CALIFORNIA
INVESTMENT TRUST
- ------------------
F U N D G R O U P
44 Montgomery Street #2100
San Francisco, CA 94104
<PAGE>
CALIFORNIA
INVESTMENT TRUST
----------------
F U N D G R O U P
No Load Funds
-------------
ANNUAL REPORT
August 31, 1998
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 FundGroup 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.
(800) 225-8778
www.caltrust.com
<PAGE>
HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION
On the following pages are line graphs comparing each of the Funds'
performance to a comparable broad based securities market index from the
inception of each Fund through the fiscal year ended August 31, 1998. The graphs
assume a $10,000 hypothetical initial investment.
The objective of the graph is to permit you to compare the performance of
the funds with the current market and to give you perspective to market
conditions and investment strategies and techniques that materially affected the
performance of each fund. Below each graph is a table presenting each of the
respective funds' average annual total returns for the one-year, five-year, ten
year and/or from inception period through August 31, 1998. Past performance is
not predictive of future performance.
BOND FUNDS
During the fiscal year, high levels of consumer confidence, employment and
income growth supported consumer spending and led to a robust domestic economy.
Not until the second calendar quarter did the economy lose some momentum due to
the drags of an inventory adjustment and unfavorable foreign trade deficit.
Despite a low level of unemployment and rising wages, consumer price inflation
remained subdued. In response to these economic conditions, bond prices rose in
late 1997 then traded in a narrow relatively flat range until June when
government bond prices began a strong rally. Municipal bond prices began to
improve in price again in late July.
In response to economic conditions, the primary investment strategy of the
Funds' investment manager was to maintain current yield through emphasis on a
high average portfolio coupon while lengthening portfolio maturities to capture
larger price gains due to declining interest rates.
In late 1997, the California Tax-Free Income Fund emphasized purchases of
twenty-year-discounted, five percent coupon paper, with eight to ten-year
refunding protection. Purchase emphasis in 1998 shifted to fifteen year
non-callable premium paper. At fiscal year's end the portfolio's profile showed
an average coupon of 6.14%, average investment quality of Aa1, average maturity
of 13.6 years and an average modified duration of 8.7 years.
In the California Insured Intermediate Fund swaps were made out of bonds
maturing in four to five years into those with ten year maturities. As of August
31, 1998, the portfolio's average coupon was 5.52%, average maturity was 7
years, and the duration was 5.7 years.
The following data replaces a graph that represented a comparison between the
California Tax-Free Income Fund and the Lehman Brothers Municipal Bond Index:
[GRAPHIC OMITTED]
8/31/98
-------
California Tax-Free Income Fund $29,883.01
Lehman Municipal Bond Index $28,747.39
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/98 1 year 5 years 10 years
California Tax-Free Income Fund 8.75% 5.90% 8.36%
Lehman Brothers Municipal Bond Index 8.65% 6.37% 8.29%
1
<PAGE>
HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION
The following data replaces a graph that represented a comparison between the
California Insured Intermediate Fund and the Lehman 5 Year Municipal Bond Index.
[GRAPHIC OMITTED]
8/31/98
-------
California Insured Intermediate Fund $14,111.60
Lehman 5 Year Municipal Bond Index $13,787.33
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/98 1 year 5 years inception
California InsuredIntermediate Fund 6.64% 5.05% 6.05%
Lehman 5 yr. Brothers Muni Bond Index 6.62% 4.98% 5.63%
The following data replaces a graph that represented a comparison between the
U.S. Government Securities Fund, the Lehman Brothers Treasury Index and the
Lehman Brothers GNMA Index.
[GRAPHIC OMITTED]
8/31/98
-------
U.S. Government Securities Fund $30,046.40
Lehman Brothers Treasury Index $30,168.68
Lehman Brothers GNMA Index $30,318.61
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/98 1 year 5 years 10 years
US Government Securities Fund 15.88% 6.10% 9.68%
Lehman Bros Composite Treasury Index 12.47% 6.43% 9.12%
Lehman Bros GNMA Treasury Index 8.53% 6.55% 9.03%
2
<PAGE>
HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION
Early in the fiscal year, the proportion of GNMA modified pass-throughs in
the U.S. Government Securities Fund was further reduced, continuing a process
begun in the previous year. Purchase emphasis was on long treasury bonds and
ten-year strips. At August 31, 1998, the Fund's average coupon was 6.57%, the
average maturity 15.8 years and the duration was 9 years. Mortgage-backed
securities represented 19.3% of the portfolio.
The aforementioned actions by the investment manager coupled with the movement
of interest rates were the primary factors producing the past year's performance
results.
STOCK FUNDS
The primary strategy of the index funds' investment manager during the past
fiscal year was to invest in those stocks represented by the respective Standard
and Poor's index in a manner that effectively replicated the performance of the
underlying index. Portfolio turnover is kept to a minimum to reduce the taxable
capital gains to shareholders.
For the year ended August 31, 1998, shareholders realized a total rate of
return of 0.46% in the Equity Income Fund. The S&P/BARRA Value Index, our
benchmark, had a total return for the same period of -0.45%. The market as a
whole peaked in July of 1998 and lost significant value from this point forward.
In fact, the broad market decline of 14.5% for the month of August was the tenth
most dramatic decline in the market for the Standard & Poor's 500 Composite
Stock Price Index.
The performance of the fund initially benefited from the strong performance
in the Banking and Finance sector. When this sector began its rapid decline in
July, the performance of the Fund suffered. For the 45 day period ended August
31, 1998, the Standard & Poor's Banking Index was off 29.8%. This sector
represented 27% of the equity holdings of the fund at year-end. The second
largest sector holding in the Fund is in Utilities. This sector was soft, but
declined a relatively small 4% through the end of the 45 day period, resulting
in a decline for the fund in the same period of a negative 19.7%.
The following data replaces a graph that represented a comparison between the
CIT S&P 500 Index Fund and the S&P Composite Stock Price Index.
[GRAPHIC OMITTED]
8/31/98
-------
CIT S&P 500 Index Fund $26,625.02
S&P Composite Stock Price Index $27,211.19
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/98 1 year 5 years inception
CIT S&P 500 Index Fund 8.14% 18.01% 16.63%
S&P Composite 500 Index 8.11% 18.25% 17.03%
3
<PAGE>
HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION
The following data replaces a graph that represented a comparison between the
CIT S&P Mid Cap Index Fund and the S&P Mid Cap 400 Index.
[GRAPHIC OMITTED]
8/31/98
-------
CIT S&P MidCap Index Fund $21,698.16
S&P MidCap 400 Index $22,346.52
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/98 1 year 5 years inception
CIT S&P MidCap Index Fund -9.37% 11.54% 12.94%
S&P MidCap 400 Index -9.39% 11.87% 13.47%
The following data replaces a graph that represented a comparison between the
CIT S&P SmallCap Index Fund and the S&P SmallCap 600 Index.
[GRAPHIC OMITTED]
8/31/98
-------
CIT S&P SmallCap Index Fund $10,066.29
S&P SmallCap 600 Index $10,538.48
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/98 1 year inception
CIT S&P SmallCap Index Fund -19.38% 0.35%
S&P 600 SmallCap Index -18.00% 1.97%
4
<PAGE>
HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION
The following data replaces a graph that represented a comparison between the
CIT Equity Income Fund, S&P/BARRA Value Index and the S&P 500 Composite Index.
[GRAPHIC OMITTED]
8/31/98
-------
CIT Equity Income Fund $13,389.71
S&P/BARRA Value Index $15,115.75
S&P 500 Composite Index $13,695.10
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/98 1 year inception
CIT Equity Income Fund 0.46% 15.76%
S&P/BARRA Value Index -0.45% 17.08%
S&P 500 Composite Index 8.11% 23.02%
We feel that the stock market reacted severely to simultaneous economic
developments in Japan, Russia and South America and to political developments in
the United States. Secretary of the Treasury, Robert Rubin noted that, "The
number of countries experiencing difficulties at once is something that we have
not seen before."
Particularly hard hit were the major money center banks with foreign
trading or loan exposure to these countries. Like the oil stocks, which had been
hit earlier in the year by falling oil prices, they are now valued at more
attractive levels. The manager closed positions in some holdings in an effort to
offset previously realized capital gains. This strategy directly benefited the
shareholders in that the tax liability for all realized capital gains was offset
as of 8/31/98.
Following the investment objective discussed in the prospectus, we continue
to invest in about 60 large capitalization stocks that on balance give us an
attractive yield compared to the broader market. The value orientation of these
securities should give shareholders additional diversification and in the long
run, less volatility than the market as a whole.
- --------------------------------------------------------------------------------
5
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
August 31, 1998
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
<S> <C> <C> <C>
VARIABLE RATE DEMAND NOTES* (47.46%)
ANAHEIM PUBLIC IMPROVEMENT CORP.
$2,800,000 Certificates of Participation, 1993 Refunding Project ........ 2.250% 09/02/98 $ 2,800,000
CALIFORNIA HEALTH FACILITIES FIN. AUTHORITY
3,000,000 Cottage Hospital Santa Barbara 1985 SeriesA, B, & C .......... 2.600% 09/03/98 3,000,000
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
3,300,000 So Cal Edison Series 1986A ................................... 3.800% 09/01/98 3,300,000
2,700,000 Shell Oil Company Series 1991A ............................... 3.100% 09/01/98 2,700,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Rev. Certificates of Participation ............. 2.350% 09/03/98 3,000,000
IRVINE RANCH WATER DISTRICT
2,700,000 Consolidated Series, 1993 .................................... 3.150% 09/01/98 2,700,000
2,800,000 Consolidated Series, 1995 .................................... 3.150% 09/01/98 2,800,000
LOS ANGELES MTA
2,900,000 Tax Revenue Refunding Bonds, 1993 Series A ................... 2.350% 09/03/98 2,900,000
LOS ANGELES COUNTY
2,500,000 Pension Obligation Refunding Bonds ........................... 2.250% 09/02/98 2,500,000
NEWPORT BEACH, CITY OF
1,300,000 Hoag Memorial Hospital Presbyterian, Series 1992 ............. 3.250% 09/01/98 1,300,000
ORANGE COUNTY SANITATION DISTRICT
3,000,000 Refunding Certificates of Participation, 1993 Series ......... 3.150% 09/01/98 3,000,000
RIVERSIDE REDEVELOPMENT AGENCY
2,800,000 Multi-family Housing Revenue Bonds ........................... 2.200% 09/02/98 2,800,000
SAN BERNARDINO COUNTY
3,500,000 COP, 1996 County Center Refinancing Project .................. 2.300% 09/02/98 3,500,000
SANTA CLARA, CITY OF
1,000,000 Electric Revenue Series 1985A ................................ 2.300% 09/02/98 1,000,000
1,000,000 Electric Revenue Series 1985C ................................ 2.300% 09/02/98 1,000,000
SOUTH SAN FRANCISCO, CITY OF
575,000 Certificates of Participation ................................ 2.800% 09/03/98 575,000
SOUTHERN CA PUBLIC POWER AUTHORITY
3,000,000 Power Project Revenue Bond, Series C ......................... 2.250% 09/02/98 3,000,000
------------
Total Variable Rate Demand Notes
(cost $41,875,000) ...................................... 41,875,000
------------
TAX AND REVENUE ANTICIPATION NOTES (23.28%)
2,000,000 CA School Cash Res. Program .................................. 4.500% 07/02/99 2,012,193
1,000,000 Cambell Union School District ................................ 4.000% 08/02/99 1,003,985
1,000,000 Cambell Union School District ................................ 4.500% 09/15/98 1,000,221
2,000,000 Fremont Unified School District .............................. 3.900% 06/30/99 2,003,186
2,000,000 Oxnard School District ....................................... 4.000% 08/19/99 2,008,935
2,000,000 Sacramento County, CA, General Obligations ................... 4.500% 09/30/98 2,001,249
1,300,000 San Carlos School District ................................... 4.000% 06/30/99 1,304,153
1,165,000 San Diego Tax & Revenue Notes ................................ 4.500% 09/30/98 1,165,872
2,000,000 San Francisco City & County, General Obligations ............. 4.500% 06/15/99 2,014,523
2,000,000 San Jose Unified School District ............................. 4.500% 06/15/99 2,001,366
2,000,000 San Luis Obispo County ....................................... 4.250% 07/07/99 2,011,443
6
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(Continued)
August 31, 1998
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
TAX AND REVENUE ANTICIPATION NOTES (CONTINUED)
$2,000,000 Santa Barbara School Finance Authority ....................... 4.500% 06/30/99 $ 2,013,243
------------
Total Tax and Revenue Anticipation Notes
(cost $20,540,369) ....................................... 20,540,369
------------
COMMERCIAL PAPER (31.28%)
CALIFORNIA EDUCATIONAL FACILITIES
3,000,000 Carnegie Institution ......................................... 3.500% 09/22/98 3,000,000
CALIFORNIA, STATE OF
1,000,000 General Obligation ........................................... 3.200% 11/03/98 1,000,000
EASTBAY MUNICIPAL UTILITY DISTRICT
3,500,000 Water System Series .......................................... 3.100% 09/09/98 3,500,000
LOS ANGELES DEPT. OF WATER & POWER
1,000,000 Electric Plant Short-Term Revenue Certificates ............... 3.500% 10/06/98 1,000,000
2,500,000 Electric Plant Short-Term Revenue Certificates ............... 3.300% 11/18/98 2,500,000
CITY OF LOS ANGELES
3,500,000 Wastewater System ............................................ 3.300% 01/06/99 3,500,000
METROPOLITAN WATER DISTRICT OF SO. CA
2,400,000 Metropolitan Water District of Southern CA ................... 3.300% 11/18/98 2,400,000
1,500,000 Metropolitan Water District of Southern CA ................... 3.400% 09/02/98 1,500,000
SACRAMENTO MUNICIPAL UTILITIES DISTRICT
3,100,000 Commerical Paper Notes Series I .............................. 3.350% 09/01/98 3,100,000
3,100,000 Commercial Paper Notes Series I .............................. 3.100% 12/16/98 3,100,000
SAN DIEGO COUNTY REGIONAL TRANS. AUTH.
3,000,000 Sales Tax Revenue, Series A .................................. 3.450% 10/07/98 3,000,000
------------
Total Commercial Paper
(cost $27,600,000) ....................................... 27,600,000
------------
Total Investments (102.02%)
(cost $90,015,369) (a) ................................... 90,015,369
Liabilities in Excess of Other Assets (-2.02%).............. (1,779,562)
------------
Net Assets (100.00%)...................................... $ 88,235,807
============
</TABLE>
- ---------------
(a) Aggregate cost for federal income tax purposes is $90,015,369.
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
7
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
August 31, 1998
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
<S> <C> <C> <C>
LONG-TERM SECURITIES (94.62%)
ANAHEIM CA PUBLIC FINANCING AUTHORITY
$2,250,000 Public Improvement Project, Series C ......................... 6.000% 09/01/12 $ 2,587,500
ARCADE WATER DISTRICT
3,425,000 Water Revenue Certificates of Participation, 1997 ............ 5.000% 11/01/27 3,390,750
CALIFORNIA EDUCATIONAL FAC. AUTHORITY
5,000,000 Lease Revenue Refunding Bonds, 1993 Series A ................. 5.500% 06/01/14 5,468,750
1,000,000 Loyola Marymount University, 1997 ............................ 5.000% 10/01/17 1,002,500
2,025,000 USC Refunding Revenue Bonds, 1997 Series A ................... 5.600% 10/01/04 2,197,125
1,290,000 Revenue Bonds (Pooled Colleges & Universities) ............... 5.250% 12/01/07 1,381,913
2,000,000 Revenue Bonds (University of San Francisco) .................. 6.000% 10/01/16 2,220,000
CA POLLUTION CONTROL AUTHORITY
3,000,000 San Diego Gas & Electric, Series 1996A ....................... 5.900% 06/01/14 3,360,000
1,950,000 San Diego Gas & Electric, Series A AMBAC TCRs ................ 5.900% 06/01/14 2,223,000
CALIFORNIA, STATE OF
5,000,000 General Obligations .......................................... 6.250% 09/01/12 5,875,000
STATE OF CA DEPT. OF WATER RESOURCES
2,320,000 Water System Revenue Bonds, Central Valley J-1 ............... 7.000% 12/01/11 2,902,900
2,835,000 Water System Revenue Bonds, Central Valley J-3 ............... 7.000% 12/01/11 3,547,294
CA STATE PUBLIC WORKS BOARD
4,000,000 Imperial County, Revenue Bonds, 1991 Series A ................ 6.500% 09/01/17 4,780,000
CA STATEWIDE COMMUNITIES DEV. AUTHORITY
2,250,000 Certificates of Participation, Cedars Sinai .................. 6.500% 08/01/12 2,610,000
3,615,000 Children's Hospital of Los Angeles, Series 1993 .............. 6.000% 06/01/09 4,089,469
CASTAIC LAKE WATER AGENCY
2,090,000 Certificates of Participation, 1994 Series A ................. 7.250% 08/01/09 2,612,500
CENTRAL COAST WATER AUTHORITY
1,420,000 California Revenue Refunding Bonds,1996 Series A ............. 6.000% 10/01/08 1,613,475
2,000,000 Refunding Revenue Bonds, 1996A ............................... 5.000% 10/01/22 1,980,000
CONTRA COSTA WATER DISTRICT
4,000,000 Water Revenue Bonds, Series E ................................ 6.250% 10/01/12 4,705,000
CULVER CITY REDEVELOPMENT FIN. AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993 ................. 5.500% 11/01/14 3,292,500
ELK GROVE UNIFIED SCHOOL DISTRICT
3,000,000 Special Tax Refunding, Series 1995 ........................... 6.500% 12/01/24 3,678,750
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 Gen. Obligation Convertible Bonds, 1993 Series C ............. 6.250% 05/01/12 4,849,500
FREMONT UNIFIED SCHOOL DISTRICT
3,000,000 General Obligation Bonds ..................................... 5.250% 09/01/16 3,086,250
FRESNO, CITY OF
4,000,000 Sewer System Revenue Bonds ................................... 5.250% 09/01/19 4,210,000
KERN HIGH SCHOOL DISTRICT
2,555,000 General Obligation Bonds, 1996 Series A ...................... 6.600% 08/01/16 3,034,063
KING CITY HIGH SCHOOL DISTRICT
2,975,000 General Obligation Refunding Bonds ........................... 5.000% 08/01/20 2,967,563
LAGUNA SALADA UNIFIED SCHOOL DISTRICT
1,070,000 General Obligation Bonds ..................................... 5.250% 08/01/13 1,144,900
LA CONVENTION & EXHIBIT CENTER
1,300,000 Certificates of Participation 1985* .......................... 9.000% 12/01/05 1,699,750
560,000 Certificates of Participation 1985* .......................... 9.000% 12/01/05 730,100
4,500,000 Lease Revenue Bonds, 1993 Series A ........................... 6.000% 08/15/10 5,163,750
LA DEPARTMENT OF AIRPORTS, CITY OF
2,500,000 Refunding Revenue Bonds ...................................... 6.500% 05/15/04 2,821,875
LA STATE BUILDING AUTHORITY
3,500,000 Lease Revenue Refunding Bonds ................................ 5.625% 05/01/11 3,823,750
8
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (CONTINUED)
LA UNIFIED SCHOOL DISTRICT
$1,625,000 General Obligation Bonds, 1997 Series A ...................... 4.900% 07/01/09 $ 1,700,156
1,000,000 General Obligation Bonds, 1997 Series A ...................... 6.000% 07/01/14 1,151,250
LA, DEPARTMENT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994 ......................... 8.500% 06/01/04 3,686,250
LA COUNTY TRANSPORTATION COMMISSION
4,540,000 Sales Tax Revenue Refunding Bonds, 1991 Series B ............. 6.500% 07/01/10 5,340,175
M-S-R PUBLIC POWER AGENCY
3,500,000 San Juan Project Refunding Rev Bonds, Ser. F ................. 6.125% 07/01/13 4,073,125
METROPOLITAN WATER DISTRICT OF SO. CA
4,000,000 Water Revenue Bonds 1995 Series A ............................ 5.750% 07/01/15 4,310,000
MODESTO IRRIGATION DIST. FINANCING AUTHORITY
2,000,000 Domestic Water Project ....................................... 5.000% 09/01/16 2,015,000
NORTHERN CA, TRANSMISSION AGENCY OF
1,000,000 CA-Oregon Transmission Project, Series 1990A ................. 7.000% 05/01/13 1,248,750
TRANSMISSION AGENCY OF NORTHERN CA
2,500,000 CA-Oregon Transmission Project ............................... 5.300% 05/01/09 2,700,000
REDEVELOPMENT AGENCY OF OAKLAND
4,000,000 Central District Redevelopment Project Ser. 1992 ............. 5.500% 02/01/14 4,375,000
ORANGE COUNTY LOCAL TRANS. AUTHORITY
1,500,000 Measure M Sales Tax Revenue Bonds ............................ 9.500% 02/15/03 1,835,625
PASADENA UNIFIED SCHOOL DISTRICT
2,265,000 General Obligation Bonds, 1997 Series A ...................... 5.000% 05/01/18 2,259,338
POMONA UNIFIED SCHOOL DISTRICT
1,175,000 General Obligation Refunding Bonds ........................... 5.700% 08/01/08 1,311,594
PORT HUENEME, CITY OF
2,200,000 Refunding Certificates of Participation, 1992 ................ 6.000% 04/01/12 2,521,750
RANCHO CA WATER DISTRICT FINANCE AUTH.
3,000,000 Revenue Refunding Bonds ...................................... 5.875% 11/01/10 3,300,000
RIVERSIDE, CITY OF
1,500,000 Water Revenue Bond Issue 1991 ................................ 9.000% 10/01/01 1,723,125
RIVERSIDE COUNTY TRANS. AGENCY
2,000,000 General Obligation Refunding Bonds ........................... 5.750% 06/01/09 2,237,500
SACRAMENTO MUNICIPAL UTILITY DISTRICT
4,000,000 Refunding Revenue Bonds Series A ............................. 6.250% 08/15/10 4,660,000
SACRAMENTO REDEVELOPMENT AGENCY
1,135,000 Downtown Sacramento Redevelopment Project .................... 4.750% 11/01/08 1,180,400
SADDLEBACK VALLEY SCHOOL DISTRICT
1,575,000 Special Tax Revenue Bonds, 1996 Series A ..................... 6.000% 09/01/16 1,809,281
SAN BERNARDINO, COUNTY OF
3,000,000 Certificates of Participation, Series B ...................... 6.875% 08/01/24 3,877,500
SAN BERNARDINO COUNTY TRANS AUTHORITY
2,000,000 Sales Tax Revenue Bonds ...................................... 5.000% 03/01/09 2,107,500
SAN DIEGO REGIONAL TRANSPORTATION COMM.
2,000,000 Sales Tax Revenue Bonds, Second Senior Series A .............. 5.500% 04/01/08 2,195,000
SAN DIEGO COUNTY WATER AUTHORITY
2,400,000 Water Revenue Refunding Certs. of Participation .............. 5.000% 05/01/17 2,397,000
SAN FRANCISCO AIRPORT COMMISSION
2,000,000 Int'l Airport Second Series Revenue Bonds .................... 4.700% 05/01/15 1,962,500
SAN FRANCISCO PUB. UTILITY COMMISSION
2,000,000 Water Revenue Bonds .......................................... 5.000% 11/01/15 2,020,000
SAN FRANCISCO BART DISTRICT
2,950,000 Sales Tax Rev. Refunding Series 1990 ......................... 6.750% 07/01/11 3,599,000
9
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (CONTINUED)
SAN JOSE REDEVELOPMENT AGENCY
$4,000,000 Merged Area Redevelopment Project ............................ 6.000% 08/01/10 $ 4,585,000
SAN MARINO UNIFIED SCHOOL DISTRICT
1,440,000 General Obligation Bonds ..................................... 5.250% 07/01/16 1,524,600
SAN MATEO COUNTY REG. TRANS. DISTRICT
5,000,000 Sales Tax Revenue Bonds, 1993 A .............................. 5.250% 06/01/19 5,262,500
REDEVELOPMENT AGENCY OF SANTA CLARA
4,000,000 Bayshore North Project Tax Allocation 1992 ................... 7.000% 07/01/10 4,865,000
SANTA CLARA COUNTY FINANCING AUTHORITY
2,000,000 Lease Revenue Refunding Bonds, Series A ...................... 6.000% 11/15/12 2,302,500
1,750,000 Lease Revenue Refunding Bonds, Series A ...................... 5.750% 11/15/13 1,970,938
SANTA MONICA-MALIBU UNIFIED SCHOOL DISTRICT
3,000,000 General Obligation Refunding Bonds, Series 1998 .............. 5.250% 08/01/15 3,180,000
990,000 General Obligation Refunding Bonds, Series 1998 .............. 5.250% 08/01/17 1,045,688
SOUTH COAST AIR QUALITY MGMT. DISTRICT
2,400,000 Installment Sale Revenue Bonds, Series 1992 .................. 6.000% 08/01/11 2,757,000
SOUTHERN CA PUBLIC POWER AUTHORITY
5,000,000 Multiple Project Revenue Bonds, 1989 ......................... 6.750% 07/01/13 6,043,750
TURLOCK IRRIGATION DISTRICT
2,000,000 Revenue Refunding Bonds, 1996 Series A ....................... 6.250% 01/01/12 2,327,500
UNIVERSITY OF CALIFORNIA, REGENTS OF
3,000,000 UCLA Central Chiller/Cogeneration Facility ................... 10.000% 11/01/03 3,836,250
2,815,000 Revenue Bonds, Housing System ................................ 5.500% 11/01/09 3,019,084
------------
Total Long-term Securities
(cost $192,762,995) ...................................... 213,366,556
------------
VARIABLE RATE DEMAND NOTES** (4.65%)
CA HEALTH FACILITIES FINANCING AUTHORITY
2,300,000 Revenue Bonds, Series 1996B .................................. 3.150% 09/02/98 2,300,000
IRVINE RANCH WATER DISTRICT
2,100,000 Consolidated Series, 1985A ................................... 3.150% 09/02/98 2,100,000
900,000 COP, Capital Improvement Project Series 1986 ................. 3.000% 09/02/98 900,000
NEWPORT BEACH, CITY OF
2,400,000 Hoag Memorial Hospital, 1992 ................................. 3.250% 09/02/98 2,400,000
ORANGE COUNTY SANITATION DISTRICT
2,100,000 COP, Capital Improvement Program, Series A ................... 3.150% 09/02/98 2,100,000
ORANGE COUNTY WATER DISTRICT
700,000 COP, Series 1990 Project B ................................... 3.200% 09/02/98 700,000
------------
Total Variable Rate Demand Notes
(costs $10,500,000)....................................... 10,500,000
------------
Total Investments (99.27%)
(cost $203,262,995) (a)................................... 223,866,556
Other Net Assets (0.73%).................................... 1,640,509
------------
Net Assets (100.00%) ..................................... $225,507,065
============
- ---------------
* Denotes bond issue refunded prior to maturity on date shown and secured by
100% US Government Direct Obligations.
** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $203,262,995. At August
31,1998, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation........................................................... $ 20,603,561
Unrealized depreciation........................................................... --
------------
Net Unrealized appreciation....................................................... $ 20,603,561
============
</TABLE>
See accompanying notes to financial statements
10
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
August 31, 1998
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
<S> <C> <C> <C>
LONG-TERM SECURITIES (97.70%)
ANAHEIM , CITY OF
$ 500,000 Electric Revenue Bonds ....................................... 5.000% 10/01/03 $ 525,625
CABRILLO UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1996 Series A ...................... 4.700% 08/01/03 415,000
CALIFORNIA EDUCATIONAL FACILITES AUTH.
500,000 University of San Diego, Series 1998 ......................... 4.250% 10/01/08 500,000
400,000 University of Santa Clara .................................... 4.700% 09/01/04 415,500
CALIFORNIA, STATE OF
300,000 General Obligation Bonds ..................................... 5.750% 10/01/05 333,000
STATE PUBLIC WORKS BOARD
600,000 Energy Efficiency Revenue Bonds 1995 Series A ................ 5.250% 10/01/03 638,250
640,000 Refunding Bonds, Dept. of Corrections ........................ 5.250% 12/01/06 690,400
400,000 College and University Housing Revenue ....................... 4.900% 11/01/03 419,000
CASTAIC LAKE AGENCY FINANCING CORP.
300,000 Water System Improvement Projects, Series 1994 A ............. 7.250% 08/01/09 375,000
CONTRA COSTA TRANSPORTATION AUTHORITY
500,000 Sales Tax Revenue Bonds 1995 Series A ........................ 6.000% 03/01/03 543,750
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project ...................... 6.250% 12/01/04 435,500
DESERT SANDS UNIFIED SCHOOL DISTRICT
500,000 Certificates of Participation, Series 1995 ................... 5.300% 03/01/07 538,125
EAST BAY CA MUNICIPAL UTILITY DISTRICT
500,000 Water Revenue Refunding Bonds ................................ 6.000% 06/01/03 545,625
EASTERN MUNICIPAL WATER DISTRICT
500,000 Water & Sewer Revenue Refunding Certificates ................. 5.000% 07/01/05 529,375
ELSINOR VALLEY CA WATER DISTRICT
500,000 Certificates of Participation, Series A ...................... 5.900% 07/01/05 555,625
FRESNO COUNTY TRANSPORTATION AUTHORITY
250,000 Sales Tax Revenue Bonds, Second Senior Bonds ................. 4.100% 04/01/07 249,063
IMPERIAL IRRIGATION DISTRICT
600,000 Electric System Project, Certificates of Participation ....... 5.200% 11/01/09 642,000
LOS ANGELES, CITY OF
500,000 General Obligation Bonds, 1994 Series A ...................... 5.600% 09/01/05 549,375
LOS ANGELES DEPARTMENT OF AIRPORTS
400,000 Revenue Refunding Bonds ...................................... 6.500% 05/15/03 445,000
LOS ANGELES UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1997 Series A ...................... 6.000% 07/01/07 454,000
275,000 General Obligation Bonds, 1997 Series A ...................... 6.000% 07/01/08 313,156
LOS ANGELES, CITY OF
710,000 Wastewater System, Series 1998 A ............................. 5.000% 06/01/11 738,400
NEWPORT MESA UNIFIED SCHOOL DISTRICT
450,000 Special Tax Bonds ............................................ 4.400% 09/01/08 455,063
NORTHERN CA, TRANS. AGENCY OF
500,000 California/Oregon Transmission Proj., Rev. Bonds ............. 6.100% 05/01/03 546,250
OAK PARK UNIFIED SCHOOL DISTRICT
600,000 General Obligation, Refunding Bonds .......................... 5.150% 05/01/07 642,750
OLIVENHAIN MUNICIPAL WATER DISTRICT
500,000 Water Revenue Certificates of Participation .................. 4.750% 06/01/06 521,250
ORANGE COUNTY LOCAL TRANS. AUTHORITY
500,000 Limited Tax Bonds, 1994 ...................................... 9.500% 02/15/03 611,875
RIVERSIDE COUNTY TRANSPORTATION COMM.
260,000 Sales Tax Revenue Bonds, 1993 Series A ....................... 5.500% 06/01/04 280,475
ROCKLIN UNIFIED SCHOOL DISTRICT
535,000 General Obligation Bonds ..................................... 5.000% 09/01/04 564,425
SACRAMENTO MUNICIPAL WATER DISTRICT
500,000 Electric Revenue Refunding Bonds ............................. 5.100% 11/15/03 528,750
11
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1998
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
SACRAMENTO REDEVELOPMENT AGENCY
$ 500,000 Downtown Sacramento Project, Series 1998C .................... 4.750% 11/01/08 $ 520,000
COUNTY OF SACRAMENTO PFA
400,000 Main Detention Facility Certificates of Participation ........ 5.300% 06/01/04 426,000
SAN DIEGO PUBLIC FACILITIES FINANCING AUTH.
500,000 Sewer Revenue Refunding Bonds, Series A ...................... 5.100% 05/15/10 526,250
SAN DIEGO COUNTY RTC
400,000 Sales Tax Revenue Bonds, Seconds 1993 Series A ............... 5.000% 04/01/03 419,000
SAN DIEGO COUNTY WATER AUTHORITY
600,000 Water Revenue Refunding COP Series 1993 A .................... 5.500% 05/01/05 650,250
SAN FRANCISCO, CITY & COUNTY
500,000 City Hall Improvement Project, Series A ...................... 5.100% 06/15/06 532,500
450,000 School District Facilities Improvement, Series B ............. 6.500% 06/15/05 515,813
SAN FRANCISCO AIRPORT COMMISSION
450,000 SF International Aiport Revenue, Second Series B ............. 5.500% 05/01/09 493,313
SAN JOSE REDEVELOPMENT AGENCY
500,000 Tax Allocation Bonds ......................................... 6.000% 08/01/06 563,125
SAN MATEO JOINT POWERS AUTHORITY
400,000 Refunding Revenue Bonds, 1993 Series A ....................... 5.100% 08/01/03 418,000
SANTA ROSA, CITY OF
400,000 Wastewater Revenue Refunding Bonds, Series A ................. 5.125% 09/01/05 421,000
SARATOGA UNION SCHOOL DISTRICT
600,000 General Obligation Bonds, Series A ........................... 4.900% 09/01/09 628,500
SOUTH COUNTY REGIONAL WASTEWATER
390,000 Revenue Bonds, Gilroy Series 1992A ........................... 5.900% 08/01/06 421,688
SOUTHERN CA PUBLIC POWER AUTHORITY
500,000 Transmission Project Revenue Bonds, Series A ................. 6.000% 07/01/04 552,500
VISALIA, CITY OF
500,000 Wastewater System Revenue Bonds .............................. 5.900% 12/01/05 558,750
WISEBURN SCHOOL DISTRICT
325,000 General Obligation Bonds, 1997 Series A ...................... 6.875% 08/01/05 380,653
------------
Total Long-term Securities
(cost $22,030,343) ....................................... 23,028,949
VARIABLE RATE DEMAND NOTES** (0.85%)
ORANGE COUNTY SANITATION DISTRICTS
200,000 COP, Capital Improvement Series C ............................ 3.150% 09/03/98 200,000
------------
Total Variable Rate Demand Notes
(cost $200,000) .......................................... 200,000
------------
Total Investments (98.55%)
(cost $22,230,343) (a) ................................... 23,228,949
Other Net Assets (1.45%) ................................... 342,934
------------
Net Assets (100.00%) ..................................... $ 23,571,883
============
** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $22,230,343. At August
31, 1998 unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation........................................................... $ 998,606
Unrealized depreciation .......................................................... --
------------
Net unrealized appreciation..................................................... $ 998,606
============
</TABLE>
See accompanying notes to financial statements
12
<PAGE>
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
August 31, 1998
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (21.42%)
<S> <C> <C> <C>
$ 1,961,254 6.000% 05/15/26 $ 1,946,324
1,815,581 6.500% 03/15/26 1,832,186
872,481 6.500% 01/15/26 880,461
977,746 6.500% 03/15/26 986,689
873,020 6.500% 04/15/26 881,004
763,054 6.500% 04/15/26 770,033
334,608 9.000% 10/15/18 360,621
39,327 10.000% 09/15/18 43,383
20,335 11.250% 07/15/13 22,717
-----------
Total Government National Mortgage Association (cost $7,257,562) 7,723,418
-----------
UNITED STATES TREASURY BONDS (42.43%)
2,000,000 8.875% 02/15/19 2,837,502
2,150,000 7.875% 02/15/21 2,815,158
2,000,000 8.125% 05/15/21 2,686,252
1,900,000 8.000% 11/15/21 2,529,377
1,500,000 7.250% 08/15/22 1,855,782
2,000,000 7.625% 11/15/22 2,576,876
-----------
Total United States Treasury Bonds (cost $13,768,531) 15,300,947
-----------
UNITED STATES TREASURY NOTES (15.29%)
1,850,000 6.250% 02/15/07 1,991,062
1,150,000 6.125% 08/15/07 1,231,220
500,000 5.750% 04/30/03 515,313
700,000 5.750% 08/15/03 721,876
500,000 7.500% 02/15/05 565,782
450,000 6.500% 10/15/06 490,641
-----------
Total United States Treasury Notes (cost $5,266,678) 5,515,894
-----------
UNITED STATES TREASURY BILLS (0.55%)
200,000 4.760% 10/22/98 198,626
-----------
Total United States Treasury Bills (cost $198,626) 198,626
-----------
UNITED STATES TREASURY STRIPS (9.60%)
4,000,000 0.00% 05/15/08 2,419,168
1,700,000 0.00% 02/15/08 1,043,469
-----------
Total United States Treasury Strips (cost $3,174,177) 3,462,637
-----------
Total Investments (cost $29,665,574) (a) (89.29%) ................ 32,201,522
Other Net Assets (10.71%)......................................... 3,861,824
-----------
Net Assets (100.00%)............................................ $36,063,346
===========
- ---------------
(a) Aggregate cost for federal income tax purposes is $29,665,574. At August
31, 1998, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ........................................ $ 2,535,948
Unrealized depreciation ........................................ --
-----------
Net unrealized appreciation .................................. $ 2,535,948
===========
</TABLE>
See accompanying notes to financial statements
13
<PAGE>
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
August 31, 1998
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
<S> <C> <C> <C>
UNITED STATES TREASURY BILLS (104.27%)
$ 4,300,000 4.990% 09/17/98 $ 4,290,465
5,000,000 4.980% - 5.090% 10/15/98 4,968,963
2,800,000 4.800% - 4.970% 11/12/98 2,772,500
5,300,000 5.020% 12/10/98 5,226,094
5,700,000 5.020% - 5.080% 09/10/98 5,692,794
2,900,000 4.770% - 4.900% 10/01/98 2,888,158
5,100,000 5.010% - 5.085% 10/08/98 5,073,354
3,400,000 4.860% 10/22/98 3,376,591
2,300,000 4.850% - 4.920% 10/29/98 2,281,848
4,000,000 4.985% 02/18/99 3,905,839
2,300,000 4.990% - 5.030% 02/04/99 2,249,902
3,600,000 4.890% 03/04/99 3,510,024
------------
Total Investments (cost $46,236,532) (a)(104.27%) ................ 46,236,532
Liabilities in Excess of Other Assets (-4.27%).................... (1,895,521)
------------
Net Assets (100.00%) ........................................... $ 44,341,011
============
</TABLE>
- ---------------
(a) Cost for federal income tax purposes is $ 46,236,532.
See accompanying notes to financial statements
14
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1998
Shares Value
------ -----
COMMON STOCK (87.14%)
Capital Goods (5.30%)
Production (0.74%)
250 Briggs & Stratton ............................ $ 9,203
3,820 Caterpillar Inc. ............................. 161,156
350 Cincinnati Milacron Inc. ..................... 6,781
1,230 Cooper Industries ............................ 52,352
2,570 Deere & Co. .................................. 84,649
2,200 Dover Co. .................................... 59,950
300 FMC Corp.* ................................... 15,525
350 Foster Wheeler Corp. ......................... 4,309
2,490 Illinois Tool Works .......................... 120,609
1,425 Ingersol Rand Co. ............................ 56,644
1,000 Pall Corp. ................................... 20,500
960 Parker Hannifin .............................. 27,840
780 Raychem ...................................... 22,620
540 Timken Co. ................................... 9,821
------------
651,959
------------
Machinery (Agriculture & Construction)(0.02%)
630 Case Equipment ............................... 17,010
------------
Machinery (Industrial) (0.03%)
410 Harnischfeger ................................ 6,586
1,467 Thermo Electron Corp.* ....................... 23,839
------------
30,425
------------
Pollution Control (0.60%)
2,150 Browning Ferris Industries ................... 69,875
10,395 Waste Management Inc. ........................ 458,679
------------
528,554
------------
Electrical Equipment (3.49%)
2,218 AMP Inc. ..................................... 79,155
4,430 Emerson Electric Co. ......................... 252,510
33,475 General Electric ............................. 2,678,000
1,120 Grainger, WW, Inc. ........................... 43,890
------------
3,053,555
------------
Transportation Equipment (0.02%)
340 Cummins Engine ............................... 13,834
------------
Conglomerate (0.40%)
1,750 Tenneco, Inc. ................................ 55,453
5,328 Tyco International, Ltd. ..................... 295,704
------------
351,157
------------
Total Capital Goods .......................... 4,646,494
------------
Consumer Cyclical (7.12%)
Housing (0.13%)
2,193 Costco Companies, Inc.* ...................... 103,208
340 Kaufman & Broad Corp. ........................ 7,268
------------
110,476
------------
Building Material (0.03%)
720 Johnson Controls ............................. 30,825
------------
Auto & Truck (1.62%)
250 Aeroquip-Vickers, Inc. ....................... 10,078
6,840 Chrysler Corp. ............................... 305,235
1,344 Dana ......................................... 52,668
790 Eaton Corp. .................................. 46,264
9,640 Ford Motor Co. ............................... 424,160
7,350 General Motors Corp. ......................... 424,463
1,575 Genuine Parts Co. ............................ 49,317
1,020 ITT Industries ............................... 30,728
670 Paccar, Inc. ................................. 27,470
1,120 TRW, Inc. .................................... 48,020
------------
1,418,403
------------
Auto Part (0.04%)
1,200 Autozone, Inc.* .............................. 31,125
------------
Tire & Rubber (0.12%)
730 Cooper Tire and Rubber Co. ................... 11,680
710 Goodrich, B.F. Co. ........................... 19,214
1,520 Goodyear Tire & Rubber ....................... 74,480
------------
105,374
------------
Appliance (0.17%)
360 Armstrong World Ind .......................... 17,280
1,180 Black and Decker ............................. 49,118
880 Maytag Corp. ................................. 37,950
530 Snap-On, Inc. ................................ 13,913
650 Whirlpool Corp. .............................. 32,256
------------
150,517
------------
Household Products (0.09%)
1,804 Federated Dept. Stores* ...................... 78,587
------------
Textile & Apparel (0.39%)
4,208 CVS Corp. .................................... 153,066
640 Liz Claiborne, Inc. .......................... 18,240
2,930 Nike Class B ................................. 101,634
500 Reebok International Ltd.* ................... 8,094
330 Russell Co. .................................. 10,436
180 Spring Industries ............................ 5,951
1,100 VF Corp. ..................................... 41,663
------------
339,084
------------
Shoes (0.01%)
1,160 Venator Group, Inc.* ......................... 10,513
------------
Retail-General (4.50%)
650 American Greetings Corp. ..................... 23,806
2,940 American Stores Co. .......................... 85,260
850 Circuit City Stores .......................... 26,244
1,128 Consolidated Stores Corp.* ................... 35,532
4,440 Dayton Hudson Corp. .......................... 159,840
990 Dillard Dept. Stores Class A ................. 28,586
1,504 Dollar General Corp. ......................... 40,420
4,215 Gap, Inc. .................................... 215,228
520 Giant Foods .................................. 22,100
330 Great Atlantic & Pacific ..................... 7,858
14,688 Home Depot ................................... 565,488
340 Jostens ...................................... 6,758
1,500 Kohl's Corp.* ................................ 68,156
2,540 Kroger* ...................................... 114,300
3,000 Lowes Cos .................................... 105,188
2,170 May Dept. Stores ............................. 122,063
1,604 Meyer, Fred, Inc.* ........................... 63,057
1,420 Nordstrom Inc. ............................... 42,511
2,520 JC Penney Co. ................................ 124,898
15
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1998
Shares Value
------ -----
Retail-General (continued)
540 Pep Boys-Manny, Mo, Jack ..................... $ 7,931
2,120 Rite Aid Corp. ............................... 76,718
3,970 Sears Robuck & Co. ........................... 180,387
1,180 Supervalu Inc. ............................... 23,969
1,040 Tandy Corp. .................................. 56,745
2,355 The Limited, Inc. ............................ 49,161
2,520 TJX Cos, Inc. ................................ 56,228
2,830 Toys R Us, Inc.* ............................. 52,532
22,790 Wal-Mart Stores, Inc. ........................ 1,338,913
4,980 Walgreen Co. ................................. 191,730
1,320 Winn-Dixie Stores, Inc. ...................... 49,170
------------
3,940,777
------------
Lodging (0.02%)
1,460 Mirage Resorts, Inc.* ........................ 21,718
------------
Total Consumer Cyclical ...................... 6,237,399
------------
Consumer Non-Durable (25.09%)
Health Care (0.74%)
490 Bausch & Lomb, Inc. .......................... 20,733
1,000 Biomet, Inc. ................................. 26,875
2,250 Corning Corp. ................................ 55,406
550 Manor Care ................................... 13,200
8,130 Warner-Lambert Co. ........................... 530,483
------------
646,697
------------
Consumer Product (0.20%)
1,625 IMS Health ................................... 89,375
1,680 Newell Co. ................................... 80,220
540 Tupperware Corp. ............................. 10,193
------------
179,788
------------
Food, Beverage & Tobacco (5.80%)
5,958 Archer-Daniels-Midland Co. ................... 89,366
2,880 Bestfoods .................................... 144,540
4,620 Campbell Soup ................................ 232,733
24,585 Coca-Cola Co. ................................ 1,601,098
4,760 Conagra, Inc. ................................ 117,810
1,370 Darden Restaurants ........................... 21,235
1,810 Fortune Brands, Inc. ......................... 49,888
1,640 General Mills ................................ 107,318
3,680 H J Heinz Co. ................................ 196,190
1,340 Hershey Foods ................................ 93,800
4,160 Kellogg Co. .................................. 126,880
1,160 Loews Corp. .................................. 97,875
15,450 Pepsico, Inc. ................................ 427,772
24,470 Philip Morris Co., Inc. ...................... 1,017,034
3,360 Pioneer Hi-Bred Int'l ........................ 113,400
1,440 Quaker Oats .................................. 76,500
3,270 Ralston-Ralston Purina Grp ................... 86,042
4,890 Sara Lee Corp. ............................... 221,273
3,160 Sysco Corp. .................................. 63,793
1,545 Tricon Global Restaurants* ................... 57,262
1,630 UST, Inc. .................................... 42,584
462 Vlasic Foods International* .................. 6,699
1,190 Wrigley, Wm Jr. Co. .......................... 92,225
------------
5,083,317
------------
Retail-Food & Drugs (0.23%)
2,570 Albertson's, Inc. ............................ 129,946
5,010 K Mart * ..................................... 63,878
340 Longs Drug Stores ............................ 11,603
------------
205,427
------------
Communications & Media (1.88%)
780 Andrew Corp.* ................................ $ 11,554
6,980 CBS, Inc. .................................... 181,480
2,400 Clear Channel Comm.* ......................... 108,000
2,686 Comcast Corp CL A Spec ....................... 100,389
400 Comcast Corp CL A ............................ 15,000
840 Dow Jones & Co. .............................. 41,843
2,840 Gannett Co., Inc. ............................ 167,560
630 Harcourt General, Inc. ....................... 30,594
1,265 Interpublic Group Cos. Inc. .................. 72,105
830 Knight Ridder, Inc. .......................... 39,529
1,700 New York Times Class A ....................... 49,300
1,600 Omnicom Group ................................ 76,200
5,120 TeleCommunications Inc. A* ................... 168,960
5,582 Time Warner, Inc. ............................ 448,653
900 Times Mirror Co. A-New ....................... 51,469
1,300 Tribune Co. .................................. 83,769
------------
1,646,405
------------
Entertainment & Leisure (0.86%)
850 Brunswick Corp. .............................. 12,697
1,125 Hasbro, Inc. ................................. 35,227
660 King World Productions, Inc.* ................ 13,860
2,982 Mattel CS .................................... 96,542
7,010 McDonalds Corp. .............................. 392,998
64 Viacom Inc. Cl A* ............................ 3,152
3,554 Viacom Inc. Cl B* ............................ 176,367
1,120 Wendys Int'l ................................. 22,470
------------
753,313
------------
Apparel (0.02%)
660 Fruit of the Loom* ........................... 14,809
------------
Drugs (9.29%)
15,440 Abbott Labs .................................. 594,440
570 Allergan ..................................... 26,933
730 Alza Corp. Class A* .......................... 26,280
12,920 Amer Home Products Corp. ..................... 647,615
490 Bard C.R., Inc. .............................. 16,048
2,790 Baxter International, Inc. ................... 148,568
2,520 Becton Dickinson Co. ......................... 83,948
10,060 Bristol-Meyer/Squibb ......................... 984,623
1,440 Guidant Corp. ................................ 88,920
1,410 Humana, Inc.* ................................ 18,330
13,450 Johnson & Johnson ............................ 928,050
11,140 Lilly, Eli & Co. ............................. 729,670
4,820 Medtronic, Inc. .............................. 247,628
12,350 Merck & Co. .................................. 1,431,828
13,040 Pfizer, Inc. ................................. 1,212,720
5,150 Pharmacia & Upjohn, Inc. ..................... 214,047
7,380 Schering Plough Corp. ........................ 634,680
1,170 St. Jude Medical * ........................... 25,813
3,017 Tenet Healthcare Corp.* ...................... 77,876
------------
8,138,017
------------
Hospital Supply & Service (0.04%)
840 US Surgical Corp. ............................ 33,548
------------
Cosmetic & Soap (2.23%)
480 Alberto-Culver Co. Cl B ...................... 9,600
1,330 Avon Products, Inc. .......................... 83,624
1,080 Clorox ....................................... 104,153
2,960 Colgate Palmolive Co. ........................ 213,490
16
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1998
Shares Value
------ -----
Cosmetic & Soap (continued)
11,260 Gillette Co. ................................. $ 463,068
960 Int'l Flavors & Fragrance .................... 37,200
13,600 Proctor & Gamble ............................. 1,040,400
------------
1,951,535
------------
Liquor (0.46%)
5,060 Anheuser-Busch Cos., Inc. .................... 233,393
600 Brown Foreman Cl. B .......................... 36,000
440 Coors (Adolph) ............................... 18,150
3,680 Seagrams Ltd. ................................ 113,620
------------
401,163
------------
Travel & Recreation (0.91%)
8,120 Cendant Corp.* ............................... 93,888
300 Fleetwood Enterprises ........................ 10,031
890 Harrahs Entertainment, Inc.* ................. 12,849
2,490 Hilton Hotels Corp. .......................... 51,668
2,580 Marriot International Class A ................ 72,401
20,292 Walt Disney Co. .............................. 556,762
------------
797,599
