NEWPORT BEACH, CITY OF
400,000 Newport Beach Hoag Memorial Hospital, Series 9 3.350% 03/01/97 400,000
100,000 Newport Beach Hoag Memorial Hospital, Series H 3.350% 03/01/97 100,000
Total Variable Rate Demand Notes (cost $1,600,000) 1,600,000
-----------
Total Investments (102.24%) (cost $25,944,532) (a) 26,648,981
Liabilities in Excess of Other Assets (-0.24%) (583,808)
-----------
Net Assets (100.00%) $26,065,173
===========
(a) Aggregate cost for federal income tax purposes is $25,944,532. At February
28, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 714,272
Unrealized depreciation (9,823)
-----------
Net unrealized appreciation $ 704,449
===========
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
7
<PAGE>
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
February 28, 1997
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
Government National Mortgage Association (61.61%)
$1,006,043 6.500% 05/15/11 $ 988,960
1,975,695 6.500% 03/15/26 1,878,866
968,966 6.500% 01/15/26 921,477
1,006,166 6.500% 03/15/11 989,081
995,088 6.500% 03/15/26 946,319
1,006,360 6.500% 05/15/11 989,272
1,000,534 6.500% 04/15/26 951,498
981,710 6.500% 04/15/26 933,596
890,330 7.000% 04/15/24 872,702
2,013,544 7.000% 01/15/26 1,963,205
962,926 7.000% 04/15/26 940,317
981,841 7.000% 05/15/26 958,787
1,075,064 7.000% 10/15/11 1,076,708
996,537 7.000% 01/15/12 997,972
996,317 7.000% 01/15/12 997,751
997,754 7.000% 03/15/26 953,330
475,382 9.000% 10/15/18 501,974
46,106 10.000% 10/15/10 50,169
7,869 10.000% 07/15/13 8,562
40,759 10.000% 09/15/18 44,809
21,037 11.250% 07/15/13 23,377
----------
Total Government National Mortgage Association (cost $17,945,874) 17,988,712
----------
United States Treasury Bonds (10.78%)
1,600,000 9.000% 11/15/18 1,969,499
1,000,000 8.500% 02/15/20 1,177,813
----------
Total United States Treasury Bonds (cost $3,163,958) 3,147,312
----------
United States Treasury Notes (23.62%)
2,000,000 5.625% 11/30/98 1,988,124
1,000,000 5.875% 11/30/01 979,375
150,000 6.500% 05/31/01 150,750
1,700,000 6.500% 10/15/06 1,688,313
2,000,000 5.875% 11/15/99 1,985,624
----------
Total United States Treasury Notes (cost $6,870,991) 6,792,186
----------
United States Treasury Bills (3.75%)
$ 1,100,000 4.920% 03/27/97 1,096,151
----------
Total United States Treasury Bills (cost $1,096,151) 1,096,151
8
<PAGE>
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
February 28, 1997
(unaudited)
Total Investments (cost $29,076,974) (a) (99.40%) $ 29,024,361
Other Net Assets (0.60%) 174,432
------------
Net Assets (100.00%) $ 29,198,813
============
- ------------
(a) Aggregate cost for federal income tax purposes is $29,076,974. At February
28, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 188,052
Unrealized depreciation (240,665)
---------
Net unrealized depreciation $ (52,613)
=========
9
<PAGE>
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
February 28, 1997
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
05/15/11 $ 988,960
United States Treasury Bills (100.29%)
$ 4,400,000 5.110% 03/06/97 $ 4,396,944
4,800,000 4.935% 03/13/97 4,792,115
3,900,000 4.920% 03/27/97 3,886,368
4,300,000 5.220% 04/03/97 4,280,569
3,800,000 5.050% 04/10/97 3,779,564
4,000,000 4.930% 04/17/97 3,974,474
4,800,000 4.980% 04/24/97 4,764,144
4,300,000 5.360% 05/01/97 4,264,298
3,000,000 5.640% 05/29/97 2,962,175
2,700,000 5.550% 07/24/97 2,641,053
2,000,000 5.240% 08/21/97 1,951,320
------------
Total Investments (cost $41,693,024) (a) (100.29%) 41,693,024
Liabilities in Excess of Other Assets (-.29%) (122,367)
------------
Net Assets (100.00%) $ 41,570,657
============
- ------------
(a) Cost for federal income tax purposes is 41,693,024.
See accompanying notes to financial statements
10
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
February 28, 1997
(unaudited)
Shares Value
------ -----
COMMON STOCK (90.69%)
Capital Goods (5.06%)
Production (1.19%)
250 Briggs & Stratton $ 10,906
1,680 Caterpillar Inc. 131,670
350 Cincinnati Milacron Inc. 7,525
940 Cooper Industries 41,595
2,240 Deere & Co 95,480
1,100 Dover Co. 54,588
300 FMC Corp.* 20,625
350 Foster Wheeler Corp. 13,650
1,060 Illinois Tool Works 89,438
950 Ingersol Rand Co 45,125
1,000 Pall Corp. 21,750
640 Parker Hannifin 28,000
390 Raychem 33,199
270 Timken Co 14,141
5,100 Westinghouse Electric 87,975
---------
675,667
---------
Machinery (Agriculture & Construction) (0.04%)
630 Case Equipment 21,250
---------
Machinery (Industrial) (0.11%)
310 Giddings and Lewis Inc. 4,144
410 Harnischfeger 17,989
1,187 Thermo Electron Corp. 40,506
---------
62,639
---------
Pollution Control (0.33%)
1,850 Browning Ferris 58,044
3,200 WMX Technologies, Inc. 135,039
---------
193,083
---------
Electrical Equipment (3.11%)
1,908 AMP Inc. 74,174
1,950 Emerson Electric Co. 193,050
14,340 General Electric 1,475,228
1,190 Genral Instrument Corp.* 28,263
440 Grainger WW Inc. 34,870
670 Scientific-Atlanta Inc. 11,223
---------
1,816,808
---------
Transportation Equipment (0.03%)
340 Cummins Engine 17,213
---------
Conglomerate (0.23%)
1,200 Tenneco, Inc. 58,275
1,330 Tyco international, LTD 78,470
---------
136,745
---------
Total Capital Goods 2,923,405
---------
Consumer Cyclical (6.90%)
Housing (0.08%)
1,703 Costco Companies * 43,639
340 Kaufman & Broad Home Corp. 4,803
---------
48,442
---------
Building Material (0.05%)
360 Johnson Controls 30,330
---------
Shares Value
------ -----
Auto & Truck (2.04%)
6,330 Chrysler $ 214,429
880 Dana 27,280
670 Eaton Corp. 48,073
500 Echlin Corp. 17,313
10,270 Ford Motor Co. 337,626
6,570 General Motors Corp. 380,239
1,050 Parts Co. 49,088
1,020 ITT Industries 26,520
335 Paccar Inc. 21,984
250 Trinova Corp. 9,281
1,120 TRW Inc. 58,660
---------
1,190,493
---------
AutoParts (0.05%)
1,200 Autozone, Inc.* 29,700
---------
Tire & Rubber (0.18%)
730 Cooper Tire and Rubber Co. 14,509
470 Goodrich, B.F. Co. 19,094
1,350 Goodyear Tire & Rubber 71,213
---------
104,816
---------
Appliance (0.23%)
360 Armstrong World Ind. 24,795
1,180 Black and Decker 37,318
880 Maytag Corp. 19,360
530 Snap-On Inc. 20,604
1,350 Whirlpool Corp. 32,825
---------
134,902
---------
Household Products (0.11%)
1,804 Federated Department Stores* 62,689
---------
Textile & Apparel (0.56%)
600 CVS Corp. 42,550
640 Liz Claiborne Inc. 25,920
2,490 Nike Class B 178,969
500 Reebok International Ltd. 23,375
330 Russell Co 12,416
180 Spring Industries 7,943
550 VF Corp. 38,225
---------
329,398
---------
Retail-General (3.47%)
650 American Greetings Corp. 20,150
1,270 American Stores Co. 56,833
800 Charming Stores Inc. 3,550
850 Circuit City Stores 26,563
1,880 Dayton Hudson Corp. 78,960
990 Dillard Dept. Stores Class A 29,824
2,490 Gap Inc. 82,170
520 Giant Foods 16,965
330 Great Atlantic & Pacific 9,818
4,163 Home Depot 226,883
340 Jostens 7,310
1,270 Kroger* 67,310
1,500 Lowes Cos. 54,750
2,170 May Dept. Stores 101,176
300 Mercantile Stores Co. 14,400
710 Nordstrom Inc. 26,093
1,950 Penney, JC Co. 96,038
540 Pep Boys-Manny, Mo, Jack 17,618
1,060 Rite Aid Corp. 44,653
3,400 Sears Robuck & Co. 184,45
11
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Retail-General (Continued)
590 Supervalu Inc. $ 18,290
520 Tandy Corp 26,195
2,355 The Limited Ltd. 44,745
530 TJX Cos, Inc. 26,303
2,380 Toys R Us, Inc.* 61,880
19,920 Wal-Mart Stores Inc 525,390
2,140 Walgreen Co. 91,485
1,320 Winn-Dixie Stores Inc. 42,075
1,160 Woolworth Corp. 24,215
---------
2,026,092
---------
Lodging (0.13%)
400 HFS, Inc.* 73,295
---------
Total Consumer Cyclical 4,030,157
---------
Consumer Non-Durable (25.45%)
Health Care (0.57%)
490 Bausch & Lomb Inc. 18,314
800 Beverly Enterprises* 11,500
1,000 Biomet Inc 15,250
2,000 Corning Corp. 75,250
550 Manor Care 14,644
2,360 Warner-Lambert Co. 198,240
---------
333,198
---------
Consumer Product (0.22%)
1,480 Cognizant Corp. 51,615
1,380 Newell Co. 51,233
540 Tupperware Corporation 24,165
---------
127,013
---------
Food, Beverage & Tobacco (7.41%)
1,480 American Brands 77,885
4,738 Archer-Daniels-MidLand Co. 87,653
2,035 Campbell Soup 183,404
21,660 Coca-Cola 1,321,260
2,110 Conagra Inc. 111,830
1,260 CPC International 105,998
1,370 Restaurants 9,933
330 Fleming Cos., Inc. 5,775
1,380 General Mills 90,045
3,210 H J Heinz Co. 133,616
1,340 Hershey Foods 61,138
1,840 Kellogg Co 126,040
1,000 Loews Corporation 102,125
13,610 Pepsi Co 447,429
820 Philip Morris Co., Inc. 960,739
820 Pioneer Hi-Bred Int. 55,863
1,180 Quaker Oats. 42,333
920 Grp. 75,555
4,220 Sara Lee Corp. 163,525
1,580 Sysco Corp. 54,905
1,630 UST Inc. 50,326
1,010 Wrigley Wm Jr 60,474
---------
4,327,851
---------
Retail-Food & Drugs (0.24%)
2,190 Albertsons Inc. 77,198
4,220 K Mart 52,750
340 Longs Drug Stores 8,628
---------
138,576
---------
Shares Value
------ -----
Communications & Media (1.24%)
520 Andrew Corp.* $ 28,600
2,086 Comcast Corp CL A Spec. 37,287
400 Comcast Corp CL A 6,975
840 Co 33,705
1,220 Gannett Co., Inc. 97,295
630 Harcourt General Inc. 29,689
1,110 Interpublic Group Cos. Inc 55,639
830 Knight Ridder Inc. 32,993
850 New York Times Class A 37,825
5,670 TeleCommunications Inc. A* 67,331
4,942 Time Warner Inc. 202,622
900 Times Mirror Co. A-New 46,350
1,300 Tribune Co 51,025
---------
727,336
---------
Entertainment & Leisure (0.89%)
850 Brunswick Corp. 24,331
750 Hasbro, Inc. 32,063
330 King World Productions, Inc.* 12,251
375 Mattel CS 59,078
6,070 McDonalds Corp 262,528
64 Viacom Inc. Cl A* 2,232
3,034 Viacom Inc. Cl B* 106,949
1,120 Wendys International 23,240
---------
522,672
---------
Apparel (0.04%)
660 Fruit of the Loom* 26,978
430 Stride Rite Corp. 5,160
---------
32,138
---------
Drugs (8.26%)
6,780 Abbott Labs 381,375
57 Allergan 19,380
730 Alza Corp. Class A* 20,714
5,530 Amer Home Products Corp. 353,920
490 Bard C.R. Inc. 13,414
2,370 Baxter International, Inc. 109,020
1,260 Becton Dickinson Co. 62,055
4,360 Bristol-Meyer/Squibb 568,980
600 Guidant Corp. 40,200
1,410 Humana Inc. 27,671
11,580 Johnson & Johnson 667,298
4,750 Lilly, Eli & Co. 415,031
2,080 Medtronic Inc. 134,680
10,570 Merck & Co 972,440
5,580 Pfizer, Inc. 511,268
4,420 Pharmacia & Upjohn, Inc. 162,987
3,210 Schering Plough Corp. 245,966
1,170 St. Jude Medical 46,215
2,587 Tenet Healthcare Corp.* 70,172
---------
4,822,786
---------
Hospital Supply & Service (0.04%)
540 US Surgical Corp. 23,018
---------
Cosmetic & Soap (2.39%)
480 Alberto-Culver Co. Cl B 13,680
1,160 Avon Products, Inc. 67,570
450 Clorox 53,775
1,280 Colgate Palmolive Co. 132,480
4,640 Gillette Co. 367,140
12
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Cosmetic & Soap (Continued)
960 Intl Flavors & Fragrance $ 44,520
5,960 Proctor & Gamble 715,945
---------
1,395,110
---------
Liquor (0.64%)
4,310 Anheuser-Busch Cos., Inc. 191,795
600 Brown Foreman Cl. B 26,850
1,310 Coors (Adolph) 28,001
3,250 Seagrams 126,750
---------
373,396
---------
Travel & Recreation (1.12%)
3,415 CUC International, Inc.* 81,533
300 Fleetwood Enterprises 7,800
890 Harrahs Entertainment, Inc.* 16,465
2,100 Hilton Hotels Corp. 52,763
1,110 Marriot Intl. 58,830
5,894 Walt Disney Co. 437,630
---------
655,021
---------
Printing & Publishing (0.16%)
1,330 Donnelley, RR & Sons 41,064
860 McGraw Hill Cos., Inc. 44,613
200 Meredith Corporation 9,800
---------
95,477
---------
Business Service (1.32%)
4,700 Autodesk Inc. 13,550
2,520 Automatic Data Proc., Inc. 107,415
590 Ceridian Corp.* 23,084
5,620 Cisco Systems Inc. 312,613
3,160 Computer Associates 137,460
650 Computer Sciences* 43,875
860 Deluxe Corp. 27,198
1,480 Dunn & Bradstreet 36,260
900 H & R Block 26,438
270 Harland, John H Co. 8,168
870 Moore Corp. 19,249
410 National Service Inds 15,580
---------
770,890
---------
Office Products (0.08%)
1,140 Avery Dennison Co. 46,028
---------
Health Care Service (0.83%)
1,537 Boston Scientific* 101,826
5,830 Columbia/HCA Hthcare Corp. 244,860
1,393 Healthsouth Corp. 56,068
1,600 United Healthcare Corp. 79,800
---------
482,554
---------
Total Consumer Non-Durable 14,873,064
Banking & Financial Service (14.01%)
Bank & Bank Holding Cos. (7.01%)
3,780 Banc One Corp. 166,792
1,320 Banc of Boston 99,495
3,350 Bank of New York 129,813
3,130 BankAmerica 356,038
700 Bankers Trust New York 63,525
1,680 Barnett Bank Inc. 77,700
3,788 Chase Manhattan Corp. 379,274
4,172 Citicorp 487,081
1,000 Comerica 60,125
Shares Value
------ -----
1,930 Corestates Financial $ 101,566
920 Fifth Third Bancorp. 76,705
1,225 First Bank System Inc. 96,163
2,748 First Chicago NBD Corp. 160,758
2,400 First Union Corp. 210,600
2,285 Fleet Financial Group, Inc. 139,385
1,130 Mellon Bank 90,824
1,620 Morgan, J.P. & Co., Inc. 170,303
6,660 Nations Bank Corp. 398,768
3,220 Norwest Corp. 160,195
2,960 PNC Financial Corp. 125,430
480 Republic New York Corp. 44,580
1,940 Sun Trust Banks, Inc. 99,668
1,300 U.S. Bancorp 64,188
1,450 Wachovia Corp. 88,269
813 Wells Fargo & Co. 247,355
---------
4,094,600
---------
Savings & Loan (0.37%)
6,200 Fed. Home Loan Mortgage 184,450
500 Golden West Financial 33,875
---------
218,325
---------
Finance Company (1.84%)
1,300 Ahmanson, H Co. 53,463
4,120 American Express Co. 269,345
470 Beneficial Corp. 32,489
1,190 Great Western Financial 52,211
800 Household International 77,500
1,470 Merrill Lynch 141,120
1,930 National City Corp. 97,465
910 Salomon Inc. 50,619
5,563 Travelers Group, Inc. 298,316
---------
1,072,528
---------
Insurance (3.48%)
1,304 Aetna Life & Cas. Co. 108,069
3,867 Corp. 245,071
1,780 American General Corp. 77,208
4,075 American Intl. Group 493,075
940 AON Corporation 59,573
1,510 Chubb Group 88,524
