CALIFORNIA
INVESTMENT TRUST
------------------
F U N D G R O U P
44 Montgomery Street #2100
San Francisco, CA 94104
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California Tax-Free Income Fund
California Insured Intermediate Fund
California Tax-Free Money Market Fund
U.S. Government Securities Fund
Short-Term U.S. Government Bond Fund
The United States Treasury Trust
S&P 500 Index Fund
S&P MidCap Index Fund
S&P SmallCap Index Fund
Equity Income Fund
Nasdaq-100 Index Fund
European Growth & Income Fund
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CALIFORNIA
INVESTMENT TRUST
------------------
F U N D G R O U P
ANNUAL REPORT
AUGUST 31, 2000
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.
(800) 225-8778
www.caltrust.com
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HISTORICAL PERFORMANCE AND
MANAGER'S DISCUSSION
On the following pages are line graphs comparing each of the Fund's performance
to a comparable broad based securities market index from the inception of each
Fund through the fiscal year ended August 31, 2000. Each graph assumes a
hypothetical $10,000 initial investment.
The object of the graph is to permit a comparison of the performance of the
funds with a benchmark and to provide perspective on market conditions and
investment strategies and tech-
[GRAPHIC OMITTED]
CA TAX-FREE INCOME FUND VERSUS
the Lehman Bros. Municipal Bond Index
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 1 year 5 years 10 years
California Tax Free Income Fund 8.07% 6.15% 7.34%
Lehman Brothers Municipal Bond Index 6.78% 6.04% 7.27%
08/31/00
--------
CA Tax-Free Income Fund $ 31,955.45
Lehman Municipal Bond Index $ 30,847.98
[GRAPHIC OMITTED]
CALIFORNIA INSURED INTERMEDIATE FUND
versus the Lehman Bros. 5 Year Municipal Bond Index
08/31/00
--------
CA Insured Intermediate Fund $ 15,219.80
Lehman Bros. 5 Yr Muni Index $ 14,854.05
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 1 year 5 years Inception
CA Insured Intermediate Fund 6.25% 5.08% 5.48%
Lehman Brothers 5 yr Muni Bond Index 5.37% 4.90% 5.16%
niques that materially affected the performance of each Fund. With each graph is
a table presenting each of the respective Fund's average annual total return for
the one-year, five-year, ten-year, and/or inception period through August 31,
2000.
BOND FUNDS
The fiscal year was marked by shifting perceptions of whether or not aggregate
supply and demand would be balanced at a non-inflationary, economic growth rate.
In response, government bond prices twice fell and rose sharply, ending the year
slightly above those at the beginning. California municipal bonds followed a
similar pattern, but ended with
1
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HISTORICAL PERFORMANCE AND
MANAGER'S DISCUSSION
(Continued)
prices along the yield curve significantly above those of a year ago.
In the market's volatile environment, our strategy was to maintain a high
current yield through emphasis on a high average portfolio coupon, while
attempting to improve performance by altering the Funds' duration periodically
in anticipation of changes in interest rates.
[GRAPHIC OMITTED]
SHORT-TERM U.S. GOVERNMENT BOND FUND
versus the Lehman 1-3 yr Treasury Index
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 Since Inception
Short-Term U.S. Government Bond Fund 4.15%
Lehman Bros. 1-3 yr Treasury Index 4.41%
08/31/00
--------
Short-Term U.S. Govt. Bond Fund $ 10,414.70
Lehman 1-3 yr Treasury Index $ 10,440.88
[GRAPHIC OMITTED]
U.S. GOVERNMENT SECURITIES FUND
versus the Lehman Bros. Treasury and GNMA Indices
08/31/00
--------
U.S. Govt. Securities Fund $ 31,512.70
Lehman Bros. GNMA Index $ 33,517.55
Lehman Bros. Tresury Index $ 32,597.71
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 1 year 5 years 10 years
U.S. Government Securities Fund 7.35% 6.23% 8.31%
Lehman Bros. Composite Treasury Index 8.03% 6.60% 7.96%
Lehman Bros. GNMA Treasury Index 8.43% 7.32% 7.79%
In 1999, the California Tax-Free Income Fund raised cash through sales of
securities. Some swaps out of long-term maturities into intermediates were
effected in January to further shorten portfolio duration. Re-extension of
portfolio maturity began in mid-February, with the pace of extension picking up
in March and again in May and June. At fiscal year-end, the portfolio profile
showed an average coupon of 6.11%, an average quality of Aal, an average
maturity of 11.2 years, and an average duration of 7.6 years.
In the California Insured Intermediate Fund activities during the fiscal year
focused primarily on increasing portfolio yield through bond swaps
2
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HISTORICAL PERFORMANCE AND
MANAGER'S DISCUSSION
(Continued)
lengthening maturity. As of August 31, 2000, the portfolio average coupon was
5.70%, average maturity was 6.7 years and duration was 5.3 years.
The portfolio profile of the U. S. Government Securities Fund has been modified
frequently during the course of the fiscal year in response to market volatility
and changes in yield spread among market sectors. At fiscal year-end, the Fund's
average coupon was
[GRAPHIC OMITTED]
CIT S&P 500 INDEX FUND versus
the S&P 500 Composite Stock Price Index
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 1 year 5 years Inception
CIT S&P 500 Index Fund 16.38% 23.94% 19.15%
S&P 500 Composite Stock Price Index 16.31% 24.03% 19.45%
08/31/00
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S&P 500 Index Fund $ 43,307.44
S&P 500 Composite Stock Price Index $ 44,208.04
[GRAPHIC OMITTED]
CIT S&P MIDCAP INDEX FUND
versus the S&P MidCap 400 Index
08/31/00
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S&P MidCap Index Fund $ 43,004.78
S&P MidCap 400 Index $ 44,215.06
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 1 year 5 years Inception
CIT S&P MidCap Index Fund 40.44% 22.36% 19.05%
S&P MidCap 400 Index 39.74% 22.44% 19.45%
6.6%, the average maturity was 12.1 years and the duration was 7.3 years. GNMA
pass-throughs comprised 44% of Fund assets.
The Short Term U.S. Government Bond Fund at Fiscal year-end had an average
coupon of 4.71%, an average maturity of 1.10 years and a duration of 1.03 years.
STOCK FUNDS
By definition, the objective for managing the index funds is to track the
performance of their respective benchmark indices. Our strategy is to hold in a
Fund the securities that make up its target index in roughly the same proportion
as the index. During this fiscal year, each of the index
3
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HISTORICAL PERFORMANCE AND
MANAGER'S DISCUSSION
(Continued)
funds tracked its underlying index very closely.
During this fiscal year, the S&P SmallCap and S&P MidCap Index Funds handily
outperformed the S&P 500 Fund. We believe that this was caused by investors
seeking opportunity in stocks that had not participated in the run up in
large-sized company stocks. We feel this represents a long awaited and healthy
broadening of the stock market. Investors who have
[GRAPHIC OMITTED]
CIT S&P SMALLCAP INDEX FUND
versus the S&P SmallCap 600 Index
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 1 year 3 years Inception
CIT S&P SmallCap Index Fund 29.63% 8.89% 12.97%
S&P 600 SmallCap Index 28.19% 9.16% 13.82%
08/31/00
--------
S&P SmallCap Index Fund $ 16,120.11
S&P SmallCap 600 Index $ 16,599.19
[GRAPHIC OMITTED]
EQUITY INCOME FUND
versus the S&P Composite Stock Price Index
& S&P/BARRA Value Index
08/31/00
--------
S&P 500 Composite Stock Price Index $ 24,574.27
S&P BARRA/Value Index $ 19,900.83
Equity Income Fund $ 17,809.66
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 1 year 3 years Inception
CIT Equity Income Fund 8.23% 10.14% 15.56%
S&P/BARRA Value Index 9.33% 13.44% 18.82%
S&P 500 Composite Stock Price Index 16.31% 20.69% 25.26%
maintained broad diversification across the three indices have benefited during
this period.
The Equity Income Fund was helped by the resurgence in "value" stocks that have
lower P/E's and higher yields than their "growth" counterparts. Financial and
utility stocks gained as market participants anticipated that the Federal
Reserve was near the end of its interest rate increases. Oil stocks also
performed well as the cost of oil rose throughout the world. We continued to
focus on high yielding stocks in the Fund. The manager sees the yield paid on
stocks as an important part of its investment strategy.
4
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HISTORICAL PERFORMANCE AND
MANAGER'S DISCUSSION
(Continued)
The Nasdaq-100 Index Fund and the European Growth and Income Fund began
operations on January 18, 2000. The Nasdaq-100 Index Fund showed a respectable
7.02% return for the period. It was more volatile as is to be expected because
of the stocks that make up the index. The price earnings ratios (P/E) for the
companies that comprise the index finished the year about 4 times the level of
the general market as measured by the S&P 500 Index. We believe that the current
prices are dependent on future earn-
[GRAPHIC OMITTED]
EUROPEAN GROWTH & INCOME FUND
versus the Dow Jones Stoxx 50 Index (U.S. dollars)
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 Since Inception
CIT European Growth & Income Fund -3.59%
Dow Jones Stoxx 50 Index (U.S. Dollars) -2.05%
08/31/00
--------
European Growth & Income Fund $ 9,641.12
Dow Jones Stoxx 50 Index (U.S. dollars) $ 9,795.42
[GRAPHIC OMITTED]
NASDAQ-100 INDEX FUND
versus the Nasdaq-100 Index
08/31/00
--------
Nasdaq-100 Index Fund $ 10,701.64
Nasdaq-100 Index $ 10,853.89
AVERAGE ANNUAL TOTAL RETURNS
for periods ended 8/31/2000 Since Inception
CIT Nasdaq-100 Index Fund 7.02%
Nasdaq-100 Index 8.54%
ings potential as opposed to current earnings and, for this reason, shareholders
are likely to see continued high volatility.
The European Growth & Income Fund was down 3.59% since the Fund's inception,
January 18, 2000. The stocks that make up the target portfolio for the fund (the
Dow Jones Stoxx 50) were up 11.39% for the period, however, the Euro currency
fell 12.38% against the dollar. Thus, the losses of the fund are attributable
primarily to the currency movements. The manager did not hedge the currency
movements and at this time, does not plan to do so in the future.
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5
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CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2000
MONEY MARKET FUND
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
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<S> <C> <C> <C> <C>
VARIABLE RATE DEMAND NOTES* (61.49%)
ANAHEIM PUBLIC IMPROVEMENT CORP.
Certificates of Particip., 1993 Refunding Project $ 2,500,000 3.500% 09-05-00 $ 2,500,000
CALIFORNIA HEALTH FACILITIES FIN. AUTHORITY
Cottage Hospital Santa Barbara 1985 Series B 3,000,000 3.700% 09-06-00 3,000,000
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
So Cal Edison Series 1986A 3,900,000 3.600% 09-01-00 3,900,000
Shell Oil Company Series 1991A 1,100,000 3.550% 09-01-00 1,100,000
Shell Oil Company Series 1991C 800,000 3.550% 09-01-00 800,000
PG&E Series C 3,000,000 3.550% 09-01-00 3,000,000
EASTERN MUNICIPAL WATER DISTRICT
Water & Sewer Rev. Certificates of Participation 3,000,000 3.500% 09-06-00 3,000,000
IRVINE, CITY OF
Assessment District 94-13; Orange County 3,490,000 3.300% 09-01-00 3,490,000
Assessment District 95-12; Orange County 1,200,000 3.600% 09-01-00 1,200,000
Assessment District 89-10; Orange County 1,000,000 3.300% 09-01-00 1,000,000
IRVINE RANCH WATER DISTRICT
COP, Series 86 4,800,000 3.350% 09-01-00 4,800,000
Consolidated Series 85A 200,000 3.350% 09-01-00 200,000
Consolidated Series 85B 4,500,000 3.600% 09-01-00 4,500,000
Consolidated Series 91 3,000,000 3.600% 09-01-00 3,000,000
Consolidated Series 1995; Districts 105, 140, 240
and 280 1,400,000 3.350% 09-01-00 1,400,000
CALIFORNIA HEALTH FAC. FIN. AUTHORITY
Sutter Health, Series 1996B 3,700,000 3.600% 09-01-00 3,700,000
ORANGE COUNTY SANITATION DISTRICT
Refunding Cert. of Participation Series 90-92 A 4,155,000 3.600% 09-01-00 4,155,000
ORANGE COUNTY WATER DISTRICT
COP Series 90B 2,000,000 3.350% 09-01-00 2,000,000
LOS ANGELES COUNTY
Pension Obligation Refunding Bonds 2,500,000 3.500% 09-05-00 2,500,000
LOS ANGELES METROPOLITAN TRANSPORTATION AUTHORITY
Sales Tax Revenue Bonds Series A 2,800,000 3.500% 09-06-00 2,800,000
RIVERSIDE REDEVELOPMENT AGENCY
Multi-family Housing Revenue Bonds 2,700,000 3.500% 09-05-00 2,700,000
SAN BERNADINO COUNTY
COP, 1996 County Center Refinancing Project 3,200,000 3.550% 09-05-00 3,200,000
SOUTHERN CA PUBLIC POWER AUTHORITY
Power Project Revenue Bond, Series C 3,000,000 3.500% 09-05-00 3,000,000
TUSTIN, CITY OF
Reassessment District No. 95-2, Series A 2,300,000 3.600% 09-01-00 2,300,000
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Total Variable Rate Demand Notes 63,245,000
(cost $63,245,000) -------------
TAX AND REVENUE ANTICIPATION NOTES (11.62%)
CA School Cash Res. Program 2,000,000 5.250% 07-03-01 2,015,693
CA Statewide Communities Dev Authority 2,000,000 5.250% 06-29-01 2,015,494
Kings River Dist Rev Series D 2,630,000 6.000% 01-01-01 2,702,750
Santa Rosa High School District 2,200,000 4.250% 09-29-00 2,200,768
Santa Barbara School Finance Authority 2,000,000 5.000% 06-29-01 2,011,540
Solano County Tax/Rev Notes 1,000,000 4.500% 12-15-00 1,001,945
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Total Tax and Revenue Anticipation Notes 11,948,190
(cost $11,948,190) -------------
COMMERCIAL PAPER (26.74%)
CALIFORNIA EDUCATIONAL FACILITIES
Carnegie Institution 1993 Series A & B 3,000,000 4.000% 09-06-00 3,000,000
EAST BAY MUNICIPAL UTILITY DISTRICT
Water System Series 3,500,000 3.950% 12-06-00 3,500,000
LOS ANGELES DEPT. OF WATER & POWER
Electric Plant Short-Term Revenue Certificates 3,500,000 3.200% 09-06-00 3,500,000
LOS ANGELES, CITY OF WASTEWATER
Wastewater System 3,500,000 3.900% 12-06-00 3,500,000
6
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CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2000
MONEY MARKET FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
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METROPOLITAN WATER DISTRICT OF SO. CA
Metropolitan Water District of Southern CA $ 2,400,000 3.600% 10-26-00 $ 2,400,000
Metropolitan Water District of Southern CA 1,500,000 3.550% 10-11-00 1,500,000
SACRAMENTO MUNICIPAL UTILITIES DISTRICT
Commercial Paper Notes Series I 3,100,000 3.900% 01-17-01 3,100,000
SAN DIEGO COUNTY REGIONAL TRANS. AUTH.
Sales Tax Revenue, Series A 3,500,000 3.850% 09-12-00 3,500,000
STATE OF CALIFORNIA GENERAL OBLIGATION
Tax-Exempt Commerical Paper Notes 3,500,000 3.950% 11-08-00 3,500,000
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Total Commercial Paper 27,500,000
(cost $27,500,000) -------------
Total Investments (Cost $102,693,190 ) (99.85%) 102,693,190
Other Net Assets (0.15%) 154,698
-------------
Net Assets (100.00%) $102,847,888
=============
(a) Aggregate cost for federal income tax purposes is $102,693,190.
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
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CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2000
INCOME FUND
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
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LONG-TERM SECURITIES (93.99%)
ALAMEDA CORRIDOR TRANSPORTATION AUTH.