------------
Printing & Publishing (0.16%)
1,330 Donnelley, RR & Sons ......................... 48,213
1,030 McGraw Hill Cos., Inc. ....................... 78,538
400 Meredith Corporation ......................... 13,425
------------
140,176
------------
Business Service (1.58%)
400 Autodesk, Inc. ............................... 9,350
2,950 Automatic Data Proc., Inc. ................... 188,063
590 Ceridian Corporation.* ....................... 28,615
9,990 Cisco Systems, Inc.* ......................... 817,931
5,490 Computer Associates .......................... 148,230
1,300 Computer Sciences* ........................... 73,531
860 Deluxe Corp. ................................. 24,940
1,480 Dunn & Bradstreet ............................ 34,780
900 H & R Block .................................. 35,213
870 Moore Corp. .................................. 8,319
410 National Service Inds ........................ 15,273
------------
1,384,245
------------
Office Products (0.07%)
1,140 Avery Dennison Co. ........................... 61,204
------------
Health Care Service (0.62%)
1,967 Boston Scientific* ........................... 136,215
1,330 Cardinal Health, Inc. ........................ 116,375
6,710 Columbia/HCA Hthcare Corp. ................... 151,394
3,909 Healthsouth Corp.* ........................... 74,027
1,910 United Healthcare Corp. ...................... 68,999
------------
547,010
------------
Total Consumer Non-Durable ................... 21,984,253
------------
Banking & Financial Service (14.12%)
Bank & Bank Holding Cos. (6.42%)
6,436 Banc One Corp. ............................... 244,568
7,900 Bank of New York ............................. 191,081
6,895 BankAmerica .................................. 441,711
3,000 BankBoston Corp. ............................. 107,063
975 Bankers Trust New York ....................... 72,455
2,800 BB&T Corp. ................................... 78,925
8,716 Chase Manhattan Corp. ........................ 461,948
4,652 Citicorp ..................................... 502,998
1,500 Comerica ..................................... 78,375
2,445 Fifth Third Bancorp .......................... 130,043
3,098 First Chicago NBD Corp. ...................... 196,336
9,366 First Union Corp. ............................ 454,251
2,655 Fleet Financial Group, Inc. .................. 174,068
2,214 Huntington Bancshares ........................ 50,369
2,550 Mellon Bank .................................. 132,600
1,331 Mercantile Bancorporation .................... 58,481
1,830 Morgan, J.P. & Co., Inc. ..................... 170,190
9,343 Nations Bank Corp. ........................... 532,551
1,100 Northern Trust ............................... 61,325
7,520 Norwest Corp. ................................ 223,720
3,230 PNC Financial Corp. .......................... 138,890
960 Republic New York Corp. ...................... 39,600
1,700 State Street Corp. ........................... 88,506
1,700 Summit Bancorp ............................... 58,013
2,270 Sun Trust Banks, Inc. ........................ 127,120
2,700 Synovus Financial Corp. ...................... 49,106
7,368 U.S. Bancorp ................................. 251,433
1,869 Wachovia Corp. ............................... 137,021
3,751 Washington Mutual ............................ 120,032
903 Wells Fargo & Co. ............................ 254,533
------------
5,627,312
------------
Savings & Loan (0.36%)
7,030 Fed Home Loan Mtg Corp. ...................... 277,685
500 Golden West Financial ........................ 38,063
------------
315,748
------------
Finance Company (1.85%)
1,266 Ahmanson, HF & Co. ........................... 67,494
4,770 American Express Co. ......................... 372,060
655 Capital One Financial Corp ................... 57,313
4,681 Household Int'l .............................. 172,904
1,100 Lehman Brothers Holding ...................... 43,313
3,340 Merrill Lynch ................................ 220,440
3,231 National City Corp. .......................... 189,821
11,191 Travelers Group, Inc. ........................ 496,601
------------
1,619,946
------------
Investment Company (0.05%)
1,181 Bear Stearns Companies, Inc. ................. 43,623
------------
Insurance (3.55%)
1,504 Aetna Life & Casualty Co. .................... 90,522
8,854 Allstate Corp. ............................... 332,025
2,402 American General Corp. ....................... 154,329
10,638 American Int'l. Group ........................ 822,450
1,670 AON Corporation .............................. 104,479
1,800 Chubb Group .................................. 112,500
2,220 Cigna Corp. .................................. 129,176
1,500 Cincinnati Financial Corp. ................... 50,438
800 General RE Corp. ............................. 166,000
2,280 Hartford Financial Services .................. 102,030
930 Jefferson Pilot .............................. 52,778
4,446 Keycorp New .................................. 113,373
910 Lincoln National Corp. ....................... 78,260
2,550 Marsh & McClennan Co. ........................ 123,675
940 MBIA, Inc. ................................... 52,758
1,220 MGIC Investment .............................. 50,630
720 Progressive Corp. ............................ 70,155
1,300 Provident Cos ................................ 46,800
810 Providian Corp. .............................. 51,992
17
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1998
Shares Value
------ -----
Insurance (continued)
1,400 Safeco Corp. ................................. $ 56,875
2,034 St. Paul Companies ........................... 62,164
2,100 Sunamerica ................................... 130,069
1,240 Torchmark Corp. .............................. 44,330
570 TransAmerica Corp. ........................... 58,461
1,280 UNUM Corp. ................................... 56,320
------------
3,112,589
------------
Financial Services (1.89%)
3,449 Associates First Capital Corp ................ 203,922
2,700 Charles Schwab Corp. ......................... 80,663
3,192 Conseco, Inc. ................................ 88,179
870 Countrywide Credit Ind, Inc. ................. 32,571
1,200 Equifax ...................................... 42,750
10,690 Fannie Mae ................................... 607,326
2,500 Franklin Resources ........................... 80,625
4,983 MBNA Corporation ............................. 117,101
5,828 Morgan Stanley Dean Witter & Co. ............. 338,388
1,700 SLM Holding Corp. ............................ 60,988
------------
1,652,513
------------
Total Banking & Financial Services ........... 12,371,731
------------
Utility (9.28%)
Electric (0.88%)
1,380 Ameren Corp.* ................................ 54,596
1,374 Cinergy Corp. ................................ 47,747
2,040 Consolidated Edison .......................... 96,518
3,628 Duke Power ................................... 226,297
3,810 Edison International ......................... 108,347
1,375 GPU, Inc. .................................... 51,648
3,080 Pacificorp ................................... 69,493
300 Peoples Energy Corp. ......................... 9,938
2,465 Texas Utilities .............................. 104,763
------------
769,347
------------
Telephone (6.66%)
5,641 Alltell Corp. ................................ 254,550
18,245 AT&T Corp. ................................... 914,531
11,080 Ameritech Corp. .............................. 522,145
15,632 Bell Atlantic Corp. .......................... 689,762
9,990 Bell South Corp. ............................. 684,939
1,370 Frontier Corp. ............................... 41,614
9,550 GTE Corp. .................................... 477,500
6,980 MCI Communications ........................... 349,000
6,056 Media One Group* ............................. 248,296
18,300 SBC Communications, Inc. ..................... 695,400
4,330 Sprint Corporation ........................... 290,381
4,945 US West, Inc. ................................ 257,140
10,062 Worldcom, Inc.* .............................. 411,913
------------
5,837,171
------------
Energy (1.74%)
1,960 American Elect. Pwr. Co. ..................... 88,690
1,280 Baltimore Gas & Electric ..................... 39,440
1,310 Carolina Power & Light ....................... 56,412
1,830 Central & S/W Corp. .......................... 47,809
2,240 Coastal Corp. ................................ 58,240
820 Consolidated Natural Gas ..................... 35,926
1,550 Dominion Resources ........................... 64,616
1,310 DTE Energy Co. ............................... 55,184
1,980 Entergy Corp. New ............................ 57,049
2,920 First Energy Corp.* .......................... 84,315
1,860 FPL Group, Inc. .............................. 123,806
3,392 Houston Industries ........................... 97,732
1,360 Niagara Mohawk Power* ........................ 21,080
430 Nicor ........................................ 16,689
1,840 Northern States Power ........................ 48,760
1,930 PECO Energy Co. .............................. 66,103
4,290 PG & E Corp. ................................. 137,816
2,120 Public Services Enterprises .................. 77,645
2,712 Sempra Energy ................................ 68,987
750 Sonat Inc. ................................... 20,297
6,720 Southern Co. ................................. 189,000
1,870 Unicom Corp. ................................. 66,619
------------
1,522,215
------------
Total Utilities .............................. 8,128,733
------------
Service (0.17%)
Distributor (0.01%)
1,130 IKON Office Solution ......................... 6,286
------------
Consumer (0.09%)
2,500 Service Corp. International .................. 84,688
------------
Environmental Services (0.03%)
2,720 Laidlaw ...................................... 23,460
------------
Miscellaneous (0.04%)
1,400 PP&L Resources, Inc. ......................... 32,988
------------
Total Service ................................ 147,422
------------
Transportation (0.91%)
Air Transportation (0.38%)
1,780 AMR Corp.* ................................... 97,010
770 Delta Airlines ............................... 78,540
1,320 FDX Corp* .................................... 66,083
2,835 Southwest Airlines Co. ....................... 50,498
690 US Airways Group, Inc.* ...................... 40,193
------------
332,324
------------
Railroad (0.50%)
1,545 Burlington No./Santa Fe ...................... 143,782
2,230 CSX Corp. .................................... 84,183
3,750 Norfolk Southern Co. ......................... 105,703
2,510 Union Pacific Corp. .......................... 99,929
------------
433,597
------------
Trucking (0.03%)
570 Navistar Int'l.* ............................. 11,970
710 Ryder System ................................. 16,729
------------
28,699
------------
Total Transportation ......................... 794,620
------------
Manufacturing (6.35%)
Consumer Durable (0.34%)
680 Eastman Chemical Co. ......................... 35,063
3,260 Eastman Kodak ................................ 254,688
400 Polaroid Corp. ............................... 11,250
------------
301,001
------------
18
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1998
Shares Value
------ -----
Building & Housing (0.21%)
500 Centex Corp. ................................. $ 17,688
310 Crane Co. .................................... 12,478
730 Fluor Corp. .................................. 28,881
2,800 Masco Co. .................................... 64,400
450 Owens Corning ................................ 15,778
420 Pulte Corp. .................................. 12,128
770 Stanley Works ................................ 30,319
------------
181,672
------------
Chemical (2.11%)
2,260 Air Products & Chem., Inc. ................... 69,071
2,350 Dow Chemical ................................. 183,300
11,340 Dupont E I De Nemours & Co. .................. 654,176
1,120 Ecolab, Inc. ................................. 31,150
550 Great Lakes Chemical ......................... 21,519
930 Hercules ..................................... 23,773
870 Millipore Corp. .............................. 18,868
5,890 Monsanto Co. ................................. 322,109
1,320 Morton Int'l. Co. ............................ 29,370
580 Nalco Chemical ............................... 16,784
1,780 PPG Industries ............................... 90,446
1,350 Praxair, Inc. ................................ 48,431
640 Rohm & Haas Co. .............................. 55,240
1,300 Rubbermaid, Inc. ............................. 33,069
1,232 Sealed Air Corp* ............................. 44,352
1,500 Sherwin Williams ............................. 35,813
860 Sigma-Aldrich Corp. .......................... 23,865
1,130 Union Carbide Corp. .......................... 45,412
770 W.R. Grace & Co.* ............................ 9,914
4,064 Williams Cos ................................. 93,472
------------
1,850,134
------------
Diversified (0.47%)
6,480 Unilever (NY Shares) ......................... 410,670
------------
Paper & Forest Products (0.77%)
420 Boise Cascade ................................ 10,264
830 Champion Int'l ............................... 27,390
1,930 Fort James Corp. ............................. 56,211
950 Georgia Pacific Co. .......................... 40,731
3,079 International Paper .......................... 113,923
5,612 Kimberly Clark ............................... 213,958
940 Louisiana-Pacific Co. ........................ 17,743
900 Mead Corp. ................................... 24,638
250 Potlatch Corp. ............................... 8,219
480 Temple Inland ................................ 21,510
600 Union Camp Co. ............................... 22,238
880 Westvaco Corp. ............................... 18,480
2,030 Weyerhaeuser Co. ............................. 76,252
960 Willamette Inds .............................. 23,640
------------
675,197
------------
Metal & Mineral (0.20%)
1,982 Allegheny Teledyne, Inc. ..................... 29,854
800 Armco Inc.* .................................. 3,300
1,589 Bethlehem Steel* ............................. 11,421
760 Nucor Corp. .................................. 27,313
2,990 USX-Marathon ................................. 77,740
730 USX-US Steel ................................. 15,284
790 Worthington Inds., Inc. ...................... 10,270
------------
175,182
------------
Container (0.13%)
260 Ball Corp. ................................... 9,718
460 Bemis Co. .................................... 16,503
1,110 Crown Cork & Seal ............................ 36,353
1,250 Owens-Illinois, Inc.* ........................ 38,984
860 Stone Container Corp.* ....................... 8,976
------------
110,534
------------
Computer (1.18%)
550 Data General* ................................ 4,125
6,808 Dell Computer* ............................... 680,800
4,840 EMC Corp.* ................................... 218,708
1,500 Gateway 2000, Inc.* .......................... 70,969
2,400 Seagate Technology* .......................... 42,000
1,502 Silicon Graphics, Inc.* ...................... 13,612
------------
1,030,214
------------
Non Ferrous Metal (0.35%)
1,960 Alcan Aluminum Ltd. .......................... 37,240
2,579 Aluminum Co. of Amer ......................... 154,418
370 Asarco, Inc. ................................. 5,897
1,250 Englehard Corp. .............................. 22,969
1,465 Inco Ltd. .................................... 12,269
1,409 Newmont Mining Co. ........................... 19,286
570 Phelps Dodge ................................. 25,508
640 Reynolds Metals .............................. 30,680
------------
308,267
------------
Gold and Precious Metal (0.13%)
3,883 Barrick Gold Corp. ........................... 50,479
1,950 Battle Mountain Gold Co. ..................... 5,972
810 Cypress Amax Mineral Co. ..................... 7,442
2,070 Freeport McMoran Corp.B ...................... 24,064
1,270 Homestake Mining Co. ......................... 11,271
2,080 Placer Dome, Inc. ............................ 16,770
------------
115,998
------------
Miscellaneous (0.46%)
4,180 3M Co. ....................................... 286,330
3,680 Applied Materials, Inc.* ..................... 90,390
870 Mallinckrodt Group, Inc. ..................... 19,901
100 Nacco Industries Class A ..................... 9,525
------------
406,146
------------
Total Manufacturing .......................... 5,565,015
------------
Technology (12.39%)
Office Equipment (0.03%)
3,070 Novell* ...................................... 29,165
------------
Electronic (2.91%)
410 EG&G ......................................... 9,609
430 General Signal Co. ........................... 15,803
680 Harris Corp. ................................. 21,675
10,238 Hewlett-Packard Co. .......................... 497,183
16,460 Intel Corp. .................................. 1,171,746
900 KLA-Tencor Corp.* ............................ 19,125
5,950 Motorola, Inc. ............................... 256,222
1,600 National Semiconductor* ...................... 14,600
6,431 Northern Telecom ............................. 307,071
380 Perkin-Elmer Corp. ........................... 21,993
675 Tektronix, Inc. .............................. 10,252
3,880 Texas Instruments ............................ 185,028
600 Thomas & Betts Co. ........................... 20,438
------------
2,550,745
------------
19
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1998
Shares Value
------ -----
Bio-Technology (0.18%)
2,660 Amgen* ....................................... $ 161,928
------------
Software (2.94%)
606 Adobe Systems, Inc. .......................... 15,908
4,200 Electronic Data Sys. Corp. ................... 140,700
3,600 HBO & Co. .................................... 76,500
24,140 Microsoft Corp.* ............................. 2,315,931
2,400 Parametric Tech Co.* ......................... 24,600
------------
2,573,639
------------
Business-Machines & Software (2.92%)
1,080 Apple Computer, Inc.* ........................ 33,683
16,463 Compaq Computers ............................. 459,935
1,190 General Instrument Corp.* .................... 23,651
1,100 Honeywell .................................... 68,750
10,325 IBM .......................................... 1,162,853
9,900 Oracle Systems* .............................. 197,381
2,760 Pitney Bowes Systems ......................... 136,965
3,670 Sun Microsystems* ............................ 145,424
2,610 Unisys Corp.* ................................ 46,817
3,270 Xerox Corp. .................................. 287,147
------------
2,562,606
------------
Business Service (0.12%)
4,504 First Data ................................... 93,177
200 Shared Medical Systems ....................... 10,675
------------
103,852
------------
Semi Conductor (0.09%)
1,170 Advanced Micro Devices* ...................... 15,429
1,320 LSI Logic Corp.* ............................. 16,170
2,090 Micron Technology, Inc.* ..................... 47,548
------------
79,147
------------
Telecommunications (1.66%)
5,870 Airtouch Communications* ..................... 330,188
1,900 Ascend Communications * ...................... 66,856
1,320 Cabletron Systems* ........................... 9,240
12,830 Lucent Technologies .......................... 909,326
2,614 Nextel Communications* ....................... 47,215
670 Scientific-Atlanta, Inc. ..................... 11,851
1,840 Tellabs, Inc.* ............................... 77,740
------------
1,452,416
------------
Aerospace Aircraft (1.08%)
5,700 Allied Signal, Inc. .......................... 195,581
9,933 Boeing ....................................... 307,302
1,100 General Dynamics Corp. ....................... 52,319
600 Northrop Gruman Corp. ........................ 38,025
2,120 Rockwell Intl. Corp. ......................... 76,850
1,680 Textron, Inc. ................................ 105,420
2,370 United Technologies Corp. .................... 171,973
------------
947,470
------------
Telecom Equipment (0.37%)
1,916 Lockheed Martin Corp. ........................ 167,530
468 Raytheon-Class A ............................. 20,972
2,900 Raytheon-Class B ............................. 132,313
------------
320,815
------------
Miscellaneous (0.09%)
3,330 3 Com Corporation* ........................... 78,879
------------
Total Technology ............................. 10,860,662
------------
Energy (6.41%)
Oil & Gas - Domestic (1.26%)
880 Amerada Hess Corp. ........................... 43,230
9,920 Amoco Corp. .................................. 449,500
1,000 Anadarko Petroleum Corp. ..................... 28,750
740 Apache Corp. ................................. 16,928
650 Ashland, Inc. ................................ 29,616
3,200 Atlantic Richfield ........................... 185,600
1,547 Burlington Resources, Inc. ................... 45,733
720 Columbia Gas System, Inc. .................... 35,820
440 Helmerich & Payne ............................ 7,150
430 Kerr McGee Co. ............................... 16,609
910 Oryx Energy * ................................ 11,318
400 Pennzoil ..................................... 14,300
2,700 Phillips Petroleum Co. ....................... 110,194
910 Sun Co. ...................................... 30,087
2,550 Unocal Corp. ................................. 79,847
------------
1,104,682
------------
Oil & Gas International (4.43%)
6,560 Chevron Corp. ................................ 485,850
25,500 Exxon Corp. .................................. 1,668,656
7,950 Mobil Corp. .................................. 549,544
21,540 Royal Dutch Pet.-ADR ......................... 856,215
5,768 Texaco ....................................... 320,485
------------
3,880,750
------------
Oil & Gas Service (0.29%)
212 Camco International* ......................... 10,653
700 Rowan Cos., Inc.* ............................ 6,475
4,960 Schlumberger ................................. 217,310
2,164 Union Pacific Resources Grp .................. 18,529
------------
252,967
------------
Natural Gas (0.16%)
3,151 Enron ........................................ 133,327
240 Oneok, Inc. .................................. 7,215
------------
140,542
------------
Energy Raw Material (0.27%)
2,812 Baker Hughes, Inc. ........................... 51,319
1,560 Dresser Inds ................................. 39,878
180 Eastern Enterprises .......................... 7,121
2,588 Halliburton Co. .............................. 68,744
480 McDermott International ...................... 9,630
3,230 Occidental Petroleum ......................... 59,712
------------
236,404
------------
Total Energy ................................. 5,615,345
------------
Total Common Stocks
(Cost $50,517,009) ........................................ 76,351,674
------------
20
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1998
Par
Value Value
----- -----
Short-Term Investments (14.35%)
United States Treasury Bills
$10,000,000 5.200% 09/17/98(b) ........................... $ 9,977,916
7,273 Firstar Government Money Market Fund ......... 7,273
2,585,066 Firstar Institutional Money Market Fund ...... 2,585,066
------------
Total Short-Term Investments (Cost $12,570,255) 12,570,255
------------
Total Investments (Cost $63,087,264) (101.49%) 88,921,929
Liabilities in Excess of Other Assets (-1.49%) (1,301,326)
------------
Net Assets (100.00%) ....................... $ 87,620,603
============
*Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $63,087,264. At August 31,
1998, unrealized appreciation (depreciation) of securities for federal income
tax purpose is as follows:
Unrealized appreciation ...................... $ 29,215,899
Unrealized depreciation ...................... (3,381,234)
------------
Net unrealized appreciation ................ $ 25,834,665
============
(b) At August 31, 1998, certain United States Treasury Bills with a market value
of $1,047,596 were pledged to cover margin requirements for futures contracts.
