CALIFORNIA
INVESTMENT TRUST
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44 Montgomery Street #2100
San Francisco, CA 94104
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CALIFORNIA
INVESTMENT TRUST
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FUND GROUP(TM)
SEMI-ANNUAL REPORT
FEBRUARY 28, 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 Fund Group which contains information about the
management fee and other costs. Investments in shares of the funds of California
Investment Trust Fund Group are neither insured nor guaranteed by the U.S.
Government, and there is no assurance that any Fund which is a Money Market Fund
will be able to maintain a stable net asset value of $1.00 per share.
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
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CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 28, 1998
(UNAUDITED)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
VARIABLE RATE DEMAND NOTES** (53.34%)
ANAHEIM PUBLIC IMPROVEMENT CORP.
<S> <C> <C> <C> <C>
$ 2,900,000 Certificates of Participation, 1993 Refunding Project ........... 3.000% 03/04/98 $2,900,000
CALIFORNIA HEALTH FACILITIES FIN. AUTHORITY
4,000,000 Cottage Hospital Santa Barbara 1985 Series A, B, & C ............ 3.000% 03/05/98 4,000,000
3,000,000 Sutter/CHS Series 1996 .......................................... 3.650% 03/05/98 3,000,000
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
3,500,000 So Cal Edison Series 1986A ...................................... 3.900% 03/02/98 3,500,000
2,800,000 Shell Oil Company Series 1991A .................................. 3.550% 03/02/98 2,800,000
3,600,000 Pacific Gas & Electric Series 1996C ............................. 3.550% 03/04/98 3,600,000
CALIFORNIA STATEWIDE COMMUNITIES DEV AUTHORITY
3,200,000 St. Joseph Health System Obligated Group ........................ 3.650% 03/02/98 3,200,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Rev. Certificates of Participation ................ 2.900% 03/05/98 3,000,000
IRVINE RANCH WATER DISTRICT
3,200,000 Consolidated Series, 1995 ....................................... 3.650% 03/04/98 3,200,000
LOS ANGELES MTA
4,400,000 Tax Revenue Refunding Bonds, 1993 Series A ...................... 2.900% 03/05/98 4,400,000
LOS ANGELES COUNTY
2,500,000 Pension Obligation Refunding Bonds .............................. 3.000% 03/04/98 2,500,000
ORANGE COUNTY WATER DISTRICT
3,500,000 Certificates of Participation, 1990 Project B ................... 3.600% 03/02/98 3,500,000
RIVERSIDE REDEVELOPMENT AGENCY
2,800,000 Multi-family Housing Revenue Bonds .............................. 2.950% 03/04/98 2,800,000
SAN BERNARDINO COUNTY
3,600,000 Certificates of Participation ................................... 3.050% 03/04/98 3,600,000
SANTA CLARA, CITY OF
1,000,000 Electric Revenue Series 1985A ................................... 3.050% 03/04/98 1,000,000
1,000,000 Electric Revenue Series 1985C ................................... 3.050% 03/04/98 1,000,000
SOUTH SAN FRANCISCO, CITY OF
600,000 Certificates of Participation ................................... 3.300% 03/05/98 600,000
SOUTHERN CA PUBLIC POWER AUTHORITY
4,500,000 Power Project Revenue Bond, Series C ............................ 3.000% 03/04/98 4,500,000
TUSTIN, CITY OF
1,529,000 Limited Obligation Improvement Bonds ............................ 3.650% 03/02/98 1,529,000
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Total Variable Rate Demand Notes
(cost $54,629,000) ........................................ 54,629,000
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TAX AND REVENUE ANTICIPATION NOTES (19.28%)
1,000,000 CA School Cash Res. Program ..................................... 4.750% 07/02/98 1,002,918
3,000,000 State of CA 1997 Revenue Anticipation Notes ..................... 4.500% 06/30/98 3,007,142
1,000,000 Cambell Union School District ................................... 4.500% 09/15/98 1,003,131
1,500,000 Fremont Unified School District ................................. 4.250% 06/30/98 1,501,670
1,500,000 Hillsborough City School District ............................... 4.500% 07/09/98 1,503,343
1,000,000 Los Angeles Unified School District ............................. 4.500% 07/01/98 1,002,253
1,750,000 Mountain View-Los Altos School District 1997 .................... 4.250% 07/02/98 1,752,383
2,000,000 Sacramento County, CA, General Obligations ...................... 4.500% 09/30/98 2,009,175
1,950,000 San Carlos School District ...................................... 4.250% 06/30/98 1,952,360
</TABLE>
1
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CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(Continued)
February 28, 1998
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
TAX AND REVENUE ANTICIPATION NOTES
<S> <C> <C> <C> <C>
$ 2,000,000 San Jose Unified School District ................................ 4.500% 10/08/98 $2,008,160
1,500,000 San Mateo Union High School District ............................ 4.500% 07/10/98 1,503,239
1,500,000 Santa Rosa School District, 1997 ................................ 4.500% 07/02/98 1,503,503
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Total Tax and Revenue Anticipation Notes
(cost $19,749,277) ........................................ 19,749,277
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COMMERCIAL PAPER (26.85%)
CALIFORNIA EDUCATIONAL FACILITIES
3,000,000 Carnegie Institution............................................. 3.450% 05/05/98 3,000,000
1,000,000 Carnegie Institution ............................................ 3.650% 04/02/98 1,000,000
CALIFORNIA, STATE OF
2,000,000 General Obligation .............................................. 3.300% 03/03/98 2,000,000
EASTBAY MUNICIPAL UTILITY DISTRICT
3,500,000 Water System Series ............................................. 3.500% 03/11/98 3,500,000
LA DEPARTMENT OF WATER & POWER
2,500,000 Wastewater System ............................................... 3.500% 07/08/98 2,500,000
1,000,000 Electric Plant Short-Term Revenue Certificates .................. 3.650% 06/03/98 1,000,000
LOS ANGELES WASTEWATER SYSTEM
3,500,000 Wastewater system revenue ....................................... 3.450% 08/05/98 3,500,000
METROPOLITAN WATER DISTRICT OF SO. CA
2,400,000 Metropolitan Water District of Southern CA ...................... 3.500% 07/08/98 2,400,000
2,500,000 Metropolitan Water District of Southern CA ...................... 3.500% 03/03/98 2,500,000
SACRAMENTO MUNICIPAL UTILITIES DISTRICT
3,100,000 Commercial Paper Notes Series I ................................. 3.450% 03/04/98 3,100,000
SAN DIEGO COUNTY REGIONAL TRANS. AUTH.
3,000,000 Sales Tax Revenue, Series A ..................................... 3.450% 07/15/98 3,000,000
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Total Commercial Paper
(cost $27,500,000) ........................................ 27,500,000
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Total Investments (99.47%)
(cost $101,878,277) (a) ................................... 101,878,277
Other Net Assets (0.53%) 546,489
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Net Assets (100%).......................................... $102,424,766
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</TABLE>
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(a) Aggregate cost for federal income tax purposes is $101,878,277.
* Denotes bond issue refunded prior to maturity and secured by 100% US
Government Direct Obligations.
** Stated maturity reflects next reset date.
See accompanying notes to financial statements
2
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CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
February 28, 1998
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (92.99%)
ARCADE WATER DISTRICT
<S> <C> <C> <C> <C>
$ 3,425,000 Water Revenue Certificates of Participation, 1997 ............... 5.000% 11/01/27 $3,322,250
ASSOCIATION OF BAY AREA GOVERNMENTS
2,500,000 Tax Allocation Revenue Bonds .................................... 6.000% 12/15/15 2,696,875
CALIFORNIA EDUCATIONAL FAC. AUTHORITY
1,000,000 Loyola Marymount University, 1997 ............................... 5.000% 10/01/16 982,500
2,025,000 Forward 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 1,356,112
2,000,000 Revenue Bonds (University of San Francisco) ..................... 6.000% 10/01/16 2,195,000
CA POLLUTION CONTROL AUTHORITY
3,000,000 San Diego Gas & Electric, Series 1996A .......................... 5.900% 06/01/14 3,326,250
CALIFORNIA, STATE OF
5,000,000 General Obligations ............................................. 6.250% 09/01/12 5,793,750
STATE OF CA DEPT. OF WATER RESOURCES
2,320,000 Water System Revenue Bonds, Central Valley J-1 .................. 7.000% 12/01/11 2,862,300
2,835,000 Water System Revenue Bonds, Central Valley J-3 .................. 7.000% 12/01/11 3,497,681
CA STATE PUBLIC WORKS BOARD
4,000,000 Imperial County, Revenue Bonds, 1991 Series A ................... 6.500% 09/01/17 4,715,000
5,000,000 Lease Revenue Refunding Bonds, 1994 Series A .................... 5.500% 06/01/14 5,418,750
CA STATEWIDE COMMUNITIES DEV. AUTHORITY
4,000,000 Certificates of Participation, Cedars Sinai ..................... 6.500% 08/01/12 4,640,000
3,615,000 Children's Hospital of Los Angeles, Series 1993 ................. 6.000% 06/01/09 4,093,988
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 1,608,150
2,000,000 Refunding Revenue Bonds, 1996B .................................. 5.000% 10/01/22 1,955,000
CONTRA COSTA WATER DISTRICT
4,000,000 Water Revenue Bonds, Series E ................................... 6.250% 10/01/12 4,645,000
CULVER CITY REDEVELOPMENT FIN. AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993 .................... 5.500% 11/01/14 3,236,250
EAST BAY MUNICIPAL UTILITY DISTRICT
2,020,000 Water System Subordinated Rev. Refunding, 1996 .................. 5.000% 06/01/15 1,999,800
ELK GROVE UNIFIED SCHOOL DISTRICT
3,000,000 Special Tax Refunding, Series 1995 .............................. 6.500% 12/01/24 3,656,250
FAIRFIELD, CITY OF
2,000,000 Refunding Water Revenue Bonds, 1996 ............................. 5.375% 04/01/17 2,047,500
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 Gen. Obligation Convertible Bonds, 1993 Series C ................ 6.250% 05/01/12 4,770,000
FREMONT UNIFIED SCHOOL DISTRICT
3,000,000 General Obligation Bonds ........................................ 5.250% 09/01/16 3,060,000
FRESNO, CITY OF
4,000,000 Sewer System Revenue Bonds ...................................... 5.250% 09/01/19 4,155,000
KERN HIGH SCHOOL DISTRICT
2,555,000 General Obligation Bonds, 1996 Series A ......................... 6.600% 08/01/16 3,005,318
LA CONVENTION & EXHIBIT CENTER
1,300,000 Certificates of Participation 1985 .............................. 9.000% 12/01/05 1,714,375
560,000 Certificates of Participation, 1985 Series A .................... 9.000% 12/01/05 735,700
4,500,000 Lease Revenue Bonds, 1993 Series A .............................. 6.000% 08/15/10 5,124,375
LA DEPARTMENT OF AIRPORTS, CITY OF
2,500,000 Refunding Revenue Bonds ......................................... 6.500% 05/15/04 2,825,000
LA STATE BUILDING AUTHORITY
3,500,000 Lease Revenue Refunding Bonds ................................... 5.625% 05/01/11 3,749,375
</TABLE>
3
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<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (CONTINUED)
LA UNIFIED SCHOOL DISTRICT
<S> <C> <C> <C> <C>
$ 1,625,000 General Obligation Bonds, Series A .............................. 4.900% 07/01/09 $1,685,937
1,000,000 General Obligation Bonds, 1997, Series A ........................ 6.000% 07/01/14 1,136,250
LA, DEPARTMENT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994 ............................ 8.500% 06/01/04 3,705,000
LA COUNTY TRANSPORTATION COMMISSION
4,540,000 Sales Tax Revenue Refunding Bonds, 1991 Series B ................ 6.500% 07/01/10 5,266,400
M-S-R PUBLIC POWER AGENCY
3,500,000 San Juan Project Refunding Rev Bonds, Ser. F .................... 6.125% 07/01/13 4,016,250
METROPOLITAN WATER DISTRICT OF SO. CA
4,000,000 Water Revenue Bonds 1995 Series A ............................... 5.750% 07/01/15 4,260,000
MODESTO IRRIGATION DIST. FINANCING AUTHORITY
2,000,000 Domestic Water Project .......................................... 5.000% 09/01/16 1,977,500
NORTHERN CA, TRANSMISSION AGENCY OF
1,000,000 CA-Oregon Transmission Project, Series 1990A .................... 7.000% 05/01/13 1,232,500
TRANSMISSION AGENCY OF NORTHERN CA
2,500,000 CA-Oregon Transmission Project .................................. 5.300% 05/01/09 2,687,500
REDEVELOPMENT AGENCY OF OAKLAND
4,000,000 Central District Redevelopment Project Ser. 1992 ................ 5.500% 02/01/14 4,305,000
ORANGE COUNTY LOCAL TRANS. AUTHORITY
3,000,000 Measure M Sales Tax Revenue Bonds ............................... 9.500% 02/15/03 3,705,000
PITTSBURG PUBLIC FINANCING AUTHORITY
3,700,000 Refunding Bonds, Series A ....................................... 5.125% 06/01/15 3,732,375
POMONA UNIFIED SCHOOL DISTRICT
1,175,000 General Obligation Refunding Bonds .............................. 5.700% 08/01/08 1,304,250
PORT HUENEME, CITY OF
2,200,000 Refunding Certificates of Participation, 1992 ................... 6.000% 04/01/12 2,488,750
RANCHO CA WATER DISTRICT FINANCE AUTH.
3,000,000 Revenue Refunding Bonds ......................................... 5.875% 11/01/10 3,277,500
RIVERSIDE, CITY OF
1,500,000 Water Revenue Bond Issue 1991 ................................... 9.000% 10/01/01 1,741,875
RIVERSIDE COUNTY TRANS. AGENCY
2,000,000 General Obligation Refunding Bonds .............................. 5.750% 06/01/09 2,240,000
SACRAMENTO MUNICIPAL UTILITY DISTRICT
4,000,000 Refunding Revenue Bonds Series A ................................ 6.250% 08/15/10 4,670,000
SACRAMENTO COUNTY SANITATION DISTRICT
2,000,000 Revenue Bonds, 1995 ............................................. 5.000% 12/01/15 1,972,500
SADDLEBACK VALLEY SCHOOL DISTRICT
1,575,000 Special Tax Revenue Bonds, 1996 Series A ........................ 6.000% 09/01/16 1,781,719
SAN BERNARDINO, COUNTY OF
3,000,000 Certificates of Participation, Series B ......................... 6.875% 08/01/24 3,806,250
SAN BERNARDINO COUNTY TRANS AUTHORITY
2,000,000 Sales Tax Revenue Bonds ......................................... 5.000% 03/01/09 2,080,000
SAN DIEGO PUBLIC FACILITIES AUTHORITY
1,720,000 Sewer Revenue Bonds ............................................. 5.000% 05/15/20 1,681,300
SAN DIEGO COUNTY WATER AUTHORITY
2,400,000 Water Revenue Refunding Certs. of Participation ................. 5.000% 05/01/17 2,349,000
SAN FRANCISCO AIRPORT COMMISSION
2,000,000 Int'l Airport Second Series Revenue Bonds ....................... 4.700% 05/01/15 1,937,500
SAN FRANCISCO PUB. UTILITY COMMISSION
2,000,000 Water Revenue Bonds ............................................. 5.000% 11/01/15 1,995,000
</TABLE>
4
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<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (CONTINUED)
SAN FRANCISCO BART DISTRICT
<S> <C> <C> <C> <C>
$ 2,950,000 Sales Tax Rev. Refunding Series 1990 ............................ 6.750% 07/01/11 $3,584,250
SAN JOSE REDEVELOPMENT AGENCY
4,000,000 Merged Area Redevelopment Project ............................... 6.000% 08/01/10 4,560,000
S. J.-SANTA CLARA CLEAN WATER FIN. AUTH.
2,650,000 Sewer Revenue Bonds ............................................. 5.375% 11/15/15 2,732,813
SAN MATEO COUNTY REG. TRANS. DISTRICT
5,000,000 Sales Tax Revenue Bonds, 1993 A ................................. 5.250% 06/01/19 5,187,500
REDEVELOPMENT AGENCY OF SANTA CLARA
4,000,000 Bayshore North Project Tax Allocation 1992 ...................... 7.000% 07/01/10 4,905,000
SOUTH COAST AIR QUALITY MGMT. DISTRICT
2,400,000 Installment Sale Revenue Bonds, Series 1992 ..................... 6.000% 08/01/11 2,739,000
SOUTHERN CA PUBLIC POWER AUTHORITY
5,000,000 Multiple Project Revenue Bonds, 1989 ............................ 6.750% 07/01/13 5,912,500
SWEETWATER AUTHORITY
3,240,000 Water Revenue Bonds, Series 1994 ................................ 5.250% 04/01/10 3,454,650
TURLOCK IRRIGATION DISTRICT
2,000,000 Revenue Refunding Bonds, 1996 Series A .......................... 6.250% 01/01/12 2,310,000
UNIVERSITY OF CALIFORNIA, REGENTS OF
3,000,000 UCLA Central Chiller/Cogeneration Facility ...................... 10.000% 11/01/03 3,881,250
2,815,000 Revenue Bonds, Housing System ................................... 5.500% 11/01/09 2,987,420
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Total Long-term Securities
(cost $191,988,639) ....................................... 211,286,913
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VARIABLE RATE DEMAND NOTES** (6.03%)
CALIFORNIA POLLUTION CONTROL AUTHORITY
5,000,000 So. Cal Edison Series, 1986D .................................... 3.900% 03/01/98 5,000,000
IRVINE RANCH WATER DISTRICT
1,800,000 Consolidated Series, 1985C ...................................... 3.650% 03/01/98 1,800,000
NEWPORT BEACH, CITY OF
5,200,000 Hoag Memorial Hospital, 1992 .................................... 3.650% 03/01/98 5,200,000
TUSTIN, CITY OF
1,700,000 Limited Obligation Improvement Bonds ............................ 3.650% 03/01/98 1,700,000
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Total Variable Rate Demand Notes
(costs $13,700,000)........................................ 13,700,000
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Total Investments (99.02%)
(cost $205,688,639) (a) ................................... 224,986,913
Other Net Assets (0.98%)...................................... 2,236,604
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Net Assets (100.00%) ...................................... $227,223,517
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</TABLE>
(a) Aggregate cost for federal income tax purposes is $205,688,639. At February
28,1998, unrealized appreciation (depreciation) of securities for federal income
tax purposes is as follows:
** Stated maturity reflects next reset date.
<TABLE>
<CAPTION>
<S> <C>
Unrealized appreciation ......................................................... $19,377,674
Unrealized depreciation ......................................................... (79,400)
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Net unrealized appreciation .................................................. $19,298,274
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</TABLE>
See accompanying notes to financial statements
5
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<TABLE>
<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
February 28, 1998
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (97.91%)
ANAHEIM, CITY OF
<S> <C> <C> <C> <C>
$ 500,000 Electric Revenue Bonds .......................................... 5.000% 10/01/03 $ 522,500
CABRILLO UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1996 Series A ......................... 4.700% 08/01/03 413,000
CALIFORNIA EDUCATIONAL FACILITES AUTH.
500,000 University of San Diego, Series 1998 ............................ 4.250% 10/01/08 496,250
400,000 University of Santa Clara ....................................... 4.700% 09/01/04 413,500
CALIFORNIA, STATE OF
300,000 General Obligation Bonds ........................................ 5.750% 10/01/05 331,125
STATE PUBLIC WORKS BOARD
600,000 Energy Efficiency Revenue Bonds 1995 Series A ................... 5.250% 10/01/03 634,500
640,000 Refunding Bonds, Dept. of Corrections ........................... 5.250% 12/01/06 687,200
600,000 College and University Housing Revenue .......................... 4.900% 11/01/03 624,000
CONTRA COSTA TRANSPORTATION AUTHORITY
500,000 Sales Tax Revenue Bonds 1995 Series A ........................... 6.000% 03/01/03 542,500
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project ......................... 6.250% 12/01/04 437,000
DESERT SANDS UNIFIED SCHOOL DISTRICT
500,000 Certificates of Participation, Series 1995 ...................... 5.300% 03/01/07 533,750
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% 07/01/05 522,500
ELSINOR VALLEY CA WATER DISTRICT
500,000 Certificates of Participation, Series A ......................... 5.900% 07/01/05 553,750
FREMONT UNIFIED SCHOOL DISTRICT
500,000 General Obligation Bonds ........................................ 4.375% 09/01/03 508,125
FRESNO COUNTY TRANSPORTATION AUTHORITY
250,000 Sales Tax Revenue Bonds, Second Senior Bonds .................... 4.100% 04/01/07 246,563
IMPERIAL COUNTY FACILITIES CORPORATION
600,000 Certificates of Participation ................................... 5.200% 11/01/09 636,000
LA, CITY OF
500,000 General Obligation Bonds, 1994 Series A ......................... 5.600% 09/01/05 545,000
LA DEPARTMENT OF AIRPORTS
400,000 Revenue Refunding Bonds ......................................... 6.500% 05/15/03 445,500
LA UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1997 Series A ......................... 6.000% 07/01/07 452,500
275,000 General Obligation Bonds, 1997 Series A ......................... 6.000% 07/01/08 313,156
LA, CITY OF
500,000 Wastewater System, Series 1994-A ................................ 8.500% 06/01/03 601,875
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% 05/01/07 636,750
OLIVENHAIN MUNICIPAL WATER DISTRICT
500,000 Water Revenue Certificates of Participation ..................... 4.750% 06/01/06 517,500
ORANGE COUNTY LOCAL TRANS. AUTHORITY
500,000 Limited Tax Bonds, 1994 ......................................... 9.500% 02/15/03 617,500
RIVERSIDE COUNTY TRANSPORTATION COMM.
260,000 Sales Tax Revenue Bonds, 1993 Series A .......................... 5.500% 06/01/04 279,825
ROCKLIN UNIFIED SCHOOL DISTRICT
535,000 General Obligation Bonds ........................................ 5.000% 09/01/04 562,419
SACRAMENTO MUNICIPAL WATER DISTRICT
500,000 Electric Revenue Refunding Bonds ................................ 5.100% 11/15/03 525,000
COUNTY OF SACRAMENTO PFA
400,000 Main Detention Facility Certificates of Participation ........... 5.300% 06/01/04 425,000
</TABLE>
6
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<TABLE>
<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1998
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (CONTINUED)
SAN DIEGO COUNTY REG. TRANS COMM.