Tax Exempt Senior Lien Revenue Bonds $ 2,500,000 5.000% 10/01/07 $ 2,628,975
ANAHEIM PUBLIC FINANCE AUTHORITY
Public Improvement Project 2,250,000 6.000% 09/01/12 2,557,778
CALIFORNIA EDUCATIONAL FAC. AUTHORITY
Pomona College Refunding Revenue Bonds, Series 1999 2,500,000 5.250% 01/01/17 2,543,675
Stanford University Revenue Bonds, Series P 3,000,000 5.250% 12/01/13 3,194,580
USC Refunding Revenue Bonds, 1997 Series A 2,025,000 5.600% 10/01/04 2,145,508
CA POLLUTION CONTROL AUTHORITY
San Diego Gas & Electric, Series 1996A 3,000,000 5.900% 06/01/14 3,271,950
CALIFORNIA STATE POLYTECHNIC UNIVERSITY
Student Union Revenue Bonds, Series C 2,390,000 5.625% 07/01/26 2,435,386
CALIFORNIA, STATE OF
General Obligations 5,000,000 6.250% 09/01/12 5,798,750
STATE OF CA DEPT. OF WATER RESOURCES
Water System Revenue Bonds, Central Valley J-1 2,320,000 7.000% 12/01/11 2,843,066
Water System Revenue Bonds, Central Valley J-2 2,835,000 7.000% 12/01/11 3,474,178
CA STATE PUBLIC WORKS BOARD
Imperial County, State Prisons 4,000,000 6.500% 09/01/17 4,646,160
Lease Revenue Bonds Regents of Univ of CA 5,000,000 5.500% 06/01/14 5,369,550
CA STATE PUBLIC WORKS BOARD
Board Lease Revenue Bonds 1,750,000 5.500% 06/01/15 1,876,280
CA STATEWIDE COMMUNITIES DEV. AUTHORITY
Certificates of Participation, Cedars Sinai 1,005,000 5.500% 10/01/14 1,071,018
CASTAIC LAKE WATER AGENCY
Certificates of Participation, 1994 Series A 2,090,000 7.250% 08/01/09 2,540,228
CONTRA COSTA WATER DISTRICT
Water Revenue Bonds, Series E 4,000,000 6.250% 10/01/12 4,642,200
CULVER CITY REDEVELOPMENT FIN. AUTHORITY
Tax Allocation Refunding Revenue Bonds, 1993 3,000,000 5.500% 11/01/14 3,242,610
EAST BAY MUNICIPAL UTILITY DISTRICT
Water System Refunding Bonds, Series 1996 1,925,000 5.000% 06/01/15 1,937,128
FONTANA UNIFIED SCHOOL DISTRICT
GO Convertible Bonds, 1993 Series C 4,240,000 6.250% 05/01/12 4,735,698
7
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CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2000
INCOME FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
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FRESNO, CITY OF
Sewer System Revenue Bonds $ 3,000,000 5.250% 09/01/19 $ 3,017,940
FRESNO UNIFIED SCHOOL DISTRICT
General Obligation Bonds 1,665,000 5.800% 02/01/16 1,823,741
GOLDEN WEST SCHOOLS FINANCING AUTHORITY
Refunding Revenue Bonds, 1998 Series A 1,090,000 6.600% 08/01/16 1,290,091
KERN HIGH SCHOOL DISTRICT
General Obligation Bonds, 1996 Series A 2,555,000 6.600% 08/01/16 2,942,338
L.A. CONVENTION & EXHIBIT CENTER
Lease Revenue Bonds, 1993 Series A 4,500,000 6.000% 08/15/10 5,090,085
L.A. COUNTY TRANSPORTATION COMMISSION
Sales Tax Revenue Refunding Bonds, 1991 Series B 3,540,000 6.500% 07/01/10 4,093,656
L.A. DEPARTMENT OF WATER AND POWER
Wastewater System Revenue Bonds 1994 3,000,000 5.375% 06/01/12 3,234,240
LOS ANGELES, CITY OF
General Obligation Bonds, Series 1999-B 2,000,000 5.375% 09/01/17 2,045,740
LA QUINTA REDEVELOPMENT AGENCY
Tax Allocation Refunding Redev. Project Area #1 1,015,000 7.300% 09/01/09 1,239,132
L.A. STATE BUILDING AUTHORITY
Lease Revenue Refunding Bonds 3,500,000 5.625% 05/01/11 3,808,455
L.A. UNIFIED SCHOOL DISTRICT
General Obligation Bonds, 1997 Series A 1,625,000 4.900% 07/01/09 1,700,709
General Obligation Bonds, 1997 Series A 2,450,000 6.000% 07/01/14 2,768,182
M-S-R PUBLIC POWER AGENCY
San Juan Project Refunding Rev Bonds, Series F 1,500,000 6.125% 07/01/13 1,713,300
METROPOLITAN WATER DISTRICT OF SO. CA
General Obligation Bonds 1995 Series A 3,000,000 7.250% 03/01/07 3,511,080
TRANSMISSION AGENCY OF NORTHERN CA
CA-Oregon Transmission Project, Series 1990A 1,000,000 7.000% 05/01/13 1,223,870
Revenue Refunding Bonds, Series 1993A 2,500,000 5.300% 05/01/09 2,686,375
REDEVELOPMENT AGENCY OF OAKLAND
Central District Redev. Project Series 1992 4,000,000 5.500% 02/01/14 4,311,240
ORANGE COUNTY LOCAL TRANS. AUTHORITY
Measure M Sales Tax Revenue Bonds 1,500,000 9.500% 02/15/03 1,685,205
ORANGE COUNTY CA SCH DIST
General Obligation Bonds, 1997 Series A 1,050,000 5.500% 02/15/11 1,143,083
OXNARD SCHOOL DISTRICT
General Obligation Bonds 1,485,000 5.625% 08/01/14 1,622,392
POMONA UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds 1,175,000 5.700% 08/01/08 1,292,441
PORT HUENEME, CITY OF
Refunding Certificates of Participation, 1992 2,200,000 6.000% 04/01/12 2,492,886
RANCHO CA WATER DISTRICT FINANCE AUTH.
Revenue Refunding Bonds 3,000,000 5.875% 11/01/10 3,262,860
RIVERSIDE, COUNTY OF
Sewer Revenue Bonds 2,000,000 5.000% 08/01/12 2,089,420
RIVERSIDE, COUNTY OF
Water Revenue Bond Issue 1991 1,500,000 9.000% 10/01/01 1,578,480
RIVERSIDE COUNTY TRANS. AGENCY
General Obligation Refunding Bonds 2,000,000 5.750% 06/01/09 2,215,340
SACRAMENTO MUNICIPAL UTILITY DISTRICT
Refunding Revenue Bonds Series A 4,000,000 6.250% 08/15/10 4,587,120
SADDLEBACK VALLEY SCHOOL DISTRICT
Special Tax Revenue Bonds, 1996 Series A 1,575,000 6.000% 09/01/16 1,763,622
SAN BERNARDINO, COUNTY OF
Certificates of Participation, Series B 2,000,000 6.875% 08/01/24 2,414,720
SAN BERNARDINO COUNTY TRANS AUTHORITY
Sales Tax Revenue Bonds 2,000,000 5.000% 03/01/09 2,104,460
SAN DIEGO COUNTY CALIFORNIA
1998 Downtown Courthouse Refunding COP 2,515,000 5.000% 05/15/08 2,645,931
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CALIFORNIA TAX-FREE PORTFOLIO OF INVESTMENTS 8/31/2000
INCOME FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
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SAN DIEGO REGIONAL TRANSPORTATION COMM.
Sales Tax Rev. Bonds, Second Senior Series A $ 2,000,000 5.500% 04/01/08 $ 2,167,040
SAN FRANCISCO, CITY AND COUNTY OF
General Obligation Refunding Bond Series 1 2,000,000 5.500% 06/15/09 2,174,540
SAN FRANCISCO BART DISTRICT
Sales Tax Rev. Refunding Series 1990 2,950,000 6.750% 07/01/11 3,533,009
SAN JOSE REDEVELOPMENT AGENCY
Merged Area Redevelopment Project 4,000,000 6.000% 08/01/10 4,522,800
SAN MARINO UNIFIED SCHOOL DISTRICT
General Obligation Bonds 1,440,000 5.250% 07/01/16 1,486,901
SAN MATEO COUNTY REG. TRANS. DISTRICT
Sales Tax Revenue Bonds, 1993 A 4,000,000 5.250% 06/01/19 4,076,360
SANTA ANA UNIFIED SCHOOL DISTRICT
General Obligation Bonds, Election of 1999
Series 2000 2,500,000 5.700% 08/01/22 2,571,425
REDEVELOPMENT AGENCY OF SANTA CLARA
Bayshore North Project Tax Allocation 1992 4,000,000 7.000% 07/01/10 4,782,840
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Refunding Bonds, Series A 2,000,000 6.000% 11/15/12 2,276,980
Lease Revenue Refunding Bonds, Series A 1,750,000 5.750% 11/15/13 1,939,928
SANTA MARGARITA/DANA POINT AUTHORITY
Improvement District 1,045,000 7.250% 08/01/10 1,276,290
SANTA MONICA-MALIBU UNIFIED SCHOOL DISTRICT
Gen. Obligation Refunding Bonds, Series 1998 3,000,000 5.250% 08/01/15 3,142,410
SOUTH COAST AIR QUALITY MGMT. DISTRICT
Installment Sale Revenue Bonds, Series 1992 2,400,000 6.000% 08/01/11 2,722,920
SO. CALIFORNIA PUBLIC POWER AUTHORITY
Multiple Project Revenue Bonds, 1989 3,500,000 6.750% 07/01/13 4,114,320
TURLOCK IRRIGATION DISTRICT
Revenue Refunding Bonds, 1996 Series A 2,000,000 6.250% 01/01/12 2,296,120
UNIVERSITY OF CALIFORNIA, REGENTS OF
UCLA Central Chiller/Cogeneration Facility 3,000,000 10.000% 11/01/03 3,517,230
-------------
Total Long-term Securities (Cost $170,013,592) 184,953,965
-------------
VARIABLE RATE DEMAND NOTES* (5.94%)
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
So Cal Edison Series 1986A 200,000 3.600% 09/01/00 200,000
Shell Oil Company Series 1991A 100,000 3.550% 09/01/00 100,000
Shell Oil Company Series 1991B 300,000 3.550% 09/01/00 300,000
IRVINE RANCH WATER DISTRICT
Special Assessment,Consolidated Series 1985 3,000,000 3.600% 09/01/00 3,000,000
Special Assessment,Consolidated Series 1985 500,000 3.600% 09/01/00 500,000
Special Assessment,Consolidated Series 1991 600,000 3.500% 09/01/00 600,000
Special Assessment,Consolidated Series 1995 1,400,000 3.350% 09/01/00 1,400,000
Special Assessment,Consolidated Series 1993 1,300,000 3.600% 09/01/00 1,300,000
NEWPORT BEACH, CITY OF
Hoag Mem. Hospital Presbyterian, Series 1992 4,100,000 3.550% 09/01/00 4,100,000
ORANGE COUNTY WATER DISTRICT
Variable Rate Certificates of Participation,
Series 1990 200,000 3.350% 09/01/00 200,000
-------------
Total Variable Rate Demand Notes (Cost $11,700,000) 11,700,000
-------------
Total Investments (Cost $181,713,592) (99.93%) 196,653,965
Other Net Assets (0.07%) 131,838
-------------
Net Assets (100.00%) $ 196,785,803
=============
(a) Aggregate cost for federal income tax purposes is $181,713,592. At August
31, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purposesis as follows:
Unrealized appreciation $ 14,971,163
Unrealized depreciation (30,790)
-------------
Net unrealized appreciation $ 14,940,373
=============
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
9
<PAGE>
-----------------------------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2000
INTERMEDIATE FUND
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
-----------------------------------------------------------------------------------------------------
LONG-TERM SECURITIES (97.55%)
ALAMEDA CORRIDOR TRANSPORTATION AUTHORITY
Tax-Exempt Senior Lien Revenue Bonds $ 340,000 5.125% 10/01/16 $ 343,567
CALIFORNIA, STATE OF
General Obligation Bonds 300,000 5.750% 10/01/05 323,580
CALIFORNIA STATE PUBLIC WORKS BOARD
Refunding Bonds, Dept. of Corrections 640,000 5.250% 12/01/06 680,096
Board Lease Revenue Bonds 500,000 5.500% 06/01/15 536,080
CALIFORNIA STATE UNIVERSITY INSTITUTION
Revenue Bonds, Series 1996 350,000 4.600% 06/01/06 358,845
CAMPBELL UNION HIGH SCHOOL DISTRICT
General Obligation Bonds, Series 2000 425,000 5.250% 08/01/09 455,885
CASTAIC LAKE AGENCY FINANCING CORP.
Water System Imp. Projects, Series 1994 A 300,000 7.250% 08/01/09 364,626
CENTRAL VALLEY SCHOOL DISTRICT FIN. AUTHORITY
General Obligation Refi. Bonds, Series A 400,000 6.150% 02/01/09 451,404
CHICO UNIFIED SCHOOL DISTRICT
General Obligation Refunding Bonds 400,000 8.500% 08/01/07 500,756
CONTRA COSTA TRANSPORTATION AUTHORITY
Sales Tax Revenue Bonds 1995 Series A 500,000 6.000% 03/01/03 523,075
DELTA DIABLO SANITATION DISTRICT
Wastewater Facilities Expansion Project 400,000 6.250% 12/01/04 419,332
DESERT SANDS UNIFIED SCHOOL DISTRICT
Certificates of Participation, Series 1995 500,000 5.300% 03/01/07 531,630
EAST BAY CA MUNICIPAL UTILITY DISTRICT
Water Revenue Refunding Bonds 500,000 6.000% 06/01/03 525,240
ELSINORE VALLEY MUNICIPAL WATER DISTRICT
Certificates of Participation, Series A 500,000 5.900% 07/01/05 540,100
IMPERIAL IRRIGATION DISTRICT
Electric System Project, COP 600,000 5.200% 11/01/09 642,342
LOS ANGELES, CITY OF
General Obligation Bonds, 1994 Series A 500,000 5.600% 09/01/05 534,670
LOS ANGELES DEPARTMENT OF AIRPORTS
LAX Refunding Revenue Bonds, 1995 Series B 400,000 6.500% 05/15/03 424,408
LOS ANGELES UNIFIED SCHOOL DISTRICT
General Obligation Bonds, 1997 Series A 400,000 6.000% 07/01/07 442,284
LOS ANGELES COUNTY TRANS. AUTHORITY
Sales Tax Revenue Bonds, Series A 500,000 5.500% 07/01/08 542,910
LOS ANGELES COUNTY PENSION
Revenue Bonds 400,000 6.900% 06/30/08 469,840
MORGAN HILL UNIFIED SCHOOL DISTRICT
General Obligation Unlimited 500,000 5.000% 08/01/14 507,785
NEWPORT MESA UNIFIED SCHOOL DISTRICT
Special Tax Bonds 450,000 4.400% 09/01/08 456,048
NORTHERN CA, TRANS. AGENCY OF
Cal/Oregon Transmission Proj., Rev. Bonds 500,000 6.100% 05/01/03 526,130
OAK PARK UNIFIED SCHOOL DISTRICT
General Obligation, Refunding Bonds 600,000 5.150% 05/01/07 634,536
OLIVENHAIN MUNICIPAL WATER DISTRICT
1997 Capital Projects and Refunding 500,000 4.750% 06/01/06 516,435
ORANGE COUNTY LOCAL TRANS. AUTHORITY
Limited Tax Bonds, 1994 500,000 9.500% 02/15/03 561,735
PASADENA UNIFIED SCHOOL DISTRICT
General Obligation 400,000 5.000% 07/01/07 419,992
SACRAMENTO CITY FINANCING AUTHORITY
Lease Revenue Bonds, State of CA EPA Bldg 500,000 4.200% 05/01/10 492,955
SACRAMENTO REDEVELOPMENT AGENCY
Downtown Sacramento Project, Series 1998C 500,000 4.750% 11/01/08 518,795
SACRAMENTO, COUNTY OF PFA
Main Detention Facility COP 400,000 5.300% 06/01/04 417,856
10
<PAGE>
-----------------------------------------------------------------------------------------------------
CALIFORNIA INSURED PORTFOLIO OF INVESTMENTS 8/31/2000
INTERMEDIATE FUND CONTINUED
SECURITY DESCRIPTION PAR VALUE RATE MATURITY VALUE (NOTE 1)
-----------------------------------------------------------------------------------------------------
SAN DIEGO PUBLIC FACILITIES FINANCING AUTH.
Sewer Revenue Refunding Bonds, Series A $ 500,000 5.100% 05/15/10 $ 524,990
SAN DIEGO COUNTY WATER AUTHORITY
Water Revenue Refunding COP Series 1993 A 600,000 5.500% 05/01/05 636,522
SAN FRANCISCO, CITY & COUNTY
City Hall Improvement Project, Series A 500,000 5.100% 06/15/06 525,450
School District Facilities Improvement, Ser. B 450,000 6.500% 06/15/05 496,368
SAN FRANCISCO AIRPORT COMMISSION
SF Intl. Airport Revenue, Second Series B 450,000 5.500% 05/01/09 489,348
SAN JOSE REDEVELOPMENT AGENCY
Merged Area Redevelopment Project Series 1997 500,000 6.000% 08/01/06 549,335
Merged Area Redevelopment Project Series 1997 500,000 6.000% 08/01/15 562,755
SANTA ANA UNIFIED SCHOOL DISTRICT
General Obligation Bonds, Election of 1999
Series 2000 500,000 5.250% 08/01/09 536,335
SANTA CLARA COUNTY FINANCING AUTHORITY
Lease Revenue Bonds, 2000 Series A 400,000 5.500% 05/15/10 430,784
SANTA ROSA, CITY OF
Wastewater Rev. Refunding Bonds, Ser. A 400,000 5.125% 09/01/05 413,664
SARATOGA UNION SCHOOL DISTRICT
1997 General Obligation Series A 600,000 4.900% 09/01/09 634,926
SOUTH COUNTY REGIONAL WASTEWATER
Revenue Bonds, Gilroy Series 1992A 390,000 5.900% 08/01/06 410,810
SOUTHERN CA PUBLIC POWER AUTHORITY
Transmission Project Revenue Bonds, Series A 500,000 6.000% 07/01/04 535,060
VISALIA, CITY OF
Wastewater System Revenue Bonds 500,000 5.900% 12/01/05 543,215
WISEBURN SCHOOL DISTRICT
1997 General Obligation Series A 325,000 6.875% 08/01/05 364,672
-------------
Total Long-term Securities 22,317,171
(cost $21,571,514) -------------
VARIABLE RATE DEMAND NOTES* (0.87%)
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
Pollution Control Refunding Revenue Bonds, 1991
Series B 100,000 3.540% 09/01/00 100,000
CITY OF IRVINE, CALIFORNIA
Limited Obligation Improvement Bonds, Series A 100,000 3.590% 09/01/00 100,000
-------------
Total Variable Rate Demand Notes 200,000
(cost $200,000) -------------
Total Investments (Cost $21,771,514) (98.42%) 22,517,171
Other Net Assets (1.58%) 361,019
-------------
Net Assets (100.00%) $ 22,878,190
=============
(a) Aggregate cost for federal income tax purposes is $21,771,514. At August
31, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purposesis as follows:
Unrealized appreciation $ 750,095
Unrealized depreciation (4,438)
-------------
Net unrealized appreciation $ 745,657
=============
</TABLE>
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
11
<PAGE>
--------------------------------------------------------------------------------
SHORT-TERM U.S. PORTFOLIO OF INVESTMENTS 8/31/2000
GOVERNMENT BOND FUND
PAR VALUE RATE MATURITY VALUE (NOTE 1)
--------------------------------------------------------------------------------
UNITED STATES TREASURY BILLS (40.52%)
$ 1,300,000 5.160% 11/09/00 $ 1,285,385
940,000 6.020-6.055% 02/01/01 915,867
------------
Total United States Treasury Bonds (cost $ 2,201,252) 2,201,252
------------
UNITED STATES TREASURY NOTES (38.73%)
500,000 6.250% 10/31/01 499,687
600,000 6.375% 08/15/02 601,875
1,000,000 6.625% 06/30/01 1,002,188
------------
Total United States Treasury Notes (cost $2,098,581) 2,103,750
------------
UNITED STATES TREASURY BONDS (20.30%)
1,000,000 10.750% 02/15/03 1,102,500
------------
Total United States Treasury Bonds (cost $1,090,773) 1,102,500
------------
Total Investments (cost $5,390,606) (a) (99.55%) 5,407,502
Other Net Assets (0.45%) 24,711
------------
Net Assets (100.00%) $ 5,432,213
============
(a) Aggregate cost for federal income tax purposes is $5,390,606 At August 31,
2000, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 16,896
Unrealized depreciation --
------------
Net unrealized appreciation $ 16,896
============
See accompanying notes to financial statements
--------------------------------------------------------------------------------
U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 8/31/2000
SECURITIES FUND
PAR VALUE RATE MATURITY VALUE (NOTE 1)
--------------------------------------------------------------------------------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (47.30%)
$ 889,333 6.000% 04/15/14 $ 854,437
919,452 6.000% 04/15/14 883,375
1,812,464 6.000% 05/15/26 1,702,773
885,726 6.000% 06/15/28 829,435
975,082 6.000% 08/15/28 913,112
677,705 6.500% 01/15/26 652,849
425,495 6.500% 03/15/26 409,889
694,025 6.500% 04/15/26 668,570
668,923 6.500% 04/15/26 644,389
979,726 7.000% 07/15/29 962,073
989,173 7.000% 09/15/29 971,349
966,725 7.000% 09/15/29 949,306
995,489 7.000% 01/15/30 977,339
102,344 9.000% 10/15/18 107,000
29,315 10.000% 09/15/18 31,180
19,186 11.250% 07/15/13 20,898
------------
Total Government National Mortgage Association
(cost $11,642,944) 11,577,974
------------
UNITED STATES TREASURY BONDS (26.94%)
1,400,000 7.250% 08/15/22 1,624,875
1,500,000 7.625% 11/15/22 1,810,782
1,500,000 8.000% 11/15/21 1,868,907
1,000,000 8.500% 02/15/20 1,290,000
------------
Total United States Treasury Bonds (cost $6,274,555) 6,594,564
------------
UNITED STATES TREASURY NOTES (23.42%)
2,000,000 5.500% 05/15/09 1,944,376
2,000,000 6.000% 08/15/09 2,012,500
1,700,000 6.500% 02/15/10 1,774,907
------------
Total United States Treasury Notes (cost $5,436,991) 5,731,783
------------
12
<PAGE>
--------------------------------------------------------------------------------
U.S. GOVERNMENT PORTFOLIO OF INVESTMENTS 8/31/2000
SECURITIES FUND CONTINUED
PAR VALUE RATE MATURITY VALUE (NOTE 1)
--------------------------------------------------------------------------------
UNITED STATES TREASURY BILLS (1.62%)
$ 200,000 5.97% 11/09/00 $ 197,712
200,000 5.93% 09/28/00 199,111
------------
Total United States Treasury Bills (cost $396,823) 396,823
------------
Total Investments (cost $23,751,313 (a) (99.28%) 24,301,144
Other Net Assets (0.72%) 175,121
------------
Net Assets (100.00%) $ 24,476,265
============
(a) Aggregate cost for federal income tax purposes is $23,751,313. At August
31, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation $ 748,699
Unrealized depreciation (198,868)
------------
Net unrealized appreciation $ 549,831
============
See accompanying notes to financial statements
--------------------------------------------------------------------------------
THE UNITED STATES PORTFOLIO OF INVESTMENTS 8/31/2000
TREASURY TRUST
PAR VALUE RATE MATURITY VALUE (NOTE 1)
--------------------------------------------------------------------------------
UNITED STATES TREASURY BILLS (103.54%)
$ 5,400,000 5.66-5.82% 09/07/00 $ 5,394,772
5,100,000 5.840% 09/14/00 5,089,245
5,200,000 5.59-6.10% 09/21/00 5,183,792
4,100,000 5.93% 09/28/00 4,081,765
3,000,000 5.88-6.04% 10/12/00 2,979,492
6,000,000 5.82% 10/19/00 5,953,440
6,500,000 6.015% 11/02/00 6,432,665
5,400,000 5.97-6.05% 11/09/00 5,338,088
5,000,000 6.10% 11/24/00 4,928,833
3,300,000 6.04% 12/07/00 3,246,294
3,500,000 6.00-6.02% 01/18/01 3,418,893
6,500,000 6.07-6.11% 11/16/00 6,416,459
------------
Total Investments (Cost $58,463,738) (a)(103.54%) 58,463,738
Liabilities in Excess of Other Assets (-3.54%) (1,999,728)
------------
Net Assets (100.00%) $ 56,464,010
============
(a) Cost for federal income tax purposes is $58,463,738.