(c) Futures contracts at August 31, 1998 (Contracts-$250 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P 500 Stock Index:
47/September 98/Long ............................ $ (1,840,186)
============
See accompanying notes to financial statements
21
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1998
Shares Value
------ -----
COMMON STOCKS (91.74%)
Capital Goods (5.51%)
Production (0.12%)
1,000 Tecumseh Prod. Co. Cl. A ..................... $ 47,563
------------
Machinery-Agricult & Construction (0.07%)
3,129 AGCO Corp .................................... 26,988
------------
Machinery-Industrial (1.19%)
1,206 Albany Intl. Corp. Cl A ...................... 23,140
1,200 Borg-Warner Automotive ....................... 48,600
2,136 Flowserve Corporation ........................ 40,050
1,600 Modine Manufacturing Co. ..................... 44,500
1,800 Stewart & Stevenson Svcs ..................... 23,513
4,400 Watson Pharm., Inc.* ......................... 198,275
1,200 Watts Industry ............................... 20,025
2,200 York Intl. Corp. New Com ..................... 76,175
------------
474,278
------------
Pollution Control (0.48%)
1,600 Calgon Carbon Corp ........................... 9,900
2,800 Donaldson Co. Inc ............................ 49,700
7,460 U.S. Filter Corp.* ........................... 134,280
------------
193,880
------------
Engineering & Construction (0.59%)
1,400 Jacobs Engineering Group* .................... 35,700
1,300 Structural Dyn. Research* .................... 11,700
1,700 Vulcan Materials Co .......................... 189,550
------------
236,950
------------
Electrical Equipment (1.87%)
1,700 Ametek, Inc .................................. 33,150
3,400 Cirrus Logic, Inc.* .......................... 20,613
3,530 Hubbell, Inc. Cl. B .......................... 126,198
3,500 Integrated Device Tech.* ..................... 16,078
2,250 IPALCO ....................................... 99,000
3,515 Mark IVIndustries, Inc ....................... 49,869
7,790 Molex, Inc ................................... 188,908
4,400 Teradyne, Inc.* .............................. 76,450
2,300 UCAR International* .......................... 41,688
1,600 Varian Assoc ................................. 54,500
3,560 Vishay Intertechnology, Inc.* ................ 37,380
------------
743,834
------------
Transportation Equipment (0.94%)
6,682 Danaher Corp ................................. 242,223
2,100 Federal Signal ............................... 42,787
1,900 Trinity Industries ........................... 57,475
2,500 Wisconsin Central Transport* ................. 31,406
------------
373,891
------------
Conglomerate (0.25%)
1,540 Newport News Shipbuilding .................... 36,190
1,600 Rayonier, Inc ................................ 62,400
------------
98,590
------------
Total Capital Goods .......................... 2,195,974
------------
Consumer Cyclical (5.52%)
Housing (0.24%)
6,241 Clayton Homes, Inc ........................... 96,345
------------
Building Material (0.43%)
1,700 BJ'S Wholesale Club* ......................... $ 57,375
900 Calmat Co .................................... 15,131
2,300 Martin Marietta Materials .................... 98,038
------------
170,544
------------
Auto & Truck (0.14%)
1,800 Teleflex, Inc ................................ 56,700
------------
Auto Parts (0.49%)
900 Arvin Inds., Inc ............................. 33,975
3,200 Lear Corporation* ............................ 129,800
1,600 Superior Industries .......................... 33,300
------------
197,075
------------
Tire & Rubber (0.24%)
1,100 Bandag Inc ................................... 33,138
1,600 Carlisle Cos., Inc ........................... 60,600
------------
93,738
------------
Household Products (0.19%)
800 Enesco Group, Inc. ........................... 19,300
2,400 Fingerhut Companies .......................... 58,200
------------
77,500
------------
Textile & Apparel (0.86%)
2,600 Burlington Inds., Inc.* ...................... 24,700
5,900 Shaw Industries, Inc ......................... 89,238
3,100 UNIFI, Inc ................................... 68,975
2,700 Warnaco Group CL-A ........................... 73,575
2,900 Westpoint Stevens, Inc.* ..................... 85,913
------------
342,401
------------
Shoes (0.08%)
1,900 Nine West Group, Inc.* ....................... 30,281
------------
Retail-General (2.53%)
3,400 Barnes & Noble, Inc.* ........................ 92,013
7,200 Bed Bath & Beyond* ........................... 130,050
4,600 Best Buy Co., Inc.* .......................... 181,125
3,600 Callaway Golf Co ............................. 35,775
2,550 Claire's Stores, Inc. ........................ 38,250
4,613 CompUSA* ..................................... 54,779
9,000 Family Dollar Stores ......................... 114,188
2,000 Fastenal Co .................................. 58,375
2,200 Heilig-Myers Co .............................. 25,025
1,800 Micro Warehouse, Inc.* ....................... 29,250
1,834 Payless Shoesource* .......................... 75,423
4,324 Proffitts, Inc.* ............................. 110,262
1,740 Tiffany & Co ................................. 64,706
------------
1,009,221
------------
Lodging (0.32%)
4,097 Promus Hotel Corp.* (New) .................... 125,983
------------
Total Consumer Cyclical ...................... 2,199,788
------------
Consumer Non-Durable (20.31%)
Healthcare (1.23%)
2,600 Appria Healthcare Group* ..................... 10,888
5,500 Beverly Enterprises, Inc.* ................... 43,313
2,900 Covance, Inc.* ............................... 64,525
22
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Healthcare (Continued)
2,400 Dentsply International, Inc. ................. $ 51,225
2,100 Hlthcare & Retirement Del.* .................. 53,550
6,300 Mylan Laboratories ........................... 144,113
816 Pacificare Health System*Cl.B ................ 51,408
3,700 Quorum Health Group, Inc.* ................... 70,300
------------
489,322
------------
Consumer Products (0.40%)
2,833 A.C. Nielson Corp.* .......................... 56,837
2,200 First Brands Corp. ........................... 43,863
2,031 Lancaster Colony Corp. ....................... 58,645
------------
159,345
------------
Food Beverage & Tobacco (4.11%)
1,700 Bob Evans Farms .............................. 31,344
19,600 Coca-Cola Enterprises ........................ 465,500
1,800 Dean Foods Co ................................ 79,200
3,200 Dole Food Company ............................ 138,400
1,200 Dreyer Grand Ice Cream ....................... 12,450
4,875 Flowers Inds., Inc ........................... 86,836
3,900 Hormel Foods Corp ............................ 107,494
800 Int'l. Multifoods, Inc ....................... 13,900
3,822 Interstate Bakeries Corp ..................... 99,611
1,300 Lance, Inc ................................... 24,050
3,660 McCormick & Co ............................... 106,369
1,200 Smucker (J.M.)Co. Cl. A ...................... 26,025
4,300 Starbucks Corp.* ............................. 135,719
10,950 Tyson Foods, Inc. Cl. A ...................... 179,306
1,900 Universal Corp ............................... 59,850
2,200 Universal Foods Corp ......................... 46,475
1,800 Vlasic Foods Int'l., Inc. .................... 26,100
------------
1,638,629
------------
Retail-Food & Drugs (0.41%)
4,100 General Nutrition Co.* ....................... 54,581
1,954 Hannaford Brothers Co ........................ 81,213
1,800 Ruddick Corp ................................. 27,225
------------
163,019
------------
Communications & Media (1.09%)
6,400 Belo (A.H.)Corp. Sr. A ....................... 118,400
1,000 Information Resources* ....................... 9,750
2,000 TCACable TV, Inc ............................. 46,000
510 Washington Post, Class B ..................... 261,375
------------
435,525
------------
Entertainment & Leisure(0.65%)
1,697 Chris Craft Industries* ...................... 70,638
5,000 Circus Circus Ent., Inc.* .................... 51,250
2,178 Gtech Holdings Corp.* ........................ 57,173
2,986 Premark Intl ................................. 78,942
------------
258,003
------------
Apparel (0.69%)
4,800 Jones Apparel Group* ......................... 93,000
1,400 Lands End * .................................. 28,700
2,388 Ross Store, Inc .............................. 86,864
3,100 Saks Holding, Inc.* .......................... 64,906
------------
273,470
------------
Drugs (2.13%)
5,500 Allegiance Corp .............................. 155,375
2,212 Bergen Brusswig Corp. CL A ................... 75,485
1,800 Carte-Wallace Inc ............................ 26,550
4,200 Forest Laboratories CLA* ..................... 137,550
4,057 ICN Pharmeceuticals .......................... 62,376
6,200 IVAX Corp* ................................... 48,050
4,600 McKesson Corp. ............................... 345,000
------------
850,386
------------
Hospital Supply & Service (1.06%)
1,100 Acuson Corp.* ................................ 16,088
4,050 Omnicare, Inc ................................ 126,309
1,200 Pacificare Health Sys. A* .................... 72,600
2,900 PSS World Medical, Inc.* ..................... 44,588
5,100 Stryker Corp ................................. 163,838
------------
423,423
------------
Cosmetics & Soap (0.05%)
800 Church and Dwight ............................ 21,650
------------
Printing & Publishing (0.54%)
1,600 Banta Corp ................................... 44,800
2,000 Glatfelter (P.H.) Co ......................... 23,250
1,200 Houghton Mifflin Co .......................... 36,225
2,200 Lee Enterprises .............................. 51,975
1,400 Media General, Inc. Cl. A .................... 59,500
------------
215,750
------------
Restaurant (0.63%)
3,210 Brinker International* ....................... 54,971
1,200 Buffets, Inc.* ............................... 15,150
3,200 Cracker Barrel Old Country ................... 78,200
2,100 Lone Star Steakhouse* ........................ 17,850
2,300 Outback Steakhouse, Inc.* .................... 69,144
750 Sbarro, Inc .................................. 14,859
------------
250,174
------------
Business Service (2.98%)
5,300 Accustaff, Inc.* ............................. 66,250
5,000 Cintas Group ................................. 203,750
7,200 Comdisco ..................................... 89,550
4,700 Dial Corp .................................... 91,650
2,700 Noble Affiliates ............................. 62,438
8,212 Paychex, Inc ................................. 312,056
2,200 Pittston Brink's Group ....................... 69,025
4,928 Sungard Data Systems, Inc.* .................. 156,156
4,700 Viad Corp .................................... 97,525
2,400 Wallace Computer Services .................... 38,850
------------
1,187,250
------------
Office Products (2.42%)
2,600 Hon Inds ..................................... 55,900
4,500 Miller (Herman), Inc ......................... 92,250
12,100 Office Depot* ................................ 308,550
6,300 Office Max, Inc.* ............................ 66,150
1,200 Standard Register Co ......................... 37,650
13,725 Staples, Inc.* ............................... 372,291
3,281 Unisource Worldwide, Inc. .................... 21,737
1,094 US Office Products* .......................... 8,205
------------
962,733
------------
Healthcare Services (1.83%)
2,257 Concentra Managed Care* ...................... 28,918
3,200 First Health Group Corp.* .................... 64,600
6,300 Foundation Hlth Systems-A * .................. 70,481
12,150 Health Mgmt. Assoc. Cl.A.* ................... 219,459
2,798 Lincare Holdings Inc.* ....................... 94,957
23
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Healthcare Services (Continued)
2,500 Novacare, Inc.* .............................. $ 18,281
3,214 Steris Corp.* ................................ 76,734
4,630 Sybron International Corp.* .................. 84,208
3,843 Total Renal Care Holdings* ................... 73,017
------------
730,655
------------
Health & Beauty Aids (0.09%)
4,000 Perrigo Co.* ................................. 34,000
------------
Total Consumer Non-Durable 8,093,334
------------
Banking & Financial Services(13.33%)
Bank & Bank Holding Cos. (6.67%)
2,384 City National Corp ........................... 66,454
5,400 Crestar Financial Corp ....................... 272,700
8,887 First Security Corp. Del ..................... 137,749
6,400 First Tennesse Ntl., Corp .................... 152,400
2,700 First Virginia Banks, Inc .................... 116,100
7,200 Firstar Corp ................................. 279,000
7,500 Hibernia Bank ................................ 101,250
4,980 Marshall and Isley Corp ...................... 219,120
3,300 Mercantile Bankshares Corp. .................. 92,400
6,750 North Fork Bancorp ........................... 128,250
5,040 Old Kent Financial Corp ...................... 162,540
4,300 Pacific Century Financial .................... 63,425
4,160 Pinnacle West ................................ 179,660
2,137 Provident Financial Group .................... 81,740
3,752 Regions Financial Corp ....................... 129,913
7,850 Southtrust Corp .............................. 254,144
1,900 Wilmington Trust Corp ........................ 88,825
3,425 Zions Bancorporation ......................... 131,434
------------
2,657,104
------------
Savings & Loan (1.31%)
3,133 Associated Banc Corp ......................... 100,256
6,226 Charter One Financial, Inc. .................. 143,198
5,393 Dime Bancorp Inc. (New) ...................... 102,467
6,422 Sovereign Bancorp, Inc. ...................... 78,512
4,489 TCP Financial Corp ........................... 99,039
------------
523,472
------------
Finance Company (0.63%)
6,278 Union Planters Corp .......................... 252,690
------------
Insurance (3.32%)
13,324 AFLAC Corp ................................... 334,766
3,600 AMBAC Financial Group ........................ 169,875
3,200 American Fin. Group, Inc. .................... 106,400
2,600 Finova Group, Inc ............................ 116,025
1,650 HSB Group, Inc ............................... 71,569
6,300 Old Republic ................................. 140,569
3,900 Oxford Health Plans* ......................... 23,888
2,977 Protective Life Corp. ........................ 91,915
4,400 Reliastar Financial Corp. .................... 172,700
1,700 The PMI Group, Inc ........................... 94,138
------------
1,321,845
------------
Financial Services (1.40%)
4,987 A G Edwards .................................. 135,272
6,900 Paine Webber ................................. 239,775
6,000 T. Rowe Price ................................ 182,625
------------
557,672
------------
Total Banking & Financial Services ........... 5,312,783
------------
Utility (12.38%)
Electric (8.97%)
6,400 Allegheny Power System ....................... 170,400
900 Black Hills Corp ............................. 20,925
2,940 Calenergy, Inc.* ............................. 74,786
1,300 Central Maine Power Co ....................... 22,669
900 Cleco Corporation ............................ 27,956
4,800 CMS Energy Corp .............................. 203,100
4,500 Connective, Inc.* ............................ 91,688
300 Connective, Inc - Class A* ................... 10,425
3,310 Energy East Corporation ...................... 148,950
5,100 Florida Progress Corp ........................ 215,156
1,300 Hawaiian Electric Inds ....................... 48,831
1,700 Idaho Power Co ............................... 51,744
4,000 Illinova Corp ................................ 103,250
3,636 Interstate Energy Corp. ...................... 109,535
3,300 Kansas City Power & Light .................... 93,844
6,400 LG&E Energy Corp ............................. 164,000
5,364 Midamerican Energy Co ........................ 133,094
1,400 Minnesota Power & Light ...................... 59,588
2,500 Montana Power Co ............................. 97,500
2,100 Nevada Power Co .............................. 52,106
5,205 New Century Energies Inc. .................... 240,081
3,400 New England Electric Sys ..................... 137,275
6,600 Nipsco Industries ............................ 193,050
6,700 Northeast Utilities* ......................... 100,500
4,200 OGE Energy Corp .............................. 115,763
6,300 Potomac Electric Power Co. ................... 154,350
1,700 Public Service Co. N.Mexico .................. 34,000
4,227 Puget Sound Power & Light .................... 106,203
5,500 SCANA Corp ................................... 168,781
6,200 Teco Energy, Inc ............................. 164,688
2,600 Utilicorp United, Inc ........................ 89,538
5,900 Wisc. Energy Corp ............................ 171,469
------------
3,575,245
------------
Gas (1.17%)
2,500 Atlanta Gas Light Co ......................... 45,781
900 Indiana Energy, Inc .......................... 25,819
7,700 Marketspan Corp.* ............................ 210,788
3,800 MCN Energy Group, Inc ........................ 66,738
6,610 Noble Drilling Corp.* ........................ 72,710
1,900 Washington Gas Light Co. ..................... 45,125
------------
466,961
------------
Telephone (2.15%)
1,700 Aliant Communications ........................ 42,075
4,650 Century Telephone Entps ...................... 210,994
6,200 Cincinnati Bell .............................. 145,700
5,075 NCR Corp.* ................................... 134,170
3,400 S. New Eng. TeleCom .......................... 220,363
3,100 Telephone & Data ............................. 102,688
------------
855,990
------------
Miscellaneous (0.09%)
1,900 Vanguard Cellular Sys. Cl.A* ................. 35,625
------------
Total Utility................................. 4,933,821
------------
24
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Service (2.92%)
Distributor (0.71%)
2,100 Alexander & Baldwin, Inc. .................... $ 49,350
4,000 American Water Works, Inc. ................... 110,000
700 Scholastic Corp.* ............................ 27,125
2,569 Tech Data Corp. * ............................ 97,140
------------
283,615
------------
Business (1.31%)
3,600 Fiserv, Inc.* ................................ 140,400
1,700 Kelly Services, Inc. Cl. A ................... 43,563
4,300 ManPower, Inc ................................ 87,613
3,000 Medaphis* .................................... 12,188
3,650 Olsten Corp .................................. 21,444
4,500 Robert Half Intl.* ........................... 216,000
------------
521,208
------------
Consumer (0.42%)
1,900 Rollins, Inc ................................. 34,794
3,000 Sotheby's .................................... 51,375
4,200 Stewart Enterprises, Inc ..................... 82,425
------------
168,594
------------
Miscellaneous (0.48%)
4,100 Corrections Corp. of Am.* .................... 62,781
3,600 Quintiles Transnational, Inc.* ............... 128,700
------------
191,481
------------
Total Service ................................ 1,164,898
------------
Transportation (2.46%)
Air Transportation (0.35%)
2,000 Airbourne Freight Corp ....................... 39,000
1,300 Alaska Airgroup, Inc.* ....................... 50,619
1,400 ASAHoldings, Inc ............................. 47,950
------------
137,569
------------
Railroad (0.99%)
2,400 Gatx Corp .................................... 79,200
5,300 Kansas City Southern Inds .................... 174,238
2,600 Ogden Corp ................................... 59,963
5,110 Whitman Corp ................................. 79,205
------------
392,606
------------
Trucking (0.28%)
1,100 Arnold Inds., Inc ............................ 13,338
2,100 Consolidated Freightways ..................... 65,625
2,000 Hunt (J.B.)* ................................. 33,875
------------
112,838
------------
Miscellaneous (0.84%)
7,600 Harley Davidson .............................. 234,175
1,400 Overseas Shipholding Grp ..................... 19,950
2,212 U.S. Foodservice, Inc.* ...................... 81,982
------------
336,107
------------
Total Transportation ......................... 979,120
------------
Manufacturing (8.70%)
Consumer Durable (0.47%)
9,400 Leggett & Platt .............................. 188,588
------------
Building & Housing (0.20%)
1,874 Southdown, Inc. .............................. 79,177
------------
Chemical (2.70%)
3,200 Airgas, Inc.* ................................ 38,000
3,000 Albemarle Corp ............................... 50,438
1,300 Betzdearborn, Inc ............................ 79,950
3,400 Cabot Corp ................................... 73,950
3,267 Crompton & Knowles Corp. ..................... 47,780
2,300 Cytec Inds.* ................................. 52,613
1,000 Dexter Corp .................................. 24,750
4,100 Ethyl Corp ................................... 17,425
1,800 Ferro Corp ................................... 36,338
600 Fuller (H.B.) Corp ........................... 28,500
2,000 Georgia Gulf Corp ............................ 34,375
5,500 IMC Global, Inc .............................. 101,063
5,000 Iowa Beef Processing ......................... 82,813
1,800 Lawter International ......................... 13,725
2,900 Lubrizol Corp ................................ 66,338
4,200 Lyondell Petrochemical ....................... 90,563
400 NCHCorp ...................................... 22,750
4,218 RPM, Inc. Ohio ............................... 55,098
2,000 Schulman (A.), Inc ........................... 31,750
5,718 Solutia, Inc ................................. 128,298
------------
1,076,517
------------
Diversified (0.43%)
800 Nordson Corp ................................. 34,100
2,600 Olin Corp .................................... 73,125
3,000 Witco Corp ................................... 63,000
------------
170,225
------------
Capital Good (0.35%)
2,600 Harsco Corporation ........................... 95,388
1,200 Kennametal, Inc .............................. 31,125
1,000 Magnetek, Inc.* .............................. 13,000
------------
139,513
------------
Paper & Forest Product (1.16%)
2,900 Bowater, Inc ................................. 109,656
1,000 Chesapeake Corp .............................. 32,750
4,800 Consolidated Papers .......................... 120,300
4,350 Georgia Pacific Co Timber* ................... 87,544
2,700 Longview Fibre Co ............................ 26,325
1,700 Pentair, Inc ................................. 47,388
3,042 Wausau Paper Mills Co ........................ 38,786
------------
462,749
------------
Metal & Minerals (0.57%)
2,600 AK Steel Holding Corp ........................ 36,075
600 Brush Wellman, Inc ........................... 8,775
900 Carpenter Technology ......................... 32,569
2,475 Hanna (M.A.)Co ............................... 30,783
2,420 Inland Steel Inds ............................ 45,829
300 Maxxam, Inc.* ................................ 17,100
1,200 Minerals Technology, Inc ..................... 43,575
1,300 Oregon Steel Mills, Inc ...................... 12,269
------------
226,975
------------
Container (0.39%)
500 Cleveland Cliffs Corp ........................ 18,250
5,362 Sonoco Products, Inc ......................... 137,401
------------
155,651
------------
Computer (0.71%)
2,106 Comverse Technology* ......................... 81,081
6,600 Quantum Corp.* ............................... 75,488
2,000 Sequent Computer Systems* .................... 12,875
25
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Computer (continued)
5,248 Storage Technology Corp.* .................... $ 114,144
------------
283,588
------------
Non-Ferrous Metal (0.48%)
976 Aluminum Co. of America ...................... 58,438
2,500 Federal Mogul Corp ........................... 133,438
------------
191,876
------------
Miscellaneous (1.24%)
3,500 American Standard Co.* ....................... 136,938
3,500 Hillenbrand Industries ....................... 187,469
5,670 International Game Tech ...................... 109,856
1,400 Kaydon Corp .................................. 37,888
1,800 Wellman, Inc ................................. 20,588
------------
492,739
------------
Total Manufacturing .......................... 3,467,598
------------
Technology (16.06%)
Office Equipment (0.73%)
3,600 Diebold ...................................... 78,750
3,500 Lexmark Intl. Group CL A* .................... 211,969
------------
290,719
------------
Electronic (1.82%)
5,274 Arrow Electronics, Inc.* ..................... 69,221
2,100 Avnet, Inc ................................... 99,225
2,400 Litton Inds.* ................................ 115,200
3,054 SCI Systems Inc.* ............................ 70,051
3,900 Sensormatic Elect. Corp.* .................... 29,738
5,600 Solectron Corp.* ............................. 231,350
2,700 Symbol Technologies, Inc. .................... 110,700
------------
725,485
------------
Biotechnology (1.49%)
1,500 Beckman Coulter, Inc ......................... 83,063
3,800 Biogen, Inc.* ................................ 175,750
3,600 Centocor, Inc.* .............................. 117,000
8,812 Chiron Corp.* ................................ 126,673
3,400 Genzyme Corp.* ............................... 91,800
------------
594,286
------------
Software (3.88%)
9,600 BMC Software, Inc.* .......................... 406,200
9,850 Cadence Design System, Inc.* ................. 208,081
8,800 Compuware Corp.* ............................. 399,850
2,800 Electronic Arts* ............................. 106,750
7,800 Informix Corp.* .............................. 27,300
4,250 Platinum Technology* ......................... 79,688
4,400 Reynolds & Reynolds Cl. A .................... 55,550
4,466 Sterling Commerce, Inc.* ..................... 147,378
3,834 Sterling Software, Inc.* ..................... 78,837
2,300 Symantec Corp.* .............................. 37,663
------------
1,547,297
------------
Business-Mechanics & Software (3.28%)
10,100 American Online, Inc.* ....................... 827,569
600 ATL Ultrasound, Inc.* ........................ 29,813
3,800 Borders Group* ............................... 71,963
1,125 Granite Construction, Inc. ................... 26,719
2,100 Imation Corp.* ............................... 32,944
6,281 Network Associates, Inc ...................... 202,562
1,200 Stratus Computer* ............................ 30,150
3,209 Synopsys, Inc.* .............................. 83,835
------------
1,305,555
------------
Business-Service (0.19%)
1,800 Policy Mgmt. Systems Corp.* .................. 75,150
------------
Semiconductor (1.73%)
4,600 Altera Corp.* ................................ 133,975
5,100 Atmel Corp.* ................................. 30,759
3,800 Cypress Semiconductor* ....................... 23,275
3,900 Linear Technology Corp ....................... 183,300
6,400 Maxim Integrated Prod.* ...................... 176,000
1,363 Microchip Tech* .............................. 24,960
3,800 Xilinx, Inc.* ................................ 115,900
------------
688,169
------------
Telecommunications (0.88%)
6,600 ADCTelecom., Inc.* ........................... 146,438
2,500 Comsat Corp .................................. 54,531
3,380 Qualcom* ..................................... 148,509
------------
349,478
------------
Aerospace Aircraft (0.62%)
3,406 Meritor Automative, Inc.* .................... 60,457
1,250 Precision Castparts .......................... 47,109
3,100 Sunstrand Corp ............................... 141,244
------------
248,810
------------
Telecom Equipment (0.27%)
1,600 Cordant Technologies, Inc. ................... 57,000
2,000 Gencorp, Inc ................................. 42,000
1,100 OEA, Inc ..................................... 8,525
------------
107,525
------------
Miscellaneous (1.17%)
4,800 Amer. Pwr. Conversion Corp.* ................. 129,600
8,133 Analog Devices* .............................. 114,370
4,756 Keane, Inc.* ................................. 199,752
3,300 Mentor Graphics* ............................. 22,894
------------
466,616
------------
Total Technology ............................. 6,399,090
------------
Energy (4.55%)
Oil & Gas-Domestic (2.00%)
5,822 El Paso Natural Gas .......................... 144,458
2,400 Murphy Oil Corp .............................. 84,750
1,700 National Fuel Gas Co ......................... 69,913
3,900 Ocean Energy, Inc.* .......................... 34,613
4,900 Pioneer Natural Resources* ................... 71,969
1,700 Quaker State Corp ............................ 21,356
4,400 Questar ...................................... 71,500
3,200 Seagull Energy Corp.* ........................ 28,400
7,800 Tosco Corp ................................... 171,600
4,300 Ultramar Diamond Shamrock .................... 99,438
------------
797,997
------------
Oil & Gas-International (0.11%)
3,800 Parker Drilling Co.* ......................... 15,200
5,200 Ranger Oil Ltd.* ............................. 27,625
------------
42,825
------------
Oil & Gas Service (1.47%)
3,800 BJServices* .................................. 47,975
7,200 Ensco Intl., Inc ............................. 75,600
4,756 EVI Wheatherford, Inc.* ...................... 72,529
8,800 Global Marine, Inc.* ......................... 82,500
4,500 Nabors Industries* ........................... 53,156
2,100 Smith International, Inc.* ................... 37,013
26
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Oil & Gas Service (continued)
3,100 Tidewater, Inc ............................... $ 65,100
5,200 Transocean Offshore, Inc ..................... 127,725
3,200 Varco Intl., Inc.* ........................... 22,800
------------
584,398
------------
Natural Gas (0.22%)
2,231 K N Energy, Inc .............................. 87,288
------------
Energy-Raw Materials (0.57%)
8,386 AESCorp.* .................................... 228,519
------------
Miscellaneous (0.18%)
400 Sequa Corp.* ................................. 25,525
2,700 Valero Energy Corp ........................... 48,229
------------
73,754
------------
Total Energy ................................. 1,814,781
------------
Total Common Stock
(cost $32,294,578) ........................................ 36,561,187
------------
Par
Value
-----
Short-Term Investments (7.18%)
United States Treasury Bills
$ 2,500,000 5.200% 09/17/98(b) ........................... 2,494,367
369,664 Portico Institutional Money Market Fund ...... 369,664
------------
Total Short-Term Investments (Cost $2,864,031) 2,864,031
------------
Total Investments (Cost $ 35,158,609)(98.92%) 39,425,218
Other Net Assets (1.08%) ..................... 429,398
------------
Net Assets (100.00%) ....................... $ 39,854,616
============
*Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $ 35,158,609. At August
31, 1998, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ...................... $ 10,241,472
Unrealized depreciation ...................... (5,974,863)
------------
Net unrealized appreciation ................ $ 4,266,609
============
(b)At August 31, 1998, certain United States Treasury Bills with a market value
of $199,542 were pledged to cover margin requirements for futures contracts.