<S> <C> <C> <C> <C>
$ 400,000 Second Senior Sales Tax Revenue Bonds ........................... 5.000% 04/01/03 $ 416,500
SAN DIEGO COUNTY WATER AUTHORITY
600,000 Water Revenue Refunding COP Series 1993A ........................ 5.500% 05/01/05 646,500
SAN FRANCISCO, CITY & COUNTY
500,000 Hall Improvement Project, Series A .............................. 5.100% 06/15/06 530,000
450,000 School District Facilities Improvement, Series B ................ 6.500% 06/15/05 514,688
SAN FRANCISCO AIRPORT COMMISSION
455,000 Refunding Revenue Bonds ......................................... 5.150% 05/01/03 477,181
SAN JOSE REDEVELOPMENT AGENCY
500,000 Tax Allocation Bonds ............................................ 6.000% 08/01/06 561,875
SAN MATEO JOINT POWERS AUTHORITY
400,000 Refunding Revenue Bonds, 1993 Series A .......................... 5.100% 08/01/03 418,500
SANTA ROSA, CITY OF
400,000 Wastewater Revenue Refunding Bonds, Series A .................... 5.125% 09/01/05 419,000
SARATOGA UNION SCHOOL DISTRICT
600,000 General Obligation Bonds, Series A .............................. 4.900% 09/01/09 620,250
SOUTH COUNTY REGIONAL WASTEWATER
390,000 Revenue Bonds, Gilroy Series 1992A .............................. 5.900% 08/01/06 423,150
SOUTHERN CA PUBLIC POWER AUTHORITY
500,000 Transmission Project Revenue Bonds, Series A .................... 6.000% 07/01/04 551,250
VISALIA, CITY OF
500,000 Wastewater System Revenue Bonds ................................. 5.900% 12/01/05 556,250
WISEBURN SCHOOL DISTRICT
325,000 General Obligation Bonds, 1997 Series A ......................... 6.875% 08/01/05 381,468
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Total Long-term Securities
(cost $20,756,877) ........................................ 21,632,775
-----------
VARIABLE RATE DEMAND NOTES** (0.91%)
NEWPORT BEACH, CITY OF
200,000 Newport Beach Hoag Memorial Hos., Series 1996 . ................. .3.650% 03/01/98 200,000
-----------
Total Variable Rate Demand Notes
(cost $200,000) ........................................... 200,000
-----------
Total Investments (98.82%)
(cost $20,956,877) (a) .................................... 21,832,775
Other Net Assets (1.18%) .................................... 260,641
-----------
Net Assets (100.00%) ...................................... $22,093,416
===========
</TABLE>
- ---------------
** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $20,956,877. At February
28, 1998 unrealized appreciation (depreciation) of securities for federal income
tax purposes is as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized appreciation ......................................................... $ 890,157
Unrealized depreciation ......................................................... (14,259)
-----------
Net unrealized appreciation .................................................. $ 875,898
===========
</TABLE>
See accompanying notes to financial statements
7
<PAGE>
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
February 28, 1998
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (22.18%)
$ 1,865,244 6.500% 03/15/26 $ 1,850,825
912,970 6.500% 01/15/26 905,912
983,765 6.500% 03/15/26 976,160
1,974,141 6.000% 05/15/26 1,920,286
935,619 6.500% 04/15/26 928,386
768,463 6.500% 04/15/26 762,522
406,016 9.000% 10/15/18 435,706
4,471 10.000% 07/15/13 4,834
39,825 10.000% 09/15/18 43,509
20,583 11.250% 07/15/13 22,757
-----------
Total Government National Mortgage Association (cost $7,499,533) 7,850,897
-----------
UNITED STATES TREASURY BONDS (51.29%)
2,250,000 7.250% 08/15/22 2,606,485
2,000,000 7.625% 11/15/22 2,414,376
2,150,000 7.875% 02/15/21 2,646,516
1,900,000 8.000% 11/15/21 2,375,002
700,000 8.125% 08/15/19 878,063
2,000,000 8.125% 05/15/21 2,526,252
1,600,000 8.125% 08/15/21 2,023,001
2,000,000 8.875% 02/15/19 2,682,502
-----------
Total United States Treasury Bonds (cost $17,550,544) .......... 18,152,197
-----------
UNITED STATES TREASURY NOTES (15.72%)
1,700,000 6.125% 08/15/07 1,753,127
2,150,000 6.250% 02/15/07 2,231,971
1,500,000 6.500% 10/15/06 1,578,751
-----------
Total United States Treasury Notes (cost $5,434,891) ........... 5,563,849
-----------
UNITED STATES TREASURY BILLS (1.40%)
100,000 5.190% 06/04/98 98,698
300,000 5.220% - 5.260% 04/23/98 297,689
100,000 5.523% 03/05/98 99,945
-----------
Total United States Treasury Bills (cost $496,331) ............. 496,332
-----------
UNITED STATES TREASURY STRIPS (8.97%)
4,000,000 0.00% 05/15/08 2,216,476
1,700,000 0.00% 02/15/08 957,346
-----------
Total United States Treasury Strips (cost $3,078,287) .......... 3,173,822
-----------
Total Investments (cost $34,059,587) (a) (99.56%) .............. 35,237,097
Other Net Assets (0.44%)........................................ 153,008
-----------
Net Assets (100%)............................................ $35,390,105
===========
- ---------------
(a) Aggregate cost for federal income tax purposes is $34,059,587. At February
28, 1998, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ..................................... $ 1,186,449
Unrealized depreciation ..................................... (8,939)
-----------
Net unrealized appreciation............................... $ 1,177,510
===========
See accompanying notes to financial statements
8
<PAGE>
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
February 28, 1998
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
UNITED STATES TREASURY BILLS (100.11%)
$ 500,000 5.523% 03/05/98 $ 499,713
2,800,000 4.910% 03/26/98 2,790,453
3,600,000 5.850% 04/02/98 3,584,107
5,000,000 5.160% 04/16/98 4,967,001
5,900,000 5.220% - 5.290% 04/23/98 5,854,370
4,400,000 5.780% 04/30/98 4,362,160
4,000,000 5.650% 05/28/98 3,948,813
3,300,000 5.070% 05/14/98 3,265,609
4,900,000 5.190% 06/04/98 4,836,188
3,800,000 5.220% 07/23/98 3,720,656
-----------
Total Investments (cost $37,829,070) (a)(100.11%) .............. 37,829,070
Liabilities in Excess of Other Assets (-0.11%) ................. (42,931)
-----------
Net Assets (100.00%) ........................................ $37,786,139
===========
- ---------------
(a) Cost for federal income tax purposes is $37,829,070.
See accompanying notes to financial statements
9
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
February 28, 1998
(unaudited)
Shares Value
------ -----
COMMON STOCK (92.01%)
CAPITAL GOODS (5.17%)
PRODUCTION (1.01%)
250 Briggs & Stratton .......................... $ 11,078
3,820 Caterpillar Inc. ........................... 208,668
350 Cincinnati Milacron Inc. ................... 10,806
1,230 Cooper Industries .......................... 69,034
2,570 Deere & Co. ................................ 144,241
2,200 Dover Co. .................................. 84,975
300 FMC Corp.* ................................. 21,713
350 Foster Wheeler Corp. ....................... 9,363
2,490 Illinois Tool Works ........................ 149,244
1,425 Ingersol Rand Co. .......................... 67,866
1,000 Pall Corp. ................................. 20,938
960 Hannifin ................................... 44,760
780 Raychem .................................... 33,881
540 Timken Co. ................................. 17,415
-----------
893,982
-----------
MACHINERY (AGRICULTURE & CONSTRUCTION) (0.05%)
630 Case Equipment ............................. 40,989
-----------
MACHINERY (INDUSTRIAL) (0.08%)
410 Harnischfeger .............................. 14,504
1,467 Thermo Electron Corp. ...................... 60,147
-----------
74,651
-----------
POLLUTION CONTROL (0.20%)
2,150 Browning Ferris ............................ 71,622
4,270 Waste Management Inc. ...................... 106,750
-----------
178,372
-----------
ELECTRICAL EQUIPMENT (3.42%)
2,218 AMP Inc. ................................... 98,008
4,430 Emerson Electric Co. ....................... 282,689
33,475 General Electric ........................... 2,602,681
560 Grainger WW Inc. ........................... 54,215
-----------
3,037,593
-----------
TRANSPORTATION EQUIPMENT (0.02%)
340 Cummins Engine ............................. 19,678
-----------
CONGLOMERATE (0.39%)
1,750 Tenneco, Inc. .............................. 71,969
5,328 Tyco international, LTD .................... 270,396
-----------
342,365
-----------
Total Capital Goods ..................... 4,587,630
-----------
CONSUMER CYCLICAL (7.19%)
HOUSING (0.13%)
2,193 Costco Companies Inc.* ..................... 107,183
340 Kaufman & Broad Corp. ...................... 8,798
-----------
115,981
-----------
BUILDING MATERIAL (0.05%)
720 Johnson Controls ........................... 40,005
-----------
AUTO & TRUCK (2.04%)
250 Aeroquip-Vickers, Inc. ..................... 14,516
6,840 Chrysler ................................... 266,332
880 Dana ....................................... 48,015
790 Eaton Corp. ................................ 75,889
500 Echlin Corp. ............................... 25,281
11,940 Ford Motor Co. ............................. 675,356
7,350 General Motors Corp. ....................... 506,691
1,575 Genuine Parts Co. .......................... 58,275
1,020 ITT Industries ............................. 34,935
670 Paccar Inc. ................................ 42,419
1,120 TRW Inc. ................................... 61,390
-----------
1,809,099
-----------
AUTO PART (0.04%)
1,200 Autozone, Inc.* ............................ 36,300
-----------
TIRE & RUBBER (0.18%)
730 Cooper Tire and Rubber Co. ................. 16,836
710 Goodrich, B.F. Co. ......................... 35,189
1,520 Goodyear Tire & Rubber ..................... 105,070
-----------
157,095
-----------
APPLIANCE (0.22%)
360 Armstrong World Ind ........................ 28,260
1,180 Black and Decker ........................... 59,443
880 Maytag Corp. ............................... 39,600
530 Snap-On Inc. ............................... 22,525
650 Whirlpool Corp. ............................ 43,428
-----------
193,256
-----------
HOUSEHOLD PRODUCTS (0.10%)
1,804 Federated Dept. Stores* .................... 84,563
-----------
TEXTILE & APPAREL (0.42%)
1,706 CVS Corp. .................................. 126,351
640 Liz Claiborne Inc. ......................... 32,000
2,930 Nike Class B ............................... 128,554
500 Reebok International Ltd. .................. 15,594
330 Russell Co. ................................ 8,951
180 Spring Industries .......................... 10,069
1,100 VF Corp. ................................... 52,456
-----------
373,975
-----------
RETAIL-GENERAL (3.99%)
650 American Greetings Corp. ................... 29,656
2,940 American Stores Co. ........................ 74,051
800 Charming Stores Inc. ....................... 3,575
850 Circuit City Stores ........................ 32,831
1,128 Consolidated Stores Corp.* ................. 46,389
2,220 Dayton Hudson Corp. ........................ 171,634
990 Dillard Dept. Stores Class A ............... 35,269
4,215 Gap Inc. ................................... 188,358
520 Giant Foods ................................ 18,883
330 Great Atlantic & Pacific ................... 10,044
7,344 Home Depot ................................. 468,639
340 Jostens .................................... 7,990
2,540 Kroger* .................................... 107,315
1,500 Lowes Cos .................................. 87,656
2,170 May Dept. Stores ........................... 131,828
300 Mercantile Stores Co. ...................... 19,744
710 Nordstrom Inc. ............................. 40,714
2,520 Penney, JC Co. ............................. 178,132
540 Pep Boys-Manny, Mo, Jack ................... 13,838
2,120 Rite Aid Corp. ............................. 68,635
10
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
RETAIL-GENERAL (CONTINUED)
3,970 Sears Robuck & Co. ......................... 210,658
590 Supervalu Inc. ............................. 28,099
1,040 Tandy Corp. ................................ 46,280
2,355 The Limited Ltd. ........................... 68,295
1,260 TJX Cos, Inc. .............................. 48,668
2,830 Toys R Us, Inc.* ........................... 74,288
22,790 Wal-Mart Stores Inc. ....................... 1,055,462
4,980 Walgreen Co. ............................... 182,704
1,320 Winn-Dixie Stores Inc. ..................... 71,198
1,160 Woolworth Corp.* ........................... 27,550
-----------
3,548,383
-----------
LODGING (0.04%)
1,460 Mirage Resorts Inc.* ....................... 33,398
-----------
Total Consumer Cyclical .................... 6,392,055
-----------
CONSUMER NON-DURABLE (26.39%)
HEALTH CARE (0.63%)
490 Bausch & Lomb Inc. ......................... 21,958
1,000 Biomet Inc. ................................ 29,813
2,250 Corning Corp. .............................. 91,406
550 Manor Care ................................. 20,659
2,710 Warner-Lambert Co. ......................... 396,338
-----------
560,174
-----------
CONSUMER PRODUCT (0.19%)
1,480 Cognizant Corp. ............................ 73,908
1,680 Newell Co. ................................. 77,070
540 Tupperware Corp. ........................... 14,513
-----------
165,491
-----------
FOOD, BEVERAGE & TOBACCO (6.33%)
5,674 Archer-Daniels-MidLand Co. ................. 127,310
1,440 Bestfoods .................................. 151,740
4,620 Campbell Soup .............................. 268,249
24,585 Coca-Cola .................................. 1,688,682
4,760 Conagra Inc. ............................... 142,800
1,370 Darden Restaurants ......................... 18,495
1,810 Fortune Brands, Inc. ....................... 71,834
1,640 General Mills .............................. 117,978
3,680 H J Heinz Co. .............................. 207,230
1,340 Hershey Foods .............................. 89,361
4,160 Kellogg Co. ................................ 177,320
1,160 Loews Corp. ................................ 116,363
15,450 Pepsico Inc. ............................... 564,891
24,470 Philip Morris Co., Inc. .................... 1,062,916
820 Pioneer Hi-Bred Int ........................ 85,075
1,440 Quaker Oats ................................ 77,580
1,090 Ralston-Ralston Purina Grp ................. 110,567
4,890 Sara Lee Corp. ............................. 276,285
1,580 Sysco Corp. ................................ 74,359
1,545 Tricon Global Restaurants* ................. 43,839
1,630 UST Inc. ................................... 57,763
1,190 Wrigley Wm Jr. Co. ......................... 90,886
-----------
5,621,523
-----------
RETAIL-FOOD & DRUGS (0.22%)
2,570 Albertson's Inc. ........................... 120,308
5,010 K Mart ..................................... 67,009
340 Longs Drug Stores .......................... 10,774
-----------
198,091
-----------
COMMUNICATIONS & MEDIA (1.79%)
780 Andrew Corp.* .............................. 21,548
6,980 CBS Inc. ................................... 215,944
800 Clear Channel Comm.* ....................... 72,500
2,686 Comcast Corp CLA Spec ...................... 94,010
400 Comcast Corp CLA ........................... 13,925
840 Dow Jones & Co. ............................ 43,155
2,840 Gannett Co., Inc. .......................... 183,358
630 Harcourt General Inc. ...................... 34,020
1,265 Interpublic Group Cos. Inc. ................ 68,943
830 Knight Ridder Inc. ......................... 46,688
850 New York Times Class A ..................... 55,622
1,600 Omnicom Group .............................. 73,200
5,120 TeleCommunications Inc. A* ................. 148,800
5,582 Time Warner Inc. ........................... 376,785
900 Times Mirror Co. A-New ..................... 55,406
1,300 Tribune Co. ................................ 83,931
-----------
1,587,835
-----------
ENTERTAINMENT & LEISURE (0.89%)
850 Brunswick Corp. ............................ 26,988
1,125 Hasbro, Inc. ............................... 40,852
660 King World Productions, Inc.* .............. 17,614
2,982 Mattel CS .................................. 126,176
7,010 McDonalds Corp. ............................ 383,798
64 Viacom Inc. Cl A* .......................... 3,024
3,554 Viacom Inc. Cl B* .......................... 170,592
1,120 Wendys International ....................... 24,290
-----------
793,334
-----------
APPAREL (0.02%)
660 Fruit of the Loom* ......................... 21,203
-----------
DRUGS (9.33%)
7,720 Abbott Labs ................................ 577,553
570 Allergan ................................... 19,950
730 Alza Corp. Class A* ........................ 27,284
6,460 Amer Home Products Corp. ................... 605,625
490 Bard C.R. Inc. ............................. 17,089
2,790 Baxter International, Inc. ................. 157,984
1,260 Becton Dickinson Co. ....................... 80,168
10,060 Bristol-Meyer/Squibb ....................... 1,007,886
1,440 Guidant Corp. .............................. 105,030
1,410 Humana Inc.* ............................... 35,867
13,450 Johnson & Johnson .......................... 1,015,475
11,140 Lilly, Eli & Co. ........................... 733,151
4,820 Medtronic Inc. ............................. 256,063
12,350 Merck & Co. ................................ 1,575,397
13,040 Pfizer, Inc. ............................... 1,154,040
5,150 Pharmacia & Upjohn, Inc. ................... 203,747
7,380 Schering Plough Corp. ...................... 561,341
1,170 St. Jude Medical ........................... 42,705
3,017 Tenet Healthcare Corp.* .................... 112,572
-----------
8,288,927
-----------
HOSPITAL SUPPLY & SERVICE (0.03%)
840 US Surgical Corp. .......................... 25,725
-----------
COSMETIC & SOAP (2.53%)
480 Alberto-Culver Co. Cl B .................... 14,610
1,330 Avon Products, Inc. ........................ 93,682
1,080 Clorox ..................................... 94,770
2,960 Colgate Palmolive Co. ...................... 240,315
11
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
COSMETIC & SOAP (CONTINUED)
5,630 Gillette Co. ............................... $ 607,336
960 Int'l Flavors & Fragrance .................. 44,160
13,600 Proctor & Gamble ........................... 1,155,150
-----------
2,250,023
-----------
LIQUOR (0.54%)
5,060 Anheuser-Busch Cos., Inc. .................. 237,188
600 Brown Foreman Cl. B ........................ 33,300
2,180 Coors (Adolph) ............................. 68,125
3,680 Seagrams LTD ............................... 139,840
-----------
478,453
-----------
TRAVEL & RECREATION (1.43%)
8,120 Cendant Corp.* ............................. 304,500
300 Fleetwood Enterprises ...................... 14,063
890 Harrahs Entertainment, Inc.* ............... 18,746
2,490 Hilton Hotels Corp. ........................ 74,233
1,290 Marriot Intl ............................... 97,718
6,764 Walt Disney Co. ............................ 757,145
-----------
1,266,405
-----------
PRINTING & PUBLISHING (0.17%)
1,330 Donnelley, RR & Sons ....................... 52,701
1,030 McGraw Hill Cos., Inc. ..................... 77,894
400 Meredith Corporation ....................... 17,175
-----------
147,770
-----------
BUSINESS SERVICE (1.55%)
400 Autodesk Inc. .............................. 18,950
2,950 Automatic Data Proc., Inc. ................. 180,134
590 Ceridian Corporation.* ..................... 27,472
9,990 Cisco Systems Inc.* ........................ 658,091
5,490 Computer Associates ........................ 258,716
650 Computer Sciences* ......................... 68,047
860 Deluxe Corp. ............................... 29,294
1,480 Dunn & Bradstreet .......................... 49,580
900 H&R Block .................................. 42,356
270 Harland, John H Co. ........................ 4,101
870 Moore Corp. ................................ 13,648
410 National Service Inds ...................... 22,729
-----------
1,373,118
-----------
OFFICE PRODUCTS (0.06%)
1,140 Avery Dennisson Co. ........................ 57,570
-----------
HEALTH CARE SERVICE (0.69%)
1,967 Boston Scientific* ......................... 117,528
1,140 Cardinal Health, Inc. ...................... 93,338
6,710 Columbia/HCA Hthcare Corp. ................. 182,009
3,909 Healthsouth Corp.* ......................... 105,543
1,910 United Healthcare Corp. .................... 115,913
-----------
614,331
-----------
Total Consumer Non-Durable ................. 23,449,973
-----------
BANKING & FINANCIAL SERVICE (15.90%)
BANK & BANK HOLDINGCOS. (7.79%)
6,436 Banc One Corp. ............................. 363,634
3,950 Bank of New York ........................... 231,322
6,895 BankAmerica ................................ 534,363
1,500 BankBoston Corp. ........................... 149,531
975 Bankers Trust New York ..................... 115,294
1,400 BB&T Corp. ................................. 86,888
4,358 Chase Manhattan Corp. ...................... 540,664
4,652 Citicorp ................................... 616,390
1,000 Comerica ................................... 100,813
1,930 Corestates Financial ....................... 162,964
1,630 Fifth Third Bancorp ........................ 128,770
3,098 First Chicago NBD Corp. .................... 254,617
6,240 First Union Corp. .......................... 328,770
2,655 Fleet Financial Group, Inc. ................ 209,247
2,013 Huntington Bancshares ...................... 72,216
2,550 Mellon Bank ................................ 158,897
1,331 Mercantile Bancorporation .................. 74,037
1,830 Morgan, J.P. & Co., Inc. ................... 218,685
9,343 Nations Bank Corp. ......................... 639,996
1,100 Northern Trust ............................. 83,669
7,520 Norwest Corp. .............................. 307,850
3,230 PNC Financial Corp. ........................ 179,265
480 Republic New York Corp. .................... 58,080
1,700 State Street Corp. ......................... 105,081
1,700 Summit Bancorp ............................. 84,469
2,270 Sun Trust Banks, Inc. ...................... 167,413
1,800 Synovus Financial Corp. .................... 63,225
2,456 U.S. Bancorp ............................... 282,593
1,869 Wachovia Corp. ............................. 148,586
2,501 Washington Mutual .......................... 167,880
903 Wells Fargo & Co. .......................... 290,766
-----------
6,925,975
-----------
SAVINGS & LOAN (0.42%)
7,030 Freddie Mac ................................ 332,168
500 Golden West Financial ...................... 44,625
-----------
376,793
-----------
FINANCE COMPANY (1.98%)
940 Ahmanson, H F & Co. ........................ 58,691
4,770 American Express Co. ....................... 429,598
470 Beneficial Corp. ........................... 55,460
1,080 Household International .................... 140,265
1,100 Lehman Brothers Holding .................... 69,369
3,340 Merrill Lynch .............................. 239,019
2,210 National City Corp. ........................ 144,203
11,191 Travelers Group, Inc. ...................... 623,898
-----------
1,760,503
-----------
INSURANCE (3.87%)
1,504 Aetna Life & Cas. Co. ...................... 131,412
4,427 Allstate Corp. ............................. 412,818
2,402 American General Corp. ..................... 139,616
7,092 American Intl. Group ....................... 852,370
1,670 AON Corporation ............................ 99,887
1,800 Chubb Group ................................ 143,662
740 Cigna Corp C ............................... 141,340
500 Cincinnati Financial Corp. ................. 67,500
800 General RE Corp. ........................... 170,400
1,140 Hartford Financial Services ................ 112,005