See accompanying notes to financial statements
13
<PAGE>
--------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Common Stock (95.05%)
Capital Goods (6.23%)
Allied Waste Industries Inc.* 191 $ 1,755
Briggs & Stratton 273 11,807
Caterpillar Inc. 4,879 179,303
Cooper Industries Inc. 1,325 46,789
Cummins Engine 382 13,561
Danaher Corp. 1,626 91,361
Deere & Co. 2,806 92,423
Dover Corp. 2,406 117,593
Emerson Electric Co. 5,769 381,836
Fluor Corporation 807 24,160
General Electric Company 118,721 6,967,439
Grainger (W.W.) Inc. 1,214 35,054
Illinois Tool Works 3,705 207,712
Ingersoll-Rand Co. 1,590 72,444
Johnson Controls Inc. 806 43,071
Minnesota Mining & Manufacturing Co. 5,385 500,805
Molex Inc. 2,197 116,029
Pall Corporation 1,125 24,047
Parker Hannifin Corp. 1,073 37,354
Teradyne Inc.* 2,173 140,838
Thermo Electron Corp.* 440 10,230
Timken Co. 603 9,836
Tyco International Ltd 20,481 1,167,417
Vulcan Materials Co. 1,092 48,389
------------
Total Capital Goods 10,341,253
------------
Consumer Cyclical (5.18%)
American Greetings 715 13,317
Armstrong Holdings Inc. 400 6,375
Autozone Inc.* 1,346 30,285
Bed Bath & Beyond Inc.* 3,162 55,533
Best Buy Co. Inc.* 2,357 145,545
Black & Decker Corporation 1,268 50,799
Circuit City Stores-Circuit 1,905 49,411
Cons Stores Corp.* 112 1,526
Cooper Tire & Rubber 807 9,734
Costco Wholesale Corp.* 5,634 194,021
Dana Corp. 1,510 37,278
Delphi Automotive Systems 7,032 115,589
Dillards Inc. 1,098 14,068
Dollar General Corp. 3,273 67,301
Eaton Corp. 864 57,348
Federated Department Stores.* 2,016 55,692
Ford Motor Company 27,497 665,085
Gap Inc. 10,547 236,648
General Motors Corp. 6,149 443,881
Genuine Parts Co. 1,755 36,087
Goodrich (B.F.) Co. 1,321 53,913
Goodyear Tire & Rubber Co. 1,678 39,223
Hasbro Inc. 1,883 23,184
Home Depot Inc. 28,856 1,386,892
ITT Industries Inc.* 1,109 37,290
K Mart Corp.* 5,508 38,556
Kohls Corp.* 3,330 186,480
Limited Inc. 5,144 102,880
Liz Claiborne Inc. 700 30,756
Lowe's Companies 4,543 203,583
Marriott International Inc. 2,831 111,825
Masco Corp. 5,251 102,395
Mattel Inc. 3,407 33,644
May Department Stores Co. 4,192 96,154
Maytag Corp. 965 36,791
Nike Inc. 3,713 146,896
Nordstrom Inc. 1,560 26,910
Owens Corning 505 2,620
Paccar Inc. 749 31,786
Penney (J.C.) Co. 2,783 38,962
RadioShack Corporation 2,275 134,225
Reebok International Ltd.* 557 $ 10,687
Russell Corp. 363 6,920
Sears, Roebuck And Co. 5,152 160,678
Snap-On Inc. 589 18,149
Springs Industries Inc. 198 5,915
Stanley Works 860 23,005
Target Corporation 11,570 269,003
Tiffany & Co. 3,360 139,860
TJX Companies Inc. 2,833 53,296
Toys R US Inc. * 3,077 55,963
TRW Inc 1,243 56,790
V.F. Corporation 1,219 27,885
Visteon Corp. * 2,059 32,301
Wal-Mart Stores Inc. 53,740 2,549,291
Whirlpool Corp. 725 27,550
------------
Total Consumer Cyclical 8,587,781
------------
Consumer Non-Durable (19.54%)
Abbott Laboratories 16,992 743,400
Alberto-Culver Co. 536 15,176
Albertson's Inc. 5,165 111,048
Allergan Inc. 1,273 93,088
Alza Corp. * 1,213 91,733
American Home Products Corp. 16,138 874,478
Anheuser-Busch Companies Inc. 5,730 451,596
Archer-Daniels-Midland Co. 8,534 75,209
Autodesk Inc. 462 12,994
Avery Dennison Corp. 1,254 67,794
Avon Products 3,405 133,433
Bard (C.R.) Inc. 542 26,456
Bausch & Lomb Inc. 548 19,591
Baxter International Inc. 3,660 304,695
Becton Dickinson & Co. 3,273 98,599
Bestfoods 3,662 258,629
Biomet Inc. 1,671 56,501
Boston Scientific Corp.* 5,153 97,585
Bristol-Myers Squibb Co. 20,863 1,105,739
Brown-Forman Corp. 669 35,457
Brunswick Corp. 943 17,681
Campbell Soup Company 5,052 128,195
Cardinal Health Inc. 3,611 295,425
Carnival Corp. 4,323 86,190
Ceridian Corp.* 1,326 32,073
Clear Channel Communications.* 4,052 293,264
Clorox Company 3,147 113,882
Coca-Cola Co. 29,939 1,575,540
Coca-Cola Enterprises 1,230 22,909
Colgate-Palmolive Company 7,708 392,626
Comcast Corp.* 11,468 427,183
Computer Associates International Inc. 6,653 211,233
Computer Sciences Corp.* 2,068 163,501
Conagra Inc. 6,257 114,581
Coors (Adolph) 477 28,411
CVS Corp. 5,404 200,624
Darden Restaurants Inc. 1,503 26,584
Deluxe Corp. 934 20,548
Disney (Walt) Co 26,574 1,034,725
Donnelley (R.R.) & Sons Co. 1,458 37,544
Dow Jones & Co. Inc. 930 58,183
Eli Lilly & Co. 13,641 995,793
Fortune Brands Inc. 1,976 50,388
Gannett Co. Inc. 3,621 205,039
General Mills Inc. 4,187 134,507
Gillette Company 10,943 328,290
Guidant Corp.* 3,790 255,114
Harcourt General Inc. 702 41,637
Harrah's Entertainment Inc.* 1,020 28,943
HCA - The Healthcare Company 8,579 295,976
Healthsouth Corp.* 1,513 9,267
Heinz (H.J.) Co. 4,742 180,789
14
<PAGE>
--------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Hershey Foods Corp. 1,480 $ 63,178
Hilton Hotels Corp. 2,862 28,620
Humana Inc.* 1,579 13,520
IMS Health Inc. 4,161 78,539
International Flavors & Fragrances 1,066 27,450
Interpublic Group Cos. Inc. 3,148 120,411
Johnson & Johnson 16,624 1,528,369
Kellogg Co. 5,369 124,494
Knight Ridder Inc 915 49,982
Kroger Co.* 10,128 229,779
Loews Corp. 1,467 118,735
Longs Drug Stores Inc. 380 7,173
Mallinckrodt Inc. 940 42,359
Manor Care Inc.* 1,054 14,097
McDonald's Corp. 16,887 504,499
McGraw-Hill Companies Inc. 2,258 139,855
Mckesson HBOC Inc. 1,780 44,389
Medimmune Inc.* 2,501 210,397
Medtronic Inc. 14,731 754,964
Merck & Co., Inc. 29,350 2,050,831
Meredith Corp. 452 12,345
New York Times Co. 1,873 73,398
Newell Rubbermaid Inc. 2,989 77,527
Office Depot Inc.* 332 2,428
Omnicom Group 1,779 148,435
Paychex Inc. 4,000 178,500
Pepsico Inc. 18,020 768,103
Pfizer Inc. 77,369 3,346,209
Pharmacia Corporation 15,671 917,733
Philip Morris Companies Inc. 24,389 722,524
Procter & Gamble Co. 11,450 707,753
Quaker Oats Co. 1,575 107,002
Qwest Communications International* 11,162 576,238
Ralston Purina Group 4,178 94,527
Sabre Holdings Corp * 1,610 44,879
Safeway Inc.* 6,214 306,428
Sara Lee Corp. 10,697 199,232
Schering-Plough Corporation 15,143 607,613
Seagram Co. Ltd. 5,518 332,115
ST Jude Medical Inc.* 1,255 49,729
Staples Inc.* 1,369 21,048
Starbucks Corp.* 2,200 80,575
Supervalu Inc. 1,739 25,976
Sysco Corp. 3,493 147,798
Tenet Healthcare Corporation* 3,331 103,261
Time Warner Inc 16,153 1,381,082
Tribune Co. 2,840 101,353
Tricon Global Restaurants Inc.* 1,700 49,513
Tupperware Corp. 598 12,072
Unilever NV 6,361 300,557
UnitedHealth Group Incorporated 2,081 196,655
UST Inc. 1,803 38,990
Viacom Inc.* 19,719 1,327,335
Walgreen Co. 12,973 426,487
Watson Pharmaceutical Inc.* 1,194 73,655
Wellpoint Health Networks* 864 74,574
Wendy's International Inc. 1,241 23,424
Winn-Dixie Stores Inc. 1,470 20,488
Wrigley (WM.) JR Co. 1,307 96,800
Young & Rubicam Inc. 70 4,095
------------
Total Consumer Non-Durable 32,409,943
------------
Banking & Financial Sevice (13.58%)
Aetna Inc. 1,855 103,764
Aflac Inc. 3,093 167,022
Allstate Corp 9,667 280,947
American Express Company 16,806 993,655
American General Corp. 3,151 229,432
American International Group 28,734 2,560,918
Amsouth Bancorporation 2,595 47,359
AON Corp. 2,764 $ 103,132
Associated First Capital Corp. 9,033 254,053
Bank of America Corp. 16,540 885,924
Bank of New York Co Inc 10,143 531,874
Bank One Corp. 12,612 444,573
BB&T Corporation 1,720 46,548
Bear Stearns Companies Inc. 1,422 95,363
Capital One Financial Corp. 2,164 130,516
Charter One Financial Inc. 2,538 60,278
Chase Manhattan Corp 15,958 891,653
Chubb Corp. 2,611 199,905
Cigna Corp. 2,108 205,003
Cincinnati Financial Corp. 1,666 64,766
CIT Group Inc 3,300 57,750
Citigroup Inc 55,880 3,261,995
Comerica Inc. 1,958 110,260
Conseco Inc. 2,097 17,693
Countrywide Credit Ind Inc. 984 37,269
Fannie Mae 10,655 572,706
Fifth Third Bancorp 4,885 225,626
First Union Corp. 9,473 274,125
Firstar Corporation 990 23,636
Fleet Boston Financial Corp. 11,597 495,047
Franklin Resources Inc 255 9,690
Freddie Mac 7,732 325,711
Golden West Financial Corp. 1,663 79,200
Hartford Financial Services 2,904 193,479
Household International Inc. 6,156 295,488
Huntington Bancshares 1,296 21,870
J.P. Morgan & Company 2,305 385,367
Jefferson-Pilot Corp. 1,036 68,570
Keycorp 5,798 117,047
Lehman Brothers Holdings Inc. 1,221 177,045
Lincoln National Corp. 2,017 108,918
Marsh & McLennan Cos 3,319 394,131
MBIA Inc. 1,041 68,446
MBNA Corp. 9,783 345,462
Mellon Financial Corp. 6,614 299,284
Merrill Lynch & Co. 4,414 640,030
MGIC Investment Corp. 1,327 78,044
Morgan Stanley Dean Witter & Company 14,181 1,525,344
National City Corp. 7,022 147,023
Northern Trust Corp. 2,425 204,458
Old Kent Financial Corp. 1,387 40,656
Paine Webber Group Inc. 1,738 124,267
Pinnacle West Capital Corp. 1,014 41,764
PNC Financial Services Group 4,127 243,235
Price (T. Rowe) Associates 1,459 66,020
Progressive Corp-Ohio 294 22,289
Providian Financial Corp. 1,858 213,554
Regions Financial Corp. 221 4,807
Safeco Corp. 1,531 40,284
Schwab (Charles) Corp. 16,434 627,573
SouthTrust Corp. 169 4,764
St. Paul Companies 2,263 107,775
State Street Corp. 2,162 254,576
Summit Bancorp 176 4,873
Suntrust Banks Inc. 2,993 147,779
Synovus Financial Corp. 2,982 58,708
Torchmark Corp. 1,373 38,530
U S Bancorp 8,103 176,240
Union Planters Corp. 142 4,304
UnumProvident Corp 1,522 33,008
USA Education Inc. 1,861 72,928
Wachovia Corp. 2,474 141,791
Washington Mutual Inc. 7,660 268,100
Wells Fargo & Company 21,508 928,877
------------
Total Banking and Financial Service 22,524,101
------------
15
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S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Utility (6.73%)
Alltel Corp. 3,768 $ 190,520
Ameren Corporation 1,519 61,425
American Electric Power 3,383 119,251
AT&T Corp. 42,723 1,345,775
Bellsouth Corporation 19,580 730,579
C P & L Energy Inc 1,471 54,427
CenturyTel Inc. 141 4,063
Cinergy Corp. 1,534 45,061
CMS Energy Corp. 117 3,057
Coastal Corp. 2,456 169,157
Columbia Energy Group 802 56,290
Consolidated Edison Inc. 2,663 83,385
Constellation Energy Group Inc. 1,431 54,736
Dominion Resources Inc/Va 2,927 155,131
DTE Energy Company 1,456 50,596
Duke Energy Corp 4,697 351,394
Eastern Enterprises 207 13,093
Edison International 4,161 86,081
Enron Corp. 8,824 748,937
Entergy Corp. 2,229 67,845
FirstEnergy Corporation 3,155 78,086
Florida Progress Corp. 1,207 62,613
FPL Group Inc. 2,341 124,951
GPU Inc. 1,500 45,938
KeySpan Corporation 1,500 51,656
NCR Corporation* 1,097 44,291
Niagara Mohawk Holdings Inc.* 1,549 19,943
Nicor Inc. 477 17,589
Oneok Inc. 272 8,687
PECO Energy Co. 2,118 102,061
Peoples Energy Corp. 336 10,920
PG&E Corp 5,378 155,626
PPL Corporation 1,545 51,758
Public Service Enterprise Group 2,341 84,861
Reliant Energy Inc. 3,690 136,991
SBC Communications Inc. 38,493 1,607,083
Sempra Energy 2,955 57,623
Southern Co. 8,800 263,450
Sprint Corp. (FON Group) 11,140 373,190
Sprint Corp. (PCS Group).* 10,340 518,939
TXU Corporation 3,244 113,337
Unicom Corporation 2,090 95,487
Verizon Communications 32,587 1,421,608
Williams Cos. Inc. 5,303 244,269
Worldcom Inc.* 26,751 976,412
XCEL Energy Inc. 3,890 97,496
------------
Total Utility 11,155,668
------------
Service (0.98%)
Automatic Data Processing 7,731 460,961
Block H & R Inc. 999 35,839
Cendant Corporation* 8,375 110,445
Convergys Corp.* 1,800 70,425
Dun & Bradstreet Corp. 1,642 54,186
Equifax Inc. 1,343 34,163
First Data Corp. 5,827 277,875
Mercury Interactive Corp.* 1,000 122,188
Palm Inc.* 6,893 303,314
Quintiles Transnational Corp.* 2,482 34,593
Waste Management Inc 6,326 119,799
------------
Total Service 1,623,788
------------
Transportation (0.82%)
AMR Corp/Del.* 2,229 73,139
Burlington Northern Santa Fe Corp. 5,996 134,161
Conoco Inc. 7,985 208,608
CSX Corporation 2,450 58,494
Delta Air Lines Inc. 1,674 82,863
FedEx Corporation* 2,941 $ 118,669
Harley-Davidson Inc. 3,706 184,605
Navistar International* 634 23,775
Norfolk Southern Corp. 4,834 77,646
Ryder System Inc. 775 14,870
Southwest Airlines 4,761 107,718
Stilwell Financial Inc.* 2,624 126,936
Union Pacific Corp. 3,261 129,625
US Airways Group Inc.* 762 25,908
------------
Total Transportation 1,367,017
------------
Manufacturing (6.43%)
Adaptec Inc.* 1,303 31,924
Air Products & Chemicals Inc 2,491 90,454
Alcan Aluminium Ltd. 2,181 71,564
Alcoa Inc 9,652 320,929
Allegheny Technologies Inc. 1,085 23,599
Applied Materials Inc.* 9,183 792,608
Ball Corp. 291 10,076
Barrick Gold Corp. 4,281 68,228
Bemis Co. 513 17,186
Bethlehem Steel Corp.* 1,721 6,024
Boise Cascade Corp. 478 14,280
Centex Corp. 560 16,170
Citrix Systems Inc.* 1,980 43,560
Comverse Technology Inc.* 2,072 190,495
Corning Inc. 3,173 1,040,546
Crane Co. 532 13,367
Crown Cork & Seal Co. Inc. 483 6,249
Dell Computer Corp.* 31,837 1,388,889
Dow Chemical Company 8,913 233,409
Du Pont (E.I.) de Nemours & Co 12,616 566,143
Eastman Chemical Company 759 32,732
Eastman Kodak Co. 4,179 260,143
Ecolab Inc. 1,251 48,711
EMC Corp-Mass.* 32,256 3,161,088
Engelhard Corp 1,377 25,819
FMC Corp.* 331 22,446
Fort James Corporation 2,148 67,931
Freeport-McMoran Copper & Gold Inc.* 2,235 21,931
Gateway Inc.* 3,920 266,952
Georgia-Pacific (Georgia-Pacific Group) 2,073 55,453
Great Lakes Chemical Corp. 608 20,520
Hercules Inc. 1,037 13,740
Homestake Mining Company 1,533 8,527
Inco Ltd.* 1,659 29,655
International Paper Co. 5,643 179,871
Kaufman & Broad Home Corp. 388 9,627
Kimberly-Clark Corp. 6,936 405,756
Leggett & Platt Inc. 2,498 44,183
Louisiana-Pacific Corp 1,047 11,059
Mead Corp. 1,004 26,920
Millipore Corp. 916 55,762
National Service Industries Inc 451 8,992
Newmont Mining Corp. 1,578 29,292
