CALIFORNIA
INVESTMENT TRUST
----------------
FUND GROUPTM
SEMI-ANNUAL REPORT
FEBRUARY 28, 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 Fund Group which contains information about the
management fee and other costs. Investments in shares of the funds of California
Investment Trust Fund Group are neither insured nor guaranteed by the U.S.
Government, and there is no assurance that any Fund which is a Money Market Fund
will be able to maintain a stable net asset value of $1.00 per share.
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
VARIABLE RATE DEMAND NOTES* (61.99%)
ANAHEIM PUBLIC IMPROVEMENT CORP.
<S> <C> <C> <C> <C>
$ 2,800,000 Certificates of Particip., 1993 Refunding Project .......... 2.500% 03/02/99 $ 2,800,000
CALIFORNIA HEALTH FACILITIES FIN. AUTHORITY
3,000,000 Cottage Hospital Santa Barbara 1985 Series B ............... 2.500% 03/03/99 3,000,000
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
2,900,000 So Cal Edison Series 1986A ................................. 3.550% 03/01/99 2,900,000
1,200,000 So Cal Edison Series 1986C ................................. 3.550% 03/01/99 1,200,000
3,575,000 Shell Oil Company Series 1991B ............................. 3.000% 03/01/99 3,575,000
3,900,000 PG&E C ..................................................... 3.050% 03/01/99 3,900,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Rev. Certificates of Participation ........... 2.600% 03/03/99 3,000,000
IRVINE RANCH WATER DISTRICT
4,000,000 Consolidated Series, 85 A .................................. 3.100% 03/01/99 4,000,000
3,800,000 Consolidated Series, 85 C .................................. 3.100% 03/01/99 3,800,000
2,100,000 Consolidated Series, 91 .................................... 3.100% 03/01/99 2,100,000
4,000,000 COP, Series 86 ............................................. 3.000% 03/01/99 4,000,000
3,100,000 Ranch Water District ....................................... 3.100% 03/01/99 3,100,000
CIT OF IRVINE
3,000,000 Assessment District ........................................ 3.100% 03/01/99 3,000,000
CITY OF TUSTIN
2,400,000 CA Improvement ............................................. 3.100% 03/01/99 2,400,000
CALIFORNIA HEALTH FAC. FIN. AUTHORITY
4,100,000 Ref Rev. St. Joseph, Series 8 .............................. 3.100% 03/01/99 4,100,000
1,800,000 Sutter Health, Series 1996B ................................ 3.100% 03/01/99 1,800,000
ORANGE COUNTY WATER DISTRICT
2,600,000 COP's Series 90B ........................................... 3.150% 03/01/99 2,600,000
LOS ANGELES MTA
2,900,000 Tax Revenue Refunding Bonds, 1993 Series A ................. 2.600% 03/03/99 2,900,000
LOS ANGELES COUNTY
2,500,000 Pension Obligation Refunding Bonds ......................... 2.500% 03/02/99 2,500,000
NEWPORT BEACH, CITY OF
4,000,000 Hoag Mem. Hospital Presbyterian, Series 1992 ............... 3.100% 03/01/99 4,000,000
ORANGE COUNTY SANITATION DISTRICT
3,800,000 Refunding Cert. of Participation, 1993 Series .............. 3.100% 03/01/99 3,800,000
RIVERSIDE REDEVELOPMENT AGENCY
2,800,000 Multi-family Housing Revenue Bonds ......................... 2.550% 03/02/99 2,800,000
SAN BERNADINO COUNTY
3,500,000 COP, 1996 County Center Refinancing Project ................ 2.550% 03/02/99 3,500,000
SANTA CLARA, CITY OF
1,000,000 Electric Revenue Series 1985A .............................. 2.550% 03/02/99 1,000,000
1,000,000 Electric Revenue Series 1985C .............................. 2.550% 03/02/99 1,000,000
SOUTH SAN FRANCISCO, CITY OF
575,000 Certificates of Participation .............................. 2.550% 03/03/99 575,000
SOUTHERN CA PUBLIC POWER AUTHORITY
3,000,000 Power Project Revenue Bond, Series C ....................... 2.500% 03/02/99 3,000,000
------------
Total Variable Rate Demand Notes
(cost $76,350,000) ................................... 76,350,000
------------
1
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(Continued)
February 28, 1999
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
TAX AND REVENUE ANTICIPATION NOTES (18.51%)
$ 2,000,000 CA School Cash Res. Program ................................ 4.500% 07/02/99 $ 2,004,934
1,000,000 Cambell Union School District .............................. 4.000% 08/02/99 1,001,832
2,000,000 State of California Rev. Anticipation Note ................. 4.000% 06/30/99 2,005,498
2,000,000 Fremont Unified School District ............................ 3.900% 06/30/99 2,001,277
2,000,000 Oxnard School District ..................................... 4.000% 08/19/99 2,004,341
1,300,000 San Carlos School District ................................. 4.000% 06/30/99 1,301,664
2,000,000 San Francisco City & County, GOs ........................... 4.500% 06/15/99 2,005,364
2,000,000 San Luis Obispo County ..................................... 4.250% 07/07/99 2,004,740
2,000,000 Santa Barbara School Finance Authority ..................... 4.500% 06/30/99 2,005,305
2,000,000 Santa Clara County Tax and Revenue Notes ................... 4.500% 10/01/99 2,018,345
1,910,000 Eastside Union High School ................................. 4.250% 10/01/99 1,923,689
2,500,000 City of San Diego Tax Ant. Note, Series A .................. 4.500% 09/30/99 2,522,811
------------
Total Tax and Revenue Anticipation Notes
(cost $22,799,800) ................................... 22,799,800
------------
COMMERCIAL PAPER (19.08%)
CALIFORNIA EDUCATIONAL FACILITIES
3,000,000 Carnegie Institution ....................................... 2.600% 04/07/99 3,000,000
EASTBAY MUNICIPAL UTILITY DISTRICT
3,500,000 Water System Series ........................................ 2.800% 05/25/99 3,500,000
LOS ANGELES DEPT. OF WATER & POWER
3,500,000 Electric Plant Short-Term Revenue Certificates ............. 2.650% 08/04/99 3,500,000
CITY OF LOS ANGELES WASTE WATER
3,500,000 Wastewater System .......................................... 2.650% 05/05/99 3,500,000
METROPOLITAN WATER DISTRICT OF SO. CA
2,400,000 Metropolitan Water District of Southern CA ................. 2.450% 05/05/99 2,400,000
1,500,000 Metropolitan Water District of Southern CA ................. 2.450% 07/08/99 1,500,000
SACRAMENTO MUNICIPAL UTILITIES DISTRICT
3,100,000 Commercial Paper Notes Series I ............................ 2.700% 04/01/99 3,100,000
SAN DIEGO COUNTY REGIONAL TRANS. AUTH.
3,000,000 Sales Tax Revenue, Series A ................................ 2.600% 05/12/99 3,000,000
------------
Total Commercial Paper
(cost $23,500,000) ................................... 23,500,000
------------
Total Investments (99.58%)
(cost $122,649,800) (a) .............................. 122,649,800
Other Net Assets (0.42%) ................................ 521,947
------------
Net Assets (100.00%) .................................... $123,171,747
============
</TABLE>
- ---------------
(a) Aggregate cost for federal income tax purposes is $122,649,800.
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
2
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (95.32%)
ALAMEDA CORRIDOR TRANSPORTATION AUTH.
<S> <C> <C> <C> <C>
$ 2,500,000 Tax Exempt Senior Lien Revenue Bonds ....................... 5.000% 10/01/07 $ 2,668,750
ANAHEIM PUBLIC FINANCE AUTHORITY
2,250,000 Public Improvement Project ................................. 6.000% 09/01/12 2,604,375
CALIFORNIA EDUCATIONAL FAC. AUTHORITY
2,025,000 USC Refunding Revenue Bonds, 1997 Series A ................. 5.600% 10/01/04 2,209,781
1,290,000 Revenue Bonds (Pooled Colleges & Universities) ............. 5.250% 12/01/07 1,398,038
2,000,000 Revenue Bonds (University of San Francisco) ................ 6.000% 10/01/16 2,240,000
CA POLLUTION CONTROL AUTHORITY
3,000,000 San Diego Gas & Electric, Series 1996A ..................... 5.900% 06/01/14 3,397,500
1,950,000 San Diego Gas & Electric, Series A ......................... 5.900% 06/01/14 2,218,125
CALIFORNIA, STATE OF
5,000,000 General Obligations ........................................ 6.250% 09/01/12 5,912,500
STATE OF CA DEPT. OF WATER RESOURCES
2,320,000 Water System Revenue Bonds, Central Valley J-1 ............. 7.000% 12/01/11 2,900,000
2,835,000 Water System Revenue Bonds, Central Valley J-3 ............. 7.000% 12/01/11 3,554,381
CA STATE PUBLIC WORKS BOARD
4,000,000 Imperial County, State Prisons ............................. 6.500% 09/01/17 4,760,000
5,000,000 Lease Revenue Bonds Regents of Univ of CA .................. 5.500% 06/01/14 5,468,750
CA STATEWIDE COMMUNITIES DEV. AUTHORITY
2,250,000 Certificates of Participation, Cedars Sinai ................ 6.500% 08/01/12 2,587,500
3,615,000 Children's Hospital of Los Angeles, Series 1993 ............ 6.000% 06/01/09 4,107,544
CASTAIC LAKE WATER AGENCY
2,090,000 Certificates of Participation, 1994 Series A ............... 7.250% 08/01/09 2,615,113
CENTRAL COAST WATER AUTHORITY
1,420,000 Cal. Revenue Refunding Bonds,1996 Series A ................. 6.000% 10/01/08 1,624,125
CONTRA COSTA WATER DISTRICT
4,000,000 Water Revenue Bonds, Series E .............................. 6.250% 10/01/12 4,730,000
CULVER CITY REDEVELOPMENT FIN. AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993 ............... 5.500% 11/01/14 3,270,000
ELK GROVE UNIFIED SCHOOL DISTRICT
3,000,000 Special Tax Refunding, Series 1995 ......................... 6.500% 12/01/24 3,663,750
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 GO Convertible Bonds, 1993 Series C ........................ 6.250% 05/01/12 4,913,100
FRESNO, CITY OF
4,000,000 Sewer System Revenue Bonds ................................. 5.250% 09/01/19 4,195,000
GOLDEN WEST SCHOOLS FINANCING AUTHORITY
1,410,000 General Obligations Refinancing Bond Series A .............. 6.600% 08/01/15 1,720,200
KERN HIGH SCHOOL DISTRICT
2,555,000 General Obligation Bonds, 1996 Series A .................... 6.600% 08/01/16 3,024,481
LA QUINTA REDEVELOPMENT AGENCY
1,015,000 Tax Allocation Refunding Redev. Project Area #1 ............ 7.300% 09/01/09 1,281,438
LAGUNA SALADA UNIFIED SCHOOL DISTRICT
1,070,000 General Obligation Bonds ................................... 5.250% 08/01/13 1,148,913
LA CONVENTION & EXHIBIT CENTER
1,300,000 Certificates of Participation 1985 * ....................... 9.000% 12/01/20 1,694,875
4,500,000 Lease Revenue Bonds, 1993 Series A ......................... 6.000% 08/15/10 5,186,250
LA DEPARTMENT OF AIRPORTS, CITY OF
2,500,000 Refunding Revenue Bonds .................................... 6.500% 05/15/04 2,818,750
LA STATE BUILDING AUTHORITY
3,500,000 Lease Revenue Refunding Bonds .............................. 5.625% 05/01/11 3,876,250
3
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (CONTINUED)
LA UNIFIED SCHOOL DISTRICT
$ 1,625,000 General Obligation Bonds, 1997 Series A .................... 4.900% 07/01/09 $ 1,714,375
2,450,000 General Obligation Bonds, 1997 Series A .................... 6.000% 07/01/14 2,814,438
LA, DEPARTMENT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994 ....................... 8.500% 06/01/04 3,660,000
LA COUNTY TRANSPORTATION COMMISSION
4,540,000 Sales Tax Revenue Refunding Bonds, 1991 Series B ........... 6.500% 07/01/10 5,357,200
M-S-R PUBLIC POWER AGENCY
3,500,000 San Juan Project Refunding Rev Bonds, Ser. F ............... 6.125% 07/01/13 4,077,500
METROPOLITAN WATER DISTRICT OF SO. CA
4,000,000 Water Revenue Bonds 1995 Series A .......................... 5.750% 07/01/15 4,350,000
MODESTO IRRIGATION DIST. FINANCING AUTHORITY
2,000,000 Domestic Water Project ..................................... 5.000% 09/01/16 2,017,500
TRANSMISSION AGENCY OF NORTHERN CA
1,000,000 CA-Oregon Transmission Project, Series 1990A ............... 7.000% 05/01/13 1,242,500
2,500,000 CA-Oregon Transmission Project ............................. 5.300% 05/01/09 2,718,750
REDEVELOPMENT AGENCY OF OAKLAND
4,000,000 Central District Redev. Project Ser. 1992 .................. 5.500% 02/01/14 4,370,000
ORANGE COUNTY LOCAL TRANS. AUTHORITY
1,500,000 Measure M Sales Tax Revenue Bonds .......................... 9.500% 02/15/03 1,816,875
PASADENA UNIFIED SCHOOL DISTRICT
2,265,000 General Obligation Bonds, 1997 Series A .................... 5.000% 05/01/18 2,265,000
POMONA UNIFIED SCHOOL DISTRICT
1,175,000 General Obligation Refunding Bonds ......................... 5.700% 08/01/08 1,318,938
PORT HUENEME, CITY OF
2,200,000 Refunding Certificates of Participation, 1992 .............. 6.000% 04/01/12 2,538,250
RANCHO CA WATER DISTRICT FINANCE AUTH.
3,000,000 Revenue Refunding Bonds .................................... 5.875% 11/01/10 3,337,500
RIVERSIDE, CITY OF
1,500,000 Water Revenue Bond Issue 1991 .............................. 9.000% 10/01/01 1,704,375
RIVERSIDE COUNTY TRANS. AGENCY
2,000,000 General Obligation Refunding Bonds ......................... 5.750% 06/01/09 2,250,000
SACRAMENTO MUNICIPAL UTILITY DISTRICT
4,000,000 Refunding Revenue Bonds Series A ........................... 6.250% 08/15/10 4,680,000
SACRAMENTO REDEVELOPMENT AGENCY
1,135,000 Downtown Sacramento Redevelopment Project .................. 4.750% 11/01/08 1,191,750
SADDLEBACK VALLEY SCHOOL DISTRICT
1,575,000 Special Tax Revenue Bonds, 1996 Series A ................... 6.000% 09/01/16 1,801,406
SAN BERNADINO, COUNTY OF
3,000,000 Certificates of Participation, Series B .................... 6.875% 08/01/24 3,798,750
SAN BERNADINO COUNTY TRANS AUTHORITY
2,000,000 Sales Tax Revenue Bonds .................................... 5.000% 03/01/09 2,122,500
SAN DIEGO COUNTY CALIF
2,285,000 1998 Downtown Courthouse Refunding COPs .................... 4.500% 05/01/09 2,333,556
SAN DIEGO REGIONAL TRANSPORTATION COMM.
2,000,000 Sales Tax Rev. Bonds, Second Senior Series A ............... 5.500% 04/01/08 2,207,500
SAN DIEGO COUNTY WATER AUTHORITY
2,400,000 Water Revenue Refunding Certs. of Participation ............ 5.000% 05/01/17 2,409,000
CITY AND COUNTY OF SAN FRANCISCO
2,000,000 General Obligation Refunding Bond Series 1 ................. 5.500% 06/15/09 2,210,000
4
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (CONTINUED)
SAN FRANCISCO BART DISTRICT
$ 2,950,000 Sales Tax Rev. Refunding Series 1990 ....................... 6.750% 07/01/11 $ 3,621,128
SAN JOSE REDEVELOPMENT AGENCY
4,000,000 Merged Area Redevelopment Project .......................... 6.000% 08/01/10 4,605,000
SAN MARINO UNIFIED SCHOOL DISTRICT
1,440,000 General Obligation Bonds ................................... 5.250% 07/01/16 1,519,200
SAN MATEO COUNTY REG. TRANS. DISTRICT
5,000,000 Sales Tax Revenue Bonds, 1993 A ............................ 5.250% 06/01/19 5,243,750
REDEVELOPMENT AGENCY OF SANTA CLARA
4,000,000 Bayshore North Project Tax Allocation 1992 ................. 7.000% 07/01/10 4,880,000
SANTA CLARA COUNTY FINANCING AUTHORITY
2,000,000 Lease Revenue Refunding Bonds, Series A .................... 6.000% 11/15/12 2,317,500
1,750,000 Lease Revenue Refunding Bonds, Series A .................... 5.750% 11/15/13 1,975,312
SANTA MONICA-MALIBU UNIFIED SCHOOL DISTRICT
3,000,000 Gen. Obligation Refunding Bonds, Series 1998 ............... 5.250% 08/01/15 3,183,750
940,000 Gen. Obligation Refunding Bonds, Series 1998 ............... 5.250% 08/01/17 994,050
SOUTH COAST AIR QUALITY MGMT. DISTRICT
2,400,000 Installment Sale Revenue Bonds, Series 1992 ................ 6.000% 08/01/11 2,769,000
SOUTHERN CA PUBLIC POWER AUTHORITY
5,000,000 Multiple Project Revenue Bonds, 1989 ....................... 6.750% 07/01/13 6,093,750
TURLOCK IRRIGATION DISTRICT
2,000,000 Revenue Refunding Bonds, 1996 Series A ..................... 6.250% 01/01/12 2,340,000
UNIVERSITY OF CALIFORNIA, REGENTS OF
3,000,000 UCLA Central Chiller/Cogeneration Facility ................. 10.000% 11/01/03 3,798,750
2,815,000 Revenue Bonds, Housing System .............................. 5.500% 11/01/09 3,026,121
------------
Total Long-term Securities
(cost $187,782,297) .................................. 208,464,463
------------
VARIABLE RATE DEMAND NOTES** (2.01%)
CA HEALTH FACILITIES FINANCING AUTHORITY
500,000 Sutter Health Series 90 A&B ................................ 3.100% 03/01/99 500,000
2,100,000 Sutter Health .............................................. 3.100% 03/01/99 2,100,000
NEWPORT BEACH, CITY OF
1,200,000 Hoag Memorial Hospital, Series 1996 ........................ 3.100% 03/01/99 1,200,000
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
600,000 PG&E C ..................................................... 3.050% 03/01/99 600,000
------------
Total Variable Rate Demand Notes
(costs $4,400,000) ................................... 4,400,000
------------
Total Investments (97.33%)
(cost $192,182,297) (a) .............................. 212,864,463
Other Net Assets (2.67%) 5,827,031
------------
Net Assets (100.00%) .................................... $218,691,494
============
</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 $192,182,297. At February
28,1999, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ....................... $ 20,724,663
Unrealized depreciation ....................... (42,497)
------------
Net unrealized appreciation ................ $ 20,682,166
============
See accompanying notes to financial statements
5
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (97.90%)
ANAHEIM , CITY OF
<S> <C> <C> <C> <C>
$ 500,000 Electric Revenue Bonds ..................................... 5.000% 10/01/03 $ 528,750
CALIFORNIA EDUCATIONAL FACILITIES AUTH.
500,000 University of San Diego, Series 1998 ....................... 4.250% 10/01/08 505,000
400,000 University of Santa Clara .................................. 4.700% 09/01/04 418,000
CALIFORNIA, STATE OF
300,000 General Obligation Bonds ................................... 5.750% 10/01/05 333,000
STATE PUBLIC WORKS BOARD
400,000 Energy Efficiency Revenue Bonds 1995 Series A .............. 5.250% 10/01/03 427,000
640,000 Refunding Bonds, Dept. of Corrections ...................... 5.250% 12/01/06 694,400
400,000 College and University Housing Revenue ..................... 4.900% 11/01/03 421,500
CASTAIC LAKE AGENCY FINANCING CORP.
300,000 Water System Imp. Projects, Series 1994 A .................. 7.250% 08/01/09 375,375
CENTRAL VALLEY SCHOOL DISTRICT FIN. AUTHORITY
400,000 General Obligation Refi. Bonds, Series A ................... 6.150% 02/01/09 461,500
CHICO UNIFIED SCHOOL DISTRICT
400,000 General Obligation Refunding Bonds ......................... 8.500% 08/01/07 522,000
CONTRA COSTA TRANSPORTATION AUTHORITY
500,000 Sales Tax Revenue Bonds 1995 Series A ...................... 6.000% 03/01/03 543,125
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project .................... 6.250% 12/01/04 435,000
DESERT SANDS UNIFIED SCHOOL DISTRICT
500,000 Certificates of Participation, Series 1995 ................. 5.300% 03/01/07 540,000
EAST BAY CA MUNICIPAL UTILITY DISTRICT
500,000 Water Revenue Refunding Bonds .............................. 6.000% 06/01/03 546,250
EASTERN MUNICIPAL WATER DISTRICT
500,000 Water & Sewer Revenue Refunding Certificates ............... 5.000% 07/01/05 531,250
ELSINOR VALLEY CA WATER DISTRICT
500,000 Certificates of Participation, Series A .................... 5.900% 07/01/05 556,250
IMPERIAL IRRIGATION DISTRICT
600,000 Electric System Project, COP ............................... 5.200% 11/01/09 646,500
LOS ANGELES, CITY OF
500,000 General Obligation Bonds, 1994 Series A .................... 5.600% 09/01/05 553,750
LOS ANGELES DEPARTMENT OF AIRPORTS
400,000 Revenue Refunding Bonds .................................... 6.500% 05/15/03 444,500
LOS ANGELES UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1997 Series A .................... 6.000% 07/01/07 454,000
275,000 General Obligation Bonds, 1997 Series A .................... 6.000% 07/01/08 314,875
LOS ANGELES, CITY OF
710,000 Wastewater System, Series 1998 A ........................... 5.000% 06/01/11 744,613
MODESTO CA IRRIGATION DISTRICT
400,000 Series 1999A Certification of Participation ................ 4.250% 07/01/04 408,000
NEWPORT MESA UNIFIED SCHOOL DISTRICT
450,000 Special Tax Bonds .......................................... 4.400% 09/01/08 460,125
NORTHERN CA, TRANS. AGENCY OF
500,000 Cal/Oregon Transmission Proj., Rev. Bonds .................. 6.100% 05/01/03 546,875
OAK PARK UNIFIED SCHOOL DISTRICT
600,000 General Obligation, Refunding Bonds ........................ 5.150% 05/01/07 645,000
OLIVENHAIN MUNICIPAL WATER DISTRICT
500,000 Water Revenue Certificates of Participation ................ 4.750% 06/01/06 524,375
ORANGE COUNTY LOCAL TRANS. AUTHORITY
500,000 Limited Tax Bonds, 1994 .................................... 9.500% 02/15/03 605,625
RIVERSIDE COUNTY TRANSPORTATION COMM.
