CALIFORNIA
INVESTMENT TRUST
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F U N D G R O U P
44 Montgomery Street #2100
San Francisco, CA 94104
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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
CALIFORNIA
INVESTMENT TRUST
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F U N D G R O U P
No Load Funds
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ANNUAL REPORT
August 31, 1999
This report is intended only for the information of shareholders or those who
have received the offering prospectus covering shares of beneficial interest of
California Investment Trust FundGroup which contains information about the
management fee and other costs. Investments in shares of the funds of California
Investment Trust Fund Group are neither insured nor guaranteed by the U.S.
Government, and there is no assurance that any Fund which is a Money Market Fund
will be able to maintain a stable net asset value of $1.00 per share.
(800) 225-8778
www.caltrust.com
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HISTORICAL PERFORMANCE AND MANAGER'S DISCUSSION
On the following pages are line graphs comparing each of the Funds' performance
to a comparable broad based securities market index from the inception of each
Fund through the fiscal year ended August 31,1999. The graphs assume a $10,000
hypothetical initial investment.
The objective of the graph is to permit you to compare the performance of the
funds with the benchmark and to give you perspective on market conditions and
investment strategies and techniques that materially affected the performance of
each Fund. Below each graph is a table presenting each of the respective Fund's
average annual total returns for the one-year, five-year, ten-year and /or
inception period through August 31, 1999.
BOND FUNDS
Despite fears of a global recession in late 1998, strong aggregate domestic
demand resulted in a second consecutive fiscal year of vigorous U. S, economic
expansion. Quiescent in this Fall, inflation increased modestly and cyclically
in 1999, as oil prices spiked upward and the dollar declined. In response to
these economic conditions, bond prices rose dramatically into October and have
since fallen steadily with yields increasing by one and a quarter percent.
In response, the strategy of the Funds' investment manager was to maintain high
current yield through emphasis on a high average portfolio coupon, while first
moderately shortening portfolio maturities, and then re-extending them in August
in the expectation that the bulk of interest rate increases were behind us.
From late 1998 through July, 1999, the California Tax-Free Income Fund swapped
out of a portion of the portfolio's ten to thirty year maturities into
intermediate-term paper. In August, tax swaps of 10 to 15 year maturities were
effected. At fiscal year end, the portfolio's profile showed an average coupon
of 6.18%, average quality of Aal, average maturity of 12.2 years and an average
duration of 7.7 years.
In the California Insured Intermediate Fund swaps were made early in the fiscal
year out of bonds maturing in four years into those with eight
The following data replaces a graph that represented a comparison between the
California Tax-Free Income Fund and the Lehman Brothers Municipal Bond Index:
[GRAPHIC OMITTED]
8/31/99
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California Tax-Free Income Fund $29,569.72
Lehman Municipal Bond Index $28,890.59
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/99 1 year 5 years 10 years
California Tax-Free Income Fund (1.07)% 6.14% 7.11%
Lehman Brothers Municipal Bond Index 0.50% 6.45% 7.23%
1
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The following data replaces a graph that represented a comparison between the
California Insured Intermediate Fund and the Lehman 5 Year Municipal Bond Index.
[GRAPHIC OMITTED]
8/31/99
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California Insured Intermediate Fund $14,324.95
Lehman 5 Year Municipal Bond Index $14,096.58
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/99 1 year 5 years inception
California Insured Intermediate Fund 1.51% 5.32% 5.38%
Lehman 5 yr. Brothers Muni Bond Index 2.24% 5.38% 5.13%
The following data replaces a graph that represented a comparison between the
U.S. Government Securities Fund, the Lehman Brothers Treasury Index and the
Lehman Brothers GNMA Index.
[GRAPHIC OMITTED]
8/31/99
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U.S. Government Securities Fund $29,355.69
Lehman Brothers Treasury Index $30,174.93
Lehman Brothers GNMA Index $30,912.64
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/99 1 year 5 years 10 years
US Government Securities Fund (2.42)% 7.03% 8.29%
Lehman Bros. Composite Treasury Index 0.02% 7.16% 7.77%
Lehman Bros. GNMA Treasury Index 1.96% 7.90% 7.87%
2
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to ten year maturities. Later, the swaps were reversed from the ten-year sector
to five to eight-year maturities. As of August 31, 1999, the portfolio average
coupon was 5.56, average maturity was 6.2 years and the duration was 5 years.
The portfolio profile of the U. S. Government Securities Fund has been modified
frequently during the fiscal year in response to market volatility and changes
in yield spread among market sectors. Increasingly greater emphasis was placed
on the purchase of GNMA pass-throughs, which now represent one-third of
portfolio holdings. At fiscal year end, the Fund's average coupon was 6.3%, the
average maturity was 14.1 years and the duration 8.1 years.
STOCK FUNDS
By definition, the strategy for managing the three equity index funds is one
that most closely makes the funds match the performance of their index
benchmarks. We feel that was the case for this fiscal year, with the funds
performance very closely matching that of their respective index. The difference
is roughly the management fee.
Much of the performance for all of the funds came in the August to December 1998
period as the markets rebounded from Long Term Capital - Russian crisis of that
summer. From December to August of this year the markets have moved up and down
for a small gain. The key variable was concern that the Federal Reserve would
have to raise interest rates to combat what they felt was the beginning of
inflation in the economy. They did act to raise rates in both June and August
and may not be finished. Rising interest rates are never good for the stock
market for many reasons. Particularly hard hit are bank stocks and utilities.
3
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The following data replaces a graph that represented a comparison between the
CIT S&P 500 Index Fund and the S&P Composite Stock Price Index.
[GRAPHIC OMITTED]
8/31/99
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CIT S&P 500 Index Fund $37,211.18
S&P Composite Stock Price Index $38,043.40
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/99 1 year 5 years inception
CIT S&P 500 Index Fund 39.76% 24.92% 19.53%
S&P Composite 500 Index 39.81% 25.11% 19.89%
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The following data replaces a graph that represented a comparison between the
CIT S&P Mid Cap Index Fund and the S&P Mid Cap 400 Index.
[GRAPHIC OMITTED]
8/31/99
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CIT S&P MidCap Index Fund $30,621.63
S&P MidCap 400 Index $31,638.43
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/99 1 year 5 years inception
CIT S&P MidCap Index Fund 41.13% 18.62% 16.41%
S&P MidCap 400 Index 41.58% 18.85% 16.93%
The following data replaces a graph that represented a comparison between the
CIT S&P SmallCap Index Fund and the S&P SmallCap 600 Index.
[GRAPHIC OMITTED]
8/31/99
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CIT S&P SmallCap Index Fund $12,435.21
S&P SmallCap 600 Index $13,088.58
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/99 1 year inception
CIT S&P SmallCap Index Fund 23.53% 7.76%
S&P 600 SmallCap Index 24.20% 9.67%
4
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The following data replaces a graph that represented a comparison between the
CIT Equity Income Fund, S&P/BARRA Value Index and the S&P 500 Composite Index.
[GRAPHIC OMITTED]
8/31/99
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CIT Equity Income Fund $16,455.34
S&P/BARRA Value Index $18,348.48
S&P 500 Composite Index $21,133.01
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/99 1 year inception
CIT Equity Income Fund 22.89% 18.10%
S&P/BARRA Value Index 33.95% 22.47%
S&P 500 Composite Index 39.81% 28.39%
Amongst the funds it is interesting to note that the MidCap fund outperformed
the S&P 500 fund - 41.55% to 39.76% for the year. This is significant as large
stocks, as represented by the S&P 500, have driven the market for the last four
years. We feel this represents a long awaited and very healthy broadening of the
stock market. In a similar vein, the Small Cap Index performed very well in the
second half of the year. These stocks also represent very good investment
values.
As regards the equity income fund we would note that it was helped by the
resurgence in "value" stocks that have lower P/E's and good yields. This was
largely due to a belief that their products would be in greater demand as the
world economy continued to improve. Oil, chemical and paper stocks would be good
examples here. Offsetting this was the negative impact that rising interest
rates had on bank stocks. We feel that bank stocks are very good investments at
these levels.
We would also note that the equity income fund has a very good yield of over
2.0%. It is one of the higher yields for this type of fund. This is an important
part of its equity income objective. Some funds in this category have been
correctly criticized, in our opinion, for buying large growth stocks in an
attempt to get better returns but very low yields.
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CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
August 31, 1999
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
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VARIABLE RATE DEMAND NOTES* (53.98%)
ANAHEIM PUBLIC IMPROVEMENT CORP.
<S> <C> <C> <C> <C>
$ 2,700,000 Certificates of Participation, 1993 Refunding Project ................ 2.800% 09/01/99 $ 2,700,000
CALIFORNIA HEALTH FACILITIES FIN. AUTH.
500,000 Sutter Revenue Bonds 1996B ........................................... 2.400% 09/01/99 500,000
3,000,000 Cottage Hospital Santa Barbara Series B .............................. 3.000% 09/02/99 3,000,000
1,100,000 Refunding Revenue St. Joseph, Series 8 ............................... 2.400% 09/01/99 1,100,000
CALIFORNIA POLLUTION CONTROL FIN. AUTH.
4,600,000 Pacific Gas & Electric Series C ...................................... 2.650% 09/01/99 4,600,000
4,400,000 Shell Oil Company Series 91B ......................................... 2.300% 09/01/99 4,400,000
200,000 Southern Californian Edison Series 86A ............................... 2.600% 09/01/99 200,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water &Sewer Rev. Certificates of Participation ...................... 2.750% 09/02/99 3,000,000
IRVINE, CITYOF
1,000,000 Assessment District 95-12, Series A .................................. 2.400% 09/01/99 1,000,000
IRVINE RANCH WATER DISTRICT
1,000,000 Consolidated Series, 1985A ........................................... 2.400% 09/01/99 1,000,000
900,000 Consolidated Districts, Series 1991 .................................. 2.400% 09/01/99 900,000
1,600,000 Consolidated Series, 1995 ............................................ 2.400% 09/01/99 1,600,000
2,200,000 Consolidated Series, 1995 ............................................ 2.400% 09/01/99 2,200,000
4,100,000 Certificate of Participation, 1986 ................................... 2.600% 09/01/99 4,100,000
LOS ANGELES MTA
2,800,000 Tax Revenue Refunding Bonds, 1993 Series A ........................... 2.750% 09/02/99 2,800,000
LOS ANGELES COUNTY
2,500,000 Pension Obligation Refunding Bonds ................................... 2.800% 09/01/99 2,500,000
NEWPORT BEACH, CITY OF
3,000,000 Hoag Memorial Hospital Presbyterian, Series 1992 ..................... 2.750% 09/01/99 3,000,000
ORANGE COUNTY SANITATION DISTRICT
2,000,000 Certificates of Participation, Capital Improvement ................... 2.400% 09/01/99 2,000,000
ORANGE COUNTY WATER DISTRICT
3,600,000 Certificates of Participation, Series 90B ............................ 2.850% 09/01/99 3,600,000
RIVERSIDE CALIF. REDEVELOPMENT AGENCY
2,800,000 Multi-family Housing Revenue Bonds ................................... 2.700% 09/01/99 2,800,000
SAN BERNARDINO COUNTY
3,400,000 COP, 1996 County Center Refinancing Project .......................... 2.850% 09/01/99 3,400,000
SOUTHERN CA PUBLIC POWER AUTHORITY
3,000,000 Power Project Revenue Bond, Series C ................................. 2.800% 09/01/99 3,000,000
TUSTIN, CITY OF
3,600,000 California Improvement Bond, 1915 Act ................................ 2.400% 09/01/99 3,600,000
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Total Variable Rate Demand Notes
(cost $57,000,000) ......................................... ..... 57,000,000
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TAX AND REVENUE ANTICIPATION NOTES (19.42%)
2,000,000 Alisal Union School District ......................................... 4.000% 07/27/00 2,009,584
2,000,000 California School Cash Reserve Series ................................ 4.000% 07/03/00 2,014,591
2,000,000 California Statewide Community Development ........................... 4.000% 06/30/00 2,013,149
1,910,000 East Side Union High School .......................................... 4.250% 10/01/99 1,911,919
2,000,000 Los Altos School District ............................................ 3.500% 06/30/00 2,006,409
2,000,000 Los Angeles Unified School District .................................. 4.000% 06/30/00 2,014,444
</TABLE>
6
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CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS - (Continued)
August 31, 1999
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
TAX AND REVENUE ANTICIPATION NOTES (Continued)
<S> <C> <C> <C> <C>
$ 2,500,000 San Diego Tax Anticipation Note ...................................... 4.500% 09/30/99 $ 2,503,106
2,000,000 San Diego Local Government Pooled TRANS .............................. 4.000% 06/30/00 2,013,631
2,000,000 Santa Barbara County School Finance Authority ........................ 4.000% 06/30/00 2,014,444
2,000,000 Santa Clara County Tax and Revenue Notes ............................. 4.500% 10/01/99 2,002,572
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Total Tax and Revenue Anticipation Notes
(cost $20,503,849) ............................................... 20,503,849
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COMMERCIAL PAPER (22.24%)
CALIFORNIA EDUCATIONAL FACILITIES
3,000,000 Carnegie Institution ................................................. 3.200% 02/09/00 3,000,000
EASTBAY MUNICIPAL UTILITY DISTRICT
3,500,000 Water System Series .................................................. 2.950% 10/06/99 3,500,000
LOS ANGELES COUNTY WASTEWATER AUTH.
3,500,000 Commercial Paper ..................................................... 3.000% 09/01/99 3,500,000
LOS ANGELES DEPT. OF WATER & POWER
3,500,000 Commercial Paper ..................................................... 2.900% 11/17/99 3,500,000
METROPOLITAN WATER DISTRICT OF SO. CA
2,400,000 Commercial Paper ..................................................... 3.000% 09/01/99 2,400,000
1,500,000 Revenue Notes ........................................................ 2.900% 02/09/00 1,500,000
SACRAMENTO MUNICIPAL UTILITIES DISTRICT
3,100,000 Commercial Paper ..................................................... 2.950% 10/20/99 3,100,000
SAN DIEGO COUNTY REGIONAL TRANS. AUTH.
3,000,000 Sales Tax Revenue, Series A .......................................... 3.150% 11/09/99 3,000,000
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Total Commercial Paper
(cost $23,500,000) ............................................... 23,500,000
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Total Investments (95.64%)
(cost $101,003,849) (a) .......................................... 101,003,849
Other Net Assets (4.36%) ........................................... 4,602,198
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Net Assets (100.00%) ............................................. $ 105,606,047
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</TABLE>
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(a) Aggregate cost for federal income tax purposes is $101,003,849.
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
7
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CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
August 31, 1999
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (97.19%)
ALAMEDA CORRIDOR TRANSPORTATION AUTH.
<S> <C> <C> <C> <C>
$ 2,500,000 Tax Exempt Senior Lien Revenue Bonds ................................. 5.000% 10/01/07 $ 2,562,500
ANAHEIM CA PUBLIC FINANCING AUTHORITY
2,250,000 Public Improvement Project, Series C ................................. 6.000% 09/01/12 2,430,000
CALIFORNIA EDUCATIONAL FAC. AUTHORITY
2,025,000 USC Refunding Revenue Bonds, 1997 Series A ........................... 5.600% 10/01/04 2,143,969
1,290,000 Revenue Bonds (Pooled Colleges & Universities) ....................... 5.250% 12/01/07 1,344,825
2,000,000 Revenue Bonds (University of San Francisco) .......................... 6.000% 10/01/16 2,092,500
CA POLLUTION CONTROL AUTHORITY
3,000,000 San Diego Gas &Electric, Series 1996A ................................ 5.900% 06/01/14 3,176,250
1,950,000 San Diego Gas & Electric, Series A AMBAC TCRs ........................ 5.900% 06/01/14 2,071,875
CALIFORNIA, STATE OF
5,000,000 General Obligations .................................................. 6.250% 09/01/12 5,518,750
STATE OF CA DEPT. OF WATER RESOURCES
2,320,000 Water System Revenue Bonds, Central Valley J-1 ....................... 7.000% 12/01/11 2,717,300
2,835,000 Water System Revenue Bonds, Central Valley J-3 ....................... 7.000% 12/01/11 3,327,581
CA STATE PUBLIC WORKS BOARD
4,000,000 Imperial County, Revenue Bonds, 1991 Series A ........................ 6.500% 09/01/17 4,415,000
5,000,000 Lease Revenue Bonds Regents University of CA ......................... 5.500% 06/01/14 5,093,750
CA STATEWIDE COMMUNITIES DEV. AUTH.
2,250,000 Certificates of Participation, Cedars Sinai .......................... 6.500% 08/01/12 2,413,125
CASTAIC LAKE WATER AGENCY
2,090,000 Certificates of Participation, 1994 Series A ......................... 7.250% 08/01/09 2,474,038
CENTRAL COAST WATER AUTHORITY
1,420,000 California Revenue Refunding Bonds,1996 Series A ..................... 6.000% 10/01/08 1,547,800
CONTRA COSTA WATER DISTRICT
4,000,000 Water Revenue Bonds, Series E ........................................ 6.250% 10/01/12 4,420,000
CULVER CITY REDEVELOPMENT FIN. AUTH.
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993 ......................... 5.500% 11/01/14 3,052,500
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 Gen. Obligation Convertible Bonds, 1993 Series C ..................... 6.250% 05/01/12 4,637,500
FRESNO, CITY OF
4,000,000 Sewer System Revenue Bonds ........................................... 5.250% 09/01/19 3,890,000
KERN HIGH SCHOOL DISTRICT
2,555,000 General Obligation Bonds, 1996 Series A .............................. 6.600% 08/01/16 2,858,406
LA QUINTA REDEVELOPMENT AGENCY
1,015,000 Tax Allocation Ref Redev - Project Area No. 1 ........................ 7.300% 09/01/09 1,201,506
LAGUNA SALADA UNIFIED SCHOOL DISTRICT
1,070,000 General Obligation Bonds ............................................. 5.250% 08/01/13 1,075,350
LOMA LINDA CALIFORNIA
2,470,000 Hospital Revenue Bond ................................................ 5.050% 12/01/12 2,436,038
LOS ANGELES, CITY OF
3,000,000 General Obligation Bond, Series 1999B ................................ 5.375% 09/01/17 2,966,250
LA CONVENTION & EXHIBIT CENTER
1,300,000 Certificates of Participation 1985* .................................. 9.000% 12/01/05 1,613,625
4,500,000 Lease Revenue Bonds, 1993 Series A ................................... 6.000% 08/15/10 4,888,125
LA DEPARTMENT OF AIRPORTS, CITY OF
2,500,000 Refunding Revenue Bonds .............................................. 6.500% 05/15/04 2,725,000
LA STATE BUILDING AUTHORITY
3,500,000 Lease Revenue Refunding Bonds ........................................ 5.625% 05/01/11 3,644,375
LA UNIFIED SCHOOL DISTRICT
1,625,000 General Obligation Bonds, Series A ................................... 4.900% 07/01/09 1,633,125
2,450,000 General Obligation Bonds, 1997 Series A .............................. 6.000% 07/01/14 2,630,688
LA DEPARTMENT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994 ................................. 8.500% 06/01/04 3,521,250
LA COUNTY TRANSPORTATION COMMISSION
4,540,000 Sales Tax Revenue Refunding Bonds, 1991 Series B ..................... 6.500% 07/01/10 5,056,425
M-S-R PUBLIC POWER AGENCY
3,500,000 San Juan Project Refunding Rev Bonds, Ser. F ......................... 6.125% 07/01/13 3,815,000
</TABLE>
8
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CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
METROPOLITAN WATER DISTRICT OF SO. CA
<S> <C> <C> <C> <C>
$ 4,000,000 Water Revenue Bonds 1995 Series A .................................... 5.750% 07/01/15 $ 4,105,000
MODESTO IRRIGATION DIST. FINANCING AUTH.
2,000,000 Domestic Water Project ............................................... 5.000% 09/01/16 1,897,500
NORTHERN CA, TRANSMISSION AGENCY OF
1,000,000 CA-Oregon Transmission Project, Series 1990A ......................... 7.000% 05/01/13 1,163,750
TRANSMISSION AGENCY OF NORTHERN CA
2,500,000 CA-Oregon Transmission Project ....................................... 5.300% 05/01/09 2,587,500
REDEVELOPMENT AGENCY OF OAKLAND
4,000,000 Central District Redevelopment Project Ser. 1992 ..................... 5.500% 02/01/14 4,085,000
ORANGE COUNTY LOCAL TRANS. AUTHORITY
1,500,000 Measure M Sales Tax Revenue Bonds .................................... 9.500% 02/15/03 1,747,500
PALO ALTO, CITY OF
3,125,000 Utility Revenue Bond ................................................. 5.250% 06/01/21 2,976,563
PASADENA UNIFIED SCHOOL DISTRICT
2,265,000 General Obligation Bonds, 1997 Series A .............................. 5.000% 05/01/18 2,112,113
POMONA UNIFIED SCHOOL DISTRICT
1,175,000 General Obligation Refunding Bonds ................................... 5.700% 08/01/08 1,258,719
PORT HUENEME, CITY OF
2,200,000 Refunding Certificates of Participation, 1992 ........................ 6.000% 04/01/12 2,373,250
RANCHO CA WATER DISTRICT FINANCE AUTH.
3,000,000 Revenue Refunding Bonds .............................................. 5.875% 11/01/10 3,176,250
RIVERSIDE, CITY OF
1,500,000 Water Revenue Bond Issue 1991 ........................................ 9.000% 10/01/01 1,646,250
RIVERSIDE COUNTY TRANS. AGENCY
2,000,000 General Obligation Refunding Bonds ................................... 5.750% 06/01/09 2,140,000
SACRAMENTO CITY FINANCING AUTHORITY
2,500,000 Revenue Bonds, CA EPA Building, Series A ............................. 5.250% 05/01/16 2,434,375
SACRAMENTO MUNICIPAL UTILITY DISTRICT
4,000,000 Refunding Revenue Bonds Series A ..................................... 6.250% 08/15/10 4,410,000
SACRAMENTO REDEVELOPMENT AGENCY
1,135,000 Downtown Sacramento Redevelopment Project ............................ 4.750% 11/01/08 1,137,838
SADDLEBACK VALLEY SCHOOL DISTRICT
1,575,000 Special Tax Revenue Bonds, 1996 Series A ............................. 6.000% 09/01/16 1,687,219
SAN BERNARDINO, COUNTY OF
3,000,000 Certificates of Participation, Series B .............................. 6.875% 08/01/24 3,562,500
SAN BERNARDINO COUNTY TRANS AUTHORITY
2,000,000 Sales Tax Revenue Bonds .............................................. 5.000% 03/01/09 2,022,500
SAN DIEGO PUBLIC FACILITIES FIN. AUTH.
2,515,000 Sewer Revenue Bonds, Series B ........................................ 5.000% 05/15/08 2,565,300
SAN DIEGO REGIONAL TRANSPORTATION COMM.
2,000,000 Sales Tax Revenue Bonds, Second Senior Series A ...................... 5.500% 04/01/08 2,110,000
SAN FRANCISCO CITY/COUNTY UNLIMITED
2,000,000 General Obligation Refunding Bond, Series 1 .......................... 5.500% 06/15/09 2,100,000
SAN FRANCISCO BART DISTRICT
2,950,000 Sales Tax Rev. Refunding Series 1990 ................................. 6.750% 07/01/11 3,392,500
SAN JOSE REDEVELOPMENT AGENCY
4,000,000 Merged Area Redevelopment Project .................................... 6.000% 08/01/10 4,340,000
SAN MARINO UNIFIED SCHOOL DISTRICT
1,440,000 General Obligation Bonds ............................................. 5.250% 07/01/16 1,422,000
SAN MATEO COUNTY REG. TRANS. DISTRICT
5,000,000 Sales Tax Revenue Bonds, 1993 A ...................................... 5.250% 06/01/19 4,862,500
REDEVELOPMENT AGENCY OF SANTA CLARA
4,000,000 Bayshore North Project Tax Allocation 1992 ........................... 7.000% 07/01/10 4,600,000
SANTA CLARA COUNTY FINANCING AUTH.
2,000,000 Lease Revenue Refunding Bonds, Series A .............................. 6.000% 11/15/12 2,162,500
1,750,000 Lease Revenue Refunding Bonds, Series A .............................. 5.750% 11/15/13 1,835,313
</TABLE>
9
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
SANTA MONICA-MALIBU UNIFIED SCH. DIST.