Novellus Systems Inc.* 1,557 95,853
Nucor Corp. 848 31,164
Owens-Illinois Inc.* 152 1,986
Pactiv Corporation.* 1,923 21,153
Phelps Dodge Corp. 935 41,608
Placer Dome Inc. 4,418 39,210
Polaroid Corp. 445 7,565
Potlatch Corp. 279 9,381
PPG Industries Inc. 2,255 91,328
Praxair Inc. 1,510 66,818
Pulte Corp. 464 15,283
Rohm & Haas Co. 2,627 76,019
Sealed Air Corp.* 1,316 67,527
Sherwin-Williams Co. 1,667 38,341
Sigma-Aldrich 962 27,958
16
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S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Temple-Inland Inc. 536 $ 22,747
Union Carbide Corp. 1,265 50,679
USX-U.S. Steel Group Inc. 819 14,230
W.R. Grace & Company* 842 6,683
Westvaco Corp. 981 26,855
Weyerhaeuser Co. 2,767 128,147
Willamette Industries 1,073 32,727
Worthington Industries 880 9,185
------------
Total Manufacturing 10,675,257
------------
Technology (30.04%)
ADC Telecommunications Inc.* 7,484 306,376
Adobe Systems Inc 1,333 173,290
Advanced Micro Devices* 2,638 99,255
Agilent Technologies Inc.* 4,812 290,224
Altera Corp.* 4,480 290,360
America Online Inc.* 25,749 1,509,535
American Power Conversion* 2,200 52,388
Amgen Inc.* 12,671 960,620
Analog Devices Inc.* 4,218 423,909
Andrew Corp.* 863 25,566
Apple Computer Inc.* 3,884 236,681
Biogen Inc.* 1,802 124,563
BMC Software Inc.* 645 17,415
Boeing Co. 10,676 572,501
Broadcom Corp.* 2,600 650,000
Cabletron Systems* 1,502 56,231
Cisco Systems Inc.* 82,364 5,652,230
Compaq Computer Corp. 18,179 619,222
Compuware Corp.* 5,061 53,457
Conexant Systems Inc.* 2,898 107,769
Electronic Data Systems Corp. 5,675 282,686
General Dynamics Corp. 2,503 157,533
Global Crossing Ltd.* 9,574 287,818
Hewlett-Packard Co 12,617 1,523,503
Honeywell International Inc 10,411 401,474
Intel Corp. 80,426 6,021,897
International Business Machines Corp. 19,810 2,614,920
JDS Uniphase Corp.* 9,100 1,132,808
Kla-Tencor Corp.* 1,982 130,069
Lexmark International Inc.* 1,513 102,600
Linear Technology Corp. 3,400 244,588
Lockheed Martin Corporation 5,176 146,869
LSI Logic Corp.* 3,740 134,406
Lucent Technologies Inc. 39,645 1,657,657
Maxim Integrated Products* 3,200 280,600
Micron Technology Inc.* 6,724 549,687
Microsoft Corp.* 62,910 4,391,904
Motorola Inc. 33,430 1,205,569
National Semiconductor Corp.* 1,773 78,899
Network Appliance Inc.* 3,502 409,734
Nextel Communications Inc.* 8,922 494,613
Nortel Networks Corporation 34,736 2,833,155
Northrop Grumman Corp. 670 52,134
Novell Inc.* 3,406 41,724
Oracle Corporation* 34,875 3,171,445
Parametric Technology Corp.* 272 3,638
PE Corp.-PE Biosystems Group 2,528 $ 248,692
Peoplesoft Inc.* 808 26,058
PerkinElmer Inc. 457 41,101
Pitney Bowes Inc. 3,528 128,993
Qualcomm Inc.* 9,106 545,222
Raytheon Co. 3,242 90,168
Rockwell International Corp. 2,312 93,492
Sanmina Corp.* 2,202 259,836
Sapient Corp.* 1,200 63,000
Scientific-Atlanta Inc. 1,498 116,750
Seagate Technology Inc.* 2,610 154,969
Siebel Systems Inc.* 2,310 456,947
Solectron Corp.* 7,292 330,419
Sun Microsystems Inc.* 19,057 2,419,048
Tektronix Inc. 723 55,084
Tellabs Inc.* 4,886 274,532
Texas Instruments Inc. 24,508 1,640,511
Textron Inc. 2,130 119,413
Thomas & Betts Corp. 658 12,338
Unisys Corporation* 1,823 23,699
United Technologies Corp. 6,223 388,549
Veritas Software Corp. 4,750 572,672
Xerox Corp. 6,311 101,370
Xilinx Inc.* 3,722 330,793
Yahoo Inc.* 6,332 769,338
------------
Total Technology 49,836,516
------------
Energy (5.52%)
AES Corp.* 6,488 413,610
Amerada Hess Corp. 972 66,521
Anadarko Petroleum Corp. 2,229 146,601
Apache Corp. 855 53,865
Ashland Inc 723 25,486
Baker Hughes Inc. 3,144 114,953
Burlington Resources Inc. 1,767 69,465
Chevron Corporation 8,523 720,194
Devon Energy Corporation 1,590 93,114
EL Paso Energy Corporation 2,803 163,275
Exxon Mobil Corp. 42,682 3,483,918
Halliburton Co 5,494 291,182
Kerr-McGee Corp. 860 54,341
McDermott International Inc. 540 4,151
Nabisco Group Holdings Corp. 3,529 99,033
Occidental Petroleum Corp. 3,601 77,872
Phillips Petroleum Co. 3,456 213,840
Rowan Companies Inc.* 784 24,304
Royal Dutch Petroleum Company 26,935 1,648,085
Schlumberger Ltd. 6,865 585,670
Sunoco Inc. 1,001 27,215
Texaco Inc. 7,426 382,439
Tosco Corp. 1,945 59,323
Transocean Sedco Forex Inc. 2,430 145,193
Unocal Corp. 2,795 93,283
USX-Marathon Group Inc. 3,304 90,629
------------
Total Energy 9,147,562
------------
Total Common Stock (Cost $84,862,951) 157,668,886
------------
Par Value
---------
Short-Term Investments (4.89%)
$ 5,150,000 United States Treasury Bills 5.650- 5.995%
09/14/00 (b) 5,138,994
1,612,482 Firstar Institutional Money Market Fund 1,612,482
1,366,820 Firstar Government Money Market Fund 1,366,820
------------
Total Short-Term Investments (Cost $8,118,296) 8,118,296
------------
Total Investments (Cost $92,981,247) (99.94%) 165,787,182
Other Net Assets (0.06%) 103,742
------------
Net Assets (100.00%) $165,890,924
============
17
<PAGE>
--------------------------------------------------------------------------------
S&P 500 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
--------------------------------------------------------------------------------
* Non- Income Producing Security
(a) Aggregate cost for federal income tax purposes is $92,981,247. At August
31, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 75,270,378
Unrealized depreciation (2,464,443)
------------
Net unrealized appreciation $ 72,805,935
============
(b) At August 31, 2000, certain United States Treasury Bills with a market
value of $947,673 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2000: (Contracts - $250 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
------------
S&P 500 Index:
21/Sept 00/Long $ 247,161
============
See accompanying notes to financial statements
--------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Common Stock (91.94%)
Capital Goods (4.38%)
AGCO Corp. 2,129 $ 22,355
Albany Intl. Corp. Cl A 1,968 27,429
Ametek, Inc. 2,500 53,438
Borg-Warner Automotive 1,800 61,875
Cirrus Logic, Inc.* 5,000 151,250
Credence Systems Corp 3,500 204,969
Donaldson Co. Inc. 3,900 82,388
Federal Signal 3,200 69,000
Flowserve Corp. 3,036 56,166
Hubbell, Inc. Cl. B 5,130 132,739
Integrated Device Tech.* 5,600 491,400
International Rectifier Corp. 4,394 276,547
IPALCO 6,600 153,863
Jacobs Engineering Group* 2,000 76,000
Mark IV Industries, Inc. 4,715 105,498
Modine Manufacturing Co. 2,300 64,688
Newport News Shipbuilding, Inc. 2,340 99,450
Rayonier, Inc. 2,300 95,594
SPX Corp. 2,150 352,600
Stewart & Stevenson Svcs 2,500 40,313
Structural Dyn. Research* 2,200 35,475
Tecumseh Prod. Co. Cl. A 1,500 59,625
Trinity Industries 2,900 56,188
UCAR Intl.* 1,100 14,988
Vishay Intertech., Inc.* 9,862 397,562
WI Central Transport* 1,200 16,050
York Intl. Corp. New Com 3,100 77,113
------------
Total Capital Goods 3,274,563
------------
Consumer Cyclical (3.76%)
Abercrombie & Fitch . 2,500 57,969
Bandag Inc. 1,600 52,100
Barnes & Noble, Inc.* 5,000 86,563
BJ'S Wholesale Club* 5,200 176,150
Callaway Golf Co. 5,400 77,963
Carlisle Cos., Inc. 2,300 105,369
Claire's Stores, Inc. 3,850 75,797
Clayton Homes, Inc. 11,201 109,210
Dollar Tree Stores Inc. 6,650 269,741
Family Dollar Stores 13,200 237,600
Fastenal Co. 2,900 185,238
Furniture Brands Intl. Inc. 3,700 59,663
Lear Corp.* 1,600 34,500
Lennar Corp. 4,400 121,550
Martin Marietta Materials 3,400 136,000
Mohawk Inds 4,331 $ 102,861
Neiman-Marcus Group, Inc. 3,500 117,469
Payless Shoesource* 2,434 129,915
Shaw Industries, Inc. 9,200 114,425
Superior Industries 2,300 74,606
Teleflex, Inc. 2,700 96,188
UNIFI, Inc. 4,500 50,906
USG Corp. 500 16,094
VISX, Inc. 1,536 42,336
Warnaco Group CL-A 4,100 20,500
Webster Financial Corp. 2,900 71,503
Westpoint Stevens, Inc.* 1,300 18,281
William Sonoma, Inc. 4,834 173,722
------------
Total Consumer Cyclical 2,814,219
------------
Consumer Non-Durable (23.05%)
A.C. Nielson Corp.* 4,233 101,857
Acuson Corp.* 1,800 25,875
American Eagle Outfitters 3,200 95,400
Appria Healthcare Group* 3,900 58,013
Banta Corp. 2,300 50,744
Belo (A.H.) Corp. Sr. A 9,300 177,863
Bergen Brusswig CL A 9,624 90,225
Bob Evans Farms 2,600 44,200
Brinker International* 4,810 152,718
Buffets, Inc.* 2,300 30,475
Carter-Wallace Inc. 2,900 77,213
CBRL Group Inc. 4,600 55,488
Chris Craft Industries* 2,623 205,250
Church and Dwight 2,600 46,638
Cintas Group 11,400 473,813
Comdisco 10,900 261,600
Concord EFS Inc. 14,150 454,569
Covance, Inc.* 4,300 44,613
Dean Foods Co. 2,700 84,375
Delhaize America, Inc. 8,936 134,035
Dentsply Intl., Inc. 3,700 123,488
Devrey, Inc. 5,154 192,631
Dial Corp. 7,100 72,775
Dole Food Co. 4,600 64,975
Dreyer Grand Ice Cream 1,900 39,455
Edwards Lifesciences Corp. 4,286 112,508
Energizer Holdings, Inc. 7,192 142,042
Express Scripts, Inc. 2,946 209,718
First Health Group Corp.* 4,500 139,781
Flowers Inds., Inc. 7,275 158,231
Forest Labs CL A* 6,200 606,825
Foundation H.S.-A* 6,000 105,375
18
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S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Galileo International, Inc. 6,400 $ 119,200
Gilead Services, Inc. 2,900 313,200
Glatfelter (P.H.) Co. 3,100 32,550
Gtech Holdings Corp.* 3,178 56,807
Harte Hanks, Inc. 5,000 125,625
Health Mgmt. Assoc. Cl.A.* 18,250 297,703
Hispanic Broadcasting Corp. 7,400 190,088
Hon Inds 4,100 110,444
Hormel Foods Corp. 11,400 175,988
Houghton Mifflin Co. 1,900 93,456
ICN Pharmeceuticals 5,455 154,445
Idec Pharmaceuticals Corp. 3,200 446,800
Incyte Genomics, Inc. 1,675 138,920
Int'l Speedway Corp. 3,700 125,338
Int'l. Multifoods, Inc. 1,300 21,206
Interstate Bakeries Corp. 5,522 99,051
IVAX Corp.* 13,400 463,975
Jones Apparel Group* 8,702 213,199
L-3 Communications Holdings 2,300 135,988
Lancaster Colony Corp. 3,031 69,902
Lance, Inc. 2,000 18,625
Lands End * 2,100 51,319
Lee Enterprises 3,300 92,400
Lincare Holdings Inc.* 4,198 107,049
Lone Star Steakhouse* 1,200 10,125
Mandalay Resorts Co. 7,300 203,031
McCormick & Co. 5,460 159,364
Media General, Inc. Cl. A 2,100 108,150
Medimmune, Inc. 7,402 622,693
Miller (Herman), Inc. 6,500 207,594
Millennium Pharmeceuticals 6,480 927,450
Minimed, Inc. 4,200 301,547
Modis Prof. Services 3,900 26,813
Mylan Laboratories 9,400 249,688
Navigant Consulting Co. 3,100 12,400
Noble Affiliates 4,100 158,875
NSTAR- W/I 4,500 189,281
Office Max, Inc.* 2,900 15,044
Omnicare, Inc. 6,250 85,547
Outback Steakhouse, Inc.* 5,400 123,863
Pacific Health Systems 3,236 174,542
Papa Johns Int'l., Inc. 2,000 45,250
Park Place Entertainment 21,700 318,719
Perrigo Co.* 3,700 27,403
Pittston Brink's Group 3,559 55,387
PSS World Medical, Inc.* 5,125 32,031
Quest Diagnostics, Inc. 3,200 396,000
Quorum HG, Inc.* 1,800 23,175
Readers Digest Assoc 7,900 304,150
Ross Store, Inc. 6,976 105,512
Ruddick Corp. 2,900 35,525
Saks Holding, Inc.* 5,924 59,240
Sepracor Inc. 5,040 554,400
Six Flags, Inc. 5,700 85,144
Smucker (J.M.) Co. Cl. A 1,900 36,456
Standard Register Co. 1,900 24,344
Steris Corp.* 4,814 49,344
Stryker Corp. 14,900 667,706
Sungard D.S., Inc.* 9,488 341,568
Sybron Intl. Corp.* 7,030 159,933
Trigon Healthcare Inc. 3,200 165,200
Tyson Foods, Inc. Cl. A 16,550 152,053
Universal Corp. 2,600 67,275
Universal Foods Corp. 3,400 69,700
Univision Communications, Inc. 14,700 648,638
Valassis Communications 4,108 118,619
Viad Corp. 7,000 205,188
Wallace Comp. Services 3,400 39,525
Washington Post, Class B 717 364,953
Westwood One, Inc. 7,710 214,434
------------
Total Consumer Non-Durable $ 17,228,925
------------
Banking & Financial Service (10.43%)
Allmerica Financial Corp. 4,100 249,588
AMBAC Financial Group 5,300 342,513
American Fin. Group, Inc. 4,600 114,138
Associated Banc Corp. 5,126 128,711
Astoria Financial Corp. 600 21,075
Banknorth Group Inc. 10,700 175,213
Check Free Holding Corp. 4,420 229,011
City National Corp. 3,484 136,094
Compass Bancshares, Inc. 8,500 155,125
Dime Bancorp Inc. 8,093 148,709
E*Trade 11,880 210,870
Edwards AG 7,287 378,924
Everest Re Holdings 3,600 144,900
Finova Group, Inc. 1,900 13,181
First Security Corp. 14,587 222,452
First Tennesse Ntl., Corp. 9,500 209,000
First Virginia Banks, Inc. 3,900 166,725
FirstMerit Corp. 6,338 147,755
Gartner Group, Inc. Cl B 7,301 82,136
Greenpoint Fin. Corp. 2,400 62,700
Hibernia Bank 11,400 143,213
Horace Mann Educators 3,000 45,750
HSB Group, Inc. 2,350 93,853
Investment Tech. Group, Inc. 2,100 100,800
Keystone Financial Inc. 3,700 85,100
Legg Mason, Inc. 4,092 215,853
Marshall and Isley Corp. 7,480 364,650
Mercantile Bankshares Corp. 5,000 172,422
National Commerce Bancorp 14,607 282,098
NCO Group, Inc. 1,800 31,275
North Fork Bancorp 6,551 117,099
Ohio Causualty Corp. 4,500 33,188
Old Republic 9,400 225,013
Oxford Health Plans* 2,000 61,000
Pacific Century Financial 6,300 88,200
Protective Life Corp. 4,577 131,589
Provident Financial Group 3,237 85,174
Reliastar Financial Corp. 6,600 355,163
Roslyn Bancorp, Inc. 10,500 208,031
SEI Investments Co. 3,727 236,665
Sovereign Bancorp, Inc. 11,042 93,857
TCF Financial Corp. 6,589 216,202
The PMI Group, Inc. 3,650 226,300
Unitron, Inc. 5,400 164,363
Waddell & Reed Financial, Inc. 5,400 188,325
West America Bancorp 2,800 84,875
Wilmington Trust Corp. 2,700 136,013
Zions Bancorporation 6,000 268,500
------------
Total Banking & Financial Service 7,793,391
------------
Utility (9.93%)
AGL Resources 3,900 73,856
Allegheny Power System 8,270 296,686
Alliant Energy 5,536 161,928
Black Hills Corp. 1,400 35,700
Blyth Industries, Inc.* 3,500 82,031