260,000 Sales Tax Revenue Bonds, 1993 Series A ..................... 5.500% 06/01/04 281,125
ROCKLIN UNIFIED SCHOOL DISTRICT
535,000 General Obligation Bonds ................................... 5.000% 09/01/04 567,100
SACRAMENTO CITY FINANCING AUTHORITY
500,000 Lease Revenue Bonds, State of CA EPA Bldg .................. 4.200% 05/01/10 494,375
6
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (CONTINUED)
SACRAMENTO MUNICIPAL WATER DISTRICT
$ 500,000 Electric Revenue Refunding Bonds ........................... 5.100% 11/15/03 $ 531,250
SACRAMENTO REDEVELOPMENT AGENCY
500,000 Downtown Sacramento Project, Series 1998C .................. 4.750% 11/01/08 525,000
COUNTY OF SACRAMENTO PFA
400,000 Main Detention Facility COP ................................ 5.300% 06/01/04 428,500
SAN DIEGO PUBLIC FACILITIES FINANCING AUTH.
500,000 Sewer Revenue Refunding Bonds, Series A .................... 5.100% 05/15/10 529,375
SAN DIEGO COUNTY
500,000 1998 Downtown Courthouse Refunding ......................... 4.000% 05/01/07 495,625
SAN DIEGO COUNTY RTC
400,000 Sales Tax Rev. Bonds, Seconds 1993 Series A ................ 5.000% 04/01/03 420,500
SAN DIEGO COUNTY WATER AUTHORITY
600,000 Water Revenue Refunding COP Series 1993 A .................. 5.500% 05/01/05 651,000
SAN FRANCISCO, CITY & COUNTY
500,000 City Hall Improvement Project, Series A .................... 5.100% 06/15/06 534,375
450,000 School District Facilities Improvement, Ser. B ............. 6.500% 06/15/05 515,250
SAN FRANCISCO AIRPORT COMMISSION
450,000 SF Intl. Airport Revenue, Second Series B .................. 5.500% 05/01/09 497,812
SAN JOSE REDEVELOPMENT AGENCY
500,000 Tax Allocation Bonds ....................................... 6.000% 08/01/06 564,375
SAN MATEO JOINT POWERS AUTHORITY
400,000 Refunding Revenue Bonds, 1993 Series A ..................... 5.100% 08/01/03 418,500
SANTA ROSA, CITY OF
400,000 Wastewater Rev. Refunding Bonds, Ser. A .................... 5.125% 09/01/05 421,000
SARATOGA UNION SCHOOL DISTRICT
600,000 General Obligation Bonds, Series A ......................... 4.900% 09/01/09 633,750
SOUTH COUNTY REGIONAL WASTEWATER
390,000 Revenue Bonds, Gilroy Series 1992A ......................... 5.900% 08/01/06 422,662
SOUTHERN CA PUBLIC POWER AUTHORITY
500,000 Transmission Project Revenue Bonds, Series A ............... 6.000% 07/01/04 553,125
VISALIA, CITY OF
500,000 Wastewater System Revenue Bonds ............................ 5.900% 12/01/05 560,000
WISEBURN SCHOOL DISTRICT
325,000 General Obligation Bonds, 1997 Series A .................... 6.875% 08/01/05 379,844
------------
Total Long-term Securities
(cost $23,505,709) ................................... 24,611,181
------------
VARIABLE RATE DEMAND NOTES** (0.80%)
IRVINE RANCH
100,000 Irvine Ranch CA Water District ............................. 3.100% 03/01/99 100,000
NEWPORT BEACH, CITY OF
100,000 Hoag Mem Series 96 ......................................... 3.100% 03/01/99 100,000
------------
Total Variable Rate Demand Notes
(cost $200,000) ...................................... 200,000
------------
Total Investments (98.70%)
(cost $23,705,709) (a) ............................... 24,811,181
Other Net Assets (1.30%) ................................ 326,396
------------
Net Assets (100.00%) .................................... $ 25,137,577
============
</TABLE>
- --------------
** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $23,705,709. At February
28, 1999 unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $1,110,850
Unrealized depreciation (5,378)
----------
Net unrealized appreciation $1,105,472
==========
See accompanying notes to financial statements
7
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (33.27%)
$ 1,947,925 6.000% 05/15/26 $ 1,894,322
996,327 6.000% 06/15/28 968,330
994,845 6.000% 08/15/28 966,889
1,990,242 6.000% 01/15/14 1,982,447
1,802,165 6.500% 03/15/26 1,795,565
833,169 6.500% 01/15/26 830,117
887,768 6.500% 03/15/26 884,517
845,256 6.500% 04/15/26 842,160
758,147 6.500% 04/15/26 755,371
213,668 9.000% 10/15/18 229,541
38,803 10.000% 09/15/18 42,851
20,072 11.250% 07/15/13 22,109
-----------
Total Government National Mortgage Association (cost $10,938,805) 11,214,219
-----------
UNITED STATES TREASURY BONDS (34.75%)
2,150,000 7.875% 02/15/21 2,682,798
1,900,000 8.000% 11/15/21 2,408,845
2,000,000 8.125% 05/15/21 2,560,000
1,000,000 8.750% 08/15/20 1,351,563
2,000,000 8.875% 02/15/19 2,710,000
-----------
Total United States Treasury Bonds (cost $11,115,214) 11,713,206
-----------
UNITED STATES TREASURY NOTES (14.51%)
1,400,000 5.750% 08/15/03 1,424,063
1,850,000 6.250% 02/15/07 1,948,281
750,000 6.500% 10/15/06 799,922
650,000 7.500% 02/15/05 719,672
-----------
Total United States Treasury Notes (cost $4,824,785) 4,891,938
-----------
UNITED STATES TREASURY BILLS (7.09%)
2,200,000 4.490% 04/08/99 2,189,679
200,000 4.470% 04/01/99 199,256
-----------
Total United States Treasury Bills (cost $2,388,935) 2,388,935
-----------
UNITED STATES TREASURY STRIPS (10.23%)
4,000,000 6.250% 05/15/08 2,407,713
1,700,000 5.990% 02/15/08 1,039,043
-----------
Total United States Treasury Strips (cost $3,271,213) 3,446,756
-----------
Total Investments (cost $32,538,952) (a) (99.85%) ......... 33,655,054
Other Net Assets (0.15%) .................................. 51,545
-----------
Net Assets (100.00%) ................................... $33,706,599
===========
- --------------
(a) Aggregate cost for federal income tax purposes is $32,538,952. At February
28, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ................................ $ 1,289,128
Unrealized depreciation ................................ (173,026)
-----------
Net unrealized appreciation ......................... $ 1,116,102
===========
See accompanying notes to financial statements
8
<PAGE>
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
UNITED STATES TREASURY BILLS (100.28%)
$ 6,600,000 4.450% 04/08/99 $ 6,569,028
4,800,000 4.480% 04/01/99 4,781,896
6,200,000 4.380% 07/22/99 6,092,130
500,000 4.440% 08/19/99 489,455
5,700,000 4.200% 04/22/99 5,661,797
3,500,000 4.320% 06/03/99 3,460,066
5,000,000 4.330% 03/18/99 4,989,623
5,500,000 4.350% 03/11/99 5,493,379
3,100,000 4.360% 06/17/99 3,059,452
5,300,000 4.410% 03/25/99 5,284,418
5,000,000 4.410% 07/08/99 4,922,063
4,100,000 5.310% 03/04/99 4,098,383
-----------
Total Investments (cost $54,901,690) (a)(100.28%) ......... 54,901,690
Liabilities in Excess of Other Assets (-0.28%) ............ (150,599)
-----------
Net Assets (100.00%) ................................... $54,751,091
===========
- --------------
(a) Cost for federal income tax purposes is $54,901,690.
See accompanying notes to financial statements
9
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
Shares Value
------ -----
COMMON STOCK (94.42%)
CAPITAL GOODS (5.50%)
PRODUCTION (0.64%)
250 Briggs & Stratton .............................. $ 12,203
4,520 Caterpillar Inc ................................ 205,943
1,230 Cooper Industries .............................. 53,813
2,570 Deere & Co ..................................... 84,007
2,200 Dover Co ....................................... 74,800
350 Foster Wheeler Corp ............................ 4,375
2,990 Illinois Tool Works ............................ 205,563
1,425 Ingersol Rand Co ............................... 67,688
350 Milacron Inc. .................................. 6,234
1,000 Pall Corp ...................................... 21,188
960 Parker Hannifin ................................ 35,640
780 Raychem ........................................ 17,794
540 Timken Co. ..................................... 9,551
-------------
798,799
-------------
MACHINERY (AGRIC. & CONST.)(0.01%)
630 Case Equipment ................................. 12,285
-------------
MACHINERY (INDUSTRIAL) (0.02%)
410 Harnischfeger .................................. 3,152
1,467 Thermo Electron Corp.* ......................... 20,263
-------------
23,415
-------------
POLLUTION CONTROL (0.32%)
2,150 Browning Ferris Industries ..................... 67,725
6,835 Waste Management Inc. .......................... 334,061
-------------
401,786
-------------
ENGINEERING & CONSTRUCTION (0.02%)
730 Fluor Corp ..................................... 25,687
-------------
ELECTRICAL EQUIPMENT (3.64%)
1,935 AMPInc ......................................... 102,918
5,330 Emerson Electric Co ............................ 306,142
39,335 General Electric ............................... 3,945,792
1,120 Grainger, WW,Inc ............................... 49,840
1,100 Honeywell ...................................... 76,931
720 Johnson Controls ............................... 44,280
-------------
4,525,903
-------------
TRANSPORTATION EQUIPMENT (0.07%)
340 Cummins Engine ................................. 13,940
1,482 Danaher Corporation ............................ 71,507
-------------
85,447
-------------
CONGLOMERATE (0.78%)
4,980 3M Co. ......................................... 368,831
100 NACCO Industries Cl A .......................... 8,800
1,750 Tenneco, Inc ................................... 52,391
7,266 Tyco International, Ltd ........................ 540,863
-------------
970,885
-------------
Total Capital Goods ............................ 6,844,207
-------------
CONSUMER CYCLICAL (7.07%)
HOUSING (0.08%)
2,800 MASCO Co ....................................... 73,500
450 Owens-Corn. Fbrgls Corp. ....................... 14,316
770 The Stanley Works .............................. 18,721
-------------
106,537
-------------
AUTO & TRUCK (1.50%)
250 Aeroquip-Vickers, Inc. ......................... $ 14,156
1,344 Dana ........................................... 50,736
790 Eaton Corp. .................................... 54,806
14,510 Ford Motor Co .................................. 860,624
8,650 General Motors Corp. ........................... 714,166
1,575 Genuine Parts Co. .............................. 47,152
1,020 ITTIndustries .................................. 39,844
670 Paccar, Inc .................................... 28,056
1,120 TRW,Inc ........................................ 52,920
-------------
1,862,460
-------------
AUTO PART (0.03%)
1,200 Autozone, Inc.* ................................ 42,000
-------------
TIRE & RUBBER (0.09%)
730 Cooper Tire & Rubber Co. ....................... 14,418
710 Goodrich, B.F. Co. ............................. 24,229
1,520 Goodyear Tire & Rubber ......................... 70,300
-------------
108,947
-------------
APPLIANCE (0.13%)
360 Armstrong World Ind ............................ 17,708
1,180 Black and Decker ............................... 57,525
880 Maytag Corp. ................................... 49,335
530 Snap-On, Inc. .................................. 14,973
650 Whirlpool Corp. ................................ 28,275
-------------
167,816
-------------
HOUSEHOLD PRODUCTS (0.06%)
1,804 Federated Dept. Stores* ........................ 68,665
-------------
TEXTILE & APPAREL (0.22%)
640 Liz Claiborne, Inc ............................. 21,560
3,430 Nike Class B ................................... 183,934
500 Reebok Intl Ltd.* .............................. 8,063
330 Russell Co. .................................... 6,435
180 Spring Industries .............................. 5,985
1,100 VFCorp ......................................... 52,938
-------------
278,915
-------------
RETAIL-GENERAL (4.86%)
650 Amer. Greet. Co Cl A ........................... 15,398
850 Circuit City Stores ............................ 46,113
1,128 Cons. Stores Corp.* ............................ 28,412
2,593 Costco Companies Inc. .......................... 208,250
5,340 Dayton Hudson Corp ............................. 334,084
990 Dillard's Inc. Class A ......................... 24,626
1,880 Dollar General Corp. ........................... 56,283
7,522 Gap, Inc. ...................................... 486,579
1,125 Hasbro Inc. .................................... 41,625
17,688 Home Depot ..................................... 1,055,753
340 Jostens ........................................ 7,969
5,010 K Mart ......................................... 87,675
1,500 Kohl's Corp.* .................................. 103,500
3,700 Lowes Cos ...................................... 219,456
2,982 Mattel CS ...................................... 78,650
2,570 May Dept. Stores ............................... 152,273
1,604 Meyer, Fred, Inc.* ............................. 103,057
1,420 Nordstrom Inc. ................................. 57,155
3,020 JC Penney Co. .................................. 109,098
540 Pep Boys-Manny, Mo, Jack ....................... 9,855
4,770 Sears Robuck & Co .............................. 193,781
10
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
1,040 Tandy Corp ..................................... $ 57,850
2,355 The Limited, Inc. .............................. 83,603
2,520 TJX Cos, Inc ................................... 71,978
2,830 Toys R Us, Inc.* ............................... 39,974
27,390 Wal-Mart Stores, Inc. .......................... 2,365,811
-------------
6,038,808
-------------
LODGING (0.10%)
2,580 Marriott Intl Class A .......................... 92,880
1,460 Mirage Resorts, Inc.* .......................... 28,470
-------------
121,350
-------------
Total Consumer Cyclical ........................ 8,795,498
-------------
CONSUMER NON-DURABLE (26.55%)
HEALTH CARE (0.62%)
490 Bausch & Lomb, Inc. ............................ 29,553
1,000 Biomet, Inc .................................... 36,688
950 HCR Manor Care ................................. 21,256
870 Mallincrokdt Inc. .............................. 26,916
9,730 Warner-Lambert Co .............................. 671,978
-------------
786,391
-------------
CONSUMER PRODUCT (0.66%)
3,850 IMS Health ..................................... 136,675
1,680 Newell Co ...................................... 71,400
1,300 Rubbermaid Inc. ................................ 42,981
540 Tupperware Corp ................................ 9,450
7,780 Unilever (NY Shrs) ADR ......................... 563,564
-------------
824,070
-------------
FOOD, BEVERAGE & TOBACCO (5.35%)
7,157 Archer-Daniels-Midland Co. ..................... 108,250
3,380 Bestfoods ...................................... 158,649
5,520 Campbell Soup .................................. 221,835
29,495 Coca-Cola Co. .................................. 1,885,837
4,800 Coca-Cola Enterprises .......................... 148,800
5,760 Conagra, Inc ................................... 173,520
1,370 Dardeen Restaurants ............................ 30,140
1,810 Fortune Brands, Inc. ........................... 54,526
1,940 General Mills .................................. 156,534
4,380 HJ Heinz Co. ................................... 238,436
1,340 Hershey Foods .................................. 83,415
4,960 Kellogg Co. .................................... 183,520
1,360 Loews Corp. .................................... 106,335
18,450 Pepsico, Inc ................................... 694,181
29,570 Philip Morris Co., Inc. ........................ 1,156,926
3,360 Pioneer Hi-Bred Int'l .......................... 78,750
1,440 Quaker Oats .................................... 78,660
3,870 Ralston-Ralston Purina Grp ..................... 104,248
5,700 Safeway Inc .................................... 329,175
11,580 Sara Lee Corp .................................. 314,831
3,160 Sysco Corp. .................................... 89,270
1,545 Tricon Global Rstrs* ........................... 95,790
1,630 UST, Inc ....................................... 48,187
1,190 Wrigley, Wm Jr. Co. ............................ 110,670
-------------
6,650,485
-------------
RETAIL-FOOD & DRUGS (1.08%)
3,070 Albertson's, Inc. .............................. 174,990
3,440 American Stores Comp ........................... 116,100
5,008 CVS Corporation ................................ 265,424
330 Great Atlantic & Pacific ....................... 10,416
3,040 Kroger ......................................... 196,650
340 Longs Drug Stores .............................. $ 12,304
2,322 Rite Aid Corp .................................. 96,073
1,180 Supervalu Inc .................................. 28,394
11,960 Walgreen Co. ................................... 382,720
1,320 Winn-Dixie Stores Inc. ......................... 57,833
-------------
1,340,904
-------------
COMMUNICATIONS & MEDIA (2.26%)
8,380 CBS, Inc ....................................... 309,013
2,900 Clear Channel Comm.* ........................... 174,000
3,386 Comcast Corp CLA Spec .......................... 240,194
840 Dow Jones & Co. ................................ 39,480
3,340 Gannett Co., Inc ............................... 212,090
630 Harcourt General, Inc. ......................... 28,862
1,265 Interpublic Group Cos Inc. ..................... 94,638
830 Knight Ridder, Inc. ............................ 41,656
1,030 McGraw Hill Cos Inc ............................ 112,721
1,700 New York Times Class A ......................... 52,700
1,600 Omnicom Group .................................. 106,000
6,120 TeleComm Inc.A* ................................ 384,413
13,564 Time Warner, Inc ............................... 874,878
900 Times Mirror Co. A-New ......................... 50,231
1,300 Tribune Co. .................................... 86,206
-------------
2,807,082
-------------
ENTERTAINMENT & LEISURE (0.93%)
850 Brunswick Corp. ................................ 18,116
660 King World Prod., Inc.* ........................ 17,449
8,410 McDonalds Corp. ................................ 714,850
4,254 Viacom Inc. Cl B* .............................. 375,947
1,120 Wendys Int'l ................................... 26,810
-------------
1,153,172
-------------
APPAREL (0.01%)
660 Fruit of the Loom* ............................. 8,374
-------------
DRUGS (10.60%)
18,540 Abbott Labs .................................... 860,951
570 Allergan ....................................... 46,455
730 Alza Corp. Class A* ............................ 38,279
15,620 Amer Home Products Corp. ....................... 929,390
490 Bard C.R., Inc ................................. 27,624
3,290 Baxter International, Inc ...................... 231,534
3,020 Becton Dickinson Co. ........................... 101,170
12,385 Bristol-Meyer/Squibb ........................... 1,559,736
3,480 Guidant Corp. .................................. 198,360
1,410 Humana, Inc.* .................................. 24,675
16,910 Johnson & Johnson .............................. 1,443,691
13,340 Lilly, Eli & Co ................................ 1,263,131
2,532 McKesson HBOC Inc .............................. 172,176
5,720 Medtronic, Inc ................................. 403,975
29,140 Merck & Co. .................................... 2,382,195
15,740 Pfizer, Inc .................................... 2,076,696
6,150 Pharmacia & Upjohn, Inc. ....................... 335,175
17,760 Schering Plough Corp. .......................... 993,450
1,170 St. Jude Medical * ............................. 29,396
3,017 Tenet Healthcare Corp.* ........................ 59,397
-------------
13,177,456
-------------
COSMETIC & SOAP (2.30%)
480 Alberto-Culver Co. Cl B ........................ 11,520
3,160 Avon Products, Inc. ............................ 131,535
1,454 Clorox ......................................... 172,026
11
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
3,560 Colgate Palmolive Co. .......................... $ 302,155
13,560 Gillette Co .................................... 727,155
960 Int'l Flavors & Fragrance ...................... 39,540
16,470 Procter & Gamble ............................... 1,474,065
-------------
2,857,996
-------------
LIQUOR (0.59%)
5,960 Anheuser-Busch Cos., Inc. ...................... 457,058
600 Brown Foreman Cl. B ............................ 39,563
440 Coors (Adolph) ................................. 26,208
4,480 Seagrams Ltd. .................................. 207,760
-------------
730,589
-------------
TRAVEL & RECREATION (0.99%)
6,900 Carnival Corp .................................. 307,050
300 Fleetwood Enterprises .......................... 9,731
890 Harrahs Entertainment, Inc.* ................... 14,852
2,490 Hilton Hotels Corp. ............................ 39,373
24,492 Walt Disney Co. ................................ 861,812
-------------
1,232,818
-------------
PRINTING & PUBLISHING (0.05%)
1,330 Donnelley, RR & Sons ........................... 45,553
400 Meredith Corp. ................................. 13,500
-------------
59,053
-------------
BUSINESS SERVICE (0.42%)
400 Autodesk, Inc. ................................. 16,050
590 Ceridian Corp.* ................................ 42,259
6,590 Computer Assoc ................................. 276,780
1,300 Computer Sciences* ............................. 86,613
860 Deluxe Corp. ................................... 29,133
870 Moore Corp. .................................... 9,135
1,612 Paychex Inc. ................................... 68,309
-------------
528,279
-------------
OFFICE PRODUCTS (0.17%)
1,140 Avery Dennison Co .............................. 61,204
4,987 Staples Inc. ................................... 146,649
-------------
207,853
-------------
HEALTH CARE SERVICE (0.52%)
4,734 Boston Scientific* ............................. 125,451
3,328 Cardinal Health, Inc ........................... 240,240
8,010 Columbia/HCA Hthcare ........................... 143,179
3,909 Healthsouth Corp.* ............................. 45,442
1,910 United Healthcare Corp. ........................ 94,187
-------------
648,499
-------------
Total Consumer Non-Durable ..................... 33,013,021
-------------
BANKING & FINANCIAL SERVICE (15.10%)
BANK & BANK HOLDING COS. (7.72%)
1,540 AMSouth Bancorp ................................ 72,380
13,854 Banc One Corp .................................. 744,653
9,400 Bank of New York ............................... 328,413
20,645 BankAmerica .................................... 1,348,377
3,600 BankBoston Corp. ............................... 145,575
975 Bankers Trust New York ......................... 84,825
3,300 BB&T Corp. ..................................... 124,988
8,496 Chase Manhattan Corp. .......................... 676,494
27,821 Citigroup Inc. ................................. 1,634,484
1,800 Comerica ....................................... 119,250
2,945 Fifth Third Bancorp ............................ 194,554
11,366 First Union Corp ............................... 605,950
2,600 Firstar Corp (New) ............................. 217,750
6,410 Fleet Financial Group, Inc ..................... $ 275,229
2,214 Huntington Bancshares .......................... 70,295
3,050 Mellon Bank .................................... 206,256
1,331 Mercantile Bancorp ............................. 60,727
2,130 Morgan, J.P. & Co., Inc ........................ 237,362
1,100 Northern Trust ................................. 98,313
3,830 PNCFinancial Corp. ............................. 199,399
1,942 Regions Financial Corp ......................... 73,796
960 Republic New York Corp. ........................ 43,500
2,000 State Street Corp .............................. 153,375
1,700 Summit Bancorp ................................. 65,663
3,918 Sun Trust Banks, Inc ........................... 266,179
2,700 Synovus Financial Corp ......................... 64,294
8,868 U.S. Bancorp ................................... 286,547
2,269 Wachovia Corp. ................................. 193,007
7,077 Washington Mutual .............................. 283,080
19,850 Wells Fargo & Co ............................... 729,488
-------------
9,604,203
-------------
SAVINGS & LOAN (0.44%)
8,430 Fed Home Loan Mtg Corp. ........................ 496,316
500 Golden West Financial .......................... 46,969
-------------
543,285
-------------
FINANCE COMPANY (1.31%)
5,670 American Express Co. ........................... 615,195
655 Capital One Fin. Corp. ......................... 83,594
5,681 Household Intl ................................. 230,791
1,100 Lehman Brothers Holding ........................ 58,300
4,040 Merrill Lynch .................................. 310,070
3,831 National City Corp. ............................ 267,691
1,278 Union Planters Corp ............................ 57,750
-------------
1,623,391
-------------
INVESTMENT COMPANY (0.04%)
1,240.05 Bear Stearns Co, Inc ........................... 53,090
-------------
INSURANCE (3.40%)
1,704 Aetna Life & Cas. Co. .......................... 126,203
10,554 Allstate Corp .................................. 395,775
2,902 American General Corp. ......................... 212,572
14,475 American Intl. Group ........................... 1,649,245
1,670 AON Corporation ................................ 98,426
2,100 Chubb Group .................................... 125,475
2,620 Cigna Corp. .................................... 205,670
1,500 Cinci. Financial Corp .......................... 52,594
2,680 Hartford Fin. Services ......................... 144,888
930 Jefferson Pilot ................................ 63,066