620 Jefferson Pilot ............................ 52,003
2,223 Keycorp New ................................ 155,749
910 Lincoln National Corp. ..................... 76,213
1,700 Marsh & McClennan Co. ...................... 147,369
940 MBIA, Inc. ................................. 68,796
1,220 MGIC Investment ............................ 89,899
720 Progressive Corp. .......................... 83,430
810 Providian Corp. ............................ 45,968
1,400 Safeco Corp. ............................... 73,413
730 St. Paul Companies ......................... 64,696
12
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
INSURANCE (CONTINUED)
2,100 Sunamerica ................................. $ 95,156
1,240 Torchmark Corp. ............................ 57,738
570 TransAmerica Corp. ......................... 66,369
1,280 Unum Corp. ................................. 65,840
1,020 USF&G ...................................... 24,926
-----------
3,438,575
-----------
REAL ESTATE (0.06%)
937 Starwood Hotels & Resorts .................. 52,976
-----------
FINANCIAL SERVICES (1.77%)
2,700 Charles Schwab Corp. ....................... 101,925
1,900 Conseco, Inc. .............................. 89,181
870 Countrywide Credit Ind Inc. ................ 38,661
1,200 Equifax .................................... 43,125
10,690 Fannie Mae ................................. 682,156
1,410 Green Tree Financial Corp. ................. 32,342
4,983 MBNA Corporation ........................... 178,454
5,828 Morgan Stanley Group ....................... 406,139
-----------
1,571,983
-----------
Total Banking & Financial Services ......... 14,126,805
-----------
UTILITY (8.67%)
ELECTRIC(0.83%)
1,380 Ameren Corp.* .............................. 53,044
1,374 Cinergy Corp. .............................. 47,832
2,040 Consolidated Edison ........................ 86,700
3,628 Duke Power ................................. 201,581
3,810 Edison International ....................... 105,251
1,375 GPU, Inc. .................................. 55,258
3,080 Pacificorp ................................. 74,498
300 Peoples Energy Corp. ....................... 10,838
2,465 Texas Utilities ............................ 99,678
-----------
734,680
-----------
TELEPHONE(6.25%)
1,650 Alltell Corp. .............................. 75,384
16,320 AT&T ....................................... 993,480
11,080 Ameritech Corp. ............................ 461,898
7,816 Bell Atlantic .............................. 701,486
9,990 Bell South Corp. ........................... 609,390
1,010 DSCComm. Corp.* ............................ 19,821
1,370 Frontier Corp. ............................. 37,932
9,550 GTE Corp. .................................. 516,894
6,980 MCI Communications ......................... 333,731
9,150 SBC Communications ......................... 691,969
4,330 Sprint Corporation Com ..................... 285,780
4,780 US West, Inc. .............................. 248,859
6,056 US West Media Group, Inc.* ................. 194,927
10,062 Worldcom, Inc.* ............................ 384,243
-----------
5,555,794
-----------
ENERGY (1.59%)
1,960 American Elect. Pwr. Co. ................... 94,080
1,280 Baltimore Gas & Electric ................... 40,400
1,310 Carolina Power & Light ..................... 54,693
1,830 Central & S/W Corp. ........................ 49,067
1,120 Coastal Corp. .............................. 71,260
820 Consolidated Natural Gas ................... 47,150
1,550 Dominion Resources ......................... 61,806
1,310 DTE Energy Co. ............................. 48,143
1,980 Entergy Corp. New .......................... 57,296
2,920 First Entergy Corp.* ....................... 84,497
1,860 FPL Group, Inc. ............................ 107,996
3,392 Houston Industries ......................... 87,768
1,360 Niagara Mohawk Power ....................... 17,425
430 Nicor ...................................... 17,684
920 Northern States Power ...................... 50,543
740 Pacific Enterprises ........................ 26,871
1,930 PECO Energy Co. ............................ 38,118
4,290 PG&E Corp. ................................. 129,504
2,120 Public Services Enterprises ................ 68,370
750 Sonat Inc. ................................. 32,344
6,720 Southern Co. ............................... 165,900
1,870 Unicom Corp. ............................... 59,957
-----------
1,410,872
-----------
Total Utilities ............................ 7,701,346
-----------
SERVICE (0.23%)
DISTRIBUTOR (0.04%)
1,130 IKON Office Solution ....................... 36,937
-----------
CONSUMER (0.11%)
2,500 Service Corp. International ................ 94,688
-----------
ENVIRONMENTAL SERVICES (0.04%)
2,720 Laidlaw .................................... 39,950
-----------
MISCELLANEOUS (0.04%)
1,400 PP&L Resources, Inc. ....................... 31,325
-----------
Total Service .............................. 202,900
-----------
TRANSPORTATION (1.08%)
AIR TRANSPORTATION (0.43%)
890 AMR Corp.* ................................. 112,641
770 Delta Airlines ............................. 87,058
1,320 Federal Express* ........................... 84,068
1,890 Southwest Airlines Co. ..................... 54,219
690 USAir Group, Inc.* ......................... 43,686
-----------
381,672
-----------
RAILROAD (0.60%)
1,545 Burlington No./Santa Fe .................... 153,921
2,230 CSX Corp. .................................. 124,741
3,750 Norfolk Southern Co. ....................... 129,141
2,510 Union Pacific Corp. ........................ 128,010
-----------
535,813
-----------
TRUCKING (0.05%)
570 Navistar Intl.* ............................ 17,314
710 Ryder System ............................... 26,048
-----------
43,362
-----------
Total Transportation ....................... 960,847
-----------
MANUFACTURING (6.96%)
CONSUMER DURABLE (0.31%)
680 Eastman Chemical Co. ....................... 44,540
3,260 Eastman Kodak .............................. 213,938
400 Polaroid Corp. ............................. 18,325
-----------
276,803
-----------
13
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
BUILDING & HOUSING (0.23%)
250 Centex Corp. ............................... $ 18,266
310 Crane Co. .................................. 15,190
730 Fluor Corp. ................................ 34,356
1,400 Masco Co. .................................. 76,125
450 Owens Corning .............................. 13,894
210 Pulte Corp. ................................ 9,555
770 Stanley Works .............................. 36,816
-----------
204,202
-----------
CHEMICAL (2.38%)
1,130 Air Products & Chem. Inc. .................. 94,849
2,350 Dow Chemical ............................... 215,025
11,340 Dupont De Nemours & Co. .................... 695,284
1,120 Ecolab, Inc. ............................... 32,270
770 Grace WR & Co. ............................. 64,632
550 Great Lakes Chemical ....................... 26,744
930 Hercules ................................... 44,931
870 Millipore Corp. ............................ 32,897
5,890 Monsanto Co. ............................... 299,654
1,320 Morton Intl. Co. ........................... 43,643
580 Nalco Chemical ............................. 23,345
1,780 PPG Industries ............................. 115,366
1,350 Praxair, Inc. .............................. 64,547
640 Rohm & Haas Co. ............................ 65,240
1,300 Rubbermaid Inc. ............................ 37,700
510 Safety Kleen ............................... 13,674
1,500 Sherwin Williams ........................... 50,156
860 Sigma-Aldrich Corp. ........................ 33,970
1,130 Union Carbide Corp. ........................ 52,474
3,264 Williams Cos ............................... 106,692
-----------
2,113,093
-----------
DIVERSIFIED (0.47%)
6,480 Unilever (NY Shares) ....................... 416,745
-----------
PAPER & FOREST PRODUCTS (1.07%)
420 Boise Cascade .............................. 13,991
830 Champion Intl .............................. 42,382
1,930 Fort James Corp. ........................... 87,574
950 Georgia Pacific Co. ........................ 55,753
3,079 International Paper ........................ 143,558
5,612 Kimberly Clark ............................. 312,518
940 Louisiana-Pacific Co. ...................... 20,621
900 Mead Corp. ................................. 30,769
250 Potlatch Corp. ............................. 10,828
480 Temple Inland .............................. 28,620
600 Union Camp Co. ............................. 35,850
880 Westvaco Corp. ............................. 28,600
2,030 Weyerhaeuser Co. ........................... 101,373
960 Willamette Inds ............................ 35,460
-----------
947,897
-----------
METAL & MINERAL (0.29%)
1,982 Allegheny Teledyne, Inc. ................... 53,762
800 Armco Inc.* ................................ 4,250
960 Bethlehem Steel ............................ 10,200
420 Inland Steel Inds .......................... 8,663
760 Nucor Corp. ................................ 39,140
2,990 USX-Marathon ............................... 103,342
730 USX-US Steel ............................... 25,641
790 Worthington Inds., Inc. .................... 13,529
-----------
258,527
-----------
CONTAINER (0.17%)
260 Ball Corp. ................................. 8,483
460 Bemis Co. .................................. 20,729
1,110 Crown Cork & Seal .......................... 59,940
1,250 Owens-Illinois, Inc.* ...................... 47,969
860 Stone Container Corp. ...................... 9,675
-----------
146,796
-----------
COMPUTER (0.85%)
550 Data General* .............................. 11,344
3,404 Dell Computer* ............................. 476,135
4,840 EMC Corp.* ................................. 185,130
2,400 Seagate Technology* ........................ 58,350
1,502 Silicon Graphics, Inc.* .................... 22,624
-----------
753,583
-----------
NON FERROUS METAL (0.41%)
1,960 Alcan Aluminum Ltd. ........................ 60,883
1,730 Aluminum Co. of Amer ....................... 126,939
370 Asarco, Inc. ............................... 8,186
1,250 Englehard Corp. ............................ 22,656
1,465 Inco Ltd. .................................. 25,912
1,409 Newmont Mining Co. ......................... 40,773
570 Phelps Dodge ............................... 36,195
640 Reynolds Metals ............................ 39,880
-----------
361,424
-----------
GOLD AND PRECIOUS METAL (0.19%)
3,883 Barrick Gold Corp. ......................... 74,990
1,950 Battle Mountain Gold Co. ................... 11,700
810 Cypress Amax Mineral Co. ................... 13,264
2,070 Freeport McMoran Cop. - B .................. 31,179
1,270 Homestake Mining Co. ....................... 12,700
2,080 Placer Dome, Inc. .......................... 26,780
-----------
170,613
-----------
MISCELLANEOUS (0.61%)
4,180 3M Co. ..................................... 356,606
3,680 Applied Materials, Inc.* ................... 135,470
870 Mallinckrodt Group, Inc. ................... 33,767
100 Nacco Industries Class A ................... 13,006
-----------
538,849
-----------
Total Manufacturing ........................ 6,188,532
-----------
TECHNOLOGY (13.11%)
OFFICE EQUIPMENT (0.04%)
3,070 Novell* .................................... 32,283
-----------
ELECTRONIC (3.63%)
410 EG&G ....................................... 11,044
430 General Signal Co. ......................... 17,469
680 Harris Corp. ............................... 34,468
10,238 Hewlett-Packard Co. ........................ 685,946
16,460 Intel Corp. ................................ 1,476,256
900 KLA-Tencor Corp.* .......................... 41,541
5,950 Motorola, Inc. ............................. 331,713
1,600 National Semiconductor* .................... 38,200
5,160 Northern Telecom ........................... 275,093
380 Perkin-Elmer Corp. ......................... 27,811
675 Tektronix, Inc. ............................ 30,122
3,880 Texas Instruments .......................... 224,555
600 Thomas & Betts Co. ......................... 34,013
-----------
3,228,231
-----------
BIO-TECHNOLOGY (0.16%)
2,660 Amgen* ..................................... 141,313
-----------
14
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
SOFTWARE (2.60%)
606 Adobe Systems Inc. ......................... $ 26,778
2,118 Bay Networks* .............................. 71,747
1,800 HBO & Co. .................................. 97,425
24,140 Microsoft Corp.* ........................... 2,045,865
1,200 Parametric Tech Co.* ....................... 72,675
-----------
2,314,490
-----------
BUSINESS-MACHINES & SOFTWARE (2.99%)
1,080 Apple Computer, Inc. ....................... 25,515
14,970 Compaq Computers ........................... 479,976
1,580 Digital Equipment* ......................... 89,961
1,190 General Instrument Corp.* .................. 19,858
1,100 Honeywell .................................. 87,175
10,325 IBM ........................................ 1,078,317
9,900 Oracle Systems* ............................ 243,787
2,960 Pitney Bowes Systems ....................... 138,750
3,670 Sun Microsystems* .......................... 174,784
1,510 Unisys Corp.* .............................. 26,991
3,270 Xerox Corp. ................................ 290,008
-----------
2,655,122
-----------
BUSINESS SERVICE (0.19%)
4,504 First Data ................................. 153,136
200 Shared Medical Systems ..................... 15,288
-----------
168,424
-----------
SEMI CONDUCTOR (0.14%)
1,170 Advanced Micro Devices* .................... 27,422
1,320 LSI Logic Corp.* ........................... 31,268
2,090 Micron Technology, Inc. .................... 69,362
-----------
128,052
-----------
TELECOMMUNICATIONS (1.20%)
5,070 Airtouch Communications* ................... 227,833
1,320 Cabletron Systems* ......................... 20,460
6,415 Lucent Technologies ........................ 695,226
670 Scientific-Atlanta Inc. .................... 11,725
1,840 Tellabs, Inc.* ............................. 111,090
-----------
1,066,334
-----------
AEROSPACE AIRCRAFT (1.55%)
5,700 Allied Signal, Inc. ........................ 242,606
9,933 Boeing ..................................... 538,865
550 General Dynamics Corp. ..................... 47,713
600 Northrop Gruman Corp. ...................... 83,400
2,120 Rockwell Intl. Corp. ....................... 128,260
1,680 Textron, Inc. .............................. 125,895
2,370 United Technologies Corp. .................. 211,671
-----------
1,378,410
-----------
TELECOM EQUIPMENT (0.47%)
1,916 Lockheed Martin Corp. ...................... 223,573
468 Raytheon-Class A ........................... 27,144
2,900 Raytheon-Class B ........................... 170,556
-----------
421,273
-----------
MISCELLANEOUS (0.13%)
3,330 3 Com Corporation* ......................... 119,048
-----------
Total Technology ........................... 11,652,980
-----------
ENERGY (7.31%)
OIL & GAS - DOMESTIC (1.47%)
880 Amerada Hess Corp. ......................... $ 52,195
4,960 Amoco Corp. ................................ 421,600
500 Anadarko Petroleum Corp. ................... 32,250
740 Apache Corp. ............................... 25,160
650 Ashland Inc. ............................... 36,197
3,200 Atlantic Richfield ......................... 248,800
1,547 Burlington Resources, Inc. ................. 69,228
480 Columbia Gas System, Inc. .................. 36,630
440 Helmerich & Payne .......................... 12,733
430 Kerr McGee Co. ............................. 29,079
910 Oryx Energy ................................ 23,148
400 Pennzoil ................................... 26,775
2,700 Phillips Petroleum Co. ..................... 132,300
710 Sun Co. .................................... 28,356
2,550 Unocal Corp. ............................... 96,103
460 Western Atlas Inc.* ........................ 34,931
-----------
1,305,485
-----------
OIL & GAS INTERNATIONAL (4.76%)
6,560 Chevron Corp. .............................. 532,180
25,500 Exxon Corp. ................................ 1,628,813
7,950 Mobil Corp. ................................ 575,878
21,540 Royal Dutch Pet.-ADR ....................... 1,169,891
5,768 Texaco ..................................... 321,927
-----------
4,228,689
-----------
OIL & GAS SERVICE (0.50%)
700 Rowan Cos.,Inc.* ........................... 19,731
4,960 Schlumberger ............................... 373,860
2,164 Union Pacific Resources Grp ................ 48,419
-----------
442,010
-----------
NATURAL GAS (0.18%)
3,151 Enron ...................................... 148,109
240 Oneok, Inc. ................................ 8,400
-----------
156,509
-----------
ENERGY RAW MATERIAL (0.41%)
1,570 Baker Hughes, Inc. ......................... 64,272
1,560 Dresser Inds ............................... 69,713
180 Eastern Enterprises ........................ 7,976
2,588 Halliburton Co. ............................ 120,342
480 McDermott International .................... 18,900
3,230 Occidental Petroleum ....................... 82,534
-----------
363,737
-----------
Total Energy ............................... 6,496,430
-----------
Total Common Stocks
(Cost$48,403,226) .................................... 81,759,498
-----------
15
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
February 28, 1998
(unaudited)
Par
Value Value
----- -----
SHORT-TERM INVESTMENTS (7.84%)
UNITED STATES TREASURY BILLS
$4,500,000 5.3163% 09/18/97(b) ........................ $ 4,489,444
2,474,740 PORTICO INSTITUTIONAL MONEY MARKET FUND .... 2,474,740
-----------
Total Short-Term Investments (Cost $6,964,184) 6,964,184
-----------
Total Investments (Cost $55,367,410)(99.85%) 88,723,682
Other Net Assets (0.15%) ................... 136,513
-----------
Net Assets (100.00%) .................... $88,860,195
===========
*Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $55,367,410. At February
28, 1998, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation .................... $34,189,888
Unrealized depreciation .................... (833,616)
-----------
Net unrealized appreciation ............. $33,356,272
===========
(b) At February 28, 1998, certain United States Treasury Bills with a market
value of $500,000 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1998 (Contracts-$250 times
premium/delivery month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
- ---------------
S&P 500 Stock Index:
18/March 98/Long............................... $ 315,418
9/June 98/Long ................................ 128,542
-----------
$ 443,960
===========
See accompanying notes to financial statements
16
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
February 28, 1998
(unaudited)
Shares Value
------ -----
COMMON STOCKS (89.19%)
CAPITAL GOODS (5.51%)
PRODUCTION (0.09%)
1,000 Tecumseh Prod. Co. Cl. A ................... $ 50,125
-----------
MACHINERY-AGRICULT & CONSTRUCTION (0.17%)
3,129 AGCO Corp. ................................. 88,003
-----------
MACHINERY-INDUSTRIAL (1.05%)
1,200 Albany Intl. Corp. Cl A .................... 28,575
1,200 Borg-Warner Automotive ..................... 70,350
2,136 Flowserve Corporation ...................... 67,684
1,600 Modine Manufacturing Co. ................... 56,000
1,800 Stewart & Stevenson Svcs ................... 43,988
4,400 Watson Pharm, Inc.* ........................ 157,850
1,200 Watts Industry ............................. 36,075
2,200 York Intl. Corp. New Com ................... 96,663
-----------
557,185
-----------
POLLUTION CONTROL (0.46%)
1,600 Calgon Carbon Corp. ........................ 20,800
2,800 Donaldson Co. Inc. ......................... 66,675
4,610 U.S. Filter Corp.* ......................... 156,452
-----------
243,927
-----------
ENGINEERING & CONSTRUCTION (0.47%)
1,400 Jacobs Engineering Group* .................. 41,913
1,300 Structural Dyn. Research* .................. 37,375
1,700 Vulcan Materials Co. ....................... 171,063
-----------
250,351
-----------
ELECTRICAL EQUIPMENT (2.23%)
1,700 Ametek, Inc.* .............................. 45,688
3,400 Cirrus Logic, Inc.* ........................ 36,975
3,530 Hubble, Inc. Cl. B ......................... 177,824
3,500 Integrated Device Tech.* ................... 52,719
2,250 IPALCO ..................................... 96,047
3,515 Mark IV Industries, Inc. ................... 81,724
7,790 Molex, Inc. ................................ 235,647
4,400 Teradyne, Inc.* ............................ 207,625
2,300 UCAR International* ........................ 79,206
1,600 Varian Assoc ............................... 92,800
3,391 Vishay Intertechnology, Inc.* .............. 69,092
-----------
1,175,347
-----------
TRANSPORTATION EQUIPMENT (0.82%)
3,100 Danaher Corp. .............................. 223,006
2,100 Federal Signal ............................. 49,350
1,900 Trinity Industries ......................... 95,475
2,500 Wisconsin Central Transport ................ 67,813
-----------
435,644
-----------
CONGLOMERATE (0.21%)
1,540 Newport News Shipbuilding .................. 41,965
1,600 Rayonier, Inc. ............................. 67,800
-----------
109,765
-----------
Total Capital Goods ........................ 2,910,347
-----------
CONSUMER CYCLICAL (6.51%)
HOUSING (0.23%)
6,241 Clayton Homes, Inc. ........................ 124,040
-----------
BUILDING MATERIAL (0.32%)
1,700 BJ'S Wholesale Club* ....................... 57,588
900 Calmat Co. ................................. 25,875
2,300 Martin Marietta Materials .................. 87,544
-----------
171,007
-----------
AUTO & TRUCK (0.14%)
1,800 Teleflex, Inc. ............................. 73,013
-----------
AUTO PARTS (0.16%)
900 Arvin Inds., Inc. .......................... 35,663
1,600 Superior Industries ........................ 49,700
-----------
85,363
-----------
TIRE & RUBBER (0.26%)
1,100 Bandag Inc. ................................ 61,669
1,600 Carlisle Cos., Inc. ........................ 77,500
-----------
139,169
-----------
HOUSEHOLD PRODUCTS (0.16%)
2,400 Fingerhut Cos .............................. 59,550
800 Stanhome Inc. .............................. 23,100
-----------
82,650
-----------
TEXTILE & APPAREL (0.65%)
2,600 Burlington Inds., Inc.* .................... 43,063
7,200 Shaw Industries, Inc. ...................... 85,500
3,100 UNIFI, Inc. ................................ 113,925
2,700 Warnaco Group Cl A ......................... 100,238
-----------
342,726
-----------
SHOES (0.10%)
1,900 Nine West Group, Inc.* ..................... 52,250
-----------
RETAIL-GENERAL (4.11%)
3,400 Barnes & Noble Inc* ........................ 119,425
3,600 Bed Bath & Beyond* ......................... 155,475
2,300 Best Buy Co.* .............................. 137,138
3,600 Callaway Golf Co. .......................... 116,100
2,550 Claire's Stores, Inc. ...................... 45,900
4,613 CompUSA* ................................... 161,455
6,003 Dollar General Corp. ....................... 276,888
4,500 Family Dollar Stores* ...................... 160,313
2,000 Fastenal Co. ............................... 87,750
2,200 Heilig-Meyers Co. .......................... 34,100
3,700 Kohls Department Stores* ................... 296,694
4,586 Meyer, Fred, Inc.* ......................... 203,790
1,800 Micro Warehouse, Inc.* ..................... 24,750
1,834 Payless Shoesource* ........................ 123,337
4,324 Proffitts Inc. ............................. 146,476