660 Cigna Corp C 100,898
720 General RE Corp. 122,130
1,020 ITT Hartford Group 76,500
620 Jefferson Pilot 36,580
2,003 Keycorp New 107,161
91 Lincoln National Corp. 52,891
630 Marsh & McClennan Co. 73,710
370 MBIA, Inc. 36,121
500 MGIC Investment 39,313
810 Providian Corporation 45,259
1,100 Safeco Corp. 45,925
730 St. Paul Companies 49,275
620 Torchmark Corp. 36,503
570 TransAmerica Corp. 49,949
640 Unum Corp. 49,200
1,020 USF & G 22,950
300 USLife 14,288
---------
2,030,173
---------
Financial Services (1.32%)
1,500 Conseco, Inc. 58,875
13
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Financial Services (continued)
2,860 Dean Witter Disc. & Co. $ 109,752
9,490 Fed Natl. Mtge. Assn. 379,600
1,190 Green Tree Financial Corp. 44,625
2,902 MBNA Corporation 92,864
1,320 Morgan Stanley Group 83,325
---------
769,041
---------
Total Banking & Financial Services 8,184,667
---------
Utility (8.92%)
Electric (0.86%)
1,374 Cinergy Corp. 47,403
2,040 Consolidated Edison 62,985
1,760 Duke Power 77,880
3,810 Edison International 81,915
1,375 General Public Utilities 48,125
2,560 Pacificorp 52,800
300 Peoples Energy Corp. 10,163
1,950 Texas Utilities 78,731
1,080 Union Electric Co. 41,445
---------
501,447
---------
Telephone (6.03%)
1,650 Alltell Corp. 58,369
14,010 AT&T 558,649
4,770 Ameritech Corp. 304,088
3,800 Bell Atlantic 262,675
8,630 Bell South Corp. 404,531
1,010 DSC Comm. Corp.* 21,210
1,370 Frontier Corp. 30,311
8,410 GTE Corp. 393,168
5,970 MCI Communications 213,428
3,810 NYNEX Corp. 196,215
3,720 Pacific Telesis Group 151,590
5,290 SBC Communications 304,175
3,740 Sprint Corporation Com. 170,170
4,150 US West, Inc. 149,400
5,426 US West Media Group* 99,703
7,672 Worldcom, Inc. 204,267
---------
3,521,949
---------
Energy (2.03%)
1,630 American Elect. Pwr. Co. 68,053
1,280 Baltimore Gas & Electric 35,200
1,310 Carolina Power & Light 48,634
1,830 Central & S/W Corp. 44,606
920 Coastal Corp. 41,860
820 Consolidated Natural Gas 41,820
1,550 Dominion Resources 62,388
1,310 DTE Energy Co. 39,628
600 Enserch 12,600
1,980 Entergy Corp. New 52,223
1,590 FPL Group, Inc. 72,345
2,160 Houston Industries 50,220
4,360 Niagara Mohawk Power 44,690
43 Nicor 14,405
1,190 Noram Energy Corp. 17,850
920 Northern States Power 43,815
1,330 Ohio Edison 29,925
740 Pacific Enterprises 22,570
1,310 Panenergy Corp. 55,839
Shares Value
------ -----
1,930 Peco Energy Co. $ 3,425
3,610 PG & E 82,030
2,120 Public Services Enterprises. 59,625
750 Sonat Inc. 34,500
5,850 Southern Co. 127,238
1,870 Unicom Corp. 41,608
---------
1,188,097
---------
Total Utilities 5,211,493
---------
Service (0.30%)
Distributor (0.08%)
1,130 IKON Office Solution 46,613
---------
Consumer (0.10%)
2,050 Service Corp. International 59,450
---------
Environmental Services (0.06%)
2,720 Laidlaw 37,740
---------
Miscellaneous (0.05%)
1,400 PP&L 32,025
---------
Total Service 175,828
---------
Transportation (1.30%)
Air Transportation (0.36%)
790 AMR Corp.* 62,114
650 Delta Airlines 52,325
1,080 Federal Express* 55,620
1,260 Southwest Airlines Co. 29,610
550 US Airways Group, Inc.* 10,863
---------
210,532
---------
Railroad (0.88%)
1,325 Burlington No./Santa Fe 110,306
700 Conrail, Inc. 73,150
1,849 CSX Corp. 84,870
1,090 Norfolk Southern Co. 99,326
2,120 Union Pacific Corp. 127,730
910 Whitman Corp. 21,385
---------
516,767
---------
Trucking (0.06%)
300 Caliber System, Inc. 6,825
570 Navistar Intl.* 5,486
710 Ryder System 22,365
---------
34,676
---------
Total Transportation 761,975
---------
Manufacturing (8.57%)
Consumer Durable (0.54%)
Eastman Chemical Co. 37,485
Eastman Kodak 262,601
Polaroid Corp. 16,900
---------
316,986
---------
Building & Housing (0.29%)
250 Centex Corp. 10,094
310 Crane Co. 10,114
730 Corp. 44,256
1,400 Masco Co. 49,175
14
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Building & Housing (continued)
450 Owens Corning* $ 19,069
210 Pulte Corp. 7,166
770 Stanley Works 29,453
---------
169,327
---------
Chemical (2.79%)
970 Air Products & Chem. Inc. 71,901
2,130 Dow Chemical 172,530
4,870 Dupont De Nemours & Co. 522,308
560 Ecolab, Inc. 21,210
77 Grace WR & Co. 40,810
550 Great Lakes Chemical 25,506
930 Hercules 43,245
870 Millipore Corp. 37,519
5,090 Monsanto Co. 185,149
1,320 Morton Intl. Co. 54,450
580 Nalco Chemical 21,315
1,620 PPG Industries 90,720
1,350 Praxair, Inc. 65,644
640 Rohm & Haas Co. 58,880
1,300 Rubbermaid Inc. 31,038
510 Safety Kleen 9,180
750 Sherwin Williams 42,094
860 Sigma-Aldrich Corp. 26,338
1,130 Union Carbide Corp. 53,393
1,362 Williams Cos. 59,588
---------
1,632,818
---------
Diversified (0.55%)
1,020 ITT Corp.* 57,630
1,390 Unilever (NY Shares) 264,795
---------
322,425
---------
Paper & Forest Products (1.29%)
420 Boise Cascade 13,808
830 Champion Intl. 36,624
790 Georgia Pacific Co 61,620
2,609 International Paper 108,926
740 James River of Virginia 24,235
2,446 Kimberly Clark 259,276
940 Louisiana-Pacific Co. 19,975
450 Mead Corp. 26,213
250 Potlatch Corp. 10,813
480 Temple Inland 26,460
600 Union Camp Co. 28,950
880 Westvaco Corp. 25,960
1,720 Weyerhaeuser Co. 79,550
480 Willamette Inds. 30,720
---------
753,130
---------
Metal & Mineral (0.36%)
1,982 Allegheny Teledyne, Inc. 50,541
800 Armco Inc.* 3,300
960 Bethlehem Steel 7,920
420 Inland Steel Inds. 8,295
760 Nucor Corp. 36,575
2,500 USX-Marathon 66,563
730 USX-US Steel 22,904
790 Worthington Inds., Inc. 16,491
212,589
Container (0.17%)
260 Ball Corp. 6,565
460 Bemis Co. 19,033
1,110 Crown Cork & Seal 61,605
Shares Value
------ -----
860 Stone Container Corp. $ 11,180
---------
98,383
---------
Computer (0.65%)
3,550 Data General* 68,781
1,562 Dell Computer* 111,097
2,010 EMC Corp.* 72,360
1,930 Seagate Technology* 91,193
1,502 Silicon Graphics, Inc.* 36,236
---------
379,667
---------
Non Ferrous Metal (0.66%)
1,960 Alcan Aluminum Ltd. 70,315
1,510 Aluminum Co. of Amer. 107,588
370 Asarco, Inc. 11,563
1,250 Englehard Corp. 27,656
1,465 Inco Ltd. 51,458
919 Newmont Mining Co. 43,652
570 Phelps Dodge 40,755
550 Reynolds Metals 34,513
---------
387,500
---------
Gold and Precious Metal (0.47%)
3,103 Barrick Gold Corp. 87,660
1,950 Battle mountain Gold Co. 14,381
810 Cypress Amax Mineral Co. 18,934
1,210 Echo Bay Mines Ltd. 9,378
1,700 Freeport McMoran Cop.-B 57,800
1,270 Homestake Mining Co 20,955
2,080 Placer Dome, Inc. 44,720
1,140 Santa Fe Pacific Gold Corp 21,375
---------
275,203
---------
Miscellaneous (0.78%) Co 334,880
1,560 Applied Materials, Inc.* 78,975
870 Mallinckrodt Group, Inc. 36,975
100 Nacco Industries Class A 5,425
---------
456,255
---------
Total Manufacturing 5,004,283
---------
Technology (12.43%)
Office Equipment (0.05%)
3,070 Novell* 31,084
---------
Electronic (3.89%)
410 EG&G 8,918
430 General Signal Co. 18,759
340 Harris Corp. 25,075
8,878 Hewlett-Packard Co 497,168
7,140 Intel Corp. 1,012,988
5,150 Motorola, Inc. 287,756
1,200 National Semiconductor* 31,350
2,240 Northern Telecom 161,000
380 Perkin-Elme Corp. 26,980
450 Tektronix, Inc. 21,938
1,650 Texas Instruments 127,256
600 Thomas & Betts Co. 26,775
460 Western Atlas, Inc.* 28,003
---------
2,273,966
---------
Bio-Technology (0.24%)
2,300 Amgen* 140,588
15
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Software (1.10%)
1,638 Bay Networks* $ 31,122
10,390 Microsoft Corp.* 1,013,025
---------
1,044,197
---------
Business-Machanics & Software (2.76%)
1,050 Amdahl Corp. 10,369
1,080 Apple Computer, Inc. 17,550
2,340 Compaq Computers* 185,445
1,350 Digital Equipment* 44,213
1,100 Honeywell 78,238
4,580 IBM 658,375
2,340 Intergraph*. 19,305
5,680 Oracle Systems 80,763
3,200 Sun Microsystems* 98,800
1,020 Tandem Computer, Inc.* 12,750
1,510 Unisys Corp.* 10,193
2,820 Xerox Corp 176,250
---------
1,615,19
---------
Business Service (0.26%)
3,894 First Data 142,618
200 Shared Medical Systems 10,925
---------
153,543
---------
Semi Conductor (0.27%)
1,170 Advanced Micro Devices* 41,974
1,320 LSI Logic Corp.* 45,540
1,810 Micron Technology, Inc. 67,875
---------
155,389
---------
Telecommunications (0.89%)
4,330 Airtouch Communications* 117,993
1,320 Cabletron Systems* 39,600
5,535 Lucent Technologies 298,198
1,550 Tellabs, Inc.* 61,806
---------
517,597
---------
Aerospace Aircraft (1.76%)
2,460 Allied Signal, Inc 177,735
3,031 Boeing 308,404
550 General Dynamics Corp. 36,988
1,870 McDonnell Douglas Corp. 118,745
500 Northrop Gruman Corp. 36,313
1,900 Rockwell Intl. Corp. 123,025
700 Textron, Inc. 69,038
2,120 United Technologies Corp. 159,530
---------
1,029,778
---------
Telecom Equipment (0.43%)
1,736 Lockheed Martin Corp. 153,636
2,050 Raytheon 96,606
---------
250,242
---------
Miscellaneous (008%)
1,470 3 Com Corporation* 48,671
---------
Total Technology 7,260,196
---------
Energy (7.75%) Oil & Gas - Domestic (1.70%)
880 Amerada Hess Corp. 46,970
4,320 Amoco Corp Inc. 23,450
1,400 Atlantic Richfield 175,000
Shares Value
------ -----
1,090 Burlington Resources, Inc. $ 47,824
480 Columbia Gas System, Inc. 28,200
220 Helmerich & Payne 9,295
430 Kerr McGee Co. 26,929
910 Oryx Energy 18,200
400 Pennzoil 22,950
2,290 Phillips Petroleum Co. 94,749
790 Santa Fe Energy Resources 10,171
1,480 Sun Co 39,960
2,160 Unocal Corp. 83,430
---------
992,168
---------
Oil & Gas International (4.96%)
5,670 Chevron Corp. 365,715
10,790 Exxon Corp 1,077,651
3,420 Mobil Corp 419,805
4,660 Royal Dutch Pet.-ADR 806,180
2,300 Texaco 227,413
---------
2,896,764
---------
Oil & Gas Service (0.48%)
700 Rowan Cos., Inc.* 13,913
2,130 Schlumberger 214,331
2,164 Union Pacific Resources Grp 52,747
---------
280,991
---------
Natural Gas (0.16%)
2,200 Enron 87,725
240 Oneok, Inc 6,840
---------
94,565
---------
Energy Raw Material (0.45%)
1,260 Baker Hughes, Inc. 44,730
1,560 Dresser Inds. 47,385
180 Eastern Enterprises 6,053
1,084 Halliburton Co. 70,054
300 Louisiana Land & Explor. 14,325
480 McDermott International 10,680
2,810 Occidental Petroleum 71,655
---------
264,882
---------
Total Energy 4,529,370
---------
Total Common Stocks (Cost $38,235,424) 52,985,818
---------
16
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Par
Value Value
----- -----
Short Term Investments (9.13%)
United States Treasury Bills
$ 200,000 4.760% 03/20/97 (b) $ 199,488
500,000 4.920% 03/27/97 (b) 498,209
1,735,907 Portico U.S. Government Money Market Fund 1,735,907
2,898,447 Portico Institutional Money Market Fund 2,898,447
---------
Total Short-Term Investments (Cost $5,332,051) 5,332,051
---------
Total Investments (Cost $43,567,475)(99.82%) 58,317,869
Other Net Assets (0.18%) 103,716
-----------
Net Assets (100.00%) $58,421,585
============
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $43,567,475. At February
28, 1997, unrealized apprec- iation (depreciation) of securities for
federal income tax purpose is as follows:
Unrealized appreciation $ 15,575,539
Unrealized depreciation (825,145)
---------
Net unrealized appreciation $ 14,750,394
==========
(b) At February 28, 1997, certain United States Treasury Bills with a market
value of $239,461 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1997 (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P 500 Stock Index:
8/March 97/Long $ (10,630)
5/June 97/Long 115,225
-----------
$ 104,595
===========
See accompanying notes to financial statements
17
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
COMMON STOCKS (90.68%)
Capital Goods (4.89%)
Production (0.15%)
1,000 Tecumseh Prod. Co. Cl. A $ 57,250
---------
Machinery-Industrial (0.96%)
1,200 Albany Intl. Corp. Cl A 26,100
500 Lawson Products* 11,000
1,600 Modine Manufacturing Co. 44,000
1,800 Stewart &Stevenson Svcs. 47,025
1,900 Watson Pharm, Inc.* 82,888
1,200 Watts Industry 31,050
2,200 York Intl. Corp. New Com. 97,075
---------
339,138
---------
Pollution Control (0.17%)
1,600 Calgon Carbon Corp. 18,000
1,400 Donaldson Co. Inc 47,075
---------
65,075
---------
Engineering &Construction (0.48%)
1,400 Jacobs Engineering Group* 36,050
1,300 Structural Dyn. Research* 25,838
1,900 Vulcan Materials Co.* 123,025
---------
184,913
---------
Electrical Equipment (2.37%)
1,700 Ametek, Inc.* 36,550
3,400 Cirrus Logic, Inc.* 46,113
3,530 Hubble, Inc. Cl. B 149,584
3,500 Integrated Device Tech.* 38,500
3,050 IPALCO* 96,456
3,348 Mark IVIndustries, Inc. 77,841
5,306 Molex, Inc.* 189,689
4,400 Teradyne, Inc.* 119,900
1,600 Varian Assoc.* 92,400
3,230 Vishay Intertechnology, Inc.* 73,886
---------
920,919
---------
Transportation Equipment (0.64%)
3,100 Danaher Corp.* 134,075
2,100 Federal Signal* 52,762
1,900 Trinity Industries 61,275
---------
248,112
---------
Conglomerate (0.22%)
1,540 Newport News Shipbuilding* 23,870
1,600 Rayonier, Inc 60,800
---------
84,670
---------
Total Capital Goods 1,900,077
---------
Consumer Cyclical (6.02%)
Housing (0.23%)
6,241 Clayton Homes, Inc.* 88,934
---------
Building Material (0.04%)
900 Calmat Co 16,425
---------
Auto &Truck (0.12%)
900 Teleflex, Inc.* 47,250
---------
Shares Value
------ -----
Auto Parts (0.15%)
900 Arvin Inds., Inc $ 21,150
1,600 Superior Industries 38,400
---------
59,550
---------
Tire & Rubber (0.13%)
1,600 Carlisle Cos., Inc 52,400
---------
Appliance (0.03%)
300 National Presto Inds.* 11,288
---------
Household Products (0.14%)
2,400 Fingerhut Cos 35,100
800 Stanhome Inc 20,300
---------
55,400
---------
Textile & Apparel (0.80%)
2,600 Burlington Inds., Inc.* 33,475
7,200 Shaw Industries, Inc. 93,600
3,100 UNIFI, Inc 98,813
2,700 Warnco Group Cl A 86,043
---------
311,951
---------
Shoes (0.23%)
1,900 Nine West Group, Inc.* 89,300
---------
Retail-General (3.28%)
200 American Stores Comp. 8,950