5,346 Keycorp New .................................... 172,409
910 Lincoln National Corp .......................... 86,166
3,050 Marsh & McClennan Co. .......................... 215,978
940 MBIA, Inc. ..................................... 57,869
1,220 MGIC Investment ................................ 41,556
820 Progressive Corp ............................... 105,370
1,300 Provident Co. .................................. 42,575
1,215 Providian Corp ................................. 124,082
1,400 Safeco Corp .................................... 56,263
2,034 St. Paul Co .................................... 65,851
1,240 Torchmark Corp ................................. 41,230
1,140 TransAmerica Corp. ............................. 82,721
1,280 UNUM Corp. ..................................... 57,280
-------------
4,223,264
-------------
12
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
FINANCIAL SERVICES (2.19%)
8,298 Assoc. First Capital Corp ...................... $ 337,106
4,550 Charles Schwab Corp. ........................... 339,259
3,792 Conseco, Inc ................................... 113,523
870 Countrywide Credit, Inc ........................ 32,951
12,790 Fannie Mae ..................................... 895,300
2,500 Franklin Resources ............................. 79,531
8,974 MBNACorp ....................................... 217,620
7,028 Morgan Stanley Dean Witter & Co. ............... 636,034
1,700 SLM Holding Corp ............................... 72,888
-------------
2,724,212
-------------
Total Banking & Financial Services ............. 18,771,445
-------------
UTILITY (10.38%)
ELECTRIC(0.70%)
1,380 Ameren Corp.* .................................. 51,491
1,374 Cinenrgy Corp .................................. 40,104
2,440 Consolidated Edison ............................ 114,070
4,328 Duke Power ..................................... 246,155
3,810 Edison Intl .................................... 97,155
1,375 GPU, Inc ....................................... 54,828
1,105 New Century Energies Inc ....................... 44,822
3,080 Pacificorp ..................................... 55,248
300 Peoples Energy Corp. ........................... 10,181
1,400 PP & L Resources Inc ........................... 35,700
2,965 Texas Utilities ................................ 125,827
-------------
875,581
-------------
GAS (0.01%)
240 Oneok Inc. ..................................... 6,465
-------------
TELEPHONE(8.07%)
3,051 Alltell Corp. .................................. 182,679
20,935 AT&T Corp. ..................................... 1,719,287
13,280 Ameritech Corp. ................................ 868,180
18,432 Bell Atlantic Corp. ............................ 1,058,688
23,880 Bell South Corp. ............................... 1,104,450
1,370 Frontier Corp .................................. 49,234
11,550 GTE Corp ....................................... 749,306
22,344 MCIWorldcom Inc. ............................... 1,843,380
7,256 Media One Group* ............................... 395,452
23,473 SBC Comm., Inc. ................................ 1,241,135
5,130 Sprint Corp. ................................... 440,218
2,165 Sprint PCS Group ............................... 69,280
5,945 US West, Inc. .................................. 316,943
-------------
10,038,232
-------------
ENERGY (1.45%)
1,960 American Elect. Pwr. Co. ....................... 81,585
1,280 Baltimore Gas & Electric ....................... 32,800
1,310 Carolina Power & Light ......................... 52,236
1,830 Central & S/W Corp ............................. 45,407
2,240 Coastal Corp. .................................. 71,680
720 Columbia Energy Group .......................... 36,360
820 Consolidated Natural Gas ....................... 45,049
1,550 Dominion Resources ............................. 59,869
1,310 DTE Energy Co. ................................. 51,745
180 Eastern Enterprises ............................ 6,919
3,751 Enron .......................................... 243,815
1,980 Entergy Corp. New .............................. 55,935
2,920 First Energy Corp.* ............................ 85,410
2,160 FPLGroup, Inc .................................. $ 111,105
1,360 Niagara Mohawk Power* .......................... 19,890
430 Nicor .......................................... 16,421
1,840 Northern States Power .......................... 47,495
1,930 PECO Energy Co. ................................ 68,394
4,990 PG&E Corp ...................................... 157,185
2,120 Public Services Enter .......................... 80,560
3,392 Reliant Energy Inc ............................. 90,948
2,712 Sempra Energy .................................. 56,952
750 Sonat Inc. ..................................... 18,984
8,120 Southern Co. ................................... 203,508
1,870 Unicom Corp .................................... 66,502
-------------
1,806,754
-------------
MISCELLANEIOUS (0.15%)
4,864 Williams Co .................................... 179,968
-------------
Total Utilities ................................ 12,907,000
-------------
SERVICE(0.69%)
BUSINESS (0.34%)
7,100 Automatic Data Processing ...................... 282,225
1,480 Dun & Bradstreet Corp .......................... 50,690
1,200 Equifax ........................................ 45,300
900 H & R Block .................................... 40,838
-------------
419,053
-------------
CONSUMER (0.33%)
9,820 Cendant Corp ................................... 162,644
5,404 First Data ..................................... 206,703
3,000 Service Corp. Intl ............................. 46,125
-------------
415,472
-------------
ENVIRONMENTAL SERVICES (0.02%)
2,720 Laidlaw ........................................ 20,910
-------------
Total Service .................................. 855,435
-------------
TRANSPORTATION (0.83%)
AIR TRANSPORTATION (0.36%)
2,080 AMR Corp.* ..................................... 115,310
1,540 Delta Airlines ................................. 93,651
1,320 FDX Corp.* ..................................... 126,060
2,835 Southwest Airlines Co .......................... 85,404
690 US Airways Group, Inc.* ........................ 32,689
-------------
453,114
-------------
RAILROAD (0.43%)
5,535 Burlington No./Santa Fe ........................ 183,347
2,230 CSX Corp ....................................... 87,528
4,450 Norfolk Southern Co. ........................... 124,878
3,010 Union Pacific Corp. ............................ 141,094
-------------
536,847
-------------
TRUCKING (0.04%)
570 Navistar Intl.* ................................ 24,510
710 Ryder System ................................... 19,170
-------------
43,680
-------------
Total Transportation ........................... 1,033,641
-------------
13
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
MANUFACTURING (5.08%)
CONSUMER DURABLE (0.24%)
680 Eastman Chemical Co. ........................... $ 32,088
3,860 Eastman Kodak .................................. 255,484
400 Polaroid Corp. ................................. 9,550
-------------
297,122
-------------
BUILDING & HOUSING (0.04%)
500 Centex Corp. ................................... 18,406
465 Crane Co ....................................... 12,758
340 Kaufman & Broad Corp. .......................... 7,650
420 Pulte Corp ..................................... 10,106
-------------
48,920
-------------
CHEMICAL (1.51%)
2,260 Air Prods. & Chem., Inc. ....................... 72,603
2,750 Dow Chemical ................................... 270,531
13,640 Dupont De Nemours & Co. ........................ 699,903
1,120 Ecolab, Inc .................................... 44,660
550 Great Lakes Chemical ........................... 21,416
930 Hercules ....................................... 25,749
870 Millipore ...................................... 24,251
7,090 Monsanto Co. ................................... 323,038
1,320 Morton Int'l. Co. .............................. 47,685
580 Nalco Chemical ................................. 16,313
2,080 PPG Industries ................................. 108,290
1,350 Praxair, Inc. .................................. 47,166
1,920 Rohm & Haas Co. ................................ 60,000
1,500 Sherwin Williams ............................... 36,094
860 Sigma-Aldrich Corp. ............................ 22,683
1,130 Union Carbide Corp. ............................ 49,720
770 W.R. Grace & Co.* .............................. 10,347
-------------
1,880,449
-------------
DIVERSIFIED (0.14%)
2,650 Corning Corp. .................................. 141,775
300 FMC Corp ....................................... 15,356
410 National Service Inds .......................... 13,171
-------------
170,302
-------------
PAPER & FOREST PRODUCTS (0.75%)
420 Boise Cascade .................................. 13,046
830 Champion Intl .................................. 30,710
1,930 Fort James Corp ................................ 57,659
950 Georgia Pacific Co ............................. 69,588
3,679 International Paper ............................ 154,518
6,712 Kimberly Clark ................................. 317,142
940 Louisiana-Pacific Co ........................... 17,273
900 Mead Corp ...................................... 27,394
250 Potlatch Corp .................................. 8,672
480 Temple Inland .................................. 28,770
600 Union Camp Co .................................. 40,125
880 Westvaco Corp. ................................. 19,690
2,030 Weyerhaeuser Co. ............................... 113,173
960 Willamette Inds ................................ 34,980
-------------
932,740
-------------
METAL & MINERAL (0.09%)
1,982 Allegheny Teledyne, Inc ........................ 40,879
1,589 Bethlehem Steel* ............................... 14,003
760 Nucor Corp. .................................... 33,868
730 USX-US Steel ................................... 18,478
790 Worthington Inds., Inc. ........................ 10,023
-------------
117,251
-------------
CONTAINER(0.12%)
260 Ball Corp. ..................................... $ 10,888
460 Bemis Co. ...................................... 15,669
1,110 Crown Cork & Seal .............................. 30,803
1,250 Owens-Illinois, Inc.* .......................... 29,922
1,232 Sealed Air Corp ................................ 62,524
-------------
149,806
-------------
COMPUTER (1.62%)
550 Data General* .................................. 7,597
16,216 Dell Computer* ................................. 1,299,307
5,840 EMC Corp.* ..................................... 597,870
1,500 Gateway 2000, Inc.* ............................ 109,031
-------------
2,013,805
-------------
NON FERROUS METAL (0.26%)
1,960 Alcan Aluminum Ltd. ............................ 47,653
3,710 Aluminum Co. of Amer ........................... 150,255
370 Asarco, Inc. ................................... 5,226
1,250 Englehard Corp. ................................ 22,266
1,465 Inco Ltd. ...................................... 18,496
1,409 Newmont Mining Co. ............................. 24,305
570 Phelps Dodge ................................... 27,645
640 Reynolds Metals ................................ 27,360
-------------
323,206
-------------
GOLD AND PRECIOUS METAL (0.11%)
3,883 Barrick Gold Corp. ............................. 68,681
1,950 Battle Mountain Gold Co. ....................... 6,581
810 Cyprus Amax Mineral Co. ........................ 9,113
2,070 Freeport McMoran Corp.B ........................ 19,536
1,270 Homestake Mining Co. ........................... 11,668
2,080 Placer Dome, Inc ............................... 22,750
-------------
138,329
-------------
MISCELLANEOUS (0.20%)
4,380 Applied Materials, Inc.* ....................... 243,638
-------------
Total Manufacturing ............................ 6,315,568
-------------
TECHNOLOGY (18.30%)
OFFICE EQUIPMENT (0.05%)
1,130 IKON Office Soution ............................ 15,961
3,070 Novell* ........................................ 59,481
-------------
75,442
-------------
ELECTRONIC (4.03%)
410 EG&G ........................................... 10,865
680 Harris Corp .................................... 21,165
12,338 Hewlett-Packard Co. ............................ 819,706
21,100 Intel Corp. .................................... 2,530,681
900 KLA-Tencor Corp.* .............................. 46,631
7,150 Motorola, Inc .................................. 502,288
1,600 National Semiconductor* ........................ 16,800
7,830 Northern Telecom ............................... 454,629
380 Perkin-Elmer Corp. ............................. 36,005
2,800 Solectron Corp ................................. 125,125
675 Tektronix, Inc ................................. 13,163
4,680 Texas Instruments .............................. 417,398
600 Thomas & Betts Co. ............................. 25,013
-------------
5,019,469
-------------
BIO-TECHNOLOGY (1.92%)
2,660 Amgen* ......................................... 394,605
19,375 Cisco Systems Inc. ............................. 1,895,117
2,400 Seagate Technology Inc. ........................ 69,450
14
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
1,502 Silicon Graphics Inc. .......................... $ 23,938
-------------
2,383,110
-------------
SOFTWARE (4.08%)
606 Adobe Systems, Inc ............................. 24,392
2,600 BMC Software, Inc. ............................. 106,275
2,145 Compuware Corp ................................. 119,986
5,200 EDS Corp ....................................... 241,800
29,990 Microsoft Corp ................................. 4,502,249
2,400 Parametric Tech Co.* ........................... 36,900
2,300 Peoplesoft Inc. ................................ 43,413
-------------
5,075,015
-------------
BUSINESS-MACHINES & SOFTWARE (4.31%)
10,476 America Online Inc. ............................ 931,709
1,080 Apple Computer, Inc.* .......................... 37,598
19,863 CompaqComputers ................................ 700,171
1,190 General Inst. Corp.* ........................... 34,808
10,925 IBM ............................................ 1,857,250
11,900 Oracle Systems* ................................ 664,913
3,260 Pitney Bowes Systems ........................... 205,991
4,370 Sun Microsystems* .............................. 425,256
2,610 Unisys Corp.* .................................. 77,811
7,740 Xerox Corp. .................................... 427,151
-------------
5,362,658
-------------
BUSINESS SERVICE (0.01%)
200 Shared Medical Systems ......................... 10,200
-------------
SEMI CONDUCTOR (0.16%)
1,170 Advanced Micro Devices* ........................ 20,914
1,320 LSI Logic Corp.* ............................... 34,238
2,490 Micron Technology, Inc.* ....................... 143,486
-------------
198,638
-------------
TELECOMMUNICATIONS (2.21%)
6,970 Airtouch Comms* ................................ 634,706
780 Andrew Corp .................................... 11,798
2,450 Ascend Comms* .................................. 188,497
1,320 Cabletron Systems* ............................. 10,725
15,920 Lucent Technologies ............................ 1,616,875
2,614 Nextel Comms* .................................. 78,583
670 Scientific-Atlanta, Inc. ....................... 21,733
2,240 Tellabs, Inc.* ................................. 179,340
-------------
2,742,257
-------------
AEROSPACE AIRCRAFT (1.10%)
6,800 Allied Signal, Inc. ............................ 281,350
11,933 Boeing ......................................... 424,367
1,100 General Dynamics Corp. ......................... 66,481
2,120 Rockwell Intl. Corp. ........................... 94,208
1,980 Textron, Inc. .................................. 154,440
2,770 United Technologies Corp. ...................... 343,134
-------------
1,363,980
-------------
TELECOM EQUIPMENT (0.33%)
4,632 Lockheed Martin Corp. .......................... 174,569
600 Northrop Grumman Corp. ......................... 37,388
3,600 Raytheon-Class B ............................... 192,375
-------------
404,332
-------------
MISCELLANEOUS (0.10%)
4,030 3Com Corp.* .................................... 126,693
-------------
Total Technology ............................... 22,761,794
-------------
ENERGY (4.92%)
OIL & GAS - DOMESTIC (0.50%)
880 Amerada Hess Corp. ............................. $ 39,930
1,000 Anadarko Petroleum Corp. ....................... 27,500
740 Apache Corp .................................... 14,754
650 Ashland, Inc ................................... 28,925
3,800 Atlantic Richfield ............................. 207,575
1,547 Burlington Resources, Inc. ..................... 50,084
440 Helmerich & Payne .............................. 7,178
430 Kerr McGee Co. ................................. 12,282
910 Oryx Energy * .................................. 9,441
3,200 Phillips Petroleum Co. ......................... 123,800
910 Sunoco Inc ..................................... 27,698
2,550 Unocal Corp. ................................... 71,878
-------------
621,045
-------------
OIL & GAS INTERNATIONAL (3.82%)
7,860 Chevron Corp. .................................. 604,238
28,380 Exxon Corp. .................................... 1,889,044
9,550 Mobil Corp. .................................... 794,441
24,770 Royal Dutch Pet.-ADR ........................... 1,086,784
6,868 Texaco ......................................... 319,791
2,990 USX-Marathon ................................... 61,856
-------------
4,756,154
-------------
OIL & GAS SERVICE (0.27%)
700 Rowan Co.,Inc.* ................................ 6,038
6,310 Schlumberger ................................... 306,429
2,164 Union Pac. Resources Grp ....................... 19,341
-------------
331,808
-------------
NATURAL GAS (0.07%)
3,200 RJR Nabisco Corp. .............................. 87,400
-------------
ENERGY RAW MATERIAL (0.26%)
1,786 AES Corp ....................................... 66,417
2,812 Baker Hughes, Inc .............................. 50,616
5,048 Halliburton Co ................................. 142,606
480 McDermott Intl ................................. 9,570
3,230 Occidental Petroleum ........................... 48,610
-------------
317,819
-------------
Total Energy ................................... 6,114,226
-------------
Total Common Stocks
(Cost$70,354,205) .......................................... 117,411,835
-------------
15
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
PAR
VALUE VALUE
----- -----
SHORT-TERM INVESTMENTS (5.49%)
UNITED STATES TREASURY BILLS
$ 4,500,000 4.330% 03/18/99 (b) ............................ $ 4,490,777
315,292 FIRSTAR GOVERNMENT MONEY MARKET FUND ........... 315,292
2,016,213 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ........ 2,016,213
-------------
Total Short-Term Investments (Cost $6,822,282) . 6,822,282
-------------
Total Investments (Cost $77,176,487) (99.91%) .. 124,234,117
Other Net Assets (0.09%) ....................... 116,033
-------------
Net Assets (100.00%) ........................ $ 124,350,150
=============
*Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $77,176,487. At February
28, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 49,800,636
Unrealized depreciation ........................ (2,743,006)
-------------
Net unrealized appreciation ................. $ 47,057,630
=============
(b) At February 28, 1999, certain United States Treasury Bills with a market
value of $1,197,108 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1999 (Contracts - $250 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
S&P 500 Stock Index:
22/March 99/Long ............................ $ (28,023)
=============
See accompanying notes to financial statements
16
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
Shares Value
------ -----
COMMON STOCKS (97.75%)
CAPITAL GOODS (6.20%)
PRODUCTION (0.13%)
1,300 Tecumseh Prod. Co. Cl. A ....................... $ 64,025
-------------
MACHINERY-AGRICULT & CONSTRUCTION (0.05%)
3,929 AGCO Corp ...................................... 25,784
-------------
MACHINERY-INDUSTRIAL (1.19%)
1,636 Albany Intl. Corp. Cl A ........................ 32,107
1,500 Borg-Warner Automotive ......................... 65,344
2,636 Flowserve Corp ................................. 43,659
2,000 Modine Manufacturing Co. ....................... 56,000
2,200 Stewart & Stevenson Svcs ....................... 18,425
5,647 Watson Pharm., Inc.* ........................... 272,821
1,600 Watts Industry ................................. 22,300
2,700 York Intl. Corp. New Com ....................... 97,875
-------------
608,531
-------------
POLLUTION CONTROL (1.03%)
11,000 Allied Waste Ind. Inc. ......................... 214,500
2,100 Calgon Carbon Corp ............................. 12,469
3,400 Donaldson Co. Inc. ............................. 61,413
9,760 U.S. Filter Corp.* ............................. 239,730
-------------
528,112
-------------
ENGINEERING & CONSTRUCTION (0.70%)
1,700 Jacobs Engineering Group* ...................... 67,256
1,800 Structural Dyn. Research* ...................... 35,100
1,897 Vulcan Materials Co. ........................... 255,621
-------------
357,977
-------------
ELECTRICAL EQUIPMENT (2.26%)
2,100 Ametek, Inc. ................................... 35,569
4,300 Cirrus Logic, Inc.* ............................ 34,938
4,430 Hubbell, Inc. Cl. B ............................ 165,018
4,600 Integrated Device Tech.* ....................... 29,613
2,850 IPALCO ......................................... 136,622
4,215 Mark IVIndustries, Inc. ........................ 63,488
9,890 Molex, Inc. .................................... 264,558
5,500 Teradyne, Inc.* ................................ 261,938
2,900 UCAR Intl.* .................................... 46,038
2,000 Varian Assoc ................................... 64,000
4,460 Vishay Intertech., Inc.* ....................... 57,701
-------------
1,159,483
-------------
TRANSPORTATION EQUIPMENT (0.57%)
2,700 Federal Signal ................................. 63,281
1,850 SPX Corp ....................................... 105,681
2,500 Trinity Industries ............................. 82,344
3,200 WI Central Transport* .......................... 44,000
-------------
295,306
-------------
CONGLOMERATE (0.27%)
2,040 N.N. Shipbuilding .............................. 59,033
2,000 Rayonier, Inc .................................. 81,875
-------------
140,908
-------------
Total Capital Goods ............................ 3,180,126
-------------
CONSUMER CYCLICAL (7.24%)
HOUSING (0.22%)
9,701 Clayton Homes, Inc. ............................ 120,050
-------------
BUILDING MATERIAL (0.48%)
2,200 BJ'S Wholesale Club* ........................... $ 95,838
2,900 Martin Marietta Materials ...................... 148,806
-------------
244,644
-------------
AUTO & TRUCK (0.16%)
2,300 Teleflex, Inc. ................................. 81,794
-------------
AUTO PARTS (0.46%)
1,200 Arvin Inds., Inc ............................... 43,500
4,100 Lear Corp.* .................................... 144,781
2,000 Superior Industries ............................ 49,500
-------------
237,781
-------------
TIRE & RUBBER (0.25%)
1,400 Bandag Inc ..................................... 44,363
2,000 Carlisle Cos., Inc ............................. 82,750
-------------
127,113
-------------
HOUSEHOLD PRODUCTS (0.17%)
1,000 Enesco Group, Inc. ............................. 16,563
3,200 Furniture Brands Intl. Inc ..................... 68,400
-------------
84,963
-------------
TEXTILE & APPAREL (0.80%)
3,400 Burlington Inds., Inc.* ........................ 21,038
7,800 Shaw Industries, Inc. .......................... 171,113
3,900 UNIFI, Inc. .................................... 47,044
3,500 Warnaco Group CL-A ............................. 78,750
3,700 Westpoint Stevens, Inc.* ....................... 94,350
-------------
412,295
-------------
SHOES (0.10%)
2,400 Nine West Group, Inc.* ......................... 53,850
-------------
RETAIL-GENERAL (4.24%)
3,400 Abercrombie & Fitch ............................ 258,400
4,300 Barnes & Noble, Inc.* .......................... 127,119
8,340 Bed Bath & Beyond* ............................. 245,509
6,225 Best Buy Co., Inc.* ............................ 577,369
4,600 Callaway Golf Co ............................... 50,025
3,250 Claire's Stores, Inc ........................... 71,703
5,913 CompUSA* ....................................... 62,087
3,700 Dollar Tree Stores Inc ......................... 148,000
11,300 Family Dollar Stores ........................... 226,000
2,500 Fastenal Co. ................................... 95,000
3,000 Heilig-Myers Co ................................ 19,500
2,300 Micro Warehouse, Inc.* ......................... 45,425
2,234 Payless Shoesource* ............................ 122,591
2,240 Tiffany & Co ................................... 128,100
-------------
2,176,828
-------------
LODGING (0.36%)
5,197 Promus Hotel Corp.* ............................ 182,869
-------------
Total Consumer Cyclical ........................ 3,722,187
-------------
CONSUMER NON-DURABLE (20.56%)
HEALTHCARE (1.39%)
3,300 Appria Healthcare Group* ....................... 29,494