Broadwing, Inc.* 15,400 430,238
Calpine Corp.* 8,200 811,800
Cleco Corporation 1,400 58,450
CMP Group Inc.* 2,100 61,688
Connectiv, Inc. 6,900 122,475
DPL Inc. 11,300 308,631
DQE, Inc. 5,200 208,975
Energy East Corporation* 8,849 200,762
Hawaiian Electric Inds 2,100 68,775
Idacorp Inc. 2,600 102,538
Kansas City Power & Light 4,800 129,000
19
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S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
LG&E Energy Corp. 9,500 $ 232,750
MCN Energy Group, Inc. 5,800 139,200
Micrel, Inc.* 6,200 473,913
Minnesota Power & Light* 4,600 102,063
Montana Power Co. 7,600 274,075
NI Source, Inc. 8,484 203,086
Noble Drilling Corp.* 9,910 480,635
Northeast Utilities 10,000 227,500
OGE Energy Corp. 6,200 132,525
Potomac Electric Power Co. 8,233 207,369
Public Ser. Co. N.Mexico 2,700 57,713
Puget Sound Power & Light 6,227 145,556
SCANA Corp. 5,043 138,052
Sierra Pacific Resources 5,774 102,128
Teco Energy, Inc. 9,400 230,888
Telephone & Data 4,600 533,600
Utilicorp United, Inc. 6,100 145,256
Vectren Corp.* 4,400 83,600
Washington Gas Light Co. 3,000 75,938
Western Resources, Inc. 4,900 98,000
Wisc. Energy Corp. 8,700 184,875
------------
Total Utility 7,422,255
------------
Service (5.38%)
Alexander & Baldwin, Inc. 3,200 84,200
American W.W., Inc. 6,800 166,600
Apollo Group Inc. 6,500 265,281
Dynegy, Inc. 21,720 977,400
Fiserv, Inc.* 8,350 452,466
Jabil Circuits, Inc.* 12,100 772,131
Kelly Services, Inc. Cl. A 2,600 60,125
ManPower, Inc. 6,200 224,363
Nova Corp/Georgia* 5,215 74,966
Robert Half Intl.* 12,316 391,803
Rollins, Inc. 2,600 39,000
Scholastic Corp.* 1,100 70,606
Sotheby's 4,400 91,025
Stewart Enterprises, Inc. 2,500 7,969
Tech Data Corp. * 3,869 199,737
Varco Intl., Inc.* 7,100 143,331
------------
Total Service 4,021,003
------------
Transportation (1.46%)
Airbourne Freight Corp. 3,100 46,306
Alaska Airgroup, Inc.* 2,000 52,000
Antec Corp* 2,600 93,763
Arnold Inds., Inc. 1,700 26,456
Atlas Air, Inc.* 2,600 112,450
C.H. Robinson Worldwide, Inc. 2,800 165,725
CNF Transportation, Inc. 3,200 78,400
Gatx Corp. 3,600 146,475
Hunt (J.B.) 2,900 39,150
Ogden Corp.* 3,800 66,025
Overseas Shipholding Grp 2,300 67,706
Swift Transportation, Inc. * 3,700 63,131
Whitman Corp. 10,220 134,776
------------
Total Transportation . 1,092,363
------------
Manufacturing (7.81%)
Airgas, Inc.* 1,700 11,263
AK Steel Holding Corp. 4,600 50,025
Albemarle Corp. 4,100 101,731
American Standard Co.* 5,200 240,825
Avocent Corp.* 3,546 172,424
Bowater, Inc. 4,200 215,775
Cabot Corp. 5,000 185,000
Carpenter Technology 1,400 45,500
CDW Computer Centers* 5,980 439,530
Chesapeake Corp. 1,500 $ 35,813
Cleveland Cliffs Corp. 700 17,588
Consolidated Papers* 7,000 275,188
Cooper Cameron Corp.* 300 23,344
Crompton & Knowles Corp. 8,978 80,802
Cytec Inds.* 3,400 113,475
Dexter Corp.* 1,600 94,600
Ethyl Corp. 6,100 12,581
Federal Mogul Corp. 3,300 34,031
Ferro Corp. 2,700 55,688
Fuller (H.B.) Corp. 1,000 34,313
Georgia Gulf Corp. 2,700 35,100
Georgia Pacific Co Timber 6,450 189,066
Harsco Corp. 3,600 100,125
Hillenbrand Industries 1,600 55,700
IMC Global, Inc. 6,200 91,063
International Game Tech 6,350 184,150
Iowa Beef Processing 7,400 118,863
Kaydon Corp. 2,100 46,331
Kennametal, Inc. 1,900 48,688
Legato Systems Inc.* 2,000 24,250
Longview Fibre Co. 4,000 45,500
Lubrizol Corp. 4,200 91,088
Lyondell Petrochemical 8,300 108,419
Macromedia, Inc.* 3,400 234,972
Magnetek, Inc.* 1,700 18,063
Maxxam, Inc.* 500 10,719
Minerals Technology, Inc. 1,700 88,188
NCH Corp. 600 22,388
Nordson Corp. 1,200 77,700
Olin Corp. 3,700 61,050
Pentair, Inc. 2,700 87,750
Quantum Corp.* 12,330 167,226
RPM, Inc. Ohio 6,918 66,153
Ryerson Tull, Inc. 1,558 14,704
Schulman (A.), Inc. 2,700 32,569
Solutia, Inc. 8,518 128,302
Sonoco Products, Inc. 7,862 151,835
Southdown, Inc. 2,774 174,069
Storage Tech. Corp.* 7,648 120,934
Suiza Foods Corp.* 2,500 125,000
Valspar Corp. 3,200 94,400
Waters Corp.* 9,000 716,063
Wausau Paper Mills Co. 4,342 38,535
Wellman, Inc. 2,500 30,156
------------
Total Manufacturing 5,838,615
------------
Technology (19.60%)
3COM Corp.* 24,278 403,622
Adtran, Inc.* 3,000 160,688
Affiliated Computer Svcs* 3,600 167,625
Arrow Electronics, Inc.* 6,674 242,767
Arvin Inds., Inc.* 5,254 86,691
Atmel Corp.* 32,920 658,400
Avnet, Inc. 2,927 175,254
Axciom Corp.* 6,327 161,339
Beckman Coulter, Inc. 2,200 167,475
Borders Group* 1,900 25,294
Cadence Design Sys., Inc.* 17,040 362,100
Cambridge Tech Partners* 4,400 27,088
Chiron Corp.* 13,212 714,274
Commscope, Inc.* 3,629 90,498
CSG Systems International, Inc.* 3,600 162,675
Cypress Semiconductor* 7,760 383,635
Diebold 5,300 149,725
DSP Group, Inc.* 1,800 83,250
DST Systems, Inc.* 4,600 432,400
Electronic Arts* 4,300 464,131
Genzyme Corp.* 6,030 452,627
Granite Construction, Inc. 1,825 41,519
20
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--------------------------------------------------------------------------------
S&P MIDCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Harris Corp. 5,780 $ 173,761
Imation Corp.* 3,000 66,750
Informix Corp.* 18,600 113,925
Intuit Inc.* 13,300 796,338
Keane, Inc.* 3,570 61,806
Lattice Semiconductor Corp.* 3,800 295,925
Litton Inds.* 3,500 193,594
Marchfirst, Inc.* 10,200 197,625
Mentor Graphics* 4,900 92,488
Microchip Tech* 5,599 381,082
Network Associates, Inc.* 3,281 84,896
Nvidia Corp.* 5,000 396,875
Policy Mgmt. Sys. Corp.* 2,700 36,450
Polycom* 2,200 247,225
Powerwave Technologies, Inc.* 3,700 178,063
Precision Castparts 1,850 140,600
Qlogic Corp.* 5,200 590,200
Quanta Services, Inc.* 4,300 201,025
Rational Software Corp.* 6,300 810,731
Reynolds & Reynolds Class A 6,200 112,375
Sawtek, Inc.* 2,800 141,225
SCI Systems Inc.* 10,468 646,399
Semtech Corp.* 2,400 284,250
Sensormatic Elect. Corp.* 5,700 94,763
Sybase, Inc.* 5,900 161,881
Sykes Corp.* 3,100 43,594
Sylvan Learning Systems, Inc.* 500 7,219
Symantec Corp.* 3,700 180,606
Symbol Technologies, Inc. 9,375 387,891
Synopsys, Inc.* 4,909 181,940
Titan Corp.* 3,900 96,038
Transaction Systems Archit A* 2,200 40,425
Transwitch Corp.* 5,400 $ 325,013
Triquint Semiconductor* 5,200 287,625
Vitesse Semiconductor* 11,088 984,753
------------
Total Technology 14,648,433
------------
Energy (6.14%)
BJ Services* 5,700 381,900
Ensco Intl., Inc. 10,500 418,688
Global Marine, Inc.* 13,000 420,063
Grant Prideco, Inc.* 7,256 170,516
Hanover Compressor Co.* 4,200 133,350
Helmerich & Payne 3,640 134,453
Kinder Morgan, Inc. 8,336 306,869
Murphy Oil Corp. 3,500 233,625
Nabors Industries* 9,306 442,617
National Fuel Gas Co. 2,600 136,338
Ocean Energy, Inc.* 12,119 184,057
Pennzoil-Quaker State Co. 4,294 53,407
Pioneer Nat. Resources* 5,300 73,538
Questar 6,400 138,800
RJ Reynolds Tobacco Hldgs 7,666 275,018
Sequa Corp.* 600 27,750
Smith International, Inc.* 3,300 262,350
Tidewater, Inc. 4,600 185,725
Ultramar D. Shamrock 6,500 152,344
Valero Energy Corp. 4,000 120,500
Weatherford Intl.* 7,256 340,532
------------
Total Energy 4,592,440
------------
Total Common Stock (Cost $53,065,046) 68,726,207
------------
Par Value
---------
Short-Term Investments (8.04%)
$ 4,100,000 United States Treasury Bills 5.65% - 5.98%
09/14/00 (b) 4,091,456
976,312 Firstar Institutional Money Market Fund 976,312
944,154 Firstar Government Money Market Fund 944,154
------------
Total Short-Term Investments (Cost $6,011,922) 6,011,922
------------
Total Investments (Cost $59,076,968) (99.98%) 74,738,129
Other Net Assets (0.02%) 10,927
------------
Net Assets (100.00%) $ 74,749,056
============
--------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $59,076,968. At August
31, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 20,361,061
Unrealized depreciation (4,699,900)
------------
Net unrealized appreciation $ 15,661,161
============
(b At August 31, 2000, certain United States Treasury Bills with a market
value of $1,945,262 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2000: (Contracts - $500 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
------------
S&P MidCap 400 Index:
22/Sept 00/Long $ 315,552
============
See accompanying notes to financial statements
--------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Common Stock (79.55%)
Capital Goods (6.62%)
Adaptive Broadband Corp.* 1,472 $ 46,000
Aeroflex Inc.* 750 27,563
Applied Industrial Tech 623 10,552
Aztec Industries Inc.* 470 9,224
Belden, Inc. 694 18,131
Benchmark Elec. Inc.* 320 $ 16,660
BMC Industries Inc-Minn 697 3,921
Cable Design Tech.* 1,155 31,185
CDI Corp.* 525 9,713
Credence Systems Corp.* 600 35,138
CTS Corp. 788 40,434
Dycom Industries* 900 47,700
21
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S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Foster Wheeler Corp 550 $ 3,884
Gardner Denver, Inc.* 490 7,136
Graco, Inc. 548 19,420
Harmon Industries Inc.* 310 9,513
Ionics, Inc.* 372 11,090
JLG Industries, Inc. 1,000 11,563
Lawson Products 500 12,625
Lindsay Manufacturing Co. 469 8,559
Manitowoc Company, Inc. 657 15,070
Mascotech Inc. 1,200 19,875
MID Atlantic Medical Svcs* 1,400 22,575
Milacron Inc. 387 5,974
Morrison Knudson Corp.* 3,013 36,156
PAXAR Corp.* 1,275 14,025
Pioneer Standard Elec 762 10,430
Plexus Corp.* 453 70,102
Polaris Industries, Inc. 600 20,475
Radisys Corp* 400 22,375
Republic Group 340 6,056
Robbins & Myers 356 8,500
Scott Technolgies Inc.* 560 10,605
Shaw Group Inc. (The)* 400 22,275
Specialty Equipment Cos. Inc.* 500 13,531
Technitrol 444 56,610
Tenneco Automotive Inc. 850 6,056
Trimble Navigation Ltd.* 757 31,463
Unisource Energy Corp. 800 12,450
URS Corp.* 400 5,275
Varian Medical Systems Inc.* 750 34,453
Vicor Corp.* 456 19,893
Wabash Natl. Corp. 622 6,920
------------
Total Capital Goods 851,155
------------
Consumer Cyclical (6.29%)
ABM Industries, Inc. 1,140 30,780
Apogee Enterprises, Inc. 690 3,062
Aptargroup, Inc. 880 20,515
APW Limited* 1,011 44,484
Brown Shoe Company Inc. 711 7,643
Cascade Natural Gas Corp. 470 7,990
Cato Corp New CL A 898 11,113
Chico's FAS Inc.* 450 17,550
Clarcor, Inc. 764 15,758
Coachmen Industries Inc. 400 4,450
Copart Inc.* 1,400 23,713
Cost Plus Inc. /California* 500 16,813
Discount Auto Parts, Inc.* 565 5,014
Dress Barn, Inc. (The)* 556 11,850
Elcor Corp. 495 8,137
Factory 2-U Stores Inc.* 300 10,369
Fedders Corp. 1,451 7,527
Footstar, Inc.* 707 21,033
G & K Services Inc., CL A 532 15,428
Gentex Corp.* 2,086 53,975
Geon Co.* 736 12,834
Griffon Corp.* 831 6,440
Group 1 Automotive Inc.* 310 3,410
Interface, Inc. 1,350 9,366
Jakks Pacific Inc.* 390 6,923
Jo-Ann Stores Inc - CL A * 541 3,550
Kellwood Co. 663 10,608
Lennox Intl Inc 1,000 13,813
Linens `N Things* 1,000 27,000
Marcus Corp. 975 12,005
MDC Holdings Inc. 480 12,030
Michaels Stores, Inc.* 816 28,560
National Presto Industries 230 7,001
Nautica Enterprises, Inc.* 272 3,213
NVR Inc.* 230 16,905
O'Reilly Automotive, Inc.* 1,148 17,507
Oshkosh B Gosh 530 $ 7,553
Oxford Industries, Inc. 346 7,655
Pacific Sunwear of Cal* 750 9,984
PEP Boys-Manny Moe & Jack 1,093 6,421
Pier 1 Imports, Inc. 2,545 29,904
Prime Hospitality Corp.* 1,431 14,847
Reliance Steel & Alum 705 14,541
School Specialty Inc.* 500 9,031
Shopko Stores, Inc.* 760 8,693
Skyline Corp. 280 6,195
Smith (A.O.) Corp. 505 7,954
Stein Mart, Inc.* 1,116 13,113
Texas Industries, Inc. 512 17,472
The Ryland Group, Inc. 535 13,141
The Timberland Co.* 808 32,926
The Toro Co. 439 13,280
Thor Industries Inc. 360 8,393
Toll Bros., Inc.* 887 28,938
Winnebago Industries 660 8,456
Wolverine World Wide, Inc. 1,111 12,152
X-Rite, Inc. 1,086 10,453
------------
Total Consumer Cyclical 809,471
------------
Consumer Non-Durable (17.43%)
99 Cents Only Stores* 933 41,927
Aaron Rents Inc. 350 4,813
ADAC Laboratories* 1,020 22,823
Advance Paradigm Inc.* 1,010 26,891
Advo, Inc.* 1,970 80,647
Anchor Gaming* 300 21,975
Ann Taylor* 689 24,804
Applebee's Intl., Inc. 751 17,038
Aztar Corp.* 1,243 18,101
Barr Laboratories Inc.* 825 58,575
Beringer Wine Estates Holdings Inc* 500 27,656
Bindley Western Inds 733 21,120
Bio-Technology General Corp.* 1,084 15,108
Bisys Group Inc.* 652 49,104
Bowne & Co. Inc. 1,002 10,396
Canadaigua Wine Co., Inc.* 387 20,850
Casey's General Stores 1,404 15,971
Catalina Marketing Corp.* 1,572 67,105
CEC Entertainment, Inc.* 763 22,032
Cheesecake Factory* 942 33,971
Ciber, Inc.* 1,381 14,242
Coca-Coca Bottling 273 10,937
Coherent, Inc.* 650 52,325
Consolidated Products* 737 6,771
Cooper Co. 400 13,150
Cor Therapeutics, Inc.* 1,468 82,575
Corn Products Intl 922 23,165
Coventry Health Care, Inc.* 1,604 25,664
CPI Corp. 340 8,288
Curative Health Services* 90 461
Cygnus, Inc.* 582 7,093
Datascope Corp. 490 17,273
Diagnostic Products Corp. 420 17,798
Dura Pharmaceuticals Inc.* 1,300 35,831
Earthgrains Co. 1,122 19,775
Eloyalty Corp* 1,009 13,748
Fleetwood Enterprises Inc. 900 12,319
Fleming Co., Inc. 1,103 17,028
GC Companies* 253 3,763
Great Atlantic & Pacific Tea Co. 969 13,566
Guilford Mills, Inc. 452 1,582
Gymboree Corp.* 668 3,298
Ha-Lo Industries, Inc.* 150 750
Harland, John H. Co. 670 9,799
Harman International 485 37,224
Hartmax Corp.* 600 1,800
Heidrick & Struggles Inc.* 500 29,063
22
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--------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Idexx Laboratories Inc.* 1,028 $ 26,857
IHOP Corp.* 582 11,422
Immune Response Corp.* 710 6,390
Information Resources Inc.* 700 4,769
Instituform Tech. CL A * 700 21,481
Invacare Corp. 730 19,664