3,600 Bed Bath & Beyond* 93,600
2,300 Best Buy Co.* 21,275
3,600 Callaway Golf Co. 114,750
2,550 Claire's Stores, Inc. 36,019
3,125 Consolidated Stores Corp.* 109,766
4,803 Dollar General Corp.* 136,285
1,100 Duty Free International* 15,675
3,000 Family Dollar Stores* 70,875
2,000 Fastenal Co 72,500
800 Hancock Fabrics 10,100
2,200 Heilig-Meyers Co 31,075
3,900 Kohls Department Stores* 179,400
1,200 Macfruegals Bargains* 32,550
1,100 Meyer, Fred, Inc.* 43,588
1,800 Micro Warehouse, Inc.* 25,875
2,104 Payless Shoesource* 90,472
1,700 Tambrands* 73,100
1,740 Tiffany &Co 60,465
1,700 Waban, Inc.* 48,663
---------
1,274,983
---------
Lodging (0.86%)
9,600 Mirage Resorts, Inc.* 238,800
2,700 Promus Hotel Corp.* 95,513
---------
334,313
---------
Total Consumer Cyclical 2,341,794
---------
Consumer Non-Durable (18.60%)
Healthcare (1.13%)
2,600 Appria Healthcare Group* 46,475
2,900 Covance, Inc.* 55,100
600 Datascope Corp.* 12,600
1,200 Dentsply International, Inc. 62,700
500 Diagnostic Products Corp. 15,500
18
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Healthcare (continued)
2,100 Hlthcare & Retirement Del.* $ 56,963
3,000 Nelcor Puritan Bennet, Inc.*. 52,125
817 Pacificare Health System* 68,407
84 Talbert Med. Mgt. Hldg. Rt.* 1,801
2,847 Value Health, Inc.* 68,328
---------
439,999
---------
Consumer Products (0.44%)
2,833 AC Nielson Corp.* 41,787
2,200 First Brands Corp.* 54,725
1,354 Lancaster Colony Corp. 61,946
4,000 Service Merchandise Co.* 14,500
---------
172,958
---------
Food Beverage &Tobacco (3.39%)
1,700 Bob Evans Farms 23,163
6,800 Coca-Cola Enterprises 419,900
1,800 Dean Foods Co 58,725
3,200 Dole Food Company 122,400
60 Dreyer Grand Ice Cream* 18,563
2,650 Flowers Inds., Inc 61,281
3,900 Hormel Foods Corp. 102,375
800 International Multifoods, Inc.* 16,900
1,300 Lance, Inc 24,050
4,300 McCormick &Co 101,588
1,100 Savanna Foods &Inds. 16,088
1,200 Smucker (J.M.)Co. Cl. A 19,950
11,550 Tyson Foods, Inc. Cl. A 233,888
1,900 Universal Corp.* 59,850
1,100 Universal Foods Corp. 37,950
---------
1,316,671
---------
Retail-Food &Drugs (1.03%)
1,954 Hannaford Brothers Co. 69,611
3,600 Revco D.S., Inc.* 147,150
1,800 Ruddick Corp 28,000
2,300 Vons Co.* 156,688
---------
402,249
---------
Communications & Media (1.40%)
2,300 Belo (A.H.)Corp. Sr. A 86,825
600 CPICorp.* 11,025
1,000 Information Resources* 14,875
3,900 Omnicom Group* 193,538
1,000 TCACable TV, Inc 32,000
600 Washington Post, Class B 207,900
---------
546,163
---------
Entertainment & Leisure(0.79%)
1,600 Chris Craft Industries* 65,800
5,500 Circus Circus Enterprises, Inc.* 171,875
2,178 Gtech Holdings Corp.* 68,335
---------
306,010
---------
Apparel (0.38%)
900 Ann Taylor Stores* 18,000
2,400 Jones Apparel Group* 89,100
1,400 Lands End 38,850
---------
145,950
---------
Drugs (1.84%)
2,750 Allegiance Corp 72,531
1,770 Bergen Brunswig Corp. Cl A 56,861
1,800 Carter-Wallace, Inc 25,875
2,400 Forest Laboratories Cl. A* 91,500
Shares Value
------ -----
Drugs (continued)
6,200 IVAX Corp $ 75,950
3,400 McKesson Corp 225,250
6,300 Mylan Laboratories* 105,525
1,100 R PScherer Corp.* 63,525
---------
717,017
---------
Hospital Supply &Service (0.76%)
1,100 Acuson Corp.* 30,525
5,620 Laboratory Corp. of Am. Hld.* 21,075
1,201 Pacificare Health Sys. A* 96,064
5,100 Stryker Corp 147,900
---------
295,564
---------
Cosmetics & Soap (0.05%)
800 Church and Dwight* 21,300
---------
Printing & Publishing (0.57%)
16,000 Banta Corp.* 40,400
600 Gibson Greetings, Inc 12,375
2,000 Glatfelter (P.H.) Co.* 34,250
800 Golden Books Family Ent.* 7,500
600 Houghton Mifflin Co 33,075
2,200 Lee Enterprises* 51,700
1,400 Media General Inc. Cl. A 42,000
---------
221,300
---------
Restaurant (0.76%)
4,100 Brinker International* 48,687
1,200 Buffets, Inc.* 8,625
3,200 Cracker Barrel Old Country* 87,200
1,000 Intl. Dairy Queen, Inc.* 21,500
2,100 Lone Star Steakhouse* 55,650
2,300 Outback Steakhouse, Inc.* 54,913
750 Sbarro, Inc.* 19,500
---------
296,075
---------
Business Service (2.17%)
2,500 Cintas Group* 135,000
2,400 Comdisco 85,475
4,700 Dial Corp 70,500
2,700 Noble Affiliates 105,300
3,650 Paychex, Inc.* 158,775
1,800 PHHCorporation* 86,175
2,200 Pittson Brink's Group* 56,650
4,700 Vaid Corp 75,200
2,400 Wallace Computer Services 81,300
---------
843,600
---------
Office Products (1.97%)
1,300 Hon Inds. 49,725
1,400 Intellegent Electronics, Inc. 4,900
1,300 Miller (Herman), Inc. 70,500
8,200 Office Depot* 105,300
6,300 Office Max, Inc.* 158,775
1,200 Standard Register Co. 86,175
8,350 Staples, Inc.* 56,650
3,281 Unisource Worldwide, Inc. 75,200
4,400 Viking Office Products* 81,300
---------
765,711
---------
Healthcare Services (1.79%)
5,100 Cardinal Health, Inc.* 313,650
3,000 Foundation Health Corp.* 113,250
1,600 Healthcare Compare Corp.* 68,300
19
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Healthcare Services (continued)
2,209 Horizon/CMS Hlthcare Corp.* $ 36,172
2,500 Novacare, Inc.* 31,250
3,800 Vencor, Inc.* 131,575
---------
694,197
---------
Health & Beauty Aids (0.12%)
4,000 Perrigo Co.* 48,500
---------
Total Consumer Non-Durable 7,233,264
Banking & Financial Services(16.92%)
Bank & Bank Holding Cos. (8.54%)
2,150 Bancorp Hawaii, Inc. 94,600
3,000 Central Fidelity Banks, Inc. 87,375
2,384 City National Corp 57,812
5,400 Crestar Financial Corp. 198,450
1,300 Dauphin Deposit Corp. 55,088
3,400 First of America Bancorp 212,925
3,950 First Security Corp. Del. 137,756
3,200 First Tennesse Ntl., Corp. 149,600
1,800 First Virginia 94,950
7,800 Firstar Corp.* 238,875
5,400 Hibernia Bank* 74,925
5,000 Marshall and Isley Corp.* 197,500
3,350 Merchantile Bancorporation 193,881
2,200 Mercantile Bankshares Corp. 81,675
5,800 Northern Trust 246,500
4,600 Pinnacle West 143,750
3,300 Regions Financial Corp.* 194,288
4,900 Southtrust Corp 194,163
4,400 State Street Boston Corp.* 353,650
4,800 Summit Bancorp 229,200
1,900 Wilmington Trust Corp. 85,975
---------
3,322,938
Finance Company (0.18%)
4,500 Nabors Inds.* 69,188
---------
Investment Company (0.53%)
6,811 Bear Stearns Cos., Inc.* 204,341
---------
Insurance (4.09%)
7,562 AFLACCorp.* 305,316
3,200 American Fin. Group, Inc.* 120,000
1,100 Hartford Steam* 50,325
3,400 Healthsource, Inc.* 70,975
3,900 Oxford Health Plans* 217,425
3,800 Progressive Corp 251,275
2,100 Provident Cos.* 114,450
5,800 SunAmerica* 266,075
1,700 The PMIGroup 93,075
1,200 Transatlantic Holdings, Inc. 101,250
---------
1,590,166
---------
Financial Services (3.58%)
9,300 Charles Schwab Corp.* 348,750
3,325 AGEdwards 118,038
8,300 Equifax 246,925
6,450 Franklin Resources, Inc. 377,325
5,200 Paine Webber* 169,650
Shares Value
------ -----
Financial Services
(continued)
3,000 T. Rowe Price* $ 132,375
---------
1,393,063
---------
Total Banking &Finance 6,579,696
---------
Utility (10.20%)
Electric (7.64%)
6,400 Allegheny Power System* 196,000
2,400 Atlantic Energy, Inc. 41,100
600 Black Hills Corp 16,650
2,300 Calenergy, Inc.* 76,763
900 Central Louisiana Electric 23,963
1,300 Central Maine Power Co. 14,463
4,800 CMSEnergy Corp.* 157,200
2,700 Delmarva Power &Light 52,313
5,100 Florida Progress Corp. 160,650
1,300 Hawaiian Electric Inds. 45,663
1,700 Idaho Power Co 52,488
4,000 Illinova Corp 100,000
3,300 Kansas City Power &Light 94,050
3,000 LG&EEnergy Corp. 74,250
5,364 Midamerican Energy Co.* 88,506
1,400 Minnesota Power &Light 39,200
2,500 Montana Power Co. 54,688
2,100 Nevada Power Co 42,788
3,400 New Eng. Elect. System 118,575
3,800 New York State Elec. &Gas 88,350
3,300 Nipsco Industries 131,588
6,700 Northeast Utilities 69,513
2,100 Oklahoma Gas &Electric* 88,463
2,700 Portland General Corp. 105,638
6,30 Potomac Electric Power Co 159,863
3,400 Public Service Co. of Colo. 132,600
1,70 Public Svc. Co. of N. Mex.* 31,238
4,196 Puget Sound Power &Light 106,474
5,500 SCANACorp 143,688
1,900 Southwestern Pub. Svc. Co. 68,638
6,200 Teco Energy, Inc 151,125
2,100 Utilicorp United Inc. 56,438
5,900 Wisc. Energy Corp 151,188
1,400 WPLHoldings, Inc 38,850
---------
2,972,964
---------
Gas (0.76%)
2,500 Atlanta Gas Light Co.* 48,750
2,600 Brooklyn Union Gas Co. 74,100
900 Indiana Energy, Inc 23,400
3,500 MCNCorp 105,875
1,900 Washington Gas Light Co. 42,038
---------
294,163
---------
Telephone (1.73%)
6,174 360 Communications Co.* 133,513
1,700 Aliant Communications* 28,475
3,100 Century Telephone Entps. 94,938
5,075 NCR Corp.* 167,475
3,400 Southern New Eng. TeleCom. 123,250
3,100 Telephone &Data 124,000
---------
671,651
---------
20
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Miscellaneous (0.07%)
1,900 Vanguard Cellular Sys. Cl. A* $ 26,838
---------
Total Utility 3,965,616
---------
Service (2.84%)
Distributor (0.44%)
2,100 Alexander &Baldwin, Inc. 56,175
4,000 American Water Works, Inc. 93,500
700 Scholastic Corp.* 23,100
---------
172,775
---------
Pollution Control (0.87%)
9,400 USAWaste Services, Inc.* 338,400
---------
Business (1.31%)
2,400 Fiserv, Inc.* 78,600
1,700 Kelly Services, Inc. Cl. A 46,750
4,300 Man Power, Inc.* 162,325
3,000 Medaphis* 29,813
3,650 Olsten Corp 65,244
3,000 Robert Half Intl.* 124,875
---------
507,607
Consumer (0.22%)
1,900 Rollins, Inc.* 35,863
3,000 Sotheby's 51,000
---------
86,863
---------
Total Service 1,105,645
---------
Transportation (1.74%)
Air Transportation (0.18%)
1,000 Airbourne Freight Corp. 27,375
500 Alaska Airgroup, Inc.* 11,875
1,400 ASAHoldings, Inc.* 31,675
---------
70,925
---------
Railroad (0.79%)
900 Gatx Corp. 44,100
3,250 Illinois Central Corp. Cl. A 111,719
1,900 Kansas City Southern Inds. 99,750
2,600 Ogden Corp 52,975
---------
308,544
---------
Trucking (0.24%)
1,100 Arnold Inds., Inc. 15,263
2,100 Consolidated Freigtways 51,975
2,000 Hunt (J.B.)* 27,750
---------
94,988
Miscellaneous (0.52%)
1,100 American President Cos. Ltd.* 25,300
4,100 Harley Davidson 153,238
1,400 Overseas Shipholding Group 24,325
---------
202,863
---------
Total Transportation 677,320
---------
Manufacturing (8.42%)
Consumer Durable (0.43%)
4,700 Leggett & Platt* 168,613
---------
Shares Value
------ -----
Building & Housing (0.06%)
700 Southdown, Inc. $ 25,025
---------
Chemical (3.29%)
3,200 Airgas, Inc.* 61,600
3,000 Albemarle Corp.* 58,875
1,300 Betzdearborn, Inc 84,338
3,400 Cabot Corp 79,900
3,267 Crompton &Knowles Corp. 62,073
2,300 Cytec, Inds.* 91,138
1,000 Dexter Corp.* 29,500
5,400 Ethyl Corp 49,275
1,200 Ferro Corp 37,800
600 Fuller (H.B.) Corp.* 29,250
2,000 Georgia Gulf Corp.* 54,000
4,800 IMCGlobal, Inc 167,400
5,000 Iowa Beef Processing 116,250
1,800 Lawter International 20,925
3,300 Lubrizol Corp 114,263
4,200 Lyondell Petrochemical 99,225
400 NCHCorp 23,800
3,375 RPM, Inc. Ohio 59,484
2,000 Schulman (A.), Inc.* 38,750
---------
1,277,846
---------
Diversified (0.70%)
800 Goulds Pumps, Inc. 18,850
600 Lukens, Inc 11,175
800 Nordson Corp 44,800
2,600 Olin Corp.* 104,000
3,000 Witco Corp 92,250
---------
271,075
---------
Capital Good (0.50%)
2,600 Harsco Corporation 93,600
1,200 Kennametal, Inc 49,200
1,900 Keystone Intl., Inc 35,863
1,000 Magnetek, Inc.* 16,625
---------
195,288
---------
Paper & Forest Product (0.91%)
1,800 Bowater, Inc.* 76,275
1,000 Chesapeake Corp.* 29,625
2,400 Consolidated Papers 121,500
2,700 Longview Fibre Co. 41,513
1,700 Pentair, Inc 53,338
1,512 Wausau Paper Mills Co.* 30,051
---------
352,302
---------
Metal & Minerals (0.43%)
600 Brush Wellman 10,575
900 Carpenter Technology* 32,850
2,475 Hanna (M.A.)Co 51,356
300 Maxxam, Inc.* 14,438
1,200 Minerals Technology, Inc. 45,450
800 Oregon Steel Mills, Inc 13,600
---------
168,269
---------
Container (0.62%)
500 Cleveland Cliffs Corp.* 21,500
2,200 Sealed Air Corp.* 90,475
4,875 Sonoco Products, Inc. 127,969
---------
239,944
---------
21
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Computer (0.70%)
2,044 ASTResearch, Inc.* $ 9,581
800 Exabyte Corp.* 8,750
700 Measurex Corp.* 24,413
2,300 Quantum Corp.* 91,425
1,200 Sequent Computer Systems* 20,625
2,814 Storage Technology Corp.* 117,485
-----------
272,279
-----------
Non Ferrous Metals (0.33%)
2,400 Alumax, Inc.* 93,900
1,400 Federal Mogul Corp. 34,475
-----------
128,375
-----------
Miscellaneous (0.46%)
6,600 International Game Tech.* 115,500
700 Kaydon Corp.* 30,275
1,800 Wellman, Inc.* 31,500
-----------
177,275
-----------
Total Manufacturing 3,276,291
-----------
Technology (14.68%)
Office Equipment (0.39%)
3,600 Diebold 151,200
-----------
Electronic (1.81%)
2,637 Arrow Electronics, Inc.* 148,002
2,300 Avnet, Inc.* 143,750
2,400 Litton Inds.* 103,200
3,900 Sensormatic Elect. Corp. 67,275
2,600 Solectron Corp.* 137,475
1,200 Symbol Technologies, Inc.* 60,300
1,300 Verifone, Inc.* 45,175
-----------
705,177
-----------
Biotechnology (1.69%)
1,500 Beckman Instruments, Inc. 62,250
3,800 Biogen, Inc.* 187,150
3,600 Centocor, Inc.* 136,350
8,812 Chiron Corp.* 182,849
3,400 Genzyme Corp.* 87,550
-----------
656,149
-----------
Software (3.96%)
3,900 Adobe Systems, Inc. 142,350
5,400 BMCSoftware, Inc.* 231,188
4,325 Cadence Design System, Inc.* 159,484
2,200 Compuware Corp.* 136,950
2,800 Electronic Arts* 87,500
7,800 Informix Corp.* 136,013
6,700 Parametric Tech. Co.* 377,713
4,400 Reynolds &Reynolds Cl. A 123,200
3,766 Sterling Software* 109,214
2,300 Symantec Corp.* 35,938
-----------
1,539,550
-----------
Business-Mechanics & Software (0.76%)
600 Advance Labs Tech.* 21,300
4,400 American Online, Inc.* 165,000
750 Granite Construction, Inc 13,453
2,100 Imation Corp.* 55,913
1,200 Stratus Computer* 40,650
-----------
296,316
-----------
Shares Value
------ -----
Business-Service (0.10%)