6,900 Beverly Enterprises, Inc.* ..................... 35,794
3,700 Covance, Inc.* ................................. 101,981
3,100 Dentsply Intl., Inc ............................ 79,050
17
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
8,000 Mylan Laboratories ............................. $ 218,500
2,836 PC Health System*Cl.B .......................... 204,901
4,700 Quorum HG, Inc.* ............................... 43,475
-------------
713,195
-------------
CONSUMER PRODUCTS (0.32%)
3,633 A.C. Nielson Corp.* ............................ 94,458
2,631 Lancaster Colony Corp. ......................... 72,353
-------------
166,811
-------------
FOOD BEVERAGE & TOBACCO (3.28%)
2,200 Bob Evans Farms ................................ 47,438
2,300 Dean Foods Co. ................................. 83,806
4,000 Dole Food Co. .................................. 126,000
1,600 Dreyer Grand Ice Cream ......................... 19,900
6,175 Flowers Inds., Inc. ............................ 150,516
4,900 Hormel Foods Corp .............................. 176,400
1,100 Int'l. Multifoods, Inc ......................... 23,788
4,822 Interstate Bakeries Corp. ...................... 115,728
1,700 Lance, Inc ..................................... 28,050
4,660 McCormick & Co. ................................ 133,393
1,600 Smucker (J.M.)Co. Cl. A ........................ 38,000
5,500 Starbucks Corp.* ............................... 290,813
14,050 Tyson Foods, Inc. Cl. A ........................ 288,025
2,300 Universal Corp. ................................ 62,531
2,900 Universal Foods Corp. .......................... 65,794
2,862 Vlasic Foods Int'l., Inc. ...................... 34,881
-------------
1,685,063
-------------
RETAIL-FOOD & DRUGS (0.45%)
5,000 General Nutrition Co.* ......................... 66,875
2,554 Hannaford Brothers Co .......................... 120,038
2,400 Ruddick Corp. .................................. 44,250
-------------
231,163
-------------
COMMUNICATIONS & MEDIA (1.14%)
8,000 Belo (A.H.)Corp. Sr. A ......................... 145,000
1,400 Information Resources* ......................... 11,725
2,700 TCA Cable TV, Inc. ............................. 119,138
567 Washington Post, Class B ....................... 311,779
-------------
587,642
-------------
ENTERTAINMENT & LEISURE (0.74%)
2,097 Chris Craft Industries* ........................ 88,860
6,300 Circus Circus Ent., Inc.* ...................... 107,888
2,778 Gtech Holdings Corp.* .......................... 62,852
3,786 Premark Intl ................................... 120,915
-------------
380,515
-------------
APPAREL (1.32%)
6,200 Jones Apparel Group* ........................... 173,213
1,800 Lands End * .................................... 54,563
2,988 Ross Store, Inc. ............................... 136,701
8,766 Saks Holding, Inc.* ............................ 315,028
-------------
679,505
-------------
DRUGS (1.93%)
1,900 Agouron Pharm. Inc ............................. 108,419
5,824 Bergen Brusswig CL A ........................... 142,324
2,400 Carter-Wallace Inc ............................. 39,300
5,300 Forest Labs CLA* ............................... 262,019
4,555 ICN Pharmeceuticals ............................ 99,641
7,800 IVAX Corp.* .................................... 115,050
1,800 Sepracor Inc. .................................. 224,550
-------------
991,303
-------------
HOSPITAL SUPPLY & SERVICE (0.97%)
1,500 Acuson Corp.* .................................. $ 22,500
5,250 Omnicare, Inc. ................................. 125,672
4,323 PSS World Medical, Inc.* ....................... 49,197
6,400 Stryker Corp. .................................. 302,400
-------------
499,769
-------------
COSMETICS & SOAP (0.09%)
1,100 Church and Dwight .............................. 45,925
-------------
PRINTING & PUBLISHING (0.60%)
2,000 Banta Corp. .................................... 42,625
2,600 Glatfelter (P.H.) Co. .......................... 27,788
1,600 Houghton Mifflin Co ............................ 68,800
2,800 Lee Enterprises ................................ 77,350
1,800 Media General, Inc. Cl. A ...................... 90,000
-------------
306,563
-------------
RESTAURANT (0.77%)
4,110 Brinker International* ......................... 118,933
1,800 Buffets, Inc.* ................................. 18,113
4,000 CBRL Group Inc. ................................ 75,000
2,600 Lone Star Steakhouse* .......................... 23,563
3,000 Outback Steakhouse, Inc.* ...................... 131,625
1,050 Sbarro, Inc. ................................... 26,513
-------------
393,747
-------------
BUSINESS SERVICE (3.55%)
6,400 Cintas Group ................................... 452,800
9,200 Comdisco ....................................... 110,400
7,200 Concord EFS Inc ................................ 229,950
6,100 Dial Corp ...................................... 178,044
6,800 Modis Prof. Services ........................... 93,075
3,500 Noble Affiliates ............................... 79,188
2,700 Pittston Brink's Group ......................... 66,150
4,000 Snyder Comms. Inc .............................. 137,000
6,328 Sungard D.S., Inc.* ............................ 250,747
6,000 Viad Corp ...................................... 158,625
3,000 Wallace Comp. Services ......................... 67,875
-------------
1,823,854
-------------
OFFICE PRODUCTS (1.68%)
3,400 Hon Inds ....................................... 80,750
5,600 Miller (Herman), Inc. .......................... 95,200
15,378 Office Depot* .................................. 548,802
8,000 Office Max, Inc.* .............................. 62,000
1,600 Standard Register Co ........................... 46,300
4,181 Unisource Worldwide, Inc. ...................... 29,267
-------------
862,319
-------------
HEALTHCARE SERVICES (2.25%)
3,423 Cardinal Health, Inc. .......................... 247,098
2,857 Concentra Managed Care* ........................ 30,356
4,000 First Health Group Corp.* ...................... 64,000
7,900 Foundation H.S.-A* ............................. 63,200
15,550 Health Mgmt. Assoc. Cl.A.* ..................... 201,178
3,598 Lincare Holdings Inc.* ......................... 128,179
4,114 Steris Corp.* .................................. 135,248
5,930 Sybron Intl. Corp.* ............................ 145,656
4,943 Total Renal Care Hlds* ......................... 43,869
2,800 Trigon Healthcare Inc. ......................... 98,175
-------------
1,156,959
-------------
18
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
HEALTH & BEAUTY AIDS (0.08%)
5,000 Perrigo Co.* ................................... $ 41,875
-------------
Total Consumer Non-Durable ..................... 10,566,208
-------------
BANKING & FINANCIAL SERVICES (14.81%)
BANK & BANK HOLDING COS. (6.61%)
2,460 CCB Financial Corp ............................. 127,766
2,984 City National Corp ............................. 96,234
11,387 First Security Corp. Del ....................... 211,371
8,100 First Tennesse Ntl., Corp. ..................... 308,306
3,400 First Virginia Banks, Inc ...................... 162,138
9,600 Hibernia Bank .................................. 155,400
3,200 Keystone Financial Inc ......................... 115,600
6,380 Marshall and Isley Corp ........................ 357,280
4,300 Mercantile Bankshares Corp. .................... 156,681
8,650 North Fork Bancorp ............................. 190,300
6,440 Old Kent Financial Corp. ....................... 282,555
5,400 Pacific Century Financial ...................... 118,463
5,228 Pinnacle West .................................. 188,862
2,737 Provident Financial Group ...................... 106,743
10,050 Southtrust Corp. ............................... 402,628
2,300 Wilmington Trust Corp. ......................... 130,381
4,425 Zions Bancorporation ........................... 283,200
-------------
3,393,908
-------------
SAVINGS & LOAN (2.29%)
3,933 Associated Banc Corp. .......................... 122,169
3,500 Astoria Financial Corp ......................... 158,594
10,637 Charter One Fin., Inc .......................... 306,479
6,893 Dime Bancorp Inc ............................... 170,602
5,800 Greenpoint Fin. Corp ........................... 177,988
8,542 Sovereign Bancorp, Inc ......................... 104,640
5,689 TCF Financial Corp. ............................ 136,892
-------------
1,177,364
-------------
INSURANCE (4.43%)
16,824 AFLAC Corp. .................................... 742,359
4,500 AMBAC Financial Group .......................... 252,000
4,000 American Fin. Group, Inc. ...................... 147,750
3,100 Everest Re Holdings ............................ 102,881
3,300 Finova Group, Inc .............................. 167,681
2,600 Horace Mann Educators .......................... 60,938
2,050 HSB Group, Inc ................................. 75,850
8,100 Old Republic ................................... 152,381
5,000 Oxford Health Plans* ........................... 94,688
3,877 Protective Life Corp. .......................... 133,757
5,600 Reliastar Financial Corp. ...................... 254,100
2,100 The PMI Group, Inc ............................. 90,563
-------------
2,274,948
-------------
FINANCIAL SERVICES (1.48%)
6,287 AG Edwards ..................................... 204,720
8,794 Paine Webber ................................... 328,676
7,438 T. Rowe Price .................................. 229,183
-------------
762,579
-------------
Total Banking & Financial Services ............. 7,608,799
-------------
UTILITY (11.54%)
ELECTRIC (8.16%)
8,000 Allegheny Power System ......................... $ 237,500
1,200 Black Hills Corp. .............................. 27,000
3,740 Calenergy, Inc.* ............................... 104,954
1,200 Cleco Corporation .............................. 35,250
1,700 CMP Group Inc .................................. 28,688
6,200 CMS Energy Corp ................................ 256,525
5,900 Connectiv, Inc.* ............................... 125,006
9,800 DPL Inc ........................................ 174,563
4,110 Energy East Corporation ........................ 220,399
5,688 Florida Progress Corp. ......................... 228,231
1,700 Hawaiian Electric Inds ......................... 59,288
2,200 Idacorp Inc. ................................... 68,338
5,000 Illinova Corp .................................. 118,750
4,636 Interstate Energy Corp. ........................ 127,780
4,100 Kansas City Power & Light ...................... 104,550
8,100 LG&E Energy Corp. .............................. 184,781
5,688 Midamerican Energy Co. ......................... 153,576
1,900 Minnesota Power & Light ........................ 76,356
3,200 Montana Power Co ............................... 194,800
2,800 Nevada Power Co. ............................... 67,025
4,200 New England Electric Sys ....................... 204,488
7,184 Nipsco Industries .............................. 186,335
8,400 Northeast Utilities* ........................... 125,475
5,300 OGE Energy Corp. ............................... 126,538
6,933 Potomac Electric Power Co ...................... 168,992
2,300 Public Ser. Co. N.Mexico ....................... 35,363
5,327 Puget Sound Power & Light ...................... 128,514
6,249 SCANA Corp. .................................... 146,852
8,000 Teco Energy, Inc ............................... 173,000
3,400 Utilicorp United, Inc. ......................... 116,875
7,400 Wisc. Energy Corp. ............................. 189,163
-------------
4,194,955
-------------
GAS (1.18%)
3,300 AGL Resources .................................. 62,906
1,600 Indiana Energy, Inc. ........................... 32,000
9,800 Keyspan Energy Corp ............................ 259,700
4,900 MCN Energy Group, Inc. ......................... 87,281
8,410 Noble Drilling Corp.* .......................... 104,074
2,500 Washington Gas Light Co. ....................... 59,844
-------------
605,805
-------------
TELEPHONE (2.07%)
2,200 Aliant Comms ................................... 87,725
5,850 Century Telephone Entps ........................ 361,238
8,000 Cincinnati Bell ................................ 158,000
6,375 NCR Corp.* ..................................... 260,977
3,900 Telephone & Data ............................... 195,975
-------------
1,063,915
-------------
MISCELLANEOUS (0.13%)
2,400 Vanguard Cell. Sys. Cl.A* ...................... 66,900
-------------
Total Utility .................................. 5,931,575
-------------
SERVICE (3.46%)
DISTRIBUTOR (0.60%)
2,700 Alexander & Baldwin, Inc. ...................... 53,325
5,100 American W.W., Inc. ............................ 154,275
19
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
900 Scholastic Corp.* .............................. $ 44,325
3,269 Tech Data Corp. * .............................. 55,573
-------------
307,498
-------------
BUSINESS (1.49%)
8,200 Convergys Corp ................................. 141,963
4,700 Fiserv, Inc.* .................................. 220,900
2,200 Kelly Services, Inc. Cl. A ..................... 56,100
5,400 ManPower, Inc. ................................. 129,263
4,750 Olsten Corp .................................... 29,391
5,208 Robert Half Intl.* ............................. 187,488
-------------
765,105
-------------
CONSUMER (0.65%)
4,415 Nova Corp/Georgia .............................. 110,375
2,300 Rollins, Inc ................................... 36,944
3,800 Sotheby's ...................................... 106,400
5,500 Stewart Enterprises, Inc. ...................... 82,500
-------------
336,219
-------------
MISCELLANEOUS (0.72%)
5,700 Apollo Group Inc. .............................. 171,356
4,600 Quintiles Transnational, Inc.* ................. 198,375
-------------
369,731
-------------
Total Service .................................. 1,778,553
-------------
TRANSPORTATION (3.46%)
AIR TRANSPORTATION (0.48%)
2,600 Airbourne Freight Corp. ........................ 101,400
1,700 Alaska Airgroup, Inc.* ......................... 86,169
1,800 ASA Holdings, Inc .............................. 60,413
-------------
247,982
-------------
RAILROAD (1.22%)
3,100 Gatx Corp. ..................................... 107,144
6,800 Kansas City Southern Inds ...................... 317,900
3,300 Ogden Corp ..................................... 80,644
6,410 Whitman Corp ................................... 121,790
-------------
627,478
-------------
TRUCKING (0.38%)
1,400 Arnold Inds., Inc. ............................. 21,350
2,700 Consolidated Freightways ....................... 114,075
2,500 Hunt (J.B.)* ................................... 58,750
-------------
194,175
-------------
MISCELLANEOUS (1.38%)
9,600 Harley Davidson ................................ 555,000
1,900 Overseas Shipholding Grp ....................... 23,156
2,812 U.S. Foodservice, Inc.* ........................ 130,582
-------------
708,738
-------------
Total Transportation ........................... 1,778,373
-------------
MANUFACTURING (9.27%)
CONSUMER DURABLE (0.64%)
12,000 Leggett & Platt ................................ 251,250
2,200 Suiza Foods Corp ............................... 81,400
-------------
332,650
-------------
BUILDING & HOUSING (0.21%)
2,374 Southdown, Inc. ................................ 112,023
-------------
CHEMICAL (2.54%)
4,100 Airgas, Inc.* .................................. $ 36,900
3,600 Albemarle Corp ................................. 85,050
1,600 Arch Chemicals Inc ............................. 30,400
4,300 Cabot Corp ..................................... 108,306
4,267 Crompton & Knowles Corp. ....................... 78,940
2,900 Cytec Inds.* ................................... 77,756
1,300 Dexter Corp .................................... 36,075
5,200 Ethyl Corp. .................................... 25,350
2,300 Ferro Corp. .............................. 49,163
800 Fuller (H.B.) Corp. ............................ 33,900
2,400 Georgia Gulf Corp. ............................. 36,300
7,000 IMC Global, Inc. ............................... 139,563
6,200 Iowa Beef Processing ........................... 139,500
2,200 Lawter Intl .................................... 15,675
3,600 Lubrizol Corp. ................................. 68,625
5,200 Lyondell Petrochemical ......................... 69,550
500 NCHCorp ........................................ 25,250
5,718 RPM, Inc. Ohio ................................. 78,980
2,400 Schulman (A.), Inc. ............................ 39,600
7,318 Solutia, Inc. .................................. 130,352
-------------
1,305,235
-------------
DIVERSIFIED (0.32%)
1,000 Nordson Corp. .................................. 59,500
3,200 Olin Corp ...................................... 40,600
3,800 Witco Corp. .................................... 64,363
-------------
164,463
-------------
CAPITAL GOOD (0.27%)
3,200 Harsco Corp .................................... 89,800
1,600 Kennametal, Inc ................................ 33,300
1,400 Magnetek, Inc.* ................................ 15,225
-------------
138,325
-------------
PAPER & FOREST PRODUCT (1.21%)
3,600 Bowater, Inc ................................... 151,650
1,300 Chesapeake Corp. ............................... 40,950
6,000 Consolidated Papers ............................ 133,500
5,550 Georgia Pacific Co Timber* ..................... 113,081
3,400 Longview Fibre Co .............................. 38,463
2,200 Pentair, Inc. .................................. 83,325
3,742 Wausau Paper Mills Co. ......................... 59,404
-------------
620,373
-------------
METAL & MINERALS (0.52%)
3,400 AK Steel Holding Corp. ......................... 74,163
1,200 Carpenter Technology ........................... 31,125
3,175 Hanna (M.A.)Co ................................. 34,925
1,258 Inland Steel Inds .............................. 22,959
400 Maxxam, Inc.* .................................. 23,400
1,500 Minerals Technology, Inc. ...................... 64,406
1,600 Oregon Steel Mills, Inc. ....................... 15,300
-------------
266,278
-------------
CONTAINER (0.37%)
600 Cleveland Cliffs Corp. ......................... 22,238
6,762 Sonoco Products, Inc. .......................... 165,669
-------------
187,907
-------------
COMPUTER (1.83%)
2,600 Citrix Systems Inc ............................. 200,525
2,706 Comverse Technology* ........................... 194,156
20
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
2,400 Legato Systems Inc ............................. $ 118,200
10,530 Quantum Corp.* ................................. 173,087
2,600 Sequent Comp. Sys.* ............................ 24,781
6,548 Storage Tech. Corp.* ........................... 227,952
-------------
938,701
-------------
NON-FERROUS METAL (0.33%)
3,400 Federal Mogul Corp ............................. 167,238
-------------
MISCELLANEOUS (1.03%)
4,400 American Standard Co.* ......................... 147,675
4,060 Hillenbrand Industries ......................... 170,013
7,170 International Game Tech ........................ 136,230
1,800 Kaydon Corp. ................................... 54,900
2,200 Wellman, Inc ................................... 20,488
-------------
529,306
-------------
Total Manufacturing ............................ 4,762,499
-------------
TECHNOLOGY (17.51%)
OFFICE EQUIPMENT (1.09%)
4,500 Diebold ........................................ 131,344
4,117 Lexmark Intl. Grp. CL A* ....................... 424,823
-------------
556,167
-------------
ELECTRONIC (1.53%)
5,574 Arrow Electronics, Inc.* ....................... 79,081
2,260 Avnet, Inc ..................................... 89,694
6,200 Fore Systems Inc ............................... 89,900
3,000 Litton Inds.* .................................. 168,375
3,854 SCI Systems Inc.* .............................. 119,233
4,900 Sensormatic Elect. Corp.* ...................... 51,450
3,500 Symbol Technologies, Inc. ...................... 185,500
-------------
783,233
-------------
BIOTECHNOLOGY (2.30%)
1,900 Beckman Coulter, Inc. .......................... 91,794
4,800 Biogen, Inc.* .................................. 461,400
4,500 Centocor, Inc.* ................................ 187,031
11,212 Chiron Corp.* .................................. 236,153
4,500 Genzyme Corp.* ................................. 202,500
-------------
1,178,878
-------------
SOFTWARE (3.46%)
14,340 Cadence Design Sys., Inc.* ..................... 345,056
3,700 Cambridge Tech Partners ........................ 92,963
3,600 Electronic Arts* ............................... 143,550
10,100 Informix Corp.* ................................ 88,375
3,700 Intuit Inc. .................................... 366,069
5,450 Platinum Technology* ........................... 72,213
5,400 R&R Cl. A ...................................... 101,925
5,500 Siebel Systems Inc. ............................ 242,000
5,666 Sterling Commerce, Inc.* ....................... 147,316
4,934 Sterling Software, Inc.* ....................... 125,817
3,000 Symantec Corp.* ................................ 54,188
-------------
1,779,472
-------------
BUSINESS-MECHANICS & SOFTWARE (1.69%)
4,800 Borders Group* ................................. 66,300
1,525 Granite Construction, Inc ...................... 37,458
2,600 Imation Corp.* ................................. 40,300
7,981 Network Associates, Inc ........................ 375,107
5,300 Rational Software Corp ......................... 157,344
4,109 Synopsys, Inc.* ................................ 190,041
-------------
866,550
-------------
BUSINESS-SERVICE (0.16%)
2,300 Policy Mgmt. Sys. Corp.* ....................... $ 84,094
-------------
SEMICONDUCTOR (3.25%)
6,450 Altera Corp.* .................................. 313,631
6,400 Atmel Corp.* ................................... 110,000
4,900 Cypress Semiconductor* ......................... 46,856
9,800 Linear Technology Corp. ........................ 429,363
8,100 Maxim Integrated Prod.* ........................ 337,669
3,673 Microchip Tech* ................................ 100,089
4,800 Xilinx, Inc.* .................................. 334,800
-------------
1,672,408
-------------
TELECOMMUNICATIONS (1.38%)
7,520 ADCTelecom., Inc.* ............................. 304,560
3,200 Comsat Corp .................................... 93,600
4,280 Qualcom* ....................................... 312,440
-------------
710,600
-------------
AEROSPACE AIRCRAFT (1.06%)
4,500 Gulfstream Aerospace Corp ...................... 201,375
4,306 Meritor Automative, Inc.* ...................... 68,358
1,550 Precision Castparts ............................ 57,544
3,249 Sunstrand Corp. ................................ 219,917
-------------
547,194
-------------
TELECOM EQUIPMENT (0.29%)
2,100 Cordant Tech., Inc ............................. 81,769
2,600 Gencorp, Inc. .................................. 52,163
1,400 OEA, Inc ....................................... 15,575
-------------
149,507
-------------
MISCELLANEOUS (1.30%)
6,100 Amer. Pwr. Conv. Corp.* ........................ 218,838
10,333 Analog Devices* ................................ 258,971
4,270 Keane, Inc.* ................................... 132,103
4,200 Mentor Graphics* ............................... 58,800
-------------
668,712
-------------
Total Technology ............................... 8,996,815
-------------
ENERGY (3.70%)
OIL & GAS-DOMESTIC (1.93%)
7,422 El Paso Natural Gas ............................ 270,439
3,000 Murphy Oil Corp. ............................... 102,563
2,200 National Fuel Gas Co. .......................... 88,688
6,319 Ocean Energy, Inc.* ............................ 26,856
3,394 Pennzoil-Quaker State Co. ...................... 42,213
6,200 Pioneer Nat. Resources* ........................ 32,163
5,500 Questar ........................................ 98,313
4,000 Seagull Energy Corp.* .......................... 19,000
9,800 Tosco Corp. .................................... 202,738
5,500 Ultramar D. Shamrock ........................... 108,625
-------------
991,598
-------------
OIL & GAS-INTERNATIONAL (0.06%)
4,800 Parker Drilling Co.* ........................... 12,000
6,900 Ranger Oil Ltd.* ............................... 19,406
-------------
31,406
-------------
OIL & GAS SERVICE (1.38%)
4,800 BJServices* .................................... 67,500
9,000 Ensco Intl., Inc ............................... 79,875
11,100 Global Marine, Inc.* ........................... 86,025
5,800 Nabors Industries* ............................. 66,700
2,700 Smith International, Inc.* ..................... 65,644
21
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
3,900 Tidewater, Inc ................................. $ 73,369
6,500 Transocean Offshore, Inc. ...................... 134,063
4,100 Varco Intl., Inc.* ............................. 31,775
6,056 Weatherford Intl ............................... 102,910
-------------
707,861
-------------
NATURAL GAS (0.17%)
4,246 K N Energy, Inc ................................ 88,901
-------------
MISCELLANEOUS (0.16%)
500 Sequa Corp.* ................................... 23,531