<S> <C> <C> <C> <C>
$ 3,000,000 General Obligation Refunding Bonds, Series 1998 ...................... 5.250% 08/01/15 $ 2,985,000
SOUTH COAST AIR QUALITY MGMT. DISTRICT
2,400,000 Installment Sale Revenue Bonds, Series 1992 .......................... 6.000% 08/01/11 2,598,000
SOUTHERN CA PUBLIC POWER AUTHORITY
5,000,000 Multiple Project Revenue Bonds, 1989 ................................. 6.750% 07/01/13 5,650,000
TURLOCK IRRIGATION DISTRICT
2,000,000 Revenue Refunding Bonds, 1996 Series A ............................... 6.250% 01/01/12 2,190,000
UNIVERSITY OF CALIFORNIA, REGENTS OF
3,000,000 UCLA Central Chiller/Cogeneration Facility ........................... 10.000% 11/01/03 3,648,750
2,815,000 Revenue Bonds, Housing System ........................................ 5.500% 11/01/09 2,917,040
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Total Long-term Securities
(cost $186,617,379) .............................................. 195,297,156
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VARIABLE RATE DEMAND NOTES** (8.78%)
CALIFORNIA HEALTH FACILITIES FIN. AUTH.
3,500,000 Sutter Revenue Bonds 1996B ........................................... 2.400% 09/01/99 3,500,000
500,000 Sutter Revenue Bonds Series 90A ...................................... 2.400% 09/01/99 500,000
500,000 Refunding Revenue St. Joseph, Series 8 ............................... 2.300% 09/01/99 500,000
340,000 Refunding Revenue St. Joseph, Series 8 ............................... 2.400% 09/01/99 340,000
CALIFORNIA POLLUTION CONTROL FIN. AUTH.
5,100,000 Southern Californian Edison Series 86A ............................... 2.600% 09/01/99 5,100,000
300,000 Pacific G.S & Electric Series C ...................................... 2.650% 09/01/99 300,000
CALIFORNIA STATE DEVELOPMENT AUTH.
400,000 St. Joseph's Health System ........................................... 2.400% 09/01/99 400,000
IRVINE RANCH WATER DISTRICT
100,000 Consolidated Series, 1985A ........................................... 2.400% 09/01/99 100,000
IRVINE RANCH CALIFORNIA
400,000 Water Improvement District ........................................... 2.400% 09/01/99 400,000
NEWPORT BEACH, CITY OF
900,000 Hoag Memorial Hospital, Bond Series 1996 ............................. 2.750% 09/01/99 900,000
1,100,000 Hoag Memorial Hospital, 1992 ......................................... 2.750% 09/01/99 1,100,000
ORANGE COUNTY SANITATION DISTRICT
3,200,000 Capital Improvement, Series C ........................................ 2.400% 09/01/99 3,200,000
TUSTIN, CITY OF
900,000 California Improvement Bond, 1915 Act ................................ 2.400% 09/01/99 900,000
WESTERN RIVERSIDE COUNTY
400,000 Regional Wastewater Authority ........................................ 2.400% 09/01/99 400,000
-------------
Total Variable Rate Demand Notes
(costs $17,640,000)............................................... 17,640,000
-------------
Total Investments (105.97%)
(cost $204,257,379) (a) .......................................... 212,937,156
Liabilities in Excess of Other Assets (-5.97%)...................... (11,991,394)
-------------
Net Assets (100.00%) ............................................. $ 200,945,762
=============
</TABLE>
- ---------------
* Denotes bond issue refunded prior to maturity on date shown and secured by
100% US Government Direct obligations.
** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $204,257,379. At August
31,1999, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ..................... $ 10,183,448
Unrealized depreciation ..................... (1,503,671)
-------------
Net unrealized appreciation ............... $ 8,679,777
=============
See accompanying notes to financial statements
10
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
August 31, 1999
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (97.05%)
ANAHEIM, CITY OF
<S> <C> <C> <C> <C>
$ 500,000 Electric Revenue Bonds ............................................... 5.000% 10/01/03 $ 515,625
CALIFORNIA EDUCATIONAL FACILITIES AUTH.
500,000 University of San Diego, Series 1998 ................................. 4.250% 10/01/08 481,250
400,000 University of Santa Clara ............................................ 4.700% 09/01/04 406,619
CALIFORNIA, STATE OF
300,000 General Obligation Bonds ............................................. 5.750% 10/01/05 321,375
STATE PUBLIC WORKS BOARD
400,000 Energy Efficiency Revenue Bonds 1995 Series A ........................ 5.250% 10/01/03 416,000
640,000 Refunding Bonds, Dept. of Corrections ................................ 5.250% 12/01/06 668,800
400,000 College and University Housing Revenue ............................... 4.900% 11/01/03 411,000
CASTAIC LAKE AGENCY FINANCING CORP.
300,000 Water System Improvement Projects, Series 1994 A ..................... 7.250% 08/01/09 355,125
CENTRAL VALLEY SCH. DIST. FIN. AUTH.
400,000 General Obligation Refinancing Bonds, Series A ....................... 6.150% 02/01/09 439,500
CHICO UNIFIED SCHOOL DISTRICT
400,000 General Obligation Refunding Bonds ................................... 8.500% 08/01/07 499,000
CONTRA COSTA TRANSPORTATION AUTH.
500,000 Sales Tax Revenue Bonds 1995 Series A ................................ 6.000% 03/01/03 529,375
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project .............................. 6.250% 12/01/04 425,000
DESERT SANDS UNIFIED SCHOOL DISTRICT
500,000 Certificates of Participation, Series 1995 ........................... 5.300% 03/01/07 521,250
EAST BAY CA MUNICIPAL UTILITY DISTRICT
500,000 Water Revenue Refunding Bonds ........................................ 6.000% 06/01/03 531,250
EASTERN MUNICIPAL WATER DISTRICT
500,000 Water & Sewer Revenue Refunding Certificates ......................... 5.000% 07/01/05 514,375
ELSINOR VALLEY CA WATER DISTRICT
500,000 Certificates of Participation, Series A .............................. 5.900% 07/01/05 537,500
IMPERIAL IRRIGATION DISTRICT
600,000 Electric System Project, Certificates of Participation ............... 5.200% 11/01/09 616,500
LOS ANGELES, CITY OF
500,000 General Obligation Bonds, 1994 Series A .............................. 5.600% 09/01/05 530,625
LOS ANGELES DEPARTMENT OF AIRPORTS
400,000 Revenue Refunding Bonds .............................................. 6.500% 05/15/03 430,500
LOS ANGELES UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1997 Series A .............................. 6.000% 07/01/07 436,000
275,000 General Obligation Bonds, 1997 Series A .............................. 6.000% 07/01/08 300,438
MODESTO, CA IRRIGATION DISTRICT
400,000 Certificate of Participation, Series 1999A ........................... 4.250% 07/01/04 399,000
NEWPORT MESA UNIFIED SCHOOL DISTRICT
450,000 Special Tax Bonds .................................................... 4.400% 09/01/08 439,875
NORTHERN CA, TRANS. AGENCY OF
500,000 California/Oregon Transmission Proj., Rev. Bonds ..................... 6.100% 05/01/03 531,875
OAK PARK UNIFIED SCHOOL DISTRICT
600,000 General Obligation, Refunding Bonds .................................. 5.150% 05/01/07 620,250
OLIVENHAIN MUNICIPAL WATER DISTRICT
500,000 Water Revenue Certificates of Participation .......................... 4.750% 06/01/06 506,250
ORANGE COUNTY LOCAL TRANS. AUTHORITY
500,000 Limited Tax Bonds, 1994 .............................................. 9.500% 02/15/03 582,500
PASADENA UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bond 1999 ......................................... 5.000% 07/01/07 410,000
RIVERSIDE COUNTY TRANSPORTATION COMM.
260,000 Sales Tax Revenue Bonds, 1993 Series A ............................... 5.500% 06/01/04 273,325
ROCKLIN UNIFIED SCHOOL DISTRICT
535,000 General Obligation Bonds ............................................. 5.000% 09/01/04 551,719
SACRAMENTO CITY FINANCING AUTHORITY
500,000 Lease Revenue Bonds, State of CA, EPA Bldg ........................... 4.200% 05/01/10 465,625
</TABLE>
11
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1999
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
SACRAMENTO MUNICIPAL WATER DISTRICT
<S> <C> <C> <C> <C>
$ 500,000 Electric Revenue Refunding Bonds ..................................... 5.100% 11/15/03 $ 517,500
SACRAMENTO REDEVELOPMENT AGENCY
500,000 Downtown Sacramento Project, Series 1998C ............................ 4.750% 11/01/08 501,250
COUNTY OF SACRAMENTO PFA
400,000 Main Detention Facility Certificates of Participation ................ 5.300% 06/01/04 417,000
SAN DIEGO PUBLIC FACILITIES FIN. AUTH.
500,000 Sewer Revenue Refunding Bonds, Series A .............................. 5.100% 05/15/10 504,375
SAN DIEGO COUNTY
500,000 Downtown Courthouse Refunding 1998 ................................... 4.000% 05/01/07 478,750
SAN DIEGO COUNTY RTC
400,000 Sales Tax Revenue Bonds, Seconds 1993 Series A ....................... 5.000% 04/01/03 410,500
SAN DIEGO COUNTY WATER AUTHORITY
600,000 Water Revenue Refunding COP Series 1993 A ............................ 5.500% 05/01/05 632,250
SAN FRANCISCO, CITY & COUNTY
500,000 City Hall Improvement Project, Series A .............................. 5.100% 06/15/06 516,875
450,000 School District Facilities Improvement, Series B ..................... 6.500% 06/15/05 496,125
SAN FRANCISCO AIRPORT COMMISSION
450,000 SF International Airport Revenue, Second Series B .................... 5.500% 05/01/09 472,500
SAN JOSE REDEVELOPMENT AGENCY
500,000 Tax Allocation Bonds ................................................. 6.000% 08/01/06 543,750
SAN MATEO JOINT POWERS AUTHORITY
400,000 Refunding Revenue Bonds, 1993 Series A ............................... 5.100% 08/01/03 413,356
SANTA ROSA, CITY OF
400,000 Wastewater Revenue Refunding Bonds, Series A ......................... 5.125% 09/01/05 412,500
SARATOGA UNION SCHOOL DISTRICT
600,000 General Obligation Bonds, Series A ................................... 4.900% 09/01/09 618,000
SOUTH COUNTY REGIONAL WASTEWATER
390,000 Revenue Bonds, Gilroy Series 1992A ................................... 5.900% 08/01/06 415,838
SOUTHERN CA PUBLIC POWER AUTHORITY
500,000 Transmission Project Revenue Bonds, Series A ......................... 6.000% 07/01/04 536,875
VISALIA, CITY OF
500,000 Wastewater System Revenue Bonds ...................................... 5.900% 12/01/05 540,000
WISEBURN SCHOOL DISTRICT
325,000 General Obligation Bonds, 1997 Series A .............................. 6.875% 08/01/05 365,218
-------------
Total Long-term Securities
(cost $23,135,139) ............................................... 23,460,188
-------------
VARIABLE RATE DEMAND NOTES** (1.65%)
CALIFORNIA POLLUTION CONTROL FIN. AUTH.
100,000 Shell Oil Company Series 91B ......................................... 2.300% 09/01/99 100,000
ORANGE COUNTY SANITATION DISTRICT
300,000 Capital Improvement, Series C ........................................ 2.400% 09/01/99 300,000
-------------
Total Variable Rate Demand Notes
(cost $400,000) .................................................. 400,000
-------------
Total Investments (98.70%)
(cost $23,535,139) (a) .......................................... 23,860,188
Other Net Assets (1.30%) .......................................... 314,330
-------------
Net Assets (100.00%) ............................................ $ 24,174,518
=============
</TABLE>
- ---------------
** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $23,535,139. At August
31, 1999 unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ..................... $ 504,023
Unrealized depreciation ..................... (178,974)
-------------
Net unrealized appreciation ............... $ 325,049
=============
See accompanying notes to financial statements
12
<PAGE>
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
August 31, 1999
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (35.51%)
$1,934,199 6.000% 05/15/26 $ 1,781,740
1,577,065 6.500% 03/15/26 1,496,141
999,077 7.000% 07/15/29 968,802
990,302 6.000% 06/15/28 907,409
988,780 6.000% 08/15/28 906,014
971,402 6.000% 04/15/14 925,934
966,486 6.000% 04/15/14 921,248
807,962 6.500% 03/15/26 766,503
803,674 6.500% 04/15/26 762,435
779,827 6.500% 01/15/26 739,812
680,391 6.500% 04/15/26 645,478
104,395 9.000% 10/15/18 109,964
33,644 10.000% 09/15/18 36,759
19,794 11.250% 07/15/13 21,840
------------
Total Government National Mortgage Association (cost $11,253,037) 10,990,079
------------
UNITED STATES TREASURY BONDS (43.05%)
2,000,000 8.125% 05/15/21 2,377,500
1,900,000 8.000% 11/15/21 2,237,845
1,800,000 7.250% 08/15/22 1,969,875
1,700,000 8.125% 08/15/21 2,023,000
1,500,000 8.500% 02/15/20 1,837,500
1,400,000 7.875% 02/15/21 1,623,125
1,000,000 8.750% 08/15/20 1,255,625
------------
Total United States Treasury Bonds (cost $13,405,351) 13,324,470
------------
UNITED STATES TREASURY NOTES (9.32%)
1,500,000 5.375% 02/15/01 1,494,375
1,400,000 5.750% 08/15/03 1,391,250
------------
Total United States Treasury Notes (cost $2,956,742) 2,885,625
------------
UNITED STATES TREASURY BILLS (0.97%)
200,000 4.430% 09/09/99 199,800
100,000 4.361% 10/14/99 99,467
------------
Total United States Treasury Bills (cost $299,267) 299,267
------------
UNITED STATES TREASURY STRIPS (10.71%)
4,000,000 0.00% 05/15/08 2,313,628
1,700,000 0.00% 02/15/08 1,000,521
------------
Total United States Treasury Strips (cost $3,373,115) 3,314,149
------------
Total Investments (cost $31,287,512) (a) (99.56%) ..... 30,813,590
Other Net Assets (0.44%) .............................. 136,431
------------
Net Assets (100.00%) ................................ $ 30,950,021
============
(a) Aggregate cost for federal income tax purposes is $31,287,512. At August
31, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ..................... $ 80,300
Unrealized depreciation ..................... (554,222)
-------------
Net unrealized depreciation .............. $ (473,922)
=============
See accompanying notes to financial statements
13
<PAGE>
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
August 31, 1999
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
UNITED STATES TREASURY BILLS (90.03%)
$ 4,800,000 4.538% 09/16/99 $ 4,790,969
6,700,000 4.494% 10/14/99 6,663,199
4,700,000 4.330% 11/12/99 4,656,338
4,400,000 4.304% 09/23/99 4,387,900
4,000,000 4.350% 10/21/99 3,974,222
5,000,000 4.530% 10/28/99 4,964,375
6,200,000 4.446% 11/04/99 6,150,290
5,000,000 4.612% 11/18/99 4,949,395
5,000,000 4.597% 11/26/99 4,944,458
------------
Total Investments (cost $45,481,146) (a)(90.03%) ............ 45,481,146
Other Net Assets (9.97%) .................................... 5,036,130
------------
Net Assets (100.00%) ...................................... $ 50,517,276
============
- ---------------
(a) Cost for federal income tax purposes is $ 45,481,146.
See accompanying notes to financial statements
14
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1999
Shares Value
------ -----
COMMON STOCK (87.18%)
Capital Goods (5.23%)
Production (0.65%)
250 Briggs & Stratton .............................. $ 15,219
4,520 Caterpillar Inc. ............................... 255,945
1,230 Cooper Industries .............................. 63,806
2,570 Deere & Co. .................................... 99,909
2,200 Dover Co. ...................................... 85,113
350 Foster Wheeler Corp. ........................... 4,528
2,990 Illinois Tool Works ............................ 233,033
1,425 Ingersol Rand Co. .............................. 90,666
350 Milacron Inc. .................................. 6,300
1,000 Pall Corp. ..................................... 19,875
960 Parker Hannifin ................................ 42,000
540 Timken Co. ..................................... 9,484
------------
925,878
------------
Machinery (Agriculture & Construction) (0.02%)
630 Case Equipment ................................. 31,106
------------
Machinery (Industrial) (0.01%)
1,467 Thermo Electron Corp.* ......................... 23,289
------------
Pollution Control (0.02%)
2,200 Allied Waste Ind. Inc.* ........................ 28,050
------------
Engineering & Construction (0.05%)
730 Fluor Corp ..................................... 30,204
991 Vulcan Materials Co. ........................... 42,241
------------
72,445
------------
Electrical Equipment (3.37%)
5,330 Emerson Electric Co. ........................... 333,791
37,695 General Electric ............................... 4,233,620
1,120 Grainger, WW, Inc. ............................. 48,790
1,100 Honeywell ...................................... 124,850
720 Johnson Controls ............................... 49,230
------------
4,790,281
------------
Transportation Equipment (0.07%)
340 Cummins Engine ................................. 20,145
1,482 Danaher Corporation ............................ 87,068
------------
107,213
------------
Conglomerate (1.04%)
4,980 3M Co. ......................................... 470,610
100 NACCO Industries CL A .......................... 7,788
1,750 Tenneco, Inc. .................................. 35,219
9,388 Tyco International, Ltd. ....................... 951,122
------------
1,464,739
------------
Total Capital Goods ............................ 7,443,001
------------
Consumer Cyclical (6.04%)
Housing (0.08%)
2,800 MASCO Co. ...................................... 79,275
450 Owens-Corning Fiberglass ....................... 12,656
770 The Stanley Works .............................. 20,309
------------
112,240
------------
Auto & Truck (1.10%)
1,344 Dana ........................................... $ 58,548
790 Eaton Corp. .................................... 77,420
14,510 Ford Motor Co. ................................. 756,334
7,530 General Motors Corp. ........................... 497,921
1,575 Genuine Parts Co. .............................. 45,478
1,020 ITT Industries ................................. 34,489
670 Paccar, Inc. ................................... 36,934
1,120 TRW, Inc. ...................................... 61,040
------------
1,568,164
------------
Auto Part (0.10%)
1,200 Autozone, Inc.* ................................ 28,575
6,462 Delphi Automotive Sys.* ........................ 121,163
------------
149,738
------------
Tire & Rubber (0.10%)
730 Cooper Tire and Rubber Co. ..................... 13,870
1,210 Goodrich, B.F. Co. ............................. 44,694
1,520 Goodyear Tire & Rubber ......................... 85,310
------------
143,874
------------
Appliance (0.14%)
360 Armstrong World Ind ............................ 17,483
1,180 Black and Decker ............................... 62,098
880 Maytag Corp. ................................... 55,110
530 Snap-On, Inc. .................................. 17,921
650 Whirlpool Corp. ................................ 45,947
------------
198,559
------------
Household Products (0.06%)
1,804 Federated Dept. Stores* ........................ 82,984
------------
Textile & Apparel (0.17%)
640 Liz Claiborne, Inc. ............................ 23,520
3,430 Nike Class B ................................... 158,638
500 Reebok International Ltd.* ..................... 5,906
330 Russell Co. .................................... 5,528
180 Spring Industries .............................. 6,761
1,100 VF Corp. ....................................... 39,600
------------
239,953
------------
Retail-General (4.22%)
650 American Greetings Corp. ....................... 17,997
2,150 Best Buy Co Inc.* .............................. 151,038
1,700 Circuit City Stores ............................ 73,100
1,128 Consolidated Stores Corp.* ..................... 18,189
2,593 Costco Wholesale Corp.* ........................ 193,827
5,340 Dayton Hudson Corp. ............................ 309,720
990 Dillard's Inc. Class A ......................... 23,265
2,350 Dollar General Corp. ........................... 61,100
11,283 Gap, Inc. ...................................... 441,447
1,688 Hasbro Inc. .................................... 41,238
17,688 Home Depot ..................................... 1,081,179
340 Jostens ........................................ 6,843
5,010 K Mart* ........................................ 62,938
1,500 Kohls Department Stores* ....................... 106,875
4,157 Lowes Cos ...................................... 188,104
4,782 Mattel CS ...................................... 101,916
3,855 May Dept. Stores ............................... 150,586
1,420 Nordstrom Inc. ................................. 40,204
3,020 JC Penney Co. .................................. 109,475
540 Pep Boys-Manny, Mo, Jack ....................... 7,864
15
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1999
Shares Value
------ -----
Retail-General (Continued)
4,770 Sears Robuck & Co. ............................. $ 178,875
2,080 Tandy Corp. .................................... 98,280
2,355 The Limited, Inc. .............................. 89,196
2,520 TJX Cos, Inc. .................................. 72,765
2,830 Toys "R" Us, Inc.* ............................. 39,097
52,580 Wal-Mart Stores, Inc. .......................... 2,329,951
------------
5,995,069
------------
Lodging (0.07%)
2,580 Marriott Inter. Class A ........................ 88,365
1,460 Mirage Resorts, Inc.* .......................... 19,071
------------
107,436
------------
Total Consumer Cyclical ........................ 8,598,017
------------
Consumer Non-Durable (21.60%)
Health Care (0.12%)
490 Bausch & Lomb, Inc. ............................ 32,371
1,000 Biomet, Inc. ................................... 35,750
950 HCR Manor Care* ................................ 18,584
870 Mallincrokdt Inc. .............................. 27,894
800 Wellpoint Health Ntwks.* ....................... 58,300
------------
172,899
------------
Consumer Product (0.50%)
3,850 IMS Health ..................................... 106,356
2,704 Newell Co. ..................................... 110,864
540 Tupperware Corp. ............................... 12,184
6,946 Unilever N V ................................... 478,406
------------
707,810
------------
Food, Beverage & Tobacco (4.33%)
7,515 Archer-Daniels-Midland Co. ..................... 97,693
3,380 Bestfoods ...................................... 166,043
5,520 Campbell Soup .................................. 243,915
29,495 Coca-Cola Co. .................................. 1,764,170
4,800 Coca-Cola Enterprises .......................... 136,500
5,760 Conagra, Inc. .................................. 141,120
1,370 Darden Restaurants ............................. 21,406
1,810 Fortune Brands, Inc. ........................... 67,875
1,940 General Mills .................................. 162,475
4,380 H J Heinz Co. .................................. 204,491
1,340 Hershey Foods .................................. 71,774
4,960 Kellogg Co. .................................... 176,390
1,360 Loews Corp. .................................... 106,760
18,450 Pepsico, Inc. .................................. 629,606
26,560 Philip Morris Co., Inc. ........................ 994,340
3,360 Pioneer Hi-Bred Int'l .......................... 131,460
1,440 Quaker Oats .................................... 96,210
3,870 Ralston-Ralston Purina Grp ..................... 106,425
501 Richfood Holdings Inc. ......................... 9,175
5,700 Safeway, Inc.* ................................. 265,406
11,580 Sara Lee Corp. ................................. 256,931
3,160 Sysco Corp. .................................... 103,095
1,545 Tricon Global Restaurants* ..................... 62,766
1,630 UST, Inc. ...................................... 51,651
1,190 Wrigley, Wm Jr. Co. ............................ 93,192
------------
6,160,869
------------
Retail-Food & Drugs (0.77%)
5,237 Albertson's, Inc. .............................. 251,049
5,008 CVS Corporation ................................ 208,771
330 Great Atlantic & Pacific ....................... 11,591
Retail-Food & Drugs (Continued)
9,288 Kroger* ........................................ $ 214,785
340 Longs Drug Stores .............................. 10,689
2,322 Rite Aid Corp .................................. 42,957
1,180 SuperValu Inc. ................................. 26,550
11,960 Walgreen Co. ................................... 277,323
1,320 Winn-Dixie Stores Inc. ......................... 44,880
------------
1,088,595
------------
Communications & Media (1.86%)
8,380 CBS, Inc.* ..................................... 393,860
3,710 Clear Channel Comm.* ........................... 259,932
8,392 Comcast Corp CL A Spec ......................... 273,789
840 Dow Jones & Co. ................................ 42,210
3,340 Gannett Co., Inc. .............................. 226,911
630 Harcourt General, Inc. ......................... 27,602
2,530 Interpublic Group Cos. Inc. .................... 100,251
830 Knight Ridder, Inc. ............................ 44,768
2,060 McGraw Hill Cos Inc. ........................... 106,476
1,700 New York Times Class A ......................... 66,406
1,600 Omnicom Group .................................. 120,600
13,564 Time Warner, Inc. .............................. 804,515
900 Times Mirror Co. A-New ......................... 51,975
1,300 Tribune Co. .................................... 121,306
------------
2,640,601
------------
Entertainment & Leisure (0.79%)
850 Brunswick Corp. ................................ 21,728
660 King World Productions, Inc.* .................. 25,163
16,820 McDonalds Corp. ................................ 695,928
8,508 Viacom Inc. Cl B* .............................. 357,868
1,120 Wendys Int'l ................................... 31,360
------------
1,132,047
------------
Apparel (0.00%)
660 Fruit of the Loom Class A* ..................... 4,620
------------
Drugs (8.83%)
18,540 Abbott Labs .................................... 804,173
570 Allergan ....................................... 56,929
1,110 Alza Corp. Class A* ............................ 55,916
15,620 Amer Home Products Corp. ....................... 648,230
490 Bard C.R., Inc. ................................ 22,846
3,290 Baxter International, Inc. ..................... 220,636
3,020 Becton Dickinson Co. ........................... 84,938
22,860 Bristol-Meyer/Squibb ........................... 1,608,773
3,480 Guidant Corp. .................................. 204,233
1,410 Humana, Inc.* .................................. 12,778
15,420 Johnson & Johnson .............................. 1,576,695
13,340 Lilly, Eli & Co. ............................... 995,498
3,262 McKesson HBOC, Inc. ............................ 101,530
6,950 Medtronic, Inc. ................................ 543,838
26,990 Merck & Co. .................................... 1,813,391
47,220 Pfizer, Inc. ................................... 1,782,555
6,150 Pharmacia & Upjohn, Inc. ....................... 321,338
17,760 Schering Plough Corp. .......................... 933,510
1,170 St. Jude Medical* .............................. 42,413
3,017 Tenet Healthcare Corp.* ........................ 52,609
9,730 Warner-Lambert Co. ............................. 644,613