1,740 Tiffany & Co. .............................. 81,780
-----------
2,171,371
-----------
LODGING (0.37%)
4,097 Promus Hotel Corp.* ........................ 197,680
-----------
Total Consumer Cyclical .................... 3,439,269
-----------
CONSUMER NON-DURABLE (17.90%)
HEALTHCARE (1.25%)
2,600 Appria Healthcare Group* ................... 35,425
5,500 Beverly Enterprises Inc. ................... 83,531
2,900 Covance, Inc.* ............................. 62,350
17
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
HEALTHCARE (CONTINUED)
600 Datascope Corp.* ........................... $ 15,075
2,400 Dentsply International, Inc. ............... 74,400
500 Diagnostic Products Corp. .................. 14,188
2,100 Hlthcare & Retirement Del.* ................ 92,138
6,300 Mylan Laboratories ......................... 128,363
816 Pacificare Health System* .................. 51,000
3,700 Quorum Health Group, Inc. .................. 102,559
-----------
659,029
-----------
CONSUMER PRODUCTS (0.43%)
2,833 Acnielson Corp.* ........................... 70,825
2,200 First Brands Corp. ......................... 56,650
2,031 Lancaster Colony Corp. ..................... 89,364
4,000 Service Merchandise Co.* ................... 9,250
-----------
226,089
-----------
FOOD BEVERAGE & TOBACCO (3.87%)
1,700 Bob Evans Farms ............................ 34,956
18,900 Coca-Cola Enterprises ...................... 624,881
1,800 Dean Foods Co. ............................. 99,000
3,200 Dole Food Company .......................... 173,800
1,200 Dreyer Grand Ice Cream ..................... 27,150
3,975 Flowers Inds., Inc. ........................ 101,114
3,900 Hormel Foods Corp. ......................... 144,788
800 Int. Multifoods, Inc. ...................... 22,350
3,822 Interstate Bakeries Corp. .................. 128,037
1,300 Lance, Inc. ................................ 30,225
3,660 McCormick & Co. ............................ 104,996
1,200 Smucker (J.M.)Co. Cl. A .................... 31,950
4,300 Starbucks Corp.* ........................... 170,119
10,950 Tyson Foods, Inc. Cl. A .................... 213,525
1,900 Universal Corp. ............................ 90,250
1,100 Universal Foods Corp. ...................... 49,500
-----------
2,046,641
-----------
RETAIL-FOOD & DRUGS (0.53%)
4,100 General Nutrition Co. ...................... 162,975
1,954 Hannaford Brothers Co. ..................... 82,434
1,800 Ruddick Corp. .............................. 32,625
-----------
278,034
-----------
COMMUNICATIONS & MEDIA (0.93%)
3,200 Belo (A.H.)Corp. Sr. A ..................... 175,200
1,000 Information Resources* ..................... 14,000
1,000 TCA Cable TV, Inc. ......................... 49,250
510 Washington Post, Class B ................... 251,685
-----------
490,135
-----------
ENTERTAINMENT & LEISURE (0.70%)
1,648 Chris Craft Industries* .................... 91,979
5,000 Circus Circus Ent., Inc.* .................. 110,000
2,178 Gtech Holdings Corp.* ...................... 76,911
2,986 Premark International ...................... 92,939
-----------
371,829
-----------
APPAREL (0.51%)
2,400 Jones Apparel Group* ....................... 132,000
1,400 Lands End* ................................. 55,125
3,100 Saks Holding, Inc. ......................... 80,988
-----------
268,113
-----------
DRUGS (1.36%)
2,750 Allegiance Corp. ........................... 95,906
2,212 Bergen Brunswig Corp. Cl A ................. 99,540
1,800 Carter-Wallace, Inc. ....................... 32,175
2,100 Forest Laboratories Cl. A* ................. 131,381
6,200 IVAX Corp.* ................................ 52,313
4,600 McKesson Corp. ............................. 239,775
1,100 R P Scherer Corp.* ......................... 66,894
-----------
717,984
-----------
HOSPITAL SUPPLY & SERVICE (0.86%)
1,100 Acuson Corp.* .............................. 20,213
4,050 Omnicare Inc. .............................. 149,850
1,200 Pacificare Health Sys. A* .................. 73,200
5,100 Stryker Corp. .............................. 208,781
-----------
452,044
-----------
COSMETICS & SOAP (0.04%)
800 Church and Dwight .......................... 22,950
-----------
PRINTING & PUBLISHING (0.51%)
1,600 Banta Corp. ................................ 47,600
600 Gibson Greetings, Inc.* .................... 13,200
2,000 Glatfelter (P.H.) Co. ...................... 35,125
1,200 Houghton Mifflin Co. ....................... 38,100
2,200 Lee Enterprises ............................ 68,200
1,400 Media General Inc. Cl. A ................... 65,800
-----------
268,025
-----------
RESTAURANT (0.68%)
3,210 Brinker International* ..................... 67,009
1,200 Buffets, Inc.* ............................. 12,675
3,200 Cracker Barrel Old Country ................. 129,400
2,100 Lone Star Steakhouse* ...................... 44,231
2,300 Outback Steakhouse, Inc.* .................. 82,225
750 Sbarro, Inc. ............................... 22,125
-----------
357,665
-----------
BUSINESS SERVICE (2.49%)
5,000 Cintas Group ............................... 212,500
3,600 Comdisco ................................... 150,075
4,700 Dial Corp. ................................. 111,331
2,700 Noble Affiliates ........................... 105,300
5,475 Paychex, Inc. .............................. 282,647
2,200 Pittson Brink's Group ...................... 84,975
4,928 Sungard Data Systems Inc.* ................. 168,476
4,700 Viad Corp. ................................. 113,681
2,400 Wallace Computer Services .................. 87,300
-----------
1,316,285
-----------
OFFICE PRODUCTS (2.10%)
1,300 Hon Inds ................................... 85,475
2,250 Miller (Herman), Inc. ...................... 137,813
8,200 Office Depot* .............................. 226,012
6,300 Office Max, Inc.* .......................... 105,131
1,200 Standard Register Co. ...................... 40,950
12,525 Staples, Inc.* ............................. 264,591
3,281 Unisource Worldwide, Inc. .................. 44,704
5,700 U.S. Post Office Products* ................. 105,450
4,400 Viking Office Products* .................... 96,800
-----------
1,106,926
-----------
HEALTHCARE SERVICES (1.58%)
1,957 Concentra Managed Care ..................... 67,150
1,600 First Health Group Corp. ................... 79,700
6,300 Foundation Hlth Systems-A .................. 174,431
8,100 Health Mgmt. Assoc. A.* .................... 225,281
2,500 Novacare, Inc.* ............................ 35,000
4,630 Sybron International Corp.* ................ 126,457
18
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
HEALTHCARE SERVICES (CONTINUED)
744 Total Renal Care Holdings .................. $ 23,934
3,500 Vencor, Inc.* .............................. 100,406
-----------
832,359
-----------
HEALTH & BEAUTY AIDS (0.08%)
4,000 Perrigo Co.* ............................... 43,000
-----------
Total Consumer Non-Durable ................. 9,457,108
-----------
BANKING & FINANCIAL SERVICES(14.94%)
BANK & BANK HOLDING COS. (6.52%)
2,384 City National Corp. ........................ 88,655
5,400 Crestar Financial Corp. .................... 298,350
4,500 First of America Bancorp ................... 349,594
8,888 First Security Corp. Del ................... 206,079
6,400 First Tennesse Ntl., Corp. ................. 204,000
2,700 First Virginia ............................. 136,688
7,200 Firstar Corp. .............................. 301,050
6,400 Hibernia Bank .............................. 128,000
4,980 Marshall and Isley Corp. ................... 291,953
3,300 Mercantile Bankshares Corp. ................ 115,603
4,800 Old Kent Financial Corp. ................... 185,100
4,300 Pacific Century Financial .................. 92,719
4,160 Pinnacle West .............................. 169,780
6,600 Regions Financial Corp. .................... 262,350
7,350 Southtrust Corp. ........................... 300,431
1,900 Wilmington Trust Corp. ..................... 117,563
4,525 Zions Bancorporation ....................... 194,575
-----------
3,442,490
-----------
SAVINGS & LOAN (1.25%)
2,507 Associated Banc Corp. ...................... 131,304
3,113 Charter One Financial Inc. ................. 188,628
6,293 Dime Bancorp Inc. (New) .................... 191,937
4,489 TCP Financial Corp. ........................ 148,418
-----------
660,287
-----------
FINANCE COMPANY (0.90%)
3,300 Capital One Financial Corp. ................ 221,719
4,070 Union Planters Corp. ....................... 251,577
-----------
473,296
-----------
INVESTMENT COMPANY (0.54%)
6,111 Bear Stearns Cos., Inc. .................... 284,925
-----------
INSURANCE (3.20%)
6,662 AFLAC Corp. ................................ 409,297
3,600 AMBAC Financial Grp ........................ 191,700
3,200 American Fin. Group, Inc. .................. 129,400
2,600 Finova Group Inc. .......................... 143,000
1,100 HSB Group, Inc. ............................ 69,438
4,200 Old Republic ............................... 177,188
3,900 Oxford Health Plans* ....................... 67,031
6,800 Provident Cos .............................. 244,800
1,700 The PMI Group .............................. 123,675
1,800 Transatlantic Holdings, Inc. ............... 136,125
-----------
1,691,654
-----------
FINANCIAL SERVICES (2.53%)
4,987 AG Edwards ................................. 209,766
12,500 Franklin Resources Inc. .................... 637,500
6,900 Paine Webber ............................... 289,800
3,000 T. Rowe Price .............................. 199,125
-----------
1,336,191
-----------
Total Banking & Finance .................... 7,888,843
-----------
UTILITY (9.90%)
ELECTRIC (6.43%)
6,400 Allegheny Power System ..................... 195,600
2,400 Atlantic Energy, Inc. ...................... 48,900
600 Black Hills Corp. .......................... 19,650
4,040 Calenergy, Inc.* ........................... 108,323
900 Central Louisiana Electric ................. 29,250
1,300 Central Maine Power Co. .................... 21,694
4,800 CMS Energy Corp. ........................... 212,400
2,700 Delmarva Power & Light ..................... 58,050
5,100 Florida Progress Corp. ..................... 197,306
1,300 Hawaiian Electric Inds ..................... 52,650
1,700 Idaho Power Co. ............................ 59,394
4,000 Illinova Corp. ............................. 111,000
3,300 Kansas City Power & Light .................. 99,413
3,000 LG&E Energy Corp. .......................... 71,813
5,364 Midamerican Energy Co. ..................... 111,303
1,400 Minnesota Power & Light .................... 56,613
2,500 Montana Power Co. .......................... 80,000
2,100 Nevada Power Co. ........................... 52,106
5,205 New Century Engeries Inc.* ................. 242,683
3,400 New England Syst ........................... 143,225
3,310 New York State Elec. & Gas ................. 124,332
6,600 Nipsco Industries .......................... 169,538
6,700 Northeast Utilities ........................ 83,750
2,100 Oklahoma Gas & Electric .................... 113,400
6,300 Potomac Electric Power Co 1 ................ 158,288
1,700 Public Ser. Co. of N. Mex .................. 39,631
4,227 Puget Sound Power & Light .................. 114,657
5,500 SCANA Corp. ................................ 158,125
6,200 Teco Energy, Inc. .......................... 163,138
2,600 Utilicorp United Inc. ...................... 93,600
5,900 Wisc. Energy Corp. ......................... 160,775
1,400 WPL Holdings, Inc. ......................... 44,625
-----------
3,395,232
-----------
GAS (1.04%)
2,500 Atlanta Gas Light Co. ...................... 50,781
900 Indiana Energy, Inc. ....................... 26,888
2,600 Keyspan Energy Corp. ....................... 92,462
3,800 MCN Energy Group, Inc. ..................... 139,888
6,610 Noble Drilling Corp.* ...................... 187,559
1,900 Washington Gas Light Co. ................... 51,181
-----------
548,759
-----------
TELEPHONE (2.39%)
6,174 360 Communications Co.* .................... 163,611
1,700 Aliant Communications ...................... 44,625
3,100 Century Telephone Entps .................... 189,100
6,200 Cincinnati Bell ............................ 198,400
4,710 LCI International, Inc.* ................... 155,430
5,075 NCR Corp.* ................................. 159,228
3,400 S. New Eng. TeleCom ........................ 214,625
3,100 Telephone & Data ........................... 135,044
-----------
1,260,063
-----------
19
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
MISCELLANEOUS (0.05%)
1,900 Vanguard Cellular Sys. Cl. A* .............. $ 24,700
-----------
Total Utility .............................. 5,228,754
-----------
SERVICE (3.17%)
DISTRIBUTOR (0.39%)
2,100 Alexander & Baldwin, Inc. .................. 59,325
4,000 American Water Works, Inc. ................. 120,000
700 Scholastic Corp.* .......................... 27,738
-----------
207,063
-----------
POLLUTION CONTROL (0.84%)
10,700 USA Waste Services, Inc.* .................. 445,388
-----------
BUSINESS (1.26%)
2,400 Fiserv, Inc.* .............................. 131,400
1,700 Kelly Services, Inc. Cl. A ................. 60,562
4,300 ManPower, Inc. ............................. 181,406
3,000 Medaphis* .................................. 31,125
3,650 Olsten Corp. ............................... 58,856
4,500 Robert Half Intl.* ......................... 203,625
-----------
666,974
-----------
CONSUMER (0.38%)
1,900 Rollins, Inc. .............................. 39,188
3,000 Sotheby's .................................. 60,938
2,100 Stewart Enterprises Inc. ................... 98,963
-----------
199,089
-----------
MISCELLANEOUS (0.30%)
4,100 Corrections Corp. of Am.* .................. 156,825
-----------
Total Service .............................. 1,675,339
-----------
TRANSPORTATION (2.32%)
AIR TRANSPORTATION (0.30%)
2,000 Airbourne Freight Corp. .................... 72,375
500 Alaska Airgroup, Inc.* ..................... 27,531
1,400 ASA Holdings, Inc. ......................... 56,350
-----------
156,256
-----------
RAILROAD (0.95%)
1,200 Gatx Corp. ................................. 93,000
3,250 Illinois Central Corp. Cl. A ............... 126,141
5,700 Kansas City Southern Inds ............ 211,969
2,600 Ogden Corp. ................................ 71,500
-----------
502,610
-----------
TRUCKING (0.29%)
1,100 Arnold Inds., Inc. ......................... 17,531
2,100 Consolidated Freightways ................... 82,163
2,000 Hunt (J.B.)* ............................... 53,500
-----------
153,194
-----------
MISCELLANEOUS (0.61%)
7,600 Harley Davidson ............................ 220,400
2,212 JP Foodservice Inc. ........................ 73,134
1,400 Overseas Shipholding Grp ................... 29,050
-----------
322,584
-----------
Total Transportation ....................... 1,225,666
-----------
MANUFACTURING (8.80%)
CONSUMER DURABLE (0.45%)
4,700 Leggett & Platt ............................ 235,881
-----------
BUILDING & HOUSING (0.13%)
1,100 Southdown, Inc. ............................ 70,400
-----------
CHEMICAL (3.10%)
3,200 Airgas, Inc.* .............................. 57,400
3,000 Albemarle Corp. ............................ 73,125
1,300 Betzdearborn, Inc. ......................... 83,444
3,400 Cabot Corp. ................................ 119,850
3,267 Crompton & Knowles Corp. ................... 98,418
2,300 Cytec, Inds.* .............................. 112,413
1,000 Dexter Corp. ............................... 40,625
4,100 Ethyl Corp. ................................ 33,825
1,800 Ferro Corp. ................................ 48,487
600 Fuller (H.B.) Corp. ........................ 34,125
2,000 Georgia Gulf Corp. ......................... 65,875
5,500 IMC Global, Inc. ........................... 210,031
5,000 Iowa Beef Processing ....................... 111,563
1,800 Lawter International ....................... 21,038
2,900 Lubrizol Corp. ............................. 111,831
4,200 Lyondell Petrochemical ..................... 114,450
400 NCH Corp. .................................. 24,375
4,218 RPM, Inc. Ohio ............................. 71,706
2,000 Schulman (A.), Inc. ........................ 51,000
5,718 Solutia Inc. ............................... 156,173
-----------
1,639,754
-----------
DIVERSIFIED (0.53%)
800 Nordson Corp. .............................. 38,900
2,600 Olin Corp. ................................. 119,113
3,000 Witco Corp. ................................ 119,438
-----------
277,451
-----------
CAPITAL GOOD (0.36%)
2,600 Harsco Corporation ......................... 108,875
1,200 Kennametal, Inc. ........................... 63,150
1,000 Magnetek, Inc.* ............................ 17,750
-----------
189,775
-----------
PAPER & FOREST PRODUCT (1.01%)
2,100 Bowater, Inc. .............................. 103,950
1,000 Chesapeake Corp. ........................... 33,938
2,400 Consolidated Papers ........................ 139,350
4,350 Georgia Pacific Co Timber .................. 99,234
2,700 Longview Fibre Co. ......................... 41,681
1,700 Pentair, Inc. .............................. 70,019
2,042 Wausau Paper Mills Co. ..................... 44,158
-----------
532,330
-----------
METAL & MINERALS (0.50%)
2,600 AK Steel Holding Corp. ..................... 48,588
600 Brush Wellman, Inc. ........................ 16,200
900 Carpenter Technology ....................... 42,581
2,475 Hanna (M.A.)Co ............................. 57,389
300 Maxxam, Inc.* .............................. 15,975
1,200 Minerals Technology, Inc. .................. 57,300
1,300 Oregon Steel Mills, Inc. ................... 26,163
-----------
264,196
-----------
20
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
CONTAINER (0.69%)
500 Cleveland Cliffs Corp. ..................... $ 25,688
2,200 Sealed Air Corp.* .......................... 148,088
4,875 Sonoco Products, Inc. ...................... 188,602
-----------
362,378
-----------
COMPUTER (0.73%)
6,600 Quantum Corp.* ............................. 165,825
2,000 Sequent Computer Systems* .................. 42,375
2,624 Storage Technology Corp.* .................. 179,088
-----------
387,288
-----------
NON FERROUS METALS (0.36%)
2,800 Alumax, Inc.* .............................. 103,775
1,800 Federal Mogul Corp. ........................ 88,313
-----------
192,088
-----------
MISCELLANEOUS (0.94%)
1,200 Culligan Water Tech.* ...................... 69,150
3,500 Hillenbrand Industries ..................... 196,656
5,670 International Game Tech .................... 137,498
1,400 Kaydon Corp. ............................... 52,063
1,800 Wellman, Inc. .............................. 38,700
-----------
494,067
-----------
Total Manufacturing ........................ 4,645,608
-----------
TECHNOLOGY (13.99%)
OFFICE EQUIPMENT (0.63%)
3,600 Diebold .................................... 184,950
3,500 Lexmark Intl. Group CL A* .................. 149,625
-----------
334,575
-----------
ELECTRONIC (1.95%)
5,274 Arrow Electronics, Inc.* ................... 175,690
2,100 Avnet, Inc. ................................ 133,875
2,400 Litton Inds.* .............................. 149,400
3,054 SCI Systems Inc.* .......................... 137,430
3,900 Sensormatic Elect. Corp. ................... 72,638
5,600 Solectron Corp.* ........................... 270,900
1,800 Symbol Technologies, Inc. .................. 91,912
-----------
1,031,845
-----------
BIOTECHNOLOGY (1.21%)
1,500 Beckman Instruments, Inc. .................. 72,563
3,800 Biogen, Inc.* .............................. 167,675
3,600 Centocor, Inc.* ............................ 129,825
8,812 Chiron Corp.* .............................. 169,080
3,400 Genzyme Corp.* ............................. 100,513
-----------
639,656
-----------
SOFTWARE (3.11%)
5,100 BMC Software, Inc.* ........................ 390,150
9,850 Cadence Design System, Inc.* ............... 344,134
8,800 Compuware Corp.* ........................... 370,700
2,800 Electronic Arts* ........................... 123,550
7,800 Informix Corp.* ............................ 60,938
4,400 Reynolds & Reynolds Cl. A .................. 93,500
4,466 Sterling Commerce, Inc.* ................... 203,761
2,300 Symantec Corp.* ............................ 57,931
-----------
1,644,664
-----------
BUSINESS-MECHANICS & SOFTWARE (2.06%)
5,050 American Online, Inc.* ..................... 611,681
600 ATL Ultrasound Inc.* ....................... 27,300
750 Granite Construction, Inc. ................. 19,875
2,100 Imation Corp.* ............................. 35,306
3,454 Network Associates Inc. .................... 223,215
1,200 Stratus Computer* .......................... 60,225
3,209 Synopsys Inc. .............................. 112,114
-----------
1,089,716
-----------
BUSINESS-SERVICE (0.12%)
900 Policy Mgmt. Systems Corp.* ................ 65,138
-----------
SEMICONDUCTOR (1.96%)
4,600 Altera Corp.* .............................. 198,375
5,100 Atmel Corp.* ............................... 82,875
3,800 Cypress Semiconductor* ..................... 35,863
3,900 Linear Technology Corp. .................... 295,425
6,400 Maxim Integrated Prod.* .................... 258,400
3,800 Xilinx, Inc.* ........................ 166,725
-----------
1,037,663
-----------
TELECOMMUNICATIONS (1.17%)
6,600 ADCTelecom., Inc.* ......................... 170,363
2,500 Comsat Corp. ............................... 83,594
12,244 Nextel Communications* ..................... 361,963
-----------
615,920
-----------
AEROSPACE AIRCRAFT (0.65%)
3,406 Meritor Automative Inc. .................... 85,150
1,250 Precision Castparts ........................ 69,297
3,100 Sunstrand Corp. ............................ 187,550
-----------
341,997
-----------
TELECOM EQUIPMENT (0.29%)
2,000 Gencorp, Inc. .............................. 54,500
1,100 OEA, Inc.* ................................. 23,306
800 Thiokol Corp. .............................. 76,500
-----------
154,306
-----------
MISCELLANEOUS (0.83%)
4,800 Amer. Pwr. Conversion Corp.* ............... 139,200
8,133 Analog Devices* ............................ 262,289
3,300 Mentor Graphics ............................ 34,444
-----------
435,933
-----------
Total Technology ........................... 7,391,413
-----------
ENERGY (6.15%)
OIL & GAS-DOMESTIC (2.41%)
2,911 El Paso Natural Gas ........................ 193,218
2,800 Mapco, Inc. ................................ 150,675
2,400 Murphy Oil Corp. ........................... 119,850
1,700 National Fuel Gas Co. ...................... 79,263
4,900 Pioneer Natural Resources* ................. 116,069
1,700 Quaker State Corp. ......................... 25,713
2,200 Questar .................................... 93,500
3,200 Seagull Energy Corp.* ...................... 54,000
7,800 Tosco Corp. ................................ 289,575
4,300 Ultramar Diamond Shamrock .................. 153,456
-----------
1,275,319
-----------
OIL & GAS-INTERNATIONAL (0.32%)
3,800 Parker Drilling Co.* ....................... 41,800
5,200 Ranger Oil Ltd. ............................ 33,475
2,691 Weatherford Enterra, Inc.* ................. 93,176
-----------
168,451
-----------
OIL & GAS SERVICE (2.48%)
3,800 BJ Services* ............................... 130,625
1,912 Camco International Inc. ................... 111,852
21
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
OIL & GAS SERVICE (CONTINUED)
7,200 Ensco Intl., Inc. .......................... $ 209,700
8,800 Global Marine, Inc. ........................ 204,050