3,400 Valero Energy Corp. ............................ 59,713
-------------
83,244
-------------
Total Energy ................................... $ 1,903,010
-------------
Total Common Stock
(cost $44,319,582) ......................................... 50,228,145
-------------
PAR
VALUE
SHORT-TERM INVESTMENTS (2.19%)
UNITED STATES TREASURY BILLS
$ 950,000 4.330% 03/18/99 (b) ............................ 948,048
171,855 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ........ 171,855
5,083 FIRSTAR GOVERNMENT MONEY MARKET FUND ........... 5,083
-------------
Total Short-Term Investments (Cost $1,124,986) . 1,124,986
-------------
Total Investments (Cost $45,444,568) (99.94%) .. 51,353,131
Other Net Assets (0.06%) ....................... 29,113
-------------
Net Assets (100.00%) ........................... $ 51,382,244
=============
*Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $45,444,568. At February
28, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ 12,589,886
Unrealized depreciation ........................ (6,681,323)
-------------
Net unrealized appreciation ................. $ 5,908,563
=============
(b) At February 28, 1999, certain United States Treasury Bills with a market
value of $748,193 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1999: (Contracts-$500 times
premium/delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
S&P MidCap 400 Index:
5/March 99/Long ............................................ $ (83,495)
=============
See accompanying notes to financial statements
22
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
Shares Value
------ -----
COMMON STOCK (94.98%)
CAPITAL GOODS (4.34%)
PRODUCTION (0.29%)
490 Gardner Denver, Inc. ........................... $ 6,248
548 Graco, Inc ..................................... 11,919
340 Republic Group ................................. 5,164
-------------
23,331
-------------
MACHINERY - AGRICULT & CONST (0.24%)
470 Astec Industries Inc ........................... 12,925
469 Lindsay Manufacturing Co. ...................... 7,445
-------------
20,370
-------------
MACHINERY-INDUSTRIAL (0.85%)
623 Applied Industrial Tech ........................ 7,943
7 BMC Industries, Inc ............................ 34
1,000 JLG Industries, Inc ............................ 14,063
500 Lawson Products ................................ 10,531
1,275 PAXAR Corp.* ................................... 10,838
356 Robbins & Myers ................................ 5,874
444 Technitrol ..................................... 10,323
1,076 Vicor Corp.* ................................... 11,971
-------------
71,577
-------------
POLLUTION CONTROL (0.12%)
372 Ionics, Inc.* .................................. 10,370
-------------
ENGINEERING & CONSTRUCTION (0.90%)
525 CDI Corp.* ..................................... 11,878
538 Lone Star Industries ........................... 17,754
438 Manitowoc Company, Inc. ........................ 16,151
1,303 Morrison Knudson Corp.* ........................ 12,623
600 Polaris Industries, Inc ........................ 16,950
-------------
75,356
-------------
ELECTRICAL EQUIPMENT (1.74%)
694 Belden, Inc .................................... 12,535
320 Benchmark Elec. Inc ............................ 9,600
770 Cable Design Tech.* ............................ 9,962
1 California Microwave, Inc.* .................... 10
394 CTSCorp ........................................ 19,281
600 Dycom Industries ............................... 23,813
310 HarmonIndustries Inc ........................... 6,433
1,394 Intl. Rectifier Corp.* ......................... 9,584
495 Marshall Industries* ........................... 7,054
492 Oak Industries, Inc.* .......................... 15,590
762 Pioneer Standard Elec .......................... 5,906
453 Plexus Corp.* .................................. 14,807
400 Service Experts, Inc ........................... 5,025
757 Trimble Navigation Ltd.* ....................... 6,245
-------------
145,845
-------------
TRANSPORTATION EQUIPMENT (0.09%)
9 Halter Marine Group, Inc.* ..................... 36
622 Wabash Natl. Corp .............................. 7,658
-------------
7,694
-------------
CONGLOMERATE (0.11%)
560 Scott Technolgies Inc. ......................... 9,065
-------------
Total Capital Goods ............................ 363,608
-------------
CONSUMER CYCLICAL (10.87%)
OPTICAL PHOTO EQUIPMENT (0.00%)
6 X-Rite, Inc .................................... $ 42
-------------
HOUSING (1.23%)
1,000 Linens `N Things* .............................. 36,000
480 MDC Holdings Inc ............................... 8,550
1,170 Oakwood Homes Corp. ............................ 18,866
535 The Ryland Group, Inc .......................... 13,643
280 Skyline Corp ................................... 8,190
887 Toll Bros., Inc.* .............................. 17,407
-------------
102,656
-------------
BUILDING MATERIAL (1.37%)
520 ABM Industries, Inc ............................ 14,918
990 Apogee Enterprises, Inc ........................ 8,663
736 Geon Co ........................................ 16,790
1,012 Justin Industries, Inc ......................... 10,816
512 Texas Industries, Inc .......................... 12,608
836 Visx, Inc.* .................................... 51,623
-------------
115,418
-------------
AUTO & TRUCK (0.55%)
1,011 Applied Power, Inc. CL A ....................... 24,390
470 Reliance Steel & Alum .......................... 12,014
535 Wynn's International, Inc ...................... 9,898
-------------
46,302
-------------
AUTO PART (1.21%)
505 A.O. Smith Corp ................................ 10,763
2 Breed Technologies, Inc ........................ 8
628 Cheesecake Factory ............................. 12,874
764 Clarcor, Inc ................................... 13,943
1,786 Gentex Corp.* .................................. 38,734
574 O'Reilly Automotive, Inc.* ..................... 25,220
-------------
101,542
-------------
MOBILE HOME (0.21%)
360 Thor Industries Inc ............................ 8,910
660 Winnebago Industries ........................... 9,075
-------------
17,985
-------------
APPLIANCE (0.35%)
1,451 Fedders Corp ................................... 7,981
1,350 Interface, Inc ................................. 12,867
230 National Presto Industries ..................... 8,510
-------------
29,358
-------------
HOUSEHOLD PRODUCT (0.87%)
880 Aptargroup, Inc ................................ 24,090
1,434 Williams-Sonoma, Inc.* ......................... 49,025
-------------
73,115
-------------
TEXTILE & APPAREL (2.12%)
777 Authentic Fitness Corp ......................... 12,238
711 Brown Group .................................... 11,109
470 Cascade Natural Gas Corp. ...................... 7,432
532 G & K Services Inc., CL A ...................... 26,534
831 Griffon Corp.* ................................. 7,479
541 Jo-Ann Stores Inc - CL A ....................... 7,168
663 Kellwood Co .................................... 16,948
1,431 Mohawk Industries* ............................. 46,508
23
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
Shares Value
------ -----
1,012 Nautica Enterprises, Inc.* ..................... $ 15,180
530 Oshkosh B Gosh ................................. 10,070
346 Oxford Industries, Inc ......................... 8,045
374 Pillowtex Corp ................................. 9,070
-------------
177,781
-------------
SHOES (0.73%)
707 Footstar, Inc.* ................................ 18,029
500 Pacific Sunwear of Cal ......................... 14,250
297 The Timberland Co.* ............................ 17,931
1,111 Wolverine World Wide, Inc. ..................... 11,041
-------------
61,251
-------------
RETAIL - GENERAL (1.90%)
898 Cato Corp New CL A ............................. 8,531
565 Discount Auto Parts, Inc.* ..................... 12,112
556 The Dress Barn, Inc.* .......................... 7,228
715 Eagle H&G, Inc.* ............................... 26,857
816 Michaels Stores, Inc.* ......................... 13,974
2,545 Pier 1 Imports, Inc ............................ 21,951
760 Shopko Stores, Inc.* ........................... 23,940
1,116 Stein Mart, Inc.* .............................. 10,184
439 The Toro Co .................................... 13,115
864 World Color Press, Inc.* ....................... 21,438
-------------
159,330
-------------
LODGING (0.33%)
975 Marcus Corp .................................... 12,675
1,431 Prime Hospitality Corp.* ....................... 14,668
-------------
27,343
-------------
Total Consumer Cyclical ........................ 912,123
-------------
CONSUMER NON-DURABLE (21.95%)
HEALTH CARE (2.30%)
709 Ballard Medical Products ....................... 16,972
550 Bindley Western Inds ........................... 14,472
1,084 Bio-Technology General* ........................ 6,741
9 Compdent Corp.* ................................ 115
400 Cooper Co.* .................................... 5,850
490 Datascope Corp.* ............................... 12,801
420 Diagnostic Products Corp. ...................... 11,130
710 Immune Response Corp. .......................... 5,946
730 Invacare Corp .................................. 17,338
2,091 Mariner Post Acute Ntwk* ....................... 4,574
380 Maxxim Medical Inc ............................. 8,645
581 Mentor Corp .................................... 8,933
1,813 NBTY, Inc.* .................................... 10,878
1,201 Orthodontic Centers of Am* ..................... 18,015
881 Owens & Minor Hldg Co. ......................... 11,233
2,121 Phycor, Inc.* .................................. 11,533
316 Priority Healthcare Corp B ..................... 12,304
808 U.S. Bioscience, Inc.* ......................... 8,131
475 Vital Signs, Inc ............................... 8,402
-------------
194,013
-------------
CONSUMER PRODUCT (0.61%)
485 Harman International ........................... 18,551
555 Juno Lightning, Inc ............................ 11,412
646 Russ Berrie & Co., Inc ......................... $ 15,989
572 Sola International* ............................ 6,149
-------------
52,101
-------------
FOOD, BEVERAGE & TOBACCO (3.17%)
1,752 Chiquita Brands Int'l .......................... 15,111
273 Coca-Coca Bottling ............................. 15,288
618 Commonwealth Energy Sys ........................ 22,325
670 Consolidated Products .......................... 11,348
922 Corn Products Intl.* ........................... 21,667
350 Curative Health Services* ...................... 3,938
866 Dimon, Inc ..................................... 3,789
1,122 Earthgrains Co ................................. 27,559
1,103 Fleming Co., Inc ............................... 8,135
700 Instituform Tech. CL A ......................... 10,413
280 J&J Snack Foods ................................ 5,915
500 Nash-Finch Co .................................. 4,125
561 Natures Sunshine Prod., Inc. ................... 6,872
800 Ralcorp Holdings, Inc.* ........................ 14,250
1,171 Richfood Holdings, Inc. ........................ 27,811
413 Schweitzer-Mauduit, Inc. ....................... 4,853
936 Smithfield Foods, Inc.* ........................ 24,599
737 Titan Intl., Inc ............................... 5,481
820 Triarc Co.* .................................... 13,018
654 Whole Foods Market, Inc.* ...................... 20,192
-------------
266,689
-------------
RETAIL - FOOD AND DRUGS (0.22%)
1,404 Casey's General Stores ......................... 18,077
2 The Sports Authority, Inc * .................... 13
-------------
18,090
-------------
COMMUNICATIONS & MEDIA (1.59%)
610 Advo, Inc.* .................................... 12,200
340 CPI Corp ....................................... 7,438
253 GC Companies* .................................. 8,697
1,128 Ha-Lo Industries, Inc.* ........................ 12,056
482 Metro Networks, Inc.* .......................... 21,690
952 Valassis Communication* ........................ 45,696
410 Volt Info Sciences, Inc.* ...................... 7,662
732 Westwood One, Inc.* ............................ 17,843
-------------
133,282
-------------
ENTERTAINMENT & LEISURE (0.95%)
300 Anchor Gaming .................................. 12,019
1,243 Aztar Corp.* ................................... 6,060
430 Carmike Cinemas Inc.* .......................... 6,773
600 Family Golf Centers Inc.* ...................... 3,581
1,084 Foodmaker, Inc.* ............................... 24,932
865 Hollywood Park, Inc.* .......................... 7,677
675 Incyte Pharmaceuticals ......................... 18,942
-------------
79,984
-------------
APPAREL (1.50%)
689 Ann Taylor* .................................... 26,053
800 Goody's Family Clothing* ....................... 8,075
752 Guilford Mills, Inc. ........................... 9,306
668 Gymboree Corp.* ................................ 7,014
1,673 Hartmax Corp.* ................................. 7,215
814 Just For Feet, Inc.* ........................... 8,318
24
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
860 Mens Wearhouse, Inc.* .......................... $ 25,263
1,141 Phillips Van Heusen Corp. ...................... 6,917
489 St. John Knits, Inc ............................ 13,050
1,396 Stride Rite Corp ............................... 14,396
-------------
125,607
-------------
DRUGS (1.61%)
550 Barr Laboratories Inc. ......................... 20,350
734 Cor Therapeutics, Inc.* ........................ 7,202
2 Cygnus, Inc.* .................................. 12
722 Jones Pharmacy, Inc ............................ 20,306
1,016 Liposome Co., Inc.* ............................ 13,907
751 N. American Vaccine, Inc.* ..................... 5,726
624 Parexel Intl. Corp.* ........................... 12,987
854 Roberts Pharm.* ................................ 19,322
951 Sequus Pharm., Inc.* ........................... 19,436
669 Vertex Pharm., Inc.* ........................... 15,722
-------------
134,970
-------------
HOSPITAL SUPPLY & SERVICE (2.96%)
500 ADAC Laboratories* ............................. 8,938
650 Coherent, Inc.* ................................ 9,709
1,028 Indexx Laboratories, Inc.* ..................... 23,002
1,380 Medimmune, Inc.* ............................... 75,900
552 NCS Healthcare, Inc.* .......................... 7,832
851 Patterson Dental Co.* .......................... 34,466
390 Pediatrix Med. Grp., Inc.* ..................... 12,041
1,035 Renal Care Group, Inc.* ........................ 20,506
852 Respironics* ................................... 10,916
1,330 Safeskin Corp.* ................................ 30,923
899 Sunrise Medical* ............................... 6,518
1,009 Tech. Solutions, Inc.* ......................... 8,261
-------------
249,012
-------------
LIQUOR (0.25%)
387 Canadaigua Wine Co., Inc.* ..................... 20,656
-------------
PRINTING & PUBLISHING (0.23%)
1,002 Bowne & Co., Inc ............................... 13,965
600 Gibson Greetings, Inc.* ........................ 4,969
-------------
18,934
-------------
RESTAURANT (1.82%)
751 Applebee's Intl., Inc .......................... 19,479
509 CEC Entertainment, Inc.* ....................... 15,270
1,285 CKE Restaurants, Inc ........................... 34,133
291 IHOP Corp.* .................................... 11,895
764 Landry's Seafood Rest.* ........................ 5,205
879 Luby's Cafeterias, Inc ......................... 12,471
500 Michael Foods Inc .............................. 9,250
1,004 Ruby Tuesday, Inc .............................. 18,700
1,141 Ryan's Family Steak House* ..................... 12,979
572 Sonic Corp.* ................................... 13,728
-------------
153,110
-------------
BUSINESS SERVICE (2.70%)
652 BISYS Group, Inc.* ............................. 34,801
524 Catalina Marketing Corp.* ...................... 33,733
1,381 Ciber, Inc.* ................................... 34,698
1,754 DeVry, Inc.* ................................... $ 44,069
670 Harland, John H. Co ............................ 9,003
833 National Data Corp ............................. 42,660
736 Norrell Corp ................................... 11,684
5 Pittson Srvs. -Burlington ...................... 36
550 Prepaid Legal Srvs., Inc.* ..................... 15,813
-------------
226,497
-------------
OFFICE PRODUCT (0.18%)
474 New England Bus. Srvc .......................... 14,842
-------------
HEALTH CARE SERVICE (1.61%)
1,604 Coventry Health Care, Inc.* .................... 17,193
846 Express Scripts, Inc.* ......................... 54,620
1,058 Genesis Health Ventures* ....................... 5,819
1,418 Integrated Health Srvs ......................... 8,419
726 Magellan Health Srvs., Inc.* ................... 4,946
735 Sierra Health Srvs., Inc.* ..................... 10,566
820 Universal Hlth Srvs-B* ......................... 33,313
-------------
134,876
-------------
HEALTH & BEAUTY AIDS (0.25%)
555 Regis Corp ..................................... 20,743
-------------
Total Consumer Non-Durable ..................... 1,843,406
-------------
BANKING & FINANCIAL SERVICE (15.86%)
BANK & BANK HOLDING CO. (5.77%)
700 BankNorth Group, Inc ........................... 18,725
580 Carolina First Corp. ........................... 11,963
641 Centura Banks, Inc. ............................ 41,024
687 Chemfirst, Inc. ................................ 13,053
659 Commerce Bank Corp. ............................ 29,326
635 Cullen/Frost Bankers, Inc ...................... 30,043
756 Firstbank Puerto Rico .......................... 18,947
712 First Midwest Bancorp Inc./IL .................. 26,033
1,778 Firstmerit Corp. ............................... 43,450
1,076 Hubco, Inc. .................................... 35,306
317 JSB Financial, Inc ............................. 17,712
600 MAF Bancorp, Inc ............................... 14,119
640 Premier Bancshares Inc ......................... 12,800
600 Provident Bankshares Corp ...................... 15,450
450 Queens County Bancorp .......................... 13,078
948 Riggs Natl Corp. ............................... 17,538
560 Silicon Valley Bancshares* ..................... 10,745
877 St. Paul Bancorp ............................... 19,184
657 Trustco Bank Corp. NY .......................... 17,739
473 U.S. Trust Corp. ............................... 35,416
1,000 United Bankshares, Inc ......................... 24,125
596 Whitney Holding Co ............................. 19,519
-------------
485,295
-------------
SAVINGS & LOAN (0.67%)
400 Anchor Bancorp WI, Inc. ........................ 6,925
1,535 Commercial Federal Corp. ....................... 33,482
783 Downey Financial Corp. ......................... 15,905
-------------
56,312
-------------
25
<PAGE>
FINANCE COMPANIES (0.27%)
1,212 Amresco, Inc.* ................................. $ 11,476
681 Pioneer Group, Inc ............................. 11,109
-------------
22,585
-------------
INVESTMENT COMPANIES (1.71%)
346 Dain Rauscher Corp. ............................ 10,942
1,030 Eaton Vance Corp ............................... 20,278
1,392 Legg Mason, Inc ................................ 39,411
1,245 Raymond James Fncl. Corp. ...................... 22,721
509 SEI Investments Co ............................. 50,391
-------------
143,743
-------------
INSURANCE (3.75%)
1,064 American Bankers Ins. Grp ...................... 51,072
489 Delphi Financial Group, Inc.* .................. 23,441
1,010 Enhance Fncl. Svcs. Grp ........................ 23,924
270 Executive Risk, Inc ............................ 18,968
716 Fidelity National Fin., Inc .................... 14,320
1,674 Fremont General Corp ........................... 33,062
906 Frontier Insurance Group ....................... 11,891
429 Gallagher, Arthur J & Co. ...................... 20,485
971 Mutual Risk Mgmt., Ltd. ........................ 35,502
400 Nac Re Corp. ................................... 21,625
635 Orion Capital Corp ............................. 20,995
737 Selective Insurance Group ...................... 13,427
418 Trenwick Group, Inc ............................ 12,122
600 Zenith Ntnl. Ins. Corp ......................... 13,763
-------------
314,597
-------------
REAL ESTATE (0.72%)
1,497 First American Finl.Corp ....................... 35,086
670 Macdermid, Inc ................................. 25,125
-------------
60,211
-------------
FINANCIAL SERVICE (2.97%)
1,540 Americredit Corp.* ............................. 17,133
746 Capital Re Corp. ............................... 12,496
792 Cash American Intl., Inc ....................... 9,999
561 CMAC Investment Corp. .......................... 23,176
2,840 E-Trade Group, Inc.* ........................... 130,640
537 Envoy Corp.* ................................... 26,045
500 Jefferies Group, Inc. .......................... 19,719
510 Primark Corp.* ................................. 10,423
-------------
249,631
-------------
Total Banking & Financial Service .............. 1,332,374
-------------
UTILITY (3.73%)
ELECTRIC (1.57%)
363 CILCORP, Inc ................................... 21,576
612 Eastern Utilities Assoc ........................ 17,404
500 Micrel Inc. .................................... 22,500
340 Orange & Rockland Utls ......................... 19,083
677 Sierra Pacific Resources ....................... 23,230
403 TNP Enterprises, Inc ........................... 11,788
375 United Illuminating Co ......................... 16,641
-------------
132,222
-------------
GAS (1.12%)
728 Atmos Energy Corp .............................. 17,472
435 Central Hudson G&E ............................. 15,769
722 Piedmont Natural Gas, Inc. ..................... $ 24,638
514 Pool Energy Services Co.* ...................... 5,220
602 Public Service Co. of NC ....................... 17,759
1,192 Southwestern Energy Co. ........................ 6,631
1,496 Vintage Petroleum, Inc ......................... 6,639
-------------
94,128
-------------
TELEPHONE (0.40%)
914 Billing Concepts Corp.* ........................ 9,169
946 Blount Intl., Inc. - CL A ...................... 24,419
-------------
33,588
-------------
WATER (0.64%)
280 American States Water Co. ...................... 7,893
210 Aquarion Co .................................... 7,101
250 Consumers Water Co ............................. 7,461
681 Philadelphia Suburban Corp. .................... 14,684
847 UWR, Inc ....................................... 16,305
-------------
53,444
-------------
Total Utility .................................. 313,382
-------------
SERVICE (3.83%)
DISTRIBUTOR (0.41%)
559 Hughes Supply, Inc ............................. 11,285
774 Kent Electronics Corp.* ........................ 8,804
667 Microage* ...................................... 5,649
300 Syncor Intl Corp ............................... 8,288
-------------
34,026
-------------
POLLUTION CONTROL (0.15%)
674 Dames & Moore Group ............................ 6,656
530 IMCO Recycling ................................. 6,658
-------------
13,314
-------------
BUSINESS (2.08%)
880 Am Oncology Resources* ......................... 8,800
600 Avid Tech Inc.* ................................ 17,588
420 Hilb, Rogal & Hamilton Co ...................... 7,271
1,232 Interim Services, Inc.* ........................ 23,408
480 Kroll-O'Gara Co ................................ 14,820
400 Lason Holdings, Inc. ........................... 21,675
820 Medquist Inc ................................... 28,034
450 Mercury Interactive Corp.* ..................... 29,166
450 Merrill Corp ................................... 7,538
820 Superior Services* ............................. 16,477
-------------
174,777
-------------
ENVIRONMENTAL SERVICES (0.16%)
700 Tetra Tech Inc ................................. 13,344
-------------
MISCELLANEOUS (1.03%)
437 Bassett Furniture Inds., Inc. .................. 9,396
769 Central Parking Corp ........................... 26,242
610 NFO Worldwide Inc .............................. 7,206
448 Stone & Webster, Inc ........................... 11,984
4 Tetra Technologies, Inc.* ...................... 27
1,138 True North Comms ............................... 26,530
971 Tuboscope, Inc.* ............................... 5,219
-------------
86,604
-------------
Total Service .................................. 322,065
-------------
26
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
TRANSPORTATION (3.13%)
AIR TRANSPORTATION (1.34%)
907 Air Express .................................... $ 15,929
1,644 Comair Holdings, Inc ........................... 61,837
630 Expeditors Intl Wash, Inc ...................... 29,334
820 Mesa Air Group Inc ............................. 5,586
-------------
112,686
-------------
TRUCKING (1.52%)
749 American Freightways Corp.* .................... 11,680
1,107 Fritz Companies, Inc.* ......................... 8,233
810 Heartland Express, Inc.* ....................... 13,061
295 Landstar* ...................................... 11,127
409 M S Carriers, Inc.* ............................ 11,043
1,489 Rollins Truck Leasing .......................... 15,821
675 US Freightways Corp ............................ 21,516
1,263 Werner Enterprises, Inc ........................ 22,576