1,097 Watson Pharmaceuticals* ........................ 39,355
------------
12,566,797
------------
Cosmetic & Soap (1.99%)
480 Alberto-Culver Co. Cl B ........................ 12,210
3,160 Avon Products, Inc. ............................ 138,645
16
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1999
Shares Value
------ -----
Cosmetic & Soap (Continued)
2,908 Clorox ......................................... $ 131,587
7,120 Colgate Palmolive Co. .......................... 380,920
13,560 Gillette Co. ................................... 632,235
960 Int'l Flavors & Fragrance ...................... 39,120
15,100 Proctor & Gamble ............................... 1,498,675
------------
2,833,392
------------
Liquor (0.55%)
5,960 Anheuser-Busch Cos., Inc. ...................... 458,920
600 Brown Foreman Cl. B ............................ 35,250
440 Coors (Adolph) ................................. 25,108
5,080 Seagrams Ltd. .................................. 269,558
------------
788,836
------------
Travel & Recreation (0.73%)
6,900 Carnival Corp. ................................. 308,344
300 Fleetwood Enterprises .......................... 6,113
890 Harrahs Entertainment, Inc.* ................... 20,025
2,490 Hilton Hotels Corp. ............................ 30,503
24,492 Walt Disney Co. ................................ 679,653
------------
1,044,638
------------
Printing & Publishing (0.04%)
1,330 Donnelley, RR & Sons ........................... 41,729
400 Meredith Corp. ................................. 13,875
------------
55,604
------------
Business Service (0.43%)
400 Autodesk, Inc. ................................. 9,200
1,180 Ceridian Corp.* ................................ 33,040
6,590 Computer Associates ............................ 372,335
1,300 Computer Sciences* ............................. 89,944
860 Deluxe Corp. ................................... 29,294
2,418 Paychex, Inc. .................................. 71,180
------------
604,993
------------
Office Products (0.15%)
1,140 Avery Dennison Co. ............................. 62,558
4,200 Office Depot* .................................. 43,838
4,987 Staples Inc.* .................................. 108,467
------------
214,863
------------
Health Care Service (0.51%)
4,734 Boston Scientific* ............................. 160,660
3,328 Cardinal Health, Inc. .......................... 212,160
8,010 Columbia/HCA Hthcare Corp. ..................... 197,246
3,909 Healthsouth Corp.* ............................. 32,005
1,910 United Healthcare Corp. ........................ 116,152
------------
718,223
------------
Total Consumer Non-Durable ..................... 30,734,787
------------
Banking & Financial Service (12.95%)
Bank & Bank Holding Cos. (6.55%)
2,310 AMSouth Bancorp ................................ 50,531
13,854 Banc One Corp. ................................. 555,892
20,645 Bank of America Corp. .......................... 1,249,023
9,400 Bank of New York ............................... 336,050
3,600 BankBoston Corp. ............................... 167,175
3,840 BB&T Corp. ..................................... 128,640
9,806 Chase Manhattan Corp. .......................... 820,640
38,506 Citicorp ....................................... 1,711,110
1,800 Comerica ....................................... 93,713
2,945 Fifth Third Bancorp ............................ 195,106
11,366 First Union Corp. .............................. 471,689
7,800 Firstar Corp. .................................. 209,138
Bank & Bank Holding Cos. (Continued)
6,410 Fleet Financial Group, Inc. .................... $ 255,198
2,435 Huntington Bancshares .......................... 72,910
6,100 Mellon Bank .................................... 203,588
1,331 Mercantile Bancorporation ...................... 73,455
2,130 Morgan, J.P. & Co., Inc. ....................... 275,169
1,100 Northern Trust ................................. 93,294
3,830 PNC Financial Corp. ............................ 200,357
1,942 Regions Financial Corp. ........................ 68,577
960 Republic New York Corp. ........................ 66,600
2,050 Southtrust Corp. ............................... 72,391
2,000 State Street Corp. ............................. 119,750
1,700 Summit Bancorp ................................. 56,738
3,918 Sun Trust Banks, Inc. .......................... 251,976
2,700 Synovus Financial Corp. ........................ 50,963
8,868 U.S. Bancorp ................................... 273,800
2,269 Wachovia Corp. ................................. 177,833
7,077 Washington Mutual .............................. 224,695
19,850 Wells Fargo Company ............................ 790,278
------------
9,316,279
------------
Savings & Loan (0.34%)
8,430 Fed Home Loan Mtg Corp. ........................ 434,145
500 Golden West Financial .......................... 45,406
------------
479,551
------------
Finance Company (1.19%)
5,670 American Express Co. ........................... 779,625
1,965 Capital One Financial Corp. .................... 74,179
5,681 Household Int'l ................................ 214,458
1,100 Lehman Brothers Holding ........................ 59,125
4,040 Merrill Lynch .................................. 301,485
7,662 National City Corp. ............................ 211,663
1,278 Union Planters Corp. ........................... 53,916
------------
1,694,451
------------
Investment Company (0.04%)
1,240 Bear Stearns Companies, Inc. ................... 51,615
------------
Insurance (3.00%)
818 Aegon NV ADR ................................... 71,013
1,704 Aetna Life &Casualty Co. ....................... 132,486
2,824 AFLAC Corp. .................................... 126,904
10,554 Allstate Corp. ................................. 346,303
2,902 American General Corp. ......................... 206,042
18,094 American Int'l. Group .......................... 1,677,064
2,505 AON Corp. ...................................... 83,604
2,433 Chubb Group .................................... 139,137
2,620 Cigna Corp. .................................... 235,309
1,500 Cincinnati Financial Corp. ..................... 59,438
2,680 Hartford Financial Services .................... 121,773
930 Jefferson Pilot ................................ 62,078
5,346 Keycorp New .................................... 155,034
1,820 Lincoln National Corp. ......................... 85,313
3,050 Marsh & McClennan Co. .......................... 222,078
940 MBIA, Inc. ..................................... 48,763
1,220 MGIC Investment ................................ 52,994
820 Progressive Corp. .............................. 83,640
1,715 Providian Corp. ................................ 133,127
1,400 Safeco Corp. ................................... 49,875
2,034 St. Paul Cos ................................... 65,215
1,240 Torchmark Corp. ................................ 35,340
2,229 UNUM Corp. ..................................... 80,383
------------
4,272,913
------------
17
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1999
Shares Value
------ -----
Financial Services (1.83%)
8,298 Assoc First Capital Corp. ...................... $ 284,725
9,100 Charles Schwab Corp. ........................... 359,450
3,792 Conseco, Inc. .................................. 91,008
870 Countrywide Credit Ind, Inc. ................... 27,949
12,790 Fannie Mae ..................................... 794,579
2,500 Franklin Resources ............................. 89,844
8,974 MBNACorp ....................................... 221,546
7,028 Morgan Stanley Dean Witter & Co. ............... 603,090
1,594 Paine Webber ................................... 62,565
1,700 SLM Holding Corp. .............................. 75,119
------------
2,609,875
------------
Total Banking & Financial Services ............. 18,424,684
------------
Utility (9.25%)
Electric (0.68%)
1,380 Ameren Corp. ................................... 55,286
1,374 Cinenrgy Corp. ................................. 41,735
1,200 CMS Energy Corp. ............................... 47,475
2,440 Consolidated Edison ............................ 107,360
4,328 Duke Power ..................................... 248,860
3,810 Edison International ........................... 96,679
1,108 Florida Progress Corp. ......................... 51,938
1,375 GPU Corp........................................ 46,922
1,105 New Century Energies ........................... 39,918
3,080 Pacificorp...................................... 62,948
300 Peoples Energy Corp. ........................... 10,931
1,400 PP & L Resources Inc. .......................... 39,200
2,965 Texas Utilities ................................ 119,897
------------
969,149
------------
Gas (0.01%)
240 Oneok Inc. ..................................... 7,455
------------
Telephone (7.04%)
4,351 Alltell Corp. .................................. 294,236
36,193 AT&T Corp. ..................................... 1,628,685
13,280 Ameritech Corp. ................................ 838,300
18,432 Bell Atlantic Corp. ............................ 1,128,960
21,680 Bell South Corp. ............................... 981,020
1,575 Centurytel Inc. ................................ 61,917
1,370 Frontier Corp. ................................. 57,454
11,550 GTECorp ........................................ 792,619
20,934 MCI WorldCom Inc.* ............................. 1,585,751
7,256 Media One Group* ............................... 477,082
23,473 SBC Communications, Inc. ....................... 1,126,704
10,260 Sprint Corp. ................................... 455,288
4,735 Sprint PCS Group* .............................. 282,916
5,945 US West, Inc. .................................. 310,626
------------
10,021,558
------------
Energy (1.38%)
1,960 American Elect. Pwr. Co. ....................... 71,173
1,310 Carolina Power & Light ......................... 47,651
1,830 Central & S/W Corp. ............................ 41,404
2,240 Coastal Corp. .................................. 97,020
720 Columbia Energy Group .......................... 42,525
820 Consolidated Natural Gas ....................... 52,224
1,280 Constellation Energy Grp ....................... 37,920
1,550 Dominion Resources ............................. 71,688
1,310 DTE Energy Co. ................................. 51,663
180 Eastern Enterprises ............................ 8,089
Energy (Continued)
7,502 Enron .......................................... $ 314,146
1,980 Entergy Corp. .................................. 59,029
2,920 First Energy Corp. ............................. 83,403
2,160 FPL Group, Inc. ................................ 116,640
1,360 Niagara Mohawk Holdings* ....................... 20,570
430 Nicor .......................................... 16,636
1,840 Northern States Power .......................... 43,355
1,930 PECO Energy Co. ................................ 78,406
4,990 PG&E Corp. ..................................... 151,259
2,120 Public Service Enterprises ..................... 86,920
3,392 Reliant Energy, Inc. ........................... 93,916
2,712 Sempra Energy .................................. 60,512
750 Sonat Inc. ..................................... 27,094
8,120 Southern Co. ................................... 219,748
1,870 Unicom Corp. ................................... 72,229
------------
1,965,220
------------
Miscellaneous (0.14%)
4,864 Williams Cos ................................... 200,640
------------
Total Utilities................................. 13,164,022
------------
Service(0.72%)
Business (0.28%)
7,100 Automatic Data Processing ...................... 279,119
1,480 Dun & Bradstreet Corp. ......................... 38,758
1,200 Equifax ........................................ 36,600
900 H&R Block ...................................... 50,063
------------
404,540
------------
Consumer (0.32%)
9,820 Cendant Corp.* ................................. 176,146
5,404 First Data ..................................... 237,776
3,000 Service Corp International ..................... 41,438
------------
455,360
------------
Environmental Services (0.12%)
2,720 Laidlaw ........................................ 17,000
6,835 Waste Management, Inc. ......................... 149,088
------------
166,088
------------
Total Service .................................. 1,025,988
------------
Transportation (0.86%)
Air Transportation (0.28%)
2,080 AMR Corp.* ..................................... 121,940
1,540 Delta Airlines ................................. 78,251
2,640 FDX Corp.* ..................................... 112,035
4,252 Southwest Airlines Co. ......................... 70,955
690 US Airways Group, Inc.* ........................ 21,261
------------
404,442
------------
Railroad (0.54%)
5,535 Burlington No./Santa Fe ........................ 160,515
7,355 Conoco, Inc. Class B ........................... 197,667
2,230 CSX Corp. ...................................... 97,423
1,200 Kansas City Southern Ind ....................... 55,575
4,450 Norfolk Southern Co. ........................... 116,534
3,010 Union Pacific Corp. ............................ 146,549
------------
774,263
------------
Trucking (0.04%)
570 Navistar Int'l.* ............................... 27,716
710 Ryder System ................................... 15,664
------------
43,380
------------
18
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1999
Shares Value
------ -----
Total Transportation ............ $ 1,222,085
------------
Manufacturing (4.88%)
Consumer Durable (0.23%)
680 Eastman Chemical Co. ........................... 31,578
3,860 Eastman Kodak .................................. 283,469
400 Polaroid Corp. ................................. 10,850
------------
325,897
------------
Building & Housing (0.03%)
500 Centex Corp. ................................... 14,063
465 Crane Co. ...................................... 11,189
340 Kaufman & Broad Home ........................... 6,949
420 Pulte Corp. .................................... 9,713
------------
41,914
------------
Chemical (1.24%)
2,260 Air Products & Chem, Inc. ...................... 76,840
2,750 Dow Chemical ................................... 312,469
7,960 Dupont E I De Nemours &Co ...................... 504,465
1,120 Ecolab, Inc. ................................... 42,070
550 Great Lakes Chemical ........................... 22,653
930 Hercules ....................................... 30,283
870 Millipore Corp. ................................ 32,843
7,090 Monsanto Co. ................................... 291,133
580 Nalco Chemical ................................. 29,798
2,080 PPG Industries ................................. 124,930
1,350 Praxair, Inc. .................................. 63,450
2,406 Rohm & Haas Co. ................................ 89,924
1,500 Sherwin Williams ............................... 36,563
860 Sigma-Aldrich Corp. ............................ 27,735
1,130 Union Carbide Corp. ............................ 64,269
770 W.R. Grace & Co.* .............................. 14,726
------------
1,764,151
------------
Diversified (0.16%)
2,890 Corning Corp. .................................. 192,185
300 FMC Corp.* ..................................... 17,475
410 National Service Inds .......................... 13,120
------------
222,780
------------
Paper & Forest Products (0.75%)
420 Boise Cascade .................................. 15,278
830 Champion Int'l ................................. 45,650
1,930 Fort James Corp. ............................... 62,243
1,900 Georgia Pacific Co. ............................ 78,613
4,570 Int'l. Paper ................................... 215,076
6,712 Kimberly Clark ................................. 382,165
940 Louisiana-Pacific Co. .......................... 17,390
900 Mead Corp. ..................................... 33,581
250 Potlatch Corp. ................................. 9,656
480 Temple Inland .................................. 29,760
880 Westvaco Corp. ................................. 23,045
2,030 Weyerhaeuser Co. ............................... 114,188
960 Willamette Inds ................................ 38,040
------------
1,064,685
------------
Metal & Mineral (0.08%)
1,982 Allegheny Teledyne, Inc. ....................... 37,039
1,589 Bethlehem Steel* ............................... 12,215
760 Nucor Corp. .................................... 35,388
730 USX-US Steel ................................... 19,710
790 Worthington Inds., Inc. ........................ 11,850
------------
116,202
------------
Container (0.11%)
260 Ball Corp. ..................................... $ 11,684
460 Bemis Co. ...................................... 17,451
1,110 Crown Cork & Seal .............................. 29,484
1,250 Owens-Illinois, Inc.* .......................... 30,938
1,232 Sealed Air Corp.* .............................. 72,380
------------
161,937
------------
Computer (1.61%)
550 Data General Corp.* ............................ 10,141
29,272 Dell Computer Corp.* ........................... 1,428,840
11,680 EMC Corp.* ..................................... 700,800
1,500 Gateway Inc.* .................................. 145,406
------------
2,285,187
------------
Non Ferrous Metal (0.33%)
1,960 Alcan Aluminum Ltd. ............................ 64,435
3,710 Alcoa Inc. ..................................... 239,527
370 Asarco, Inc. ................................... 7,724
1,250 Englehard Corp. ................................ 24,922
1,465 Inco Ltd. ...................................... 30,033
1,409 Newmont Mining Co. ............................. 28,796
570 Phelps Dodge ................................... 31,884
640 Reynolds Metals ................................ 40,520
------------
467,841
------------
Gold and Precious Metal (0.12%)
3,883 Barrick Gold Corp. ............................. 75,233
810 Cypress Amax Mineral Co. ....................... 13,719
2,070 Freeport McMoran Corp. B ....................... 33,249
1,270 Homestake Mining Co. ........................... 10,795
4,089 Placer Dome, Inc. .............................. 42,423
------------
175,419
------------
Miscellaneous (0.22%)
4,380 Applied Materials, Inc.* ....................... 311,254
------------
Total Manufacturing ............................ 6,937,267
------------
Technology (20.06%)
Office Equipment (0.14%)
1,130 IKON Office Solutions .......................... 12,571
1,384 Lexmark Intl Grp Class A* ...................... 108,990
3,070 Novell* ........................................ 72,721
------------
194,282
------------
Electronic (4.95%)
410 EG&G ........................................... 13,043
680 Harris Corp. ................................... 17,850
12,338 Hewlett-Packard Co. ............................ 1,300,117
39,220 Intel Corp. .................................... 3,223,394
900 KLA-Tencor Corp.* .............................. 56,531
7,150 Motorola, Inc. ................................. 659,588
1,600 National Semiconductor* ........................ 45,100
15,660 Nortel Networks ................................ 643,039
760 Pe Corp-PE Biosystems .......................... 52,298
2,800 Solectron Corp.* ............................... 219,100
675 Tektronix, Inc. ................................ 22,444
9,360 Texas Instruments .............................. 768,105
600 Thomas & Betts Co. ............................. 27,000
------------
7,047,609
------------
19
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1999
Shares Value
------ -----
Bio-Technology (2.11%)
6,320 Amgen* ......................................... $ 525,745
36,330 Cisco Systems, Inc.* ........................... 2,463,628
1,502 Silicon Graphics, Inc.* ........................ 17,179
------------
3,006,552
------------
Software (4.30%)
606 Adobe Systems, Inc. ............................ 60,373
2,600 BMC Software* .................................. 139,913
4,290 Compuware Corp* ................................ 129,504
5,200 Electronic Data Sys. Corp. ..................... 291,850
58,050 Microsoft Corp.* ............................... 5,373,253
800 Network Appliance Inc.* ........................ 52,550
2,400 Parametric Tech Co.* ........................... 33,600
2,300 Peoplesoft, Inc.* .............................. 32,488
------------
6,113,531
------------
Business-Mechanics & Software (4.44%)
11,816 America Online, Inc.* .......................... 1,078,949
1,780 Apple Computer, Inc.* .......................... 116,145
19,863 CompaqComputers ................................ 460,573
1,190 General Instrument Corp.* ...................... 58,533
20,690 IBM ............................................ 2,577,198
17,850 Oracle Systems* ................................ 651,525
3,260 Pitney Bowes Systems ........................... 192,340
8,740 Sun Microsystems* .............................. 694,830
2,610 Unisys Corp.* .................................. 112,230
7,740 Xerox Corp. .................................... 369,585
------------
6,311,908
------------
Business Service (0.01%)
200 Shared Medical Systems ......................... 11,238
------------
Semi Conductor (0.20%)
1,170 Advanced Micro Devices* ........................ 24,204
1,320 LSI Logic Corp.* ............................... 74,910
2,490 Micron Technology, Inc.* ....................... 185,661
------------
284,775
------------
Telecommunications (2.22%)
1,450 ADC Telecommunications* ........................ 53,741
780 Andrew Corp.* .................................. 13,650
1,320 Cabletron Systems* ............................. 22,193
35,882 Lucent Technologies ............................ 2,298,691
2,614 Nextel Communications* ......................... 151,122
1,660 Qualcom, Inc.* ................................. 319,031
670 Scientific-Atlanta, Inc. ....................... 34,338
4,480 Tellabs, Inc.* ................................. 266,840
------------
3,159,606
------------
Aerospace Aircraft (1.24%)
6,800 Allied Signal, Inc. ............................ 416,500
11,933 Boeing ......................................... 540,714
2,300 General Dynamics Corp. ......................... 144,900
2,120 Rockwell Int'l. Corp. .......................... 125,345
1,980 Textron, Inc. .................................. 159,885
5,740 United Technologies Corp. ...................... 379,558
------------
1,766,902
------------
Telecom Equipment (0.32%)
4,632 Lockheed Martin Corp. .......................... 171,384
600 Northrop Grumman Corp. ......................... 43,500
3,600 Raytheon-Class B ............................... 245,250
------------
460,134
------------
Miscellaneous (0.13%)
4,030 3Com Corp.* .................................... $ 99,994
2,400 Seagate Technology, Inc.* ...................... 79,650
------------
179,644
------------
Total Technology ............................... 28,536,181
------------
Energy (5.59%)
Oil & Gas - Domestic (0.63%)
880 Amerada Hess Corp. ............................. 54,615
1,000 Anadarko Petroleum Corp. ....................... 34,000
740 Apache Corp. ................................... 33,670
650 Ashland, Inc. .................................. 25,066
3,800 Atlantic Richfield ............................. 334,163
1,547 Burlington Resources, Inc. ..................... 64,684
440 Helmerich & Payne .............................. 12,128
765 Kerr McGee Co. ................................. 42,840
3,200 Phillips Petroleum Co. ......................... 163,200
910 Sunoco ......................................... 29,632
2,550 Unocal Corp. ................................... 106,781
------------
900,779
------------
Oil & Gas International (4.22%)
7,860 Chevron Corp. .................................. 725,085
28,380 Exxon Corp. .................................... 2,238,473
9,550 Mobil Corp. .................................... 977,681
24,770 Royal Dutch Pet.- ADR .......................... 1,532,644
6,868 Texaco ......................................... 436,118
2,990 USX-Marathon ................................... 93,064
------------
6,003,065
------------
Oil & Gas Service (0.33%)
700 Rowan Cos.,Inc.* ............................... 13,038
6,310 Schlumberger ................................... 421,193
2,164 Union Pacific Resources Grp .................... 38,817
------------
473,048
------------
Natural Gas (0.04%)
3,200 Nabisco Group Holdings* ........................ 56,800
------------
Energy Raw Material (0.37%)
1,786 AES Corp. ...................................... 108,388
2,812 Baker Hughes, Inc. ............................. 95,608
5,048 Halliburton Co. ................................ 234,101
480 McDermott Int'l ................................ 10,830
3,230 Occidental Petroleum ........................... 70,010
------------
518,937
------------
Total Energy ................................... 7,952,629
------------
Total Common Stocks (Cost $72,328,422)......................... 124,038,661
------------
20
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (continued)
August 31, 1999
Par
Value Value
Short-Term Investments (12.59%)
United States Treasury Bills
$7,500,000 4.538% 09/16/99(b) ............................. $ 7,485,813
6,000,000 4.610% 12/16/99 ................................ 5,915,200
4,509,172 Firstar Institutional Money Market Fund ........ 4,509,172
------------
Total Short-Term Investments (Cost $17,910,185). 17,910,185
------------
Total Investments (Cost $90,238,607) (99.77%) .. 141,948,846
Other Net Assets (0.23%) ....................... 327,487
------------
Net Assets (100.00%) ......................... $142,276,333
============
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $90,238,607. At August
31, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 53,738,206
Unrealized depreciation ........................ (2,027,967)
------------
Net unrealized appreciation .................. $ 51,710,239
============
(b) At August 31, 1999, certain United States Treasury Bills with a market
value of $1,122,559 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1999 (Contracts-$250 times premium/delivery
month/commitment)
- ---------------
Unrealized
Appreciation
(Depreciation)
--------------
S&P 500 Stock Index:
54/September 99/Long ........................... $ (264,161)
See accompanying notes to financial statements
21
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1999
Shares Value
------ -----
COMMON STOCKS (92.10%)
Capital Goods (4.49%)
Production (0.13%)
1,300 Tecumseh Prod. Co. Cl. A ....................... $ 74,100
------------
Machinery-Agricult & Construction (0.07%)
3,929 AGCO Corp. ..................................... 40,518
Machinery-Industrial (0.65%)
1,636 Albany Intl. Corp. Cl A ........................ 27,096
1,500 Borg-Warner Automotive ......................... 71,063
2,636 Flowserve Corp. ................................ 41,682
2,000 Modine Manufacturing Co. ....................... 59,500
2,200 Stewart & Stevenson Svcs ....................... 26,125
1,600 Watts Industry ................................. 35,200