900 Policy Mgmt. Systems Corp.* $ 38,700
-----------
Semiconductor (2.46%)
4,600 Altera Corp.* 208,725
5,100 Atmel Corp.* 190,613
3,800 Cypress Semiconductor* 50,350
3,900 Linear Technology Corp. 177,450
3,200 Maxim Integrated Products* 158,800
3,800 Xilinx, Inc.* 171,475
-----------
957,413
-----------
Telecommunications (1.79%)
6,600 ADC Telecommunications, Inc.* 178,200
2,500 Comsat Corp 65,625
11,414 Nextel Communications* 162,650
2,200 Octel Communications* 40,425
4,500 U S Robotics Corp 251,156
-----------
698,056
-----------
Aerospace Aircraft (0.49%)
950 Precision Castparts 46,550
3,300 Sunstrand Corp 143,963
-----------
190,513
-----------
Aerospace/Defense (0.36%)
1,300 Gencorp, Inc 24,538
1,100 OEA, Inc 51,013
1,100 Ronr, Inc.* 19,938
800 Thiokol Corp.* 44,600
-----------
140,089
-----------
Miscellaneous (0.86%)
4,200 Amer. Pwr. Conversion Corp.* 87,675
8,133 Analog Devices* 189,092
1,150 Duriron Co 25,731
3,300 Mentor Graphics 31,556
-----------
334,054
-----------
Total Technology 5,707,217
-----------
Energy (6.37%)
Oil & Gas-Domestic (3.16%)
3,100 Anadarko Petroleum Corp. 174,375
4,700 Apache Corp 152,163
2,711 El Paso Natural Gas 145,377
2,800 Mapco, Inc 88,900
2,400 Murphy Oil Corp 111,300
1,700 National Fuel Gas Co. 73,100
1,600 Parker &Parsley Petro Co. 47,200
1,700 Quaker State Corp 24,863
2,200 Questar* 79,750
1,500 Seagull Energy Corp.* 27,563
6,900 Tosco Corp 192,338
3,730 Ultramar Diamond Shamrock* 113,765
-----------
1,230,694
-----------
Oil &Gas-International (0.38%)
2,200 Parker Drilling Co.* 18,425
5,200 Ranger Oil Ltd 46,800
2,691 Weatherford Enterra, Inc.* 80,730
-----------
145,955
-----------
22
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Oil &Gas Service (1.96%)
1,300 BJServices* $ 51,675
3,200 Ensco Intl., Inc.* 138,800
8,800 Global Marine, Inc.* 163,900
2,100 Smith International. Inc.* 85,313
3,300 Tidewater, Inc 141,900
2,600 Transocean Offshore, Inc. 145,275
1,600 Varco Intl., Inc.* 36,000
-----------
762,863
-----------
Shares Value
------ -----
Energy-Raw Materials (0.67%)
3,993 AESCorp.* $ 261,043
-----------
Miscellaneous (0.20%)
400 Sequa Corp.* 15,700
2,000 Valero Energy Corp.* 63,000
-----------
78,700
-----------
Total Energy 2,479,255
-----------
Total Common Stock
(cost $27,032,6300) 35,266,139
-----------
<TABLE>
Par
Value Value
----- -----
<CAPTION>
Short Term Investments (9.25%)
United States Treasury Bills
<S> <C>
$ 2,250,000 4.760% 03/20/97 (b) $ 2,244,229
1,353,964 Portico Institutional Money Market Fund 1,353,964
------------
Total Short-Term Investments (cost $3,598,193) 3,598,193
------------
Total Investments (Cost $30,630,823)(99.93%) 38,864,332
Other Net Assets (0.07%) 26,005
------------
Net Assets (100.00%) $38,890,337
============
<FN>
- ----------
* Non-Income Producing Security
</FN>
</TABLE>
(a) Aggregate cost for federal income tax purposes is $30,630,823. At February
28, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $10,373,593
Unrealized depreciation (2,140,084)
------------
Net unrealized appreciation $ 8,233,509
============
(b) At February 28, 1997, certain United States Treasury Bills and money market
funds with a market value of $159,646 were pledged to cover margin requirements
for futures contracts.
(c) Futures contracts at February 28, 1997 (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P 400 Index:
13/March 96/Long $ 39,565
7/June 96/Long 4,500
------------
$ 44,065
============
See accompanying notes to financial statements
23
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Common Stock (8738%)
Capital Goods (516%)
Machinery - Agri. & Const (063%)
629 Agco Corp.* $ 17,848
71 Lindsay Manufacturing Co 3,302
-----------
21,150
-----------
Machinery-Industrial (086%)
300 BMC Industries Inc. 8,588
267 BWIP Holding A* 4,272
65 KYSOR Industrial 2,779
307 PAXAR Corporation* 5,833
462 Vicor Corp.* 7,565
-----------
29,037
-----------
Pollution Control (139%)
172 Ionics Inc.* 8,493
1,100 US Filter Corp.* 38,500
-----------
46,993
-----------
Engineering & Construction (078%)
218 CDI Corp.* 7,140
180 Greenfield Industries* 3,938
117 Lone Star Industries 5,075
126 Manitowoc Company Inc. 4,237
589 Morrison Knudson Corp.* 5,890
-----------
26,280
-----------
Electrical Equipment (118%)
180 Belden Inc. 6,413
177 California Microwave Inc.* 2,544
227 Chips & Technologies Inc.* 2,894
560 International Rectifier Corp.* 7,560
151 Kuhlman Corp.* 3,549
188 Marshall Industries* 6,228
201 Oak Industries* 4,070
248 Pioneer Standard Electronics* 3,472
243 Trimble Navigation Ltd* 3,159
-----------
39,889
-----------
Transportation Equipment (031%)
153 SPX Corp. 7,019
208 Wabash Natl Corp.* 3,562
-----------
10,581
-----------
Total Capital Good 173,930
-----------
Consumer Cyclical (783%)
Optical Photo Equipment (001%)
231 X-Rite Inc. 3,783
-----------
Housing (051%)
497 Oakwood Homes Corp.* 9,816
373 Toll Bros* 7,227
-----------
17,043
-----------
Building Material (104%)
213 ABM Industries Inc. 3,994
300 Apogee Enterprises Inc. 5,963
262 Geon Co* $ 5,633
291 Justin Industries 3,383
282 Rexel Inc.* 5,076
123 Texas Industries Inc. 7,165
169 Visx Inc.* 3,760
-----------
34,974
-----------
Auto & Truck (009%)
150 Wynn's International Inc. 3,094
-----------
Auto Part (089%)
230 AO Smith * 7,734
348 Breed Technologies Inc.* 7,613
163 Clarcor Inc. 3,749
379 Gentex Corp.* 7,012
115 O'Reilly Automotive Inc.* 3,838
-----------
29,946
-----------
Appliance (025%)
447 Fedders Corp.* 2,850
235 Interface Inc. 5,434
-----------
8,284
-----------
Household Product (044%)
197 Aptargroup Inc.* 7,831
280 Williams-Sonoma Inc.* 7,053
-----------
14,884
-----------
Textile & Apparel (143%)
245 Authentic Fitness Corp. 3,553
197 Brown Group 3,201
196 Fabri-Centers of America* 3,210
225 G & K Services Inc. -CL A 7,284
317 Griffon Corporation* 4,438
233 Kellwood Co* 5,505
379 Mohawk Industries* 9,996
440 Nautica Enterprises Inc.* 11,000
-----------
48,187
-----------
Shoes (047%)
122 Timberland Company* 4,941
305 Wolverine World Wide 10,828
-----------
15,769
-----------
Retail - General (225%)
177 Carson Pirie Scott* 4,823
999 Compusa* 19,980
182 Discount Auto Parts, Inc.* 2,594
249 Dress Barn, Inc.* 4,264
308 Eagle Hardware & Garden* 6,006
259 Michaels Stores* 3,820
495 Pier 1 Imports 8,601
303 Proffitts Inc. 9,810
353 Shopko Stores, Inc.* 5,516
251 Stein Mart Inc.* 5,961
132 Toro Company 4,571
-----------
75,946
-----------
Lodging (035%)
216 Marcus Corporation $ 4,698
24
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Lodging (continued)
437 Prime Hospitality Corp* $ 7,211
----------
11,909
----------
Total Consumer Cyclical 263,819
----------
Consumer Non-Durable (2085%)
Health Care (174%)
302 Ballard Medical Products 5,927
111 Compdent Corp* 3,344
260 Grandcare Inc. W/I* 2,080
323 Invacare Corp* 7,833
274 Mentor Corp 6,816
204 NBTY Inc.* 3,672
351 Owens & Minor Hldg C* 3,598
601 Phycor Inc.* 18,255
250 US Bioscience Inc.* 3,531
144 Vital Health Signs Inc. 3,564
----------
58,620
----------
Consumer Product (062%)
203 Juno Lighting, Inc.* 3,045
133 Paragon Trade Brands* 2,427
239 Russ Berrie & Co Inc. 5,168
265 Sola International* 6,890
151 USA Detergents, Inc.* 3,388
----------
20,918
----------
Food, Beverage & Tobacco (281%)
612 Chiquita Brands Int'l* 8,262
96 Coca-Coca Bottling 4,128
237 Commonwealth Engery Sys 5,303
466 Dimon Inc.* 10,951
111 Earthgrains Company* 6,077
411 Interstate Bakeries Corp* 19,214
209 Natures Sunshine Prot Inc.* 3,213
520 Richfield Holdings, Inc. 10,985
305 Rykoff-Sexton Inc.* 5,338
198 Smithfield Foods, Inc.* 7,673
292 Titan Wheel Intl Inc. 4,125
328 Triarc Cos* 4,592
213 Whole Foods Market Inc.* 4,686
----------
94,547
----------
Retail - Food and Drugs (077%)
427 Arbor Drugs 8,220
288 Casey's General Stores 5,544
174 Smith Food and Drug Cl B* 5,720
345 The Sports Authority Inc.* 6,598
----------
26,082
----------
Communications & Media (074%)
265 Advo Inc.* 3,412
86 GC Companies* 3,247
493 Intl Family Entertainment* 9,429
Communications & Media (continued)
464 Valassis Communication $ 8,990
----------
25,078
----------
Entertainment & Leisure (170%)
494 Aztar Corp* 3,643
123 Carmike Cinemas Inc. Cl A* 3,152
427 Foodmaker Inc.* 4,110
189 Galoob Toys Inc.* 3,095
459 Grand Casinos Inc.* 5,049
686 Premark International* 16,207
361 Regal Cinemas Inc.* 9,612
532 Shoney's Inc.* 4,389
178 Showboat Inc.* 3,649
383 Tyco Toys, Inc.* 4,309
----------
57,215
----------
Apparel (086%)
159 Guilford Mills Inc. 4,551
297 Phillips Van Heusen Corp 3,787
276 Ross Stores Inc. 13,248
182 St John Knits Inc.* 7,462
----------
29,048
----------
Drugs (130%)
220 Cor Therapeutics Inc.* 2,709
205 Cygnus Inc.* 3,152
402 Liposome Company Inc.* 10,000
344 North American Vaccine Inc.* 7,783
218 Noven Pharmaceuticals* 2,943
211 Roberts Pharmaceuticals* 2,769
321 Sequus Pharmaceuticals Inc.* 3,692
231 Vertex Pharmaceuticals Inc.* 10,684
----------
43,732
----------
Hospital Supply & Service (271%)
193 ADAC Laboratories* 4,101
123 Coherent Inc.* 5,796
414 Indexx Laboratories Inc.* 15,422
318 Mariner Health Group Inc.* 3,101
238 Medimmune Inc.* 3,451
1,250 Omnicare Inc. 33,125
238 Patterson Dental Co* 8,092
217 Respironics* 4,272
283 Safeskin Corp* 5,236
207 Sunrise Medical* 2,795
219 Tecnol Medical Products Inc.* 3,230
124 Vitalink Pharmacy Svcs Inc.* 2,625
----------
91,246
----------
Printing & Publishing (016%)
194 Bowne & Co Inc. 5,238
----------
Restaurant (113%)
344 Applebees Intl Inc. 8,686
359 CKE Restaurants Inc. 6,956
104 IHOP Corp* 2,691
265 Luby's Cafeterias Inc. 5,399
25
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Restaurant (continued)
195 Ruby Tuesday Inc.* $ 3,364
560 Ryan's Family Steak House* 4,130
202 Showbiz Pizza Time Inc.* 4,242
148 Sonic Corp.* 2,683
----------
38,151
----------
Business Service (2.41%)
275 Bisys Group Inc.* 8,594
217 Catalina Marketing C Pos* 10,904
175 Ciber Inc.* 4,944
365 Devry Inc.* 7,254
226 Franklin Quest Co.* 4,718
287 National Data Corp.* 10,081
259 Norrell Corp. 6,928
228 Pittson Services - Burlingtom* 4,361
464 Sungard Data Systems, Inc.* 23,548
----------
81,332
----------
Office Product (0.10%)
143 New England Business Srvc. 3,218
----------
Health Care Service (3.69%)
363 Coventry Corporation* 2,654
181 Express Scripts Inc.* 6,154
351 Genesis Health Ventures* 12,153
254 Integrated Health Services* 7,557
310 Lincare Holdings Inc.* 13,369
223 Living Centers* 7,108
319 Magellan Health Srvs. Corp.* 7,855
250 Occusystems Inc.* 5,875
250 Renal Treatment Ctrs.* 6,500
195 Sierra Health Services* 5,143
375 Steris Corp.* 9,469
515 Sybron International Corp.* 15,321
353 Universal Health Services B* 12,046
440 Vivra, Inc.* 13,090
----------
124,294
----------
Health & Beauty Aids (0.12%)
248 Regis Corp. 4,061
----------
Total Consumer Non-Durable 702,780
----------
Banking & Financial Service (17.53%)
Bank & Bank Holding Co. (6.38%)
166 CCB Financial Corp. 11,392
263 Centura Banks Inc. 11,506
204 Coast Savings Financial Inc.* 9,537
224 Collective Bancorp Inc. 9,212
153 Commnet Cellular Inc.* 3,902
247 Cullen/Frost Bankers Inc. 8,815
432 Deposit Guaranty Corp. 13,284
314 First Commercial Corp. 12,403
353 Firstmerit Corp. 14,208
166 Firstbank Puerto Rico 4,669
107 JSB Financial Inc. $ 4,260
418 Keystone Fin Inc.* 11,391
104 Liberty Bancorp, Inc./OK 5,421
309 Magna Group Inc. 9,849
180 Mark Twain Bancshares Inc. 9,833
434 Provident Bancorp Inc. 16,167
169 RCSB Financial Inc. 5,683
334 Riggs Natl Corp. Wash DC 6,659
247 St. Paul Bancorp* 6,546
214 U.S. Trust Corp. 10,058
189 Whitney Holdings Co.* 7,229
134 Zero Corporation 2,948
162 Zions Bancorporation* 20,169
----------
215,141
----------
Savings & Loan (3.06%)
237 Astoria Financial Corp.* 10,191
512 Charter One Financial Inc. 24,384
236 Commercial Federal Corp. 8,467
280 Downey Financial Corp. 6,615
411 First Financial Corp. - WI* 10,994
136 Onbancorp, Inc. 6,069
476 Roosevelt Financial Group 10,948
650 Sovereign Bancorp Inc. 8,211
382 TCF Financial Corp.* 17,333
----------
103,212
----------
Finance Companies (2.04%)
319 Amresco Inc.* 6,540
153 North American Mortgage* 3,117
274 Pioneer Group Inc. 6,405
199 Piper Jaffray Companies, Inc. 3,383
1,100 Union Planters Corp.* 49,225
----------
68,670
----------
Investment Companies (1.37%)
263 Alex Brown Inc. 15,287
104 Eaton Vance Corp.* 4,602
134 Interra Financial Inc.* 5,477
199 Legg Mason Inc.* 8,856
229 Raymond James Fncl. Corp.* 7,643
202 SEI Investments Co. 4,469
----------
46,334
----------
Insurance (3.11%)
223 Allied Grp.* 7,471
225 American Bankers Ins. Grp. 12,403
198 Enhance Fncl. Svcs. Grp. 6,831
302 Fremont General Corp.* 8,720
161 Frontier Insurance Group* 6,963
178 Gallagher Arthur J & Co.* 5,474
149 Life Re Corp. 6,407
198 Mutual Risk Mgmt. Ltd. 7,004
151 Orion Capital Corp. 9,664
338 Protective Life Corp.* 14,534
161 Selective Insurance Group* 6,762
74 Trenwick Group Inc. 3,645
26
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Insurance (Continued)
135 Washington National Corp.* $ 3,848
193 Zenith Ntnl Ins CP 5,115
----------
104,841
----------
Real Estate (015%)
126 First American Finl Corp. 5,166
----------
Financial Service (141%)
174 Capital Re Corp. 7,526
267 Cash American Intl* 2,537
246 CMAC Investment Corp.* 8,610
289 First Michigan Bank Corp. 8,742
313 National Auto Credit Inc.* 3,130
297 Primark Corp.* 7,388
277 Quick and Reilly 9,695
----------
47,628
----------
Total Banking & Financial Service 590,992
----------
Utility (363%)
Electric (110%)
149 CilCorp. Inc. 5,606
225 Eastern Utilities Assoc 4,134