J&J Snack Foods* 280 3,955
Jack in the Box Inc.* 1,084 23,916
Jones Pharmacy, Inc.* 1,924 68,783
Landry's Seafood Rest.* 464 3,654
Luby's Cafeterias, Inc. 879 4,835
Medicis Pharmaceutical* 700 45,106
Mens Wearhouse, Inc.* 860 26,230
Mentor Corp. 581 12,310
Michael Foods Inc. 500 11,875
Morrison Management Specialist Inc. 300 7,988
Nash-Finch Co. 500 4,875
National Data Corp. 883 25,938
Natures Sunshine Prod., Inc. 561 4,418
NBTY, Inc.* 1,312 9,266
New England Bus. Srvc 474 9,332
Noven Pharmaceuticals Inc.* 600 25,200
On Assignment Inc.* 500 14,938
Orthodontic Centers of Am* 1,201 39,333
Owens & Minor Hldg Co. 881 13,490
Parexel Intl. Corp.* 224 2,233
Patterson Dental Co.* 1,702 40,423
Pediatrix Med. Grp., Inc.* 90 1,198
Penton Media Inc. 900 28,181
Performance Food Group Co.* 400 14,850
Phillips Van Heusen Corp. 1,141 10,412
Pinnacle Entertainment Inc.* 865 17,841
Prepaid Legal Srvs., Inc.* 550 18,047
Priority Healthcare Corp B * 605 34,939
Ralcorp Holdings, Inc.* 800 10,800
Regis Corp. 832 13,156
Renal Care Group, Inc.* 1,035 20,959
Resmed Inc.* 800 29,450
Respironics* 852 16,135
Ruby Tuesday, Inc. 2,008 25,100
Russ Berrie & Co., Inc. 646 13,243
Ryan's Family Steak House* 1,141 9,271
Schweitzer-Mauduit, Inc. 413 5,989
Sierra Health Srvs., Inc.* 452 1,243
Smithfield Foods, Inc.* 1,506 40,003
Snyder Communications, Inc.* 1,900 52,013
Sola International* 307 2,149
Sonic Corp.* 572 18,662
Stride Rite Corp. 430 2,580
Sunrise Medical* 899 5,057
Titan Intl., Inc. 300 1,519
Triarc Co.* 820 18,655
United Stationers Inc.* 900 29,194
Universal Hlth Srvs-B* 820 58,015
Vertex Pharmaceuticals Inc.* 1,338 113,730
Vital Signs, Inc. 475 8,758
Volt Info Sciences, Inc.* 110 3,719
Wesley Jessen Visioncare Inc.* 400 15,050
Whole Foods Market, Inc.* 654 33,027
------------
Total Consumer Non-Durable 2,241,821
------------
Banking & Financial Service (9.60%)
Americredit Corp.* 1,540 42,543
Anchor Bancorp WI, Inc. 400 6,525
Cash American Intl., Inc. 792 5,940
Centura Banks, Inc. 641 22,635
Chemfirst, Inc. 687 15,844
Commerce Bank Corp. 691 35,716
Commercial Federal Corp. 1,535 27,726
Cullen/Frost Bankers, Inc. 1,270 39,370
Dain Rauscher Corp. 346 27,831
Delphi Financial Group, Inc.* 507 $ 20,977
Downey Financial Corp. 783 26,231
Eaton Vance Corp. 1,030 49,891
Enhance Fncl. Svcs. Grp 1,010 15,908
Fidelity National Fin., Inc. 1,316 26,238
First American Finl.Corp 1,497 24,701
First Midwest Bancorp Inc./IL 1,068 27,568
Firstbank Puerto Rico 756 14,742
Fremont General Corp. 110 351
Gallagher, Arthur J & Co. 858 42,042
GBC Bancorp/California 600 22,725
Hudson United Bancorp 1,108 27,908
Imperial Bancorp* 1,300 28,275
Investors Financial Services Corp. 800 49,250
Jefferies Group, Inc. 500 15,219
Macdermid, Inc. 670 16,750
MAF Bancorp, Inc. 1,100 23,650
Morgan Keegan Inc. 800 16,050
Mutual Risk Mgmt., Ltd. 596 12,665
National Discount Brokers Group Inc.* 400 14,475
Oshkosh Truck Corp. 450 15,975
Pioneer Group, Inc.* 681 29,709
Primark Corp.* 510 18,870
Queens County Bancorp 450 11,869
Radian Group Inc. 961 59,702
Raymond James Fncl. Corp. 1,245 35,483
Riggs Natl Corp. 948 11,317
RLI Corp. 300 11,550
RSA Security Inc.* 1,000 59,063
Scpie Holdings Inc. 300 6,525
Selective Insurance Group 737 13,220
Silicon Valley Bancshares* 1,120 64,540
South Financial Group Inc (The) 580 7,540
Southwest Bancorp Of Texas* 1,230 35,747
Southwest Securities Group 440 14,603
Staten Island Bancorp Inc. 1,000 18,438
Trenwick Group, Inc. 418 7,916
Trustco Bank Corp. NY 1,314 16,918
Tucker Anthony Sutro 600 14,138
Waddell & Reed Financial Inc. 600 20,925
Washington Federal Inc. 1,300 26,975
Whitney Holding Co. 596 21,195
Zenith Ntnl. Ins. Corp. 600 13,913
------------
Total Banking and Financial Service 1,235,877
------------
Utility (1.77%)
American States Water Co. 280 7,298
Atmos Energy Corp. 728 15,106
Avista Corp. 1,200 22,125
Billing Concepts Corp.* 914 2,971
CH Energy Group Inc. 435 16,421
Laclede Gas Co. 500 10,781
Northwestern Corporation 600 13,050
Nuevo Energy Co.* 400 7,675
NUI Corp. 400 12,025
Philadelphia Suburban Corp. 1,039 24,352
Piedmont Natural Gas, Inc. 722 19,990
Southwestern Energy Co. 1,192 9,238
UIL Holdings Corp 375 18,867
UGI Corp 700 15,969
Vintage Petroleum, Inc. 1,496 31,416
------------
Total Utility 227,284
------------
Service (4.03%)
Administaff Inc.* 1,790 145,885
Bassett Furniture Inds., Inc. 437 6,009
Central Parking Corp. 769 14,899
Edgewater Technology Inc.* 800 5,000
Hilb, Rogal & Hamilton Co . 420 16,800
Hooper Holmes Inc. 1,600 18,700
23
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--------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Hughes Supply, Inc. 559 $ 11,907
IMCO Recycling 530 4,240
Insurance Auto Auctions Inc.* 520 8,580
Kent Electronics Corp.* 774 22,640
Kroll-O'Gara Co.* 80 410
Maximus Inc.* 500 11,063
Medquist Inc.* 289 5,599
Memberworks Inc.* 400 11,250
Mercury Interactive Corp.* 580 70,869
SCP Pool Corp.* 450 13,191
Spherion Corporation* 1,894 23,320
Syncor Intl Corp.* 600 24,000
Tetra Tech Inc.* 875 23,734
Tetra Technologies, Inc.* 344 4,687
True North Comms 1,438 66,687
United Natural Foods Inc.* 445 6,731
US Oncology Inc.* 330 1,846
------------
Total Service 518,047
------------
Transportation (2.72%)
AAR Corp. 1,093 12,296
American Freightways Corp.* 749 12,312
Atlantic Coast Airlines Holdings Inc.* 500 15,875
Circle International Group 500 17,906
EGL Inc.* 1,400 50,313
Expeditors Intl Wash, Inc. 1,260 61,740
Forward Air Corporation* 500 22,938
Fritz Companies, Inc.* 1,107 16,397
Heartland Express, Inc.* 810 14,175
Kirby Corp.* 691 16,282
Landstar* 295 15,045
M S Carriers, Inc.* 409 7,541
Mesa Air Group Inc.* 820 4,561
Midwest Express Holdings* 500 11,313
Roadway Express Inc. 500 11,500
Rollins Truck Leasing 1,489 10,051
US Freightways Corp. 675 21,052
Werner Enterprises, Inc. 1,263 17,051
Yellow Corp.* 716 10,919
------------
Total Transportation 349,267
------------
Manufacturing (11.85%)
Actel Corp* 1,380 60,720
Alpha Industries* 1,040 52,455
Alpharma, Inc. Class A 734 41,563
Amcast Ind 330 3,960
AMCOL Intl. Corp. 933 3,091
Arch Chemicals Inc. 800 14,550
Arctic Cat, Inc. 1,141 13,514
Baldor Electric Co. 926 18,173
Barnes Group, Inc. 582 11,313
Birmingham Steel Corp. 759 2,135
Brady Corp. 616 17,826
Brush Wellman Inc. 600 14,025
Buckeye Tech, Inc.* 1,014 25,287
Butler Manufacturing 323 7,167
C Cube Microsystems* 1,197 27,830
Cambrex Corp. 670 31,448
Caraustar Industries 604 9,324
Castle (A.M.) & Co. 519 5,450
Champion Enterprises, Inc.* 214 1,418
Chemed Corp. 341 10,443
Commercial Metals Co. 570 15,924
Cuno Incorporated* 400 11,400
D.R. Horton, Inc. 1,350 26,494
Delta & Pine Land Co. 952 23,265
Deltic Timber Corp. 300 6,000
Electro Scientific Inds., Inc.* 684 28,172
Epicor Software Corp.* 450 1,814
Ethan Allen Interiors, Inc. 1,095 29,497
Factset Research Sys. Inc. 730 $ 24,957
Florida Rock Inds 500 19,219
Gerber Scientific, Inc. 691 6,737
Idex Corp. 800 24,300
Innovex, Inc. 357 5,355
Intermet Corp. 683 5,293
K2, Inc.* 429 4,746
Kemet Corp.* 2,136 64,080
Kronos, Inc.* 375 14,016
Kulicke & Soffa Ind.* 1,274 23,171
La-Z-Boy Chair Co. 1,518 24,383
Libbey Inc. 440 14,438
Lilly Industries, Inc. 738 22,601
Lydall, Inc.* 405 4,885
Material Sciences* 398 4,179
Methode Electronics CL A 1,033 62,109
Midway Games Inc.* 997 8,599
Mississippi Chem. Corp. 514 2,120
Mueller Industries* 998 31,499
Myers Industries, Inc. 635 8,886
Network Equip. Tech., Inc.* 743 8,962
OM Group, Inc. 592 28,046
Omnova Solutions Inc* 650 3,900
Plantronics Inc.* 1,200 59,925
Pogo Producing Co. 754 20,264
PolyOne Corp* 3,675 30,548
Pope & Talbot, Inc. 981 19,497
Quanex Corp. 529 9,886
Regal-Beloit Corp. 534 9,212
Regeneron Pharm.* 989 35,048
Roper Industries, Inc. 788 25,512
RTI International Metals* 500 7,031
Scotts Company Class A* 830 25,730
Silicon Valley Group Inc.* 900 25,088
Simpson Industries 690 6,728
Simpson Manufacturing Co. Inc.* 300 14,100
Skywest, Inc. 636 31,601
SPS Technologies, Inc.* 1,586 74,641
Standard Pacific Corp. 923 15,172
Standex International Corp. 454 8,427
Stillwater Mining Co.* 910 30,940
Sturm Ruger & Co., Inc. 703 5,844
Telxon Corp.* 1,301 25,695
Thomas Industries Inc. 440 8,883
Tredegar Industries, Inc. 1,023 19,949
Universal Forest Products 601 7,550
Valmont Industries 707 13,389
W D-40 Co. 496 9,610
Watsco, Inc. 665 8,479
WHX Corporation* 710 2,707
Wolverine Tube, Inc.* 459 7,631
Zale Corp.* 934 34,500
------------
Total Manufacturing 1,524,326
------------
Technology (14.85%)
Advanced Tissue Sciences* 1,186 8,450
Allen Telecom, Inc.* 1,401 27,932
Alliance Pharmaceutical* 1,094 16,684
Alliance Semiconductor Corp. 1,100 28,944
Alliant Techsystems, Inc.* 310 23,889
American Mgmt. Systems* 1,041 19,454
Analogic Corp. 1,306 48,975
Analysts Intl. Corp. 150 1,247
Anixter Intl.* 1,091 38,185
Artesyn Technologies Inc.* 1,000 41,563
Aspect Telecom. Corp.* 614 13,853
Aspen Technology Inc* 600 27,563
Avant! Corporation* 1,100 16,019
AVT Corporation* 240 1,425
AXT Inc.* 300 11,588
Barra Inc.* 300 17,288
24
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S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
BE Aerospace, Inc.* 688 $ 11,137
Biomatrix* 600 12,750
Black Box Corporation* 400 23,800
Brightpoint Inc.* 263 1,660
Brooktrout Inc.* 300 10,200
C&D Technologies Inc. 620 34,255
C-COR.net Corporation* 670 13,065
Cephalon, Inc.* 861 43,319
Cerner Corp.* 848 32,277
Checkpoint Systems, Inc.* 964 7,712
Choicepoint Inc.* 1,046 49,031
Cognex Corp.* 1,079 43,160
Computer Task Group, Inc. 140 490
Consolidated Graphics* 89 1,313
Dallas Semiconductor Corp. 1,418 58,670
Dendrite Intl. Inc.* 900 23,906
Dionex Corp.* 640 18,880
DMC Stratex Networks Inc.* 2,073 52,991
Electroglas, Inc.* 460 10,321
Enzo Biochem, Inc.* 834 50,040
ESS Technology* 1,100 19,044
Esterline Technologies Corp.* 450 8,719
F.Y.I. Inc.* 500 19,500
Fair Issac & Co, Inc. 345 15,848
Filenet Corp.* 788 15,169
Franklin Covey Co.* 633 4,233
General Communication* 1,702 13,616
Helix Technology Corp. 635 24,051
Henry (Jack) & Assoc 1,006 44,641
HNC Software* 670 36,452
Hyperion Solutions Corp.* 775 24,509
Insight Enterprises* 600 30,150
Inter Tel, Inc. 714 10,933
Itron, Inc.* 383 2,298
Kaman Corp. 670 8,794
Lattice Semiconductor Corp.* 1,406 109,492
Micro Systems Inc.* 430 7,552
National Computer Sys., Inc. 820 59,553
National Instruments Corp.* 1,237 53,423
Orbital Sciences Corp.* 953 8,517
Organogenesis Inc.* 700 11,375
P Com, Inc.* 400 2,500
Park Electrochemical Corp. 326 13,101
Pegasus Solutions Inc.* 370 7,354
Peregrine Systems Inc.* 143 4,567
Pharm. Product Dev.* 630 13,821
Phoenix Technologies Ltd.* 480 8,280
Photronics, Inc.* 649 19,024
Pinnacle Systems Inc.* 50 631
Progress Software Corp.* 900 12,319
Protein Design Labs, Inc.* 958 72,808
Proxim Inc.* 600 $ 36,038
Read-Rite Corp.* 407 3,676
Remedy Corp.* 700 16,363
Robotic Vision Systems Inc.* 900 11,419
S3, Inc.* 1,426 16,845
SAGA Systems, Inc.* 390 4,924
Speedfam Intl., Inc.* 441 8,214
Standard Microsystems Corp.* 350 6,650
Symmetricom, Inc.* 571 8,851
Systems & Computer Tech Corp.* 500 8,969
Talk.com Inc.* 829 5,958
Techne Corp.* 500 47,750
Telcom Semiconductor Inc.* 2,000 34,875
Teledyne Technologies Inc.* 390 7,849
Ultratech Stepper, Inc.* 593 10,674
Verity Inc.* 900 41,175
Xircom, Inc.* 620 19,143
Zebra Tech CL A* 803 43,362
Zixit Corporation* 1,100 53,625
------------
Total Technology 1,910,670
------------
Energy (4.39%)
Atwood Oceanics* 400 18,150
Barrett Resources Corp.* 751 26,003
Cabot Oil & Gas Corp. 765 15,300
CAL Dive International Inc.* 400 23,000
Cross Timbers Oil Co. 1,212 32,042
Dril-Quip* 1,580 71,791
Energen Corp. 870 22,566
Friede Goldman Halter Inc.* 421 2,368
HS Resources, Inc.* 482 15,273
Louis Dreyfus Natural Gas* 1,760 61,160
New Jersey Resources 488 19,520
Newfield Exploration Co. * 1,032 44,634
Northwest Natural Gas 547 12,581
Oceaneering International* 688 11,997
Offshore Logistics, Inc.* 656 11,398
Plains Resources, Inc.* 395 7,011
Pride International Inc.* 1,742 42,897
Seacor Smit Inc.* 450 20,503
Seitel, Inc.* 687 10,777
Southern Union Company* 1,339 24,018
Southwest Gas 692 13,062
St. Mary Land & Explor 303 12,537
Stone Energy Corp.* 400 23,925
General Semiconductor* 1,146 16,648
Input/Output, Inc.* 564 5,076
------------
Total Energy 564,237
------------
Total Common Stock (Cost $8,215,494) 10,232,155
------------
Par Value
---------
Short-Term Investments (20.39%)
$ 1,800,000 United States Treasury Bills 5.650% - 5.995%
09/14/00 (b) 1,796,203
394,590 Firstar Institutional Money Market Fund 394,590
432,026 Firstar Government Money Market Fund 432,026
------------
Total Short-Term Investments (Cost $2,622,819) 2,622,819
------------
Total Investments (Cost $10,838,313) (99.94%) 12,854,974
Other Net Assets (0.06%) 7,866
------------
Net Assets (100.00%) $ 12,862,840
============
--------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $10,838,313. At August
31, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 2,971,973
Unrealized depreciation (955,312)
------------
Net unrealized appreciation $ 2,016,661
============
(b) At August 31, 2000 certain United States Treasury Bills with a market value
of $349,150 were pledged to cover margin
25
<PAGE>
--------------------------------------------------------------------------------
S&P SMALLCAP INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
--------------------------------------------------------------------------------
requirements for futures contracts.