4,500 Nabors Industries .......................... 102,938
2,100 Smith International, Inc.* ................. 111,825
3,100 Tidewater, Inc. ............................ 137,950
5,200 Transocean Offshore, Inc. .................. 223,600
3,200 Varco Intl., Inc.* ......................... 79,600
-----------
1,312,140
-----------
NATURAL GAS (0.00%)
.5 Enron ...................................... 24
-----------
ENERGY-RAW MATERIALS (0.70%)
8,386 AESCorp.* .................................. 368,984
-----------
MISCELLANEOUS (0.24%)
400 Sequa Corp.* ............................... 30,075
2,700 Valero Energy Corp. ........................ 95,825
-----------
125,900
-----------
Total Energy ............................... 3,250,818
-----------
Total Common Stock
(cost $30,444,273) ................................... 47,113,165
-----------
Par
Value
-----
SHORT-TERM INVESTMENTS (10.72%)
UNITED STATES TREASURY BILLS
$5,000,000 5.570% 09/18/97(b) ......................... 4,988,173
672,282 PORTICO INSTITUTIONAL MONEY MARKET FUND .... 672,282
-----------
Total Short-Term Investments (Cost $5,660,455) 5,660,455
-----------
Total Investments (Cost $36,104,728)(99.91%) 52,773,620
Other Net Assets (0.09%) ................... 47,218
-----------
Net Assets (100%) ....................... $52,820,838
===========
- ---------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $36,104,728. At February
28, 1998, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation .................... $18,381,464
Unrealized depreciation .................... (1,712,572)
-----------
Net unrealized appreciation ............. $16,668,892
===========
(b) At February 28, 1998, certain United States Treasury Bills with a market
value of $1,000,000 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1998:
(Contracts - $500 times premium/delivery month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P MidCap 400 Index:
31/March 98/Long ..................................... $ 363,193
1/June 98/Long ....................................... 542
-----------
$ 363,735
See accompanying notes to financial statements
22
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS
February 28, 1998
(unaudited)
Shares Value
------ -----
COMMON STOCK (68.38%)
CAPITAL GOOD (2.76%)
PRODUCTION (0.60%)
1,100 Cooper Inds., Inc. ......................... $ 61,738
-----------
ELECTRICAL EQUIPMENT (1.13%)
2,640 AMP, Inc. .................................. 116,655
-----------
CONGLOMERATE (1.04%)
2,600 Tenneco, Inc. .............................. 106,925
-----------
Total Capital Good ......................... 285,318
-----------
CONSUMER CYCLICAL (6.31%)
BUILDING MATERIAL (0.97%)
1,800 Johnson Controls, Inc. ..................... 100,013
-----------
AUTO & TRUCK (2.45%)
4,480 Ford Motor Co. ............................. 253,400
-----------
RETAIL-GENERAL (2.89%)
2,030 May Dept. Stores Co. ....................... 123,323
2,000 JC Penny Co. ............................... 141,375
1,160 The Limited, Inc. .......................... 33,640
-----------
298,338
-----------
Total Consumer Cyclical .................... 651,751
-----------
CONSUMER NON-DURABLE (5.96%)
HEALTH CARE (0.33%)
750 Bausch & Lomb, Inc. ........................ 33,609
-----------
FOOD, BEVERAGE & TOBACCO (2.18%)
4,000 H.J. Heinz Co. ............................. 225,250
-----------
DRUGS (1.83%)
1,350 Baxter International Inc. .................. 76,444
1,120 Bristol-Myers/Squibb Co. ................... 112,210
-----------
188,654
-----------
COSMETIC & SOAP (1.04%)
1,320 Colgate Palmolive Co. ...................... 107,168
-----------
BUSINESS SERVICE (0.58%)
1,800 Dun & Bradstreet Corp. ..................... 60,300
-----------
Total Consumer Non-Durable ................. 614,981
-----------
BANKING & FINANCE (20.72%)
BANK & BANK HOLDING CO. (17.61%)
4,532 Banc One Corp. ............................. 256,058
1,800 Bankers Trust New York ..................... 212,850
2,600 Chase Manhattan Corp. ...................... 322,563
3,600 CoreStates Financial Corp. ................. 303,975
2,790 First Chicago NBDCorp ...................... 229,303
2,000 Mellon Bank Corp. .......................... 124,625
2,000 Nations Bank Corp. ......................... 137,000
2,000 PNC Financial Corp. ........................ 111,000
375 Wells Fargo & Co. .......................... 120,750
-----------
1,818,124
-----------
INSURANCE (3.11%)
2,400 American General ........................... $ 139,500
2,100 Marsh & McLennan ........................... 182,044
-----------
321,544
-----------
Total Banking & Finance .................... 2,139,668
-----------
UTILITY (10.49%)
ELECTRIC (0.91%)
1,700 Duke Power ................................. 94,456
-----------
TELEPHONE (7.85%)
3,100 ALLTEL Corp. ............................... 141,631
5,860 Ameritech Corp. ............................ 244,289
3,530 Bell Atlantic Corp. ........................ 316,818
2,000 GTE Corp. .................................. 108,250
-----------
810,988
-----------
ENERGY (1.72%)
7,180 Southern Co. ............................... 177,256
-----------
Total Utility .............................. 1,082,700
-----------
TRANSPORTATION (0.57%)
RAILROAD (0.57%)
1,710 Norfolk Southern Corp. ..................... 58,888
-----------
Total Transporation ........................ 58,888
-----------
MANUFACTURING (6.75%)
CHEMICAL (3.87%)
3,700 Dupont De Nemours & Co. .................... 226,856
5,300 Williams Companies, Inc. ................... 173,244
-----------
400,100
-----------
PAPER & FORREST PRODUCT (1.46%)
990 International Paper ........................ 46,159
1,200 Union Camp Corp ............................ 71,700
660 Weyerhaeuser Co. ........................... 32,959
-----------
150,818
-----------
MISCELLANEOUS (1.41%)
1,710 3M & Co. ................................... 145,884
-----------
Total Manufacturing ........................ 696,802
-----------
TECHNOLOGY (3.68%)
ELECTRONIC (0.55%)
1,120 Harris Corp. ............................... 56,770
-----------
BUSINESS-MECHANIC & SOFTWARE (2.36%)
5,200 Pitney Bowes Inc. .......................... 243,750
-----------
AEROSPACE AIRCRAFT (0.77%)
920 General Dynamics Corp. ..................... 79,810
-----------
Total Technology ........................... 380,330
-----------
ENERGY (11.14%)
OIL & GAS (4.32%)
1,710 Amoco Corp. ................................ 145,350
23
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
OIL & GAS (CONTINUED)
1,200 Atlantic Richfield ......................... $ 93,300
4,225 Phillips Petroleum Co. ..................... 207,025
-----------
445,675
-----------
OIL & GAS INTERNATIONAL (5.57%)
1,250 Chevron Corp. .............................. 101,406
4,360 Exxon Corp. ................................ 278,495
1,500 Mobil Corp. ................................ 108,656
1,600 Royal Dutch Petroleum ...................... 86,900
-----------
575,457
-----------
ENERGY RAW MATERIAL (1.26%)
2900 Dresser Industries ......................... 129,592
-----------
Total Energy ............................... 1,150,724
-----------
Total Common Stock
(cost $5,439,304) .................................... 7,061,162
-----------
Par
Value
-----
SHORT-TERM INVESTMENTS (31.21%)
UNITED STATES TREASURY BILLS
$2,750,000 5.570% 09/18/97 (b) ........................ 2,743,283
75,080 PORTICO GOVERNMENT MONEY MARKET FUND ....... 75,080
403,776 PORTICO INSTITUTIONAL MONEY MARKET FUND .... 403,776
-----------
Total Short-Term Investments (Cost $3,222,139) 3,222,139
-----------
Total Investments (Cost $8,661,443)(99.59%). 10,283,301
Other Net Assets (0.41%).................... 41,887
-----------
Net Assets (100.00%)..................... $10,325,188
===========
(a )Aggregate cost for federal income tax purposes is $8,661,443. At February
28, 1998, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation .................... $ 1,658,008
Unrealized depreciation .................... (36,150)
-----------
Net unrealized appreciation ............. $ 1,621,858
===========
(b) At February 28, 1998, certain United States Treasury Bills with a market
value of $800,000 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1998 (Contracts-$250 times
premium/delivery month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P BARRA/Value Stock Index:
24/March 98/Long ..................................... $ 162,770
===========
See accompanying notes to financial statements
24
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
February 28, 1998
(unaudited)
Shares Value
------ -----
COMMONSTOCK (79.92%)
CAPITAL GOOD (4.50%)
MACHINERY - AGRICULT & CONST (0.13%)
313 Lindsay Manufacturing Co. .................. $ 13,107
-----------
MACHINERY-INDUSTRIAL (1.06%)
250 Applied Industrial Tech .................... 6,500
607 BMC Industries, Inc. ....................... 11,799
1,000 JLG Industries, Inc. ....................... 15,625
500 Lawson Products ............................ 13,875
817 PAXAR Corp.* ............................... 11,438
100 Robbins & Myers ............................ 3,963
300 Technitrol ................................. 10,969
1,076 Vicor Corp.* ............................... 30,397
-----------
104,566
-----------
POLLUTION CONTROL (0.16%)
372 Ionics Inc.* ............................... 15,996
-----------
ENGINEERING & CONSTRUCTION (0.92%)
525 CDI Corp.* ................................. 24,281
324 Lone Star Industries ....................... 19,521
296 Manitowoc Company, Inc. .................... 11,673
1,303 Morrison Knudson Corp.* .................... 15,880
600 Polaris Industries Inc. .................... 19,725
-----------
91,080
-----------
ELECTRICAL EQUIPMENT (1.78%)
694 Belden Inc. ................................ 27,023
600 Cable Design Technologies .................. 17,438
391 California Microwave, Inc.* ................ 7,991
360 Dynatech Corp. ............................. 17,235
1,174 International Rectifier Corp.* ............. 17,096
458 Kuhlman Corp. .............................. 20,209
495 Marshall Industries* ....................... 14,510
308 Oak Industries, Inc.* ...................... 9,452
762 Pioneer Standard Elec., Inc. ............... 12,573
557 Tracor Inc.* ............................... 17,058
757 Trimble Navigation Ltd.* ................... 15,140
-----------
175,725
-----------
TRANSPORTATION EQUIPMENT (0.45%)
739 Halter Marine Group, Inc.* ................. 14,503
153 SPX Corp. .................................. 11,427
622 Wabash Natl. Corp. ......................... 18,466
-----------
44,396
-----------
Total Capital Good ......................... 444,870
-----------
CONSUMER CYCLICAL (9.03%)
OPTICAL PHOTO EQUIPMENT (0.05%)
338 X-Rite Inc. ................................ 4,922
-----------
HOUSING (1.03%)
400 Linens `N Things ........................... 20,150
1,004 Oakwood Homes Corp. ........................ 39,783
535 The Ryland Group Inc. ...................... 14,947
887 Toll Bros., Inc.* .......................... 26,610
-----------
101,490
-----------
BUILDING MATERIAL (0.91%)
520 ABM Industries, Inc. ....................... 18,720
707 Apogee Enterprises, Inc. ................... 9,147
876 Geon Co. ................................... 17,520
1,012 Justin Industries, Inc. .................... 13,156
446 Texas Industries Inc. ...................... 25,199
276 Visx Inc.* ................................. 6,486
-----------
90,228
-----------
AUTO & TRUCK (0.34%)
560 Applied Power, Inc. CL A ................... 20,160
535 Wynn's International Inc. .................. 13,576
-----------
33,736
-----------
AUTO PART (1.03%)
337 A.O. Smith Corp. ........................... 14,660
862 Breed Technologies, Inc. ................... 18,749
280 Cheesecake Factory ......................... 9,030
270 Clarcor, Inc. .............................. 8,134
893 Gentex Corp.* .............................. 28,799
744 O'Reilly Automotive, Inc.* ................. 22,087
-----------
101,459
-----------
APPLIANCE (0.29%)
1,303 Fedders Corp. .............................. 7,655
542 Interface, Inc. ............................ 20,732
-----------
28,387
-----------
HOUSEHOLD PRODUCT (0.48%)
297 Aptargroup, Inc. ........................... 17,133
587 Williams-Sonoma, Inc.* ..................... 30,231
-----------
47,364
-----------
TEXTILE & APPAREL (1.68%)
566 Authentic Fitness Corp. .................... 11,886
711 Brown Group ................................ 10,576
303 Fabri-Centers of America, Inc. ............. 9,166
532 G & K Services Inc., CL A .................. 23,408
831 Griffon Corp.* ............................. 13,660
540 Kellwood Co. ............................... 17,516
1,179 Mohawk Industries* ......................... 30,949
847 Nautica Enterprises, Inc.* ................. 24,404
314 Oxford Industries, Inc. .................... 9,891
374 Pilliowtex Corp. ........................... 14,680
-----------
166,136
-----------
SHOES (0.62%)
707 Footstar Inc.* ............................. 21,210
222 The Timberland Co.* ........................ 16,095
864 Wolverine World Wide, Inc. ................. 24,300
-----------
61,605
-----------
RETAIL - GENERAL (2.00%)
396 Discount Auto Parts, Inc.* ................. 8,836
556 The Dress Barn, Inc.* ...................... 16,228
715 Eagle Hardware & Garden, Inc.* ............. 13,540
800 Hancock Fabrics ............................ 13,050
18 Meyer Fred Inc. ............................ 800
666 Michaels Stores, Inc.* ..................... 22,644
1,456 Pier 1 Imports, Inc. ....................... 38,948
760 Shopko Stores, Inc.* ....................... 19,997
558 Stein Mart, Inc.* .......................... 18,030
25
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
RETAIL - GENERAL (CONTINUED)
439 The Toro Company ........................... $ 17,615
864 World Color Dress Inc.* .................... 27,918
-----------
197,606
-----------
LODGING (0.61%)
500 Capstar Hotel Company ...................... 16,875
1,245 Marcus Corporation ......................... 21,243
1,151 Prime Hospitality Corp.* ................... 21,869
-----------
59,987
-----------
Total Consumer Cyclical .................... 892,920
-----------
CONSUMER NON-DURABLE (19.13%)
HEALTH CARE (1.78%)
709 Ballard Medical Products ................... 17,814
1,084 Bio-Technology General* .................... 9,146
218 Compdent Corp.* ............................ 3,025
300 Cooper Companies ........................... 14,025
730 Invacare Corp. ............................. 16,744
581 Mentor Corp. ............................... 16,958
304 NBTY Inc.* ................................. 14,155
850 Orthodontic Centers of Am* ................. 16,416
751 Owens & Minor Hldg C.* ..................... 13,330
594 Paragon Health Network ..................... 11,063
1,315 Phycor Inc.* ............................... 33,820
357 U.S. Bioscience Inc.* ...................... 4,039
251 Vital Signs Inc. ........................... 5,302
-----------
175,837
-----------
CONSUMER PRODUCT (0.69%)
380 Harmon International ....................... 17,670
310 Juno Lightning Inc. ........................ 6,045
646 Russ Berrie & Co. Inc. ..................... 18,007
572 Sola International* ........................ 21,700
358 USA Detergents, Inc.* ...................... 4,609
-----------
68,031
-----------
FOOD, BEVERAGE & TOBACCO (2.19%)
612 Chiquita Brands Int'l ...................... 8,224
96 Coca-Coca Bottling ......................... 5,736
237 Commonwealth Engery Sys .................... 8,547
740 Corn Products Int'l ........................ 24,605
260 Curative Health Services ................... 9,588
866 Dimon Inc. ................................. 15,155
422 Earthgrains Co. ............................ 18,278
810 Fleming Companies Inc. ..................... 14,428
409 Natures Sunshine Prod. Inc. ................ 10,532
920 Richfood Holdings, Inc. .................... 26,163
250 Schweitzer-Mauduit Intl Inc. ............... 8,313
596 Smithfield Foods, Inc.* .................... 18,849
300 Titan Internationl Inc. .................... 5,625
435 Triarc Co.* ................................ 10,929
520 Whole Foods Market Inc.* ................... 31,817
-----------
216,789
-----------
RETAIL - FOOD AND DRUGS (0.53%)
1,251 Arbor Drugs ................................ 29,399
790 Casey's General Stores ..................... 11,899
852 The Sports Authority Inc.* ................. 11,342
-----------
52,640
-----------
COMMUNICATIONS & MEDIA (1.26%)
265 Advo Inc.* ................................. 6,476
600 CPI Corp. .................................. 14,438
193 GC Companies* .............................. 9,554
300 Ha-Lo Industries Inc. ...................... 8,869
482 Metro Networks Inc.* ....................... 17,774
764 Valassis Communication* .................... 29,128
300 Volt Info Sciences, Inc. ................... 15,769
732 Westwood One Inc.* ......................... 22,692
-----------
124,700
-----------
ENTERTAINMENT & LEISURE (0.99%)
1,243 Aztar Corp.* ............................... 10,566
230 Carmike Cinemas Inc.* ...................... 7,029
641 Foodmaker Inc.* ............................ 11,658
296 Galoob Toys Inc.* .......................... 2,571
673 Grand Casinos Inc.* ........................ 10,263
300 Hollywood Park Inc. ........................ 4,463
800 Primadonna Resorts Inc. .................... 12,000
768 Regal Cinemas Inc.* ........................ 22,704
960 Shoney's Inc.* ............................. 4,680
392 Showboat Inc. .............................. 11,637
-----------
97,571
-----------
APPAREL (1.53%)
550 Ann Taylor ................................. 7,803
752 Guilford Mills Inc. ........................ 21,338
377 Gymboree Corp.* ............................ 10,132
600 Hartmax Corp. .............................. 4,875
814 Just For Feet Inc.* ........................ 13,787
527 Mens Wearhouse Inc.* ....................... 19,038
511 Phillips Van Heusen Corp. .................. 6,643
1,059 Ross Stores Inc. ........................... 41,698
489 St. John Knits Inc. ........................ 20,660
430 Stride Rite Corp. .......................... 5,268
-----------
151,242
-----------
DRUGS (1.36%)
734 Cor Therapeutics Inc.* ..................... 9,267
512 Cygnus Inc.*................................ 9,120
757 ICN Pharmaceuticals, Inc. .................. 43,717
1,016 Liposome Company Inc.* ..................... 5,905
751 N. American Vaccine Inc.* .................. 15,208
432 Noven Pharmaceuticals* ..................... 2,889
400 Parexel International Cop .................. 15,100
532 Roberts Pharmaceuticals* ................... 6,683
642 Sequus Pharmaceuticals Inc.* ............... 6,260
538 Vertex Pharmaceuticals Inc.* ............... 20,108
-----------
134,257
-----------
HOSPITAL SUPPLY & SERVICE (2.40%)
500 ADAC Laboratories .......................... 13,312
230 Coherent Inc.* ............................. 10,753
300 Gulf South Medical Supply .................. 10,838
1,028 Indexx Laboratories Inc.* .................. 16,127
932 Mariner Health Group Inc.* ................. 14,155
26
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
HOSPITAL SUPPLY & SERVICE (CONTINUED)
400 Marquette Med Sys-Cl A ..................... $ 11,000
545 Medimmune Inc.* ............................ 28,272
400 NCS Healthcare Inc. ........................ 11,675
657 Patterson Dental Co.* ...................... 19,874
300 Pediatrix Medical Group Inc. ............... 12,375
420 Renal Care Group Inc.* ..................... 15,803
524 Respironics* ............................... 14,213
590 Safeskin Corp.* ............................ 36,211
421 Sunrise Medical* ........................... 6,289
500 Technology Solutions Inc. .................. 16,250
-----------
237,147
-----------
LIQUOR (0.22%)
387 Canadaigua Wine Co., Inc.* ................. 21,575
-----------
PRINTING & PUBLISHING (0.21%)
501 Bowne & Co. Inc. ........................... 21,230
-----------
RESTAURANT (1.59%)
751 Applebee's Intl., Inc. ..................... 17,273
960 CKE Restaurants, Inc. ...................... 40,740
411 IHOP Corp.* ................................ 14,745
764 Landry's Seafood Rest.* .................... 20,246
879 Luby's Cafeterias, Inc. .................... 15,273
502 Ruby Tuesday Inc.* ......................... 13,115
881 Ryan's Family Steak House* ................. 7,296
509 Showbiz Pizza Time, Inc.* .................. 14,761
455 Sonic Corp.* ............................... 13,309
-----------
156,758
-----------
BUSINESS SERVICE (1.58%)
582 BISYS Group Inc.* .......................... 21,607
524 Catalina Marketing Corp.* .................. 25,316
482 Ciber Inc.* ................................ 32,174
772 DeVry Inc.* ................................ 26,248
594 National Data Corp. ........................ 26,136
566 Norrell Corp. .............................. 13,230
535 Pittson Services - Burlington .............. 11,803
-----------
156,514
-----------
OFFICE PRODUCT (0.08%)
250 New England Business Srvc. ................. 7,969
-----------
HEALTH CARE SERVICE (2.57%)
470 Coventry Corp.* ............................ 7,608
388 Express Scripts, Inc.* ..................... 30,264
758 Genesis Health Ventures* ................... 21,982
938 Integrated Health Services ................. 31,833
617 Lincare Holdings Inc.* ..................... 40,047
726 Magellan Health Srvs., Inc.* ............... 16,335
257 Rural/Metro Corp.* ......................... 8,770
302 Sierra Health Services, Inc.* .............. 11,061
782 Steris Corp.* .............................. 46,285
760 Universal Hlth Services - B* ............... 39,710
-----------
253,895
-----------
HEALTH & BEAUTY AIDS (0.15%)
555 Regis Corp. ................................ 14,985
-----------
Total Consumer Non-Durable ................. 1,891,140
-----------
BANKING & FINANCIAL SERVICE (13.53%)
BANK & BANK HOLDING CO. (5.51%)
12 Banc One Corp. ............................. 689
473 CCB Financial Corp. ........................ 51,380
570 Centura Banks, Inc. ........................ 40,399
430 Chemfirst Inc. ............................. 11,368
354 Cullen/Frost Bankers Inc. .................. 20,156
939 Deposit Guaranty Corp. ..................... 52,056
757 First Commercial Corp. ..................... 50,009
473 Firstbank Puerto Rico ...................... 18,713
1,106 Firstmerit Corp. ........................... 32,558
450 Hubco Inc. ................................. 16,425
107 JSB Financial, Inc. ........................ 5,758
1,032 Keystone Fin., Inc. ........................ 43,215
706 Magna Group, Inc. .......................... 41,080
841 Provident Financial Group .................. 43,101
948 Riggs Natl Corp. ........................... 25,122
877 St. Paul Bancorp ........................... 23,241
414 U.S. Trust Corp. ........................... 26,470
496 Whitney Holding Co. ........................ 31,310
441 Zero Corp. ................................. 11,687
-----------
544,737
-----------
SAVINGS & LOAN (1.27%)
567 Astoria Financial Corp. .................... 31,681
814 Commercial Federal Corp. ................... 28,795
908 Downey Financial Corp. ..................... 26,559
136 Onbancorp, Inc. ............................ 9,877
1,457 Sovereign Bancorp, Inc. .................... 28,229
-----------
125,141
-----------
FINANCE COMPANIES (0.88%)
327 Ahmanson H.F. & Co. ........................ 20,417
833 Amresco Inc.* .............................. 28,084