2,700 York Int'l. Corp New Com ....................... 111,038
------------
371,704
------------
Pollution Control (0.12%)
3,400 Donaldson Co. Inc. ............................. 66,725
------------
Engineering & Construction (0.15%)
1,700 Jacobs Engineering Group* ...................... 56,100
1,800 Structural Dyn. Research* ...................... 29,025
------------
85,125
------------
Electrical Equipment (2.52%)
2,100 Ametek, Inc.* .................................. 43,706
4,300 Cirrus Logic, Inc.* ............................ 48,106
4,430 Hubbell, Inc. Cl. B ............................ 171,939
4,600 Integrated Device Tech.* ....................... 89,700
5,700 IPALCO* ........................................ 119,344
4,215 Mark IV Industries, Inc. ....................... 83,510
9,890 Molex, Inc.* ................................... 317,098
5,500 Teradyne, Inc.* ................................ 374,344
2,900 UCAR Int'l.* ................................... 70,688
5,575 Vishay Intertechnology, Inc.* .................. 119,514
------------
1,437,949
------------
Transportation Equipment (0.60%)
2,700 Federal Signal* ................................ 56,531
1,850 SPX Corp. ...................................... 156,788
2,500 Trinity Industries ............................. 78,438
3,200 Wisconsin Central Transport* ................... 51,000
------------
342,757
------------
Conglomerate (0.25%)
2,040 Newport News Shipbuilding* ..................... 64,133
2,000 Rayonier, Inc. ................................. 83,000
------------
147,133
------------
Total Capital Goods ............................ 2,566,011
------------
Consumer Cyclical (6.34%)
Housing (0.16%)
9,701 Clayton Homes, Inc.* ........................... 92,160
------------
Building Material (1.31%)
4,400 BJ'S Wholesale Club* ........................... 124,300
2,900 Martin Marietta Materials ...................... 132,313
3,200 USG Corp.* ..................................... 156,800
3,736 VISIX Inc.* .................................... 338,108
------------
751,521
------------
Auto & Truck (0.19%)
2,300 Teleflex, Inc.* ................................ $ 106,950
------------
Auto Parts (0.46%)
1,200 Arvin Inds., Inc. .............................. 42,900
4,100 Lear Corp.* .................................... 164,769
2,000 Superior Industries ............................ 56,000
------------
263,669
------------
Tire & Rubber (0.22%)
1,400 Bandag, Inc. ................................... 46,550
2,000 Carlisle Cos., Inc. ............................ 80,000
------------
126,550
------------
Household Products (0.14%)
1,000 Enesco Group, Inc. ............................. 17,250
3,200 Furniture Brands Int'l. Inc.* .................. 64,200
------------
81,450
------------
Textile & Apparel (0.84%)
3,400 Burlington Inds., Inc.* ........................ 19,338
3,731 Mohawk Industries* ............................. 84,414
7,800 Shaw Industries, Inc.* ......................... 156,000
3,900 UNIFI, Inc. .................................... 52,650
3,500 Warnaco Group CL-A ............................. 77,000
3,700 Westpoint Stevens, Inc.* ....................... 88,800
------------
478,202
------------
Retail-General (2.75%)
6,800 Abercrombie & Fitch* ........................... 237,150
4,300 Barnes & Noble, Inc.* .......................... 101,856
8,340 Bed Bath & Beyond* ............................. 229,350
4,600 Callaway Golf Co. .............................. 45,713
3,250 Claire's Stores, Inc. .......................... 61,141
5,913 CompUSA* ....................................... 35,848
3,700 Dollar Tree Stores, Inc.* ...................... 122,100
11,300 Family Dollar Stores ........................... 222,469
2,500 Fastenal Co. ................................... 125,313
3,000 Heilig-Myers Co. ............................... 15,938
2,300 Micro Warehouse, Inc.* ......................... 28,175
2,234 Payless Shoesource* ............................ 111,421
4,480 Tiffany & Co. .................................. 236,880
------------
1,573,354
------------
Lodging (0.27%)
5,197 Promus Hotel Corp.* (New) ...................... 151,038
------------
Total Consumer Cyclical ........................ 3,624,894
------------
Consumer Non-Durable (19.40%)
Healthcare (0.97%)
3,300 Appria Healthcare Group* ....................... 55,688
6,900 Beverly Enterprises, Inc.* ..................... 34,500
3,700 Covance, Inc.* ................................. 59,431
3,100 Dentsply Int'l., Inc. .......................... 76,919
2,200 Millennium Pharm* .............................. 129,663
8,000 Mylan Laboratories ............................. 158,500
4,700 Quorum Health Group, Inc.* ..................... 41,419
------------
556,120
------------
Consumer Products (0.31%)
3,633 Acnileson Corp.* ............................... 90,825
2,631 Lancaster Colony Corp. ......................... 86,494
------------
177,319
------------
22
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Food Beverage & Tobacco (2.68%)
2,200 Bob Evans Farms ................................ $ 44,825
2,300 Dean Foods Co. ................................. 92,575
4,000 Dole Food Co. .................................. 100,750
1,600 Dreyer Grand Ice Cream* ........................ 27,200
6,175 Flowers Inds., Inc. ............................ 97,642
4,900 Hormel Foods Corp. ............................. 197,225
1,100 Int'l. Multifoods, Inc.* ....................... 24,956
4,822 Interstate Bakeries Corp.* ..................... 115,427
1,700 Lance, Inc. .................................... 22,100
4,660 McCormick & Co. ................................ 149,120
1,600 Smucker (J.M.) Co. Cl. A ....................... 36,800
11,000 Starbucks Corp.* ............................... 251,625
14,050 Tyson Foods, Inc. Cl. A ........................ 225,678
2,300 Universal Corp.* ............................... 65,263
2,900 Universal Foods Corp. .......................... 61,263
2,862 Vlasic Foods Int'l., Inc.* ..................... 21,107
------------
1,533,556
------------
Retail-Food & Drugs (0.40%)
2,554 Hannaford Brothers Co. ......................... 183,250
2,400 Ruddick Corp. .................................. 44,550
------------
227,800
------------
Communications & Media (2.35%)
8,000 Belo (A.H.) Corp. Sr. A ........................ 151,500
4,006 Cox Communications, Inc.* ...................... 148,963
4,200 Harte-Hanks, Inc. .............................. 94,238
3,100 Hispanic Broadcasting Corp.* ................... 231,725
5,600 Univision Communications* ...................... 413,000
567 Washington Post, Class B ....................... 305,613
------------
1,345,039
------------
Entertainment & Leisure (1.04%)
2,159 Chris Craft Industries* ........................ 109,299
2,778 Gtech Holdings Corp.* .......................... 70,145
6,300 Mandalay Resort Group* ......................... 129,150
3,786 Premark Int'l .................................. 125,885
4,800 Premier Parks, Inc.* ........................... 157,200
------------
591,679
------------
Apparel (0.97%)
7,402 Jones Apparel Group* ........................... 191,989
1,800 Lands End ...................................... 90,675
2,988 Ross Store, Inc. ............................... 124,376
8,766 Saks, Inc.* .................................... 147,378
------------
554,418
------------
Drugs (1.70%)
8,124 Bergen Brusswig Corp. CL A ..................... 125,414
2,400 Carter-Wallace, Inc. ........................... 42,900
5,300 Forest Laboratories CL A* ...................... 257,050
2,400 Gilead Sciences, Inc.* ......................... 187,050
4,555 ICN Pharmeceuticals ............................ 94,516
7,800 IVAX Corp. ..................................... 128,700
1,800 Sepacor, Inc.* ................................. 134,775
------------
970,405
------------
Hospital Supply & Service (2.02%)
1,500 Acuson Corp.* .................................. 23,625
3,280 Medimmune, Inc.* ............................... 338,455
1,800 Minimed, Inc.* ................................. 163,688
5,250 Omnicare, Inc. ................................. 50,531
2,836 Pacificare Health Sys. A* ...................... 170,160
Hospital Supply & Service (Continued)
4,325 PSS World Medical, Inc.* ....................... $ 38,655
6,400 Stryker Corp. .................................. 368,800
------------
1,153,914
------------
Cosmetics & Soap (0.09%)
1,100 Church and Dwight* ............................. 51,150
------------
Printing & Publishing (0.94%)
2,000 Banta Corp.* ................................... 47,000
2,600 Glatfelter (P.H.) Co.* ......................... 34,288
1,600 Houghton Mifflin Co. ........................... 76,400
2,800 Lee Enterprises* ............................... 80,325
1,800 Media General, Inc. Cl. A ...................... 88,200
6,700 Readers Digest Assoc ........................... 209,375
------------
535,588
------------
Restaurant (0.73%)
4,110 Brinker Int'l.* ................................ 98,640
1,800 Buffets, Inc.* ................................. 20,138
4,000 CBRL Group Inc.* ............................... 52,500
2,600 Lone Star Steakhouse* .......................... 19,825
4,500 Outback Steakhouse, Inc.* ...................... 133,313
1,700 Papa Johns Int'l., Inc.* ....................... 67,575
1,050 Sbarro, Inc.* .................................. 28,875
------------
420,866
------------
Business Service (3.26%)
6,400 Cintas Group* .................................. 328,800
9,200 Comdisco ....................................... 193,775
7,900 Concord EFS, Inc.* ............................. 293,288
6,100 Dial Corp. ..................................... 169,275
6,800 Modis Prof. Services* .......................... 107,525
2,600 Navigant Consulting Co.* ....................... 114,075
3,500 Noble Affiliates ............................... 108,500
2,700 Pittston Brink's Group* ........................ 64,294
4,000 Snyder Communications* ......................... 81,500
6,328 Sungard Data Systems, Inc.* .................... 158,200
6,000 Viad Corp. ..................................... 179,625
3,000 Wallace Computer Services ...................... 64,125
------------
1,862,982
------------
Office Products (0.55%)
3,400 Hon Industries ................................. 80,113
5,600 Miller (Herman), Inc. .......................... 131,950
8,000 Office Max, Inc.* .............................. 60,500
1,600 Standard Register Co. .......................... 43,300
------------
315,863
------------
Healthcare Services (1.32%)
4,000 First Health Group Corp.* ...................... 86,250
7,900 Foundation Hlth Systems-A * .................... 100,725
15,550 Health Mgmt. Assoc. Cl.A.* ..................... 124,400
3,598 Lincare Holdings Inc.* ......................... 94,897
4,114 Steris Corp.* .................................. 51,682
5,930 Sybron Int'l. Corp.* ........................... 152,698
4,943 Total Renal Care Holdings* ..................... 39,853
2,800 Trigon Healthcare, Inc.* ....................... 101,675
------------
752,180
------------
Health & Beauty Aids (0.07%)
5,000 Perrigo Co.* ................................... 39,688
------------
Total Consumer Non-Durable ..................... 11,088,567
------------
23
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Banking & Financial Services (11.86%)
Bank & Bank Holding Cos. (5.31%)
2,460 CCB Financial Corp. ............................ $ 116,235
2,984 City National Corp. ............................ 99,032
7,200 Compass Bancshares, Inc. ....................... 191,250
11,387 First Security Corp. Del ....................... 246,956
8,100 First Tennesse Ntl., Corp. ..................... 259,200
3,400 First Virginia Banks, Inc. ..................... 150,450
9,600 Hibernia Bank* ................................. 124,200
3,200 Keystone Financial, Inc. ....................... 85,000
6,380 Marshall and Isley Corp.* ...................... 373,629
4,300 Mercantile Bankshares Corp. .................... 140,825
8,650 North Fork Bancorp ............................. 156,781
6,762 Old Kent Financial Corp. ....................... 267,099
5,400 Pacific Century Financial ...................... 100,238
5,228 Pinnacle West .................................. 198,664
2,737 Provident Financial Group* ..................... 114,612
2,400 WestAmerica Bancorp ............................ 76,650
2,300 Wilmington Trust Corp. ......................... 115,000
4,425 Zions Bancorp.* ................................ 220,144
------------
3,035,965
------------
Savings & Loan (1.79%)
3,933 Associated Banc Corp. .......................... 138,638
3,500 Astoria Financial Corp. ........................ 115,063
10,637 Charter One Financial, Inc. .................... 248,972
6,893 Dime Bancorp, Inc.* ............................ 126,659
5,800 Greenpoint Financial Corp. ..................... 150,075
8,542 Sovereign Bancorp, Inc. ........................ 85,687
5,689 TCP Financial Corp.* ........................... 160,714
------------
1,025,808
------------
Insurance (2.82%)
4,500 AMBAC Financial Group .......................... 237,656
4,000 American Fin. Group, Inc. ...................... 118,000
3,100 Everest Re Holdings ............................ 86,025
3,800 Finova Group, Inc. ............................. 144,400
2,600 Horace Mann Educators .......................... 78,325
2,050 HSB Group, Inc. ................................ 76,234
8,100 Old Republic* .................................. 125,550
5,000 Oxford Health Plans* ........................... 77,500
3,877 Protective Life Corp.* ......................... 115,341
5,600 Reliastar Financial Corp. ...................... 252,350
3,150 The PMI Group, Inc. ............................ 133,875
4,600 Unitrin, Inc. .................................. 165,313
------------
1,610,569
------------
Financial Services (1.94%)
3,500 Allmerica Financial Corp.* ..................... 197,750
13,680 E*Trade Group, Inc.* ........................... 342,000
6,287 Edwards AG ..................................... 157,961
6,301 Gartner Group, Inc. Cl B* ...................... 129,171
1,800 Investment Tech Group* ......................... 49,050
7,438 T. Rowe Price .................................. 230,113
------------
1,106,045
------------
Total Banking & Financial Services ............. 6,778,387
------------
Utility (9.43%)
Electric (6.76%)
8,000 Allegheny Power System ......................... 270,000
4,636 Alliant Energy Corp.* .......................... 134,154
1,200 Black Hills Corp. .............................. 29,700
1,700 Calpine Corp.* ................................. 154,063
1,200 Cleco Corp.* ................................... 39,900
Electric (Continued)
1,700 CMP Group, Inc.* ............................... $ 45,156
5,900 Connectiv, Inc.* ............................... 126,481
9,800 DPL, Inc. ...................................... 185,588
6,940 Energy East Corp. .............................. 173,500
1,700 Hawaiian Electric Inds ......................... 60,456
2,200 Idacorp, Inc.* ................................. 68,888
5,000 Illinova Corp. ................................. 159,375
4,100 Kansas City Power & Light ...................... 98,656
8,100 LG&E Energy Corp. .............................. 186,300
3,740 Midamerican Energy Co.* ........................ 107,058
3,800 Minnesota Power & Light ........................ 67,688
6,400 Montana Power Co. .............................. 198,000
4,200 New England Electric Sys ....................... 219,188
7,184 Nisource, Inc. ................................. 170,620
8,400 Northeast Utilities ............................ 147,525
5,300 OGE Energy Corp.* .............................. 124,550
6,933 Potomac Electric Power Co.* .................... 183,725
2,300 Public Service Co N Mexico* .................... 43,269
5,327 Puget Sound Power & Light ...................... 126,183
6,249 SCANA Corp. .................................... 156,225
4,875 Sierra Pacific Resources* ...................... 118,825
8,000 Teco Energy, Inc. .............................. 168,000
5,100 Utilicorp United, Inc. ......................... 118,256
7,400 Wisc. Energy Corp. ............................. 180,838
------------
3,862,167
------------
Gas (1.30%)
3,300 Atlanta Gas Light Co.* ......................... 59,606
1,600 Indiana Energy, Inc. ........................... 33,900
9,800 Keyspan Corp.* ................................. 289,100
4,900 MCN Energy Group, Inc. ......................... 87,588
8,410 Noble Drilling Corp.* .......................... 207,096
2,500 Washington Gas Light Co. ....................... 66,719
------------
744,009
------------
Telephone (1.37%)
3,000 Blyth Industries, Inc.* ........................ 84,938
8,000 Cincinnati Bell ................................ 148,000
6,375 NCR Corp.* ..................................... 278,906
3,900 Telephone & Data ............................... 271,538
------------
783,382
------------
Total Utility .................................. 5,389,558
------------
Service (3.55%)
Distributor (0.68%)
2,700 Alexander & Baldwin, Inc. ...................... 65,306
5,700 American Water Works, Inc. ..................... 166,013
900 Scholastic Corp.* .............................. 35,663
3,269 Tech Data Corp. * .............................. 121,157
------------
388,139
------------
Business (1.75%)
8,200 Convergys Corp.* ............................... 169,125
7,050 Fiserv, Inc.* .................................. 217,228
5,000 Jabil Circuit, Inc.* ........................... 224,063
2,200 Kelly Services, Inc. Cl. A ..................... 61,875
5,400 ManPower, Inc.* ................................ 145,800
4,750 Olsten Corp. ................................... 48,688
5,208 Robert Half Int'l.* ............................ 136,710
------------
1,003,489
------------
24
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Consumer (0.51%)
4,415 Nova Corp.* .................................... $ 114,790
2,300 Rollins, Inc.* ................................. 36,081
3,800 Sotheby's ...................................... 110,675
5,500 Stewart Enterprises, Inc. ...................... 29,734
------------
291,280
------------
Miscellaneous (0.61%)
5,700 Apollo Group, Inc.* ............................ 125,044
6,226 Quintiles Transnational, Inc.* ................. 222,969
------------
348,013
------------
Total Service .................................. 2,030,921
------------
Transportation (2.44%)
Air Transportation (0.49%)
2,600 Airbourne Freight Corp. ........................ 65,488
1,700 Alaska Airgroup, Inc.* ......................... 73,525
3,743 Comair Holdings, Inc. .......................... 79,071
3,000 Swift Transportation Co.* ...................... 62,438
------------
280,522
------------
Railroad (0.50%)
3,100 Gatx Corp. ..................................... 103,463
3,300 Ogden Corp. .................................... 75,075
6,410 Whitman Corp.* ................................. 106,967
------------
285,505
------------
Trucking (0.28%)
1,400 Arnold Inds., Inc. ............................. 19,950
2,700 CNF Transportation* ............................ 105,131
2,500 Hunt (J.B.)* ................................... 37,031
------------
162,112
------------
Miscellaneous (1.17%)
9,600 Harley Davidson ................................ 523,200
1,900 Overseas Shipholding Grp ....................... 26,481
5,624 U.S. Foodservice, Inc.* ........................ 117,050
------------
666,731
------------
Total Transportation ........................... 1,394,870
------------
Manufacturing (9.40%)
Consumer Durable (0.62%)
12,000 Leggett & Platt* ............................... 265,500
2,200 Suiza Foods Corp.* ............................. 70,125
------------
335,625
------------
Building & Housing (0.21%)
2,374 Southdown, Inc. ................................ 119,887
------------
Chemical (2.30%)
4,100 Airgas, Inc.* .................................. 53,813
3,600 Albemarle Corp.* ............................... 62,325
4,300 Cabot Corp. .................................... 99,169
4,267 Crompton & Knowles Corp. ....................... 74,673
2,900 Cytec Inds.* ................................... 67,606
1,300 Dexter Corp.* .................................. 47,369
5,200 Ethyl Corp. .................................... 27,625
2,300 Ferro Corp. .................................... 55,200
800 Fuller (H.B.) Corp. ............................ 48,200
2,400 Georgia Gulf Corp.* ............................ 43,650
7,000 IMC Global, Inc.* .............................. 111,563
6,200 Iowa Beef Processing ........................... 142,213
3,600 Lubrizol Corp. ................................. 91,350
Chemical (Continued)
7,000 Lyondell Petrochemical ......................... $ 101,938
500 NCH Corp. ...................................... 22,250
5,718 RPM, Inc. Ohio ................................. 76,121
2,400 Schulman (A.), Inc.* ........................... 43,050
7,318 Solutia, Inc.* ................................. 146,360
------------
1,314,475
------------
Diversified (0.27%)
1,000 Nordson Corp. .................................. 49,156
3,200 Olin Corp.* .................................... 45,400
3,800 Witco Corp. .................................... 61,513
------------
156,069
------------
Capital Good (0.25%)
3,200 Harsco Corp. ................................... 88,600
1,600 Kennametal, Inc. ............................... 42,400
1,400 Magnetek, Inc.* ................................ 12,950
------------
143,950
------------
Paper & Forest Product (1.27%)
3,600 Bowater, Inc.* ................................. 193,050
1,300 Chesapeake Corp.* .............................. 43,956
6,000 Consolidated Papers ............................ 159,750
5,550 Georgia Pac Co. Timber* ........................ 133,547
3,400 Longview Fibre Co. ............................. 43,988
2,200 Pentair, Inc. .................................. 100,100
3,742 Wausau Paper Mills Co. ......................... 51,453
------------
725,844
------------
Metal & Minerals (0.49%)
3,400 AK Steel Holding Corp. ......................... 71,400
1,200 Carpenter Technology ........................... 27,450
3,175 Hanna (M.A.) Co. ............................... 43,458
400 Maxxam, Inc.* .................................. 22,850
1,500 Minerals Technology, Inc. ...................... 74,250
1,600 Oregon Steel Mills, Inc. ....................... 17,500
1,258 Ryerson Tull, Inc.* ............................ 23,823
------------
280,731
------------
Container (0.31%)
600 Cleveland Cliffs Corp. ......................... 19,238
6,762 Sonoco Products, Inc. .......................... 160,598
------------
179,836
------------
Computer (2.09%)
5,200 Citrix Systems, Inc.* .......................... 296,400
4,059 Comverse Technology* ........................... 316,602
4,800 Legato Systems, Inc.* .......................... 206,700
10,530 Quantum Corp.* ................................. 192,831
2,600 Sequent Computer Sys* .......................... 45,825
6,548 Storage Technology Corp.* ...................... 137,508
------------
1,195,866
------------
Non-Ferrous Metal (0.27%)
3,400 Federal Mogul Corp. ............................ 155,125
------------
Miscellaneous (1.32%)
4,400 American Standard Co.* ......................... 180,400
4,060 Hillenbrand Industries* ........................ 115,710
7,170 International Game Tech ........................ 125,475
1,800 Kaydon Corp.* .................................. 55,238
3,800 Waters Corp.* .................................. 250,563
2,200 Wellman, Inc.* ................................. 36,988
------------
764,374
------------
Total Manufacturing ............................ 5,371,782
------------
25
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Technology (19.34%)
Office Equipment (0.21%)
4,500 Diebold ........................................ $ 119,813
------------
Electronic (1.92%)
5,574 Arrow Electronics, Inc.* ....................... 110,783
2,260 Avnet, Inc.* ................................... 100,005
3,000 Litton Inds.* .................................. 192,000
3,492 Sanmina Corp.* ................................. 261,900
3,854 SCI Systems, Inc.* ............................. 191,977
4,900 Sensormatic Elect. Corp. ....................... 57,269
5,250 Symbol Technologies, Inc. ...................... 182,766
------------
1,096,700
------------
Biotechnology (2.99%)
1,900 Beckman Coulter, Inc.* ......................... 90,013
9,600 Biogen, Inc.* .................................. 736,800
4,500 Centocor, Inc.* ................................ 269,438
11,212 Chiron Corp.* .................................. 360,186
4,500 Genzyme Corp.* ................................. 253,969
------------
1,710,406
------------
Software (4.11%)
14,340 Cadence Design System, Inc.* ................... 195,383
3,700 Cambridge Tech Partners* ....................... 50,644
3,600 Electronic Arts* ............................... 247,050
10,100 Informix Corp.* ................................ 73,541
3,700 Intuit, Inc.* .................................. 331,381
5,400 Reynolds & Reynolds Cl. A ...................... 118,125
5,500 Siebel Systems, Inc.* .......................... 377,781
5,666 Sterling Commerce, Inc.* ....................... 108,362
4,934 Sterling Software, Inc.* ....................... 99,297
3,000 Symantec Corp.* ................................ 90,000
1,800 Transaction SystemArch* ........................ 52,988
10,200 Veritas Software Corp.* ........................ 604,350
------------
2,348,902
------------
Business-Mechanics & Software (1.20%)
4,800 Borders Group* ................................. 63,900
1,525 Granite Construction, Inc.* .................... 38,125
2,600 Imation Corp.* ................................. 73,288
7,981 Network Associates, Inc.* ...................... 134,679
5,300 Rational Software Corp.* ....................... 143,431
4,109 Synopsys, Inc.* ................................ 229,847
------------
683,270
------------
Business-Service (0.47%)
3,100 Affiliated Computer Svcs.* ..................... 132,525
2,300 Policy Mgmt. Systems Corp.* .................... 70,294
3,200 Sylvan Learning Sys, Inc.* ..................... 63,600
------------
266,419
------------
Semiconductor (6.02%)
12,900 Altera Corp.* .................................. 543,413
6,400 Atmel Corp.* ................................... 251,600
4,900 Cypress Semiconductor* ......................... 113,313
9,800 Linear Technology Corp. ........................ 616,788
8,100 Maxim Integrated Prod.* ........................ 545,231
3,673 Microchip Tech* ................................ 201,097
2,200 QLogic Corp.* .................................. 191,538
4,544 Vitesse Semiconductor* ......................... 308,992
9,600 Xilinx, Inc.* .................................. 671,400
------------
3,443,372
------------
Telecommunications (0.38%)