(c) Futures contracts at August 31, 2000: (Contracts - $500 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
------------
Russell 2000 Stock Index:
8/Sept 00/Long $ 88,553
============
See accompanying notes to financial statements
--------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2000
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Common Stock (68.00%)
Capital Good (6.33%)
Electrical Equipment (6.33%)
General Electric 11,100 $ 651,430
Johnson Controls 1,800 96,187
------------
Total Capital Good 747,617
------------
Consumer Cyclical (1.42%)
Housing (0.39%)
AvalonBay Communities Inc. 1,040 46,475
------------
Textile & Apparel (0.30%)
Liz Claiborne Inc. 800 35,150
------------
Retail - General (0.73%)
The Limited, Inc. 4,320 86,400
------------
Total Consumer Cyclical 168,025
------------
Consumer Non-Durable (8.70%)
Food, Beverage & Tobacco (0.50%)
Philip Morris Co Inc. 2,000 59,250
------------
Communications & Media (3.13%)
Knight Ridder Inc 700 38,238
McGraw Hill Cos Inc. 2,500 154,843
NY Times Class A 2,000 78,375
Telefonaktiebolaget LM Ericsson ADR 4,800 98,400
------------
369,856
------------
Drugs (2.74%)
Baxter International, Inc. 1,350 112,387
Bristol-Myers/Squibb Co. 2,240 118,720
Medtronic Inc. 1,800 92,250
------------
323,357
------------
Cosmetic & Soap (0.83%)
Avon Products, Inc. 2,500 97,969
------------
Business Service (0.58%)
Comdisco Inc. 400 9,600
Paychex Inc. 600 26,775
Viad Corp. 1,100 32,244
------------
68,619
------------
Office Product (0.92%)
Avery Dennison 2,000 108,125
------------
Total Consumer Non-Durable 1,027,176
------------
Banking & Finance (19.26%)
Bank & Bank Holding Company (6.61%)
Bank of New York Co Inc 1,700 89,143
Chase Manhattan Corp. 3,250 181,594
Firstar Corporation 2,000 47,750
Fleet Boston Financial Corp. 2,800 119,525
Mellon Bank Corp. 4,000 181,000
Wells Fargo & Co. 3,750 161,953
------------
780,965
------------
Finance Company (1.22%)
Household Intl 3,000 144,000
------------
Investment Company (0.97%)
Alliance Capital Management Holding LP 2,200 113,850
Insurance (7.70%)
American General Corp. 2,400 $ 174,750
American International Group 1,500 133,688
Archstone Communities Trust 1,330 32,751
Cigna Corp. 2,000 194,500
Marsh & McLennan 3,150 374,063
------------
909,752
------------
Real Estate (1.68%)
AMB Property Corp. 1,300 31,444
Equity Office Properties Trust 1,600 46,200
Equity Residential Props TR 960 46,080
Kimco Realty Corp. 700 28,438
Spieker Properties Inc 850 46,431
------------
198,593
------------
Financial Service (1.08%)
MBNA Corp. 2,200 77,688
Price (T. Rowe) Associates 1,100 49,775
------------
127,463
------------
Total Banking & Finance 2,274,623
------------
Utility (6.85%)
Electric (1.27%)
Duke Energy Corp 2,000 149,625
------------
Telephone (1.67%)
SBC Comms 4,737 197,770
------------
Energy (2.35%)
Enron Corp. 1,100 93,363
PECO Energy Co. 1,500 72,281
Reliant Energy Inc. 3,000 111,375
------------
277,019
------------
Miscellaneous (1.56%)
Williams Co. 4,000 184,250
------------
Total Utility 808,664
------------
Service Business (0.25%)
Automatic Data Processing 500 29,812
------------
Transportation (0.52%)
Railroad (0.52%)
Conoco Inc. - Class B 2,333 60,950
------------
Manufacturing (3.90%)
Building & Housing (0.43%)
Prologis Trust 2,245 51,353
------------
Chemical (0.41%)
Millipore Corp. 800 48,700
------------
Diversified (1.11%)
Corning Inc. 400 131,175
------------
Paper & Forest Product (0.26%)
Bowater Inc. 600 30,825
------------
Non Ferrous Metal (1.69%)
Aluminum Co. of Amer 6,000 199,500
------------
Total Manufacturing 461,553
------------
26
<PAGE>
--------------------------------------------------------------------------------
EQUITY INCOME FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Technology (14.05%)
Electronic (9.93%)
Hewlett-Packard Co 1,000 $ 120,750
Intel Corp. 5,400 404,325
Motorola Inc. 5,100 183,919
Nortel Networks Corporation 3,413 278,373
PE Corp.-PE Biosystems Group 1,000 98,375
Texas Instruments Inc. 1,300 87,019
------------
1,172,761
------------
Software (0.72%)
Adobe Systems Inc 500 65,000
Electronic Data Systems Corp 400 19,925
------------
84,925
------------
Telecommunication (2.72%)
Lucent Technologies Inc. 2,500 104,531
Nokia OYJ ADR-A 2,400 107,850
Scientific-Atlanta Inc. 1,400 109,113
------------
321,494
------------
Telecom Equipment (0.68%)
BCE Inc. 3,600 81,000
------------
Total Technology 1,660,180
------------
Energy (6.72%)
Oil & Gas - Domestic (1.99%)
EL Paso Energy Corporation 1,000 $ 58,250
Kerr-McGee Corp. 1,000 63,188
Murphy Oil Corp. 1,000 66,750
Ultramar Diamond Shamrock Corp. 2,000 46,875
------------
235,063
------------
Oil & Gas - International (3.69%)
Exxon Mobil Corp. 5,340 435,877
------------
Oil & Gas - Service (0.31%)
Tidewater Inc. 900 36,337
------------
Pipeline (0.36%)
Kinder Morgan Energy Partners LP 1,000 42,188
------------
Natural Gas (0.37%)
Kinder Morgan Inc. 1,200 44,175
------------
Total Energy 793,640
------------
Total Common Stock (Cost $5,868,480) 8,032,240
------------
Par Value
---------
Short-Term Investments (30.09%)
$ 2,700,000 United States Treasury Bills 5.64%-5.65%
09/14/00 (b) 2,694,493
470,032 Firstar Institutional Money Market Fund 470,032
389,429 Firstar Government Money Market Fund 389,429
------------
Total Short-Term Investments (Cost $3,553,954) 3,553,954
------------
Total Investments (Cost $9,422,434) (98.09%) 11,586,194
Other Net Assets (1.91%) 226,354
------------
Net Assets (100.00%) $ 11,812,548
============
--------------------
(a) Aggregate cost for federal income tax purposes is $9,422,434. At August 31,
2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 2,454,626
Unrealized depreciation (290,866)
------------
Net unrealized appreciation $ 2,163,760
============
(b At August 31, 2000, certain United States Treasury Bills with a market
value of $448,898 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2000: (Contracts - $500 times premium/
delivery month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
------------
S&P MidCap 400 Index:
12/Sept 00/Long $ 209,292
============
See accompanying notes to financial statements
--------------------------------------------------------------------------------
EUROPEAN GROWTH & INCOME PORTFOLIO OF INVESTMENTS 8/31/2000
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Common Stock (97.17%)
Consumer Cyclical (1.29%)
Auto & Truck (1.29%)
DaimlerChrysler AG 374 $ 19,471
------------
Consumer Non-Durable (20.18%)
Food, Beverage & Tobacco (3.10%)
Diageo Plc ADR 345 11,881
Nestle SA ADR 323 34,794
------------
46,675
------------
Retail - Food and Drugs (1.33%)
Koninklijke Ahold NV ADR 700 19,950
------------
Communications & Media (5.12%)
Telefonaktiebolaget LM Ericsson ADR 2,828 57,974
Marconi PLC* ADR 1,076 19,069
------------
77,043
------------
Drugs (9.37%)
Glaxo Wellcome Plc ADR 758 43,632
Novartis ADR 1,139 43,068
Roche Holding AG ADR 269 $ 24,083
Smithkline Beecham Plc ADR 462 30,174
------------
140,957
------------
Cosmetic & Soap (1.26%)
L'OREAL* ADR 1,310 18,960
------------
Total Consumer Non-Durable 303,585
------------
Banking & Financial Services (25.72%)
Banks (12.80%)
ABN Amro Holding NV ADR 591 14,775
Banco Bilbao Vizcaya Argentaria SA ADR 1,217 18,179
Banco Santander Central Hispano SA ADR 1,622 17,741
Barclays Plc ADR 486 50,058
Credit Suisse Group ADR 432 22,561
Deutsche Bank AG ADR 234 20,450
ING Groep NV ADR 374 25,222
UBS AG-REG 162 23,682
------------
192,668
------------
27
<PAGE>
--------------------------------------------------------------------------------
EUROPEAN GROWTH & INCOME PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Finance Company (3.05%)
HSBC Holdings Plc ADR 633 $ 45,853
------------
Investment Company (0.63%)
Prudential Plc ADR 370 9,574
------------
Insurance (9.24%)
Aegon NV ADR 522 20,489
Axa ADR 945 66,445
Swiss Reinsurance ADR 342 35,094
Vivendi SA ADR 1,038 16,980
------------
139,008
------------
Total Banking & Financial Services 387,103
------------
Utility (13.64%)
Electric (2.23%)
E.ON AG ADR 294 14,204
Enel SpA ADR 488 19,398
------------
33,602
------------
Telephone (10.69%)
Alcatel SA 501 41,520
Telefonica SA ADR 385 22,065
Vodafone Group PLC ADR 2,376 97,268
------------
160,853
------------
Miscellaneous (0.72%)
Unilever Plc ADR 422 10,761
------------
Total Utility 205,216
------------
Service (0.67%)
Consumer (0.67%)
Royal KPN NV ADR 370 10,013
------------
Manufacturing (3.32%)
Chemical (0.76%)
Bayer AG ADR 269 11,396
------------
Diversified (2.56%)
Siemens AG ADR 239 $ 38,565
------------
Total Manufacturing 49,961
------------
Technology (17.11%)
Electronic (1.86%)
Koninklijke Philips Electronics NV 568 28,010
------------
Telecommunication (15.25%)
British Telecommunications Plc ADR 251 32,065
Deutsche Telekom AG ADR 1,133 44,116
France Telecom SA ADR 372 42,896
Nokia Corp-A ADR 1,922 86,370
Telecom Italia SpA ADR 194 24,105
------------
229,552
------------
Total Technology 257,562
------------
Energy(15.24%)
Oil & Gas - International (11.09%)
BP Amoco Plc ADR 1,496 82,654
Royal Dutch Petroleum Company ADR 838 51,275
Shell Transport & Trading Co. ADR 642 33,023
------------
166,952
------------
Oil & Gas - Service (1.27%)
ENI-Ente Nazionale Idrocarburi SpA 326 19,050
------------
Miscellaneous (2.88%)
Total Fina Elf SA ADR 582 43,359
------------
Total Energy 229,361
------------
Total Common Stock (Cost $1,506,227) 1,462,272
------------
Par Value
---------
Short-Term Investments (2.88%)
$ 6,365 Firstar Government Money Market Fund 6,365
37,022 Firstar Institutional Money Market Fund 37,022
------------
Total Short-Term Investments (Cost $43,387) 43,387
------------
Total Investments (Cost $1,549,614) (100.05%) 1,505,659
Liabilities in Excess of Other Assets (-0.05%) (733)
------------
Net Assets (100.00%) $ 1,504,926
============
--------------------
(a) Aggregate cost for federal income tax purposes is $1,549,614. At August 31,
2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 74,573
Unrealized depreciation (118,528)
------------
Net unrealized depreciation $ (43,955)
============
* Unsponsored ADR
ADR- American Depository Receipts
See accompanying notes to financial statements
--------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Common Stock (74.97%)
Capital Good (0.17%)
Molex, Inc. 472 $ 24,928
------------
Consumer Cyclical(0.82%)
Bed Bath and Beyond, Inc.* 1,876 32,947
Costco Wholesale Corp. 1,145 39,431
Dollar Tree Stores, Inc.* 349 14,156
Paccar, Inc. 509 21,601
VISX INC * 369 10,170
------------
Total Consumer Cyclical 118,305
------------
Consumer Non-Durable (6.59%)
Adelphia Comm. CL-A * 589 19,732
Biomet, Inc. 1,131 38,242
Cintas Group 916 38,071
Comcast Corp. CL-A 1,865 $ 69,471
Concord EFS, Inc. * 1,141 36,655
Echostar Communications-A * 1,131 55,136
Telefonaktiebolaget LM Ericsson ADR 4,688 96,104
Immunex, Inc.* 3,406 171,152
Medimmune, Inc.* 1,101 92,622
Metromedia Fiber Network * 2,340 93,454
Miller Herman, Inc. 352 11,242
Pacificare Health Systems * 188 10,140
Panamsat Corp.* 1,066 34,578
Paychex, Inc. 1,717 76,621
Staples, Inc.* 1,634 25,123
Starbucks Corp.* 1,296 47,466
USA Networks, Inc.* 1,632 39,270
------------
Total Consumer Non-Durable 955,079
------------
28
<PAGE>
--------------------------------------------------------------------------------
NASDAQ-100 INDEX FUND PORTFOLIO OF INVESTMENTS 8/31/2000
CONTINUED
COMPANY SHARES VALUE
--------------------------------------------------------------------------------
Utility (1.51%)
McLeod, Inc.* 1,911 $ 30,217
Worldcom Inc.* 5,189 189,399
------------
Total Utility 219,616
------------
Service(0.92%)
Apollo Group, Inc.* 364 14,856
CMGI Inc.* 1,495 66,901
Fiserv, Inc.* 756 40,966
Palm Inc.* 1 35
Quintiles Transntl Corp.* 777 10,829
------------
Total Service 133,587
------------
Transportation (0.08%)
Northwest Airlines Corp.-CL A* 363 11,366
------------
Manufacturing(4.68%)
Adaptec., Inc.* 496 12,152
Applied Materials, Inc.* 2,128 183,673
Applied Micro Crcts Corp.* 723 146,724
Citrix Systems, Inc.* 1,097 24,134
Comverse Technology* 773 71,068
Dell Computer Corp.* 4,699 204,993
Legato Systems, Inc.* 516 6,257
Sigma-Aldrich Corp. 530 15,403
Smurfit-Stone Cntnr Corp.* 1,104 14,490
------------
Total Manufacturing 678,894
------------
Technology (60.20%)
3 Com Corporation.* 906 15,061
ADC Telecomm., Inc.* 3,754 153,678
Adobe Systems, Inc.* 572 74,360
Altera Corp.* 2,706 175,382
Amazon.com, Inc.* 1,133 47,020
American Pwr Conv. Corp.* 1,293 30,790
Amgen 2,412 182,860
Apple Computer, Inc. 2,246 136,865
At Home Corp.-A* 1,359 19,790
Atmel Corp.* 1,566 31,320
Biogen, Inc.* 932 64,424
BMC Software, Inc.* 934 25,218
Broadvision, Inc.* 1,526 52,647
Chiron Corp.* 1,294 69,957
Ciena Corp.* 785 174,025
Cisco Systems Inc.* 11,864 814,167
Cnet Networks Inc.* 511 17,119
Compuware Corp.* 1,117 11,798
Conexant Systems, Inc.* 1,140 $ 42,394
Ebay, Inc.* 1,044 64,728
Electronic Arts * 355 38,318
Gemstar-TV GUIDE Intl Group * 1,099 99,185
Genzyme Corp.* 545 40,909
Global Crossing Ltd.* 4,151 124,789
I2 Technologies, Inc.* 787 133,151
Intel Corp 11,662 873,192
Intuit Inc.* 1,298 77,718
JDS Uniphase Corp.* 3,361 418,392
KLa-Tencor Corp.* 1,117 73,303
Level 3 Comm., Inc.* 1,193 104,071
Linear Technology Corp. 2,172 156,248
Lycos, Inc.* 617 43,807
Maxim Integrated Products * 2,023 177,392
Microchip Tech. * 354 24,094
Microsoft Corp.* 8,876 619,656
Network Appliance, Inc.* 1,549 181,233
Network Associates, Inc.* 743 19,225
Nextel Comm., Inc.-A * 4,502 249,580
Nextlink Comm., Inc.-A* 1,008 35,343
Novell* 1,930 23,643
NTL Incorporated* 636 27,865
Oracle Systems* 5,984 544,170
Parametric Tech, Inc.* 1,870 25,011
Peoplesoft, Inc.* 1,889 60,920
PMC - Sierra Inc.* 753 177,708
Qlogic Corp.* 370 41,995
Qualcomm, Inc.* 4,187 250,697
RealNetworks Inc.* 733 35,688
RF Micro Devices, Inc.* 1,028 45,875
Sanmina Corp.* 720 84,960
SDL Inc.* 369 146,608
Siebel Systems, Inc.* 1,126 222,737
Sun Microsystems* 3,501 444,408
Synopsys, Inc.* 390 14,454
Tellabs, Inc.* 1,139 63,998
Verisign Inc.* 414 82,334
Veritas Software Corp.* 1,982 238,955
Vitesse Semiconductor.* 791 70,251
Voicestream Wireless Corp.* 702 79,019
Xilinx Inc.* 2197 195,258
Yahoo! Inc.* 1295 157,343
------------
Total Technology 8,727,106
------------
Total Common Stock (Cost $10,971,641) 10,868,881
------------
Par Value
---------
Short-Term Investments (24.22%)
$ 2,950,000 United States Treasury Bills 5.65%-6.10%
09/14/00 (b) 2,943,793
290,249 Firstar Institutional Money Market Fund 290,249
278,305 Firstar Government Money Market Fund 278,305
------------
Total Short-Term Investments (Cost $3,512,347)
(24.22%) 3,512,347
------------
Total Investments (Cost $14,483,988) (99.19%) 14,381,228
Other Net Assets (0.81%) 116,865
------------
Net Assets (100.00%) $ 14,498,093
============
--------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $14,483,988. At August
31, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation $ 1,465,450
Unrealized depreciation (1,568,210)
------------
Net unrealized depreciation $ (102,760)
============
(b At August 31, 2000, certain United States Treasury Bills with a market
value of $947,692 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 2000: (Contracts-$20 times premium/delivery
month/commitment)
UNREALIZED
APPRECIATION
(DEPRECIATION)
------------
Nasdaq 100 EMini Futures:
42/Sept 00/Long $ 234,032
============
See accompanying notes to financial statements
29
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITES
AUGUST 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California
California Tax- California Tax- Insured Short-Term U.S
Free Money Free Income Intermediate Government
Market Fund Fund Fund Bond Fund
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS
Investments at market value (identified
cost $102,693,190, $181,713,592,
$21,771,514, $5,390,606, $23,751,313, and
$58,463,738, respectively) (Note 1) ...... $ 102,693,190 $ 196,653,965 $ 22,517,171 $ 5,407,502
Cash ..................................... 78,475 53,940 91,320 8,294
Interest receivable ...................... 473,745 2,655,401 308,740 28,605
Receivable for fund shares sold .......... 217,552 3,847 11,804 27,103
---------------------------------------------------------------
Total assets .......................... 103,462,962 199,367,153 22,929,035 5,471,504
---------------------------------------------------------------
LIABILITIES
Payable for fund shares repurchased ...... 517,040 232,613 126 --
Payable for investments purchased ........ -- 1,956,099 -- --
Payable to Investment Advisor ............ 10,569 78,948 4,071 3,353
Accrued expenses ......................... 80,103 132,596 20,939 8,620
Distributions payable .................... 7,362 181,094 25,709 27,318
---------------------------------------------------------------
Total liabilities ..................... 615,074 2,581,350 50,845 39,291
---------------------------------------------------------------
NET ASSETS:
(Applicable to 102,911,259; 15,428,372;
2,135,007; 540,458; 2,369,629 and
56,471,564 shares of beneficial interest
with no par value, unlimited number of
shares authorized) ....................... $ 102,847,888 $ 196,785,803 $ 22,878,190 $ 5,432,213
===============================================================
PRICING OF SHARES:
Net asset value, offering and redemption
price per share
$102,847,888 / 102,911,259 shares ........ $ 1.00
$196,785,803 / 15,428,372 shares ......... $ 12.75
$22,878,190 / 2,135,007 shares ........... $ 10.72
$5,432,213 / 540,458 shares .............. $ 10.05
$24,476,265 / 2,369,629 shares ...........