681 Pioneer Group, Inc. ........................ 20,345
506 Piper Jaffray Companies, Inc. .............. 18,596
-----------
87,442
-----------
INVESTMENT COMPANIES (1.12%)
234 Dain Rauscher Corp. ........................ 13,718
315 Eaton Vance Corp. .......................... 13,092
398 Legg Mason, Inc. ........................... 23,781
750 Raymond James Fncl. Corp ................... 29,906
509 SEI Investments Co. ........................ 30,031
-----------
110,528
-----------
INSURANCE (3.27%)
484 Allied Group, Inc. ......................... 15,246
750 American Bankers Ins. Grp .................. 42,188
505 Enhance Fncl. Svcs. Grp .................... 31,342
200 Executive Risk, Inc. ....................... 13,638
380 Fidelity National Fin Inc. ................. 11,115
502 Fremont General Corp. ...................... 29,461
629 Frontier Insurance Group ................... 14,821
27
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
INSURANCE (CONTINUED)
178 Gallagher Arthur J & Co. ................... $ 7,354
249 Life Re Corp. .............................. 15,843
596 Mutual Risk Mgmt., Ltd. .................... 19,072
400 Nac Re Corp. ............................... 20,575
502 Orion Capital Corp. ........................ 24,504
538 Protective Life Corp. ...................... 37,189
322 Selective Insurance Group .................. 8,835
418 Trenwick Group Inc. ........................ 15,257
600 Zenith Ntnl. Ins. Corp. .................... 16,387
-----------
322,827
-----------
REAL ESTATE (0.58%)
499 First American Finl.Corp ................... 29,753
780 Macdermid, Inc. ............................ 27,203
-----------
56,956
-----------
FINANCIAL SERVICE (0.91%)
274 Capital Re Corp. ........................... 16,971
481 Cash American Int'l., Inc. ................. 5,772
346 CMAC Investment Corp. ...................... 23,182
200 Envoy Corp. ................................ 8,125
634 National Auto Credit, Inc.* . .............. 1,030
1,000 PMT Services Inc. .......................... 17,750
404 Primark Corp.* ............................. 17,347
-----------
90,177
-----------
Total Banking & Financial Service 1,337,808
-----------
UTILITY (3.11%)
ELECTRIC (1.14%)
349 CIlCORP, Inc. .............................. 16,185
732 Eastern Utilities Assoc .................... 17,522
213 Interstate Power Co. ....................... 7,588
450 Orange & Rockland Utls ..................... 19,772
538 Sierra Pacific Resources ................... 19,301
354 TNP Enterprises, Inc. ...................... 11,372
455 United Illuminating Co. .................... 20,958
-----------
112,698
-----------
GAS (1.00%)
728 Atmos Energy Corp. ......................... 20,884
393 Central Hudson Gas & Elct .................. 15,966
523 Piedmont Natural Gas, Inc. ................. 16,213
514 Pool Energy Services Co.* .................. 12,143
211 Public Service Co. of NC ................... 4,550
486 Southwestern Energy Co. .................... 5,346
1,176 Vintage Petroleum, Inc. .................... 23,593
-----------
98,695
-----------
TELEPHONE (0.62%)
482 ACC Corp.* ................................. 24,100
914 Billing Information Concepts.* ............. 26,506
400 Blount Intl. Inc. - CL A ................... 11,125
-----------
61,731
-----------
WATER (0.35%)
821 Philadelphia Suburban Corp. ................ 18,011
847 United Water Resources, Inc. ............... 16,622
-----------
34,633
-----------
Total Utility .............................. $ 307,757
-----------
SERVICE (2.23%)
DISTRIBUTOR (0.76%)
56 Fisher Scientific Int'l., Inc. ............. 2,863
479 Hughes Supply, Inc. ........................ 16,615
594 Kent Electronics Corp.* .................... 13,254
100 Microage ................................... 1,288
880 Tech Data Corp.* ........................... 40,920
-----------
74,940
-----------
POLLUTION CONTROL (0.06%)
454 Dames & Moore, Inc. ........................ 5,845
-----------
BUSINESS (0.39%)
550 Am Oncology Resources ...................... 8,388
1,042 Interim Services, Inc.* .................... 30,218
-----------
38,606
-----------
MISCELLANEOUS (1.02%)
251 Bassett Furniture Inds., Inc. .............. 7,781
560 Central Parking Corp. ...................... 24,360
448 Stone & Webster, Inc. ...................... 18,508
249 Tetra Technologies, Inc.* .................. 6,007
968 True North Communications .................. 24,986
971 Tuboscope Vetco Intl. Co.* ................. 18,995
-----------
100,637
-----------
Total Service .............................. 220,028
-----------
TRANSPORTATION (2.26%)
AIR TRANSPORTATION (0.71%)
575 Air Express ................................ 16,100
1,493 Comair Holdings, Inc. ...................... 39,738
366 Expeditors Intl Wash, Inc. ................. 14,823
-----------
70,661
-----------
TRUCKING (1.23%)
749 American Freightways Corp.* ................ 7,724
1,107 Fritz Companies, Inc.* ..................... 15,360
437 Heartland Express, Inc. .................... 11,034
248 Landstar ................................... 7,378
214 M S Carriers, Inc. ......................... 5,644
993 Rollins Truck Leasing ...................... 19,798
555 US Freightways Corp. ....................... 19,390
824 Werner Enterprises, Inc. ................... 20,497
716 Yellow Corp. ............................... 15,081
-----------
Total Trucking ............................. 121,906
-----------
MISCELLANEOUS (0.31%)
723 AAR Corp. .................................. 21,961
379 Kirby Corp.* ............................... 8,883
-----------
30,844
-----------
Total Transportation ....................... 223,411
-----------
28
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
MANUFACTURING (10.50%)
CONSUMER DURABLE (1.16%)
730 Ethan Allen Interiors, Inc. ................ $ 40,698
683 Intermet Corp. ............................. 13,489
589 K2 Inc. .................................... 11,854
506 La-Z-Boy Chair Co. ......................... 24,256
311 Scotts Company Class A* .................... 10,574
703 Sturm Ruger & Co., Inc. .................... 14,192
-----------
115,063
-----------
BUILDING & HOUSING (0.87%)
84 Butler Manufacturing ....................... 2,961
1,136 Champion Enterprises, Inc.* ................ 28,542
850 D.R. Horton Inc. ........................... 19,816
630 Standard Pacific Corp. ..................... 10,907
540 U.S. Home Corp.* ........................... 23,659
-----------
85,885
-----------
CHEMICAL (1.04%)
407 Brady (WH) Co. ............................. 13,431
335 Cambrex Corp. .............................. 16,583
108 Chemed Corporation ......................... 4,266
356 Lilly Industries, Inc. ..................... 7,164
821 Mississippi Chemical Corp. ................. 15,189
512 OM Group, Inc. ............................. 22,752
496 Regeneron Pharmaceutical* .................. 4,030
220 Skywest Inc. ............................... 8,580
377 W D-40 Co. ................................. 10,933
-----------
102,928
-----------
DIVERSIFIED (0.90%)
833 Kemet Corp.* ............................... 17,701
507 Kulicke & Soffa Industries* ................ 14,069
600 Lukens Inc. ................................ 18,000
546 SPS Technologies Inc. ...................... 25,867
399 Standard Products, Inc. .................... 13,017
-----------
88,654
-----------
CAPITAL GOOD (0.50%)
400 Barnes Group Inc. .......................... 11,800
454 Standex International Corp. ................ 14,102
341 Tredegar Industries, Inc. .................. 23,870
-----------
49,772
-----------
PAPER & FOREST PRODUCT (0.69%)
1,014 Buckeye Cellulose Corp.* ................... 21,611
474 Caraustar Industries ....................... 15,998
428 Pope & Talbot, Inc. ........................ 5,885
499 TJ International, Inc. ..................... 14,970
601 Universal Forest Products .................. 9,541
-----------
68,005
-----------
METAL & MINERAL (1.25%)
477 AMCOL International Corp. .................. 6,797
926 Baldor Electric Co. ........................ 23,960
368 Castle (A.M.) & Co. ........................ 8,878
273 Commercial Metals Co. ...................... 8,736
1,418 Helca Mining Co.* .......................... 8,508
525 Myers Industries, Inc. ..................... 10,763
565 Pogo Producing Co. ......................... 15,855
300 Stillwater Mining Company .................. 6,450
707 Valmont Industries ......................... 15,819
459 Wolverine Tube, Inc.* ...................... 17,729
-----------
123,495
-----------
CONTAINER (0.07%)
301 Shorewood Packaging Corp.* ................. 7,375
-----------
COMPUTER (1.44%)
807 C Cube Microsystems* ....................... 16,745
1,006 Comverse Technology, Inc.* ................. 47,031
800 Exabyte Corp. .............................. 6,400
469 Gerber Scientific, Inc. .................... 9,292
250 Hadco Corp. ................................ 12,781
1,179 Komag, Inc.* ............................... 16,948
196 Kronos, Inc.* .............................. 6,762
495 Methode Electronics CL A ................... 6,992
743 Network Equip. Tech. Inc.* ................. 10,356
391 Telxon Corp. ............................... 9,140
-----------
142,447
-----------
NON-FERROUS METAL (0.33%)
384 Material Sciences* ......................... 4,680
499 Mueller Industries* ........................ 27,507
-----------
32,187
-----------
GOLD & PRECIOUS METAL (0.41%)
346 Alpharma, Inc. Class A ..................... 8,001
883 Coeur D'Alene Mines* ....................... 10,044
690 Getchell Gold Corp.* ....................... 12,851
260 Handy & Harman ............................. 9,474
-----------
40,370
-----------
MISCELLANEOUS (1.84%)
537 Arctic Cat, Inc. ........................... 5,370
1,029 Birmingham Steel Corp. ..................... 18,072
666 Delta & Pine Land Co. ...................... 25,266
200 Electro Scientific Inds Inc. ............... 7,600
357 Innovex, Inc. .............................. 8,300
495 Lydall, Inc.* .............................. 8,693
277 Medusa Corp. ............................... 13,106
556 Novellus Systems, Inc.* .................... 26,653
256 Quanex Corp. ............................... 8,480
534 Regal-Beloit Corp. ......................... 17,355
641 Roper Industries, Inc. ..................... 18,629
350 Watsco Inc. ................................ 9,581
573 WMS Industries, Inc.* ...................... 15,256
-----------
182,361
-----------
Total Manufacturing ........................ 1,038,542
-----------
TECHNOLOGY (11.78%)
OFFICE EQUIPMENT (0.09%)
274 Filenet Corp.* ............................. 9,145
-----------
ELECTRONIC (2.18%)
330 Applied Magnetics Co.* ..................... 3,939
538 BE Aerospace, Inc.* ........................ 15,837
29
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
550 Burr-Brown Corp. ........................... 22,619
964 Checkpoint Systems, Inc.* .................. 17,894
100 Dionex Corp. ............................... 5,838
426 Etec Systems, Inc.* ........................ 22,338
392 Fluke Corp. ................................ 9,531
100 Integrated Circuit Systems ................. 3,500
453 Itron, Inc.* ............................... 9,570
1,020 Read-Rite Corp.* ........................... 14,535
391 Sanmina Corp.* ............................. 31,158
250 Speedfam Int'l., Inc.* ..................... 6,672
200 Ultratech Stepper Inc. ..................... 4,550
440 Unitrode Corp.* ............................ 8,278
776 Vitesse Semiconductor* ..................... 39,406
-----------
215,665
-----------
BIO-TECHNOLOGY (0.97%)
1,026 Advanced Tissue Sciences ................... 11,158
944 Alliance Pharmaceutical* ................... 8,850
483 Cephalon, Inc.* ............................ 5,796
576 Dekalb Genetics Corp. Cl. B ................ 38,700
379 Enzo Biochem, Inc.* ........................ 5,045
337 Mycogen Corp.* ............................. 5,729
479 Protein Design Labs, Inc.* ................. 20,597
-----------
95,875
-----------
SOFTWARE (2.53%)
375 Access Health Inc. ......................... 13,594
742 Bantec, Inc.* .............................. 19,060
391 Boole & Babbage, Inc.* ..................... 13,099
535 Broederbund Software, Inc.* ................ 13,241
768 Cerner Corp.* .............................. 15,840
855 Cognex Corp.* .............................. 20,573
400 Computer Task Group Inc. ................... 16,325
357 Dialogic Corp.* ............................ 15,485
550 Inter Tel Inc. ............................. 12,169
1,436 Platinum Technology* ....................... 36,438
817 Sterling Software, Inc.* ................... 43,046
1,082 System Software Assoc., Inc.* .............. 8,047
600 VanstarCorporation ......................... 8,288
357 Vantive Corp.* ............................. 9,773
429 Xircom, Inc.* .............................. 5,523
-----------
250,501
-----------
BUSINESS - MECHANICS & SOFTWARE (0.77%)
150 Analysts International Corp. ............... 5,306
1,177 Axciom Corp.* .............................. 24,717
345 Fair Issac & Company, Inc. ................. 12,204
503 Henry (Jack) & Assoc ....................... 17,354
395 Hyperion Software Corp.* ................... 16,244
-----------
75,825
-----------
BUSINESS - SERVICE (0.86%)
856 American Mgmt. Systems* .................... 22,363
1,241 Anixter International* ..................... 21,407
633 Franklin Covey Co.* ........................ 15,429
400 Helix Technology Corp. ..................... 9,100
573 Zebra Tech CL A* ........................... 16,545
-----------
84,844
-----------
SEMICONDUCTOR (1.34%)
599 Dallas Semiconductor Corp.* ................ 28,453
553 Lattice Semiconductor Corp.* ............... 29,620
1,175 Microchip Tech.* ........................... 28,420
231 Park Electrochemical Corp. ................. 7,421
460 Photronics, Inc.* .......................... 13,513
1,136 S3, Inc.* .................................. 6,958
912 VLSI Technology* ........................... 17,613
-----------
131,998
-----------
TELECOMMUNICATION (1.64%)
601 Allen Telecom, Inc.* ....................... 10,480
1,148 Aspect Telecom. Corp.* ..................... 30,279
890 Auspex Systems, Inc.* ...................... 8,511
768 Digital Microwave Corp.* ................... 14,112
999 General Communication* ..................... 7,118
1,360 P Com, Inc.* ............................... 27,540
984 Picturetel Corp.* .......................... 7,072
321 Symmetricom, Inc.* ......................... 2,989
400 TCSI Corp. ................................. 3,050
1,464 Tel-Save Holdings, Inc.* ................... 40,534
528 Zilog, Inc.* ............................... 10,527
-----------
162,212
-----------
AEROSPACE AIRCRAFT (0.33%)
853 Orbital Sciences Corp.* .................... 32,521
-----------
TELECOM EQUIPMENT (0.15%)
243 Alliant Techsystems, Inc.* ................. 15,263
-----------
MISCELLANEOUS (0.92%)
460 Electroglas Inc. ........................... 8,510
1,356 Keane, Inc. ................................ 63,054
475 National Computer Sys., Inc. ............... 18,941
-----------
90,505
-----------
Total Technology ........................... 1,164,354
-----------
ENERGY (3.85%)
OIL & GAS - DOMESTIC (2.33%)
751 Barrett Resources Corp.* ................... 22,765
711 Benton Oil & Gas* .......................... 8,843
765 Cabot Oil & Gas Corp. ...................... 16,065
723 Cross Timbers Oil Co. ...................... 11,568
660 Devon Energy Corp. ......................... 22,481
239 Energen Corp. .............................. 9,276
401 HS Resources, Inc.* ........................ 5,614
627 KCS Energy, Inc. ........................... 11,129
199 New Jersey Resources ....................... 7,264
792 Newfield Exploration Co. ................... 19,008
547 Northwest Natural Gas ...................... 15,419
395 Plains Resources, Inc.* .................... 6,246
2,225 Santa Fe Energy Res.* ...................... 24,892
749 Snyder Oil Corp. ........................... 13,950
30
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1998
(unaudited)
Shares Value
------ -----
OIL & GAS - DOMESTIC (CONTINUED)
692 Southwest Gas .............................. 14,013
784 United Meridian Corp.* ..................... 21,413
-----------
229,946
-----------
OIL & GAS - INTERNATIONAL (0.11%)
303 St. Mary Land & Explor ..................... 10,984
-----------
OIL & GAS - SERVICE (0.54%)
762 Global Industrial Tech.* ................... 11,954
462 Oceaneering International* ................. 7,652
321 Offshore Logistics, Inc.* .................. 5,658
934 Pride Petroleum Services* .................. 21,307
420 Seitel, Inc.* .............................. 6,773
-----------
53,344
-----------
NATURAL GAS (0.53%)
532 K N Energy, Inc. ........................... 27,631
214 Pennsylvania Ent ........................... 5,377
402 Wicor, Inc. ................................ 19,221
-----------
52,229
-----------
MISCELLANEOUS (0.34%)
750 General Semiconductor Inc. ................. 10,453
1,087 Input/Output, Inc.* ........................ 23,425
-----------
33,878
-----------
Total Energy ............................... 380,381
-----------
Total Common Stock
(cost $6,919,453) ....................... 7,901,211
-----------
Par
Value
-----
SHORT-TERM INVESTMENTS (20.43%)
UNITED STATES TREASURY BILLS
$1,500,000 5.570% 09/18/97 (b) ........................ 1,795,556
82,632 PORTICO U.S. GOVERNMENT MONEY MARKET FUND .. 82,632
140,143 PORTICO INSTITUTIONAL MONEY MARKET FUND .... 140,143
-----------
Total Short-Term Investments (Cost $2,018,331) 2,018,331
-----------
Total Investments (Cost $8,937,784)(100.35%) 9,919,542
Liabilities in Excess of Other Assets (-0.35%) (34,733)
-----------
Net Assets (100.00%) .................... $ 9,884,809
===========
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $8,937,784. At February
28, 1998, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation .................... $ 1,465,598
Unrealized depreciation .................... (483,840)
-----------
Net unrealized appreciation ............. $ 981,758
===========
(b) At February 28, 1998, certain United States Treasury Bills with a market
value of $370,000 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1998 (Contracts - $500 times
premium/delivery month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
Russell 2000 Stock Index:
7//March 98/Long ...................................... $ 79,923
1/June 98/Long ........................................ 3,817
-----------
$ 83,740
===========
See accompanying notes to financial statements
31
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1998
(unaudited)
<TABLE>
<CAPTION>
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
------------- ------------- -------------
ASSETS
<S> <C> <C> <C>
Investments at market value (identified cost
$101,878,277, $205,688,639 and $20,956,877
respectively) (Note 1) .......................... $ 101,878,277 $ 224,986,913 $ 21,832,775
Cash (overdraft) ................................ 3,458 57,702 39,762
Interest receivable ............................. 805,008 3,047,335 307,260
Receivable for fund shares sold ................. -- -- --
------------- ------------- -------------
Total assets ................................ 102,686,743 228,091,950 22,179,797
------------- ------------- -------------
LIABILITIES
Payable for investments purchased ............... -- -- --
Payable for fund shares repurchased ............. -- -- --
Payable to Investment Advisor ................... 25,835 -- 4,639
Accrued expenses ................................ 26,711 103,251 13,019
Distributions payable ........................... 209,431 765,182 68,723
------------- ------------- -------------
Total liabilities ........................... 261,977 868,433 86,381
------------- ------------- -------------
Net Assets:
(Applicable to 102,488,136, 17,390,503 and
2,039,248 shares of beneficial interest with
no par value, unlimited number of shares
authorized) ..................................... $ 102,424,766 $ 227,223,517 $ 22,093,416
============= ============= =============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$102,424,766 / 102,488,136 shares ............... $ 1.00
=============
$227,223,517 / 17,390,503 shares ................ $ 13.07
=============
$22,093,416 / 2,039,248 shares .................. $ 10.83
=============
Net assets at February 28, 1998 consisted of:
Paid-in capital ................................. $ 102,488,137 $ 207,416,071 $ 21,026,338
Undistributed net investment income ............. -- 55,913 4,951
Accumulated net realized gains (losses) ......... (63,371) 453,259 186,229
Unrealized appreciation of investments .......... -- 19,298,274 875,898
------------- ------------- -------------
$ 102,424,766 $ 227,223,517 $ 22,093,416
============= ============= =============
</TABLE>
See accompanying notes to financial statements
32
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1998
(unaudited)
<TABLE>
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
------------ ------------ ------------ ------------
ASSETS
<S> <C> <C> <C> <C>
Investments at market value (identified cost
$34,059,587, $37,829,070, $55,367,410
and $36,104,728 respectively) (Note 1) ........... $ 35,237,097 $ 37,829,070 $ 88,723,682 $ 52,773,620
Cash (overdraft) ................................. 73,371 94,517 -- (2,143)
Interest receivable .............................. 252,700 -- 15,145 8,804
Dividends receivable ............................. -- -- 128,342 41,891
Receivable for fund shares sold .................. -- -- 7,192 --
Receivable for investments sold .................. -- -- -- 111,814
Variation margin receivable (payable) ............ -- -- 560 (18,560)
------------ ------------ ------------ ------------
Total assets .................................. 35,563,168 37,923,587 88,874,921 52,915,426
------------ ------------ ------------ ------------
LIABILITIES
Payable to Investment Advisor .................... 12,659 4,359 4,873 9,708
Accrued expenses ................................. 10,311 14,199 9,832 3,361
Payable for investments purchased ................ -- -- -- 81,519
Payable for fund shares repurchased .............. -- -- 21 --
Distributions payable ............................ 150,093 118,890 -- --
------------ ------------ ------------ ------------
Total liabilities ............................. 173,063 137,448 14,726 94,588
------------ ------------ ------------ ------------
Net Assets:
(Applicable to 3,284,303, 37,783,402,
3,881,611 and 2,729,654 shares of
beneficial interest with no par value,
unlimited number of shares authorized) ........... $ 35,390,105 $ 37,786,139 $ 88,860,195 $ 52,820,838
============ ============ ============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$35,390,105 / 3,284,303 shares ................... $ 10.78
============
$37,786,139 / 37,783,402 shares .................. $ 1.00
============
$88,860,195 / 3,881,611 shares ................... $ 22.89
============
$52,820,838 / 2,729,654 shares ................... $ 19.35
============
Net assets at February 28, 1998 consisted of:
Paid-in capital .................................. $ 33,985,340 $ 37,783,504 $ 54,459,840 $ 34,395,280
Undistributed net investment income .............. 11,504 -- 217,802 102,135
Undistributed net realized gains ................. 215,751 2,635 382,321 1,290,796
Unrealized appreciation
of investments ................................ 1,177,510 -- 33,356,272 16,668,892