106 Interstate Power Company 3,087
150 Orange & Rockland Utls 5,381
31 Puget Sound Energy, Inc. 787
338 Sierra Pacific Resources 9,887
140 TNP Enterprises Inc. 3,658
155 United Illuminating 4,514
----------
37,054
----------
Gas (226%)
176 Atmos Energy Inc. 4,312
192 Central Hudson Gas & Elct 6,369
2,000 Noble Drilling Corp.* 35,500
323 Piedmont Natural Gas 7,631
207 Pool Energy Services Co.* 2,872
211 Public Service Co. of NC 3,851
272 Southwestern Energy Co. 3,672
145 United Cities Gas Co. 3,408
281 Vintage Petroleum, Inc. 8,465
----------
76,080
----------
Telephone (015%)
175 ACC Corp.* 4,900
----------
Water 012%)
209 Philadelphia Suburban Corp.* 4,206
----------
Total Utility 122,240
----------
Service (303%)
Distributor (099%)
221 Fisher Scientific Int'l* 10,000
115 Hughes Supply Inc. 4,039
287 Kent Electronics Corp.* 7,893
Distributor (Continued)
473 Tech Data Corp.* $ 11,352
----------
33,284
----------
Pollution Control (010%)
240 Dames & Moore Inc. 3,300
----------
Business (024%)
214 Interim Services Inc.* 8,079
----------
Miscellaneous (170%)
144 Bassett Furniture Inds* 3,564
1,200 Corrections Corp. of Amer* 34,200
141 Stone & Webster Inc. 5,076
142 Tetra Technologies Inc.* 3,355
261 True North Co.mmunications* 5,220
457 TubosCo.pe VetCo. Intl Co.* 5,941
----------
57,356
----------
Total Service 102,019
----------
Transportation (228%)
Air Transportation (073%)
250 Air Express* 7,750
488 Co.mair Holdings Inc. 10,065
266 Expeditors Intl Wash Inc. 6,650
----------
24,465
----------
Trucking (128%)
342 American Freightways Corp.* 4,104
386 Fritz Companies Inc.* 3,884
330 Heartland Express Inc.* 6,930
141 Landstar* 3,155
486 Rollins Truck Leasing* 6,804
248 US Freightways Corp. 5,983
417 Werner Enterprises Inc.* 7,298
309 Yellow Corporation* 4,828
----------
42,986
----------
Miscellaneous (028%)
175 AAR Corp.* 4,463
272 Kirby Corp.* 5,032
----------
9,495
----------
Total Transportation 76,946
----------
Manufacturing (965%)
Consumer Durable (107%)
158 Ethan Allen Interiors 7,248
276 Intermet Corp. 4,175
182 K2 Inc. 5,028
199 La-Z-Boy Chair Co.* 6,890
221 Outboard Marine* 3,205
204 Scotts Company Class A* 4,335
296 Sturm Ruger & Co. Inc. 5,143
----------
36,024
----------
27
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Building & Housing (0.58%)
84 Butler Manufacturing $ 3,045
522 Champion Enterprises Inc.* 10,114
93 Fibreboard Corp.* 3,104
126 U.S. Home Corp.* 3,418
----------
19,681
----------
Chemical (1.00%)
128 Cambrex Corp. 4,288
108 Chemed Corp. 3,983
249 Lilly Industries Inc. 4,824
307 Mississippi Chemical Corp. 7,522
205 OM Group Inc.* 5,945
282 Regeneron Pharmaceutical* 2,820
85 W D-40 Co.* 4,399
----------
33,781
----------
Diversified (1.00%)
426 Kemet Corp.* 9,479
66 SPS Technologies Inc.* 4,224
185 Standard Products Inc.* 4,348
----------
18,051
----------
Capital Good (0.28%)
147 Standex International Corp. 4,153
134 Tredegar Industries Inc. 5,377
----------
9,530
----------
Paper & Forest Product (0.55%)
274 Caraustar Industries 8,152
115 Mosinee Paper Corp. 3,824
192 TJ International Inc. 3,888
187 Universal Forest Products 2,641
----------
18,505
----------
Metal & Mineral (1.50%)
211 AMCOL International Corp. 3,983
288 Baldor Electric 7,128
154 Castle (A.M.) & Co. 3,215
166 Commercial Metals Co. 4,814
562 Helca Mining Co.* 4,004
186 Myers Industries Inc. 3,046
365 Pogo Producing Co. 12,547
150 Valmont Industries 6,338
152 Wolverine Tube Inc. 5,586
----------
50,661
----------
Container (0.10%)
201 Shorewood Packaging Corp.* 3,518
----------
Computer (1.38%)
238 Comverse Technologies* 10,383
255 Gerber Scientific Inc. 4,080
565 Komag Inc.* 16,950
89 Kronos Inc.* 2,425
388 Methode Electronics CL A 6,160
229 Network Equip. Tech. Inc.* 3,693
177 Telxon Corp.* 2,876
----------
46,567
----------
Non-Ferrous Metal (0.33%)
170 Material Sciences* $ 2,784
192 Mueller Industries* 8,280
----------
11,064
----------
Gold & Precious Metal (0.66%)
239 Alpharma Inc. Class A 3,197
241 Coeur D Alene Mines 4,398
283 Getchell Gold Corp.* 14,575
----------
22,170
----------
Miscellaneous (1.65%)
323 Arctic Cat Inc. 3,109
315 Birmingham Steel Corp.* 5,709
188 Lydall Inc.* 4,230
177 Medusa Corp. 7,058
178 Novellus Systems, Inc.* 14,552
149 Quanex Corp. 3,986
227 Regal-Beloit* 5,079
167 Roper Industries Inc. 6,722
266 WMS Industries Inc.* 5,287
----------
55,732
----------
Total Manufacturing 325,284
----------
Technology (12.48%)
Office Equipment 0.09%)
167 Filenet Corporation* 3,173
----------
Electronic (2.88%)
231 BE Aerospace Inc.* 5,602
219 Etec Systems Inc.* 7,939
96 Fluke Corp. 4,332
146 Itron Inc.* 2,500
153 Logicon Inc.* 5,776
513 Read-Rite Corp.* 15,743
184 Sanmina Corp.* 8,510
327 SCI Systems, Inc.* 17,495
341 Tencor Instruments* 13,661
246 Vitesse Semiconductor* 10,317
139 Wyle Electronics 5,091
----------
96,966
----------
Bio-Technology (1.56%)
412 Advanced Tissue Sciences* 5,305
330 Alliance Pharmaceutical* 4,125
733 Calgene Inc.* 5,406
269 Cephalon Inc.* 6,355
188 Dekalb Genetics Corp. Cl. B 12,267
254 Enzo Biochem Inc.* 3,905
337 Mycogen Corp.* 8,804
172 Protein Design Labs Inc.* 6,450
----------
52,617
----------
Software (2.15%)
228 Bantec Inc.* 5,814
184 Boole & Babbage Inc.* 4,830
228 Broederbund Software Inc.* 6,698
28
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
Software (Continued)
361 Cerner Corp.* $ 5,505
448 Co.gnex Corp.* 8,120
214 Cyrix Corp.* 5,965
150 Dialogic Corp.* 5,363
615 Platinum Technology* 9,148
410 Sterling Software Inc.* 11,736
468 System Software Assoc Inc.* 4,856
215 XirCom Inc.* 4,273
----------
72,308
----------
Business - Mechanics & Software (095%)
563 Axciom Corp.* 8,586
138 Fair Issac & Company Inc. 5,003
131 Henry (Jack) & Associates 4,323
188 Hyperion Software Corp.* 3,725
476 Network General Corp.* 10,532
----------
32,169
----------
Business - Service (062%)
449 American Mgmt Systems* 7,858
527 Anixter International* 7,115
266 Zebra Tech CL A* 5,919
----------
20,892
----------
SemiConductor (179%)
292 Dallas SemiConductor Corp.* 7,592
246 Lattice SemiConductor Corp.* 11,747
561 Microchip Tech* 20,967
124 Park Electrochemical Corp. 3,023
130 Photronics Inc.* 4,485
522 S3 Incorporated* 9,037
505 VLSI Technology* 9,437
----------
66,288
----------
TeleCommunication (139%)
294 Allen Group* 6,137
534 Aspect TeleCo.m Corp.* 13,283
269 Auspex Systems Inc.* 3,127
231 BBN Corp.* 4,851
177 Digital Microwave Corp.* 4,425
656 Geotek Communications Inc.* 3,895
370 Picturetel Corp.* 5,828
221 Zilog Inc.* 5,221
----------
46,767
----------
Aerospace Aircraft (017%)
339 Orbital Sciences Corp.* 5,848
----------
TeleCom Equipment (017%)
143 Alliant Techsystems Inc.* 6,238
----------
Miscellaneous (051%)
371 Keane, Inc.* $ 13,078
168 National Computer Sys, Inc. 4,158
----------
17,236
----------
Total Technology 420,502
----------
Energy (494%)
Oil & Gas - Domestic (287%)
344 Barrett Resources Corp.* 11,309
304 Benton Oil & Gas* 4,636
251 Cabot Oil & Gas Corp. 3,985
179 Cross Timbers Oil Co. 4,833
353 Devon Energy Corp. 11,031
139 Energen Corp. 4,170
187 HS Resources Inc.* 2,571
160 KCS Energy Inc. 5,760
706 Mesa Inc.* 4,324
199 New Jersey Resources 5,721
385 Newfield Exploration Co.* 7,652
247 Northwest Natural Gas 5,990
181 Plains Resources Inc.* 2,398
342 Snyder Oil Corp.* 5,472
292 Southwest Gas * 5,402
377 United Meridian Corp.* 11,357
----------
96,611
----------
Oil & Gas - International (007%)
96 St Mary Land & Explor 2,305
----------
Oil & Gas - Service (110%)
267 CamCo. International Inc. 10,313
248 Global Industrial Tech* 4,402
262 Oceaneering International* 4,159
214 Offshore Logistics Inc.* 3,906
313 Pride Petroleum Services* 5,243
112 Production Operators Corp.* 5,474
110 Seitel Inc.* 3,740
----------
37,237
----------
Natural Gas (060%)
332 K N Energy Inc. 13,114
202 WiCor Inc. 7,095
----------
20,209
----------
Miscellaneous (030%)
473 Input/Output, Inc.* 10,110
----------
Total Energy 166,472
----------
Total Common Stock
(Cost $3,013,302) 2,944,984
----------
29
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Par
Value Value
----- -----
Short Term Investments (12.79%)
United States Treasury Bills
$170,000 4.760% 03/20/97 (b) $ 169,563
102,736 Portico U.S. Government Money Market Fund 102,736
158,723 Portico Institutional Money Market Fund 158,723
-----------
Total Short-Term Investments (Cost $431,022) 431,022
-----------
Total Investments (Cost $3,444,324)(100.17%) 3,376,006
Liabilities in Excess of Other Assets (-0.17%) (5,563)
-----------
Net Assets (100.00%) $ 3,370,443
===========
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $3,444,324. At February
28, 1997, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 91,457
Unrealized depreciation (159,775)
-----------
Net unrealized depreciation $ (68,318)
===========
(b) At February 28, 1997, certain United States Treasury Bills with a market
value of $9,978 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1997 (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
Russell 2000 Stock Index:
2/June 97/Long $ (5,070)
==========
See accompanying notes to financial statements
30
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1997
(unaudited)
Shares Value
------ -----
COMMON STOCK (63.34%)
Capital Good (1.07%)
Electrical Equipment (1.07%)
940 AMP, Inc. $ 36,543
----------
Consumer Cyslical (9.23%)
Auto & Truck (7.18%)
2,880 Chrysler Corp. 97,560
4,480 Ford Motor Co. 147,280
----------
244,840
----------
Retail-General (2.05%)
1,030 May Dept. Stores 48,024
1,160 The Limited LTD 22,040
----------
70,064
----------
Total Consumer Cyclical 314,904
----------
Consumer Non-Durable (4.14%)
Entertainment & Leisure (0.32%)
380 Brunswick 10,878
----------
Drugs (1.82%)
1,350 Baxter International 62,100
----------
Cosmetic & Soap (4.14%)
660 Colgate Palmolive Co. 68,310
----------
Total Consumer Non-Durable 141,288
----------
Banking & Finance (13.17%)
Bank & Bank Holdiong Co. (10.12%)
4,120 Banc One Corp. 181,795
2,790 First Chicago NBD Corp. 163,215
----------
345,010
----------
Insurance (3.05%)
2,400 American General 104,100
----------
Total Banking & Finance 449,110
----------
Utility (6.92%)
Telephone (3.23%)
1,730 Ameritech Corp. 110,288
----------
Energy (3.67%)
5,780 Southern Co. $ 125,715
----------
Total Utility 236,003
----------
Transportation (1.52%)
Railroad (1.52%)
570 Norfolk Southern Co. 51,941
----------
Manufacturing (12.92%)
Chemical (6.20%)
1,850 Dupont De Nemours & Co. 198,413
300 Williams & Co. 13,125
----------
211,538
----------
Paper & Forrest Product (2.11%)
990 International Paper 41,333
660 Weyerhaeuser Co. 30,525
----------
71,858
----------
Miscellaneous (4.61%)
1,710 3M & Co. 157,320
----------
Total Manufacturing 440,716
----------
Technology (1.21%)
Electronic (1.21%)
560 Harris Corp. 41,300
----------
Aerospace Aircraft (1.81%)
920 General Dynamics 61,870
----------
Total Technology 103,170
----------
Energy (2.25%)
Oil & Gas (2.25%)
910 Amoco Corp. 76,895
----------
Oil & Gas International (9.08%)
2,180 Exxon Corp. 217,728
750 Mobil Corp. 92,063
----------
309,791
----------
Total Energy 386,686
----------
Total Common Stock
(cost $2,022,725) 2,160,357
----------
31
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1997
(unaudited)
Par
Value Value
----- -----
Short Term Investments (36.26%)
United States Treasury Bills
$ 750,000 4.760% 03/20/97 (b) $ 748,076
200,000 4.920% 03/27/97 (b) 199,284
-----------
947,360
-----------
168,571 Portico Institutional Money Market Fund 168,571
-----------
120,562 Portico US Government Market Fund 120,562
-----------
Total Short-Term Investments (Cost $1,236,493) 1,236,493
-----------
Total Investments (Cost $3,259,218)(99.60%) 3,396,854
Other Net Assets (0.40%) 13,592
-----------
Net Assets (100.00%) $ 3,410,442
-----------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $3,259,218. At February
28, 1997, unrealized apprec- iation (depreciation) of securities for
federal income tax purpose is as follows:
Unrealized appreciation $ 144,319
Unrealized depreciation (6,683)
-----------
Net unrealized appreciation $ 137,636
-----------
(b) At February 28, 1997, certain United States Treasury Bills with a market
value of $329,270 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1997 (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P BARRA/Value Stock Index Future:
3/March 97/Long $ 53,520
3/June 97/Long (1,580)
-----------
$ 51,940
-----------
See accompanying notes to financial statements
32
<PAGE>
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1997
(unaudited)
<CAPTION>
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
------------- ------------- ------------
<S> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$92,946,869, $187,495,890 and $25,944,532
respectively) (Note 1) $ 92,946,869 $ 197,303,800 $ 26,648,981
Cash 21,439 93,980 35,882
Interest receivable 870,474 2,451,034 409,310
------------- ------------- ------------
Total Assets 93,838,782 199,848,814 27,094,173
------------- ------------- ------------
LIABILITIES
Payable for investments 2,915,803 927,428
Payable to Investment Advisor 19,859 73,639 7,194
Accrued expenses 21,010 35,742 9,904
Distributions payable 192,202 711,235 84,474
------------- ------------- ------------
Total Liabilities 233,071 3,736,419 1,029,000
------------- ------------- ------------
Net Assets:
(Applicable to 93,675,052, 15,495,311 and
2,448,508 shares of beneficial interest with no
par value, unlimited number of shares
authorized) $ 93,605,711 $ 196,112,395 $ 26,065,173