270 ADC Telecom., Inc.* ............................ $ 10,007
2,600 Adtran, Inc.* .................................. 99,125
3,200 Comsat Corp. ................................... 111,200
------------
220,332
------------
Aerospace Aircraft (0.26%)
4,306 Meritor Automative, Inc.* ...................... 93,925
1,550 Precision Castparts ............................ 55,025
------------
148,950
------------
Telecom Equipment (0.25%)
2,100 Cordant Technologies, Inc. ..................... 86,888
2,600 Gencorp, Inc. .................................. 55,900
------------
142,788
------------
Miscellaneous (1.53%)
12,200 Amer. Pwr. Conversion Corp.* ................... 214,263
10,333 Analog Devices* ................................ 532,150
4,270 Keane, Inc.* ................................... 92,339
4,200 Mentor Graphics ................................ 37,669
------------
876,421
------------
Total Technology ............................... 11,057,373
------------
Energy (5.85%)
Oil & Gas-Domestic (2.66%)
4,290 Devon Energy Corp.* ............................ 165,701
7,422 El Paso Natural Gas* ........................... 271,367
3,000 Murphy Oil Corp. ............................... 152,250
2,200 National Fuel Gas Co. .......................... 103,538
10,319 Ocean Energy, Inc.* ............................ 104,480
3,394 Pennzoil-Quaker State Co.* ..................... 47,092
6,200 Pioneer Natural Resources* ..................... 70,525
5,500 Questar ........................................ 103,813
11,121 Santa Fe Synder Corp.* ......................... 108,430
9,800 Tosco Corp. .................................... 249,900
5,500 Ultramar Diamond Shamrock* ..................... 143,688
------------
1,520,784
------------
Oil & Gas Service (2.54%)
4,800 BJ Services* ................................... 164,400
9,000 Ensco Intl., Inc. .............................. 191,813
11,100 Global Marine, Inc.* ........................... 197,025
5,800 Nabors Industries* ............................. 156,600
2,700 Smith Int'l., Inc.* ............................ 126,056
3,900 Tidewater, Inc. ................................ 126,750
6,500 Transocean Offshore, Inc. ...................... 221,000
4,100 Varco Intl., Inc.* ............................. 50,738
6,056 Weatherford Int'l.* ............................ 215,745
------------
1,450,127
------------
Natural Gas (0.47%)
4,246 K N Energy, Inc. ............................... 86,512
6,566 RJ Reynolds Holdings* .......................... 180,155
------------
266,667
------------
Miscellaneous (0.18%)
500 Sequa Corp.* ................................... 33,813
3,400 Valero Energy Corp. ............................ 72,210
------------
106,023
------------
Total Energy ................................... 3,343,601
------------
Total Common Stock (cost $45,985,251) ......................... 52,645,964
------------
26
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Par
Value Value
----- -----
Short-Term Investments (7.74%)
United States Treasury Bills
$ 500,000 4.538% 09/16/99(b) ............................. $ 499,054
2,000,000 4.610% 12/16/99 ................................ 1,971,733
1,955,845 Firstar Institutional Money Market Fund ........ 1,955,845
------------
Total Short-Term Investments (Cost $4,426,632) . 4,426,632
------------
Total Investments (Cost $50,411,883)(99.84%).... 57,072,596
Other Net Assets (0.16%) ....................... 91,412
------------
Net Assets (100.00%) ......................... $ 57,164,008
============
- ----------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $50,411,883. At August
31, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 12,471,901
Unrealized depreciation ........................ (5,811,188)
------------
Net unrealized appreciation .................. $ 6,660,713
============
(b) At August 31, 1999, certain United States Treasury Bills with a market
value of $269,414 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1999 (Contracts-$500 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P MidCap 400 Index:
22/September 99/Long ........................... $ (190,673)
------------
See accompanying notes to financial statements
27
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
August 31, 1999
Shares Value
------ -----
Common Stock (79.33%)
Capital Goods (5.35%)
Production (0.30%)
490 Gardner Denver, Inc. ........................... $ 9,402
548 Graco, Inc. .................................... 18,461
340 Republic Group ................................. 5,419
------------
33,282
------------
Machinery - Agricult & Const (0.41%)
470 Astec Industries Inc.* ......................... 15,921
469 Lindsay Manufacturing Co.* ..................... 8,032
1,200 Mascotec, Inc. ................................. 20,700
------------
44,653
------------
Machinery-Industrial (1.05%)
623 Applied Industrial Tech ........................ 9,384
697 BMC Industries, Inc. ........................... 8,582
1,000 JLG Industries, Inc. ........................... 17,750
500 Lawson Products ................................ 11,500
1,275 PAXAR Corp.* ................................... 11,077
356 Robbins & Myers ................................ 8,366
500 Specialty Equipment Co. ........................ 11,531
444 Technitrol ..................................... 15,540
1,076 Vicor Corp.* ................................... 20,780
------------
114,510
------------
Pollution Control (0.10%)
372 Ionics, Inc.* .................................. 10,881
------------
Engineering & Construction (0.87%)
525 CDI Corp.* ..................................... 15,816
538 Lone Star Industries ........................... 18,494
657 Manitowoc Company, Inc. ........................ 24,350
1,303 Morrison Knudson Corp.* ........................ 14,007
600 Polaris Industries, Inc. ....................... 21,563
------------
94,230
------------
Electrical Equipment (2.27%)
381 Adaptive Broadband Corp. ....................... 12,144
694 Belden, Inc. ................................... 16,266
320 Benchmark Elec., Inc. .......................... 11,780
770 Cable Design Tech.* ............................ 16,218
788 CTS Corp. ...................................... 37,529
600 Dycom Industries ............................... 18,525
310 Harmon Industries Inc. ......................... 5,386
1,394 Intl. Rectifier Corp.* ......................... 22,478
495 Marshall Industries* ........................... 18,160
492 Oak Industries, Inc.* .......................... 15,437
762 Pioneer Standard Elec .......................... 10,763
453 Plexus Corp.* .................................. 13,477
400 Service Experts, Inc. .......................... 4,500
800 SLI, Inc. ...................................... 19,600
757 Trimble Navigation Ltd.* ....................... 8,564
750 Varian Medical Systems, Inc. ................... 16,219
------------
247,046
------------
Transportation Equipment (0.16%)
739 Halter Marine Group, Inc.* ..................... 3,926
622 Wabash Natl. Corp. ............................. 13,062
------------
16,988
------------
Conglomerate (0.10%)
560 Scott Technolgies, Inc. ........................ $ 10,623
------------
Waste Management (0.09%)
400 URS Corp. ...................................... 9,900
------------
Total Capital Goods ............................ 582,113
------------
Consumer Cyclical (8.07%)
Optical Photo Equipment (0.07%)
1,086 X-Rite, Inc. ................................... 7,398
------------
Housing (0.82%)
1,000 Linens 'N Things* .............................. 34,250
480 MDC Holdings, Inc. ............................. 9,030
1,170 Oakwood Homes Corp. ............................ 7,093
535 The Ryland Group, Inc. ......................... 12,873
280 Skyline Corp. .................................. 7,770
887 Toll Bros, Inc.* ............................... 17,962
------------
88,978
------------
Building Material (0.76%)
520 ABM Industries, Inc. ........................... 11,960
990 Apogee Enterprises, Inc. ....................... 8,168
495 Elcor Co. ...................................... 9,529
736 Geon Co. ....................................... 21,988
1,012 Justin Industries, Inc. ........................ 14,453
512 Texas Industries, Inc. ......................... 16,384
------------
82,482
------------
Auto & Truck (0.57%)
1,011 Applied Power, Inc. CL A ....................... 30,962
400 Coachman Industries, Inc. ...................... 6,325
470 Reliance Steel & Alum .......................... 15,569
535 Wynn's Int'l., Inc. ............................ 9,630
------------
62,486
------------
Auto Part (1.16%)
505 A.O. Smith Corp. ............................... 13,698
628 Cheesecake Factory ............................. 18,997
764 Clarcor, Inc. .................................. 13,704
1,786 Gentex Corp.* .................................. 34,157
574 O'Reilly Automotive, Inc.* ..................... 21,956
1,200 Tower Automotive ............................... 24,000
------------
126,512
------------
Mobile Home (0.23%)
360 Thor Industries, Inc. .......................... 9,675
660 Winnebago Industries ........................... 15,799
------------
25,474
------------
Appliance (0.28%)
1,451 Fedders Corp. .................................. 9,432
1,350 Interface, Inc. ................................ 11,728
230 National Presto Industries ..................... 8,999
------------
30,159
------------
Household Product (0.85%)
880 Aptargroup, Inc. ............................... 22,660
500 Department 56, Inc. ............................ 14,000
1,434 Williams-Sonoma, Inc.* ......................... 55,926
------------
92,586
------------
28
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Textile & Apparel (1.19%)
777 Authentic Fitness Corp. ........................ $ 13,452
711 Brown Group .................................... 12,354
470 Cascade Natural Gas Corp. ...................... 8,607
532 G & K Services, Inc.-CL A ...................... 22,111
831 Griffon Corp.* ................................. 5,921
541 Jo-Ann Stores, Inc.-CL A ....................... 7,405
663 Kellwood Co. ................................... 15,829
1,012 Nautica Enterprises, Inc.* ..................... 13,599
530 Oshkosh B Gosh ................................. 8,546
346 Oxford Industries, Inc. ........................ 7,482
374 Pillowtex Corp. ................................ 4,091
600 Quicksilver, Inc.* ............................. 10,350
------------
129,747
------------
Shoes (0.68%)
707 Footstar, Inc.* ................................ 22,978
750 Pacific Sunwear of Cal ......................... 17,438
297 The Timberland Co.* ............................ 21,347
1,111 Wolverine World Wide, Inc. ..................... 12,568
------------
74,331
------------
Retail - General (1.23%)
600 Ames Department Stores ......................... 17,625
898 Cato Corp-New CL A ............................. 12,067
565 Discount Auto Parts, Inc.* ..................... 10,806
556 The Dress Barn, Inc.* .......................... 8,375
816 Michaels Stores, Inc.* ......................... 25,041
2,545 Pier 1 Imports, Inc. ........................... 13,838
760 Shopko Stores, Inc.* ........................... 21,755
1,116 Stein Mart, Inc.* .............................. 7,742
439 The Toro Co. ................................... 16,133
------------
133,382
------------
Lodging (0.23%)
975 Marcus Corp. ................................... 11,639
1,431 Prime Hospitality Corp.* ....................... 13,326
------------
24,965
------------
Total Consumer Cyclical ........................ 878,500
------------
Consumer Non-Durable (17.42%)
Health Care (2.02%)
709 Ballard Medical Products ....................... 17,371
733 Bindley Western Inds ........................... 12,278
1,084 Bio-Technology General* ........................ 11,043
400 Cooper Co.* .................................... 9,575
490 Datascope Corp.* ............................... 15,313
420 Diagnostic Products Corp. ...................... 10,920
710 Immune Response Corp. .......................... 3,972
730 Invacare Corp. ................................. 13,642
380 Maxxim Medical, Inc. ........................... 9,358
581 Mentor Corp. ................................... 13,581
1,813 NBTY, Inc.* .................................... 14,731
1,201 Orthodontic Centers of Am* ..................... 19,516
881 Owens & Minor Hldg. Co. ........................ 9,746
2,121 Phycor, Inc.* .................................. 8,617
474 Priority Healthcare Corp. B .................... 13,331
Health Care (Continued)
808 U.S. Bioscience, Inc.* ......................... $ 9,343
475 Vital Signs, Inc. .............................. 9,530
300 Xomed Surgical Products ........................ 17,644
------------
219,511
------------
Consumer Product (0.47%)
485 Harman Int'l ................................... 20,613
555 Juno Lightning, Inc. ........................... 6,764
646 Russ Berrie & Co., Inc. ........................ 15,141
572 Sola Int'l.* ................................... 9,081
------------
51,599
------------
Food, Beverage & Tobacco (2.66%)
1,752 Chiquita Brands Int'l .......................... 11,607
273 Coca-Coca Bottling ............................. 15,732
670 Consolidated Products .......................... 9,715
922 Corn Products Intl.* ........................... 30,023
350 Curative Health Services* ...................... 1,925
866 Dimon, Inc. .................................... 3,735
1,122 Earthgrains Co. ................................ 27,068
1,103 Fleming Co., Inc. .............................. 13,305
700 Instituform Tech. CL A ......................... 14,525
280 J&J Snack Foods ................................ 5,880
500 Nash-Finch Co. ................................. 4,531
561 Natures Sunshine Prod., Inc. ................... 5,470
648 NSTAR .......................................... 28,024
400 Performance Food Group ......................... 10,413
800 Ralcorp Holdings, Inc.* ........................ 13,100
670 Richfood Holdings, Inc. ........................ 12,269
413 Schweitzer-Mauduit, Inc. ....................... 5,601
936 Smithfield Foods, Inc.* ........................ 27,495
737 Titan Intl., Inc. .............................. 8,199
820 Triarc Co.* .................................... 17,220
654 Whole Foods Market, Inc.* ...................... 23,503
------------
289,340
------------
Retail - Food and Drugs (0.20%)
1,404 Casey's General Stores ......................... 18,779
832 The Sports Authority, Inc.* .................... 3,016
------------
21,795
------------
Communications & Media (1.60%)
610 Advo, Inc.* .................................... 11,971
340 CPI Corp. ...................................... 11,050
253 GC Cos.* ....................................... 8,476
1,128 Ha-Lo Industries, Inc.* ........................ 6,839
700 Information Resources .......................... 7,613
482 Metro Networks, Inc.* .......................... 27,474
1,428 Valassis Communication* ........................ 62,475
410 Volt Info Sciences, Inc.* ...................... 9,866
732 Westwood One, Inc.* ............................ 28,091
------------
173,855
------------
Entertainment & Leisure (0.93%)
400 Action Performance Cos., Inc. .................. 9,875
300 Anchor Gaming .................................. 14,578
1,243 Aztar Corp.* ................................... 11,420
430 Carmike Cinemas, Inc.* ......................... 5,805
600 Family Golf Centers, Inc.* ..................... 750
29
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Entertainment & Leisure (Continued)
1,084 Foodmaker, Inc.* ............................... $ 25,000
865 Hollywood Park, Inc.* .......................... 14,651
675 Incyte Pharmaceuticals ......................... 19,153
------------
101,232
------------
Apparel (1.05%)
689 Ann Taylor* .................................... 22,823
750 Fossil, Inc. ................................... 23,391
800 Goody's Family Clothing* ....................... 7,375
752 Guilford Mills, Inc. ........................... 7,097
668 Gymboree Corp.* ................................ 3,465
1,673 Hartmax Corp.* ................................. 6,901
814 Just For Feet, Inc.* ........................... 3,307
860 Mens Wearhouse, Inc.* .......................... 17,738
1,141 Phillips Van Heusen Corp. ...................... 9,699
1,396 Stride Rite Corp. .............................. 12,128
------------
113,924
------------
Drugs (2.07%)
550 Barr Laboratories, Inc. ........................ 18,975
734 Cor Therapeutics, Inc.* ........................ 16,010
582 Cygnus, Inc.* .................................. 6,802
1,300 Dura Pharmaceuticals, Inc. ..................... 17,306
500 IDC Pharmaceuticals Corp. ...................... 63,531
1,083 Jones Pharmaceuticals, Inc. .................... 29,309
1,016 Liposome Co., Inc.* ............................ 20,034
751 N. American Vaccine, Inc.* ..................... 5,257
624 Parexel Int'l. Corp.* .......................... 6,162
854 Roberts Pharm.* ................................ 22,898
669 Vertex Pharm., Inc.* ........................... 18,565
------------
224,849
------------
Hospital Supply & Service (1.22%)
500 ADAC Laboratories* ............................. 2,938
650 Coherent, Inc.* ................................ 12,309
1,028 Idexx Laboratories, Inc.* ...................... 17,476
552 NCS Healthcare, Inc.* .......................... 2,001
851 Patterson Dental Co.* .......................... 34,891
390 Pediatrix Med. Grp., Inc.* ..................... 5,826
1,035 Renal Care Group, Inc.* ........................ 19,794
852 Respironics* ................................... 8,467
1,330 Safeskin Corp.* ................................ 10,557
899 Sunrise Medical* ............................... 6,293
1,009 Tech. Solutions, Inc.* ......................... 12,108
------------
132,660
------------
Liquor (0.21%)
387 Canadaigua Wine Co., Inc.* ..................... 22,398
------------
Printing & Publishing (0.15%)
1,002 Bowne & Co., Inc. .............................. 13,903
600 Gibson Greetings, Inc.* ........................ 2,363
------------
16,266
------------
Restaurant (1.35%)
751 Applebee's Int'l., Inc. ........................ 23,328
764 CEC Entertainment, Inc.* ....................... 21,283
1,285 CKE Restaurants, Inc. .......................... 10,360
582 IHOP Corp.* .................................... 13,095
Restaurant (Continued)
764 Landry's Seafood Rest.* ........................ $ 6,494
879 Luby's Cafeterias, Inc. ........................ 11,757
500 Michael Foods, Inc. ............................ 13,844
1,004 Ruby Tuesday, Inc. ............................. 18,198
1,141 Ryan's Family Steak House* ..................... 11,053
572 Sonic Corp.* ................................... 17,518
------------
146,930
------------
Business Service (1.93%)
652 BISYS Group, Inc.* ............................. 30,970
524 Catalina Marketing Corp.* ...................... 47,553
1,381 Ciber, Inc.* ................................... 25,290
1,754 DeVry, Inc.* ................................... 36,615
670 Harland, John H. Co. ........................... 13,316
883 National Data Corp. ............................ 33,775
535 Pittson Srvs. - Burlington ..................... 4,782
550 Prepaid Legal Srvs., Inc.* ..................... 17,634
------------
209,935
------------
Office Product (0.12%)
474 New England Bus. Srvc .......................... 13,391
------------
Health Care Service (1.30%)
1,604 Coventry Health Care, Inc.* .................... 16,140
846 Express Scripts, Inc.* ......................... 56,999
1,058 Genesis Health Ventures* ....................... 2,711
500 Hanger Orthopedic Group, Inc. .................. 6,875
1,418 Integrated Health Srvs ......................... 4,343
726 Magellan Health Srvs., Inc.* ................... 6,625
735 Sierra Health Srvs., Inc.* ..................... 8,728
820 Universal Hlth Srvs.-B* ........................ 27,368
400 Wesley Jessen Visioncare ....................... 12,275
------------
142,064
------------
Health & Beauty Aids (0.14%)
832 Regis Corp. .................................... 15,912
------------
Total Consumer Non-Durable ..................... 1,895,661
------------
Banking & Financial Service (11.33%)
Bank & Bank Holding Co. (5.05%)
700 BankNorth Group, Inc. .......................... 20,300
580 Carolina First Corp. ........................... 12,688
641 Centura Banks, Inc. ............................ 29,686
687 Chemfirst, Inc. ................................ 17,519
700 Chittenden Corp. ............................... 18,988
659 Commerce Bank Corp. ............................ 28,337
1,200 Community First Bankshares ..................... 24,638
1,270 Cullen/Frost Bankshares ........................ 33,179
756 Firstbank Puerto Rico .......................... 15,593
712 First Midwest Bancorp Inc./IL .................. 28,391
2,338 Firstmerit Corp. ............................... 61,446
1,076 Hudson United Bancorp .......................... 34,230
317 JSB Financial, Inc. ............................ 16,841
600 MAF Bancorp, Inc. .............................. 12,750
640 Premier Bancshares, Inc. ....................... 10,680
630 Provident Bankshares Corp. ..................... 15,199
30
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Bank & Bank Holding Co. (Continued)
450 Queens County Bancorp .......................... $ 12,375
948 Riggs Natl Corp. ............................... 17,657
560 Silicon Valley Bancshares* ..................... 12,565
877 St. Paul Bancorp ............................... 19,075
657 Trustco Bank Corp. NY .......................... 19,546
473 U.S. Trust Corp. ............................... 39,318
1,000 United Bankshares, Inc. ........................ 25,688
596 Whitney Holding Co. ............................ 22,499
------------
549,188
------------
Savings & Loan (0.76%)
400 Anchor Bancorp WI, Inc. ........................ 6,650
1,535 Commercial Federal Corp. ....................... 35,689
783 Downey Financial Corp. ......................... 16,639
1,000 Security Dynamics Tech., Inc. .................. 23,625
------------
82,603
------------
Finance Companies (0.17%)
1,212 Amresco, Inc.* ................................. 8,105
681 Pioneer Group, Inc. ............................ 10,258
------------
18,363
------------
Investment Companies (1.83%)
346 Dain Rauscher Corp. ............................ 17,170
1,030 Eaton Vance Corp. .............................. 31,415
700 Hambrect & Quist Group ......................... 26,731
1,392 Legg Mason, Inc. ............................... 53,157
1,245 Raymond James Fncl. Corp. ...................... 24,355
509 SEI Investments Co. ............................ 46,796
------------
199,624
------------
Insurance (1.96%)
300 Blanch E. W. Holdings, Inc. .................... 19,875
499 Delphi Financial Group, Inc.* .................. 17,707
1,010 Enhance Fncl. Svcs. Grp ........................ 20,705
716 Fidelity National Fin., Inc. ................... 11,009
1,674 Fremont General Corp. .......................... 16,635
906 Frontier Insurance Group ....................... 10,985
429 Gallagher, Arthur J & Co. ...................... 23,434
971 Mutual Risk Mgmt., Ltd. ........................ 26,703
635 Orion Capital Corp. ............................ 30,639
737 Selective Insurance Group ...................... 13,128
418 Trenwick Group, Inc. ........................... 9,170
600 Zenith Ntnl. Ins. Corp. ........................ 12,938
------------
212,928
------------
Real Estate (0.41%)
1,497 First American Finl. Corp. ..................... 22,268
670 Macdermid, Inc. ................................ 22,194
------------
44,462
------------
Financial Service (1.15%)
1,540 Americredit Corp.* ............................. 19,731
746 Capital Re Corp. ............................... 9,045
792 Cash American Int'l., Inc. ..................... 5,693
500 Jefferies Group, Inc. .......................... 12,375
510 Primark Corp.* ................................. 12,814
561 Radian Group, Inc. ............................. 25,981
1,050 Profit Recovery Group, Int'l ................... 39,926
------------
125,565
------------
Total Banking & Financial Service .............. 1,232,733
------------
Utility (3.31%)
Electric (1.05%)
363 CILCORP, Inc. .................................. $ 23,391
612 Eastern Utilities Assoc ........................ 18,322
500 Micrel, Inc. ................................... 38,313
403 TNP Enterprises, Inc. .......................... 15,062
375 United Illuminating Co. ........................ 18,750
------------
113,838
------------
Gas (1.15%)
728 Atmos Energy Corp. ............................. 18,246
435 Central Hudson G&E ............................. 18,379
722 Piedmont Natural Gas, Inc. ..................... 24,232
514 Pool Energy Services Co.* ...................... 13,557
602 Public Service Co. of NC ....................... 18,361
1,192 Southwestern Energy Co. ........................ 10,654
1,496 Vintage Petroleum, Inc. ........................ 21,412
------------
124,841
------------
Telephone (0.30%)
914 Billing Concepts Corp.* ........................ 4,799
946 Blount Int'l., Inc.-CL A ....................... 28,380
------------
33,179
------------
Water (0.67%)
280 American States Water Co. ...................... 9,870
315 Aquarion Co. ................................... 11,340
1,039 Philadelphia Suburban Corp. .................... 24,092
847 UWR, Inc. ...................................... 28,375
------------
73,677
------------
Miscellaneous (0.14%)
600 Northwestern Corp. ............................. 14,850
------------
Total Utility .................................. 360,385
------------
Service (3.48%)
Distributor (0.49%)
300 Aviation Sales Co. ............................. 9,300
559 Hughes Supply, Inc. ............................ 12,997
774 Kent Electronics Corp.* ........................ 13,110
667 Microage* ...................................... 2,105
300 Syncor Int'l. Corp. ............................ 10,800
445 United Natural Foods, Inc. ..................... 5,118
------------
53,430
------------
Pollution Control (0.08%)
530 IMCO Recycling ................................. 8,348
------------
Business (1.79%)
600 Avid Tech, Inc.* ............................... 7,575
420 Hilb, Rogal & Hamilton Co ...................... 10,133
1,894 Interim Services, Inc.* ........................ 34,928
480 Kroll-O'Gara Co. ............................... 9,210
1,088 Labor Ready, Inc. .............................. 17,476
400 Lason Holdings, Inc. ........................... 18,075
820 Medquist, Inc. ................................. 28,546
900 Mercury Interactive Corp.* ..................... 42,975
450 Merrill Corp. .................................. 9,169
800 Staffmark, Inc. ................................ 7,775
880 U.S. Oncology .................................. 9,020