Unrealized appreciation of futures contracts ..... -- -- 443,960 363,735
------------ ------------ ------------ ------------
$ 35,390,105 $ 37,786,139 $ 88,860,195 $ 52,820,838
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
33
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1998
(unaudited)
<TABLE>
<CAPTION>
S&P
SmallCap Equity
Index Income
Fund Fund
------------ ------------
ASSETS
<S> <C> <C>
Investments at market value
(identified cost $8,937,784
and $8,661,443 respectively) (Note 1) ............ $ 9,919,542 $ 10,283,301
Cash ............................................. 9 --
Interest receivable .............................. 1,270 2,365
Dividends receivable ............................. 3,672 24,364
Receivable for investments sold .................. 6,085 --
Receivable from Investment Advisor ............... 972 --
Variation margin receivable (payable) ............ (7,000) 9,000
Deferred organization costs ...................... 9,052 17,919
------------ ------------
Total assets ................................. 9,933,602 10,336,949
------------ ------------
LIABILITIES
Payable for investments purchased ................ 39,430 --
Payable to Investment Advisor .................... -- 1,126
Accrued expenses ................................. 9,363 10,635
------------ ------------
Total liabilities ............................. 48,793 11,761
------------ ------------
Net Assets:
(Applicable to 765,671 and 748,863
shares of beneficial interest with no par value,
unlimited number of shares authorized) ........... $ 9,884,809 $ 10,325,188
============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$9,884,809 / 765,671 shares ...................... $ 12.91
============
$10,325,188 / 748,863 shares ..................... $ 13.79
============
Net assets at February 28, 1998 consisted of:
Paid-in capital .................................. $ 8,774,664 $ 8,438,927
Undistributed net investment income .............. 14,536 45,309
Undistributed net realized gains ................. 30,111 56,324
Unrealized appreciation
of investments ................................ 981,758 1,621,858
Unrealized appreciation
of futures contracts .......................... 83,740 162,770
------------ ------------
$ 9,884,809 $ 10,325,188
============ ============
</TABLE>
See accompanying notes to financial statements
34
<PAGE>
STATEMENTS OF OPERATIONS
For Six Months Ended February 28, 1998
(unaudited)
<TABLE>
<CAPTION>
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
----------- ----------- -----------
Investment Income:
<S> <C> <C> <C>
Interest income .................................. $ 1,876,804 $ 5,470,607 $ 538,206
----------- ----------- -----------
Expenses:
Management fees (Note 2) ......................... 270,341 509,216 57,526
Transfer agent fees .............................. 18,250 34,363 5,376
Accounting services .............................. 12,012 38,525 12,975
Custodian fees ................................... 10,737 19,068 2,631
Legal and audit fees ............................. 5,346 38,978 2,473
Trustees fees .................................... 2,068 2,019 1,959
Insurance ........................................ 477 821 93
Printing ......................................... 1,620 4,563 869
Registration & dues .............................. 2,479 2,985 2,159
----------- ----------- -----------
Total expenses ............................... 323,330 650,538 86,061
Less reimbursement from manager (Note 2) (104,914) -- (22,782)
----------- ----------- -----------
Net expenses ................................. 218,416 650,538 63,279
----------- ----------- -----------
Net investment income ................... 1,658,388 4,820,069 474,927
----------- ----------- -----------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions ..... -- 479,348 205,608
Increase in unrealized appreciation of investments -- 6,325,965 161,187
----------- ----------- -----------
Net realized and unrealized gain on
investments .................................. -- 6,805,313 366,795
----------- ----------- -----------
Net increase in net assets resulting
from operations .............................. $ 1,658,388 $11,625,382 $ 841,722
=========== =========== ===========
</TABLE>
See accompanying notes to financial statements
35
<PAGE>
STATEMENTS OF OPERATIONS
For Six Months Ended February 28, 1998
(unaudited)
<TABLE>
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
------------ ------------ ------------ ------------
Investment Income:
<S> <C> <C> <C> <C>
Interest income .................................. $ 1,027,195 $ 1,230,941 $ 137,737 $ 136,665
Dividend income .................................. -- -- 598,356 277,281
------------ ------------ ------------ ------------
Total ........................................ 1,027,195 1,230,941 736,093 413,946
------------ ------------ ------------ ------------
Expenses:
Management fees (Note 2) ......................... 81,917 118,519 93,241 97,479
Transfer agent fees .............................. 8,009 6,228 11,791 7,423
Accounting services .............................. 11,919 9,357 13,829 12,395
Custodian fees ................................... 4,317 3,816 11,376 5,232
Legal and audit fees ............................. 3,610 3,461 5,384 3,647
Trustees fees .................................... 1,020 903 1,015 1,011
Insurance ........................................ 120 157 1,594 197
Printing ......................................... 1,661 605 3,251 1,992
Registration & dues .............................. 1,689 10,088 3,474 2,141
Standard & Poor's licensing fees ................. -- -- 5,080 5,039
------------ ------------ ------------ ------------
Total expenses ............................... 114,262 153,134 150,035 136,556
Less reimbursement from manager (Note 2) (7,770) (58,245) (71,825) (39,077)
------------ ------------ ------------ ------------
Net expenses ................................. 106,492 94,889 78,210 97,479
------------ ------------ ------------ ------------
Net investment income ................... 920,703 1,136,052 657,883 316,467
------------ ------------ ------------ ------------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions ..... 271,553 2,631 160,381 1,276,283
Net realized gain from futures contracts ......... -- -- 499,458 423,920
Increase in unrealized appreciation of investments 1,172,946 -- 11,424,890 4,066,944
Increase in unrealized gain from futures contracts -- -- 168,995 42,780
------------ ------------ ------------ ------------
Net realized and unrealized gain on
investments .................................. 1,444,499 2,631 12,253,724 5,809,927
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations .............................. $ 2,365,202 $ 1,138,683 $ 12,911,607 $ 6,126,394
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
36
<PAGE>
STATEMENTS OF OPERATIONS
For Six Months Ended February 28, 1998
(unaudited)
<TABLE>
<CAPTION>
S&P
SmallCap Equity
Index Income
Fund Fund
----------- -----------
Investment Income:
<S> <C> <C>
Interest income .................................. $ 53,177 $ 98,843
Dividend income .................................. 26,208 78,683
----------- -----------
Total ........................................ 79,385 177,526
----------- -----------
Expenses:
Management fees (Note 2) ......................... 22,633 25,076
Transfer agent fees .............................. 5,663 5,348
Accounting services .............................. 14,372 9,767
Custodian fees ................................... 6,811 2,896
Legal and audit fees ............................. 2,978 3,141
Trustees fees .................................... 1,120 1,001
Insurance ........................................ 56 48
Printing ......................................... 1,077 726
Registration & dues .............................. 2,369 2,651
Standard & Poor's licensing fees ................. 529 --
Amortization of deferred organizational costs .... 1,247 2,538
----------- -----------
Total expenses ............................... 58,855 53,192
----------- -----------
Less reimbursement from manager (Note 2) (29,432) (13,170)
----------- -----------
Net expenses ................................. 29,423 40,022
----------- -----------
Net investment income ................... 49,962 137,504
----------- -----------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions ..... 144,676 2,459
Net realized gain (loss) from futures contracts .. (39,485) 209,900
Change in unrealized appreciation of investments . 432,896 857,466
Change in unrealized gain from futures contracts . 33,857 54,425
----------- -----------
Net realized and unrealized gain on
investments .................................. 571,944 1,124,250
----------- -----------
Net increase in net assets resulting
from operations .............................. $ 621,906 $ 1,261,754
=========== ===========
</TABLE>
See accompanying notes to financial statements
37
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
California Tax-Free California Tax-Free
Money Market Fund Income Fund
----------------------------- -----------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1998 August 31, February 28, 1998 August 31,
(Unaudited) 1997 (Unaudited) 1997
------------ ------------ ------------ ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income .................. $ 1,658,388 $ 2,947,243 $ 4,820,069 $ 9,627,463
Net realized gain on investments ....... -- 5,971 479,348 3,204,625
Increase in unrealized
appreciation of investments ......... -- -- 6,325,965 6,012,149
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations .... 1,658,388 2,953,214 11,625,382 18,844,237
Undistributed investment income
included in price of shares sold
and repurchased ..................... -- -- 53,706 84,784
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income .............................. (1,658,388) (2,947,243) (4,937,921) (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 ....................... 9,606,577 (10,589,839) 11,387,309 7,946,108
------------ ------------ ------------ ------------
Total increase (decrease) .............. 9,606,577 (10,583,868) 15,025,124 17,272,810
NET ASSETS
Beginning of period .................... 92,818,189 103,402,057 212,198,393 194,925,583
------------ ------------ ------------ ------------
End of period .......................... $102,424,766 $ 92,818,189 $227,223,517 $212,198,393
============ ============ ============ ============
* Including undistributed net
investment income of: ............... $ -- $ -- $ 55,913 $ 111,572
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
38
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS - (Continued)
<TABLE>
<CAPTION>
California Insured U.S. Government
Intermediate Fund Securities Fund
----------------------------- -----------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1998 August 31, February 28, 1998 August 31,
(Unaudited) 1997 (Unaudited) 1997
------------ ------------ ------------ ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income .................. $ 474,927 $ 1,077,425 $ 920,703 $ 1,814,151
Net realized gain on investments ....... 205,608 130,038 271,553 181,246
Increase in unrealized
appreciation of investments ......... 161,187 552,302 1,172,946 889,918
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations .... 841,722 1,759,765 2,365,202 2,885,315
Undistributed investment income
included in price of shares sold
and repurchased ................... (4,148) (6,547) 7,123 (875)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income .............................. (481,075) (1,068,379) (967,748) (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 ....................... (2,542,183) (501,814) 2,927,961 1,510,204
------------ ------------ ------------ ------------
Total increase (decrease) .............. (2,296,338) 183,025 4,113,318 2,189,023
NET ASSETS
Beginning of period .................... 24,389,754 24,206,729 31,276,787 29,087,764
------------ ------------ ------------ ------------
End of period .......................... $ 22,093,416 $ 24,389,754 $ 35,390,105 $ 31,276,787
============ ============ ============ ============
* Including undistributed net
investment income of: ............... $ 4,951 $ 10,249 $ 11,504 $ 51,427
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
39
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS - (Continued)
The United States
Treasury Trust
-----------------------------
Six Months Ended Year Ended
February 28, 1998 August 31,
(Unaudited) 1997
------------- -------------
OPERATIONS:
Net investment income ................. $ 1,136,052 $ 2,030,379
Net realized gain on investments ...... 2,631 (1,524)
------------- -------------
Net increase in net
assets resulting from operations ... 1,138,683 2,028,855
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................. (1,136,053) (2,030,379)
Distributions from realized capital
gains on investments ............... -- --
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ...................... (66,725,467) 66,607,794
------------- -------------
Total increase (decrease) ............. (66,722,837) 66,606,270
NET ASSETS
Beginning of period ................... 104,508,976 37,902,706
------------- -------------
End of period* ........................ $ 37,786,139 $ 104,508,976
============= =============
* Including undistributed net
investment income of: .............. $ -- $ --
============= =============
See accompanying notes to financial statements
40
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS - (Continued)
<TABLE>
<CAPTION>
S&P 500 S&P MidCap
Index Fund Index Fund
----------------------------- -----------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1998 August 31, February 28, 1998 August 31,
(Unaudited) 1997 (Unaudited) 1997
------------ ------------ ------------ ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income .................. $ 657,883 $ 1,241,962 $ 316,467 $ 545,773
Net realized gain on investments ....... 160,381 217,651 1,276,283 2,948,458
Net realized gain on
futures contracts ................... 499,458 1,325,380 423,920 534,845
Increase in unrealized
appreciation of investments ......... 11,424,890 15,741,854 4,066,944 7,983,701
Increase in unrealized
appreciation of futures contracts ... 168,995 354,370 42,780 324,290
------------ ------------ ------------ ------------
Net increase in net
assets resulting from operations .... 12,911,607 18,881,217 6,126,394 12,337,067
Undistributed investment income
included in price of shares sold
and repurchased .................... 7,400 23,729 960 1,875
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income .............................. (555,850) (1,199,941) (314,153) (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 ....................... 6,057,176 11,175,794 4,307,761 2,618,293
------------ ------------ ------------ ------------
Total increase ......................... 17,000,326 28,010,471 6,549,937 12,711,815
NET ASSETS
Beginning of period .................... 71,859,869 43,849,398 46,270,901 33,559,086
------------ ------------ ------------ ------------
End of period .......................... $ 88,860,195 $ 71,859,869 $ 52,820,838 $ 46,270,901
============ ============ ============ ============
* Including undistributed net
investment income of: ............... $ 217,802 $ 108,369 $ 102,135 $ 98,859
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
41
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS - (Continued)
<TABLE>
<CAPTION>
S&P SmallCap Equity
Index Fund Income Fund
------------------------------- --------------------------------
Six Months Ended October 2, 1996* Six Months Ended September 2, 1996*
February 28, 1998 August 31, February 28, 1998 August 31,
(Unaudited) 1997 (Unaudited) 1997
------------ ------------ ------------ ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income .................. $ 49,962 $ 58,804 $ 137,504 $ 146,075
Net realized gain on investments ....... 144,676 60,141 2,459 1,693
Net realized gain (loss) on
futures contracts ................... (39,485) 165,958 209,900 200,285
Increase in unrealized
appreciation of investments ......... 432,896 548,862 857,466 764,392
Increase in unrealized
appreciation of futures contracts ... 33,857 49,883 54,425 108,345
----------- ----------- ------------ -----------
Net increase in net
assets resulting from operations .... 621,906 883,648 1,261,754 1,220,790
Undistributed investment income
included in price of shares sold
and repurchased .................... 7,552 13,450 (513) 31,249
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income .............................. (56,746) (58,486) (142,980) (126,024)
Distributions from realized capital
gains on investments ................ (301,178) -- (304,322) (53,691)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... 3,680,354 5,094,309 (235,270) 8,674,195
----------- ----------- ------------ -----------
Total increase ......................... 3,951,888 5,932,921 578,669 9,746,519
NET ASSETS
Beginning of period .................... 5,932,921 -- 9,746,519 --
----------- ----------- ------------ -----------
End of period .......................... $ 9,884,809 $ 5,932,921 10,325,188 9,746,519
=========== =========== ============ ===========
** Including undistributed net
investment income of: .............. $ 14,536 $ 13,768 $ 45,309 $ 51,300
=========== =========== ============ ===========
</TABLE>
* Commencement of Operations
See accompanying notes to financial statements
42
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS - (Continued)
<TABLE>
<CAPTION>
California Tax Free Income Fund
---------------------------------------------------------------
Six Months Ended
February 28, 1998 Year Ended
(Unaudited) August 31, 1997
---------------------------- ------------------------------
Shares Value Shares Value
----------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ......................... 6,857,263 $ 89,073,706 15,518,073 $ 195,235,391
Shares issued in reinvestment of
dividends ........................ 435,769 5,624,280 556,169 7,038,369
----------- ------------ ------------ -------------
7,293,032 94,697,986 16,074,242 202,273,760
Shares repurchase ................... (6,405,923) (83,310,677) (15,411,321) (194,327,652)
----------- ------------ ------------ -------------
Net increase ..................... 887,109 $ 11,387,309 662,921 $ 7,946,108
=========== ============ ============ =============
<CAPTION>
California Insured Intermediate Fund
---------------------------------------------------------------
Six Months Ended
February 28, 1998 Year Ended
(Unaudited) August 31, 1997
---------------------------- ------------------------------
Shares Value Shares Value
----------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ......................... 113,749 $ 1,228,837 553,257 $ 5,868,595
Shares issued in reinvestment of
dividends ........................ 33,424 358,819 65,488 694,600
----------- ------------ ------------ -------------
147,173 1,587,656 618,745 6,563,195
Shares repurchased .................. (383,068) (4,129,839) (665,994) (7,065,009)
----------- ------------ ------------ -------------
Net increase ..................... (235,895) $ (2,542,183) (47,249) $ (501,814)
=========== ============ ============ =============
<CAPTION>
California Tax-Free The United States
Money Market Fund Treasury Trust
---------------------------- ------------------------------
Six Months Ended Six Months Ended
February 28, 1998 Year Ended February 28, 1998 Year Ended
(Unaudited) August 31, 1997 (Unaudited) August 31, 1997
Shares/Value Shares/Value Shares/Value Shares/Value
----------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ......................... 159,307,615 227,563,107 62,967,617 $ 177,112,223
Shares issued in reinvestment of
dividends ........................ 1,380,518 2,752,018 929,617 1,911,369
----------- ------------ ------------ -------------
160,688,133 230,315,125 63,897,234 179,023,592
Shares repurchased .................. (151,081,556) (240,904,964) (130,622,701) (112,415,798)
----------- ------------ ------------ -------------
Net increase (decrease) .......... 9,606,577 (10,589,839) (66,725,467) 66,607,794
=========== ============ ============ =============
</TABLE>
See accompanying notes to financial statements
43
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS - (Continued)
<TABLE>
<CAPTION>
U.S. Government Securities Fund
---------------------------------------------------------------
Six Months Ended
February 28, 1998 Year Ended
(Unaudited) August 31, 1997
---------------------------- ------------------------------
Shares Value Shares Value
----------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ......................... 810,779 $ 8,707,352 902,210 $ 9,397,314
Shares issued in reinvestment of
dividends ........................ 66,979 715,895 140,590 1,478,128
----------- ------------ ------------ -------------
877,758 9,423,247 1,042,800 10,875,442
Shares repurchased .................. (605,778) (6,495,286) (897,543) (9,365,238)
----------- ------------ ------------ -------------
Net increase ..................... 271,980 $ 2,927,961 145,257 $ 1,510,204
=========== ============ ============ =============
<CAPTION>
S&P 500 Index Fund
---------------------------------------------------------------
Six Months Ended
February 28, 1998 Year Ended
(Unaudited) August 31, 1997
---------------------------- ------------------------------
Shares Value Shares Value
----------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ......................... 415,721 $ 8,773,081 995,232 $ 17,627,409
Shares issued in reinvestment
dividends ........................ 90,291 1,884,605 116,363 1,976,364
----------- ------------ ------------ -------------
506,012 10,657,686 1,111,595 19,603,773
Shares repurchased .................. (220,931) (4,600,510) (475,659) (8,427,979)
----------- ------------ ------------ -------------
Net increase ..................... 285,081 $ 6,057,176 635,936 $ 11,175,794
=========== ============ ============ =============
<CAPTION>
S&P MidCap Index Fund
---------------------------------------------------------------
Six Months Ended
February 28, 1998 Year Ended
(Unaudited) August 31, 1997
---------------------------- ------------------------------
Shares Value Shares Value
----------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ......................... 148,474 $ 2,801,024 393,161 $ 6,202,187
Shares issued in reinvestment of
dividends ........................ 194,939 3,452,352 135,895 2,070,573
----------- ------------ ------------ -------------
343,413 6,253,376 529,056 8,272,760
Shares repurchased .................. (105,972) (1,945,615) (359,660) (5,654,467)
----------- ------------ ------------ -------------
Net increase ..................... 237,441 $ 4,307,761 169,396 $ 2,618,293
=========== ============ ============ =============
</TABLE>
See accompanying notes to financial statements
44
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS - (Continued)
<TABLE>
<CAPTION>
S&P SmallCap Index Fund
---------------------------------------------------------------
Six Months Ended October 2, 1996*
February 28, 1998 to
(Unaudited) August 31, 1997
---------------------------- ------------------------------
Shares Value Shares Value
----------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ......................... 407,186 $ 5,222,235 527,577 $ 5,546,419