(c) Futures contracts at August 31, 1998 (Contracts-$500 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P MidCap 400 Index:
25/September 98/Long ............................ $ (862,700)
============
See accompanying notes to financial statements
27
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1998
Shares Value
------ -----
Common Stock (86.63%)
Capital Goods (4.00%)
Production (0.20%)
648 Graco, Inc. .................................. $ 16,119
------------
Machinery - Agricult & Const (0.12%)
469 Lindsay Manufacturing Co. .................... 9,439
------------
Machinery-Industrial (0.95%)
623 Applied Industrial Tech ...................... 10,864
607 BMC Industries, Inc. ......................... 2,428
1,000 JLG Industries, Inc. ......................... 14,688
500 Lawson Products .............................. 10,844
1,275 PAXAR Corp.* ................................. 10,200
356 Robbins & Myers .............................. 8,455
444 Technitrol ................................... 8,547
1,076 Vicor Corp.* ................................. 9,482
------------
75,508
------------
Pollution Control (0.11%)
372 Ionics, Inc.* ................................ 9,137
------------
Engineering & Construction (0.95%)
525 CDI Corp.* ................................... 12,338
324 Lone Star Industries ......................... 19,481
438 Manitowoc Company, Inc. ...................... 11,525
1,303 Morrison Knudson Corp.* ...................... 13,763
600 Polaris Industries, Inc. ..................... 18,188
------------
75,295
------------
Electrical Equipment (1.26%)
694 Belden, Inc. ................................. 10,323
600 Cable Design Technologies* ................... 8,438
391 California Microwave, Inc.* .................. 4,203
474 CTS Corp. .................................... 13,450
1,174 International Rectifier Corp.* ............... 4,990
458 Kuhlman Corp. ................................ 10,820
495 Marshall Industries* ......................... 11,725
492 Oak Industries, Inc.* ........................ 14,729
762 Pioneer Standard Electronics ................. 5,763
453 Plexus Corp.* ................................ 7,248
757 Trimble Navigation Ltd.* ..................... 7,759
------------
99,448
------------
Transportation Equipment (0.41%)
739 Halter Marine Group, Inc.* ................... 6,651
314 SPX Corp.* ................................... 15,622
622 Wabash Natl. Corp. ........................... 9,874
------------
32,147
------------
Total Capital Goods .......................... 317,093
------------
Consumer Cyclical (9.64%)
Optical Photo Equipment (0.09%)
816 X-Rite, Inc. ................................. 7,140
------------
Housing (0.87%)
800 Linens `N Things* ............................ 18,700
1,170 Oakwood Homes Corp. .......................... 16,673
535 The Ryland Group, Inc. ....................... 10,566
887 Toll Bros., Inc.* ............................ 22,674
------------
68,613
------------
Building Material (1.17%)
520 ABM Industries, Inc. ......................... 13,260
990 Apogee Enterprises, Inc. ..................... 10,024
876 Geon Co....................................... 16,973
1,012 Justin Industries, Inc. ...................... 13,852
512 Texas Industries, Inc. ....................... 18,528
418 Visx, Inc.* .................................. 20,064
------------
92,701
------------
Auto & Truck (0.56%)
1,071 Applied Power, Inc. CL A ..................... 26,574
300 Reliance Steel and Aluminum .................. 9,150
535 Wynn's International, Inc. ................... 9,062
------------
44,786
------------
Auto Part (0.89%)
506 A.O. Smith Corp. ............................. 9,541
862 Breed Technologies, Inc. ..................... 6,303
764 Clarcor, Inc. ................................ 12,129
1,786 Gentex Corp.* ................................ 20,651
744 O'Reilly Automotive, Inc.* ................... 21,483
------------
70,107
------------
Appliance (0.35%)
2,131 Fedders Corp. ................................ 10,921
1,350 Interface, Inc. .............................. 16,538
------------
27,459
------------
Household Product (0.69%)
880 Aptargroup, Inc. ............................. 24,970
1,174 Williams-Sonoma, Inc.* ....................... 29,937
------------
54,907
------------
Textile & Apparel (2.00%)
777 Authentic Fitness Corp. ...................... 8,984
711 Brown Group .................................. 10,487
541 Fabri-Centers of America, Inc.* .............. 12,409
532 G & K Services Inc., CL A .................... 23,076
831 Griffon Corp.* ............................... 7,375
663 Kellwood Co. ................................. 17,694
1,331 Mohawk Industries* ........................... 35,355
1,012 Nautica Enterprises, Inc.* ................... 19,544
486 Oxford Industries, Inc. ...................... 13,152
374 Pillowtex Corp. .............................. 10,332
------------
158,408
------------
Shoes (0.57%)
707 Footstar, Inc.* .............................. 20,591
297 The Timberland Co.* .......................... 12,660
1,111 Wolverine World Wide, Inc. ................... 11,735
------------
44,986
------------
Retail - General (1.99%)
898 Cato Corp New CL A ........................... 8,531
565 Discount Auto Parts, Inc.* ................... 12,112
556 The Dress Barn, Inc.* ........................ 9,661
715 Eagle Hardware & Garden, Inc.* ............... 15,283
800 Hancock Fabrics .............................. 7,600
28
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Retail - General (Continued)
666 Michaels Stores, Inc.* ....................... $ 15,651
2,545 Pier 1 Imports, Inc. ......................... 25,291
760 Shopko Stores, Inc.* ......................... 19,523
1,116 Stein Mart, Inc.* ............................ 9,905
439 The Toro Company ............................. 9,658
864 World Color Press, Inc.* ..................... 24,300
------------
157,515
------------
Lodging (0.46%)
1,245 Marcus Corporation ........................... 15,874
638 Meristar Hospitality Corp.* .................. 10,766
1,151 Prime Hospitality Corp.* ..................... 9,568
------------
36,208
------------
Total Consumer Cyclical ...................... 762,830
------------
Consumer Non-Durable (20.76%)
Health Care (2.23%)
709 Ballard Medical Products ..................... 13,161
550 Bindley Western Inds ......................... 14,438
1,084 Bio-Technology General* ...................... 4,607
549 Compdent Corp.* .............................. 8,166
400 Cooper Companies* ............................ 8,025
600 Datascope Corp.* ............................. 12,225
500 Diagnostic Products Corp. .................... 12,969
730 Invacare Corp. ............................... 14,783
2,091 Mariner Post Acute Network* .................. 14,898
581 Mentor Corp. ................................. 8,497
1,413 NBTY, Inc.* .................................. 12,894
1,201 Orthodontic Centers of Am* ................... 17,039
751 Owens & Minor Hldg Co. ....................... 8,871
1,631 Phycor, Inc.* ................................ 11,315
808 U.S. Bioscience, Inc.* ....................... 4,646
595 Vital Signs, Inc. ............................ 10,078
------------
176,612
------------
Consumer Product (0.69%)
485 Harman International ......................... 17,005
745 Juno Lightning, Inc. ......................... 14,341
646 Russ Berrie & Co., Inc. ...................... 12,395
572 Sola International* .......................... 8,294
358 USA Detergents, Inc.* ........................ 2,372
------------
54,407
------------
Food, Beverage & Tobacco (3.26%)
1,752 Chiquita Brands Int'l ........................ 19,601
273 Coca-Coca Bottling ........................... 16,858
618 Commonwealth Energy Sys ...................... 18,695
922 Corn Products Int'l* ......................... 21,840
260 Curative Health Services* .................... 6,435
866 Dimon, Inc. .................................. 7,956
1,122 Earthgrains Co. .............................. 30,855
1,103 Fleming Companies, Inc. ...................... 13,167
561 Natures Sunshine Prod., Inc. ................. 7,924
800 Ralcorp Holdings, Inc.* ...................... 15,450
1,171 Richfood Holdings, Inc. ...................... 24,079
413 Schweitzer-Mauduit Int'l, Inc. ............... 10,248
936 Smithfield Foods, Inc.* ...................... 17,082
737 Titan International, Inc. .................... 7,831
857 Triarc Co.* .................................. 12,801
654 Whole Foods Market, Inc.* . .................. 27,059
------------
257,881
------------
Retail - Food and Drugs (0.30%)
1,404 Casey's General Stores ....................... 18,164
852 The Sports Authority, Inc..* ................. 5,538
------------
23,702
------------
Communications & Media (1.47%)
610 Advo, Inc.* .................................. 15,174
600 CPI Corp. .................................... 12,075
193 GC Companies* ................................ 8,564
652 Ha-Lo Industries, Inc.* ...................... 15,159
482 Metro Networks, Inc.* ........................ 16,539
952 Valassis Communication* ...................... 28,382
300 Volt Info Sciences, Inc.* .................... 6,075
732 Westwood One, Inc.* .......................... 14,137
------------
116,105
------------
Entertainment & Leisure (0.86%)
1,243 Aztar Corp.* ................................. 5,360
230 Carmike Cinemas Inc.* ........................ 4,485
600 Family Golf Centers Inc.* .................... 9,075
1,084 Foodmaker, Inc.* ............................. 14,973
678 Galoob Toys, Inc.* ........................... 5,000
1,101 Grand Casinos, Inc.* ......................... 9,634
865 Hollywood Park, Inc.* ........................ 8,866
800 Primadonna Resorts, Inc.* .................... 6,100
1,929 Shoney's, Inc.* .............................. 4,581
------------
68,074
------------
Apparel (1.55%)
759 Ann Taylor* .................................. 18,453
800 Goody's Family Clothing* ..................... 14,400
752 Guilford Mills, Inc. ......................... 11,045
668 Gymboree Corp.* .............................. 5,845
1,673 Hartmax Corp.* ............................... 11,084
814 Just For Feet, Inc.* ......................... 11,549
790 Mens Wearhouse, Inc.* ........................ 18,516
1,141 Phillips Van Heusen Corp. .................... 10,768
489 St. John Knits, Inc. ......................... 9,322
1,396 Stride Rite Corp. ............................ 12,215
------------
123,197
------------
Drugs (1.30%)
734 Cor Therapeutics, Inc.* ...................... 6,996
512 Cygnus, Inc.* ................................ 1,664
378 ICN Pharmaceuticals, Inc. .................... 5,812
675 Incyte Pharmaceuticals ....................... 13,078
722 Jones Pharmacy, Inc. ......................... 15,072
1,016 Liposome Company, Inc.* ...................... 4,128
751 N. American Vaccine, Inc.* ................... 5,163
1,160 Noven Pharmaceuticals* ....................... 4,713
624 Parexel International Corp.* ................. 15,522
854 Roberts Pharmaceuticals* ..................... 14,625
951 Sequus Pharmaceuticals, Inc.* ................ 5,825
29
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Drugs (Continued)
669 Vertex Pharmaceuticals, Inc.* ................ $ 10,202
------------
102,800
------------
Hospital Supply & Service (2.87%)
500 ADAC Laboratories* ........................... 11,219
650 Coherent, Inc.* .............................. 5,809
1,028 Indexx Laboratories, Inc.* ................... 17,990
599 Marquette Med Sys-Cl A* ...................... 14,264
655 Medimmune, Inc.* ............................. 31,604
552 NCS Healthcare, Inc.* ........................ 9,315
851 Patterson Dental Co.* ........................ 25,370
300 Pediatrix Medical Group, Inc.* ............... 11,681
525 PSS World Medical, Inc.* ..................... 8,072
885 Renal Care Group, Inc.* ...................... 17,866
852 Respironics* ................................. 9,798
1,330 Safeskin Corp.* .............................. 44,888
899 Sunrise Medical* ............................. 7,866
1,009 Technology Solutions, Inc. * ................. 11,540
------------
227,282
------------
Liquor (0.20%)
387 Canadaigua Wine Co., Inc.* ................... 16,157
------------
Printing & Publishing (0.35%)
1,002 Bowne & Co., Inc. ............................ 15,782
600 Gibson Greetings, Inc.* ...................... 11,663
------------
27,445
------------
Restaurant (1.87%)
751 Applebee's Intl., Inc. ....................... 13,894
509 CEC Entertainment, Inc.* ..................... 11,612
1,169 CKE Restaurants, Inc. ........................ 36,239
628 Cheesecake Factory ........................... 10,284
411 IHOP Corp.* .................................. 15,464
764 Landry's Seafood Rest.* ...................... 6,422
879 Luby's Cafeterias, Inc. ...................... 13,405
1,004 Ruby Tuesday, Inc. ........................... 14,119
1,561 Ryan's Family Steak House* ................... 15,903
682 Sonic Corp.* ................................. 10,869
------------
148,211
------------
Business Service (2.09%)
582 BISYS Group, Inc.* ........................... 21,534
524 Catalina Marketing Corp.* .................... 22,041
1,141 Ciber, Inc.* ................................. 28,668
1,754 DeVry, Inc.* ................................. 31,682
670 Harland, John H. Co. ......................... 8,752
833 National Data Corp. .......................... 29,155
566 Norrell Corp. ................................ 7,075
535 Pittson Services - Burlington ................ 4,247
550 Prepaid Legal Services, Inc.* ................ 12,203
------------
165,357
------------
Office Product (0.17%)
474 New England Business Srvc .................... 13,154
------------
Health Care Service (1.39%)
1,024 Coventry Health Care, Inc.* .................. 4,608
388 Express Scripts, Inc.* ....................... 26,093
758 Genesis Health Ventures* ..................... 9,001
938 Integrated Health Services ................... 18,174
726 Magellan Health Srvs., Inc.* ................. 7,578
490 Rural/Metro Corp.* ........................... 3,491
735 Sierra Health Services, Inc.* ................ 11,760
760 Universal Hlth Services - B* ................. 29,450
------------
110,155
------------
Health & Beauty Aids (0.16%)
555 Regis Corp. .................................. 12,626
------------
Total Consumer Non-Durable ................... 1,643,165
------------
Banking & Financial Service (15.33%)
Bank & Bank Holding Co. (5.58%)
400 BankNorth Group, Inc. ........................ 10,950
400 Carolina First Corp. ......................... 8,250
473 CCB Financial Corp. .......................... 44,965
641 Centura Banks, Inc. .......................... 36,056
687 Chemfirst, Inc. .............................. 11,808
561 Commerce Bank Corp. .......................... 19,705
565 Cullen/Frost Bankers, Inc. ................... 24,154
562 First MidWest Bancorp ........................ 20,654
946 Firstbank Puerto Rico ........................ 22,586
1,578 Firstmerit Corp. ............................. 34,913
726 Hubco, Inc. .................................. 19,243
317 JSB Financial, Inc. .......................... 14,344
1,305 Keystone Fin., Inc. .......................... 36,377
300 Queens County Bancorp ........................ 10,650
948 Riggs Natl Corp. ............................. 20,856
300 Silicon Valley Bancshares* ................... 7,331
877 St. Paul Bancorp ............................. 15,128
450 Trustco Bank Corp. NY ........................ 11,953
473 U.S. Trust Corp. ............................. 28,380
1,000 United Bankshares, Inc. ...................... 24,875
496 Whitney Holding Co. .......................... 18,166
------------
441,344
------------
Savings & Loan (0.94%)
400 Anchor Bancorp WI, Inc. ...................... 9,125
567 Astoria Financial Corp. ...................... 20,412
1,025 Commercial Federal Corp. ..................... 22,550
953 Downey Financial Corp. ....................... 21,979
------------
74,066
------------
Finance Companies (0.31%)
1,022 Amresco, Inc.* ............................... 12,647
681 Pioneer Group, Inc. .......................... 12,215
------------
24,862
------------
Investment Companies (1.48%)
346 Dain Rauscher Corp. .......................... 12,867
515 Eaton Vance Corp. ............................ 20,471
696 Legg Mason, Inc. ............................. 33,060
1,125 Raymond James Fncl. Corp. .................... 19,336
509 SEI Investments Co. .......................... 31,685
------------
117,419
------------
30
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Insurance (4.67%)
757 Allied Group, Inc. ........................... $ 35,532
994 American Bankers Ins. Grp .................... 51,564
469 Delphi Financial Group, Inc.* ................ 19,581
1,010 Enhance Fncl. Svcs. Grp ...................... 25,376
270 Executive Risk, Inc. ......................... 9,720
560 Fidelity National Fin., Inc. ................. 15,505
782 Fremont General Corp. ........................ 33,431
906 Frontier Insurance Group ..................... 12,514
429 Gallagher, Arthur J & Co. .................... 15,873
419 Life Re Corp. ................................ 37,605
971 Mutual Risk Mgmt., Ltd. ...................... 29,130
400 Nac Re Corp. ................................. 18,875
635 Orion Capital Corp. .......................... 23,654
737 Selective Insurance Group .................... 13,105
418 Trenwick Group, Inc. ......................... 14,421
600 Zenith Ntnl. Ins. Corp. ...................... 14,175
------------
370,061
------------
Real Estate (0.76%)
1,497 First American Finl.Corp ..................... 38,548
780 Macdermid, Inc. .............................. 21,645
------------
60,193
------------
Financial Service (1.59%)
770 Americredit Corp.* ........................... 19,202
746 Capital Re Corp. ............................. 19,769
792 Cash American Int'l., Inc. ................... 9,603
511 CMAC Investment Corp. ........................ 19,674
1,000 E-Trade Group, Inc.* ......................... 16,625
537 Envoy Corp.* ................................. 11,680
1,000 PMT Services, Inc.* .......................... 17,000
510 Primark Corp.* ............................... 12,049
------------
125,602
------------
Total Banking & Financial Service ............ 1,213,547
------------
Utility (3.76%)
Electric (1.64%)
463 CILCORP, Inc. ................................ 23,063
732 Eastern Utilities Assoc ...................... 18,163
450 Orange & Rockland Utls ....................... 24,188
677 Sierra Pacific Resources ..................... 24,753
573 TNP Enterprises, Inc. ........................ 17,011
455 United Illuminating Co. ...................... 22,778
------------
129,956
------------
Gas (1.28%)
728 Atmos Energy Corp. ........................... 20,657
515 Central Hudson Gas & Elct .................... 21,984
722 Piedmont Natural Gas, Inc. ................... 20,351
514 Pool Energy Services Co.* .................... 3,662
892 Public Service Co. of NC ..................... 17,394
1,192 Southwestern Energy Co. ...................... 8,121
1,176 Vintage Petroleum, Inc. ...................... 9,188
------------
101,357
------------
Telephone (0.39%)
914 Billing Concepts Corp.* ...................... 8,112
946 Blount Intl., Inc. - CL A .................... 22,468
------------
30,580
------------
Water (0.45%)
821 Philadelphia Suburban Corp. .................. 20,884
847 United Water Resources, Inc. ................. 15,034
------------
35,918
------------
Total Utility ................................ 297,811
------------
Service (2.61%)
Distributor (0.33%)
479 Hughes Supply, Inc. .......................... 13,053
594 Kent Electronics Corp.* ...................... 5,420
667 Microage* .................................... 8,087
------------
26,560
------------
Pollution Control (0.14%)
924 Dames & Moore Group .......................... 10,973
------------
Business (0.93%)
550 Am Oncology Resources* ....................... 4,675
600 Avid Tech Inc.* .............................. 15,150
1,042 Interim Services, Inc.* ...................... 21,361
450 Mercury Interactive Corp.* ................... 15,131
700 Superior Services* ........................... 17,413
------------
73,730
------------
Miscellaneous (1.21%)
547 Bassett Furniture Inds., Inc. ................ 12,102
669 Central Parking Corp. ........................ 27,638
448 Stone & Webster, Inc. ........................ 15,260
454 Tetra Technologies, Inc.* .................... 5,760
1,138 True North Communications .................... 25,890
971 Tuboscope, Inc.* ............................. 8,921
------------
95,571
------------
Total Service ................................ 206,834
------------
Transportation (2.64%)
Air Transportation (0.95%)
907 Air Express .................................. 15,532
1,644 Comair Holdings, Inc. ........................ 41,807
630 Expeditors Intl Wash, Inc. ................... 17,522
------------
74,861
------------
Trucking (1.30%)
749 American Freightways Corp.* .................. 5,711
1,107 Fritz Companies, Inc.* ....................... 8,856
810 Heartland Express, Inc.* ..................... 12,960
455 Landstar* .................................... 13,024
409 M S Carriers, Inc.* .......................... 8,742
1,489 Rollins Truck Leasing ........................ 14,146
555 US Freightways Corp. ......................... 12,453
1,263 Werner Enterprises, Inc. ..................... 18,629
716 Yellow Corp.* ................................ 8,547
------------
103,068
------------
Miscellaneous (0.39%)
723 AAR Corp. .................................... 15,996
691 Kirby Corp.* ................................. 14,684
------------
30,680
------------
Total Transportation ......................... 208,609
------------
31
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Manufacturing (12.03%)
Consumer Durable (1.22%)
730 Ethan Allen Interiors, Inc. .................. $ 23,725
683 Intermet Corp. ............................... 10,245
589 K2, Inc. ..................................... 10,860
506 La-Z-Boy Chair Co. ........................... 26,660
530 Scotts Company Class A* ...................... 15,105
703 Sturm Ruger & Co., Inc. ...................... 9,842
------------
96,437
------------
Building & Housing (1.25%)
443 Butler Manufacturing ......................... 10,770
1,136 Champion Enterprises, Inc.* .................. 26,554
1,350 D.R. Horton, Inc. ............................ 21,600
500 Florida Rock Inds ............................ 13,781
923 Standard Pacific Corp. ....................... 10,903
540 U.S. Home Corp.* ............................. 15,289
------------
98,897
------------
Chemical (1.64%)
616 Brady Corporation ............................ 10,318
670 Cambrex Corp. ................................ 15,326
571 Chemed Corporation ........................... 16,809
738 Lilly Industries, Inc. ....................... 13,745
821 Mississippi Chemical Corp. ................... 10,314
512 OM Group, Inc. ............................... 14,720
989 Regeneron Pharmaceutical* .................... 6,490
636 Skywest, Inc. ................................ 13,356
862 Susquehanna Bankshares, Inc. ................. 16,917
586 W D-40 Co. ................................... 12,160
------------
130,155
------------
Diversified (0.74%)
1,068 Kemet Corp.* ................................. 12,416
507 Kulicke & Soffa Industries* .................. 6,559
546 SPS Technologies, Inc.* ...................... 22,796
647 Standard Products, Inc. ...................... 16,499
------------
58,270
------------
Capital Good (0.51%)
582 Barnes Group, Inc. ........................... 13,932
454 Standex International Corp. .................. 10,102
1,023 Tredegar Industries, Inc. .................... 16,496
------------
40,530
------------
Paper & Forest Product (0.68%)
1,014 Buckeye Technologies, Inc.* .................. 16,034
474 Caraustar Industries ......................... 10,073
981 Pope & Talbot, Inc. .......................... 8,768
499 TJ International, Inc. ....................... 10,448
601 Universal Forest Products .................... 8,602
------------
53,925
------------
Metal & Mineral (1.66%)
933 AMCOL International Corp. .................... 10,963
926 Baldor Electric Co. .......................... 19,041
669 Castle (A.M.) & Co. .......................... 12,126
570 Commercial Metals Co. ........................ 13,894
1,418 Helca Mining Co.* ............................ 4,874
525 Myers Industries, Inc. ....................... 10,828
909 Pogo Producing Co. ........................... 10,851
607 Stillwater Mining Co.* ....................... 10,660
859 UST Corp. .................................... 14,174
707 Valmont Industries ........................... 10,693
459 Wolverine Tube, Inc.* ........................ 13,454
------------
131,558
------------
Container (0.13%)
823 Shorewood Packaging Corp.* ................... 10,699
------------
Computer (1.26%)
807 C Cube Microsystems* ......................... 11,954
800 Exabyte Corp.* ............................... 4,300
691 Gerber Scientific, Inc. ...................... 16,368
250 Hadco Corp.* ................................. 5,063
1,179 Komag, Inc.* ................................. 3,242
320 Kronos, Inc.* ................................ 11,880
1,000 Macromedia, Inc.* ............................ 12,563
1,033 Methode Electronics CL A ..................... 12,396
743 Network Equip. Tech., Inc.* .................. 7,523
627 Platinum Software Corp.* ..................... 7,524
391 Telxon Corp. ................................. 6,696
------------
99,509
------------
Non-Ferrous Metal (0.42%)
1,038 Material Sciences* ........................... 7,850
998 Mueller Industries* .......................... 25,511
------------
33,361
------------
Gold & Precious Metal (0.62%)
734 Alpharma, Inc. Class A ....................... 17,433
883 Coeur D'Alene Mines* ......................... 3,587
690 Getchell Gold Corp.* ......................... 6,210
934 Zale Corp.* .................................. 21,482
------------
48,712
------------
Miscellaneous (1.90%)
1,141 Arctic Cat, Inc. ............................. 9,841
1,029 Birmingham Steel Corp. ....................... 7,074
952 Delta & Pine Land Co. ........................ 40,877
342 Electro Scientific Inds., Inc.* .............. 6,584
357 Innovex, Inc. ................................ 3,704
495 Lydall, Inc.* ................................ 6,868
997 Midway Games Inc.* ........................... 9,409
869 Novellus Systems, Inc.* ...................... 23,137
529 Quanex Corp. ................................. 11,506
534 Regal-Beloit Corp. ........................... 10,480
788 Roper Industries, Inc. ....................... 13,396
525 Watsco, Inc. ................................. 7,678
------------
150,554
------------
Total Manufacturing .......................... 952,607
------------
Technology (12.44%)
Office Equipment (0.16%)
788 Filenet Corp.* ............................... 12,904
------------
32
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Electronic (2.29%)
875 Applied Magnetics Co.* ....................... $ 3,992
538 BE Aerospace, Inc.* .......................... 11,197
825 Burr-Brown Corp.* ............................ 9,900
964 Checkpoint Systems, Inc.* .................... 9,459
640 Dionex Corp.* ................................ 13,800
562 Etec Systems, Inc.* .......................... 13,558
430 Integrated Circuit Systems* .................. 2,795