------------
194,882
------------
31
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Environmental Services (0.13%)
875 Tetra Tech Inc. ................................ $ 14,055
------------
Miscellaneous (0.99%)
437 Bassett Furniture Inds., Inc. .................. 8,904
769 Central Parking Corp. .......................... 24,704
610 NFO Worldwide, Inc. ............................ 8,006
448 Stone & Webster, Inc. .......................... 11,508
344 Tetra Technologies, Inc.* ...................... 3,569
1,138 True North Comms ............................... 37,483
971 Tuboscope, Inc.* ............................... 14,140
------------
108,314
------------
Total Service .................................. 379,029
------------
Transportation (2.52%)
Air Transportation (0.88%)
907 Air Express .................................... 22,165
500 Alantic Coast Airline Hldgs .................... 9,938
822 Comair Holdings, Inc. .......................... 17,365
1,260 Expeditors Int'l. Wash, Inc. ................... 40,714
820 Mesa Air Group Inc. ............................ 5,638
------------
95,820
------------
Trucking (1.37%)
749 American Freightways Corp.* .................... 15,729
1,107 Fritz Companies, Inc.* ......................... 12,592
810 Heartland Express, Inc.* ....................... 12,049
295 Landstar* ...................................... 10,915
409 M S Carriers, Inc.* ............................ 11,657
1,489 Rollins Truck Leasing .......................... 15,448
675 US Freightways Corp. ........................... 32,738
1,263 Werner Enterprises, Inc. ....................... 26,720
716 Yellow Corp.* .................................. 11,367
------------
149,215
------------
Miscellaneous (0.27%)
723 AAR Corp. ...................................... 15,454
691 Kirby Corp.* ................................... 13,820
------------
29,274
------------
Total Transportation ........................... 274,309
------------
Manufacturing (12.87%)
Consumer Durable (1.26%)
1,095 Ethan Allen Interiors, Inc. .................... 31,960
683 Intermet Corp. ................................. 7,876
429 K2, Inc. ....................................... 3,915
1,518 La-Z-Boy Chair Co. ............................. 33,301
530 Scotts Company Class A* ........................ 21,034
300 Simpson Mfg .................................... 15,450
390 Standard Motor Products ........................ 8,775
703 Sturm Ruger & Co., Inc. ........................ 6,766
440 Thomas Industries, Inc. ........................ 8,553
------------
137,630
------------
Building & Housing (0.74%)
323 Butler Manufacturing ........................... 8,983
------------
Building & Housing (Continued)
1,136 Champion Enterprises, Inc.* .................... $ 9,656
1,350 D.R. Horton, Inc. .............................. 19,659
500 Florida Rock Inds .............................. 19,969
923 Standard Pacific Corp. ......................... 10,326
400 U.S. Home Corp.* ............................... 12,000
------------
80,593
------------
Chemical (1.61%)
616 Brady Corp. .................................... 18,480
670 Cambrex Corp. .................................. 18,006
341 Chemed Corp. ................................... 10,358
800 IDEX Corp. ..................................... 23,650
738 Lilly Industries, Inc. ......................... 11,716
350 McWhorter Tech. Inc. ........................... 5,906
821 Mississippi Chem. Corp. ........................ 6,209
592 OM Group, Inc. ................................. 23,310
989 Regeneron Pharm.* .............................. 9,396
690 Simpson Industries ............................. 8,625
636 Skywest, Inc. .................................. 12,800
862 Susquehanna Bankshares, Inc. ................... 14,331
496 W D-40 Co. ..................................... 12,152
------------
174,939
------------
Diversified (0.67%)
1,068 Kemet Corp.* ................................... 27,568
637 Kulicke & Soffa Ind.* .......................... 13,098
346 SPS Technologies, Inc.* ........................ 13,559
537 Standard Products, Inc. ........................ 18,594
------------
72,819
------------
Capital Good (0.41%)
582 Barnes Group, Inc. ............................. 11,531
454 Standex Int'l. Corp. ........................... 10,385
1,023 Tredegar Industries, Inc. ...................... 22,250
------------
44,166
------------
Paper & Forest Product (0.61%)
1,014 Buckeye Tech, Inc.* ............................ 16,097
604 Caraustar Industries ........................... 13,703
981 Pope & Talbot, Inc. ............................ 11,956
499 TJ Int'l., Inc. ................................ 14,533
601 Universal Forest Products ...................... 10,330
------------
66,619
------------
Metal & Mineral (1.74%)
330 AMCAST Ind ..................................... 5,239
933 AMCOL Int'l. Corp. ............................. 13,529
926 Baldor Electric Co. ............................ 16,437
600 Brush Wellman, Inc. ............................ 10,200
519 Castle (A.M.) & Co. ............................ 7,655
570 Commercial Metals Co. .......................... 17,456
2,118 Helca Mining Co.* .............................. 5,295
578 Myers Industries, Inc. ......................... 11,839
1,119 Pogo Producing Co. ............................. 23,359
910 Stillwater Mining Co.* ......................... 20,077
1,109 UST Corp. ...................................... 33,686
707 Valmont Industries ............................. 11,224
710 WHX Corp. ...................................... 6,257
32
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Metal & Mineral (Continued)
459 Wolverine Tube, Inc.* .......................... $ 7,057
------------
189,310
------------
Container (0.11%)
823 Shorewood Packaging Corp.* ..................... 12,139
------------
Computer (2.67%)
820 Alpha Inds ..................................... 46,689
500 Apex, Inc. ..................................... 16,594
997 C Cube Microsystems* ........................... 27,729
470 DBT Online, Inc. ............................... 14,129
1,077 Epicor Software Corp. .......................... 4,039
765 Factset Research Sys., Inc. .................... 35,429
691 Gerber Scientific, Inc. ........................ 14,122
370 Hadco Corp.* ................................... 15,378
750 Intervoice, Inc. ............................... 10,313
1,459 Komag, Inc.* ................................... 4,651
375 Kronos, Inc.* .................................. 18,809
1,000 Macromedia, Inc.* .............................. 39,625
1,033 Methode Electronics CL A ....................... 18,594
743 Network Equip. Tech., Inc.* .................... 6,501
300 QRS Corp. ...................................... 14,438
391 Telxon Corp. ................................... 3,275
------------
290,315
------------
Non-Ferrous Metal (0.38%)
398 Material Sciences* ............................. 5,323
998 Mueller Industries* ............................ 30,938
500 RTI Int'l. Metals .............................. 4,656
------------
40,917
------------
Gold & Precious Metal (0.55%)
734 Alpharma, Inc. Class A ......................... 24,864
563 Coeur D'Alene Mines* ........................... 2,569
934 Zale Corp.* .................................... 32,398
------------
59,831
------------
Miscellaneous (2.12%)
1,141 Arctic Cat, Inc. ............................... 10,768
759 Birmingham Steel Corp. ......................... 5,550
952 Delta & Pine Land Co. .......................... 26,954
342 Electro Scientific Inds., Inc.* ................ 13,680
357 Innovex, Inc. .................................. 4,953
440 Libbey, Inc. ................................... 13,475
405 Lydall, Inc.* .................................. 4,379
997 Midway Games, Inc.* ............................ 13,086
1,019 Novellus Systems, Inc.* ........................ 54,962
400 Plantronics, Inc. .............................. 20,250
529 Quanex Corp. ................................... 13,754
534 Regal-Beloit Corp. ............................. 11,915
788 Roper Industries, Inc. ......................... 28,220
665 Watsco, Inc. ................................... 9,310
------------
231,256
------------
Total Manufacturing ............................ 1,400,534
------------
Technology (11.82%)
Office Equipment (0.07%)
788 Filenet Corp.* ................................. $ 8,176
------------
Electronic (2.03%)
1,065 Applied Magnetics Co.* ......................... 1,015
688 BE Aerospace, Inc.* ............................ 11,911
945 Burr-Brown Corp.* .............................. 36,028
310 C & D Technologies ............................. 9,765
964 Checkpoint Systems, Inc.* ...................... 8,194
640 Dionex Corp.* .................................. 25,480
980 DSP Communications, Inc. ....................... 23,030
562 Etec Systems, Inc.* ............................ 24,728
383 Itron, Inc.* ................................... 2,585
430 Micro Systems, Inc. ............................ 14,513
450 Progress Software Corp. ........................ 13,781
1,320 Read-Rite Corp.* ............................... 7,425
441 Speedfam Int'l., Inc.* ......................... 4,355
593 Ultratech Stepper, Inc.* ....................... 7,931
733 Unitrode Corp.* ................................ 29,961
------------
220,702
------------
Bio-Technology (0.79%)
1,086 Advanced Tissue Sciences* ...................... 4,005
1,094 Alliance Pharmaceutical* ....................... 3,419
600 Biomatrix ...................................... 11,775
861 Cephalon, Inc.* ................................ 16,305
834 Enzo Biochem, Inc.* ............................ 19,234
700 Organogenesis, Inc. ............................ 5,600
630 Pharm. Product Dev.* ........................... 12,758
479 Protein Design Labs, Inc.* ..................... 12,753
------------
85,849
------------
Software (2.40%)
600 Aspen Technology, Inc. ......................... 5,138
848 Cerner Corp.* .................................. 14,098
600 Clarify, Inc.* ................................. 26,400
1,079 Cognex Corp.* .................................. 32,572
540 Computer Task Group, Inc. ...................... 9,045
600 Dendrite Int'l. Inc. ........................... 24,975
1,060 Harbinger Corp.* ............................... 12,720
670 HNC Software* .................................. 24,371
748 Inacom Corp. ................................... 7,293
600 Insight Enterprises ............................ 18,150
714 Inter Tel, Inc. ................................ 15,262
700 Remedy Corp. ................................... 17,150
1,082 System Software Assoc., Inc.* .................. 1,183
652 Vantive Corp.* ................................. 5,420
800 Visio Corp.* ................................... 22,600
620 Xircom, Inc.* .................................. 24,684
------------
261,061
------------
Business - Mechanics & Software (1.93%)
416 Analogic Corp. ................................. 13,936
598 Analysts Int'l. Corp. .......................... 7,998
1,000 Artesyn Int'l. Corp. ........................... 21,938
33
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Business - Mechanics & Software (Continued)
1,927 Axciom Corp.* .................................. $ 33,843
1,229 Commscope, Inc.* ............................... 42,324
345 Fair Issac & Co, Inc. .......................... 9,746
503 Henry (Jack) & Assoc ........................... 16,348
540 Hutchinson Technology* ......................... 14,580
775 Hyperion Software Corp.* ....................... 11,867
1,238 National Instruments Corp.* .................... 37,048
------------
209,628
------------
Business - Service (1.49%)
1,041 American Mgmt. Systems* ........................ 29,799
1,091 Anixter Int'l.* ................................ 22,979
339 Consolidated Graphics* ......................... 14,323
633 Franklin Covey Co.* ............................ 4,906
635 Helix Technology Corp. ......................... 17,939
1,300 Whitman-Hart* .................................. 34,206
803 Zebra Tech CL A* ............................... 37,741
------------
161,893
------------
Semiconductor (1.03%)
709 Dallas Semiconductor Corp. ..................... 35,805
603 Lattice Semiconductor Corp.* ................... 37,160
326 Park Electrochemical Corp. ..................... 9,474
649 Photronics, Inc.* .............................. 15,495
1,426 S3, Inc.* ...................................... 14,260
------------
112,194
------------
Telecommunication (1.16%)
701 Allen Telecom, Inc.* ........................... 5,915
1,148 Aspect Telecom. Corp.* ......................... 12,700
400 Black Box Corp. ................................ 18,350
1,313 Brightpoint Inc.* .............................. 4,637
1,693 Digital Microwave Corp.* ....................... 23,173
1,702 General Communication* ......................... 10,372
1,360 P Com, Inc.* ................................... 6,545
984 Picturetel Corp.* .............................. 5,443
500 Powerwave Technologies, Inc.* .................. 21,219
381 Symmetricom, Inc.* ............................. 3,405
1329 Talk.com, Inc. ................................. 13,705
583 TCSI Corp.* .................................... 947
------------
126,411
------------
Aerospace Aircraft (0.27%)
670 Kaman Corp. .................................... 8,752
953 Orbital Sciences Corp.* ........................ 21,145
------------
29,897
------------
Telecom Equipment (0.21%)
310 Alliant Techsystems, Inc.* ..................... 22,630
------------
Miscellaneous (0.44%)
460 Electroglas, Inc.* ............................. 8,855
450 Eserline Technologies .......................... 7,369
820 Ntnl. Computer Systems, Inc. ................... 31,980
------------
48,204
------------
Total Technology ............................... 1,286,645
------------
Energy (3.16%)
Oil & Gas - Domestic (1.79%)
751 Barrett Resources Corp.* ....................... $ 27,083
711 Benton Oil & Gas* .............................. 1,822
765 Cabot Oil & Gas Corp. .......................... 14,583
1,212 Cross Timbers Oil Co. .......................... 14,999
870 Energen Corp. .................................. 16,421
482 HS Resources, Inc.* ............................ 8,254
488 New Jersey Resources ........................... 18,910
1,032 Newfield Exploration Co. ....................... 31,347
547 Northwest Natural Gas .......................... 13,675
395 Plains Resources, Inc.* ........................ 7,554
692 Southwest Gas .................................. 19,290
400 Stone Energy Corp. ............................. 21,300
------------
195,238
------------
Oil & Gas - International (0.07%)
303 St. Mary Land & Explor ......................... 8,030
------------
Oil & Gas - Service (0.64%)
762 Global Industrial Tech.* ....................... 8,477
688 Oceaneering Int'l.* ............................ 13,803
656 Offshore Logistics, Inc.* ...................... 7,667
1,142 Pride Petroleum Services* ...................... 16,987
300 Seacor Smit, Inc. .............................. 15,581
687 Seitel, Inc.* .................................. 6,698
------------
69,213
------------
Natural Gas (0.46%)
280 Connecticut Energy Corp. ....................... 10,465
457 Pennsylvania Enterprises ....................... 14,281
804 Wicor, Inc. .................................... 23,517
------------
48,263
------------
Miscellaneous (0.20%)
1,146 General Semiconductor, Inc.* ................... 11,245
1,437 Input/Output, Inc.* ............................ 10,598
------------
21,843
------------
Total Energy ................................... 342,587
------------
Total Common Stock (cost $9,132,205) ........... 8,632,496
------------
34
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Par
Value Value
----- -----
Short-Term Investments (20.67%)
United States Treasury Bills
$1,400,000 4.538% 09/16/99(b) ............................. $ 1,397,402
400,000 4.610% 12/16/99 ................................ 394,347
457,168 Firstar Institutional Money Market Fund ........ 457,168
------------
Total Short-Term Investments (Cost $2,248,917) . 2,248,917
------------
Total Investments (Cost $11,381,122)(100.00%) .. 10,881,413
Other Net Assets (0.00%) ....................... 18
------------
Net Assets (100.00%) ......................... $ 10,881,431
============
- ---------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $11,381,122. At August
31, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 1,267,462
Unrealized depreciation ........................ (1,767,171)
------------
Net unrealized depreciation .................. $ (499,709)
============
(b) At August 31, 1999, certain United States Treasury Bills with a market
value of $199,566 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1999 (Contracts-$500 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
Russell 2000 Stock Index:
10/Sept. 99/Long ............................... $ (132,139)
============
See accompanying notes to financial statements
35
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS
August 31, 1999
Shares Value
------ -----
COMMON STOCK (73.82%)
Capital Good (5.44%)
Production (0.83%)
2,000 Caterpillar, Inc. .............................. $ 113,250
------------
Electrical Equipment (4.61%)
1,500 Emerson Electric Co. ........................... 93,938
3,700 General Electric ............................... 415,556
1,800 Johnson Controls ............................... 123,075
------------
632,569
------------
Total Capital Good ............................. 745,819
------------
Consumer Cyclical (4.60%)
Auto & Truck (1.81%)
800 Dana ........................................... 34,850
2,640 Ford Motor Co. ................................. 137,610
1,150 General Motors Corp. ........................... 76,044
------------
248,504
------------
Tire & Rubber (1.30%)
4,500 Cooper Tire & Rubber Co. ....................... 85,500
2,500 BF Goodrich & Co. .............................. 92,344
------------
177,844
------------
Appliance (0.68%)
1,500 Maytag Corp. ................................... 93,938
------------
Textile & Apparel (0.21%)
800 Liz Clairbourne Inc. ........................... 29,400
------------
Retail-General (0.60%)
2,160 The Limited, Inc. .............................. 81,820
------------
Total Consumer Cyclical ........................ 631,506
------------
Consumer Non-Durable (13.30%)
Health Care (0.72%)
1,500 Bausch & Lomb, Inc. ............................ 99,094
------------
Consumer Product (0.96%)
2,600 Newell Rubbermaid Co. .......................... 106,600
1,100 Tupperware Corp. ............................... 24,819
------------
131,419
------------
Food, Beverage & Tobacco (1.48%)
1,400 Conagra, Inc. .................................. 34,300
900 McCormick & Co. ................................ 28,800
1,800 Philip Morris Co Inc. .......................... 67,388
700 Quaker Oats .................................... 46,769
1,200 Universal Foods Corp. .......................... 25,350
------------
202,607
------------
Retail, Food and Drugs (0.18%)
700 Great Atlantic & Pacific ....................... 24,588
------------
Communications and Media (2.95%)
750 Gannett Co., Inc. .............................. 50,953
700 Harcourt General, Inc. ......................... 30,669
700 Knight Ridder, Inc. ............................ 37,756
4,000 McGraw Hill Cos., Inc. ......................... 206,750
Communications and Media (Continued)
2,000 NY Times Class A ............................... $ 78,125
------------
404,253
------------
Apparel (0.31%)
1,100 Intimate Brands ................................ 42,419
Drugs (3.66%)
2,100 Abbott Labs .................................... 91,088
600 Bard C.R., Inc. ................................ 27,975
1,350 Baxter Int'l., Inc. ............................ 90,534
2,240 Bristol-Myers/Squibb Co. ....................... 157,640
2,000 Merck & Co. .................................... 134,375
------------
501,612
------------
Cosmetic & Soap(1.80%)
2,400 Avon Products, Inc. ............................ 105,300
2,640 Colgate Palmolive Co. .......................... 141,240
------------
246,540
------------
Liquor (0.21%)
500 Coors, Adolph .................................. 28,531
------------
Business Service (0.24%)
1,100 Viad Corp. ..................................... 32,931
------------
Office Supplies (0.79%)
2,000 Avery Dennison ................................. 109,750
------------
Total Consumer Non-Durable ..................... 1,823,744
------------
Banking & Finance (17.97%)
Bank & Bank Holding Co. (10.57%)
1,600 AMSouth Bancorp ................................ 35,000
4,488 Banc One Corp. ................................. 180,081
1,700 Bank of New York ............................... 60,775
600 BB&T Corp. ..................................... 20,100
3,500 Chase Manhattan ................................ 292,906
800 City National Corp. ............................ 26,550
2,500 First Tennessee Natl. Corp. .................... 80,000
2,800 Fleet Financial Group, Inc. .................... 111,475
600 Marshall & Isley Corp. ......................... 35,138
4,000 Mellon Bank Corp. .............................. 133,500
900 Old Kent Financial Corp. ....................... 35,550
2,000 PNC Financial Corp. ............................ 104,625
1,000 Southwest Trust Banks, Inc. .................... 35,313
900 Sun Trust Banks, Inc. .......................... 57,881
2,000 U.S. Bancorp ................................... 61,750
3,750 Wells Fargo & Co. .............................. 149,297
600 Zions Bancorp .................................. 29,850
------------
1,449,791
------------
Savings & Loan (0.24%)
1,400 Charter One Financial, Inc. .................... 32,769
------------
Finance Company (0.83%)
3,000 Household Int'l ................................ 113,250
------------
Investment Company (0.23%)
1,200 Alliance Capital Mgt ........................... 31,275
------------
Insurance (4.78%)
2,400 American General Corp. ......................... 170,400
------------
36
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Shares Value
------ -----
Insurance (Continued)
300 Chubb Corp. .................................... $ 17,156
2,000 Cigna Corp. .................................... 179,625
900 Hartford Financial Services .................... 40,894
400 Lincoln National Corp. ......................... 18,750
3,150 Marsh & McLennan Co. ........................... 229,359
------------
656,184
------------
Financial Service (1.32%)
1,500 Fannie Mae ..................................... 93,188
2,200 MBNA Corp. ..................................... 54,313
1,100 T. Rowe Price & Assoc .......................... 34,031
------------
181,532
------------
Total Banking & Finance ....................... 2,464,801
------------
Utility (8.79%)
Electric (0.74%)
2,500 Texas Utilities Co. ............................ 101,094
------------
Telephone (5.72%)
4,425 AT&T Corp. ..................................... 199,125
4,360 Ameritech Corp. ................................ 275,225
5,060 Bell Atlantic Corp. ............................ 309,925
------------
784,275
------------
Energy (1.13%)
1,200 Constellation Energy Group ..................... 35,550
700 Enron .......................................... 29,313
1,100 PECO Energy Co. ................................ 44,688
1,100 Public Service Enterprises ..................... 45,100
------------
154,651
------------
Miscellaneous (1.20%)
4,000 Williams Co. ................................... 165,000
------------
Total Utility .................................. 1,205,020
------------
Service (0.24%)
Business (0.24%)
600 H&R Block ...................................... 33,375
------------
Transportation (0.46%)
Railroad (0.46%)
2,334 Conoco, Inc. Class B ........................... 62,726
------------
Manufacturing (7.54%)
Consumer Durable (0.80%)
5,000 La-Z-Boy Chair Co. ............................. 109,688
------------
Building & Housing (0.67%)
4,500 Kaufman & Broad Home Corp. ..................... 91,969
------------
Chemical (1.56%)
1,000 DOW Chemical ................................... 113,625
1,109 E.I.Dupont & Co. ............................... 70,271
800 Millipore Corp. ................................ 30,200
------------
214,096
------------
Paper & Forest (2.86%)
2,000 Boise Cascade .................................. 72,750
600 Bowater, Inc. .................................. 32,175
2,500 Mead Corp. ..................................... 93,281
1,700 Weyerhaeuser Co. ............................... 95,625
Paper & Forest (Continued)
2,500 Williamette Industries ......................... $ 99,063
------------
392,894
------------
Metal & Mineral (0.24%)
1,200 USX-US Steel ................................... 32,400
------------
Non Ferrous Metal (1.41%)
3,000 Alcoa, Inc. .................................... 193,688
------------
Total Manufacturing ............................ 1,034,735
------------
Technology (8.71%)
Electronic (1.99%)
1,700 Motorola, Inc. ................................. 156,825
800 Tektronix, Inc. ................................ 26,600
2,000 Thomas & Betts Co. ............................. 90,000
------------
273,425
------------
Business-Mechanic & Software (3.28%)
5,200 Pitney Bowes, Inc. ............................. 306,800
3,000 Xerox Corp. .................................... 143,250
------------
450,050
------------
Aerospace Aircraft (2.45%)
1,840 General Dynamics Corp. ......................... 115,920
4,000 Meritor Automotive ............................. 87,250
2,000 United Technologies Corp. ...................... 132,250
------------
335,420
------------
Telecom Equipment (0.99%)
2,000 Raytheon Co - Class B .......................... 136,250
------------
Total Technology ............................... 1,195,145
------------
Energy (6.77%)
Oil & Gas Domestic (1.68%)
2,500 Burlington Resources, Inc. ..................... 104,531
3,000 Unocal Corp. ................................... 125,625
------------
230,156
------------
Oil & Gas International (4.53%)
4,360 Exxon Corp. .................................... 343,888
1,500 Mobil Corp. .................................... 153,563
4,000 USX-Marathon ................................... 124,500
------------
621,951
------------
Oil & Gas Service (0.21%)
900 Tidewater, Inc. ................................ 29,250
------------
Energy Raw Material (0.35%)
1,400 Baker Hughes, Inc. ............................. 47,600
------------
Total Energy ................................... 928,957
------------
Total Common Stock(cost $8,503,480) ............ 10,125,828
------------
37
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
August 31, 1999
Par
Value Value
----- -----
Short-Term Investments (33.81%)
United States Treasury Bills
$4,000,000 4.538% 09/16/99 (b) ............................ $ 3,992,433