Shares issued in reinvestment of
dividends ........................ 28,505 343,780 5,093 52,289
----------- ------------ ------------ -------------
435,691 5,566,015 532,670 5,598,708
Shares repurchased .................. (154,229) (1,885,661) (48,460) (504,399)
----------- ------------ ------------ -------------
Net increase ..................... 281,462 $ 3,680,354 484,210 $ 5,094,309
=========== ============ ============ =============
<CAPTION>
Equity Income Fund
---------------------------------------------------------------
Six Months Ended September 4, 1996*
February 28, 1998 to
(Unaudited) August 31, 1997
---------------------------- ------------------------------
Shares Value Shares Value
----------- ------------ ------------ -------------
<S> <C> <C> <C> <C>
Shares sold ......................... 133,068 $ 1,743,127 808,442 $ 9,069,892
Shares issued in reinvestment of
dividends ........................ 33,482 432,988 15,282 172,099
----------- ------------ ------------ -------------
166,550 2,176,115 823,724 9,241,991
Shares repurchased .................. (188,755) (2,411,385) (52,657) (567,796)
----------- ------------ ------------ -------------
Net increase (decrease) .......... (22,205) $ (235,270) 771,067 $ 8,674,195
=========== ============ ============ =============
</TABLE>
* Commencement of Operations
See accompanying notes to financial statements
45
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
California Tax-Free Money Market Fund
-------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1998 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1997 1996 1995 1994 1993
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. .016 0.031 0.032 0.032 0.022 0.022
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.016) (0.031) (0.032) (0.032) (0.022) (0.022)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ======== ========
Total Return ............................. 1.62% 3.09% 3.26% 3.27% 2.18% 2.27%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .. $102,425 $ 92,818 $103,402 $ 80,412 $ 85,935 $ 58,754
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.59%* 0.61% 0.61% 0.66% 0.68% 0.39%
After expense reimbursements ... 0.40%* 0.40% 0.40% 0.40% 0.35% 0.24%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 2.85%* 2.86% 2.90% 2.97% 1.83% 2.10%
After expense reimbursements ... 3.04%* 3.07% 3.11% 3.23% 2.16% 2.25%
</TABLE>
See accompanying notes to the financial statements
* Annualized
46
<PAGE>
FINANCIAL HIGHLIGHTS - (Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1998 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1997 1996 1995 1994 1993
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 12.86 $ 12.31 $ 12.22 $ 12.17 $ 13.39 $ 12.42
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. 0.28 0.60 0.62 0.61 0.65 0.69
Net gain (loss) on securities (both
realized and unrealized) ........... 0.39 0.54 0.09 0.30 (0.92) 1.04
-------- -------- -------- -------- -------- --------
Total from investment operations 0.67 1.14 0.71 0.91 (0.27) 1.73
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.28) (0.59) (0.62) (0.66) (0.66) (0.68)
Distributions from capital gains ...... (0.18) -- -- (0.20) (0.29) (0.08)
-------- -------- -------- -------- -------- --------
Total distributions ............. (0.46) (0.59) (0.62) (0.86) (0.95) (0.76)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 13.07 $ 12.86 $ 12.31 $ 12.22 $ 12.17 $ 13.39
======== ======== ======== ======== ======== ========
Total Return ............................. 5.45% 9.48% 5.40% 8.01% (2.15)% 14.55%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .. $227,224 $212,198 $194,926 $196,046 $225,087 $274,325
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.60%* 0.59% 0.60% 0.62% 0.60% 0.60%
After expense reimbursements ... 0.60%* 0.59% 0.60% 0.62% 0.60% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 4.48%* 4.75% 4.96% 5.13% 5.09% 5.41%
After expense reimbursements ... 4.48%* 4.75% 4.96% 5.13% 5.09% 5.41%
Portfolio Turnover .................... 4.39%* 34.96% 10.34% 32.21% 31.27% 25.42%
</TABLE>
* Annualized
See accompanying notes to the financial statements
47
<PAGE>
FINANCIAL HIGHLIGHTS - (Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
California Insured Intermediate Fund
-------------------------------------------------------------------------------
October
Six Months Ended Year Ended Year Ended Year Ended Year Ended 1992** to
February 28, 1998 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1997 1996 1995 1994 1993
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 10.72 $ 10.42 $ 10.49 $ 10.23 $ 10.65 $ 10.00
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. 0.24 0.45 0.46 0.44 0.44 0.40
Net gain (loss) on securities (both
realized and unrealized) ............ 0.16 0.30 (0.07) 0.30 (0.42) 0.61
-------- -------- -------- -------- -------- --------
Total from investment operations .. 0.40 0.75 0.39 0.74 0.02 1.01
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.24) (0.45) (0.46) (0.48) (0.44) (0.36)
Distributions from capital gains ...... (0.05) -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total distributions ............. (0.29) (0.45) (0.46) (0.48) (0.44) (0.36)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 10.83 $ 10.72 $ 10.42 $ 10.49 $ 10.23 $ 10.65
======== ======== ======== ======== ======== ========
Total Return ............................. 3.63% 7.34% 3.75% 7.46% 0.23% 11.91%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .. $ 22,093 $ 24,390 $ 24,207 $ 23,515 $ 21,800 $ 11,145
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.75%* 0.70% 0.70% 0.76% 0.88% 2.00%*
After expense reimbursements ... 0.55%* 0.55% 0.55% 0.60% 0.46% 0.16%*
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 3.93%* 4.12% 4.22% 4.19% 3.77% 2.75%*
After expense reimbursements ... 4.13%* 4.27% 4.37% 4.35% 4.19% 4.59%*
Portfolio Turnover .................... 13.32%* 32.11% 36.08% 43.56% 8.91% --
</TABLE>
* Annualized
** Commencement of operations
See accompanying notes to the financial statements
48
<PAGE>
FINANCIAL HIGHLIGHTS - (Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
U.S. Government Securities Fund
-------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1998 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1997 1996 1995 1994 1993
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 10.38 $ 10.15 $ 10.66 $ 10.30 $ 11.76 $ 10.52
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. 0.31 0.64 0.66 0.70 0.67 0.71
Net gain (loss) on securities (both
realized and unrealized) ........... 0.45 0.36 (0.51) 0.41 (1.40) 1.29
-------- -------- -------- -------- -------- --------
Total from investment operations 0.76 1.00 0.15 1.11 (0.73) 2.00
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.29) (0.63) (0.66) (0.75) (0.67) (0.71)
Distributions from capital gains ...... (0.07) (0.14) -- -- (0.06) (0.05)
-------- -------- -------- -------- -------- --------
Total distributions ............. (0.36) (0.77) (0.66) (0.75) (0.73) (0.76)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 10.78 $ 10.38 $ 10.15 $ 10.66 $ 10.30 $ 11.76
======== ======== ======== ======== ======== ========
Total Return ............................. 7.66% 10.00% 1.26% 11.42% (6.44)% 20.09%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .. $ 35,390 $ 31,277 $ 29,088 $ 29,884 $ 30,228 $ 35,787
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.70%* 0.69% 0.71% 0.75% 0.73% 0.75%
After expense reimbursements ... 0.65%* 0.65% 0.65% 0.64% 0.62% 0.52%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 5.56%* 6.00% 6.10% 6.72% 5.99% 6.32%
After expense reimbursements ... 5.61%* 6.04% 6.16% 6.83% 6.10% 6.55%
Portfolio Turnover .................... 170.76% 89.11% 169.83% 129.06% 52.30%
</TABLE>
* Annualized
See accompanying notes to the financial statements
49
<PAGE>
FINANCIAL HIGHLIGHTS - (Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1998 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1997 1996 1995 1994 1993
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. 0.030 0.048 0.050 0.050 0.031 0.028
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.030) (0.048) (0.050) (0.050) (0.031) (0.028)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ======== ========
Total Return ............................. 3.03% 4.92% 5.11% 5.10% 3.11% 2.86%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .. $ 37,786 $104,509 $ 37,903 $ 29,797 $ 19,268 $ 28,449
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.65%* 0.64% 0.66% 0.72% 0.75% 0.65%
After expense reimbursements ... 0.40%* 0.40% 0.43% 0.50% 0.52% 0.32%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 4.54%* 4.58% 4.60% 4.75% 2.62% 2.43%
After expense reimbursements ... 4.79%* 4.82% 4.83% 4.97% 2.85% 2.76%
</TABLE>
* Annualized
See accompanying notes to the financial statements
50
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
S&P 500 Index Fund
-------------------------------------------------------------------------------
April 20,
Six Months Ended Year Ended Year Ended Year Ended Year Ended 1992** to
February 28, 1998 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1997 1996 1995 1994 1993
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 19.98 $ 14.81 $ 13.31 $ 11.38 $ 11.25 $ 10.09
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. 0.12 0.38 0.36 0.39 0.30 0.30
Net gain on securities (both
realized and unrealized) ............ 3.30 5.44 2.05 1.94 0.26 1.16
-------- -------- -------- -------- -------- --------
Total from investment operations .. 3.42 5.82 2.41 2.33 0.56 1.46
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.14) (0.37) (0.37) (0.37) (0.30) (0.30)
Distributions from capital gains ...... (0.37) (0.28) (0.54) (0.03) (0.13) --
-------- -------- -------- -------- -------- --------
Total distributions ............. (0.51) (0.65) (0.91) (0.40) (0.43) (0.30)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 22.89 $ 19.98 $ 14.81 $ 13.31 $ 11.38 $ 11.25
======== ======== ======== ======== ======== ========
Total Return ............................. 17.63% 40.19% 18.63% 21.06% 5.17% 14.77%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .. $ 88,860 $ 71,860 $ 43,849 $ 21,800 $ 14,830 $ 11,352
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.38%* 0.46% 0.57% 1.04% 1.01% 1.41%
After expense reimbursements ... 0.20%* 0.20% 0.20% 0.20% 0.20 0.09%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 1.50%* 1.85% 2.13% 2.40% 1.95% 1.54%
After expense reimbursements ... 1.68%* 2.11% 2.50% 3.24% 2.76% 2.86%
Portfolio Turnover .................... 0.58%* 2.10% 1.87% 3.68% 1.22% 8.46%
Average per share broker commissions (1) $ 0.0301 $ 0.0300 $ 0.0284
</TABLE>
(1) not required prior to August 31, 1995
* Annualized
** Commencement of Operations
See accompanying notes to the financial statements
51
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
S&P MidCap Index Fund
-------------------------------------------------------------------------------
April 20,
Six Months Ended Year Ended Year Ended Year Ended Year Ended 1992** to
February 28, 1998 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1997 1996 1995 1994 1993
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ..... $ 18.57 $ 14.45 $ 13.82 $ 12.21 $ 12.23 $ 10.12
-------- -------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................. 0.12 0.22 0.24 0.26 0.22 0.25
Net gain on securities (both
realized and unrealized) ........... 2.09 4.85 1.33 2.04 0.22 2.11
-------- -------- -------- -------- -------- --------
Total from investment operations 2.21 5.07 1.57 2.30 0.44 2.36
-------- -------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................. (0.12) (0.22) (0.25) (0.25) (0.22) (0.25
Distributions from capital gains ...... (1.31) (0.73) (0.69) (0.44) (0.24) --
-------- -------- -------- -------- -------- --------
Total distributions ...................... (1.43) (0.95) (0.94) (0.69) (0.46) (0.25)
-------- -------- -------- -------- -------- --------
Net asset value, end of period ........... $ 19.35 $ 18.57 $ 14.45 $ 13.82 $ 12.21 $ 12.23
======== ======== ======== ======== ======== ========
Total Return ............................. 13.25% 36.63% 11.77% 20.24% 3.75% 23.64%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .. $ 52.821 $ 46,271 $ 33,559 $ 26,168 $ 21,789 $ 16,243
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.56%* 0.61% 0.71% 0.80% 0.97% 1.36%
After expense reimbursements ... 0.40%* 0.40% 0.40% 0.40% 0.40% 0.17%
Ratio of net investment income (loss) to
average net assets:
Before expense reimbursements .. 1.14%* 1.19% 1.38% 1.70% 1.30% 0.97%
After expense reimbursements ... 1.30%* 1.40% 1.69% 2.10% 1.87% 2.16%
Portfolio Turnover .................... 6.81%* 17.80% 18.18% 11.71% 15.01% 8.16%
Average per share broker commissions (1) $ 0.0299 $ 0.0266 $ 0.0214
</TABLE>
(1) Not required before August 31, 1995
* Annualized
** Commencement of Operations
See accompanying notes to the financial statements
52
<PAGE>
FINANCIAL HIGHLIGHTS - (Continued)
(For a share outstanding throughout the period)
<TABLE>
<CAPTION>
S&P SmallCap Index Fund Equity Income Fund
--------------------------- ----------------------------
Six months Ended October 2, Six months Ended September 4,
February 28, 1998 1996* to February 28, 1998 1996* to
(Unaudited) August 31, 1997 (Unaudited) 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 .................. 0.08 0.23 0.20 0.39
Net gain on securities (both
realized and unrealized) ............ 1.04 2.22 1.55 2.84
-------- -------- -------- --------
Total from investment operations . 1.12 2.45 1.75 3.23
-------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income .............................. (0.07) (0.20) (0.19) (0.32)
Distributions from capital gains ....... (0.39) -- (0.41) (0.27)
-------- -------- -------- --------
Total distributions ....................... (0.46) (0.20) (0.60) (0.59)
-------- -------- -------- --------
Net asset value, end of period ............ $ 12.91 $ 12.25 $ 13.79 $ 12.64
======== ======== ======== ========
Total Return .............................. .9.50% 24.86% 14.20% 33.28%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) ... $ 9,885 $ 5,933 $ 10,325 $ 9,747
Ratio of expenses to average net
assets:
Before expense reimbursements ... 1.30%** 2.32%** 1.06%** 1.55%**
After expense reimbursements .... 0.65%** 0.65%** 0.80%** 0.76%**
Ratio of net investment income (loss) to
average net assets:
Before expense reimbursements ... 0.45%** 0.27%** 2.48%** 2.48%**
After expense reimbursements .... 1.10%** 1.94%** 2.74%** 3.27%**
Portfolio Turnover ..................... 10.23% 19.99%** 9.42% 2.80%**
Average per share broker commission .... $ 0.0302 $ 0.1219 $ 0.0301 $ 0.0300
</TABLE>
** Annualized
* Commencement of Operations
See accompanying notes to the financial statements
53
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
February 28, 1998
(Unaudited)
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are three separate series of shares of
beneficial interest of California Investment Trust. U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund and S&P MidCap Index
Fund are separate series of shares of beneficial interest of California
Investment Trust II. Both Trusts are registered under the Investment Company Act
of 1940, as amended, as diversified open-end management investment companies.
Both Trusts were organized as Massachusetts business trusts on September 11,
1985 and are authorized to issue an unlimited number of no par value shares in
one or more series. The following is a summary of significant accounting
policies followed by the Funds.
(a) Security Valuation --- Portfolio securities of the S&P 500 and S&P
MidCap Index Funds listed on a national exchange are valued at the last
reported sales price. U.S. Treasury Bills are valued at amortized cost
which approximates market value. Portfolio securities of the California
Tax-Free Income Fund, California Insured Intermediate Fund and the U.S.
Government Securities Fund are valued by an independent pricing service
that uses market quotations, representing the mean between the latest
available bid and asked prices, prices provided by market makers, or
estimates of market values obtained from yield data relating to instruments
or securities with similar characteristics, in accordance with procedures
established in good faith by the Board of Trustees. Securities with
remaining maturities of 60 days or less are valued on the amortized cost
basis as reflecting fair value. All other securities are valued at their
fair value as determined in good faith by the Board of Trustees. California
Tax-Free Money Market Fund and The United States Treasury Trust securities
are valued at amortized cost which the Board of Trustees has determined in
good faith to constitute fair value.
(b) Futures Contracts --- Initial margin deposits required upon
entering into futures contracts are satisfied by the segregation of
specific securities or cash, as collateral, for the account of the broker
(the Fund's agent in acquiring the futures position). During the period the
futures contract is open, changes in the value of the contract are
recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are made or received depending upon
whether unrealized gains or losses are incurred. When the contract is
closed, the Fund records a realized gain or loss equal to the difference
between the proceeds from (or cost of) the closing transaction and the
Fund's basis in the contract. The S&P 500 Index Fund and S&P MidCap Index
Fund may purchase or sell stock index futures to maintain cash reserves
while remaining fully invested, to facilitate trading, to reduce
transaction costs, or to seek higher investment returns when a futures
contract is priced more attractively than the underlying equity security or
index. Risks include the possibility of an illiquid market and an imperfect
correlation between the change in market value of the stocks held by a Fund
and the prices of futures contracts.
(c) Federal Income Taxes --- No provision is considered necessary for
Federal income taxes. The Funds intend to qualify for an elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
California Tax-Free Money Market Fund has capital loss carryovers available
to offset future gains, if any, of approximately $36,000 which expire
54
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS - (Continued)
February 28, 1998
(Unaudited)
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
as follows, $12,000 in 1996, $8,000 in 1997, $10,000 in 1999, $4,000 in
2000, and $2,000 in 2003. The California Tax-Free Income Fund and the
California Insured Intermediate Fund have capital loss carryovers of
approximately $339,000 and $84,000 respectively, which expires in 2003.
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities
purchased are amortized in accordance with tax regulations. Distributions
to shareholders are recorded on the ex-dividend date for the California
Tax-Free Income Fund, the California Insured Intermediate Fund, the U.S.
Government Securities Fund, S&P 500 Index Fund, and S&P MidCap Index Fund.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for futures contracts and post October capital losses.
For the California Tax-Free Money Market Fund and The United States
Treasury Trust, dividends from net investment income are declared daily and
reinvested or paid in cash monthly. The two Funds intend to maintain a
continuous net asset value per share of $1.00. If net asset value per share
using available market information deviates from $1.00 by $.005 or more,
the Board of Trustees would consider what steps, if any, should be taken to
restore net asset value per share to $1.00.
(e) Equalization --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund, the U.S. Government Securities Fund,
S&P 500 Index Fund and S&P MidCap Index Fund follow the accounting practice
of "equalization" whereby part of the proceeds from capital share
transactions equivalent to a proportionate share of the distributable
investment income on the date of the transaction, is transferred to or from
the undistributed net investment income account. Undistributed net
investment income is therefore unaffected by capital share transactions.
(f) Concentration --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund and the California Tax-Free Money
Market Fund invest in debt instruments of municipal issuers. The issuer's
abilities to meet their obligations may be affected by economic
developments in the state of California.
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives as compensation at the annual rate
of .25% and .40%, respectively, of the Funds' average daily net assets. CCM has
agreed to reduce its fee by, or reimburse the Funds for, any amount necessary to
prevent the Funds' total expenses, excluding extraordinary items, from exceeding
1.00% of the Funds' average daily net assets. The manager has voluntarily
reimbursed more expenses than contractually obliged. This voluntary
reimbursement may cease at any time without prior notice. Reimbursement from the
manager for the six month period
55
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS - (Continued)
February 28, 1998
(Unaudited)
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
(CONTINUED)
ended February 28, 1998, is as follows:
California Tax-Free Money Market Fund ....... $104,914
California Insured Intermediate Fund ........ $ 22,782
U.S. Government Securities Fund ............. $ 7,770
The United States Treasury Trust ............ $ 58,245
S&P 500 Index Fund .......................... $ 71,825
S&P MidCap Index Fund ....................... $ 39,077
S&P Smallcap Fund ........................... $ 29,432
Equity Income Fund .......................... $ 13,170
CCM has retained Bank of America NT&SA to act as Sub-Advisor to the S&P 500
Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund and Equity Income
Fund, subject to supervision by the Manager and the Trust's Board of Trustees.
Under the Sub-Advisory Agreement, the Sub-Advisor is responsible for the actual
management of each Fund's portfolio. The responsibility for making decisions to
buy, sell or hold a particular security rests with the Sub-Advisor. The
Sub-Advisor makes all the investment decisions and places transactions
accordingly. In the case of the S&P 500 Index Fund, CCM compensates the
Sub-Advisor at an annual rate of 0.10% on net assets up to $50 million and 0.05%
of net assets above $50 million. CCM Partners compensates the Sub-Advisor at a
rate of 0.15%, 0.10%, and 0.10% of net assets for the Equity Income Fund,
S&P MidCap Index Fund and the S&P SmallCap Index Fund, respectively.
Certain officers and trustees of the Trust are also partners of CCM.
NOTE 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the period ended February 28, 1998 were as follows:
PURCHASES SALES
----------- -----------
California Tax-Free Income Fund ............ $19,999,595 $12,588,574
California Insured Tax-Free Income Fund .... $ 3,033,561 $ 5,415,534
U.S. Government Securities Fund ............ $16,776,167 $13,484,898
S&P 500 Index Fund ......................... $ 9,324,878 $ 420,953
S&P Midcap Index Fund ...................... $ 3,554,805 $ 2,979,157
Equity Income Fund ......................... $ 652,657 $ 935,570
S&P SmallCap Index Fund .................... $ 3,275,188 $ 742,686
56