============ ============= ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$93,605,711 / 93,675,052 shares $ 1.00
======
$196,112,395 / 15,495,311 shares $ 12.66
=======
$26,065,173 / 2,448,508 shares $ 10.65
=======
Net assets at February 28, 1997 consisted of:
Paid-in capital $ 93,675,052 $ 183,519,198 $ 25,398,086
Undistributed net investment income --- 16,666 5,148
Accumulated net realized gains (losses) (69,341) 2,768,621 (42,510)
Unrealized appreciation of investments --- 9,807,910 704,449
------------- ------------- ------------
$ 93,605,711 $ 196,112,395 $ 26,065,173
============= ============= ============
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
33
<PAGE>
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1997
(unaudited)
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
---- ----- ---- ----
<S> <C> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$29,076,974, $41,693,024, $43,567,475
and $30,630,823 respectively) (Note 1) $ 29,024,361 $ 41,693,024 $58,317,869 $ 38,864,332
Cash 68,656 22,818 --- ---
Interest receivable 270,621 --- 15,886 4,810
Dividends receivable --- --- 109,265 43,525
Receivable from Investment Advisor --- --- 1,370 ---
Variation margin receivable --- --- --- 2,390
------------ ------------ ------------ ------------
Total Assets 29,363,638 41,715,842 58,444,390 38,915,057
------------ ------------ ------------ ------------
LIABILITIES
Payable to Investment Advisor 10,334 7,262 --- 3,847
Accrued expenses 13,073 11,899 21,690 20,873
Distributions payable 141,418 126,024 --- ---
Variation margin payable --- --- 1,115 ---
------------ ------------ ------------ ------------
Total Liabilities 164,825 145,185 22,805 24,720
------------ ------------ ------------ ------------
Net Assets:
(Applicable to 2,811,498, 41,569,847,
3,317,813 and 2,498,857 shares of
beneficial interest with no par value,
unlimited number of shares authorized) $ 29,198,813 $ 41,570,657 $ 58,421,585 $ 38,890,337
============ ============ ============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$29,198,813 / 2,811,498 shares $ 10.39
=======
$41,570,657 / 41,569,847 shares $1.00
=====
$58,421,585 / 3,317,813 shares $ 17.61
=======
$38,890,337 / 2,498,857 shares $ 15.56
========
Net assets at February 28, 1997 consisted of:
Paid-in capital $ 28,932,819 $ 41,569,847 $43,063,798 $ 30,115,997
Undistributed net investment income 4,884 --- 188,081 89,143
Undistributed net realized gains 313,723 810 314,717 407,623
Unrealized appreciation (depreciation)
of investments (52,613) --- 14,750,394 8,233,509
Unrealized appreciation of futures contracts --- --- 104,595 44,065
------------ ------------ ------------ ------------
$ 29,198,813 $ 41,570,657 $ 58,421,585 $ 38,890,337
============ ============ ============ ============
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
34
<PAGE>
<TABLE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1997
(unaudited)
<CAPTION>
S&P
SmallCap Equity
Index Income
Fund Fund
---- ----
<S> <C> <C>
ASSETS
Investments at market value
(identified cost $3,444,324
and $3,259,218 respectively) (Note 1) $ 3,376,006 $ 3,396,850
Interest receivable 605 950
Dividends receivable 1,569 12,891
Receivable from Investment Advisor 15,322 --
Deferred organizational costs -- 17,928
Variation margin receivable 1,700 --
----------- -----------
Total assets 3,395,202 3,428,619
----------- -----------
LIABILITIES
Payable for investments purchased 10,022 --
Payable to Investment Advisor -- 2,608
Accrued expenses 14,737 14,969
Variation margin payable -- 600
----------- -----------
Total Liabilities 24,759 18,177
----------- -----------
Net Assets:
(Applicable to 327,921, and 303,394
shares of beneficial interest with no par value,
unlimited number of shares authorized) $ 3,370,443 $ 3,410,442
----------- -----------
Pricing of Shares:
Net asset value, offering and
redemption price per share
$3,370,443 / 327,921 shares $ 10.28
-----------
$3,410,442 / 303,394 shares $ 11.24
-----------
Net assets at February 28, 1997 consisted of:
Paid-in capital $ 3,337,198 $ 3,180,398
Undistributed net investment income 17,387 19,059
Undistributed net realized gains 89,246 21,413
Unrealized appreciation (depreciation)
of investments (68,318) 137,632
Unrealized appreciation (depreciation)
of futures contracts (5,070) 51,940
----------- -----------
$ 3,370,443 $ 3,410,442
=========== ===========
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
35
<PAGE>
<TABLE>
STATEMENTS OF OPERATIONS
For the Six Months ended February 28, 1997
(unaudited)
<CAPTION>
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
---- ---- ----
<S> <C> <C> <C>
Investment Income:
Interest income $ 1,678,078 $ 5,439,878 $ 618,768
-------------- ------------ ----------
Expenses:
Management fees (Note 2) 243,224 477,605 63,686
Transfer agent fees 17,860 31,199 4,716
Accounting services 11,858 33,337 12,777
Custodian fees 13,286 16,156 2,258
Legal and audit fees 8,342 30,824 2,181
Trustees fees 1,965 1,928 2,004
Insurance 404 1,007 120
Printing 2,024 3,966 786
Registration & dues 508 --- 56
-------------- ------------ ----------
Total expenses 299,471 596,022 88,584
Less reimbursement from manager (Note 2) (104,594) --- (18,529)
-------------- ------------ ----------
Net expenses 194,877 596,022 70,055
-------------- ------------ ----------
Net investment income 1,483,201 4,843,856 548,713
-------------- ------------ ----------
Realized and Unrealized Gain on Investments:
Net realized gain (loss) from security transactions --- 2,895,982 (8,747)
Increase in unrealized appreciation of investments --- 2,847,750 542,040
-------------- ------------ ----------
Net realized and unrealized gain on
investments --- 5,743,732 533,293
-------------- ------------ ----------
Net increase in net assets resulting
from operations $ 1,483,201 $ 10,587,588 $ 1,082,006
============== ============ ===========
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
36
<PAGE>
<TABLE>
STATEMENTS OF OPERATIONS
For the Six Months ended February 28, 1997
(unaudited)
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
---- ----- ---- ----
<S> <C> <C> <C> <C>
Investment Income:
Interest income $ 1,015,602 $ 962,068 $ 162,957 $ 76,555
Dividend income --- --- 459,007 256,729
---------- --------- ----------- -----------
Total 1,015,602 962,068 621,964 333,284
Expenses:
Management fees (Note 2) 74,698 92,868 64,073 72,684
Transfer agent fees 6,759 5,695 14,257 10,714
Accounting services 11,278 10,741 15,750 14,023
Custodian fees 3,525 4,594 12,298 10,081
Legal and audit fees 6,400 6,015 3,636 4,629
Trustees fees 995 1,051 1,065 1,037
Insurance 1,341 771 3,292 2,572
Printing 150 140 4,706 132
Registration & dues 254 198 718 1,103
Standard & Poors licensing fees --- --- 5,008 4,975
---------- --------- ----------- -----------
Total expenses 105,400 122,073 124,803 121,950
Less reimbursement from manager (Note 2) (8,292) (47,778) (73,545) (49,266)
---------- --------- ----------- -----------
Net expenses 97,108 74,295 51,258 72,684
---------- --------- ----------- -----------
Net investment income 918,494 887,773 570,706 260,600
---------- --------- ----------- -----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from security transactions 261,096 (820) 50,981 463,067
Net realized gain from futures contracts --- --- 689,365 238,775
Increase in unrealized appreciation of investments 832,741 --- 8,560,866 3,615,262
Increase in unrealized gain from futures contracts --- --- 184,000 47,400
---------- --------- ----------- -----------
Net realized and unrealized gain on
investments 1,093,837 (820) 9,485,212 4,364,504
---------- --------- ----------- -----------
Net increase in net assets resulting
from operations $2,012,331 $ 886,953 $10,055,918 $ 4,625,104
========== ========= =========== ===========
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
37
<PAGE>
<TABLE>
STATEMENTS OF OPERATIONS
For the Six Months ended February 28, 1997
(unaudited)
<CAPTION>
S&P
SmallCap Equity
Index Income
Fund Fund
---- ----
<S> <C> <C>
Investment Income:
Interest income $ 34,955 $ 38,474
Dividend income 2,453 14,556
--------- ---------
Total 37,408 53,030
Expenses:
Management fees (Note 2) 4,421 5,723
Transfer agent fees 3,539 4,130
Accounting services 10,433 12,543
Custodian fees 2,320 2,384
Legal and audit fees 1,980 3,381
Trustees fees 888 983
Insurance 105 125
Printing 124 148
Registration & dues 1,806 784
Standard & Poors licensing fees 445 --
Amortization of Deferred organizational costs -- 2,556
--------- ---------
Total expenses 26,061 32,757
Less reimbursement from manager (Note 2) (20,313) (23,599)
--------- ---------
Net expenses 5,748 9,158
--------- ---------
Net investment income 31,660 43,872
--------- ---------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from security transactions 126 9
Net realized gain from futures contracts 89,120 75,095
Change in unrealized appreciation of investments (68,318) 137,632
Change in unrealized gain from futures contracts (5,070) 51,940
--------- ---------
Net realized and unrealized gain on
investments 15,858 264,676
--------- ---------
Net increase in net assets resulting
from operations $ 47,518 $ 308,548
========= =========
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
38
<PAGE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS
<CAPTION>
California Tax-Free California Tax-Free
Money Market Fund Income Fund
----------------- -----------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1997 August 31, February 28, 1997 August 31,
(Unaudited) 1996 (Unaudited) 1996
----------- ---- ----------- ----
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,483,201 $ 2,871,143 $ 4,843,856 $ 9,930,698
Net realized gain (loss) on investments -- (7,237) 2,895,982 1,141,813
Increase in unrealized
appreciation of investments -- -- 2,847,750 819,602
------------- ------------- ------------- -------------
Net increase in net
assets resulting from operations 1,483,201 2,863,906 10,587,588 11,892,113
Undistributed investment income
included in price of shares sold
and repurchased -- -- 36,678 (48,607)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (1,483,201) (2,871,143) (4,865,512) (9,898,576)
Distributions from realized capital
gains on investments -- -- -- --
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions (9,796,346) 22,997,717 (4,571,942) (3,064,916)
------------- ------------- ------------- -------------
Total increase (decrease) (9,796,346) 22,990,480 1,186,812 (1,119,986)
NET ASSETS
Beginning of period 103,402,057 80,411,577 194,925,583 196,045,569
End of period* $ 93,605,711 $ 103,402,057 $ 196,112,395 $ 194,925,583
============= ============= ============= =============
* Including undistributed net
investment income of: -- -- $ 16,666 $ 1,644
============= ============= ============= =============
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
39
<PAGE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<CAPTION>
California Tax-Free California Tax-Free
Money Market Fund Income Fund
----------------- -----------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1997 August 31, February 28, 1997 August 31,
(Unaudited) 1996 (Unaudited) 1996
----------- ---- ----------- ----
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 548,713 $ 1,021,722 $ 918,494 $ 1,871,541
Net realized gain (loss) on investments (8,747) 252,253 261,096 515,038
Increase in unrealized
appreciation of investments 542,040 (413,306) 832,741 (1,961,734)
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations 1,082,006 860,669 2,012,331 424,845
Undistributed investment income
included in price of shares sold
and repurchased 621 (3,699) (3,766) (1,739)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (551,936) (1,015,189) (920,070) (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 1,327,753 849,529 (576,159) 645,403
------------ ------------ ------------ ------------
Total increase (decrease) 1,858,444 691,310 111,049 (796,135)
NET ASSETS
Beginning of period 24,206,729 23,515,419 29,087,764 29,883,899
------------ ------------ ------------ ------------
End of period* $ 26,065,173 $ 24,206,729 $ 29,198,813 $ 29,087,764
============= ============= ============= =============
* Including undistributed net
investment income of: $ 5,148 $ 7,750 $ 4,884 $ 10,226
============= ============= ============= =============
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
40
<PAGE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<CAPTION>
The United States
Treasury Trust
--------------
Six Months Ended Year Ended
February 28, 1997 August 31,
(Unaudited) 1996
----------- ----
<S> <C> <C>
OPERATIONS:
Net investment income $ 887,773 $ 1,856,992
Net realized gain (loss) on investments (820) 6,239
------------ ------------
Net increase in net
assets resulting from operations 886,953 1,863,231
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (887,773) (1,856,992)
Distributions from realized capital
gains on investments -- (10,667)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions 3,668,771 8,110,028
------------ ------------
Total increase 3,667,951 8,105,600
NET ASSETS
Beginning of period 37,902,706 29,797,106
------------ ------------
End of period* $ 41,570,657 $ 37,902,706
============ ============
* Including undistributed net
investment income of: $ -- $ --
============ ============
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
41
<PAGE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<CAPTION>
S&P 500 S&P MidCap
Index Fund Index Fund