716 Yellow Corp.* .................................. 12,799
-------------
127,856
-------------
MISCELLANEOUS (0.27%)
723 AAR Corp ....................................... 10,935
691 Kirby Corp.* ................................... 11,747
-------------
22,682
-------------
Total Transportation ........................... 263,224
-------------
MANUFACTURING (13.71%)
CONSUMER DURABLE (1.30%)
730 Ethan Allen Interiors, Inc ..................... 32,850
683 Intermet Corp .................................. 8,538
9 K2, Inc ........................................ 79
1,518 La-Z-Boy Chair Co .............................. 28,273
530 Scotts Company Class A* ........................ 17,159
390 Standard Motor Products ........................ 8,361
703 Sturm Ruger & Co., Inc. ........................ 6,591
440 Thomas Industries Inc .......................... 7,508
-------------
109,359
-------------
BUILDING & HOUSING (1.08%)
323 Butler Manufacturing ........................... 7,308
1,136 Champion Enterprises, Inc.* .................... 22,365
1,350 D.R. Horton, Inc ............................... 21,516
500 Florida Rock Inds .............................. 14,000
923 Standard Pacific Corp. ......................... 11,422
400 U.S. Home Corp.* ............................... 13,800
-------------
90,411
-------------
CHEMICAL (1.74%)
616 Brady Corp ..................................... 14,707
670 Cambrex Corp ................................... 16,038
341 Chemed Corp .................................... 10,081
738 Lilly Industries, Inc .......................... 12,592
350 McWhorter Tech. Inc ............................ 5,097
821 Mississippi Chem. Corp. ........................ 8,415
592 OM Group, Inc .................................. 17,205
989 Regeneron Pharm.* .............................. 7,665
690 Simpson Industries ............................. 6,426
636 Skywest, Inc ................................... 19,994
862 Susquehanna Bankshares, Inc. ................... $ 15,570
496 W D-40 Co. ..................................... 12,555
-------------
146,345
-------------
DIVERSIFIED (0.60%)
1,068 Kemet Corp.* ................................... 11,748
637 Kulicke & Soffa Ind.* .......................... 16,164
346 SPS Technologies, Inc.* ........................ 14,273
537 Standard Products, Inc ......................... 8,055
-------------
50,240
-------------
CAPITAL GOOD (0.57%)
582 Barnes Group, Inc .............................. 11,094
454 Standex International Corp ..................... 10,754
1,023 Tredegar Industries, Inc ....................... 26,150
-------------
47,998
-------------
PAPER & FOREST PRODUCT (0.69%)
1,014 Buckeye Tech, Inc.* ............................ 13,119
604 Caraustar Industries ........................... 15,478
981 Pope & Talbot, Inc ............................. 6,806
499 TJ International, Inc .......................... 10,791
601 Universal Forest Products ...................... 12,058
-------------
58,252
-------------
METAL & MINERAL (1.88%)
330 AMCAST Ind ..................................... 6,249
933 AMCOL Intl. Corp ............................... 8,864
926 Baldor Electric Co ............................. 17,710
600 Brush Wellman Inc. ............................. 8,625
519 Castle (A.M.) & Co ............................. 7,071
570 Commercial Metals Co. .......................... 13,003
2,118 Helca Mining Co.* .............................. 7,678
525 Myers Industries, Inc .......................... 10,238
1,119 Pogo Producing Co .............................. 10,351
910 Stillwater Mining Co.* ......................... 20,873
1,109 UST Corp ....................................... 23,220
707 Valmont Industries ............................. 8,329
710 WHX Corp ....................................... 6,168
459 Wolverine Tube, Inc.* .......................... 9,123
-------------
157,502
-------------
CONTAINER (0.18%)
823 Shorewood Packaging Corp.* ..................... 14,968
-------------
COMPUTER (1.94%)
997 C Cube Microsystems* ........................... 18,694
765 Factset Research Sys. Inc ...................... 31,891
691 Gerber Scientific, Inc ......................... 12,870
370 Hadco Corp.* ................................... 11,794
750 Intervoice Inc ................................. 8,156
1,459 Komag, Inc.* ................................... 10,213
250 Kronos, Inc.* .................................. 10,578
1,000 Macromedia, Inc.* .............................. 30,563
1,033 Methode Electronics CL A ....................... 10,847
743 Network Equip. Tech., Inc.* .................... 6,641
1,077 Platinum Software Corp.* ....................... 7,808
391 Telxon Corp. ................................... 2,493
-------------
162,548
-------------
27
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
NON-FERROUS METAL (0.31%)
8 Material Sciences* ............................. $ 58
998 Mueller Industries* ............................ 21,083
500 RTI International Metals ....................... 5,313
-------------
26,454
-------------
GOLD & PRECIOUS METAL (0.95%)
734 Alpharma, Inc. Class A ......................... 27,800
3 Coeur D'Alene Mines* ........................... 16
820 Getchell Gold Corp.* ........................... 21,269
934 Zale Corp.* .................................... 30,939
-------------
80,024
-------------
MISCELLANEOUS (2.47%)
1,141 Arctic Cat, Inc ................................ 8,843
9 Birmingham Steel Corp. ......................... 37
952 Delta & Pine Land Co ........................... 30,821
342 Electro Scientific Inds., Inc.* ................ 12,504
357 Innovex, Inc ................................... 5,400
440 Libbey Inc ..................................... 13,118
5 Lydall, Inc.* .................................. 48
997 Midway Games Inc.* ............................. 8,537
869 Novellus Systems, Inc.* ........................ 51,325
400 Plantronics Inc ................................ 24,200
529 Quanex Corp .................................... 9,258
534 Regal-Beloit Corp .............................. 10,413
788 Roper Industries, Inc .......................... 17,435
665 Watsco, Inc .................................... 7,772
390 Whittaker Corp ................................. 7,849
-------------
207,560
-------------
Total Manufacturing ............................ 1,151,661
-------------
TECHNOLOGY (14.67%)
OFFICE EQUIPMENT (0.09%)
788 Filenet Corp.* ................................. 6,329
-------------
ELECTRONIC (3.69%)
5 Applied Magnetics Co.* ......................... 20
688 BE Aerospace, Inc.* ............................ 10,148
945 Burr-Brown Corp.* .............................. 19,136
964 Checkpoint Systems, Inc.* ...................... 8,435
640 Dionex Corp.* .................................. 23,600
562 Etec Systems, Inc.* ............................ 24,904
430 Integrated Circuit Systems* .................... 8,009
3 Itron, Inc.* ................................... 21
430 Micro Systems Inc .............................. 11,986
450 Progress Software Corp ......................... 13,838
1,320 Read-Rite Corp.* ............................... 11,220
1,292 Sanmina Corp.* ................................. 67,507
441 Speedfam Intl., Inc.* .......................... 7,194
593 Ultratech Stepper, Inc.* ....................... 9,358
733 Unitrode Corp.* ................................ 9,987
1,844 Vitesse Semiconductor* ......................... 84,709
-------------
310,072
-------------
BIO-TECHNOLOGY (0.91%)
6 Advanced Tissue Sciences* ...................... $ 17
4 Alliance Pharmaceutical* ....................... 10
300 Biomatrix ...................................... 20,850
861 Cephalon, Inc.* ................................ 6,619
834 Enzo Biochem, Inc.* ............................ 9,174
700 Organogenesis Inc .............................. 9,625
630 Pharm. Product Dev.* ........................... 21,893
479 Protein Design Labs, Inc.* ..................... 7,904
-------------
76,092
-------------
SOFTWARE (2.44%)
742 Bantec, Inc.* .................................. 10,434
782 Boole & Babbage, Inc.* ......................... 21,016
848 Cerner Corp.* .................................. 11,978
1,079 Cognex Corp.* .................................. 26,975
540 Computer Task Group, Inc. ...................... 10,935
600 Dendrite Intl. Inc ............................. 16,875
437 Dialogic Corp.* ................................ 12,099
1,060 Harbinger Corp.* ............................... 6,890
670 HNC Software* .................................. 18,006
748.1600 Inacom Corp .................................... 11,596
600 Insight Enterprises ............................ 13,950
714 Inter Tel, Inc ................................. 12,584
1,082 System Software Assoc., Inc.* .................. 3,584
652 Vantive Corp.* ................................. 7,498
620 Xircom, Inc.* .................................. 21,080
-------------
205,500
-------------
BUSINESS - MECHANICS & SOFTWARE (2.48%)
416 Analogic Corp .................................. 15,704
598 Analysts Intl. Corp. ........................... 8,522
1,927 Axciom Corp.* .................................. 46,128
1,229 Commscope Inc.* ................................ 22,813
345 Fair Issac & Co, Inc ........................... 15,870
503 Henry (Jack) & Assoc ........................... 18,108
540 Hutchinson Technology* ......................... 16,808
775 Hyperion Software Corp.* ....................... 10,995
825 National Instruments Corp.* .................... 24,028
1,096 Xylan Corp.* ................................... 29,044
-------------
208,020
-------------
BUSINESS - SERVICE (1.79%)
1,041 American Mgmt. Systems* ........................ 34,743
1,091 Anixter Intl.* ................................. 13,706
339 Consolidated Graphics* ......................... 20,594
633 Franklin Covey Co.* ............................ 7,556
635 Helix Technology Corp. ......................... 12,502
1,300 Whitman-Hart* .................................. 40,706
803 Zebra Tech CL A* ............................... 20,727
-------------
150,534
-------------
SEMICONDUCTOR (1.23%)
709 Dallas Semiconductor Corp. ..................... 25,081
603 Lattice Semiconductor Corp.* ................... 24,045
326 Park Electrochemical Corp. ..................... 8,843
28
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
649 Photronics, Inc.* .............................. $ 13,345
1,426 S3, Inc.* ...................................... 12,567
1,247 VLSI Technology* ............................... 19,329
-------------
103,210
-------------
TELECOMMUNICATION (0.95%)
1 Allen Telecom, Inc.* ........................... 5
1,148 Aspect Telecom. Corp.* ......................... 8,825
1,313 Brightpoint Inc.* .............................. 19,531
1,693 Digital Microwave Corp.* ....................... 13,491
1,702 General Communication* ......................... 8,297
1,360 P Com, Inc.* ................................... 8,628
984 Picturetel Corp.* .............................. 8,041
1 Symmetricom, Inc.* ............................. 7
3 TCSI Corp.* .................................... 6
1,329 Tel-Save.Com, Inc.* ............................ 13,207
-------------
80,038
-------------
AEROSPACE AIRCRAFT (0.42%)
670 Kaman Corp ..................................... 9,045
953 Orbital Sciences Corp.* ........................ 26,327
-------------
35,372
-------------
TELECOM EQUIPMENT (0.29%)
310 Alliant Techsystems, Inc.* ..................... 24,548
-------------
MISCELLANEOUS (0.38%)
460 Electroglas, Inc.* ............................. 5,937
820 National Computer Sys., Inc. ................... 26,266
-------------
32,203
-------------
Total Technology ............................... 1,231,918
-------------
ENERGY (2.89%)
OIL & GAS - DOMESTIC (1.86%)
751 Barrett Resources Corp.* ....................... 12,345
711 Benton Oil & Gas* .............................. 2,177
765 Cabot Oil & Gas Corp ........................... 8,367
1,212 Cross Timbers Oil Co ........................... 6,439
790 Devon Energy Corp .............................. 18,516
870 Energen Corp ................................... $ 12,180
2 HS Resources, Inc.* ............................ 12
627 KCS Energy, Inc ................................ 823
488 New Jersey Resources ........................... 17,050
1,032 Newfield Exploration Co. ....................... 16,770
547 Northwest Natural Gas .......................... 13,384
395 Plains Resources, Inc.* ........................ 3,654
2,845 Santa Fe Energy Res.* .......................... 14,936
969 Snyder Oil Corp ................................ 10,114
692 Southwest Gas .................................. 19,895
-------------
156,662
-------------
OIL & GAS - INTERNATIONAL (0.06%)
303 St. Mary Land & Explor ......................... 4,734
-------------
OIL & GAS - SERVICE (0.38%)
762 Global Industrial Tech.* ....................... 6,810
688 Oceaneering International* ..................... 6,880
656 Offshore Logistics, Inc.* ...................... 5,720
1,142 Pride Petroleum Services* ...................... 5,710
687 Seitel, Inc.* .................................. 6,569
-------------
31,689
-------------
NATURAL GAS (0.41%)
280 Connecticut Energy Corp ........................ 7,298
457 Pennsylvania Enterprises ....................... 10,283
804 Wicor, Inc ..................................... 16,985
-------------
34,566
-------------
MISCELLANEOUS (0.18%)
1,146 General Semiconductor, Inc.* ................... 7,407
1,437 Input/Output, Inc.* ............................ 8,083
-------------
15,490
-------------
Total Energy ................................... 243,141
-------------
Total Common Stock
(cost $8,900,433) .............................. 7,976,902
-------------
29
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
PAR
VALUE VALUE
----- -----
SHORT-TERM INVESTMENTS (5.00%)
UNITED STATES TREASURY BILLS
$ 70,000 4.330% 03/18/99 (b) ............................ $ 69,854
UNITED STATES TREASURY BILLS
300,000 4.600% 03/18/99 (b) ............................ 299,371
51,270 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ........ 51,270
-------------
Total Short-Term Investments (Cost $420,495) ... 420,495
-------------
Total Investments (Cost $9,320,928)(99.98%) .... 8,397,397
Other Net Assets (0.02%) ....................... 1,458
-------------
Net Assets (100.00%) ........................ $ 8,398,855
=============
*Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $9,320,928. At February
28, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 1,167,822
Unrealized depreciation ........................ (2,091,353)
-------------
Net unrealized depreciation ................. $ (923,531)
=============
(b) At February 28, 1999, certain United States Treasury Bills with a market
value of $299,277 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1999 (Contracts - $500 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
Russell 2000 Stock Index:
2/March 99/Long ............................................ $ (45,668)
=============
See accompanying notes to financial statements
30
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS
February 28, 1999
(unaudited)
Shares Value
------ -----
COMMON STOCK (70.55%)
CAPITAL GOOD (3.73%)
ELECTRICAL EQUIPMENT (3.73%)
3,700 General Electric ............................... $ 371,156
1,800 Johnson Controls ............................... 110,700
-------------
481,856
-------------
Total Capital Good ............................. 481,856
-------------
CONSUMER CYCLICAL (4.79%)
AUTO & TRUCK (3.18%)
5,340 Ford Motor Co .................................. 316,729
1,150 General Motors Corp ............................ 94,947
-------------
411,676
-------------
RETAIL-GENERAL (1.61%)
2,830 May Dept. Stores Co ............................ 167,678
1,160 The Limited, Inc ............................... 41,180
-------------
208,858
-------------
Total Consumer Cyclical ........................ 620,534
-------------
CONSUMER NON-DURABLE (13.99%)
HEALTH CARE (0.35%)
750 Bausch & Lomb, Inc ............................. 45,234
-------------
CONSUMER PRODUCT (0.85%)
2,600 Newell Co. ..................................... 110,500
-------------
FOOD, BEVERAGE & TOBACCO (2.22%)
4,000 H.J. Heinz Co .................................. 217,750
1,800 Philip Morris Co Inc ........................... 70,425
-------------
288,175
-------------
RETAIL, FOOD AND DRUGS (0.88%)
2,000 Albertson's, Inc ............................... 114,000
-------------
COMMUNICATIONS AND MEDIA (3.38%)
1,500 Gannett Co. Inc ................................ 95,250
2,000 McGraw Hill Cos Inc ............................ 218,875
4,000 NY Times Class A ............................... 124,000
-------------
438,125
-------------
DRUGS (3.84%)
2,100 Abbott Labs .................................... 97,519
1,350 Baxter International, Inc ...................... 95,006
1,120 Bristol-Myers/Squibb Co. ....................... 141,050
2,000 Merck & Co ..................................... 163,500
-------------
497,075
-------------
COSMETIC & SOAP (1.64%)
2,400 Avon Products, Inc ............................. 99,900
1,320 Colgate Palmolive Co. .......................... 112,035
-------------
211,935
-------------
OFFICE SUPPLIES (0.83%)
2,000 Avery Dennison ................................. 107,375
-------------
Total Consumer Non-Durable ..................... 1,812,419
-------------
BANKING & FINANCE (18.71%)
BANK & BANK HOLDING CO. (12.13%)
6,488 Banc One Corp .................................. 348,730
5,200 Chase Manhattan Corp. .......................... 414,050
5,832 First Union Corp ............................... $ 310,919
2,800 Fleet Financial Group, Inc. .................... 120,225
2,000 Mellon Bank Corp. .............................. 135,250
2,000 PNC Financial Corp ............................. 104,125
3,750 Wells Fargo & Co ............................... 137,813
-------------
1,571,112
-------------
FINANCE COMPANY (0.94%)
3,000 Household Intl ................................. 121,875
-------------
INSURANCE (4.72%)
2,400 American General Corp. ......................... 175,800
2,000 Cigna Corp ..................................... 157,000
3,150 Marsh & McLennan ............................... 223,059
900 MBIA Inc ....................................... 55,406
-------------
611,265
-------------
FINANCIAL SERVICE (0.92%)
4,000 Conseco, Inc ................................... 119,750
-------------
Total Banking & Finance ........................ 2,424,002
-------------
UTILITY (13.96%)
ELECTRIC (1.64%)
5,000 Texas Utilities Co ............................. 212,188
-------------
TELEPHONE (7.98%)
1,700 AT&T Corp. ..................................... 139,613
5,860 Ameritech Corp. ................................ 383,098
7,060 Bell Atlantic Corp ............................. 405,509
2,000 SBC Comms ...................................... 105,750
-------------
1,033,970
-------------
ENERGY (3.20%)
3,000 FPL Group, Inc ................................. 154,313
3,000 Reliant Energy Inc ............................. 80,438
7,180 Southern Co .................................... 179,949
-------------
414,700
-------------
MISCELLANEOUS (1.14%)
4,000 Williams Co .................................... 148,000
-------------
Total Utility .................................. 1,808,858
-------------
MANUFACTURING (3.42%)
CONSUMER DURABLE (1.02%)
2,000 Eastman Kodak .................................. 132,375
-------------
CHEMICAL (1.46%)
3,700 E.I.Dupont & Co ................................ 189,856
-------------
METAL & MINERAL (0.94%)
3,000 Aluminum Co. of Amer ........................... 121,500
-------------
Total Manufacturing ............................ 443,731
-------------
TECHNOLOGY (7.37%)
ELECTRONIC (0.92%)
1,700 Motorola Inc ................................... 119,425
-------------
BUSINESS-MECHANIC & SOFTWARE (3.82%)
5,200 Pitney Bowes, Inc .............................. 328,575
3,000 Xerox Corp ..................................... 165,563
-------------
494,138
-------------
31
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (Continued)
February 28, 1999
(unaudited)
Shares Value
------ -----
AEROSPACE AIRCRAFT (1.81%)
1,840 General Dynamics Corp. ......................... $ 111,205
1,000 United Technologies Corp. ...................... 123,875
-------------
235,080
-------------
TELECOM EQUIPMENT (0.82%)
2,000 Raytheon Co - Class B .......................... 106,875
-------------
Total Technology ............................... 955,518
-------------
ENERGY (4.58%)
OIL & GAS INTERNATIONAL (4.58%)
1,250 Chevron Corp ................................... 96,090
4,360 Exxon Corp ..................................... 290,213
1,500 Mobil Corp ..................................... $ 124,781
4,000 USX-Marathon ................................... 82,750
-------------
593,834
-------------
Total Energy ................................... 593,834
-------------
Total Common Stock
(cost $7,114,813) ............................................. 9,140,752
-------------
PAR
VALUE
SHORT-TERM INVESTMENTS (29.40%)
UNITED STATES TREASURY BILLS
$ 3,400,000 4.330% 03/18/99 (b) ............................ 3,393,007
27,160 FIRSTAR GOVERNMENT MONEY MARKET FUND ........... 27,160
389,294 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ........ 389,294
-------------
Total Short-Term Investments (Cost $3,809,461) . 3,809,461
-------------
Total Investments (Cost $10,924,274)(99.95%) ... 12,950,213
Other Net Assets (0.05%) ....................... 6,087
-------------
Net Assets (100.00%) ........................ $ 12,956,300
=============
(a) Aggregate cost for federal income tax purposes is $10,924,274. At February
28, 1999, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 2,242,174
Unrealized depreciation ........................ (216,235)
-------------
Net unrealized appreciation ................. $ 2,025,939
=============
(b) At February 28, 1999, certain United States Treasury Bills with a market
value of $299,277 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 28, 1999 (Contracts - $250 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
S&P 500 Stock Index:
12/March 99/Long ............................................ $ 56,317
-------------
See accompanying notes to financial statements
32
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1999
(unaudited)
<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
$122,649,800, $192,182,297 and $23,705,709,
respectively) (Note 1) ............................ $ 122,649,800 $ 212,864,463 $ 24,811,181
Cash .............................................. 20,141 83,741 82,740
Interest receivable ............................... 781,312 2,942,981 343,243
Receivable for investments sold ................... -- 4,120,939 --
------------- ------------- -------------
Total assets .................................. 123,451,253 220,012,124 25,237,164
------------- ------------- -------------
LIABILITIES
Payable for fund shares repurchased ............... -- 348,946 --
Payable to Investment Advisor ..................... 52,312 -- 16,216
Accrued expenses .................................. 31,652 203,045 7,307
Distributions payable ............................. 195,542 768,639 76,064
------------- ------------- -------------
Total liabilities ............................. 279,506 1,320,630 99,587
------------- ------------- -------------
Net Assets:
(Applicable to 123,235,118, 16,673,300 and
2,311,970 shares of beneficial interest with no
par value, unlimited number of shares
authorized) ................................... $ 123,171,747 $ 218,691,494 $ 25,137,577
============= ============= =============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$123,171,747 / 123,235,118 shares ............. $ 1.00
=============
$218,691,494 / 16,673,300 shares .............. $ 13.12
=============
$25,137,577 / 2,311,970 shares ................ $ 10.87
=============
Net assets at February 28, 1999 consisted of:
Paid-in capital ............................... $ 123,200,667 $ 197,507,984 $ 23,978,375
Undistributed net investment income ........... -- 46,923 21,784
Accumulated net realized gains (losses) ....... (28,920) 454,421 31,946
Unrealized appreciation of investments ........ -- 20,682,166 1,105,472
------------- ------------- -------------
$ 123,171,747 $ 218,691,494 $ 25,137,577
============= ============= =============
</TABLE>
See accompanying notes to financial statements
33
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1999
(unaudited)
<TABLE>
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
------------- ------------- ------------- -------------
ASSETS
<S> <C> <C> <C> <C>
Investments at market value (identified cost
$32,538,952, $54,901,690, $77,176,487
and $45,444,568, respectively) (Note 1) ..... $ 33,655,054 $ 54,901,690 $ 124,234,117 $ 51,353,131
Cash ........................................ 38,480 38,979 -- --
Interest receivable ......................... 196,236 -- 14,636 946
Dividends receivable ........................ -- -- 152,113 58,681