400,000 4.610% 12/16/99 ................................ 394,347
250,202 Firstar Institutional Money Market Fund ........ 250,202
------------
Total Short-Term Investments (Cost $4,636,982) . 4,636,982
------------
Total Investments (Cost $13,140,462)(107.63%) .. 14,762,810
Liabilities in Excess of Other Assets (-7.63%) . (1,046,587)
------------
Net Assets (100.00%) ......................... $ 13,716,223
============
(a) Aggregate cost for federal income tax purposes is $13,140,462. At August
31, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 1,972,601
Unrealized depreciation ........................ (350,253)
------------
Net unrealized appreciation .................. $ 1,622,348
============
(b) At August 31, 1999, certain United States Treasury Bills with a market
value of $399,132 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1999 (Contracts-$250 times premium/delivery
month/commitment)
Unrealized
Appreciation
(Depreciation)
--------------
S&P MidCap 400 Index:
18/September 99/Long ........................... $ (98,887)
============
See accompanying notes to financial statements
38
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1999
<TABLE>
<CAPTION>
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
------------- ------------- -------------
<S> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$101,003,849, $204,257,379 and $23,535,139,
respectively) (Note 1) ........................ $ 101,003,849 $ 212,937,156 $ 23,860,188
Cash .......................................... 44,885 58,769 2,753
Interest receivable ........................... 402,177 2,907,961 346,332
Receivable for fund shares sold ............... 4,657,404 3,649 4,839
------------- ------------- -------------
Total assets .............................. 106,108,315 215,907,535 24,214,112
------------- ------------- -------------
LIABILITIES
Payable for investments purchased ............. -- 5,357,147 --
Payable for fund shares repurchased ........... 438,754 9,235,298 131
Payable to Investment Advisor ................. 27,455 82,106 8,427
Accrued expenses .............................. 25,538 57,951 8,385
Distributions payable ......................... 10,521 229,271 22,651
------------- ------------- -------------
Total liabilities ......................... 502,268 14,961,773 39,594
------------- ------------- -------------
Net Assets:
(Applicable to 105,669,417; 16,204,053 and
2,293,639 shares of beneficial interest with no
par value, unlimited number of shares
authorized) ................................... $ 105,606,047 $ 200,945,762 $ 24,174,518
============= ============= =============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$105,606,047 / 105,669,417 shares ............. $ 1.00
=============
$200,945,762 / 16,204,053 shares .............. $ 12.40
=============
$24,174,518 / 2,293,639 shares ................ $ 10.54
=============
Net assets at August 31, 1999 consisted of:
Paid-in capital ............................... $ 105,625,018 $ 191,403,074 $ 23,785,175
Undistributed net investment income ........... -- -- 15,023
Accumulated net realized gains (losses) ....... (18,971) 862,911 49,271
Unrealized appreciation of investments ........ -- 8,679,777 325,049
------------- ------------- -------------
$ 105,606,047 $ 200,945,762 $ 24,174,518
============= ============= =============
</TABLE>
See accompanying notes to financial statements
39
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1999
<TABLE>
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$31,287,512, $45,481,146, $90,238,607
and $50,411,883, respectively) (Note 1) .... $ 30,813,590 $ 45,481,146 $ 141,948,846 $ 57,072,596
Cash ....................................... 2,719 196,726 -- --
Interest receivable ........................ 189,546 -- 35,630 15,160
Dividends receivable ....................... -- -- 167,344 50,116
Receivable for fund shares sold ............ 5,000 4,950,719 237,677 41,763
Receivable for investments sold ............ -- -- 5,933 --
Variation margin receivable ................ -- -- -- 11,040
------------- ------------- ------------- -------------
Total assets ....................... 31,010,855 50,628,591 142,395,430 57,190,675
------------- ------------- ------------- -------------
LIABILITIES
Payable to Investment Advisor .............. 13,169 10,142 9,273 12,115
Accrued expenses ........................... 11,407 13,507 28,167 14,459
Payable for fund shares repurchased ........ 5,613 85,561 18,317 93
Distributions payable ...................... 30,645 2,105 -- --
Variation margin payable ................... -- -- 63,340 --
------------- ------------- ------------- -------------
Total liabilities .................. 60,834 111,315 119,097 26,667
------------- ------------- ------------- -------------
Net Assets:
(Applicable to 3,023,522; 50,531,264;
5,060,227 and 3,057,527 shares of
beneficial interest with no par value,
unlimited number of shares authorized) ..... $ 30,950,021 $ 50,517,276 $ 142,276,333 $ 57,164,008
============= ============= ============= =============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$30,950,021 / 3,023,522 shares ............. $ 10.24
=============
$50,517,276 / 50,531,264 shares ............ $ 1.00
=============
$142,276,333 / 5,060,227 shares ............ $ 28.12
=============
$57,164,008 / 3,057,527 shares ............. $ 18.70
=============
Net assets at August 31, 1999 consisted of:
Paid-in capital ............................ $ 31,274,783 $ 50,531,370 $ 84,414,600 $ 39,978,684
Undistributed net investment income ........ -- -- 343,217 20,178
Undistributed net realized gains (losses) .. 149,160 (14,094) 6,072,438 10,695,106
Unrealized appreciation (depreciation)
of investments ............................. (473,922) -- 51,710,239 6,660,713
Unrealized depreciation of futures contracts -- -- (264,161) (190,673)
------------- ------------- ------------- -------------
$ 30,950,021 $ 50,517,276 $ 142,276,333 $ 57,164,008
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
40
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
August 31, 1999
<TABLE>
<CAPTION>
S&P
SmallCap Equity
Index Fund Income Fund
------------ ------------
<S> <C> <C>
ASSETS
Investments at market value
(identified cost $11,381,122
and $13,140,462, respectively) (Note 1) ........ $ 10,881,413 $ 14,762,810
Interest receivable ............................ 2,716 2,977
Dividends receivable ........................... 5,442 18,096
Receivable for fund shares sold ................ 19,664 5,338
Variation margin receivable .................... 6,750 11,700
Receivable for investments sold ................ -- 427,587
Deferred organization costs .................... 5,269 10,222
------------ ------------
Total assets ............................... 10,921,254 15,238,730
------------ ------------
LIABILITIES
Payable for investments purchased .............. 23,125 1,506,592
Payable to Investment Advisor .................. 1,862 5,459
Payable for fund shares repurchased ............ 43 30
Accrued expenses ............................... 14,793 10,426
------------ ------------
Total liabilities ...................... 39,823 1,522,507
------------ ------------
Net Assets:
(Applicable to 949,394 and 953,645
shares of beneficial interest with no par value,
unlimited number of shares authorized) ......... $ 10,881,431 $ 13,716,223
============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$10,881,431 / 949,394 shares ................... $ 11.46
============
$13,716,223 / 953,645 shares ................... $ 14.38
============
Net assets at August 31, 1999 consisted of:
Paid-in capital ................................ $ 10,999,305 $ 11,696,878
Undistributed net investment income ............ 323 14,662
Undistributed net realized gains ............... 513,651 481,222
Unrealized appreciation (depreciation)
of investments .............................. (499,709) 1,622,348
Unrealized depreciation
of futures contracts ........................ (132,139) (98,887)
------------ ------------
$ 10,881,431 $ 13,716,223
============ ============
</TABLE>
See accompanying notes to financial statements
41
<PAGE>
STATEMENTS OF OPERATIONS
For Year Ended August 31, 1999
<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 ...................................... $ 3,333,087 $ 10,886,321 $ 1,114,876
------------ ------------ ------------
Expenses:
Management fees (Note 2) ............................. 558,691 1,043,156 123,678
Transfer agent fees .................................. 38,351 69,184 11,522
Accounting services .................................. 55,735 117,193 13,410
Custodian fees ....................................... 16,361 24,844 3,360
Legal and audit fees ................................. 7,469 70,199 5,343
Trustees fees ........................................ 4,604 4,330 4,665
Insurance ............................................ 1,345 2,880 316
Printing ............................................. 2,498 8,119 899
Registration & dues .................................. 1,444 1,894 551
------------ ------------ ------------
Total expenses ............................... 686,498 1,341,799 163,744
Less reimbursement from manager (Note 2) (233,014) -- (27,698)
------------ ------------ ------------
Net expenses ................................. 453,484 1,341,799 136,046
------------ ------------ ------------
Net investment income ................... 2,879,603 9,544,522 978,830
------------ ------------ ------------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain from security transactions ......... -- 969,448 49,271
Change in unrealized appreciation of investments ..... -- (11,923,784) (673,557)
------------ ------------ ------------
Net realized and unrealized loss on
investments .................................. -- (10,954,336) (624,286)
------------ ------------ ------------
Net increase (decrease) in net assets resulting
from operations .............................. $ 2,879,603 $ (1,409,814) $ 354,544
============ ============ ============
</TABLE>
See accompanying notes to financial statements
42
<PAGE>
STATEMENTS OF OPERATIONS
For Year Ended August 31, 1999
<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 ...................................... $ 2,006,765 $ 2,309,666 $ 605,780 $ 171,917
Dividend income ...................................... -- -- 1,530,415 610,224
------------ ------------ ------------ ------------
Total ........................................ 2,006,765 2,309,666 2,136,195 782,141
------------ ------------ ------------ ------------
Expenses:
Management fees (Note 2) ............................. 174,183 253,658 313,194 212,287
Transfer agent fees .................................. 16,259 17,770 32,749 15,702
Accounting services .................................. 18,601 26,727 61,956 26,981
Custodian fees ....................................... 6,689 7,428 19,148 15,172
Legal and audit fees ................................. 6,105 6,531 7,773 6,349
Trustees fees ........................................ 2,310 2,315 2,383 2,389
Insurance ............................................ 453 612 4,688 627
Printing ............................................. 1,748 1,584 6,742 3,154
Registration & dues .................................. 2,258 3,143 10,882 8,562
Standard & Poor's licensing fees ..................... -- -- 10,000 10,000
------------ ------------ ------------ ------------
Total expenses ............................... 228,606 319,768 469,515 301,223
Less reimbursement from manager (Note 2) (3,320) (109,740) (218,960) (89,438)
------------ ------------ ------------ ------------
Net expenses ................................. 225,286 210,028 250,555 211,785
------------ ------------ ------------ ------------
Net investment income ................... 1,781,479 2,099,638 1,885,640 570,356
------------ ------------ ------------ ------------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from security transactions .. 451,871 (14,094) 6,083,099 11,747,162
Net realized gain from futures contracts ............. -- -- 1,294,714 953,605
Change in unrealized appreciation of investments ..... (3,009,870) -- 25,875,574 2,394,104
Change in unrealized loss from futures contracts ..... -- -- 1,576,025 672,027
------------ ------------ ------------ ------------
Net realized and unrealized gain (loss) on
investments .................................. (2,557,999) (14,094) 34,829,412 15,766,898
------------ ------------ ------------ ------------
Net increase (decrease) in net assets resulting
from operations .............................. $ (776,520) $ 2,085,544 $ 36,715,052 $ 16,337,254
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
43
<PAGE>
STATEMENTS OF OPERATIONS
Year ended August 31, 1999
<TABLE>
<CAPTION>
S&P
SmallCap Equity
Index Income
Fund Fund
------------ ------------
Investment Income:
<S> <C> <C>
Interest income ...................................... $ 56,418 $ 194,213
Dividend income ...................................... 72,011 201,835
------------ ------------
Total ........................................ 128,429 396,048
------------ ------------
Expenses:
Management fees (Note 2) ............................. 47,058 67,107
Transfer agent fees .................................. 15,322 12,808
Accounting services .................................. 5,406 7,302
Custodian fees ....................................... 11,260 6,528
Legal and audit fees ................................. 7,836 7,890
Trustees fees ........................................ 2,475 2,367
Insurance ............................................ 115 165
Printing ............................................. 1,841 1,651
Registration & dues .................................. 4,390 4,487
Standard & Poor's licensing fees ..................... 1,000 --
Amortization of deferred organizational costs ........ 2,515 5,117
------------ ------------
Total expenses ............................... 99,218 115,422
Less reimbursement from manager (Note 2) (38,043) (8,051)
------------ ------------
Net expenses ................................. 61,175 107,371
------------ ------------
Net investment income ................... 67,254 288,677
------------ ------------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain from security transactions ......... 254,654 431,876
Net realized gain (loss) from futures contracts ...... 83,019 (17,808)
Change in unrealized appreciation of investments ..... 1,327,982 1,105,618
Change in unrealized loss from futures contracts ..... 155,690 757,312
------------ ------------
Net realized and unrealized gain on
investments .................................. 1,821,345 2,276,998
------------ ------------
Net increase in net assets resulting
from operations .............................. $ 1,888,599 $ 2,565,675
============ ============
</TABLE>
See accompanying notes to financial statements
44
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
California Tax-Free California Tax-Free
Money Market Fund Income Fund
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
1999 1998 1999 1998
------------- ------------- ------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income .................. $ 2,879,603 $ 3,031,272 $ 9,544,522 $ 9,765,474
Net realized gain on investments ....... -- -- 969,448 1,369,389
Change in unrealized
appreciation of investments .... -- -- (11,923,784) 7,631,252
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from operations 2,879,603 3,031,272 (1,409,814) 18,766,115
Undistributed investment income
included in price of shares sold
and repurchased .............. -- -- 42,916 16,214
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ......................... (2,879,603) (3,031,272) (9,698,023) (9,822,283)
Distributions from realized capital
gains on investments ........... -- -- (1,514,730) (3,103,352)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ................ 17,370,240 (4,582,382) (11,981,652) 7,451,978
------------- ------------- ------------- -------------
Total increase (decrease) .............. 17,370,240 (4,582,382) (24,561,303) 13,308,672
NET ASSETS
Beginning of Year ...................... 88,235,807 92,818,189 225,507,065 212,198,393
------------- ------------- ------------- -------------
End of Year* ........................... $ 105,606,047 $ 88,235,807 $ 200,945,762 $ 225,507,065
============= ============= ============= =============
* Including undistributed net
investment income of: $ --- $ --- $ --- $ 100,095
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
45
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
<TABLE>
<CAPTION>
California Insured U.S. Government
Intermediate Fund Securities Fund
----------------------------- -----------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
1999 1998 1999 1998
------------ ------------ ------------ ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income .................. $ 978,830 $ 949,759 $ 1,781,479 $ 1,846,240
Net realized gain on investments ...... 49,271 274,305 451,871 533,683
Change in unrealized
appreciation of investments .... (673,557) 283,895 (3,009,870) 2,531,385
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations 354,544 1,507,959 (776,520) 4,911,308
Undistributed investment income
included in price of shares sold
and repurchased .............. 2,153 (5,053) (3,115) 1,244
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ......................... (983,874) (952,340) (1,791,585) (1,883,906)
Distributions from realized capital
gains on investments ........... (259,926) (110,654) (836,071) (219,220)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ................ 1,489,738 (1,257,783) (1,706,034) 1,977,133
------------ ------------ ------------ ------------
Total increase (decrease) .............. 602,635 (817,871) (5,113,325) 4,786,559
NET ASSETS
Beginning of Year ...................... 23,571,883 24,389,754 36,063,346 31,276,787
------------ ------------ ------------ ------------
End of Year* ........................... $ 24,174,518 $ 23,571,883 $ 30,950,021 $ 36,063,346
============ ============ ============ ============
* Including undistributed net
investment income of: $ 15,023 $ 17,914 $ -- $ 98,393
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
46
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
<TABLE>
<CAPTION>
The United States
Treasury Trust
-------------------------------
Year Ended Year Ended
August 31, August 31,
1999 1998
------------- -------------
OPERATIONS:
<S> <C> <C>
Net investment income .................. $ 2,099,638 $ 2,283,323
Net realized gain (loss) on investments (14,094) 7,101
------------- -------------
Net increase in net
assets resulting from operations 2,085,544 2,290,424
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ......................... (2,099,638) (2,283,323)
Distributions from realized
capital gains on investments ... (7,101) --
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ................ 6,197,460 (60,175,066)
------------- -------------
Total increase (decrease) .............. 6,176,265 (60,167,965)
NET ASSETS
Beginning of year ...................... 44,341,011 104,508,976
------------- -------------
End of year* ........................... $ 50,517,276 $ 44,341,011
============= =============
* Including undistributed net
investment income of: $ -- $ --
============= =============
</TABLE>
See accompanying notes to financial statements
47
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
<TABLE>
<CAPTION>
S&P 500 S&P MidCap
Index Fund Index Fund
------------------------------- -------------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
1999 1998 1999 1998
------------- ------------- ------------- -------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income ................... $ 1,885,640 $ 1,493,833 $ 570,356 $ 610,803
Net realized gain on investments ........ 6,083,099 401,247 11,747,162 4,397,743
Net realized gain on
futures contracts ............... 1,294,714 1,118,763 953,605 686,563
Change in unrealized
appreciation of investments ..... 25,875,574 3,903,283 2,394,104 (8,335,339)
Change in unrealized
appreciation of futures contracts 1,576,025 (2,115,151) 672,027 (1,183,655)
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from operations 36,715,052 4,801,975 16,337,254 (3,823,885)
Undistributed investment income
included in price of shares sold
and repurchased ............... 45,716 22,942 70 (3,241)
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income .......................... (1,828,933) (1,315,692) (570,366) (609,429)
Distributions from realized capital
gains on investments ............ (2,601,666) (1,420,007) (6,720,682) (3,571,025)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ................. 22,325,561 13,671,516 8,263,116 1,591,295
------------- ------------- ------------- -------------
Total increase (decrease) ............... 54,655,730 15,760,734 17,309,392 (6,416,285)
NET ASSETS
Beginning of Year ....................... 87,620,603 71,859,869 39,854,616 46,270,901
------------- ------------- ------------- -------------
End of Year* ............................ $ 142,276,333 $ 87,620,603 $ 57,164,008 $ 39,854,616
============= ============= ============= =============
* Including undistributed net
investment income of: $ 343,217 $ 286,510 $ 20,178 $ 20,118
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
48
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
<TABLE>
<CAPTION>
S&P SmallCap Equity
Index Fund Income Fund
----------------------------- -----------------------------
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
1999 1998 1999 1998
------------ ------------ ------------ ------------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income .................... $ 67,254 $ 99,419 $ 288,677 $ 311,183
Net realized gain (loss) on investments .. 254,654 460,964 431,876 (175,735)
Net realized gain (loss) on
futures contracts ................ 83,019 (125,034) (17,808) 398,923
Change in unrealized
appreciation of investments ...... 1,327,982 (2,376,553) 1,105,618 (247,662)
Change in unrealized
appreciation of futures contracts 155,690 (337,712) 757,312 (964,544)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations . 1,888,599 (2,278,916) 2,565,675 (677,835)
Undistributed investment income
included in price of shares sold
and repurchased ................ 408 8,068 (6,498) 16,013
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ........................... (67,339) (106,655) (309,056) (306,453)
Distributions from realized capital
gains on investments ............. (110,068) (301,178) -- (304,321)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions .................. 1,253,579 4,662,012 (613,954) 3,606,133
------------ ------------ ------------ ------------
Total increase ........................... 2,965,179 1,983,331 1,636,167 2,333,537
NET ASSETS
Beginning of Year ........................ 7,916,252 5,932,921 12,080,056 9,746,519
------------ ------------ ------------ ------------
End of Year* ............................. $ 10,881,431 $ 7,916,252 $ 13,716,223 $ 12,080,056
============ ============ ============ ============
* Including undistributed net
investment income of: $ 323 $ -- $ 14,662 $ 35,033
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
49
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
<TABLE>
<CAPTION>
California Tax Free Income Fund
-------------------------------------------------------------------
Year Ended Year Ended
August 31, 1999 August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 15,768,098 $ 205,504,666 13,772,812 $ 178,386,066
Shares issued in reinvestment of
distributions ............... 646,333 8,415,358 758,108 9,811,775
------------- ------------- ------------- -------------
16,414,431 213,920,024 14,530,920 188,197,841
Shares repurchased ............. (17,316,111) (225,901,676) (13,928,582) (180,745,863)
------------- ------------- ------------- -------------
Net increase (decrease) ..... (901,680) $ (11,981,652) 602,338 $ 7,451,978
============= ============= ============= =============
<CAPTION>
California Insured Intermediate Fund
-------------------------------------------------------------------
Year Ended Year Ended
August 31, 1999 August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 385,025 $ 4,240,740 460,985 $ 4,960,936
Shares issued in reinvestment of
distributions ............... 89,409 916,685 68,160 734,678
------------- ------------- ------------- -------------
474,434 5,157,425 529,145 5,695,614
Shares repurchased ............. (339,179) (3,667,687) (646,021) (6,953,397)
------------- ------------- ------------- -------------
Net increase (decrease) ..... 135,255 $ 1,489,738 (116,876) $ (1,257,783)
============= ============= ============= =============
<CAPTION>
California Tax-Free The United States
Money Market Fund Treasury Trust
------------------------------- -------------------------------
Year ended Year ended Year Ended Year Ended
August 31, 1999 August 31, 1998 August 31, 1999 August 31, 1998
Shares/Value Shares/Value Shares/Value Shares/Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 252,637,535 278,519,260 202,306,898 141,142,619
Shares issued in reinvestment of
distributions ............... 2,737,686 2,875,691 1,929,990 2,130,742
------------- ------------- ------------- -------------
255,375,221 281,394,951 204,236,888 143,273,361
Shares repurchased ............. (238,004,981) (285,977,333) (198,039,428) (203,448,427)
------------- ------------- ------------- -------------
Net increase (decrease) ..... 17,370,240 (4,582,382) 6,197,460 (60,175,066)
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
50
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
<TABLE>
<CAPTION>
U.S. Government Securities Fund
-------------------------------------------------------------------
Year Ended Year Ended
August 31, 1999 August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 1,155,865 $ 12,864,538 1,569,018 $ 16,951,443
Shares issued in reinvestment of
distributions ............... 182,696 2,002,273 135,540 1,463,419
------------- ------------- ------------- -------------
1,338,561 14,866,811 1,704,558 18,414,862
Shares repurchased ............. (1,506,815) (16,572,845) (1,525,106) (16,437,729)
------------- ------------- ------------- -------------
Net increase (decrease) ..... (168,254) $ (1,706,034) 179,452 $ 1,977,133
============= ============= ============= =============
<CAPTION>
S&P 500 Index Fund
-------------------------------------------------------------------
Year Ended Year Ended
August 31, 1999 August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 1,579,685 $ 41,008,077 1,102,164 $ 25,262,969
Shares issued in reinvestment of
distributions ............... 166,767 4,212,322 119,309 2,591,113
------------- ------------- ------------- -------------
1,746,452 45,220,399 1,221,473 27,854,082
Shares repurchased ............. (879,522) (22,894,838) (624,706) (14,182,566)
------------- ------------- ------------- -------------