---------- ----------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1997 August 31, February 28, 1997 August 31,
(Unaudited) 1996 (Unaudited) 1996
----------- ---- ----------- ----
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 570,706 $ 839,009 $ 260,600 $ 497,699
Net realized gain on investments 50,981 201,229 463,067 1,720,601
Net realized gain on
futures contracts 689,365 439,470 238,775 327,260
Increase in unrealized
appreciation of investments 8,560,866 3,212,679 3,615,262 827,425
Increase (decrease) in unrealized
appreciation of futures contracts 184,000 (146,030) 47,400 (289,620)
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations 10,055,918 4,546,357 4,625,104 3,083,365
Undistributed investment income
included in price of shares sold
and repurchased 10,525 52,233 2,458 7,839
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (578,775) (824,485) (256,525) (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 5,954,847 19,233,328 2,674,235 6,112,586
------------ ------------ ------------ ------------
Total increase 14,572,187 22,049,208 5,331,251 7,391,242
NET ASSETS
Beginning of period 43,849,398 21,800,190 33,559,086 26,167,844
------------ ------------ ------------ ------------
End of period* $ 58,421,585 $ 43,849,398 $ 38,890,337 $ 33,559,086
============ ============ ============ ============
* Including undistributed net
investment income of: $ 188,081 $ 185,625 $ 89,143 $ 82,610
============ ============ ============ ============
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
42
<PAGE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<CAPTION>
S&P SmallCap Equity
Index Fund Income Fund
---------- -----------
Six Months Ended Six Months Ended
February 28, 1997 February 28, 1997
(Unaudited) (Unaudited)
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income $ 31,660 $ 43,872
Net realized gain on investments 126 9
Net realized gain on
futures contracts 89,120 75,095
Increase (decrease) in unrealized
appreciation of investments (68,318) 137,632
Increase (decrease) in unrealized
appreciation of futures contracts (5,070) 51,940
----------- -----------
Net increase in net
assets resulting from operations 47,518 308,548
Undistributed investment income
included in price of shares sold
and repurchased 10,573 8,173
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income (24,846) (32,986)
Distributions from realized capital
gains on investments -- (53,691)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions 3,337,198 3,180,398
----------- -----------
Total increase 3,370,443 3,410,442
NET ASSETS
Beginning of period -- --
----------- -----------
End of period* $ 3,370,443 $ 3,410,442
=========== ===========
* Including undistributed net
investment income of: $ 17,387 $ 19,059
=========== ===========
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
43
<PAGE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<CAPTION>
California Tax Free Income Fund
-------------------------------------------------------
Six Months Ended
February 28, 1997 Year Ended
(Unaudited) August 31, 1996
--------------------- ---------------------
Shares Value Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Shares sold 8,574,271 $ 107,552,877 19,241,362 $ 239,721,369
Shares issued in reinvestment of
dividends 239,444 3,020,166 590,351 7,370,563
--------- ------------- ---------- -------------
8,813,715 110,573,043 19,831,713 247,091,932
Shares repurchased (9,158,878) (115,144,985) (20,037,128) (250,156,848)
--------- ------------- ---------- -------------
Net increase (decrease) (345,163) $ (4,571,942) (205,415) $ (3,064,916)
======== ============= ======== =============
</TABLE>
<TABLE>
<CAPTION>
California Tax Free Income Fund
-------------------------------------------------------
Six Months Ended
February 28, 1997 Year Ended
(Unaudited) August 31, 1996
--------------------- ---------------------
Shares Value Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Shares sold 282,733 $ 2,986,320 486,799 $ 5,134,564
Shares issued in reinvestment of
dividends 27,385 290,207 61,399 647,284
-------- ----------- ------ -----------
310,118 3,276,527 548,198 5,781,848
Shares repurchased (184,119) (1,948,774) (467,461) (4,932,319)
-------- ----------- ------ -----------
Net increase (decrease) (125,999) $(1,327,753) 80,737 $ 849,529
======== =========== ====== ===========
</TABLE>
<TABLE>
<CAPTION>
California Tax-Free The United States
Money Market Fund Treasury Trust
----------------- --------------
Six Months Ended Six Months Ended
February 28, 1997 Year ended February 28, 1997 Year Ended
(Unaudited) August 31, 1996 (Unaudited) August 31, 1996
----------- --------------- ----------- ---------------
Shares/Value Shares/Value Shares/Value Shares/Value
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Shares sold 124,024,961 340,959,349 58,708,931 142,670,759
Shares issued in reinvestment of
dividends 1,188,842 2,690,146 690,407 1,792,248
------------ ------------ ----------- ------------
125,213,803 343,649,495 59,399,338 144,463,007
Shares repurchased (135,010,149) (320,651,778) (55,730,567) (136,352,979)
------------ ------------ ----------- ------------
Net increase (decrease) (9,796,346) (22,997,717) 3,668,771 8,110,028
============ ============ =========== ============
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
44
<PAGE>
<TABLE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<CAPTION>
U.S. Government Securities Fund
-------------------------------
Six Months Ended
February 28, 1997 Year Ended
(Unaudited) August 31, 1996
----------- ---------------
Shares Value Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Shares sold 181,107 $ 1,901,197 435,901 $ 4,635,912
Shares issued in reinvestment of
dividends 73,726 784,449 115,296 1,230,789
-------- ---------- -------- ----------
254,833 2,685,646 551,197 5,866,701
Shares repurchased (310,402) (3,261,805) (488,489) (5,221,298)
-------- ---------- -------- ----------
Net increase (decrease) 55,569 $ (576,159) 62,708 $ 645,403
======== ========== ======== ==========
</TABLE>
<TABLE>
<CAPTION>
S&P 500 Index Fund
------------------
February 28, 1997 Year Ended
(Unaudited) August 31, 1996
----------- ---------------
Shares Value Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Shares sold 479,414 $ 8,044,296 1401,521 $ 20,434,952
Shares issued in reinvestment
dividends 84,522 1,397,319 121,420 1,710,169
-------- ---------- -------- ----------
563,936 9,441,615 1522,941 22,145,121
Shares repurchased (206,717) (3,486,768) (199,649) (2,911,793)
-------- ---------- -------- ----------
Net increase 357,219 $ 5,954,847 1,323,292 $ 19,233,328
======== ========== ======== ==========
</TABLE>
<TABLE>
<CAPTION>
S&P MidCap Index Fund
-------------------------------
Six Months Ended
February 28, 1997 Year Ended
(Unaudited) August 31, 1996
----------- ---------------
Shares Value Shares Value
------ ----- ------ -----
<S> <C> <C> <C> <C>
Shares sold 227,597 $ 3,475,446 495,843 $ 7,090,800
Shares issued in reinvestment of
dividends 121,179 1,837,844 126,606 1,742,125
-------- ---------- -------- ----------
348,776 5,313,290 622,449 8,832,925
Shares repurchased (172,736) (2,639,055) (139,733) (2,720,339)
-------- ---------- -------- ----------
Net increase 176,040 $ 2,674,235 428,716 $ 6,112,586
======== ========== ======== ==========
<FN>
See accompanying notes to financial statements
</FN>
</TABLE>
45
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
S&P SmallCap Index Fund
-----------------------
Six Months Ended
February 28, 1997
(Unaudited)
-----------
Shares Value
------ -----
Shares sold 360,370 $ 3,669,729
Shares issued in reinvestment of
dividends 2,309 23,711
------- -----------
362,679 3,693,440
Shares repurchased (34,758) (356,242)
------- -----------
Net increase 327,921 $ 3,337,198
======= ===========
Equity Income Fund
------------------
Six Months Ended
February 28, 1997
(Unaudited)
-----------
Shares Value
------ -----
Shares sold 341,415 $ 3,578,114
Shares issued in reinvestment of
dividends 7,693 83,146
------- -----------
349,108 3,661,260
Shares repurchased (45,714) (480,862)
------- -----------
Net increase 303,394 $ 3,180,398
======= ===========
See accompanying notes to financial statements
46
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
<CAPTION>
California Tax-Free Money Market Fund
-------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1997 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1996 1995 1994 1993 1992
----------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- --------- --------- --------- ---------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.015 0.032 0.032 0.022 0.022 0.031
LESS DISTRIBUTIONS
Dividends from net investment
income (0.015) (0.032) (0.032) (0.022) (0.022) (0.031)
---------- --------- --------- --------- ---------- ---------
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========= ========= ========= ========== =========
Total Return 1.52% 3.26% 3.27% 2.18% 2.27% 3.18%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) $ 93,606 $103,402 $ 80,412 $ 85,935 $ 58,754 $ 92,913
Ratio of expenses to average net
assets:
Before expense reimbursements 0.62%* 0.61% 0.66% 0.68% 0.39% 0.15%
After expense reimbursements 0.40%* 0.40% 0.40% 0.35% 0.24% 0.15%
Ratio of net investment income to
average net assets:
Before expense reimbursements 2.85%* 2.90% 2.97% 1.83% 2.10% 3.05%
After expense reimbursements 3.07%* 3.11% 3.23% 2.16% 2.25% 3.05%
<FN>
See accompanying notes to the financial statements
* Annualized
</FN>
</TABLE>
47
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout the period)
<CAPTION>
California Tax-Free Money Market Fund
-------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1997 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1996 1995 1994 1993 1992
----------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 12.31 $ 12.22 $ 12.17 $ 13.39 $ 12.42 $ 11.85
--------- ---------- --------- --------- --------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.30 0.62 0.61 0.65 0.69 0.73
Net gain (loss) on securities (both
realized and unrealized) 0.35 0.09 0.30 (0.92) 1.04 0.57
--------- ---------- --------- --------- --------- ----------
Total from investment operations 0.65 0.71 0.91 (0.27) 1.73 1.30
--------- ---------- --------- --------- --------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income (0.30) (0.62) (0.66) (0.66) (0.68) (0.73)
Distributions from capital gains -- -- (0.20) (0.29) (0.08) --
--------- ---------- --------- --------- --------- ----------
Total distributions (0.30) (0.62) (0.86) (0.95) (0.76) (0.73)
--------- ---------- --------- --------- --------- ----------
Net asset value, end of period $ 12.66 12.31 $ 12.22 $ 12.17 $ 13.39 $ 12.42
========= ========== ========= ========= ========= ==========
Total Return 5.31% 5.40% 8.01% (2.15)% 14.55% 11.29%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) $ 196,112 $ 194,926 $ 196,046 $ 225,087 $ 274,325 $ 217,321
Ratio of expenses to average net
assets:
Before expense reimbursements 0.60%* 0.60% 0.62% 0.60% 0.60% 0.60%
After expense reimbursements 0.60%* 0.60% 0.62% 0.60% 0.60% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements 4.84%* 4.96% 5.13% 5.09% 5.41% 5.98%
After expense reimbursements 4.84%* 4.96% 5.13% 5.09% 5.41% 5.98%
Portfolio Turnover 17.39% 32.21% 32.21% 31.27% 25.42% 45.43%
<FN>
* Annualized
See accompanying notes to the financial statements
</FN>
</TABLE>
48
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
<CAPTION>
California Insured Intermediate Fund
------------------------------------
October 20,
Six Months Ended Year Ended Year Ended Year Ended 1992* to
February 29, 1996 August 31, August 31, August 31, August 31,
(Unaudited) 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 0.23 0.46 0.44 0.44 0.40
Net gain (loss) on securities (both
realized and unrealized) 0.23 (0.07) 0.30 (0.42) 0.61
--------- --------- --------- --------- ----------
Total from investment operations 0.46 0.39 0.74 0.02 1.01
--------- --------- --------- --------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income (0.23) (0.46) (0.48) (0.44) (0.36)
--------- --------- --------- --------- ----------
Total distributions (0.23) (0.46) (0.48) (0.44) (0.36)
--------- --------- --------- --------- ----------
Net asset value, end of period $ 10.65 $ 10.42 $ 10.49 $ 10.23 $ 10.65
========= ========= ========= ========= ==========
Total Return 4.42%** 3.75% 7.46% 0.23% 11.91%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) $ 26,065 $ 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 4.18%** 4.22% 4.19% 3.77% 2.75%**
After expense reimbursements 4.33%** 4.37% 4.35% 4.19% 4.59%**
Portfolio Turnover 5.64% 36.08% 43.56% 8.91% --
<FN>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
</FN>
</TABLE>
49
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout the period)
<CAPTION>
U.S Government Securities Fund
------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1997 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1996 1995 1994 1993 1992
----------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 10.15 $ 10.66 $ 10.30 $ 11.76 $ 10.52 $ 9.80
-------- -------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.33 0.66 0.70 0.67 0.71 0.72
Net gain (loss) on securities (both
realized and unrealized) 0.37 (0.51) 0.41 (1.40) 1.29 0.73
-------- -------- --------- --------- --------- ---------
Total from investment operations 0.70 0.15 1.11 (0.73) 2.00 1.45
-------- -------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income (0.33) (0.66) (0.75) (0.67) (0.71) (0.73)