Receivable for fund shares sold ............. -- -- 9,965 --
------------- ------------- ------------- -------------
Total assets ............................. 33,889,770 54,940,669 124,410,831 51,412,758
------------- ------------- ------------- -------------
LIABILITIES
Payable to Investment Advisor ............... 28,960 24,735 15,818 21,391
Accrued expenses ............................ 11,827 10,571 23,199 5,238
Payable for fund shares repurchased ......... -- -- 12,074 --
Distributions payable ....................... 142,384 154,272 -- --
Variation margin payable .................... -- -- 9,590 3,885
------------- ------------- ------------- -------------
Total liabilities ........................ 183,171 189,578 60,681 30,514
------------- ------------- ------------- -------------
Net Assets:
(Applicable to 3,136,211, 54,764,017,
4,702,119 and 3,036,434 shares of
beneficial interest with no par value,
unlimited number of shares authorized) ...... $ 33,706,599 $ 54,751,091 $ 124,350,150 $ 51,382,244
============= ============= ============= =============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$33,706,599 / 3,136,211 shares .............. $ 10.75
=============
$54,751,091 / 54,764,017 shares ............. $ 1.00
=============
$124,350,150 / 4,702,119 shares ............. $ 26.45
=============
$51,382,244 / 3,036,434 shares .............. $ 16.92
=============
Net assets at February 28, 1999 consisted of:
Paid-in capital ............................. $ 32,444,532 $ 54,764,017 $ 74,328,947 $ 39,542,016
Undistributed net investment income ......... 97,948 -- 269,192 29,233
Accumulated net realized gains (losses) ..... 48,017 (12,926) 2,722,404 5,985,927
Unrealized appreciation of investments ...... 1,116,102 -- 47,057,630 5,908,563
Unrealized depreciation of futures contracts -- -- (28,023) (83,495)
------------- ------------- ------------- -------------
$ 33,706,599 $ 54,751,091 $ 124,350,150 $ 51,382,244
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
34
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
February 28, 1999
(unaudited)
<TABLE>
<CAPTION>
S&P
SmallCap Equity
Index Income
Fund Fund
------------ ------------
<S> <C> <C>
ASSETS
Investments at market value
(identified cost $9,320,928
and $10,924,274, respectively) (Note 1) ........ $ 8,397,397 $ 12,950,213
Interest receivable ............................ 368 1,432
Dividends receivable ........................... 5,491 23,759
Variation margin receivable .................... 1,350 --
Deferred organization costs .................... 6,537 12,801
------------ ------------
Total assets ................................ 8,411,143 12,988,205
------------ ------------
LIABILITIES
Payable to Investment Advisor .................. 2,441 9,546
Accrued expenses ............................... 9,847 4,359
Variation margin payable ....................... -- 18,000
------------ ------------
Total liabilities ........................... 12,288 31,905
------------ ------------
Net Assets:
(Applicable to 806,435 and 909,634
shares of beneficial interest with no par value,
unlimited number of shares authorized) ......... $ 8,398,855 $ 12,956,300
============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$8,398,855 / 806,435 shares .................... $ 10.41
============
$12,956,300 / 909,634 shares ................... $ 14.24
============
Net assets at February 28, 1999 consisted of:
Paid-in capital ................................ $ 9,278,386 $ 11,031,381
Undistributed net investment income ............ -- 2,852
Accumulated net realized gains (losses) ........ 89,668 (160,189)
Unrealized appreciation (depreciation)
of investments .............................. (923,531) 2,025,939
Unrealized appreciation (depreciation)
of futures contracts ........................ (45,668) 56,317
------------ ------------
$ 8,398,855 $ 12,956,300
============ ============
</TABLE>
See accompanying notes to financial statements
35
<PAGE>
STATEMENTS OF OPERATIONS
For Six Months Ended February 28, 1999
(unaudited)
<TABLE>
<CAPTION>
California California California
Tax-Free Tax-Free Insured
Money Market Income Intermediate
Fund Fund Fund
----------- ----------- -----------
<S> <C> <C> <C>
Investment Income:
Interest income .................................. $ 1,480,729 $ 5,543,795 $ 550,679
----------- ----------- -----------
Expenses:
Management fees (Note 2) ......................... 249,441 533,765 61,347
Transfer agent fees .............................. 20,443 36,564 5,852
Accounting services .............................. 24,077 60,251 7,596
Custodian fees ................................... 11,730 14,531 2,275
Legal and audit fees ............................. 5,128 36,504 2,927
Trustees fees .................................... 2,204 1,881 2,021
Insurance ........................................ 362 831 86
Printing ......................................... 1,264 3,665 442
Registration & dues .............................. 1,065 1,426 383
----------- ----------- -----------
Total expenses ............................... 315,714 689,418 82,929
Less reimbursement from manager (Note 2) (114,714) -- (15,447)
----------- ----------- -----------
Net expenses ................................. 201,000 689,418 67,482
----------- ----------- -----------
Net investment income ................... 1,279,729 4,854,377 483,197
----------- ----------- -----------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions ..... -- 593,376 31,946
Change in unrealized appreciation of investments . -- 78,605 106,866
----------- ----------- -----------
Net realized and unrealized gain on
investments .................................. -- 671,981 138,812
----------- ----------- -----------
Net increase in net assets resulting
from operations .............................. $ 1,279,729 $ 5,526,358 $ 622,009
=========== =========== ===========
</TABLE>
See accompanying notes to financial statements
36
<PAGE>
STATEMENTS OF OPERATIONS
For Six Months Ended February 28, 1999
(unaudited)
<TABLE>
<CAPTION>
U.S. The United
Government States S&P 500 S&P MidCap
Securities Treasury Index Index
Fund Trust Fund Fund
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Investment Income:
Interest income ...................................... $ 1,033,235 $ 1,191,340 $ 306,955 $ 123,871
Dividend income ...................................... -- -- 687,086 286,877
------------ ------------ ------------ ------------
Total ............................................ 1,033,235 1,191,340 994,041 410,748
------------ ------------ ------------ ------------
Expenses:
Management fees (Note 2) ............................. 91,242 129,194 139,157 98,249
Transfer agent fees .................................. 8,008 7,074 14,900 7,600
Accounting services .................................. 10,623 12,442 26,680 13,693
Custodian fees ....................................... 4,595 5,113 9,689 6,097
Legal and audit fees ................................. 3,513 3,825 5,049 3,538
Trustees fees ........................................ 1,020 1,002 1,048 1,021
Insurance ............................................ 137 176 3,874 165
Printing ............................................. 770 559 2,663 1,526
Registration & dues .................................. 1,618 1,700 4,680 3,196
Standard & Poor's licensing fees ..................... -- -- 5,229 5,075
------------ ------------ ------------ ------------
Total expenses ................................... 121,526 161,085 212,969 140,160
Less reimbursement from manager (Note 2) ... (3,188) (50,629) (101,643) (42,414)
------------ ------------ ------------ ------------
Net expenses ..................................... 118,338 110,456 111,326 97,746
------------ ------------ ------------ ------------
Net investment income ....................... 914,897 1,080,884 882,715 313,002
------------ ------------ ------------ ------------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from security transactions .. 439,014 (13,032) 3,127,495 7,061,695
Net realized gain from futures contracts ............. -- -- 954,083 929,893
Change in unrealized appreciation of investments ..... (1,419,846) -- 21,222,965 1,641,954
Change in unrealized appreciation of futures contracts -- -- 1,812,163 779,205
------------ ------------ ------------ ------------
Net realized and unrealized gain (loss) on
investments ...................................... (980,832) (13,032) 27,116,706 10,412,747
------------ ------------ ------------ ------------
Net increase (decrease) in net assets resulting
from operations .................................. $ (65,935) $ 1,067,852 $ 27,999,421 $ 10,725,749
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
37
<PAGE>
STATEMENTS OF OPERATIONS
For the Six Months ended February 28, 1999
(unaudited)
<TABLE>
<CAPTION>
S&P
SmallCap Equity
Index Income
Fund Fund
----------- -----------
<S> <C> <C>
Investment Income:
Interest income ...................................... $ 35,788 $ 88,147
Dividend income ...................................... 32,672 108,535
----------- -----------
Total ............................................ 68,460 196,682
----------- -----------
Expenses:
Management fees (Note 2) ............................. 22,919 31,860
Transfer agent fees .................................. 7,202 5,578
Accounting services .................................. 4,761 4,352
Custodian fees ....................................... 6,653 2,717
Legal and audit fees ................................. 3,394 3,780
Trustees fees ........................................ 946 987
Insurance ............................................ 31 44
Printing ............................................. 792 558
Registration & dues .................................. 2,543 2,679
Standard & Poor's licensing fees ..................... 472 --
Amortization of deferred organization costs .......... 1,247 2,538
----------- -----------
Total expenses ................................... 50,960 55,093
Less reimbursement from manager (Note 2) ... (21,165) (4,116)
----------- -----------
Net expenses ..................................... 29,795 50,977
----------- -----------
Net investment income ....................... 38,665 145,705
----------- -----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain (loss) from security transactions .. (148,834) 63,778
Net realized gain (loss) from futures contracts ...... 62,524 (291,121)
Change in unrealized appreciation of investments ..... 904,160 1,509,209
Change in unrealized appreciation of futures contracts 242,161 912,516
----------- -----------
Net realized and unrealized gain on
investments ...................................... 1,060,011 2,194,382
----------- -----------
Net increase in net assets resulting
from operations .................................. $ 1,098,676 $ 2,340,087
=========== ===========
</TABLE>
See accompanying notes to financial statements
38
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
California Tax-Free California Tax-Free
Money Market Fund Income Fund
------------------------------- -------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1999 August 31, February 28, 1999 August 31,
(Unaudited) 1998 (Unaudited) 1998
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .................. $ 1,279,729 $ 3,031,272 $ 4,854,377 $ 9,765,474
Net realized gain on investments ....... -- -- 593,376 1,369,389
Change in unrealized
appreciation of investments .... -- -- 78,605 7,631,252
------------- ------------- ------------- -------------
Net increase in net
assets resulting from operations 1,279,729 3,031,272 5,526,358 18,766,115
Undistributed investment income
included in price of shares sold
and repurchased .............. -- -- 36,813 16,214
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ......................... (1,279,729) (3,031,272) (4,944,362) (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 ................ 34,935,940 (4,582,382) (5,919,650) 7,451,978
------------- ------------- ------------- -------------
Total increase (decrease) .............. 34,935,940 (4,582,382) (6,815,571) 13,308,672
NET ASSETS
Beginning of period .................... 88,235,807 92,818,189 225,507,065 212,198,393
------------- ------------- ------------- -------------
End of period* ......................... $ 123,171,747 $ 88,235,807 $ 218,691,494 $ 225,507,065
============= ============= ============= =============
* Including undistributed net
investment income of: .................. $ -- $ -- $ 46,923 $ 100,095
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
39
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
California Insured U.S. Government
Intermediate Fund Securities Fund
----------------------------- -----------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1999 August 31, February 28, 1999 August 31,
(Unaudited) 1998 (Unaudited) 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .................. $ 483,197 $ 949,759 $ 914,897 $ 1,846,240
Net realized gain on investments ....... 31,946 274,305 439,014 533,683
Change in unrealized
appreciation of investments .... 106,866 283,895 (1,419,846) 2,531,385
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations 622,009 1,507,959 (65,935) 4,911,308
Undistributed investment income
included in price of shares sold
and repurchased .............. 3,363 (5,053) (538) 1,244
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ......................... (482,690) (952,340) (914,804) (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 ................ 1,682,938 (1,257,783) (539,399) 1,977,133
------------ ------------ ------------ ------------
Total increase (decrease) .............. 1,565,694 (817,871) (2,356,747) 4,786,559
NET ASSETS
Beginning of period .................... 23,571,883 24,389,754 36,063,346 31,276,787
------------ ------------ ------------ ------------
End of period* ......................... $ 25,137,577 $ 23,571,883 $ 33,706,599 $ 36,063,346
============ ============ ============ ============
* Including undistributed net
investment income of: .................. $ 21,784 $ 17,914 $ 97,948 $ 98,393
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
40
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
The United States
Treasury Trust
-------------------------------
Six Months Ended Year Ended
February 28, 1999 August 31,
(Unaudited) 1998
------------- -------------
<S> <C> <C>
OPERATIONS:
Net investment income .................. $ 1,080,884 $ 2,283,323
Net realized gain (loss) on investments (13,032) 7,101
------------- -------------
Net increase in net
assets resulting from operations 1,067,852 2,290,424
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ......................... (1,080,884) (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 ................ 10,430,213 (60,175,066)
------------- -------------
Total increase (decrease) .............. 10,410,080 (60,167,965)
------------- -------------
NET ASSETS
Beginning of period .................... 44,341,011 104,508,976
------------- -------------
End of period* ......................... $ 54,751,091 $ 44,341,011
============= =============
* Including undistributed net
investment income of: .................. $ -- $ --
============= =============
</TABLE>
See accompanying notes to financial statements
41
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
S&P 500 S&P MidCap
Index Fund Index Fund
------------------------------- -------------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1999 August 31, February 28, 1999 August 31,
(Unaudited) 1998 (Unaudited) 1998
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................... $ 882,715 $ 1,493,833 $ 313,002 $ 610,803
Net realized gain on investments ........ 3,127,495 401,247 7,061,695 4,397,743
Net realized gain on
futures contracts ............... 954,083 1,118,763 929,893 686,563
Change in unrealized
appreciation of investments ..... 21,222,965 3,903,283 1,641,954 (8,335,339)
Change in unrealized
appreciation of futures contracts 1,812,163 (2,115,151) 779,205 (1,183,655)
------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from operations 27,999,421 4,801,975 10,725,749 (3,823,885)
Undistributed investment income
included in price of shares sold
and repurchased ............... 27,354 22,942 (965) (3,241)
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income .......................... (927,387) (1,315,692) (302,922) (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 ................. 12,231,825 13,671,516 7,826,448 1,591,295
------------- ------------- ------------- -------------
Total increase (decrease) ............... 36,729,547 15,760,734 11,527,628 (6,416,285)
NET ASSETS
Beginning of period ..................... 87,620,603 71,859,869 39,854,616 46,270,901
------------- ------------- ------------- -------------
End of period* .......................... $ 124,350,150 $ 87,620,603 $ 51,382,244 $ 39,854,616
============= ============= ============= =============
* Including undistributed net
investment income of: ................... $ 269,192 $ 286,510 $ 29,233 $ 20,118
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
42
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
S&P SmallCap Equity
Index Fund Income Fund
----------------------------- -----------------------------
Six Months Ended Year Ended Six Months Ended Year Ended
February 28, 1999 August 31, February 28, 1999 August 31,
(Unaudited) 1998 (Unaudited) 1998
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .................. $ 38,665 $ 99,419 $ 145,705 $ 311,183
Net realized gain (loss)
on investments ................. (148,834) 460,964 63,778 (175,735)
Net realized gain (loss) on
futures contracts .............. 62,524 (125,034) (291,121) 398,923
Change in unrealized appreciation
of investments ................. 904,160 (2,376,553) 1,509,209 (247,662)
Change in unrealized appreciation
of futures contracts ........... 242,161 (337,712) 912,516 (964,544)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations 1,098,676 (2,278,916) 2,340,087 (677,835)
Undistributed investment income
included in price of shares sold
and repurchased .............. (430) 8,068 (7,381) 16,013
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ......................... (38,737) (106,655) (170,505) (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 ................ (466,838) 4,662,012 (1,285,957) 3,606,133
------------ ------------ ------------ ------------
Total increase ......................... 482,603 1,983,331 876,244 2,333,537
NET ASSETS
Beginning of period .................... 7,916,252 5,932,921 12,080,056 9,746,519
------------ ------------ ------------ ------------
End of period* ......................... $ 8,398,855 $ 7,916,252 $ 12,956,300 $ 12,080,056
============ ============ ============ ============
* Including undistributed net
investment income of: .................. $ -- $ -- $ 2,852 $ 35,033
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
43
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
California Tax Free Income Fund
-------------------------------------------------------------------
Six Months Ended
February 28, 1999 Year Ended
(Unaudited) August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 9,028,547 $ 119,422,584 13,772,812 $ 178,386,066
Shares issued in reinvestment of
dividends ................... 327,930 4,342,552 758,108 9,811,775
------------- ------------- ------------- -------------
9,356,477 123,765,136 14,530,920 188,197,841
Shares repurchased ............. (9,788,910) (129,684,786) (13,928,582) (180,745,863)
------------- ------------- ------------- -------------
Net increase (decrease) ..... (432,433) $ (5,919,650) 602,338 $ 7,451,978
============= ============= ============= =============
<CAPTION>
California Insured Intermediate Fund
-------------------------------------------------------------------
Six Months Ended
February 28, 1999 Year Ended
(Unaudited) August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 256,141 $ 2,802,139 460,985 $ 4,960,936
Shares issued in reinvestment of
dividends ................... 45,160 493,407 68,160 734,678
------------- ------------- ------------- -------------
301,301 3,295,546 529,145 5,695,614
Shares repurchased ............. (147,715) (1,612,608) (646,021) (6,953,397)
------------- ------------- ------------- -------------
Net increase (decrease) ..... 153,586 $ 1,682,938 (116,876) $ (1,257,783)
============= ============= ============= =============
<CAPTION>
California Tax-Free The United States
Money Market Fund Treasury Trust
------------------------------- -------------------------------
Six Months Ended Six Months Ended
February 28, 1999 Year ended February 28, 1999 Year Ended
(Unaudited) August 31, 1998 (Unaudited) August 31, 1998
------------- ------------- ------------- -------------
Shares/Value Shares/Value Shares/Value Shares/Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 126,533,739 278,519,260 110,963,082 141,142,619
Shares issued in reinvestment of
dividends ................... 1,031,396 2,875,691 1,036,412 2,130,742
------------- ------------- ------------- -------------
127,565,135 281,394,951 111,999,494 143,273,361
Shares repurchased ............. (92,629,195) (285,977,333) (101,569,281) (203,448,427)
------------- ------------- ------------- -------------
Net increase (decrease) ..... 34,935,940 (4,582,382) 10,430,213 60,175,066
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
44
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (Continued)
<TABLE>
<CAPTION>
U.S. Government Securities Fund
-------------------------------------------------------------------
Six Months Ended
February 28, 1999 Year Ended
(Unaudited) August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 859,548 $ 9,729,195 1,569,018 $ 16,951,443
Shares issued in reinvestment of
dividends ................... 108,155 1,218,457 135,540 1,463,419
------------- ------------- ------------- -------------
967,703 10,947,652 1,704,558 18,414,862
Shares repurchased ............. (1,023,268) (11,487,051) (1,525,106) (16,437,729)
------------- ------------- ------------- -------------
Net increase (decrease) ..... (55,565) $ (539,399) 179,452 $ 1,977,133
============= ============= ============= =============
<CAPTION>
S&P 500 Index Fund
-------------------------------------------------------------------
Six Months Ended
February 28, 1999 Year Ended
(Unaudited) August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 918,864 $ 22,400,285 1,102,164 $ 25,262,969
Shares issued in reinvestment of
dividends ................... 136,639 3,359,263 119,309 2,591,113
------------- ------------- ------------- -------------
1,055,503 25,759,548 1,221,473 27,854,082
Shares repurchased ............. (546,681) (13,527,723) (624,706) (14,182,566)
------------- ------------- ------------- -------------
Net increase ................ 508,822 $ 12,231,825 596,767 $ 13,671,516
============= ============= ============= =============
<CAPTION>
S&P MidCap Index Fund
-------------------------------------------------------------------
Six Months Ended
February 28, 1999 Year Ended
(Unaudited) August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 384,572 $ 6,979,506 295,197 $ 5,711,888
Shares issued in reinvestment of
dividends ................... 392,245 6,550,690 207,684 3,706,528
------------- ------------- ------------- -------------
776,817 13,530,196 502,881 9,418,416
Shares repurchased ............. (326,744) (5,703,748) (408,733) (7,827,121)
------------- ------------- ------------- -------------
Net increase ................ 450,073 $ 7,826,448 94,148 $ 1,591,295
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
45
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(Continued)
<TABLE>
<CAPTION>
S&P SmallCap Index Fund
-------------------------------------------------------------------
Six Months Ended
February 28, 1999 Year Ended
(Unaudited) August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 522,927 $ 5,500,973 562,478 $ 7,251,518
Shares issued in reinvestment of
dividends ................... 13,231 143,819 31,999 389,142
------------- ------------- ------------- -------------
536,158 5,644,792 594,477 7,640,660
Shares repurchased ............. (566,271) (6,111,630) (242,139) (2,978,648)
------------- ------------- ------------- -------------
Net increase (decrease) ..... (30,113) $ (466,838) 352,338 $ 4,662,012
============= ============= ============= =============
<CAPTION>
Equity Income Fund
-------------------------------------------------------------------
Six Months Ended
February 28, 1999 Year Ended
(Unaudited) August 31, 1998
------------------------------- -------------------------------
Shares Value Shares Value
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
Shares sold .................... 130,719 $ 1,804,623 493,129 $ 6,918,782
Shares issued in reinvestment of
dividends ................... 12,539 165,265 44,457 592,174
------------- ------------- ------------- -------------
143,258 1,969,888 537,586 7,510,956
Shares repurchased ............. (242,273) (3,255,845) (300,004) (3,904,823)
------------- ------------- ------------- -------------