453 Itron, Inc.* ................................. 4,247
1,020 Read-Rite Corp.* ............................. 5,610
1,042 Sanmina Corp.* ............................... 32,172
441 Speedfam Int'l., Inc.* ....................... 5,457
593 Ultratech Stepper, Inc.* ..................... 10,266
733 Unitrode Corp.* .............................. 9,117
1,844 Vitesse Semiconductor* ....................... 50,019
------------
181,589
------------
Bio-Technology (1.69%)
1,026 Advanced Tissue Sciences* .................... 2,084
944 Alliance Pharmaceutical* ..................... 3,245
861 Cephalon, Inc.* .............................. 3,471
876 Dekalb Genetics Corp. Cl. B .................. 75,853
834 Enzo Biochem, Inc.* .......................... 6,568
999 Mycogen Corp.* ............................... 19,980
700 Pharmaceutical Product Dev.* ................. 14,263
479 Protein Design Labs, Inc.* ................... 8,143
------------
133,607
------------
Software (2.00%)
375 Access Health Inc.* .......................... 8,977
742 Bantec, Inc.* ................................ 9,924
782 Boole & Babbage, Inc.* ....................... 15,689
535 Broederbund Software, Inc.* .................. 7,457
768 Cerner Corp.* ................................ 16,944
1,079 Cognex Corp.* ................................ 15,106
540 Computer Task Group, Inc. .................... 13,871
357 Dialogic Corp.* .............................. 9,550
1,060 Harbinger Corp.* ............................. 7,288
400 HNC Software* ................................ 14,525
714 Inter Tel, Inc. .............................. 9,550
1,082 System Software Assoc., Inc.* ................ 4,869
1,169 VanstarCorp.* ................................ 8,694
652 Vantive Corp.* ............................... 5,298
670 Xircom, Inc.* ................................ 10,469
------------
158,211
------------
Business - Mechanics & Software (1.93%)
416 Analogic Corp. ............................... 13,936
598 Analysts International Corp. ................. 12,633
1,177 Axciom Corp.* ................................ 23,614
1,229 Commscope Inc.* .............................. 16,284
345 Fair Issac & Company, Inc. ................... 10,673
503 Henry (Jack) & Assoc ......................... 19,931
540 Hutchinson Technology* ....................... 7,324
375 Hyperion Software Corp.* ..................... 10,507
825 National Instruments Corp.* .................. 20,831
1,096 Xylan Corp.* ................................. 16,714
------------
152,447
------------
Business - Service (1.56%)
1,041 American Mgmt. Systems* ...................... 27,847
1,241 Anixter International* ....................... 20,166
339 Consolidated Graphics* ....................... 16,971
633 Franklin Covey Co.* .......................... 11,869
635 Helix Technology Corp. ....................... 6,509
1,200 Whitman-Hart* ................................ 22,500
573 Zebra Tech CL A* ............................. 17,799
------------
123,661
------------
Semiconductor (0.73%)
599 Dallas Semiconductor Corp. ................... 16,210
553 Lattice Semiconductor Corp.* ................. 13,307
436 Park Electrochemical Corp. ................... 5,832
649 Photronics, Inc.* ............................ 7,788
1,136 S3, Inc.* .................................... 3,479
1,247 VLSI Technology* ............................. 11,301
------------
57,917
------------
Telecommunication (1.25%)
601 Allen Telecom, Inc.* ......................... 4,282
1,148 Aspect Telecom. Corp.* ....................... 27,337
890 Auspex Systems, Inc.* ........................ 1,780
1,313 Brightpoint Inc.* ............................ 11,899
1,243 Digital Microwave Corp.* ..................... 3,574
1,702 General Communication* ....................... 5,319
1,360 P Com, Inc.* ................................. 5,440
984 Picturetel Corp.* ............................ 5,781
1,061 Symmetricom, Inc.* ........................... 5,239
1,013 TCSI Corp.* .................................. 3,356
1,659 Tel-Save Holdings, Inc.* ..................... 24,885
------------
98,892
------------
Aerospace Aircraft (0.20%)
853 Orbital Sciences Corp.* ...................... 15,994
------------
Telecom Equipment (0.30%)
360 Alliant Techsystems, Inc.* ................... 23,625
------------
Miscellaneous (0.33%)
460 Electroglas, Inc.* ........................... 4,945
950 National Computer Sys., Inc. ................. 20,781
------------
25,726
------------
Total Technology ............................. 984,573
------------
Energy (3.42%)
Oil & Gas - Domestic (2.33%)
751 Barrett Resources Corp.* ..................... 15,255
711 Benton Oil & Gas* ............................ 3,511
765 Cabot Oil & Gas Corp. ........................ 9,754
1,212 Cross Timbers Oil Co. ........................ 15,226
790 Devon Energy Corp. ........................... 20,886
870 Energen Corp. ................................ 13,594
33
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Oil & Gas - Domestic (Continued)
782 HS Resources, Inc.* .......................... $ 5,865
627 KCS Energy, Inc. ............................. 2,351
488 New Jersey Resources ......................... 16,440
792 Newfield Exploration Co. ..................... 12,425
547 Northwest Natural Gas ........................ 13,333
1,019 Ocean Energy, Inc.* .......................... 9,044
395 Plains Resources, Inc.* ...................... 6,073
2,225 Santa Fe Energy Res.* ........................ 16,688
749 Snyder Oil Corp. ............................. 11,141
692 Southwest Gas ................................ 12,586
------------
184,172
------------
Oil & Gas - International (0.06%)
303 St. Mary Land & Explor ....................... 5,018
------------
Oil & Gas - Service (0.41%)
762 Global Industrial Tech.* ..................... 4,572
688 Oceaneering International* ................... 6,407
656 Offshore Logistics, Inc.* .................... 5,904
1,142 Pride Petroleum Services* .................... 9,065
687 Seitel, Inc.* ................................ 6,183
------------
32,131
------------
Natural Gas (0.39%)
647 Pennsylvania Enterprises ..................... 14,072
804 Wicor, Inc. .................................. 17,186
------------
31,258
------------
Miscellaneous (0.23%)
1,146 General Semiconductor, Inc.* ................. 7,377
1,087 Input/Output, Inc.* .......................... 10,598
------------
17,975
------------
Total Energy ................................. 270,554
------------
Total Common Stock
(cost $8,685,314) .......................... 6,857,623
------------
Par
Value
-----
Short-Term Investments (14.65%)
United States Treasury Bill
$1,050,000 5.200% 09/17/98 (b) .......................... 1,047,654
112,034 Firstar Institutional Money Market Fund ...... 112,034
------------
Total Short-Term Investments (Cost $1,159,688) 1,159,688
------------
Total Investments (Cost $9,845,002) (101.28%) 8,017,311
Liabilities in Excess of Other Assets (-1.28%) (101,059)
------------
Net Assets (100.00%) ....................... $ 7,916,252
============
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $9,845,002. At August 31,
1998, unrealized appreciation (depreciation) of securities for federal income
tax purpose is as follows:
Unrealized appreciation ........................... $ 571,928
Unrealized depreciation ........................... (2,399,619)
------------
Net unrealized depreciation ..................... $ (1,827,691)
============
(b) At August 31, 1998, certain United States Treasury Bills with a market value
of $99,771 were pledged to cover margin requirements for futures contracts.
(c) Futures contracts at August 31, 1998 (Contracts-$500 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
Russell 2000 Stock Index:
6/Sept. 98/Long ................................. $ (287,829)
============
See accompanying notes to financial statements
34
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS
August 31, 1998
Shares Value
------ -----
COMMON STOCK (70.77%)
Capital Good (2.84%)
Production (0.39%)
1,100 Cooper Inds., Inc. ........................... $ 46,819
------------
Electrical Equipment (2.45%)
3,700 General Electric ............................. 296,000
------------
Total Capital Good ........................... 342,819
------------
Consumer Cyclical (7.47%)
Building Material (0.64%)
1,800 Johnson Controls, Inc. ....................... 77,063
------------
Auto & Truck (4.49%)
5,400 Chrysler Corp. ............................... 240,975
5,340 Ford Motor Co. ............................... 234,960
1,150 General Motors Corp. ......................... 66,413
------------
542,348
------------
Retail-General (2.34%)
2,830 May Dept. Stores Co. ......................... 159,188
2,000 JC Penney Co. ................................ 99,125
1,160 The Limited, Inc. ............................ 24,215
------------
282,528
------------
Total Consumer Cyclical ...................... 901,939
------------
Consumer Non-Durable (8.91%)
Health Care (0.26%)
750 Bausch & Lomb, Inc. .......................... 31,734
------------
Food, Beverage & Tobacco (1.77%)
4,000 H.J. Heinz Co. ............................... 213,250
------------
Retail, Food and Drugs (0.84%)
2,000 Albertson's, Inc. ............................ 101,125
------------
Communications and Media (0.96%)
4,000 New York Times Class A ....................... 116,000
------------
Drugs (1.50%)
1,350 Baxter International, Inc. ................... 71,888
1,120 Bristol-Myers/Squibb Co. ..................... 109,620
------------
181,508
------------
Cosmetic & Soap (1.41%)
1,200 Avon Products, Inc. .......................... 75,450
1,320 Colgate Palmolive Co. ........................ 95,205
------------
170,655
------------
Office Supplies (0.91%)
2,000 Avery Dennison ............................... 110,407
------------
Printing & Publishing (1.26%)
2,000 McGraw Hill Cos., Inc. ....................... 152,500
------------
Total Consumer Non-Durable ................... 1,077,179
------------
Banking & Finance (19.70%)
Bank & Bank Holding Co. (11.83%)
4,544 Banc One Corp. ............................... 172,672
1,800 Bankers Trust Corp. .......................... 133,763
5,200 Chase Manhattan Corp. ........................ 275,600
2,790 First Chicago NBD Corp ....................... 176,816
5,832 First Union Corp. ............................ 282,852
1,400 Fleet Financial Group, Inc. .................. 91,788
2,000 Mellon Bank Corp. ............................ 104,000
2,000 PNC Financial Corp. .......................... 86,000
375 Wells Fargo & Co. ............................ 105,703
------------
1,429,194
------------
Finance Company (1.29%)
2,000 American Express Co. ......................... 156,000
------------
Insurance (4.22%)
2,400 American General Corp. ....................... 154,200
2,000 Cigna Corp. .................................. 116,375
1,000 Lincoln National Corp. ....................... 86,000
3,150 Marsh & McLennan ............................. 152,775
------------
509,350
------------
Financial Service (2.36%)
4,000 Conseco, Inc. ................................ 110,500
3,000 Morgan Stanley Dean Witter ................... 174,188
------------
284,688
------------
Total Banking & Finance ...................... 2,379,232
------------
Utility (14.36%)
Electric (4.09%)
2,000 DTE Energy Co. ............................... 87,000
1,700 Duke Power ................................... 106,038
3,000 Houston Industries ........................... 88,687
5,000 Texas Utilities Co. .......................... 212,500
------------
494,225
------------
Telephone (6.94%)
3,677 AllTell Corp. ................................ 165,925
1,700 AT&T Corp. ................................... 85,213
5,860 Ameritech Corp. .............................. 276,153
7,060 Bell Atlantic Corp. .......................... 311,523
------------
838,814
------------
Energy (3.33%)
3,000 FPL Group, Inc. .............................. 199,688
7,180 Southern Co. ................................. 201,938
------------
401,626
------------
Total Utility ................................ 1,734,665
------------
Manufacturing (6.05%)
Consumer Durable (1.29%)
2,000 Eastman Kodak ................................ 156,250
------------
Chemical (3.14%)
3,700 E.I.Dupont De Nemours & Co. .................. 213,444
7,200 Williams Companies, Inc. ..................... 165,600
------------
379,044
------------
Metal & Mineral (1.62%)
1,500 Aluminum Co. of America ...................... 91,688
35
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1998
Shares Value
------ -----
Metal & Mineral (Continued)
4,000 USX-Marathon ................................. $ 104,000
------------
195,688
------------
Total Manufacturing .......................... 730,982
------------
Technology (5.41%)
Electronic (0.56%)
2,120 Harris Corp. ................................. 67,575
------------
Business-Mechanic & Software (3.23%)
5,200 Pitney Bowes, Inc. ........................... 258,050
1,500 Xerox Corp. .................................. 131,719
------------
389,769
------------
Aerospace Aircraft (1.62%)
1,840 General Dynamics Corp. ....................... 87,515
1,000 Rockwell Int'l. Corp. ........................ 36,250
1,000 United Technologies Corp. .................... 72,563
------------
196,328
------------
Total Technology ............................. 653,672
------------
Energy (6.03%)
Oil & Gas (1.43%)
4,225 Phillips Petroleum Co. ....................... 172,433
------------
Oil & Gas International (3.99%)
1,250 Chevron Corp. ................................ 92,578
4,360 Exxon Corp. .................................. 285,308
1,500 Mobil Corp. .................................. 103,688
------------
481,574
------------
Energy Raw Material (0.61%)
2,900 Dresser Industries ........................... 74,131
------------
Total Energy ................................. 728,138
------------
Total Common Stock
(cost $8,031,896) ......................................... 8,548,626
------------
Par
Value
-----
Short-Term Investments (29.32%)
United States Treasury Bill
$ 3,550,000 5.200% 09/17/98 (b) .......................... 3,542,029
------------
Total Short-Term Investments (Cost $3,542,029) 3,542,029
------------
Total Investments (Cost $11,573,925) (100.09%) 12,090,655
Liabilities in Excess of Other Assets (-0.09%) (10,599)
------------
Net Assets (100.00%) ....................... $ 12,080,056
============
- ---------------
(a) Aggregate cost for federal income tax purposes is $11,573,925. At August 31,
1998, unrealized appreciation (depreciation) of securities for federal income
tax purpose is as follows:
Unrealized appreciation ........................... $ 1,040,850
Unrealized depreciation ........................... (524,120)
------------
Net unrealized appreciation ..................... $ 516,730
============
(b) At August 31, 1998, certain United States Treasury Bills with a market value
of $199,542 were pledged to cover margin requirements for futures contracts.
(c) Futures contracts at August 31, 1998 (Contracts-$250 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P BARRA/Value Stock Index:
36/September 98/Long ............................ $ (856,199)
============
See accompanying notes to financial statements
36
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1998
<TABLE>
<CAPTION>
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
------------- ------------- -------------
<S> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$90,015,369, $203,262,995 and $22,230,343,
respectively) (Note 1) ........................ $ 90,015,369 $ 223,866,556 $ 23,228,949
Cash .......................................... 34,703 82,053 45,792
Interest receivable ........................... 468,113 3,036,041 333,426
Receivable for fund shares sold ............... 1,068,070 39,171 1,651
------------- ------------- -------------
Total assets ............................... 91,586,255 227,023,821 23,609,818
------------- ------------- -------------
LIABILITIES
Payable for investments purchased ............. 3,100,000 1,042,600 --
Payable for fund shares repurchased ........... 199,753 145,659 --
Payable to Investment Advisor ................. 20,971 89,621 5,980
Accrued expenses .............................. 24,319 43,881 9,434
Distributions payable ......................... 5,405 194,995 22,521
------------- ------------- -------------
Total liabilities .......................... 3,350,448 1,516,756 37,935
------------- ------------- -------------
Net Assets:
(Applicable to 88,299,178; 17,105,733 and
2,158,384 shares of beneficial interest with no
par value, unlimited number of shares
authorized) ................................... $ 88,235,807 $ 225,507,065 $ 23,571,883
============= ============= =============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$88,235,807 / 88,299,178 shares ............... $ 1.00
=============
$225,507,065 / 17,105,733 shares .............. $ 13.18
=============
$23,571,883 / 2,158,384 shares ................ $ 10.92
=============
Net assets at August 31, 1998 consisted of:
Paid-in capital ............................... $ 88,264,727 $ 203,427,634 $ 22,295,437
Undistributed net investment income ........... -- 100,095 17,914
Accumulated net realized gains (losses) ....... (28,920) 1,375,775 259,926
Unrealized appreciation of investments ........ -- 20,603,561 998,606
------------- ------------- -------------
$ 88,235,807 $ 225,507,065 $ 23,571,883
============= ============= =============
</TABLE>
See accompanying notes to financial statements
37
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1998
<TABLE>
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$29,665,574, $46,236,532, $63,087,264
and $35,158,609, respectively) (Note 1) .... $ 32,201,522 $ 46,236,532 $ 88,921,929 $ 39,425,218
Cash ....................................... 48,628 72,327 -- 46,386
Interest receivable ........................ 233,904 -- 14,496 2,759
Dividends receivable ....................... -- -- 129,959 40,981
Receivable for fund shares sold ............ 556,217 293,832 103,628 1,372
Receivable for investments sold ............ 3,105,180 -- 2,962 795,172
------------ ------------ ------------ ------------
Total assets ............................ 36,145,451 46,602,691 89,172,974 40,311,888
------------ ------------ ------------ ------------
LIABILITIES
Payable to Investment Advisor .............. 13,721 8,840 512 7,995
Accrued expenses ........................... 12,072 18,978 20,990 10,578
Payable for investments purchased .......... -- -- -- 52,063
Payable for fund shares repurchased ........ 12,925 2,231,347 625,010 133,376
Distributions payable ...................... 43,387 2,515 -- --
Variation margin payable ................... -- -- 859,465 253,260
Cash overdraft ............................. -- -- 46,394 --
------------ ------------ ------------ ------------
Total liabilities ....................... 82,105 2,261,680 1,552,371 457,272
------------ ------------ ------------ ------------
Net Assets:
(Applicable to 3,191,776; 44,333,804;
4,193,297 and 2,586,361 shares of
beneficial interest with no par value,
unlimited number of shares authorized) ..... $ 36,063,346 $ 44,341,011 $ 87,620,603 $ 39,854,616
============ ============ ============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$36,063,346 / 3,191,776 shares ............. $ 11.30
============
$44,341,011 / 44,333,804 shares ............ $ 1.00
============
$87,620,603 / 4,193,297 shares ............. $ 20.90
============
$39,854,616 / 2,586,361 shares ............. $ 15.41
============
Net assets at August 31, 1998 consisted of:
Paid-in capital ............................ $ 32,983,931 $ 44,333,804 $ 62,097,122 $ 31,715,568
Undistributed net investment income ........ 98,393 -- 286,510 20,118
Undistributed net realized gains ........... 445,074 7,207 1,242,492 4,715,021
Unrealized appreciation
of investments .......................... 2,535,948 -- 25,834,665 4,266,609
Unrealized depreciation of futures contracts -- -- (1,840,186) (862,700)
------------ ------------ ------------ ------------
$ 36,063,346 $ 44,341,011 $ 87,620,603 $ 39,854,616
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
38
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1998
<TABLE>
<CAPTION>
S&P
SmallCap Equity
Index Fund Income Fund
------------ ------------
<S> <C> <C>
ASSETS
Investments at market value
(identified cost $9,845,002
and $11,573,925, respectively) (Note 1) ........ $ 8,017,311 $ 12,090,655
Interest receivable ............................ 694 575
Dividends receivable ........................... 4,797 29,262
Receivable for fund shares sold ................ 819 598
Receivable from Investment Advisor ............. 387 --
Receivable for investments sold ................ -- 1,470,280
Deferred organization costs .................... 7,749 15,339
------------ ------------
Total assets ................................ 8,031,757 13,606,709
------------ ------------
LIABILITIES
Payable for investments purchased .............. 30,960 668,915
Payable to Investment Advisor .................. -- 5,710
Payable for fund shares repurchased ............ 9,728 468,184
Variation margin payable ....................... 65,850 301,500
Cash overdraft ................................. -- 71,479
Accrued expenses ............................... 8,967 10,865
------------ ------------
Total liabilities ........................... 115,505 1,526,653
------------ ------------
Net Assets:
(Applicable to 836,548 and 1,008,649
shares of beneficial interest with no par value,
unlimited number of shares authorized) ......... $ 7,916,252 $ 12,080,056
============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$7,916,252 / 836,548 shares .................... $ 9.46
============
$12,080,056 / 1,008,649 shares ................. $ 11.98
============
Net assets at August 31, 1998 consisted of:
Paid-in capital ................................ $ 9,745,726 $ 12,317,338
Undistributed net investment income ............ -- 35,033
Undistributed net realized gains ............... 286,046 67,154
Unrealized appreciation (depreciation)
of investments .............................. (1,827,691) 516,730
Unrealized depreciation
of futures contracts ........................ (287,829) (856,199)
------------ ------------
$ 7,916,252 $ 12,080,056
============ ============
</TABLE>
See accompanying notes to financial statements
39
<PAGE>
STATEMENTS OF OPERATIONS
For Year Ended August 31, 1998
<TABLE>
<CAPTION>
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
----------- ----------- -----------
<S> <C> <C> <C>
Investment Income:
Interest income ................................ $ 3,437,879 $11,091,045 $ 1,077,577
----------- ----------- -----------
Expenses:
Management fees (Note 2) ....................... 505,199 1,032,319 116,198
Transfer agent fees ............................ 35,051 65,433 10,771
Accounting services ............................ 38,805 107,017 18,267
Custodian fees ................................. 20,215 32,053 4,798
Legal and audit fees ........................... 10,970 73,576 5,047
Trustees fees .................................. 3,985 4,007 4,005
Insurance ...................................... 904 1,523 174
Printing ....................................... 1,908 5,686 925
Registration & dues ............................ 3,119 3,957 2,421
----------- ----------- -----------
Total expenses .............................. 620,156 1,325,571 162,606
Less reimbursement from manager (Note 2) . (213,549) -- (34,788)
----------- ----------- -----------
Net expenses ................................ 406,607 1,325,571 127,818
----------- ----------- -----------
Net investment income .................... 3,031,272 9,765,474 949,759
----------- ----------- -----------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions ... -- 1,369,389 274,305
Change in unrealized appreciation of investments -- 7,631,252 283,895
----------- ----------- -----------
Net realized and unrealized gain on
investments ................................. -- 9,000,641 558,200
----------- ----------- -----------
Net increase in net assets resulting
from operations ............................. $ 3,031,272 $18,766,115 $ 1,507,959
=========== =========== ===========
</TABLE>
See accompanying notes to financial statements
40
<PAGE>
STATEMENTS OF OPERATIONS
For Year Ended August 31, 1998
<TABLE>
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Investment Income:
Interest income ................................ $ 2,064,668 $ 2,474,154 $ 440,483 $ 261,863
Dividend income ................................ -- -- 1,231,074 552,386
----------- ----------- ----------- -----------
Total ....................................... 2,064,668 2,474,154 1,671,557 814,249
----------- ----------- ----------- -----------
Expenses:
Management fees (Note 2) ....................... 168,159 238,447 217,634 203,446
Transfer agent fees ............................ 16,335 15,710 25,207 14,257
Accounting services ............................ 19,971 21,979 41,865 26,504
Custodian fees ................................. 8,303 7,922 18,523 9,152
Legal and audit fees ........................... 6,074 6,370 11,653 6,016
Trustees fees .................................. 1,999 1,932 1,993 1,989
Insurance ...................................... 226 333 7,165 360
Printing ....................................... 1,740 780 4,312 2,546
Registration & dues ............................ 5,939 14,091 13,341 10,160
Standard & Poor's licensing fees ............... -- -- 10,000 10,000
----------- ----------- ----------- -----------
Total expenses .............................. 228,746 307,564 351,693 284,430
Less reimbursement from manager (Note 2) . (10,318) (116,733) (173,969)* (80,984)*
----------- ----------- ----------- -----------
Net expenses ................................ 218,428 190,831 177,724 203,446
----------- ----------- ----------- -----------
Net investment income .................... 1,846,240 2,283,323 1,493,833 610,803
----------- ----------- ----------- -----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain from security transactions ... 533,683 7,101 401,247 4,397,743
Net realized gain from futures contracts ....... -- -- 1,118,763 686,563
Change in unrealized appreciation of investments 2,531,385 -- 3,903,283 (8,335,339)
Change in unrealized gain from futures contracts -- -- (2,115,151) (1,183,655)
----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on
investments ................................. 3,065,068 7,101 3,308,142 (4,434,688)
----------- ----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations ............................. $ 4,911,308 $ 2,290,424 $ 4,801,975 $(3,823,885)
=========== =========== =========== ===========
</TABLE>
* During fiscal year ended August 31, 1997 the Manager received monies in the
form of quarterly account fees from shareholders of the S&P 500 Index Fund and
the S&P MidCap Index Fund to offset custody expenses. For the fiscal year ended
August 31, 1997 the manager received $14,668 from the S&P 500 Index Fund
shareholders and $10,190 from the S&P MidCap Index Fund shareholders, which
monies were applied to the Funds' custody charges, reducing the Funds' operating
expenses. The reduction in the Funds' operating expenses had the effect of
lowering the amount of out-of-pocket reimbursements by the Manager in that
fiscal year to $136,648 for the S&P 500 Index Fund and $73,770 for the S&P
MidCap Fund. Since September 1, 1997, the Manager has made arrangements for
quarterly account fees to be paid directly to the custodian.