Distributions from capital gains (0.13) -- -- (0.06) (0.05) --
-------- -------- --------- --------- --------- ---------
Total distributions (0.46) (0.66) (0.75) (0.73) (0.76) (0.73)
-------- -------- --------- --------- --------- ---------
Net asset value, end of period $ 10.39 $ 10.15 $ 10.66 $ 10.30 $ 11.76 $ 10.52
======== ======== ========= ========= ========= =========
Total Return 6.91% 1.26% 11.42% (6.44)% 20.09% 15.46%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) $ 29,199 $ 29,088 $ 29,884 $ 30,228 $ 35,787 $ 79,858
Ratio of expenses to average net
assets:
Before expense reimbursements 0.71%* 0.71% 0.75% 0.73% 0.75% 0.63%
After expense reimbursements 0.65%* 0.65% 0.64% 0.62% 0.52% 0.38%
Ratio of net investment income to
average net assets:
Before expense reimbursements 6.12% 6.10% 6.72% 5.99% 6.32% 6.87%
After expense reimbursements 6.18% 6.16% 6.83% 6.10% 6.55% 7.12%
Portfolio Turnover 51.94% 89.11% 169.83% 129.06% 52.30% 122.14%
<FN>
* Annualized
See accompanying notes to the financial statements
</FN>
</TABLE>
50
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout the period)
<CAPTION>
The United States Treasury Trust
--------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1997 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1996 1995 1994 1993 1992
----------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.024 0.050 0.050 0.031 0.028 0.041
LESS DISTRIBUTIONS
Dividends from net investment
income (0.024) (0.050) (0.050) (0.031) (0.028) (0.041)
-------- -------- --------- --------- --------- ---------
Net asset value, end of period $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ========= ========= ========= =========
Total Return 2.39% 5.11% 5.10% 3.11% 2.86% 4.18%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 41,571 $ 37,903 $ 29,797 $ 19,268 $ 28,449 $ 16,799
Ratio of expenses to average net
assets:
Before expense reimbursements 0.66%* 0.66% 0.72% 0.75% 0.65% 0.73%
After expense reimbursements 0.40%* 0.43% 0.50% 0.52% 0.32% 0.25%
Ratio of net investment income to
average net assets:
Before expense reimbursements 4.55%* 4.60% 4.75% 2.62% 2.43% 3.66%
After expense reimbursements 4.81%* 4.83% 4.97% 2.85% 2.76% 4.14%
<FN>
* Annualized
See accompanying notes to the financial statements
</FN>
</TABLE>
51
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
<CAPTION>
S&P 500 Index Fund
------------------
April 20,
Six Months Ended Year Ended Year Ended Year Ended Year Ended 1992* to
February 28, 1997 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1996 1995 1994 1993 1992
----------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 14.81 $ 13.31 $ 11.38 $ 11.25 $ 10.09 $ 10.00
-------- -------- --------- -------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.19 0.36 0.39 0.30 0.30 0.10
Net gain on securities (both
realized and unrealized) 3.08 2.05 1.94 0.26 1.16 0.03
-------- -------- --------- -------- ------- -------
Total from investment operations 3.27 2.41 2.33 .56 1.46 0.13
-------- -------- --------- -------- ------- -------
LESS DISTRIBUTIONS
Dividends from net investment
income (0.19) (0.37) (0.30) (0.30) (0.04)
Distributions from capital gains (0.28) (0.54) (0.03) (0.13) -- --
-------- -------- --------- -------- ------- -------
Total distributions (0.47) (0.91) (0.40) (0.43) (0.30) (0.04)
-------- -------- --------- -------- ------- -------
Net asset value, end of period $ 17.61 $ 14.81 $ 13.31 $ 11.38 $ 11.25 $10.09
======== ======== ========= ======== ======= ======
Total Return 22.31%* 18.63% 21.06% 5.17% 14.77% 3.66%*
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) $ 58,422 $ 43,849 $ 21,800 $ 14,830 $11,352 $4,380
Ratio of expenses to average net
assets:
Before expense reimbursements 0.49%** 0.57% 1.04% 1.01% 1.41% 2.71%*
After expense reimbursements 0.20%** 0.20% 0.20% 0.20% 0.09% 0.00%*
Ratio of net investment income to
average net assets:
Before expense reimbursements 1.94%** 2.13% 2.40% 1.95% 1.54% 0.94%*
After expense reimbursements 2.23%** 2.50% 3.24% 2.76% 2.86% 3.65%*
Portfolio Turnover 0.57% 1.87% 3.68% 1.22% 8.46% --
Average commission paid per share -- $ 0.028 (1)
<FN>
* Commencement of operations
** Annualized
(1) not required prior to August 31, 1995
See accompanying notes to the financial statements
</FN>
</TABLE>
52
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
<CAPTION>
S&P MidCap Index Fund
---------------------
April 20,
Six Months Ended Year Ended Year Ended Year Ended Year Ended 1992* to
February 28, 1997 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1996 1995 1994 1993 1992
----------- ---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 14.45 $ 13.82 $ 12.21 $ 12.23 $ 10.12 $ 10.00
--------- --------- --------- --------- -------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.11 0.24 0.26 0.22 0.25 0.09
Net gain on securities (both
realized and unrealized) 1.84 1.33 2.04 0.22 2.11 0.07
--------- --------- --------- --------- -------- -------
Total from investment operations 1.95 1.57 2.30 0.44 2.36 0.16
--------- --------- --------- --------- -------- -------
LESS DISTRIBUTIONS
Dividends from net investment
income (0.11) (0.25) (0.25) (0.22) (0.25) (0.04)
Distributions from capital gains (0.73) (0.69) (0.44) (0.24) --- ---
--------- --------- --------- --------- -------- -------
Total distributions (0.84) (0.94) (0.69) (0.46) (0.25) (0.04)
--------- --------- --------- --------- -------- -------
Net asset value, end of period $ 15.56 $ 14.45 $ 13.82 $ 12.21 $ 12.23 $ 10.12
========= ========= ========= ========= ======== =======
Total Return 13.69%** 11.77% 20.24% 3.75% 23.64% 4.48%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) $ 38,890 $ 26,168 $ 26,168 $ 21,789 $ 16,243 $ 3,279
Ratio of expenses to average net
assets:
Before expense reimbursements 0.67%** 0.71% 0.80% 0.97% 1.36% 3.74%**
After expense reimbursements 0.40%** 0.40% 0.40% 0.40% 0.17% 0.00%**
Ratio of net investment income (loss)
to average net assets:
Before expense reimbursements 1.17%** 1.38% 1.70% 1.30% 0.97% (0.46)%**
After expense reimbursements 1.44%** 1.69% 2.10% 1.87% 2.16% 3.28%**
Portfolio Turnover 4.41% 18.18% 11.71% 15.01% 8.16% 0.87%
Average commission paid per share $ 0.0059(1) $ 0.021 (1)
<FN>
* Commencement of operations
** Annualized
(1) Not required before August 31, 1995
See accompanying notes to the financial statements
</FN>
</TABLE>
53
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
<CAPTION>
S&P SmallCap Index Fund Equity Income Fund
October 1, 1996* September 1, 1996*
to to
February 28, 1997 February 28, 1997
(Unaudited) (Unaudited)
----------- -----------
<S> <C> <C>
Net asset value, beginning of period $ 10.00 $ 10.00
-------------- ------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income 0.15 0.20
Net gain on securities (both
realized and unrealized) 0.23 1.45
-------------- ------------
Total from investment operations 0.38 1.65
-------------- ------------
LESS DISTRIBUTIONS
Dividends from net investment
income (0.10) (0.14)
Distributions from capital gains -- (0.27)
-------------- ------------
Total distributions (0.10) (0.41)
-------------- ------------
Net asset value, end of period $ 10.28 $ 11.24
============== ============
Total Return 3.83%** 16.68%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000s) $ 3,370 $ 3,410
Ratio of expenses to average net
assets:
Before expense reimbursements 2.93%** 2.86%
After expense reimbursements 0.65%** 0.80%
Ratio of net investment income (loss)
to average net assets:
Before expense reimbursements 1.28%** 1.76%
After expense reimbursements 3.56%** 3.82%
Portfolio Turnover 1.44% --
Average commission paid per share 0.1701(1) --
<FN>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
</FN>
</TABLE>
54
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
February 28, 1997
(Unaudited)
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are three separate series of shares of
beneficial interest of California Investment Trust. U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund and S&P MidCap Index
Fund are separate series of shares of beneficial interest of California
Investment Trust II. Both Trusts are registered under the Investment Company Act
of 1940, as amended, as diversified open-end management investment companies.
Both Trusts were organized as Massachusetts business trusts on September 11,
1985 and are authorized to issue an unlimited number of no par value shares in
one or more series. The 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 Funds listed on a
national exchange are valued at the last reported sales price. U.S.
Treasury Bills are valued at amortized cost which approximates market
value. Portfolio securities of the California Tax-Free Income Fund,
California Insured Intermediate Fund and the U.S. Government Securities
Fund are valued by an independent pricing service that uses market
quotations, representing the mean between the latest available bid and
asked prices, prices provided by market makers, or estimates of market
values obtained from yield data relating to instruments or securities with
similar characteristics, in accordance with procedures established in good
faith by the Board of Trustees. Securities with remaining maturities of 60
days or less are valued on the amortized cost basis as reflecting fair
value. All other securities are valued at their fair value as determined in
good faith by the Board of Trustees. California Tax-Free Money Market Fund
and The United States Treasury Trust securities are valued at amortized
cost which the Board of Trustees has determined in good faith to constitute
fair value.
(b) Futures Contracts --- Initial margin deposits required upon
entering into futures contracts are satisfied by the segregation of
specific securities or cash, as collateral, for the account of the broker
(the Funds 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 days
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
Funds basis in the contract. The S&P 500 Index Fund, S&P MidCap Index Fund,
S&P SmallCap Index Fund and the 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 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 $37,000 which expire
55
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
February 28, 1997
(Unaudited)
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Continued)
as follows, $8,000 in 1997, $10,000 in 1999, $4,000 in 2000, $2,000 in 2003
and $13,000 in 2004. The California Tax-Free Income Fund and the California
Insured Intermediate Fund have capital loss carryovers of approximately
$127,000 and $34,000 respectively, which expires in 2003.
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities
purchased are amortized in accordance with tax regulations. Distributions
to shareholders are recorded on the ex-dividend date for the California
Tax-Free Income Fund, the California Insured Intermediate Fund, the U.S.
Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund and 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 the
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 issuers
abilities to meet their obligations may be affected by economic
developments in the state of California.
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, 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 the
Equity Income Fund, CCM receives compensation at the annual rate of 0.50% of the
Funds average daily net assets not exceeding $500 million, 0.45% on net assets
from $500 million to $1 billion, and 0.40% on net
56
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
February 28, 1997
(Unaudited)
Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
(Continued)
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 six month period ended February 29, 1996,
is as follows:
California Tax-Free Money Market Fund $104,594
California Insured Intermediate Fund $ 18,529
U.S. Government Securities Fund $ 8,292
The United States Treasury Trust $ 47,778
S&P 500 Index Fund $ 73,545
S&P MidCap Index Fund $ 49,266
S&P SmallCap Index Fund $ 20,313
Equity Income Fund $ 23,599
CCM has retained Bank of America NT&SA to act as Sub-Advisor to the S&P 500
Index Fund and S&P MidCap Index Fund, subject to supervision by the Manager and
the Trusts Board of Trustees. Under the Sub-Advisory Agreement, the Sub-Advisor
is responsible for the actual management of each Funds portfolio. The
responsibility for making decisions to buy, sell or hold a particular security
rests with the Sub-Advisor. The Sub-Advisor makes all the investment decisions
and places transactions accordingly. CCM compensates the Sub-Advisor at an
annual rate of 0.10% of the average net assets of the Fund.
Certain officers and trustees of the Trust are also partners of CCM.
Note 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the year or period ended February 29, 1996 were as follows:
Purchases Sales
--------- -----
California Tax-Free Income Fund $33,006,451 $38,998,595
California Insured Tax-Free Income Fund $2,373,551 $1,397,120
U.S. Government Securities Fund $15,179,652 $16,741,903
S&P 500 Index Fund $7,048,144 $257,035
S&P Midcap Index Fund $1,776,342 $1,479,558
S&P SmallCap Index Fund $3,035,099 $22,706
Equity Income Fund $2,022,725 ---
57
<PAGE>
CALIFORNIA
INVESTMENT GRUST
- ---------------- ----------------
FUND GROUP BULK POSTAGE
PAID
Milwaukee, WI
44 Montgomery Street #2100 PERMIT NO. 2855
San Francisco, CA 94104 ----------------
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