Net increase (decrease) ..... (99,015) $ (1,285,957) 237,582 $ 3,606,133
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
46
<PAGE>
FINANCIAL HIGHLIGHTS
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
California Tax-Free Money Market Fund
---------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1999 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.013 0.030 0.031 0.032 0.032 0.022
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.013) (0.030) (0.031) (0.032) (0.032) (0.022)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== ========== ========== ==========
Total Return ............................... 1.28% 3.09% 3.09% 3.26% 3.27% 2.18%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 123,172 $ 88,236 $ 92,818 $ 103,402 $ 80,412 $ 85,935
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.63%* 0.61% 0.61% 0.61% 0.66% 0.68%
After expense reimbursements ..... 0.40%* 0.40% 0.40% 0.40% 0.40% 0.35%
Ratio of net investment income to average
net assets:
Before expense reimbursements .... 2.32%* 2.77% 2.86% 2.90% 2.97% 1.83%
After expense reimbursements ..... 2.55%* 2.98% 3.07% 3.11% 3.23% 2.16%
</TABLE>
See accompanying notes to the financial statements
*Annualized
47
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
California Tax-Free Income Fund
---------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1999 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 13.18 $ 12.86 $ 12.31 $ 12.22 $ 12.17 $ 13.39
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.30 0.58 0.60 0.62 0.61 0.65
Net gain (loss) on securities (both
realized and unrealized) ............. 0.01 0.51 0.54 0.09 0.30 (0.92)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations .. 0.31 1.09 1.14 0.71 0.91 (0.27)
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.28) (0.58) (0.59) (0.62) (0.66) (0.66)
Distributions from capital gains ........ (0.09) (0.19) -- -- (0.20) (0.29)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ............... (0.37) (0.77) (0.59) (0.62) (0.86) (0.95)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ............. $ 13.12 $ 13.18 $ 12.86 $ 12.31 $ 12.22 $ 12.17
========== ========== ========== ========== ========== ==========
Total Return ............................... 2.37% 8.75% 9.48% 5.40% 8.01% (2.15)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 218,691 $ 225,507 $ 212,198 $ 194,926 $ 196,046 $ 225,087
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.61%* 0.61% 0.59% 0.60% 0.62% 0.60%
After expense reimbursements ..... 0.61%* 0.61% 0.59% 0.60% 0.62% 0.60%
Ratio of net investment income to average
net assets:
Before expense reimbursements .... 4.29%* 4.47% 4.75% 4.96% 5.13% 5.09%
After expense reimbursements ..... 4.29%* 4.47% 4.75% 4.96% 5.13% 5.09%
Portfolio Turnover ...................... 8.01% 20.95% 34.96% 10.34% 32.21% 31.27%
</TABLE>
* Annualized
See accompanying notes to the financial statements
48
<PAGE>
FINANCIAL HIGHLIGHTS --(Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
California Insured Intermediate Fund
---------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1999 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 10.92 $ 10.72 $ 10.42 $ 10.49 $ 10.23 $ 10.65
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.21 0.44 0.45 0.46 0.44 0.44
Net gain (loss) on securities (both
realized and unrealized) .............. 0.07 0.25 0.30 (0.07) 0.30 (0.42)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations ... 0.28 0.69 0.75 0.39 0.74 0.02
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.21) (0.44) (0.45) (0.46) (0.48) (0.44)
Distributions from capital gains ........ (0.12) (0.05) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ............... (0.33) (0.49) (0.45) (0.46) (0.48) (0.44)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ............. $ 10.87 $ 10.92 $ 10.72 $ 10.42 $ 10.49 $ 10.23
========== ========== ========== ========== ========== ==========
Total Return ............................... 2.57% 6.64% 7.34% 3.75% 7.46% 0.23%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 25,138 $ 23,572 $ 24,390 $ 24,207 $ 23,515 $ 21,800
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.68%* 0.70% 0.70% 0.70% 0.76% 0.88%
After expense reimbursements ..... 0.55%* 0.55% 0.55% 0.55% 0.60% 0.46%
Ratio of net investment income to average
net assets:
Before expense reimbursements .... 3.81%* 3.94% 4.12% 4.22% 4.19% 3.77%
After expense reimbursements ..... 3.94%* 4.09% 4.27% 4.37% 4.35% 4.19%
Portfolio Turnover ...................... 3.64% 26.76% 32.11% 36.08% 43.56% 8.91%
</TABLE>
* Annualized
See accompanying notes to the financial statements
49
<PAGE>
FINANCIAL HIGHLIGHTS -- (Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
U.S Government Securities Fund
---------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1999 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 11.30 $ 10.38 $ 10.15 $ 10.66 $ 10.30 $ 11.76
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.29 0.59 0.64 0.66 0.70 0.67
Net gain (loss) on securities (both
realized and unrealized) ............. (0.30) 1.01 0.36 (0.51) 0.41 (1.40)
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations .. (0.01) 1.60 1.00 0.15 1.11 (0.73)
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.28) (0.61) (0.63) (0.66) (0.75) (0.67)
Distributions from capital gains ........ (0.26) (0.07) (0.14) -- -- (0.06)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ............... (0.54) (0.68) (0.77) (0.66) (0.75) (0.73)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ............. $ 10.75 $ 11.30 $ 10.38 $ 10.15 $ 10.66 $ 10.30
========== ========== ========== ========== ========== ==========
Total Return ............................... (0.27)% 15.88% 10.00% 1.26% 11.42% (6.44)%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 33,707 $ 36,063 $ 31,277 $ 29,088 $ 29,884 $ 30,228
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.67%* 0.68% 0.69% 0.71% 0.75% 0.73%
After expense reimbursements ..... 0.65%* 0.65% 0.65% 0.65% 0.64% 0.62%
Ratio of net investment income to average
net assets:
Before expense reimbursements .... 5.00%* 5.46% 6.00% 6.10% 6.72% 5.99%
After expense reimbursements ..... 5.02%* 5.49% 6.04% 6.16% 6.83% 6.10%
Portfolio Turnover ...................... 72.80% 65.27% 170.76% 89.11% 169.83% 129.06%
</TABLE>
* Annualized
See accompanying notes to the financial statements
50
<PAGE>
FINANCIAL HIGHLIGHTS --(Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
The United States Treasury Trust
---------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1999 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ---------- ---------- ----------v
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.020 0.051 0.048 0.050 0.050 0.031
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.020) (0.051) (0.048) (0.050) (0.050) (0.031)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ............. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== ========== ========== ==========
Total Return ............................... 2.10% 5.21% 4.92% 5.11% 5.10% 3.11%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 54,571 $ 44,341 $ 104,509 $ 37,903 $ 29,797 $ 19,268
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.62%* 0.64% 0.64% 0.66% 0.72% 0.75%
After expense reimbursements ..... 0.43%* 0.40% 0.40% 0.43% 0.50% 0.52%
Ratio of net investment income to average
net assets:
Before expense reimbursements .... 3.99%* 4.54% 4.58% 4.60% 4.75% 2.62%
After expense reimbursements ..... 4.18%* 4.78% 4.82% 4.83% 4.97% 2.85%
</TABLE>
* Annualized
See accompanying notes to the financial statements
51
<PAGE>
FINANCIAL HIGHLIGHTS --(Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
S&P 500 Index Fund
---------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1999 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 20.90 $ 19.98 $ 14.81 $ 13.31 $ 11.38 $ 11.25
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.21 0.36 0.38 0.36 0.39 0.30
Net gain on securities (both
realized and unrealized) .............. 6.12 1.28 5.44 2.05 1.94 0.26
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations ... 6.33 1.64 5.82 2.41 2.33 0.56
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.20) (0.34) (0.37) (0.37) (0.37) (0.30)
Distributions from capital gains ........ (0.58) (0.38) (0.28) (0.54) (0.03) (0.13)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ............... (0.78) (0.72) (0.65) (0.91) (0.40) (0.43)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ............. $ 26.45 $ 20.90 $ 19.98 $ 14.81 $ 13.31 $ 11.38
========== ========== ========== ========== ========== ==========
Total Return ............................... 30.60% 8.14% 40.19% 18.63% 21.06% 5.17%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 124,350 $ 87,621 $ 71,860 $ 43,849 $ 21,800 $ 14,830
Ratio of expenses to average net
assets:
Before expense reimbursements ....... 0.38%* 0.40% 0.46% 0.57% 1.04% 1.01%
After expense reimbursements ........ 0.20%* 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of net investment income to average
net assets:
Before expense reimbursements ....... 1.40%* 1.48% 1.85% 2.13% 2.40% 1.95%
After expense reimbursements ........ 1.58%* 1.68% 2.11% 2.50% 3.24% 2.76%
Portfolio Turnover ......................... 6.24% 1.82% 2.10% 1.87% 3.68% 1.22%
</TABLE>
* Annualized
See accompanying notes to the financial statements
52
<PAGE>
FINANCIAL HIGHLIGHTS --(Continued)
(For a share outstanding throughout each period)
<TABLE>
<CAPTION>
S&P MidCap Index Fund
---------------------------------------------------------------------------------
Six Months Ended Year Ended Year Ended Year Ended Year Ended Year Ended
February 28, 1999 August 31, August 31, August 31, August 31, August 31,
(Unaudited) 1998 1997 1996 1995 1994
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 15.41 $ 18.57 $ 14.45 $ 13.82 $ 12.21 $ 12.23
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.10 0.23 0.22 0.24 0.26 0.22
Net gain (loss) on securities (both
realized and unrealized) ............. 4.02 (1.76) 4.85 1.33 2.04 0.22
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations .. 4.12 (1.53) 5.07 1.57 2.30 0.44
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.10) (0.23) (0.22) (0.25) (0.25) (0.22)
Distributions from capital gains ........ (2.51) (1.40) (0.73) (0.69) (0.44) (0.24)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ........................ (2.61) (1.63) (0.95) (0.94) (0.69) (0.46)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ............. $ 16.92 $ 15.41 $ 18.57 $ 14.45 $ 13.82 $ 12.21
========== ========== ========== ========== ========== ==========
Total Return ............................... 27.08% (9.37)% 36.63% 11.77% 20.24% 3.75%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 51,382 $ 39,855 $ 46,271 $ 33,559 $ 26,168 $ 21,789
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.57%* 0.56% 0.61% 0.71% 0.80% 0.97%
After expense reimbursements ..... 0.40%* 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to average
net assets:
Before expense reimbursements .... 1.10%* 1.04% 1.19% 1.38% 1.70% 1.30%
After expense reimbursements ..... 1.27%* 1.20% 1.40% 1.69% 2.10% 1.87%
Portfolio Turnover ...................... 25.34% 19.35% 17.80% 18.18% 11.71% 15.01%
</TABLE>
* Annualized
See accompanying notes to the financial statements
53
<PAGE>
FINANCIAL HIGHLIGHTS --(Continued)
(For a share outstanding throughout the period)
<TABLE>
<CAPTION>
S&P SmallCap Index Fund
----------------------------------------------
Six Months Ended Year Ended October 2, `96*
February 28, 1999 August 31, to
(Unaudited) 1998 August 31, `97
---------- ---------- ----------
<S> <C> <C> <C>
Net asset value, beginning of period ....... $ 9.46 $ 12.25 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.05 0.13 0.23
Net gain (loss) on securities (both
realized and unrealized) ............. 1.08 (2.39) 2.22
---------- ---------- ----------
Total from investment operations .. 1.13 (2.26) 2.45
---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.05) (0.14) (0.20)
Distributions from capital gains ........ (0.13) (0.39) --
---------- ---------- ----------
Total distributions ........................ (0.18) (0.53) (0.20)
---------- ---------- ----------
Net asset value, end of period ............. $ 10.41 $ 9.46 $ 12.25
========== ========== ==========
Total Return ............................... 11.86% 19.38% 24.86%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 8,399 $ 7,916 $ 5,933
Ratio of expenses to average net
assets:
Before expense reimbursements .... 1.11%** 1.10% 2.32%**
After expense reimbursements ..... 0.65%** 0.65% 0.65%**
Ratio of net investment income to average
net assets:
Before expense reimbursements .... 0.38%** 0.57% 0.27%**
After expense reimbursements ..... 0.84%** 1.02% 1.94%**
Portfolio Turnover ...................... 16.05% 24.58% 19.99%
<CAPTION>
Equity Income Fund
----------------------------------------------
Six Months Ended Year Ended September 4,`96*
February 28, `99 August 31, to
(Unaudited) 1998 August 31, `97
---------- ---------- ----------
<S> <C> <C> <C>
Net asset value, beginning of period ....... $ 11.98 $ 12.64 $ 10.00
---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.22 0.37 0.39
Net gain (loss) on securities (both
realized and unrealized) ............. 2.22 (0.25) 2.84
---------- ---------- ----------
Total from investment operations .. 2.44 0.12 3.23
---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.18) (0.37) (0.32)
Distributions from capital gains ........ -- (0.41) (0.27)
---------- ---------- ----------
Total distributions ........................ (0.18) (0.78) (0.59)
---------- ---------- ----------
Net asset value, end of period ............. $ 14.24 $ 11.98 $ 12.64
========== ========== ==========
Total Return ............................... 20.48% 0.46% 33.28%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 12,956 $ 12,080 $ 9,747
Ratio of expenses to average net
assets:
Before expense reimbursements .... 0.86%** 0.91% 1.55%**
After expense reimbursements ..... 0.80%** 0.78% 0.76%**
Ratio of net investment income to average
net assets:
Before expense reimbursements .... 2.22%** 2.56% 2.48%**
After expense reimbursements ..... 2.28%** 2.69% 3.27%**
Portfolio Turnover ...................... 14.70% 41.23% 2.80%
</TABLE>
* Commencement of Operations
** Annualized
See accompanying notes to the financial statements
54
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
February 28, 1999
(Unaudited)
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund and Equity Income Fund are separate series of shares of
beneficial interest of California Investment Trust II. Both Trusts are
registered under the Investment Company Act of 1940, as amended, as diversified
open-end management investment companies. Both Trusts were organized as
Massachusetts business trusts on September 11, 1985 and are authorized to issued
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 seeks capital preservation, liquidity and the highest achievable current
income exempt from both federal and California personal income taxes consistent
with safety. U.S. Government Securities Fund seeks safety from credit risk,
liquidity, and as high a level of income as is consistent with these objectives
by investment in full faith and credit obligations of the U.S. Government and
its agencies or instrumentalities. The United States Treasury Trust seeks
preservation of capital, safety, liquidity and consistent with these objectives,
the highest attainable current income exempt from state income taxes. S&P 500
Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are diversified
mutual funds that seek to provide investment results that correspond to the
total return of publicly traded common stocks represented in the Standard &
Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of current income by investing primarily in income
producing equity securities. The following is a summary of significant
accounting policies followed by the Funds.
(a) Security Valuation --- Portfolio securities of the S&P 500, S&P
MidCap and S&P SmallCap Index Funds and the Equity Income Fund listed on a
national exchange are valued at the last reported sales price. U.S.
Treasury Bills are valued at amortized cost which approximates market
value. Portfolio securities of the California Tax-Free Income Fund,
California Insured Intermediate Fund and the U.S. Government Securities
Fund are valued by an independent pricing service that uses market
quotations, representing the mean between the latest available bid and
asked prices, prices provided by market makers, or estimates of market
values obtained from yield data relating to instruments or securities with
similar characteristics, in accordance with procedures established in good
faith by the Board of Trustees. Securities with remaining maturities of 60
days or less are valued on the amortized cost basis as reflecting fair
value. All other securities are valued at their fair value as determined in
good faith by the Board of Trustees. California Tax-Free Money Market Fund
and The United States Treasury Trust securities are valued at amortized
cost which the Board of Trustees has determined in good faith to constitute
fair value.
(b) Futures Contracts --- Initial margin deposits required upon
entering into futures contracts are satisfied by the segregation of
specific securities or cash, as collateral, for the account of the broker
(the Fund's agent in acquiring the futures position). During the period the
futures contract is open, changes in the value of the contract are
recognized as unrealized gains or losses by "marking to market" on a daily
basis to reflect the market value of the contract at the end of each day's
trading. Variation margin payments are made or received depending upon
whether unrealized gains or losses are incurred. When the contract is
closed, the Fund records a realized gain or loss equal to the difference
between the proceeds from (or cost of) the closing transaction and the
Fund's basis in the contract. The S&P 500 Index Fund, S&P MidCap Index
Fund, S&P SmallCap Index Fund and Equity Income
55
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
February 28, 1999
(Unaudited)
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (Continued)
Fund may purchase or sell stock index futures to maintain cash reserves
while remaining fully invested, to facilitate trading, to reduce
transaction costs, or to seek higher investment returns when a futures
contract is priced more attractively than the underlying equity security or
index. Risks include the possibility of an illiquid market and an imperfect
correlation between the change in market value of the stocks held by a Fund
and the prices of futures contracts.
(c) Federal Income Taxes --- No provision is considered necessary for
Federal income taxes. The Funds intend to qualify for an elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
California Tax-Free Money Market Fund has capital loss carryovers available
to offset future gains, if any, of $28,920 which expire as follows, $9,949
in 1999, $4,130 in 2000, $1,920 in 2003 and $12,921 in 2004.
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities
purchased are amortized in accordance with tax regulations. Distributions
to shareholders are recorded on the ex-dividend date for the California
Tax-Free Income Fund, the California Insured Intermediate Fund, the U.S.
Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund and the Equity Income Fund. Income distributions and
capital gain distributions are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for futures
contracts and post October capital losses. For the California Tax-Free
Money Market Fund and The United States Treasury Trust, dividends from net
investment income are declared daily and reinvested or paid in cash
monthly. The two Funds intend to maintain a continuous net asset value per
share of $1.00. If net asset value per share using available market
information deviates from $1.00 by $.005 or more, the Board of Trustees
would consider what steps, if any, should be taken to restore net asset
value per share to $1.00.
(e) Equalization --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund, the U.S. Government Securities Fund,
S&P 500 Index Fund, S&P MidCap Index Fund, S&P SmallCap Index Fund and the
Equity Income Fund follow the accounting practice of "equalization" whereby
part of the proceeds from capital share transactions equivalent to a
proportionate share of the distributable investment income on the date of
the transaction, is transferred to or from the undistributed net investment
income account. Undistributed net investment income is therefore unaffected
by capital share transactions.
(f) Concentration --- The California Tax-Free Income Fund, the
California Insured Intermediate Fund and the California Tax-Free Money
Market Fund invest in debt instruments of municipal issuers. The 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 expense during
the period. Actual results may differ from these estimates.
56
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
February 28, 1999
(Unaudited)
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives as compensation at the annual rate
of .25% and .40%, respectively, of the Funds' average daily net assets. In
accordance with the terms of the management agreements with the S&P SmallCap
Index Fund and Equity Income Fund, CCM receives compensation at the annual rate
of 0.50% of the first $500 million of net assets, plus 0.45% on net assets from
$500 million to $1 billion, and 0.40% of net assets above $1 billion. CCM has
agreed to reduce its fee by, or reimburse the Funds for, any amount necessary to
prevent the Funds' total expenses, excluding extraordinary items, from exceeding
1.00% of the Funds' average daily net assets. The manager has voluntarily
reimbursed more expenses than contractually obliged. This voluntary
reimbursement may cease at any time without prior notice. Reimbursement from the
manager for the six month period ended February 28, 1999, is as follows:
California Tax-Free Money Market Fund ............... $114,714
California Insured Intermediate Fund ................ $ 15,447
U.S. Government Securities Fund ..................... $ 3,188
The United States Treasury Trust .................... $ 50,629
S&P 500 Index Fund .................................. $101,643
S&P MidCap Index Fund ............................... $ 42,414
S&P SmallCap Fund ................................... $ 21,165
Equity Income Fund .................................. $ 4,116
Roderick Baldwin is the Portfolio Manager for the Stock Funds. He has been
employed by the Manager since February 16, 1999. Prior to his employment with
CCMPartners, Mr. Baldwin handled the day-to-day management of the Stock Funds as
part of his duties as Director of Index Investment Management with Bank of
America Capital Management, a wholly owned subsidiary of Bank of America NT&SA.
Mr. Baldwin was with Bank of America Capital Management from 1976 to 1999. In
addition to his duties relating to the Stock Funds, he was responsible for
managing index products for Bank of America NT&SA. As a result of the Bank of
America and Nations Bank merger, the Board of Trustees of the Trust authorized
the Manager to terminate Bank of America NT&SA/TradeStreet Investment
Associates, Inc. as the sub-adviser to the Stock Funds. The Manager is entirely
responsible for paying the Sub-Adviser according to the following schedule:
For the S&P 500 Index Fund, S&P MidCap Index Fund, and S&P SmallCap Index Fund,
the Sub-Adviser will receive from the Manager a monthly fee, calculated at the
annual rate of 0.10% of average daily net assets up to $50 million and 0.50% of
average daily net assets above $50 million. For the Equity Income Fund, the
Sub-Adviser will
57
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (Continued)
February 28, 1999
(Unaudited)
receive from the Manager a monthly fee, calculated at the annual rate of 0.15%
of average daily net assets up to $50 million and 0.10% of average daily net
assets above $50 million, pursuant to a Sub-Advisory Agreement with the Manager.
NOTE 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the period ended February 28, 1999 were as follows:
PURCHASES SALES
----------- -----------
California Tax-Free Income Fund ........ $17,302,697 $22,575,936
California Insured Tax-Free Income Fund $ 2,383,834 $ 881,089
U.S. Government Securities Fund ........ $26,537,265 $26,011,054
S&P 500 Index Fund ..................... $22,892,370 $ 6,184,994
S&P Midcap Index Fund .................. $16,273,280 $11,302,103
Equity Income Fund ..................... $ 1,317,260 $ 2,299,378
S&P SmallCap Index Fund ................ $ 1,259,327 $ 908,242
58
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64
<PAGE>
California Tax-Free Income Fund
California Insured Intermediate Fund
California Tax-Free Money Market Fund
U.S. Government Securities Fund
The United States Treasury Trust
S&P 500 Index Fund
S&P MidCap Index Fund
S&P SmallCap Index Fund
Equity Income Fund