See accompanying notes to financial statements
41
<PAGE>
STATEMENTS OF OPERATIONS
Year ended August 31, 1998
<TABLE>
<CAPTION>
S&P
SmallCap Equity
Index Income
Fund Fund
----------- -----------
<S> <C> <C>
Investment Income:
Interest income ................................... $ 101,415 $ 192,890
Dividend income ................................... 61,509 208,000
----------- -----------
Total .......................................... 162,924 400,890
----------- -----------
Expenses:
Management fees (Note 2) .......................... 48,850 57,707
Transfer agent fees ............................... 12,840 10,806
Accounting services ............................... 15,937 12,235
Custodian fees .................................... 12,859 5,867
Legal and audit fees .............................. 6,442 7,302
Trustees fees ..................................... 1,999 2,032
Insurance ......................................... 56 48
Printing .......................................... 1,487 996
Registration & dues ............................... 3,116 3,123
Standard & Poor's licensing fees .................. 1,000 --
Amortization of deferred organizational costs ..... 2,515 5,117
----------- -----------
Total expenses ................................. 107,101 105,233
Less reimbursement from manager (Note 2) .... (43,596) (15,526)
----------- -----------
Net expenses ................................... 63,505 89,707
----------- -----------
Net investment income ....................... 99,419 311,183
----------- -----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from security transactions 460,964 (175,735)
Net realized gain (loss) from futures contracts ... (125,034) 398,923
Change in unrealized appreciation of investments .. (2,376,553) (247,662)
Change in unrealized gain from futures contracts .. (337,712) (964,544)
----------- -----------
Net realized and unrealized loss on
investments .................................... (2,378,335) (989,018)
----------- -----------
Net decrease in net assets resulting
from operations ................................ $(2,278,916) $ (677,835)
=========== ===========
</TABLE>
See accompanying notes to financial statements
42
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
California Tax-Free California Tax-Free
Money Market Fund Income Fund
------------------------------ ------------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
1998 1997 1998 1997
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .................... $ 3,031,272 $ 2,947,243 $ 9,765,474 $ 9,627,463
Net realized gain on investments ......... -- 5,971 1,369,389 3,204,625
Change in unrealized
appreciation of investments ........... -- -- 7,631,252 6,012,149
------------- ------------- ------------- -------------
Net increase in net
assets resulting from operations ...... 3,031,272 2,953,214 18,766,115 18,844,237
Undistributed investment income
included in price of shares sold
and repurchased ....................... -- -- 16,214 84,784
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ................................ (3,031,272) (2,947,243) (9,822,283) (9,602,319)
Distributions from realized capital
gains on investments .................. -- -- (3,103,352) --
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions .......................... (4,582,382) (10,589,839) 7,451,978 7,946,108
------------- ------------- ------------- -------------
Total increase (decrease) ................ (4,582,382) (10,583,868) 13,308,672 17,272,810
NET ASSETS
Beginning of Year ........................ 92,818,189 103,402,057 212,198,393 194,925,583
------------- ------------- ------------- -------------
End of Year* ............................. $ 88,235,807 $ 92,818,189 $ 225,507,065 $ 212,198,393
============= ============= ============= =============
* Including undistributed net
investment income of: $ -- $ -- $ 100,095 $ 111,572
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
43
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
California Insured U.S. Government
Intermediate Fund Securities Fund
---------------------------- ----------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
1998 1997 1998 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .................... $ 949,759 $ 1,077,425 $ 1,846,240 $ 1,814,151
Net realized gain on investments ........ 274,305 130,038 533,683 181,246
Change in unrealized
appreciation of investments ........... 283,895 552,302 2,531,385 889,918
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations ...... 1,507,959 1,759,765 4,911,308 2,885,315
Undistributed investment income
included in price of shares sold
and repurchased ....................... (5,053) (6,547) 1,244 (875)
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ................................ (952,340) (1,068,379) (1,883,906) (1,804,334)
Distributions from realized capital
gains on investments .................. (110,654) -- (219,220) (401,287)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions .......................... (1,257,783) (501,814) 1,977,133 1,510,204
------------ ------------ ------------ ------------
Total increase (decrease) ................ (817,871) 183,025 4,786,559 2,189,023
NET ASSETS
Beginning of Year ........................ 24,389,754 24,206,729 31,276,787 29,087,764
------------ ------------ ------------ ------------
End of Year* ............................. $ 23,571,883 $ 24,389,754 $ 36,063,346 $ 31,276,787
============ ============ ============ ============
* Including undistributed net
investment income of: ................. $ 17,914 $ 10,249 $ 98,393 $ 51,427
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
44
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
The United States
Treasury Trust
------------------------------
Year Ended Year Ended
August 31, August 31,
1998 1997
------------- -------------
OPERATIONS:
Net investment income .................... $ 2,283,323 $ 2,030,379
Net realized gain (loss) on investments .. 7,101 (1,524)
------------- -------------
Net increase in net
assets resulting from operations ...... 2,290,424 2,028,855
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ................................ (2,283,323) (2,030,379)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions .......................... (60,175,066) 66,607,794
------------- -------------
Total increase (decrease) ................ (60,167,965) 66,606,270
NET ASSETS
Beginning of year ........................ 104,508,976 37,902,706
------------- -------------
End of year* ............................. $ 44,341,011 $ 104,508,976
============= =============
* Including undistributed net
investment income of: ................. $ -- $ --
============= =============
See accompanying notes to financial statements
45
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
S&P 500 S&P MidCap
Index Fund Index Fund
---------------------------- ----------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
1998 1997 1998 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .................... $ 1,493,833 $ 1,241,962 $ 610,803 $ 545,773
Net realized gain on investments ......... 401,247 217,651 4,397,743 2,948,458
Net realized gain on
futures contracts ..................... 1,118,763 1,325,380 686,563 534,845
Change in unrealized
appreciation of investments ........... 3,903,283 15,741,854 (8,335,339) 7,983,701
Change in unrealized
appreciation of futures contracts ..... (2,115,151) 354,370 (1,183,655) 324,290
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations ...... 4,801,975 18,881,217 (3,823,885) 12,337,067
Undistributed investment income
included in price of shares sold
and repurchased ....................... 22,942 23,729 (3,241) 1,875
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ................................ (1,315,692) (1,199,941) (609,429) (531,399)
Distributions from realized capital
gains on investments .................. (1,420,007) (870,328) (3,571,025) (1,714,021)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions .......................... 13,671,516 11,175,794 1,591,295 2,618,293
------------ ------------ ------------ ------------
Total increase (decrease) ................ 15,760,734 28,010,471 (6,416,285) 12,711,815
NET ASSETS
Beginning of Year ........................ 71,859,869 43,849,398 46,270,901 33,559,086
------------ ------------ ------------ ------------
End of Year* ............................. $ 87,620,603 $ 71,859,869 $ 39,854,616 $ 46,270,901
============ ============ ============ ============
* Including undistributed net
investment income of: ................. $ 286,510 $ 108,369 $ 20,118 $ 98,859
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
46
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
S&P SmallCap Equity
Index Fund Income Fund
---------------------------- ----------------------------
Year Ended October 2, 1996* Year Ended September 4, 1996*
August 31, to August 31, to
1998 August 31, 1997 1998 August 31, 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................. $ 99,419 $ 58,804 $ 311,183 $ 146,075
Net realized gain (loss) on investments 460,964 60,141 (175,735) 1,693
Net realized gain (loss) on
futures contracts .................. (125,034) 165,958 398,923 200,285
Change in unrealized
appreciation of investments ........ (2,376,553) 548,862 (247,662) 764,392
Change in unrealized
appreciation of futures contracts .. (337,712) 49,883 (964,544) 108,345
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations ... (2,278,916) 883,648 (677,835) 1,220,790
Undistributed investment income
included in price of shares sold
and repurchased .................... 8,068 13,450 16,013 31,249
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ............................. (106,655) (58,486) (306,453) (126,024)
Distributions from realized capital
gains on investments ............... (301,178) -- (304,321) (53,691)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ....................... 4,662,012 5,094,309 3,606,133 8,674,195
------------ ------------ ------------ ------------
Total increase ........................ 1,983,331 5,932,921 2,333,537 9,746,519
NET ASSETS
Beginning of Year ..................... 5,932,921 -- 9,746,519 --
------------ ------------ ------------ ------------
End of Year** ......................... $ 7,916,252 $ 5,932,921 $ 12,080,056 $ 9,746,519
============ ============ ============ ============
** Including undistributed net
investment income of: .............. $ -- $ 13,768 $ 35,033 $ 51,300
============ ============ ============ ============
</TABLE>
* Commencement of Operations
See accompanying notes to financial statements
47
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
California Tax Free Income Fund
-------------------------------------------------------------
Year Ended Year Ended
August 31, 1998 August 31, 1997
--------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Shares sold ....................... 13,772,812 $ 178,386,066 15,518,073 $ 195,235,391
Shares issued in reinvestment of
distributions .................. 758,108 9,811,775 556,169 7,038,369
---------- ------------- ---------- -------------
14,530,920 188,197,841 16,074,242 202,273,760
Shares repurchased ................ (13,928,582) (180,745,863) (15,411,321) (194,327,652)
---------- ------------- ---------- -------------
Net increase ................... 602,338 $ 7,451,978 662,921 $ 7,946,108
========== ============= ========== =============
California Insured Intermediate Fund
-------------------------------------------------------------
Year Ended Year Ended
August 31, 1998 August 31, 1997
--------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
Shares sold ....................... 460,985 $ 4,960,936 553,257 $ 5,868,595
Shares issued in reinvestment of
distributions .................. 68,160 734,678 65,488 694,600
---------- ------------- ---------- -------------
529,145 5,695,614 618,745 6,563,195
Shares repurchased ................ (646,021) (6,953,397) (665,994) (7,065,009)
---------- ------------- ---------- -------------
Net decrease ................... (116,876) $ (1,257,783) (47,249) $ (501,814)
========== ============= ========== =============
California Tax-Free The United States
Money Market Fund Treasury Trust
-------------------------------- --------------------------------
Year ended Year ended Year Ended Year Ended
August 31, 1998 August 31, 1997 August 31, 1998 August 31, 1997
-------------------------------- --------------------------------
Shares/Value Shares/Value Shares/Value Shares/Value
------------ ------------ ------------ ------------
Shares sold ....................... 278,519,260 227,563,107 141,142,619 177,112,223
Shares issued in reinvestment of
distributions .................. 2,875,691 2,752,018 2,130,742 1,911,369
---------- ------------- ---------- -------------
281,394,951 230,315,125 143,273,361 179,023,592
Shares repurchased ................ (285,977,333) (240,904,964) (203,448,427) (112,415,798)
---------- ------------- ---------- -------------
Net increase (decrease) ........ (4,582,382) (10,589,839) (60,175,066) 66,607,794
========== ============= ========== =============
</TABLE>
See accompanying notes to financial statements
48
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
U.S. Government Securities Fund
-------------------------------------------------------------
Year Ended Year Ended
August 31, 1998 August 31, 1997
--------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Shares sold ....................... 1,569,018 $ 16,951,443 902,210 $ 9,397,314
Shares issued in reinvestment of
distributions .................. 135,540 1,463,419 140,590 1,478,128
---------- ------------- ---------- -------------
1,704,558 18,414,862 1,042,800 10,875,442
Shares repurchased ................ (1,525,106) (16,437,729) (897,543) (9,365,238)
---------- ------------- ---------- -------------
Net increase ................... 179,452 $ 1,977,133 145,257 $ 1,510,204
========== ============= ========== =============
S&P 500 Index Fund
-------------------------------------------------------------
Year Ended Year Ended
August 31, 1998 August 31, 1997
--------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
Shares sold ....................... 1,102,164 $ 25,262,969 995,232 $ 17,627,409
Shares issued in reinvestment
distributions .................. 119,309 2,591,113 116,363 1,976,364
---------- ------------- ---------- -------------
1,221,473 27,854,082 1,111,595 19,603,773
Shares repurchased ................ (624,706) (14,182,566) (475,659) (8,427,979)
---------- ------------- ---------- -------------
Net increase ................... 596,767 $ 13,671,516 635,936 $ 11,175,794
========== ============= ========== =============
S&P MidCap Index Fund
-------------------------------------------------------------
Year Ended Year Ended
August 31, 1998 August 31, 1997
--------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
Shares sold ....................... 295,197 $ 5,711,888 393,161 $ 6,202,187
Shares issued in reinvestment of
distributions .................. 207,684 3,706,528 135,895 2,070,573
---------- ------------- ---------- -------------
502,881 9,418,416 529,056 8,272,760
Shares repurchased ................ (408,733) (7,827,121) (359,660) (5,654,467)
---------- ------------- ---------- -------------
Net increase ................... 94,148 $ 1,591,295 169,396 $ 2,618,293
========== ============= ========== =============
</TABLE>
See accompanying notes to financial statements
49
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
S&P SmallCap Index Fund
-------------------------------------------------------------
October 2, 1996*
Year Ended to
August 31, 1998 August 31, 1997
--------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
<S> <C> <C> <C> <C>
Shares sold ....................... 562,478 $ 7,251,518 527,577 $ 5,546,419
Shares issued in reinvestment of
distributions .................. 31,999 389,142 5,093 52,289
---------- ------------- ---------- -------------
594,477 7,640,660 532,670 5,598,708
Shares repurchased ................ (242,139) (2,978,648) (48,460) (504,399)
---------- ------------- ---------- -------------
Net increase ................... 352,338 $ 4,662,012 484,210 $ 5,094,309
========== ============= ========== =============
Equity Income Fund
-------------------------------------------------------------
September 4, 1996*
Year Ended to
August 31, 1998 August 31, 1997
--------------------------- ---------------------------
Shares Value Shares Value
---------- ------------- ---------- -------------
Shares sold ....................... 493,129 $ 6,918,782 808,442 $ 9,069,892
Shares issued in reinvestment of
distributions .................. 44,457 592,174 15,282 172,099
---------- ------------- ---------- -------------
537,586 7,510,956 823,724 9,241,991
Shares repurchased ................ (300,004) (3,904,823) (52,657) (567,796)
---------- ------------- ---------- -------------
Net increase ................... 237,582 $ 3,606,133 771,067 $ 8,674,195
========== ============= ========== =============
</TABLE>
* Commencement of Operations
See accompanying notes to financial statements
50
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
California Tax-Free Money Market Fund
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1998 1997 1996 1995 1994
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. 0.030 0.031 0.032 0.032 0.022
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.030) (0.031) (0.032) (0.032) (0.022)
--------- --------- --------- --------- ---------
Net asset value, end of year ............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========= ========= ========= ========= =========
Total Return ............................. 3.09% 3.09% 3.26% 3.27% 2.18%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) .... $ 88,236 $ 92,818 $ 103,402 $ 80,412 $ 85,935
Ratio of expenses to average net
assets:
Before expense reimbursements ... 0.61% 0.61% 0.61% 0.66% 0.68%
After expense reimbursements .... 0.40% 0.40% 0.40% 0.40% 0.35%
Ratio of net investment income to
average net assets:
Before expense reimbursements ... 2.77% 2.86% 2.90% 2.97% 1.83%
After expense reimbursements .... 2.98% 3.07% 3.11% 3.23% 2.16%
</TABLE>
See accompanying notes to the financial statements
51
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
California Tax-Free Income Fund
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1998 1997 1996 1995 1994
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .......... $ 12.86 $ 12.31 $ 12.22 $ 12.17 $ 13.39
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................... 0.58 0.60 0.62 0.61 0.65
Net gain (loss) on securities (both
realized and unrealized) .............. 0.51 0.54 0.09 0.30 (0.92)
--------- --------- --------- --------- ---------
Total from investment operations ... 1.09 1.14 0.71 0.91 (0.27)
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income ................................ (0.58) (0.59) (0.62) (0.66) (0.66)
Distributions from capital gains ......... (0.19) .--- .--- (0.20) (0.29)
--------- --------- --------- --------- ---------
Total distributions ................ (0.77) (0.59) (0.62) (0.86) (0.95)
--------- --------- --------- --------- ---------
Net asset value, end of year ................ $ 13.18 $ 12.86 $ 12.31 $ 12.22 $ 12.17
========= ========= ========= ========= =========
Total Return ................................ 8.75% 9.48% 5.40% 8.01% (2.15)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ....... $ 225,507 $ 212,198 $ 194,926 $ 196,046 $ 225,087
Ratio of expenses to average net
assets:
Before expense reimbursements ..... 0.61% 0.59% 0.60% 0.62% 0.60%
After expense reimbursements ...... 0.61% 0.59% 0.60% 0.62% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements ..... 4.47% 4.75% 4.96% 5.13% 5.09%
After expense reimbursements ...... 4.47% 4.75% 4.96% 5.13% 5.09%
Portfolio Turnover ....................... 20.95% 34.96% 10.34% 32.21% 31.27%
</TABLE>
See accompanying notes to the financial statements
52
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
California Insured Intermediate Fund
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1998 1997 1996 1995 1994
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ........ $ 10.72 $ 10.42 $ 10.49 $ 10.23 $ 10.65
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. 0.44 0.45 0.46 0.44 0.44
Net gain (loss) on securities (both
realized and unrealized) ............. 0.25 0.30 (0.07) 0.30 (0.42)
--------- --------- --------- --------- ---------
Total from investment operations .. 0.69 0.75 0.39 0.74 0.02
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.44) (0.45) (0.46) (0.48) (0.44)
Distributions from capital gains ....... (0.05) -- -- -- --
--------- --------- --------- --------- ---------
Total distributions .............. (0.49) (0.45) (0.46) (0.48) (0.44)
--------- --------- --------- --------- ---------
Net asset value, end of year .............. $ 10.92 $ 10.72 $ 10.42 $ 10.49 $ 10.23
========= ========= ========= ========= =========
Total Return .............................. 6.64% 7.34% 3.75% 7.46% 0.23%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ..... $ 23,572 $ 24,390 $ 24,207 $ 23,515 $ 21,800
Ratio of expenses to average net
assets:
Before expense reimbursements ... 0.70% 0.70% 0.70% 0.76% 0.88%
After expense reimbursements .... 0.55% 0.55% 0.55% 0.60% 0.46%
Ratio of net investment income to
average net assets:
Before expense reimbursements ... 3.94% 4.12% 4.22% 4.19% 3.77%
After expense reimbursements .... 4.09% 4.27% 4.37% 4.35% 4.19%
Portfolio Turnover ..................... 26.76% 32.11% 36.08% 43.56% 8.91%
</TABLE>
See accompanying notes to the financial statements
53
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
U S Government Securities Fund
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1998 1997 1996 1995 1994
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ......... $ 10.38 $ 10.15 $ 10.66 $ 10.30 $ 11.76
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.59 0.64 0.66 0.70 0.67
Net gain (loss) on securities (both
realized and unrealized) ............. 1.01 0.36 (0.51) 0.41 (1.40)
--------- --------- --------- --------- ---------
Total from investment operations .. 1.60 1.00 0.15 1.11 (0.73)
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.61) (0.63) (0.66) (0.75) (0.67)
Distributions from capital gains ........ (0.07) (0.14) .--- .--- (0.06)
--------- --------- --------- --------- ---------
Total distributions ............... (0.68) (0.77) (0.66) (0.75) (0.73)
--------- --------- --------- --------- ---------
Net asset value, end of year ............... $ 11.30 $ 10.38 $ 10.15 $ 10.66 $ 10.30
========= ========= ========= ========= =========
Total Return ............................... 15.88% 10.00% 1.26% 11.42% (6.44)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ...... $ 36,063 $ 31,277 $ 29,088 $ 29,884 $ 30,228
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.68% 0.69% 0.71% 0.75% 0.73%
After expense reimbursements ..... 0.65% 0.65% 0.65% 0.64% 0.62%
Ratio of net investment income to
average net assets:
Before expense reimbursements .... 5.46% 6.00% 6.10% 6.72% 5.99%
After expense reimbursements ..... 5.49% 6.04% 6.16% 6.83% 6.10%
Portfolio Turnover ...................... 65.27% 170.76% 89.11% 169.83% 129.06%
</TABLE>
See accompanying notes to the financial statements
54
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
The United States Treasury Trust
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1998 1997 1996 1995 1994
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. 0.051 0.048 0.050 0.050 0.031
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.051) (0.048) (0.050) (0.050) (0.031)
--------- --------- --------- --------- ---------
Net asset value, end of year ............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========= ========= ========= ========= =========
Total Return ............................. 5.21% 4.92% 5.11% 5.10% 3.11%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) .... $ 44,341 $ 104,509 $ 37,903 $ 29,797 $ 19,268
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.64% 0.64% 0.66% 0.72% 0.75%
After expense reimbursements ... 0.40% 0.40% 0.43% 0.50% 0.52%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 4.54% 4.58% 4.60% 4.75% 2.62%
After expense reimbursements ... 4.78% 4.82% 4.83% 4.97% 2.85%
</TABLE>
See accompanying notes to the financial statements
55
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
S & P 500 Index Fund
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1998 1997 1996 1995 1994
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ........ $ 19.98 $ 14.81 $ 13.31 $ 11.38 $ 11.25
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. 0.36 0.38 0.36 0.39 0.30
Net gain on securities (both
realized and unrealized) ............. 1.28 5.44 2.05 1.94 0.26
--------- --------- --------- --------- ---------
Total from investment operations .. 1.64 5.82 2.41 2.33 0.56
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.34) (0.37) (0.37) (0.37) (0.30)
Distributions from capital gains ....... (0.38) (0.28) (0.54) (0.03) (0.13)
--------- --------- --------- --------- ---------
Total distributions .............. (0.72) (0.65) (0.91) (0.40) (0.43)
--------- --------- --------- --------- ---------
Net asset value, end of year .............. $ 20.90 $ 19.98 $ 14.81 $ 13.31 $ 11.38
========= ========= ========= ========= =========
Total Return .............................. 8.14% 40.19% 18.63% 21.06% 5.17%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ..... $ 87,621 $ 71,860 $ 43,849 $ 21,800 $ 14,830
Ratio of expenses to average net
assets:
Before expense reimbursements ... 0.40% 0.46% 0.57% 1.04% 1.01%
After expense reimbursements .... 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of net investment income to
average net assets:
Before expense reimbursements ... 1.48% 1.85% 2.13% 2.40% 1.95%
After expense reimbursements .... 1.68% 2.11% 2.50% 3.24% 2.76%
Portfolio Turnover ..................... 1.82% 2.10% 1.87% 3.68% 1.22%
</TABLE>
See accompanying notes to the financial statements
56
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
S&P MidCap Index Fund
-----------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1998 1997 1996 1995 1994
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ........ $ 18.57 $ 14.45 $ 13.82 $ 12.21 $ 12.23
--------- --------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. 0.23 0.22 0.24 0.26 0.22
Net gain (loss) on securities (both
realized and unrealized) ............ (1.76) 4.85 1.33 2.04 0.22
--------- --------- --------- --------- ---------
Total from investment operations . (1.53) 5.07 1.57 2.30 0.44
--------- --------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.23) (0.22) (0.25) (0.25) (0.22)
Distributions from capital gains ....... (1.40) (0.73) (0.69) (0.44) (0.24)
--------- --------- --------- --------- ---------
Total distributions ....................... (1.63) (0.95) (0.94) (0.69) (0.46)
--------- --------- --------- --------- ---------
Net asset value, end of year .............. $ 15.41 $ 18.57 $ 14.45 $ 13.82 $ 12.21
========= ========= ========= ========= =========
Total Return .............................. (9.37)% 36.63% 11.77% 20.24% 3.75%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ..... $ 39,855 $ 46,271 $ 33,559 $ 26,168 $ 21,789
Ratio of expenses to average net
assets:
Before expense reimbursements ... 0.56% 0.61% 0.71% 0.80% 0.97%
After expense reimbursements .... 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income
to average net assets:
Before expense reimbursements ... 1.04% 1.19% 1.38% 1.70% 1.30%
After expense reimbursements .... 1.20% 1.40% 1.69% 2.10% 1.87%
Portfolio Turnover ..................... 19.35% 17.80% 18.18% 11.71% 15.01%
</TABLE>
See accompanying notes to the financial statements
57
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout the period)
<TABLE>
<CAPTION>
S&P SmallCap Equity
Index Fund Income Fund
---------------------------- ----------------------------
Year Ended October 2, 1996* Year Ended September 4, 1996*
August 31, to August 31, to
1998 August 31, 1997 1998 August 31, 1997
--------- --------------- --------- ---------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 12.25 $ 10.00 $ 12.64 $ 10.00
--------- --------- --------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .................. 0.13 0.23 0.37 0.39
Net gain (loss) on securities (both
realized and unrealized) ............ (2.39) 2.22 (0.25) 2.84
--------- --------- --------- ---------
Total from investment operations . (2.26) 2.45 0.12 3.23
--------- --------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.14) (0.20) (0.37) (0.32)
Distributions from capital gains ....... (0.39) .--- (0.41) (0.27)
--------- --------- --------- ---------
Total distributions ....................... (0.53) (0.20) (0.78) (0.59)
--------- --------- --------- ---------
Net asset value, end of period ............ $ 9.46 $ 12.25 $ 11.98 $ 12.64
========= ========= ========= =========
Total Return .............................. (19.38)% 24.86% 0.46% 33.28%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) ... $ 7,916 $ 5,933 $ 12,080 $ 9,747
Ratio of expenses to average net
assets:
Before expense reimbursements ... 1.10% 2.32%** 0.91% 1.55%**
After expense reimbursements .... 0.65% 0.65%** 0.78% 0.76%**
Ratio of net investment income
to average net assets:
Before expense reimbursements ... 0.57% 0.27%** 2.56% 2.48%**
After expense reimbursements .... 1.02% 1.94%** 2.69% 3.27%**
Portfolio Turnover ..................... 24.58% 19.99% 41.23% 2.80%
</TABLE>
* Commencement of Operations
** Annualized
See accompanying notes to the financial statements
58
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
August 31, 1998
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund,
S&PSmallCap Index Fund and Equity Income Fund are separate series of shares of
beneficial interest of California Investment Trust II. Both Trusts are
registered under the Investment Company Act of 1940, as amended, as diversified
open-end management investment companies. Both Trusts were organized as
Massachusetts business trusts on September 11, 1985 and are authorized to issue
an unlimited number of no par value shares in one or more series. The investment
objectives of the Funds are as follows. California Tax-Free Income Fund and
California Insured Intermediate Fund seek as high a level of income exempt from
federal and California personal income taxes as is consistent with prudent
investment management and safety of capital. California Tax-Free Money Market
Fund capital preservation, liquidity and the highest achievable current income
exempt from both federal and California personal income taxes consistent with
safety. U.S. Government Securities Fund - seeks safety from credit risk,
liquidity, and as high a level of income as is consistent with these objectives
by investment in full faith and credit obligations of the U.S. Government and
its agencies or instrumentalities. The United States Treasury Trust seeks
preservation of capital, safety, liquidity and consistent with these objectives,
the highest attainable current income exempt from state income taxes. S&P 500
Index Fund, S&P MidCap Index Fund and S&PSmallCap Index Fund - diversified
mutual funds that seek to provide investment results that correspond to the
total return of publicly traded common stocks represented in the Standard &
Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard &Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of current income by investing primarily in income
producing equity securities. The following is a summary of significant
accounting policies followed by the Funds.