Net increase ................ 866,930 $ 22,325,561 596,767 $ 13,671,516
============= ============= ============= =============
<CAPTION>
S&P MidCap Index Fund
-------------------------------------------------------------------
Year Ended Year Ended
August 31, 1999 August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 653,642 $ 12,002,893 295,197 $ 5,711,888
Shares issued in reinvestment of
distributions ............... 405,301 6,790,728 207,684 3,706,528
------------- ------------- ------------- -------------
1,058,943 18,793,621 502,881 9,418,416
Shares repurchased ............. (587,777) (10,530,505) (408,733) (7,827,121)
------------- ------------- ------------- -------------
Net increase ................ 471,166 $ 8,263,116 94,148 $ 1,591,295
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
51
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
<TABLE>
<CAPTION>
S&P SmallCap Index Fund
-------------------------------------------------------------------
Year Ended Year Ended
August 31, 1999 August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 821,321 $ 8,940,557 562,478 $ 7,251,518
Shares issued in reinvestment of
distributions ............... 15,601 170,087 31,999 389,142
------------- ------------- ------------- -------------
836,922 9,110,644 594,477 7,640,660
Shares repurchased ............. (724,076) (7,857,065) (242,139) (2,978,648)
------------- ------------- ------------- -------------
Net increase ................ 112,846 $ 1,253,579 352,338 $ 4,662,012
============= ============= ============= =============
<CAPTION>
Equity Income Fund
-------------------------------------------------------------------
Year Ended Year Ended
August 31, 1999 August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 219,202 $ 3,141,876 493,129 $ 6,918,782
Shares issued in reinvestment of
distributions ............... 21,738 302,170 44,457 592,174
------------- ------------- ------------- -------------
240,940 3,444,046 537,586 7,510,956
Shares repurchased ............. (295,944) (4,058,000) (300,004) (3,904,823)
------------- ------------- ------------- -------------
Net increase (decrease) ..... (55,004) $ (613,954) 237,582 $ 3,606,133
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
52
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
California Tax-Free Money Market Fund
--------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .............. 0.026 0.030 0.031 0.032 0.032
LESS DISTRIBUTIONS
Dividends from net investment
income .......................... (0.026) (0.030) (0.031) (0.032) (0.032)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year .......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== ========== ==========
Total Return .......................... 2.61% 3.09% 3.09% 3.26% 3.27%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . $ 105,606 $ 88,236 $ 92,818 $ 103,402 $ 80,412
Ratio of expenses to average net
assets:
Before expense reimbursements 0.61% 0.61% 0.61% 0.61% 0.66%
After expense reimbursements 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to
average net assets:
Before expense reimbursements 2.33% 2.77% 2.86% 2.90% 2.97%
After expense reimbursements 2.54% 2.98% 3.07% 3.11% 3.23%
</TABLE>
See accompanying notes to the financial statements
53
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
California Tax-Free Income Fund
--------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .... $ 13.18 $ 12.86 $ 12.31 $ 12.22 $ 12.17
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .............. 0.56 0.58 0.60 0.62 0.61
Net gain (loss) on securities (both
realized and unrealized) ........ (0.68) 0.51 0.54 0.09 0.30
---------- ---------- ---------- ---------- ----------
Total from investment operations (0.12) 1.09 1.14 0.71 0.91
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income .......................... (0.57) (0.58) (0.59) (0.62) (0.66)
Distributions from capital gains ... (0.09) (0.19) .--- .--- (0.20)
---------- ---------- ---------- ---------- ----------
Total distributions .......... (0.66) (0.77) (0.59) (0.62) (0.86)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year .......... $ 12.40 $ 13.18 $ 12.86 $ 12.31 $ 12.22
========== ========== ========== ========== ==========
Total Return .......................... (1.07)% 8.75% 9.48% 5.40% 8.01%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . $ 200,946 $ 225,507 $ 212,198 $ 194,926 $ 196,046
Ratio of expenses to average net
assets:
Before expense reimbursements 0.61% 0.61% 0.59% 0.60% 0.62%
After expense reimbursements 0.61% 0.61% 0.59% 0.60% 0.62%
Ratio of net investment income to
average net assets:
Before expense reimbursements 4.33% 4.47% 4.75% 4.96% 5.13%
After expense reimbursements 4.33% 4.47% 4.75% 4.96% 5.13%
Portfolio Turnover ................. 16.36% 20.95% 34.96% 10.34% 32.21%
</TABLE>
See accompanying notes to the financial statements
54
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
California Insured Intermediate Fund
--------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .... $ 10.92 $ 10.72 $ 10.42 $ 10.49 $ 10.23
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .............. 0.43 0.44 0.45 0.46 0.44
Net gain (loss) on securities (both
realized and unrealized) ......... (0.26) 0.25 0.30 (0.07) 0.30
---------- ---------- ---------- ---------- ----------
Total from investment operations 0.17 0.69 0.75 0.39 0.74
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income .......................... (0.43) (0.44) (0.45) (0.46) (0.48)
Distributions from capital gains ... (0.12) (0.05) -- -- --
---------- ---------- ---------- ---------- ----------
Total distributions .......... (0.55) (0.49) (0.45) (0.46) (0.48)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year .......... $ 10.54 $ 10.92 $ 10.72 $ 10.42 $ 10.49
========== ========== ========== ========== ==========
Total Return .......................... 1.51% 6.64% 7.34% 3.75% 7.46%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . $ 24,175 $ 23,572 $ 24,390 $ 24,207 $ 23,515
Ratio of expenses to average net
assets:
Before expense reimbursements 0.66% 0.70% 0.70% 0.70% 0.76%
After expense reimbursements 0.55% 0.55% 0.55% 0.55% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements 3.85% 3.94% 4.12% 4.22% 4.19%
After expense reimbursements 3.96% 4.09% 4.27% 4.37% 4.35%
Portfolio Turnover ................. 8.38% 26.76% 32.11% 36.08% 43.56%
</TABLE>
See accompanying notes to the financial statements
55
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
U S Government Securities Fund
--------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .... $ 11.30 $ 10.38 $ 10.15 $ 10.66 $ 10.30
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .............. 0.56 0.59 0.64 0.66 0.70
Net gain (loss) on securities (both
realized and unrealized) ........ (0.80) 1.01 0.36 (0.51) 0.41
---------- ---------- ---------- ---------- ----------
Total from investment operations (0.24) 1.60 1.00 0.15 1.11
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income .......................... (0.56) (0.61) (0.63) (0.66) (0.75)
Distributions from capital gains ... (0.26) (0.07) (0.14) .--- .---
---------- ---------- ---------- ---------- ----------
Total distributions .......... (0.82) (0.68) (0.77) (0.66) (0.75)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year .......... $ 10.24 $ 11.30 $ 10.38 $ 10.15 $ 10.66
========== ========== ========== ========== ==========
Total Return .......................... (2.42)% 15.88% 10.00% 1.26% 11.42%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . $ 30,950 $ 36,063 $ 31,277 $ 29,088 $ 29,884
Ratio of expenses to average net
assets:
Before expense reimbursements 0.66% 0.68% 0.69% 0.71% 0.75%
After expense reimbursements 0.65% 0.65% 0.65% 0.65% 0.64%
Ratio of net investment income to
average net assets:
Before expense reimbursements 5.11% 5.46% 6.00% 6.10% 6.72%
After expense reimbursements 5.12% 5.49% 6.04% 6.16% 6.83%
Portfolio Turnover ................. 139.00% 65.27% 170.76% 89.11% 169.83%
</TABLE>
See accompanying notes to the financial statements
56
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
The United States Treasury Trust
--------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .............. 0.042 0.051 0.048 0.050 0.050
LESS DISTRIBUTIONS
Dividends from net investment
income .......................... (0.042) (0.051) (0.048) (0.050) (0.050)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year .......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== ========== ==========
Total Return .......................... 4.22% 5.21% 4.92% 5.11% 5.10%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . $ 50,517 $ 44,341 $ 104,509 $ 37,903 $ 29,797
Ratio of expenses to average net
assets:
Before expense reimbursements 0.63% 0.64% 0.64% 0.66% 0.72%
After expense reimbursements 0.41% 0.40% 0.40% 0.43% 0.50%
Ratio of net investment income to
average net assets:
Before expense reimbursements 3.92% 4.54% 4.58% 4.60% 4.75%
After expense reimbursements 4.14% 4.78% 4.82% 4.83% 4.97%
</TABLE>
See accompanying notes to the financial statements
57
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
S & P 500 Index Fund
--------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .... $ 20.90 $ 19.98 $ 14.81 $ 13.31 $ 11.38
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .............. 0.39 0.36 0.38 0.36 0.39
Net gain on securities (both
realized and unrealized) ......... 7.79 1.28 5.44 2.05 1.94
---------- ---------- ---------- ---------- ----------
Total from investment operations 8.18 1.64 5.82 2.41 2.33
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income .......................... (0.39) (0.34) (0.37) (0.37) (0.37)
Distributions from capital gains ... (0.57) (0.38) (0.28) (0.54) (0.03)
---------- ---------- ---------- ---------- ----------
Total distributions .......... (0.96) (0.72) (0.65) (0.91) (0.40)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year .......... $ 28.12 $ 20.90 $ 19.98 $ 14.81 $ 13.31
========== ========== ========== ========== ==========
Total Return .......................... 39.76% 8.14% 40.19% 18.63% 21.06%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . $ 142,276 $ 87,621 $ 71,860 $ 43,849 $ 21,800
Ratio of expenses to average net
assets:
Before expense reimbursements 0.37% 0.40% 0.46% 0.57% 1.04%
After expense reimbursements 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of net investment income to
average net assets:
Before expense reimbursements 1.33% 1.48% 1.85% 2.13% 2.40%
After expense reimbursements 1.50% 1.68% 2.11% 2.50% 3.24%
Portfolio Turnover ................. 9.76% 1.82% 2.10% 1.87% 3.68%
</TABLE>
See accompanying notes to the financial statements
58
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
S&P MidCap Index Fund
--------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year .... $ 15.41 $ 18.57 $ 14.45 $ 13.82 $ 12.21
---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income .............. 0.20 0.23 0.22 0.24 0.26
Net gain (loss) on securities (both
realized and unrealized) ........ 5.80 (1.76) 4.85 1.33 2.04
---------- ---------- ---------- ---------- ----------
Total from investment operations 6.00 (1.53) 5.07 1.57 2.30
---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income .......................... (0.20) (0.23) (0.22) (0.25) (0.25)
Distributions from capital gains ... (2.51) (1.40) (0.73) (0.69) (0.44)
---------- ---------- ---------- ---------- ----------
Total distributions ................... (2.71) (1.63) (0.95) (0.94) (0.69)
---------- ---------- ---------- ---------- ----------
Net asset value, end of year .......... $ 18.70 $ 15.41 $ 18.57 $ 14.45 $ 13.82
========== ========== ========== ========== ==========
Total Return .......................... 41.13% (9.37)% 36.63% 11.77% 20.24%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . $ 57,164 $ 39,855 $ 46,271 $ 33,559 $ 26,168
Ratio of expenses to average net
assets:
Before expense reimbursements 0.57% 0.56% 0.61% 0.71% 0.80%
After expense reimbursements 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income
to average net assets:
Before expense reimbursements 0.90% 1.04% 1.19% 1.38% 1.70%
After expense reimbursements 1.07% 1.20% 1.40% 1.69% 2.10%
Portfolio Turnover ................. 42.98% 19.35% 17.80% 18.18% 11.71%
</TABLE>
See accompanying notes to the financial statements
59
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each year)
<TABLE>
<CAPTION>
S&P SmallCap Equity
Index Fund Income Fund
-------------------------------------- --------------------------------------
Year Ended Year Ended October 2, 1996* Year Ended Year Ended Sept.4, 1996*
August 31, August 31, to August 31, August 31, to
1999 1998 August 31, 1997 1999 1998 August 31, 1997
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 9.46 $ 12.25 $ 10.00 $ 11.98 $ 12.64 $ 10.00
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.08 0.13 0.23 0.32 0.37 0.39
Net gain (loss) on securities (both
realized and unrealized) .......... 2.13 (2.39) 2.22 2.41 (0.25) 2.84
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 2.21 (2.26) 2.45 2.73 0.12 3.23
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.08) (0.14) (0.20) (0.33) (0.37) (0.32)
Distributions from capital gains ..... (0.13) (0.39) -- -- (0.41) (0.27)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ..................... (0.21) (0.53) (0.20) (0.33) (0.78) (0.59)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period .......... $ 11.46 $ 9.46 $ 12.25 $ 14.38 $ 11.98 $ 12.64
========== ========== ========== ========== ========== ==========
Total Return ............................ 23.53% (19.38)% 24.86% 22.89% 0.46% 33.28%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 10,881 $ 7,916 $ 5,933 $ 13,716 $ 12,080 $ 9,747
Ratio of expenses to average net
assets:
Before expense reimbursements . 1.05% 1.10% 2.32%** 0.86% 0.91% 1.55%**
After expense reimbursements .. 0.65% 0.65% 0.65%** 0.80% 0.78% 0.76%**
Ratio of net investment income
to average net assets:
Before expense reimbursements . 0.31% 0.57% 0.27%** 2.09% 2.56% 2.48%**
After expense reimbursements .. 0.71% 1.02% 1.94%** 2.15% 2.69% 3.27%**
Portfolio Turnover ................... 25.40% 24.58% 19.99% 54.03% 41.23% 2.80%
</TABLE>
* Commencement of Operations
** Annualized
See accompanying notes to the financial statements
60
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
August 31, 1999
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund,
S&PSmallCap Index Fund and Equity Income Fund are separate series of shares of
beneficial interest of California Investment Trust II. Both Trusts are
registered under the Investment Company Act of 1940, as amended, as diversified
open-end management investment companies. Both Trusts were organized as
Massachusetts business trusts on September 11, 1985 and are authorized to issue
an unlimited number of no par value shares in one or more series. The investment
objectives of the Funds are as follows. California Tax-Free Income Fund and
California Insured Intermediate Fund seek as high a level of income exempt from
federal and California personal income taxes as is consistent with prudent
investment management and safety of capital. California Tax-Free Money Market
Fund - capital preservation, liquidity and the highest achievable current income
exempt from both federal and California personal income taxes consistent with
safety. U.S. Government Securities Fund - seeks safety from credit risk,
liquidity, and as high a level of income as is consistent with these objectives
by investment in full faith and credit obligations of the U.S. Government and
its agencies or instrumentalities. The United States Treasury Trust seeks
preservation of capital, safety, liquidity and consistent with these objectives,
the highest attainable current income exempt from state income taxes. S&P 500
Index Fund, S&P MidCap Index Fund and S&PSmallCap Index Fund - diversified
mutual funds that seek to provide investment results that correspond to the
total return of publicly traded common stocks represented in the Standard &
Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard &Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of current income by investing primarily in income
producing equity securities. The following is a summary of significant
accounting policies followed by the Funds.
(a) Security Valuation --- Portfolio securities of the S&P 500, S&P
MidCap and S&PSmallCap Index Funds and the Equity Income Fund listed on a
national exchange are valued at the last reported sales price. U.S.
Treasury Bills are valued at amortized cost which approximates market
value. Portfolio securities of the California Tax-Free Income Fund,
California Insured Intermediate Fund and the U.S. Government Securities
Fund are valued by an independent pricing service that uses market
quotations, representing the mean between the latest available bid and
asked prices, prices provided by market makers, or estimates of market
values obtained from yield data relating to instruments or securities with
similar characteristics, in accordance with procedures established in good
faith by the Board of Trustees. Securities with remaining maturities of 60
days or less are valued on the amortized cost basis as reflecting fair
value. All other securities are valued at their fair value as determined in
good faith by the Board of Trustees. California Tax-Free Money Market Fund
and The United States Treasury Trust securities are valued at amortized
cost which the Board of Trustees has determined in good faith to constitute
fair value.
(b) Futures Contracts --- Initial margin deposits required upon
entering into futures contracts are satisfied by the segregation of
specific securities or cash, as collateral, for the account of the broker
(the Fund's agent in acquiring the futures position). During the period the
futures contract is open, changes in the value of the contract are
recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are made or received depending upon
whether unrealized gains or losses are incurred. When the contract is
closed, the Fund records a realized gain or loss equal to the difference
between the proceeds from (or cost of) the closing transaction and the
Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index
Fund, S&PSmallCap Index Fund and Equity Income Fund may purchase or sell
stock index futures to maintain cash reserves while remaining fully
invested, to facilitate trading, to reduce transaction costs, or to seek
higher investment returns when a
61
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS - (Continued)
August 31, 1999
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Continued)
futures contract is priced more attractively than the underlying equity
security or index. Risks include the possibility of an illiquid market and
an imperfect correlation between the change in market value of the stocks
held by a Fund and the prices of futures contracts.
(c) Federal Income Taxes --- No provision is considered necessary for
Federal income taxes. The Funds intend to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
California Tax-Free Money Market Fund has capital loss carryovers available
to offset future gains, if any, of $18,971 which expire as follows, $4,130
in 2000, $1,920 in 2003 and $12,921 in 2004. The United States Treasury
Trust has capital loss carryovers available to offset future gains, if any,
of $14,094 which expires in 2007.
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities
purchased are amortized in accordance with tax regulations. Distributions
to shareholders are recorded on the ex-dividend date for the California
Tax-Free Income Fund, the California Insured Intermediate Fund, the U.S.
Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund,
S&PSmallCap Index Fund and the Equity Income Fund. Income distributions and
capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for futures
contracts and post October capital losses. For the California Tax-Free
Money Market Fund and The United States Treasury Trust, dividends from net
investment income are declared daily and reinvested or paid in cash
monthly. The two Funds intend to maintain a continuous net asset value per
share of $1.00. If net asset value per share using available market
information deviates from $1.00 by $.005 or more, the Board of Trustees
would consider what steps, if any, should be taken to restore net asset
value per share to $1.00.
(e) Equalization --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund, the U.S. Government Securities Fund,
S&P 500 Index Fund, S&P MidCap Index Fund, S&PSmallCap Index Fund and
Equity Income Fund follow the accounting practice of "equalization" whereby
part of the proceeds from capital share transactions equivalent to a
proportionate share of the distributable investment income on the date of
the transaction, is transferred to or from the undistributed net investment
income account. Undistributed net investment income is therefore unaffected
by capital share transactions.
(f) Concentration --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund and the California Tax-Free Money
Market Fund invest in debt instruments of municipal issuers. The issuer's
abilities to meet their obligations may be affected by economic
developments in the state of California.
(g) Use of Estimates in Financial Statements - In preparing financial
statements in conformity with generally accepted accounting principles,
management makes estimates and assumptions that affect the reported amounts
of assets and liabilities at the date of the financial statements, as well
as the reported amounts of income and expenses during the period. Actual
results may differ from these estimates.
Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
62
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS - (Continued)
August 31, 1999
Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
(CONTINUED)
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives as compensation at the annual rate
of .25% and .40%, respectively, of the Funds' average daily net assets. In
accordance with the terms of the management agreements with the S&P SmallCap
Index Fund and Equity Income Fund, CCMreceives compensation at the annual rate
of 0.50% of the first $500 million of net assets, plus 0.45% on net assets from
$500 million to $1 billion, and 0.40% of assets above $1 billion. CCM has agreed
to reduce its fee by, or reimburse the Funds for, any amount necessary to
prevent the Funds' total expenses, excluding extraordinary items, from exceeding
1.00% of the Funds' average daily net assets. CCM has voluntarily reimbursed
more expenses than contractually obliged. This voluntary reimbursement may cease
at any time without prior notice. Reimbursement from the manager for the year
ended August 31, 1999, is as follows:
California Tax-Free Money Market Fund....................... $ 233,014
California Insured Intermediate Fund........................ $ 27,698
U.S. Government Securities Fund ............................ $ 3,320
The United States Treasury Trust ........................... $ 109,740
S&P 500 Index Fund.......................................... $ 218,960
S&P MidCap Index Fund ...................................... $ 89,438
S&PSmallCap IndexFund....................................... $ 38,043
Equity Income Fund.......................................... $ 8,051
CCM had retained Bank of America NT&SA to act as Sub-Advisor to the S&P 500
Index Fund, S&P MidCap Index Fund, S&PSmallCap Index Fund and Equity Income
Fund, subject to supervision by CCMand the Trust's Board of Trustees. Under the
Sub-Advisory Agreement, the Sub-Advisor was responsible for the actual
management of each Fund's portfolio. The responsibility for making decisions to
buy, sell or hold a particular security rested with the Sub-Advisor. The
Sub-Advisor made all the investment decisions and placed transactions
accordingly. In the case of the S&P500Index Fund, CCM compensated 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. CCMcompensated the Sub-Advisor at a rate of
0.15%, 0.10%, and 0.10% of net assets for the Equity Income Fund, S&PMidCap
Index Fund and the S&PSmallCap Index Fund, respectively. Effective February 16,
1999, Bank of America NT & SA ceased to be the Sub-Advisor. CCMhas assumed all
investment decision making responsibilities.
Certain officers and trustees of the Trust are also partners of CCM.
Note 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the year ended August 31, 1999 were as follows:
Purchases Sales
----------- -----------
California Tax-Free Income Fund ........ $34,147,505 $40,588,081
California Insured Intermediate Fund ... $ 3,194,514 $ 2,014,648
U.S. Government Securities Fund ........ $51,971,014 $48,092,191
S&P 500 Index Fund ..................... $26,534,544 $10,807,785
S&P MidCap Index Fund .................. $23,065,733 $21,122,011
S&PSmallCap IndexFund .................. $ 2,315,973 $ 2,124,325
Equity Income Fund ..................... $ 4,981,730 $ 4,941,950
For the year ended August 31, 1999, 100% of the distributions paid from net
investment income of the California Tax-Free Money Market Fund, California
Tax-Free Income Fund and the California Insured Intermediate Fund qualifies as
tax-exempt interest dividends to noncorporate shareholders.
63
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Report of Independent Certified Public Accountants
To the Shareholders and Board of Trustees
California Investment Trust
California Investment Trust II
We have audited the accompanying statements of assets and liabilities of
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund, each a series of shares of beneficial
interest of California Investment Trust, and the U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index
Fund, S&P SmallCap Index Fund and Equity Income Fund, each a series of shares of
beneficial interest of California Investment Trust II, including the portfolios
of investments, as of August 31, 1999, and the related statements of operations
for the year then ended, the statements of changes in net assets for each of the
two years in the period then ended and the financial highlights for the periods
indicated thereon. These financial statements and financial highlights are the
responsibility of the Trusts' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
August 31, 1999, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
California Tax-Free Money Market Fund, California Tax-Free Income Fund,
California Insured Intermediate Fund, the U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund and Equity Income Fund as of August 31, 1999, the results of
their operations for the year then ended, the changes in their net assets for
each of the two years in the period then ended and the financial highlights for
the periods referred to above, in conformity with generally accepted accounting
principles.
Tait, Weller & Baker
Philadelphia, Pennsylvania
September 30, 1999