(a) Security Valuation --- Portfolio securities of the S&P 500, S&P
MidCap and S&PSmallCap Index Funds and the Equity Income Fund listed on a
national exchange are valued at the last reported sales price. U.S.
Treasury Bills are valued at amortized cost which approximates market
value. Portfolio securities of the California Tax-Free Income Fund,
California Insured Intermediate Fund and the U.S. Government Securities
Fund are valued by an independent pricing service that uses market
quotations, representing the mean between the latest available bid and
asked prices, prices provided by market makers, or estimates of market
values obtained from yield data relating to instruments or securities with
similar characteristics, in accordance with procedures established in good
faith by the Board of Trustees. Securities with remaining maturities of 60
days or less are valued on the amortized cost basis as reflecting fair
value. All other securities are valued at their fair value as determined in
good faith by the Board of Trustees. California Tax-Free Money Market Fund
and The United States Treasury Trust securities are valued at amortized
cost which the Board of Trustees has determined in good faith to constitute
fair value.
(b) Futures Contracts --- Initial margin deposits required upon
entering into futures contracts are satisfied by the segregation of
specific securities or cash, as collateral, for the account of the broker
(the Fund's agent in acquiring the futures position). During the period the
futures contract is open, changes in the value of the contract are
recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are made or received depending upon
whether unrealized gains or losses are incurred. When the contract is
closed, the Fund records a realized gain or loss equal to the difference
between the proceeds from (or cost of) the closing transaction and the
Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index
Fund, S&PSmallCap Index Fund and Equity Income Fund may purchase or sell
stock index futures to maintain cash reserves while remaining fully
invested, to facilitate trading, to reduce transaction costs, or to seek
higher investment returns when a
59
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
August 31, 1998
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 $28,920 which expire as follows, $9,949
in 1999, $4,130 in 2000, $1,920 in 2003 and $12,921 in 2004.
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities
purchased are amortized in accordance with tax regulations. Distributions
to shareholders are recorded on the ex-dividend date for the California
Tax-Free Income Fund, the California Insured Intermediate Fund, the U.S.
Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund,
S&PSmallCap Index Fund and the Equity Income Fund. Income distributions and
capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for futures
contracts and post October capital losses. For the California Tax-Free
Money Market Fund and The United States Treasury Trust, dividends from net
investment income are declared daily and reinvested or paid in cash
monthly. The two Funds intend to maintain a continuous net asset value per
share of $1.00. If net asset value per share using available market
information deviates from $1.00 by $.005 or more, the Board of Trustees
would consider what steps, if any, should be taken to restore net asset
value per share to $1.00.
(e) Equalization --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund, the U.S. Government Securities Fund,
S&P 500 Index Fund, S&P MidCap Index Fund, S&PSmallCap Index Fund and
Equity Income Fund follow the accounting practice of "equalization" whereby
part of the proceeds from capital share transactions equivalent to a
proportionate share of the distributable investment income on the date of
the transaction, is transferred to or from the undistributed net investment
income account. Undistributed net investment income is therefore unaffected
by capital share transactions.
(f) Concentration --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund and the California Tax-Free Money
Market Fund invest in debt instruments of municipal issuers. The issuer's
abilities to meet their obligations may be affected by economic
developments in the state of California.
(g) Use of Estimates in Financial Statements - In preparing financial
statements in conformity with generally accepted accounting principles,
management makes estimates and assumptions that affect the reported amounts
of assets and liabilities at the date of the financial statements, as well
as the reported amounts of income and expenses during the period. Actual
results may differ from these estimates.
Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund,
60
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
August 31, 1998
Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
(CONTINUED)
California Tax-Free Income Fund, California Insured Intermediate Fund, U.S.
Government Securities Fund, and The U.S. Treasury Trust, CCM receives
compensation at the annual rate of 0.50% of the Funds' average daily net assets
not exceeding $100 million, 0.45% on net assets from $100 million to $500
million, and 0.40% on net assets above $500 million. In accordance with the
terms of the management agreements with the S&P 500 Index Fund and S&P MidCap
Index Fund, CCM receives as compensation at the annual rate of .25% and .40%,
respectively, of the Funds' average daily net assets. In accordance with the
terms of the management agreements with the S&P SmallCap Index Fund and Equity
Income Fund, CCMreceives compensation at the annual rate of 0.50% of the first
$500 million of net assets, plus 0.45% on net assets from $500 million to $1
billion, and 0.40% of assets above $1 billion. CCM has agreed to reduce its fee
by, or reimburse the Funds for, any amount necessary to prevent the Funds' total
expenses, excluding extraordinary items, from exceeding 1.00% of the Funds'
average daily net assets. CCM has voluntarily reimbursed more expenses than
contractually obliged. This voluntary reimbursement may cease at any time
without prior notice. Reimbursement from the manager for the year ended August
31, 1998, is as follows:
California Tax-Free Money Market Fund ................ $213,549
California Insured Intermediate Fund ................. $ 34,788
U.S. Government Securities Fund ...................... $ 10,318
The United States Treasury Trust ..................... $116,733
S&P 500 Index Fund ................................... $173,969
S&P MidCap Index Fund ................................ $ 80,984
S&PSmallCap IndexFund ................................ $ 43,596
Equity Income Fund ................................... $ 15,526
CCM has retained Bank of America NT&SA to act as Sub-Advisor to the S&P 500
Index Fund, S&P MidCap Index Fund, S&PSmallCap Index Fund and Equity Income
Fund, subject to supervision by CCMand the Trust's Board of Trustees. Under the
Sub-Advisory Agreement, the Sub-Advisor is responsible for the actual management
of each Fund's portfolio. The responsibility for making decisions to buy, sell
or hold a particular security rests with the Sub-Advisor. The Sub-Advisor makes
all the investment decisions and places transactions accordingly. In the case of
the S&P500Index Fund, CCM compensates the Sub-Advisor at an annual rate of 0.10%
on net assets up to $50 million and 0.05% of net assets above $50 million.
CCMcompensates the Sub-Advisor at a rate of 0.15%, 0.10%, and 0.10% of net
assets for the Equity Income Fund, S&PMidCap Index Fund and the S&PSmallCap
Index Fund, respectively.
Certain officers and trustees of the Trust are also partners of CCM.
Note 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the year ended August 31, 1997 were as follows:
Purchases Sales
----------- -----------
California Tax-Free Income Fund ........ $50,696,815 $43,155,181
California Insured Intermediate Fund ... $ 6,081,572 $ 7,205,297
U.S. Government Securities Fund ........ $21,421,391 $23,073,594
S&P 500 Index Fund ..................... $12,213,730 $ 1,436,468
S&P Midcap Index Fund .................. $ 8,685,331 $ 9,380,743
S&PSmallCap IndexFund .................. $ 5,888,064 $ 1,897,162
Equity Income Fund ..................... $ 5,664,562 $ 3,176,611
For the year ended August 31, 1998, 100% of the distributions paid from net
investment income of the California Tax-Free Money Market Fund and the
California Insured Intermediate Fund qualifies as tax-exempt interest dividends
to noncorporate shareholders. For the year ended August 31, 1998 99.9% of the
distributions paid from net investment income of the California Tax-Free Income
Fund qualifies as tax-exempt interest dividends to non-corporate shareholders.
61
<PAGE>
Report of Independent Certified Public Accountants
To the Shareholders and Board of Trustees
California Investment Trust
California Investment Trust II
We have audited the accompanying statements of assets and liabilities of
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund, each a series of shares of beneficial
interest of California Investment Trust, and the U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index
Fund, S&P SmallCap Index Fund and Equity Income Fund, each a series of shares of
beneficial interest of California Investment Trust II, including the portfolios
of investments, as of August 31, 1998, and the related statements of operations
for the year then ended, and the statements of changes in net assets and the
financial highlights for the periods indicated thereon. These financial
statements and financial highlights are the responsibility of the Trusts'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
August 31, 1998, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
California Tax-Free Money Market Fund, California Tax-Free Income Fund,
California Insured Intermediate Fund, the U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund,
S&PSmallCap Index Fund and Equity Income Fund as of August 31, 1998, the results
of their operations for the year then ended, and the changes in their net assets
and the financial highlights for the periods referred to above, in conformity
with generally accepted accounting principles.
Tait, Weller & Baker
Philadelphia, Pennsylvania
October 1, 1998
<PAGE>
THIS PAGE INTENTIONALLY BLANK
<PAGE>
THIS PAGE INTENTIONALLY BLANK
<PAGE>
California Tax-Free Income Fund
California Insured Intermediate Fund
California Tax-Free Money Market Fund
U.S. Government Securities Fund
The United States Treasury Trust
S&P 500 Index Fund
S&P MidCap Index Fund
S&P SmallCap Index Fund
Equity Income Fund
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778206
<NAME> CALIFORNIA INVESTMENT TRUST
<SERIES>
<NUMBER> 01
<NAME> CALIFORNIA TAX FREE INCOME FUND
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 203,263
<INVESTMENTS-AT-VALUE> 223,867
<RECEIVABLES> 3,075
<ASSETS-OTHER> 82
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 227,024
<PAYABLE-FOR-SECURITIES> 1,043
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 474
<TOTAL-LIABILITIES> 1,517
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 203,428
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 100
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 1,376
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 20,604
<NET-ASSETS> 225,507
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 11,091
<OTHER-INCOME> 0
<EXPENSES-NET> 1,326
<NET-INVESTMENT-INCOME> 9,765
<REALIZED-GAINS-CURRENT> 1,369
<APPREC-INCREASE-CURRENT> 7,631
<NET-CHANGE-FROM-OPS> 18,766
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 9,822
<DISTRIBUTIONS-OF-GAINS> 3,103
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 13,773
<NUMBER-OF-SHARES-REDEEMED> 13,929
<SHARES-REINVESTED> 758
<NET-CHANGE-IN-ASSETS> 602
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 218,329
<PER-SHARE-NAV-BEGIN> 12.86
<PER-SHARE-NII> 0.58
<PER-SHARE-GAIN-APPREC> 0.51
<PER-SHARE-DIVIDEND> 0.58
<PER-SHARE-DISTRIBUTIONS> 0.19
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 13.18
<EXPENSE-RATIO> 0.61
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778206
<NAME> CALIFORNIA INVESTMENT TRUST
<SERIES>
<NUMBER> 02
<NAME> CALIFORNIA MONEY MARKET FUND
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1000
<INVESTMENTS-AT-COST> 90,015
<INVESTMENTS-AT-VALUE> 90,015
<RECEIVABLES> 1,536
<ASSETS-OTHER> 35
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 91,586
<PAYABLE-FOR-SECURITIES> 3,100
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 250
<TOTAL-LIABILITIES> 3,350
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 88,265
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> (29)
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 88,236
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 3,438
<OTHER-INCOME> 0
<EXPENSES-NET> 407
<NET-INVESTMENT-INCOME> 3,031
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 3,031
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 3,031
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 278,519
<NUMBER-OF-SHARES-REDEEMED> 285,977
<SHARES-REINVESTED> 2,876
<NET-CHANGE-IN-ASSETS> (4,582)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 101,659
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> 0.030
<PER-SHARE-GAIN-APPREC> 0.000
<PER-SHARE-DIVIDEND> (0.030)
<PER-SHARE-DISTRIBUTIONS> 0.000
<RETURNS-OF-CAPITAL> 0.000
<PER-SHARE-NAV-END> 1.000
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.000
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778206
<NAME> CALIFORNIA INVESTMENT TRUST
<SERIES>
<NUMBER> 03
<NAME> CALIFORNIA INSURED INTERMEDIATE FUND
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 22,230
<INVESTMENTS-AT-VALUE> 23,229
<RECEIVABLES> 335
<ASSETS-OTHER> 46
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 23,610
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 38
<TOTAL-LIABILITIES> 38
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 22,295
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 18
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 260
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 999
<NET-ASSETS> 23,572
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 1,078
<OTHER-INCOME> 0
<EXPENSES-NET> 128
<NET-INVESTMENT-INCOME> 950
<REALIZED-GAINS-CURRENT> 274
<APPREC-INCREASE-CURRENT> 284
<NET-CHANGE-FROM-OPS> 1,508
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 952
<DISTRIBUTIONS-OF-GAINS> 111
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 461
<NUMBER-OF-SHARES-REDEEMED> 646
<SHARES-REINVESTED> 68
<NET-CHANGE-IN-ASSETS> (117)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 23,235
<PER-SHARE-NAV-BEGIN> 10.72
<PER-SHARE-NII> 0.44
<PER-SHARE-GAIN-APPREC> 0.25
<PER-SHARE-DIVIDEND> (0.44)
<PER-SHARE-DISTRIBUTIONS> (0.05)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 10.92
<EXPENSE-RATIO> 0.55
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778205
<NAME> CALIFORNIA INVESTMENT TRUST II
<SERIES>
<NUMBER> 01
<NAME> US GOVERNMENT SECURITIES FUND
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1.00
<INVESTMENTS-AT-COST> 29,665
<INVESTMENTS-AT-VALUE> 32,202
<RECEIVABLES> 3,895
<ASSETS-OTHER> 49
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 36,145
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 82
<TOTAL-LIABILITIES> 82
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 32,984
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 98
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 445
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 2,536
<NET-ASSETS> 36,063
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 2,065
<OTHER-INCOME> 0
<EXPENSES-NET> 218
<NET-INVESTMENT-INCOME> 1,846
<REALIZED-GAINS-CURRENT> 534
<APPREC-INCREASE-CURRENT> 2,531
<NET-CHANGE-FROM-OPS> 4,911
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 1,884
<DISTRIBUTIONS-OF-GAINS> 219
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,569
<NUMBER-OF-SHARES-REDEEMED> 1,525
<SHARES-REINVESTED> 136
<NET-CHANGE-IN-ASSETS> 179
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 33,636
<PER-SHARE-NAV-BEGIN> 10.38
<PER-SHARE-NII> 0.59
<PER-SHARE-GAIN-APPREC> 1.01
<PER-SHARE-DIVIDEND> (0.61)
<PER-SHARE-DISTRIBUTIONS> (0.07)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.30
<EXPENSE-RATIO> 0.65
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0.00
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778205
<NAME> CALIFORNIA INVESTMENT TRUST II
<SERIES>
<NUMBER> 02
<NAME> THE UNITED STATES TREASURY TRUST
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 46,237
<INVESTMENTS-AT-VALUE> 46,237
<RECEIVABLES> 294
<ASSETS-OTHER> 72
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 46,603
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2,262
<TOTAL-LIABILITIES> 2,262
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 44,334
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 7
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 44,341
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 2,474
<OTHER-INCOME> 0
<EXPENSES-NET> 191
<NET-INVESTMENT-INCOME> 2,283
<REALIZED-GAINS-CURRENT> 7
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 2,290
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 2,283
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 141,143
<NUMBER-OF-SHARES-REDEEMED> 203,448
<SHARES-REINVESTED> 2,131
<NET-CHANGE-IN-ASSETS> (60,175)
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 47,684
<PER-SHARE-NAV-BEGIN> 1.00
<PER-SHARE-NII> 0.051
<PER-SHARE-GAIN-APPREC> 0
<PER-SHARE-DIVIDEND> (0.051)
<PER-SHARE-DISTRIBUTIONS> 0
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 1.00
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778205
<NAME> CALIFORNIA INVESTMENT TRUST II
<SERIES>
<NUMBER> 03
<NAME> S&P 500 INDEX FUND
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 63,087
<INVESTMENTS-AT-VALUE> 88,922
<RECEIVABLES> 251
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 89,173
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 1,552
<TOTAL-LIABILITIES> 1,552
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 62,097
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 287
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 1,242
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 23,994
<NET-ASSETS> 87,621
<DIVIDEND-INCOME> 1,231
<INTEREST-INCOME> 440
<OTHER-INCOME> 0
<EXPENSES-NET> 178
<NET-INVESTMENT-INCOME> 1,494
<REALIZED-GAINS-CURRENT> 1,520
<APPREC-INCREASE-CURRENT> 1,788
<NET-CHANGE-FROM-OPS> 4,802
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 1,316
<DISTRIBUTIONS-OF-GAINS> 1,420
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 1,102
<NUMBER-OF-SHARES-REDEEMED> 625
<SHARES-REINVESTED> 119
<NET-CHANGE-IN-ASSETS> 597
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 88,576
<PER-SHARE-NAV-BEGIN> 19.98
<PER-SHARE-NII> 0.36
<PER-SHARE-GAIN-APPREC> 1.28
<PER-SHARE-DIVIDEND> (0.34)
<PER-SHARE-DISTRIBUTIONS> (0.38)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 20.90
<EXPENSE-RATIO> 0.20
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778205
<NAME> CALIFORNIA INVESTMENT TRUST II
<SERIES>
<NUMBER> 04
<NAME> S&P MIDCAP INDEX FUND
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 35,159
<INVESTMENTS-AT-VALUE> 39,425
<RECEIVABLES> 840
<ASSETS-OTHER> 46
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 40,312
<PAYABLE-FOR-SECURITIES> 52
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 405
<TOTAL-LIABILITIES> 457
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 31,716
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 20
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 4,715
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 3,404
<NET-ASSETS> 39,855
<DIVIDEND-INCOME> 552
<INTEREST-INCOME> 262
<OTHER-INCOME> 0
<EXPENSES-NET> 203
<NET-INVESTMENT-INCOME> 611
<REALIZED-GAINS-CURRENT> 5,084
<APPREC-INCREASE-CURRENT> (9,519)
<NET-CHANGE-FROM-OPS> (3,824)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 609
<DISTRIBUTIONS-OF-GAINS> 3,571
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 295
<NUMBER-OF-SHARES-REDEEMED> 409
<SHARES-REINVESTED> 208
<NET-CHANGE-IN-ASSETS> 94
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 50,841
<PER-SHARE-NAV-BEGIN> 18.57
<PER-SHARE-NII> 0.23
<PER-SHARE-GAIN-APPREC> (1.76)
<PER-SHARE-DIVIDEND> (0.23)
<PER-SHARE-DISTRIBUTIONS> (1.40)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 15.41
<EXPENSE-RATIO> 0.40
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778205
<NAME> CALIFORNIA INVESTMENT TRUST II
<SERIES>
<NUMBER> 05
<NAME> S&P EQUITY INCOME FUND
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1
<INVESTMENTS-AT-COST> 11,574
<INVESTMENTS-AT-VALUE> 12,091
<RECEIVABLES> 1,501
<ASSETS-OTHER> 15
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 13,607
<PAYABLE-FOR-SECURITIES> 669
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 858
<TOTAL-LIABILITIES> 1,527
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 12,317
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 35
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 67
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (339)
<NET-ASSETS> 12,080
<DIVIDEND-INCOME> 208
<INTEREST-INCOME> 193
<OTHER-INCOME> 0
<EXPENSES-NET> 90
<NET-INVESTMENT-INCOME> 311
<REALIZED-GAINS-CURRENT> 223
<APPREC-INCREASE-CURRENT> (1,212)
<NET-CHANGE-FROM-OPS> (678)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 306
<DISTRIBUTIONS-OF-GAINS> 304
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 493
<NUMBER-OF-SHARES-REDEEMED> 300
<SHARES-REINVESTED> 44
<NET-CHANGE-IN-ASSETS> 238
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 11,526
<PER-SHARE-NAV-BEGIN> 12.64
<PER-SHARE-NII> 0.37
<PER-SHARE-GAIN-APPREC> (0.25)
<PER-SHARE-DIVIDEND> (0.37)
<PER-SHARE-DISTRIBUTIONS> (0.41)
<RETURNS-OF-CAPITAL> 0.00
<PER-SHARE-NAV-END> 11.98
<EXPENSE-RATIO> 0.78
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
<TABLE> <S> <C>
<ARTICLE> 6
<LEGEND>
THE FOLLOWING FDS HAS BEEN ROUNDED TO THE NEAREST THOUSAND
</LEGEND>
<CIK> 0000778205
<NAME> CALIFORNIA INVESTMENT TRUST II
<SERIES>
<NUMBER> 06
<NAME> S&P SMALLCAP INDEX FUND
<MULTIPLIER> 1,000
<CURRENCY> US DOLLARS
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> AUG-31-1998
<PERIOD-START> SEP-01-1997
<PERIOD-END> AUG-31-1998
<EXCHANGE-RATE> 1.00
<INVESTMENTS-AT-COST> 9,845
<INVESTMENTS-AT-VALUE> 8,017
<RECEIVABLES> 7
<ASSETS-OTHER> 8
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 8,032
<PAYABLE-FOR-SECURITIES> 31
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 85
<TOTAL-LIABILITIES> 116
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 9,746
<SHARES-COMMON-STOCK> 0
<SHARES-COMMON-PRIOR> 0
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 286
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> (2,116)
<NET-ASSETS> 7,916
<DIVIDEND-INCOME> 62
<INTEREST-INCOME> 101
<OTHER-INCOME> 0
<EXPENSES-NET> 64
<NET-INVESTMENT-INCOME> 99
<REALIZED-GAINS-CURRENT> 336
<APPREC-INCREASE-CURRENT> (2,714)
<NET-CHANGE-FROM-OPS> (2,279)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 107
<DISTRIBUTIONS-OF-GAINS> 301
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 562
<NUMBER-OF-SHARES-REDEEMED> 242
<SHARES-REINVESTED> 32
<NET-CHANGE-IN-ASSETS> 352
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 0
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 0
<AVERAGE-NET-ASSETS> 9,764
<PER-SHARE-NAV-BEGIN> 12.25
<PER-SHARE-NII> 0.13
<PER-SHARE-GAIN-APPREC> (2.39)
<PER-SHARE-DIVIDEND> (0.14)
<PER-SHARE-DISTRIBUTIONS> (0.39)
<RETURNS-OF-CAPITAL> 0
<PER-SHARE-NAV-END> 9.46
<EXPENSE-RATIO> 0.65
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