$56,464,010 / 56,471,564 shares ..........
Net assets at August 31, 2000 consisted of
Paid-in capital .......................... $ 102,862,729 $ 181,630,993 $ 22,131,791 $ 5,404,078
Undistributed net investment income ...... -- 44,348 2,317 11,050
Accumulated net realized gains (losses) .. (14,841) 170,089 (1,575) 189
Unrealized appreciation of investments ... -- 14,940,373 745,657 16,896
---------------------------------------------------------------
$ 102,847,888 $ 196,785,803 $ 22,878,190 $ 5,432,213
===============================================================
U.S. The United
Government States Treasury
Securities Fund Trust
-------------------------------
ASSETS
Investments at market value (identified
cost $102,693,190, $181,713,592,
$21,771,514, $5,390,606, $23,751,313, and
$58,463,738, respectively) (Note 1) ...... $ 24,301,144 $ 58,463,738
Cash ..................................... 40,498 153,731
Interest receivable ...................... 186,158 --
Receivable for fund shares sold .......... -- 117,545
------------------------------
Total assets .......................... 24,527,800 58,735,014
------------------------------
LIABILITIES
Payable for fund shares repurchased ...... 1,418 2,216,400
Payable for investments purchased ........ -- --
Payable to Investment Advisor ............ 4,791 176
Accrued expenses ......................... 27,248 50,629
Distributions payable .................... 18,078 3,799
------------------------------
Total liabilities ..................... 51,535 2,271,004
------------------------------
NET ASSETS:
(Applicable to 102,911,259; 15,428,372;
2,135,007; 540,458; 2,369,629 and
56,471,564 shares of beneficial interest
with no par value, unlimited number of
shares authorized) ....................... $ 24,476,265 $ 56,464,010
==============================
PRICING OF SHARES:
Net asset value, offering and redemption
price per share
$102,847,888 / 102,911,259 shares ........
$196,785,803 / 15,428,372 shares .........
$22,878,190 / 2,135,007 shares ...........
$5,432,213 / 540,458 shares ..............
$24,476,265 / 2,369,629 shares ........... $ 10.33
$56,464,010 / 56,471,564 shares .......... $ 1.00
Net assets at August 31, 2000 consisted of
Paid-in capital .......................... $ 24,648,530 $ 56,471,670
Undistributed net investment income ...... 39,733 --
Accumulated net realized gains (losses) .. (761,829) (7,660)
Unrealized appreciation of investments ... 549,831 --
------------------------------
$ 24,476,265 $ 56,464,010
==============================
</TABLE>
See accompanying notes to financial statements
30
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF ASSETS & LIABILITES
AUGUST 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P 500 Index S&P MidCap S&P SmallCap Equity Income
Fund Index Fund Index Fund Fund
--------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$92,981,247, $59,076,968, $10,838,313,
$9,422,434, $1,549,614, and $14,483,988,
respectively) (Note 1) ..................... $ 165,787,182 $ 74,738,129 $ 12,854,974 $ 11,586,194
Cash ....................................... 24,075 525 627 1,400
Interest receivable ........................ 25,477 10,872 4,128 2,671
Dividends receivable ....................... 202,780 65,300 4,835 13,234
Receivable for fund shares sold ............ 32,903 36,759 935 20,070
Variation margin receivable ................ 95,510 92,990 20,400 52,500
Receivable for investments sold ............ -- -- -- 150,508
Deferred organizational costs .............. -- -- 2,747 5,090
--------------------------------------------------------------
Total assets ............................ 166,167,927 74,944,575 12,888,646 11,831,667
--------------------------------------------------------------
LIABILITIES
Payable for fund shares repurchased ........ 170,771 -- -- --
Payable for investments purchased .......... -- 140,316 -- --
Payable to Investment Advisor .............. 425 8,039 2,468 253
Accrued expenses ........................... 105,807 47,164 23,338 18,866
--------------------------------------------------------------
Total liabilities ....................... 277,003 195,519 25,806 19,119
--------------------------------------------------------------
NET ASSETS:
(Applicable to 5,378,783; 3,602,573; 913,110;
797,406; 156,887 and 1,358,522 shares of
beneficial interest with no par value,
unlimited number of shares authorized) ..... $ 165,890,924 $ 74,749,056 $ 12,862,840 $ 11,812,548
==============================================================
PRICING OF SHARES:
Net asset value, offering and redemption
price per share
$165,890,924 / 5,378,783 shares ............ $ 30.84
$74,749,056 / 3,602,573 shares ............. $ 20.75
$12,862,840 / 913,110 shares ............... $ 14.09
$11,812,548 / 797,406 shares ............... $ 14.81
$1,504,926 / 156,887 shares ................
$14,498,093 / 1,358,522 shares .............
Net assets at August 31, 2000 consisted of:
Paid-in capital ............................ $ 93,335,116 $ 48,566,371 $ 10,554,921 $ 9,534,856
Undistributed net investment income ........ 274,634 61,482 14,215 90,093
Accumulated net realized gains (losses) .... (771,922) 10,144,490 188,490 (185,453)
Unrealized appreciation (depreciation) ..... 72,805,935 15,661,161 2,016,661 2,163,760
of investments
Unrealized appreciation of futures contracts 247,161 315,552 88,553 209,292
--------------------------------------------------------------
$ 165,890,924 $ 74,749,056 $ 12,862,840 $ 11,812,548
==============================================================
European
Growth & Nasdaq-100
Income Fund Index Fund
------------------------------
ASSETS
Investments at market value (identified cost
$92,981,247, $59,076,968, $10,838,313,
$9,422,434, $1,549,614, and $14,483,988,
respectively) (Note 1) ..................... $ 1,505,659 $ 14,381,228
Cash ....................................... 3,826 2,000
Interest receivable ........................ 545 2,765
Dividends receivable ....................... 3,840 440
Receivable for fund shares sold ............ -- 11,215
Variation margin receivable ................ -- 91,560
Receivable for investments sold ............ -- 37,026
Deferred organizational costs .............. -- --
------------------------------
Total assets ............................ 1,513,870 14,526,234
------------------------------
LIABILITIES
Payable for fund shares repurchased ........ -- 10,104
Payable for investments purchased .......... -- --
Payable to Investment Advisor .............. 491 3,280
Accrued expenses ........................... 8,453 14,757
------------------------------
Total liabilities ....................... 8,944 28,141
------------------------------
NET ASSETS:
(Applicable to 5,378,783; 3,602,573; 913,110;
797,406; 156,887 and 1,358,522 shares of
beneficial interest with no par value,
unlimited number of shares authorized) ..... $ 1,504,926 $ 14,498,093
==============================
PRICING OF SHARES:
Net asset value, offering and redemption
price per share
$165,890,924 / 5,378,783 shares ............
$74,749,056 / 3,602,573 shares .............
$12,862,840 / 913,110 shares ...............
$11,812,548 / 797,406 shares ...............
$1,504,926 / 156,887 shares ................ $ 9.59
$14,498,093 / 1,358,522 shares ............. $ 10.67
Net assets at August 31, 2000 consisted of:
Paid-in capital ............................ $ 1,543,925 $ 14,439,784
Undistributed net investment income ........ 5,762 75,864
Accumulated net realized gains (losses) .... (806) (148,827
Unrealized appreciation (depreciation) ..... (43,955) (102,760
of investments
Unrealized appreciation of futures contracts -- 234,032
------------------------------
$ 1,504,926 $ 14,498,093
==============================
</TABLE>
See accompanying notes to financial statements
31
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Short-Term
California Tax- California Tax- Insured U.S.
Free Money Free Income Intermediate Government
Market Fund Fund Fund Bond Fund*
--------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income ................................ $ 3,369,933 $ 9,927,821 $ 1,074,610 $ 142,923
-------------------------------------------------------
EXPENSES:
Management fees (Note 2) ....................... 511,950 916,707 115,709 11,380
Transfer agent fees ............................ 49,577 68,170 13,382 3,162
Accounting services ............................ 65,097 104,752 16,535 2,868
Custodian fees ................................. 16,924 22,274 3,734 2,447
Legal and audit fees ........................... 13,192 87,827 6,757 1,638
Trustees fees .................................. 6,223 5,743 6,195 1,003
Insurance ...................................... 3,238 7,299 505 61
Printing ....................................... 4,877 10,708 2,722 235
Registration & dues ............................ 1,916 2,883 549 5,997
-------------------------------------------------------
Total expenses .............................. 672,994 1,226,363 166,088 28,791
Less reimbursement from manager (Note 2) . (261,646) -- (38,808) (26,740)
-------------------------------------------------------
Net expenses ................................ 411,348 1,226,363 127,280 2,051
-------------------------------------------------------
Net investment income .................... 2,958,585 8,701,458 947,330 140,872
-------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions ................................ -- 229,899 (1,035) 189
Change in unrealized appreciation of investments -- 6,260,596 420,608 16,896
-------------------------------------------------------
Net realized and unrealized gain (loss)
on investments .............................. -- 6,490,495 419,573 17,085
-------------------------------------------------------
Net increase in net assets resulting
from operations ............................. $ 2,958,585 $15,191,953 $ 1,366,903 $ 157,957
=======================================================
U.S. The United
Government States Treasury
Securities Fund Trust
------------------------------
INVESTMENT INCOME:
Interest income ................................ $ 1,865,042 $ 3,515,911
---------------------------
EXPENSES:
Management fees (Note 2) ....................... 143,067 324,840
Transfer agent fees ............................ 17,953 24,049
Accounting services ............................ 17,393 42,339
Custodian fees ................................. 7,493 10,108
Legal and audit fees ........................... 7,569 9,748
Trustees fees .................................. 2,605 2,610
Insurance ...................................... 640 1,570
Printing ....................................... 3,862 3,786
Registration & dues ............................ 5,407 7,213
---------------------------
Total expenses .............................. 205,989 426,263
Less reimbursement from manager (Note 2) . (20,149) (166,392)
---------------------------
Net expenses ................................ 185,840 259,871
---------------------------
Net investment income .................... 1,679,202 3,256,040
---------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from security
transactions ................................ (761,829) 6,434
Change in unrealized appreciation of investments 1,023,753 --
---------------------------
Net realized and unrealized gain (loss)
on investments .............................. 261,924 6,434
---------------------------
Net increase in net assets resulting
from operations ............................. $ 1,941,126 $ 3,262,474
===========================
</TABLE>
* The fund commenced operations on January 18, 2000.
See accompanying notes to financial statements
32
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P 500 Index S&P MidCap S&P SmallCap Equity Income
Fund Index Fund Index Fund Fund
------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income ................................... $ 642,275 $ 340,858 $ 100,570 $ 172,663
Dividend income ................................... 1,694,189 672,605 83,301 239,454
------------------------------------------------------------
Total .......................................... 2,336,464 1,013,463 183,871 412,117
------------------------------------------------------------
EXPENSES:
Management fees (Note 2) .......................... 387,346 253,142 58,187 59,559
Transfer agent fees ............................... 50,453 20,271 15,881 15,158
Accounting services ............................... 89,688 33,268 8,016 9,633
Custodian fees .................................... 27,405 14,255 11,035 4,202
Legal and audit fees .............................. 17,380 9,810 8,874 8,800
Trustees fees ..................................... 2,620 5,937 2,613 2,616
Insurance ......................................... 4,456 1,402 275 260
Printing .......................................... 12,335 6,488 4,493 3,841
Registration & dues ............................... 11,786 8,017 2,965 6,974
Licensing fees .................................... 12,607 10,069 1,051 --
Amortization of Organizational Costs .............. -- -- 2,522 5,132
------------------------------------------------------------
Total expenses ................................. 616,076 362,659 115,912 116,175
Less reimbursement from manager (Note 2) .... (306,200) (109,516) (40,269) (20,881)
------------------------------------------------------------
Net expenses ................................... 309,876 253,143 75,643 95,294
------------------------------------------------------------
Net investment income ....................... 2,026,588 760,320 108,228 316,823
------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from security transactions (661,145) 10,171,031 (145,676) (654,649)
Net realized gain (loss) from futures contracts ... 676,284 1,478,760 307,029 379,643
Change in unrealized appreciation (depreciation of
investments ....................................... 21,095,696 9,000,448 2,516,370 541,412
Change in unrealized gain of futures contracts .... 511,322 506,225 220,692 308,179
------------------------------------------------------------
Net realized and unrealized gain (loss) on
investments .................................... 21,622,157 21,156,464 2,898,415 574,585
------------------------------------------------------------
Net increase (decrease) in net assets resulting
from operations ................................ $ 23,648,745 $ 21,916,784 $ 3,006,643 $ 891,408
============================================================
European
Growth & Nasdaq-100
Income Fund* Index Fund*
----------------------------
INVESTMENT INCOME:
Interest income ................................... $ 2,515 $ 93,213
Dividend income ................................... 11,908 1,485
----------------------------
Total .......................................... 14,423 94,698
----------------------------
EXPENSES:
Management fees (Note 2) .......................... 4,973 31,045
Transfer agent fees ............................... 5,837 6,855
Accounting services ............................... 2,888 3,080
Custodian fees .................................... 1,588 6,967
Legal and audit fees .............................. 1,655 1,869
Trustees fees ..................................... 994 1,085
Insurance ......................................... 63 190
Printing .......................................... 234 661
Registration & dues ............................... 5,186 8,032
Licensing fees .................................... -- 1,776
Amortization of Organizational Costs .............. -- --
----------------------------
Total expenses ................................. 23,418 61,560
Less reimbursement from manager (Note 2) .... (17,863) (21,291)
----------------------------
Net expenses ................................... 5,555 40,269
----------------------------
Net investment income ....................... 8,868 54,429
----------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS:
Net realized gain (loss) from security transactions (806) 5,951
Net realized gain (loss) from futures contracts ... -- (154,778)
Change in unrealized appreciation (depreciation of
investments ....................................... (43,955) (102,760)
Change in unrealized gain of futures contracts .... -- 234,032
----------------------------
Net realized and unrealized gain (loss) on
investments .................................... (44,761) (17,555)
----------------------------
Net increase (decrease) in net assets resulting
from operations ................................ $ (35,893) $ 36,874
============================
</TABLE>
(1) Net of foreign taxes withheld of $1,808.
* The fund commenced operations on January 18, 2000.
See accompanying notes to financial statements
33
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Tax-Free Money California Tax-Free
Market Fund Income Fund
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
2000 1999 2000 1999
----------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................. $ 2,958,585 $ 2,879,603 $ 8,701,458 $ 9,544,522
Net realized gain (loss) on investments -- -- 229,899 969,448
Change in unrealized
appreciation of investments ........ -- -- 6,260,596 (11,923,784)
----------------------------------------------------------------
Net increase (decrease) in net
assets resulting from operations ... 2,958,585 2,879,603 15,191,953 (1,409,814)
Undistributed investment income
included in price of shares sold
and repurchased .................... -- -- 9,631 42,916
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................. (2,958,585) (2,879,603) (8,666,741) (9,698,023)
Distributions from realized capital
gains on investments ............... -- -- (922,721) (1,514,730)
CAPITAL SHARES
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... (2,758,159) 17,370,240 (9,772,081) (11,981,652)
----------------------------------------------------------------
Total increase (decrease) ............. (2,758,159) 17,370,240 (4,159,959) (24,561,303)
NET ASSETS
Beginning of year ..................... 105,606,047 88,235,807 200,945,762 225,507,065
----------------------------------------------------------------
End of year* .......................... $ 102,847,888 $ 105,606,047 $ 196,785,803 $ 200,945,762
================================================================
* Including undistributed net
investment income of: ................. $ -- $ -- $ 44,348 $ --
================================================================
California Insured
Intermediate Fund
Year Ended Year Ended
August 31, August 31,
2000 1999
------------------------------
OPERATIONS:
Net investment income ................. $ 947,330 $ 978,830
Net realized gain (loss) on investments (1,035) 49,271
Change in unrealized
appreciation of investments ........ 420,608 (673,557)
------------------------------
Net increase (decrease) in net
assets resulting from operations ... 1,366,903 354,544
Undistributed investment income
included in price of shares sold
and repurchased .................... (3,335) 2,153
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................. (956,701) (983,874)
Distributions from realized capital
gains on investments ............... (49,811) (259,926)
CAPITAL SHARES
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... (1,653,384) 1,489,738
------------------------------
Total increase (decrease) ............. (1,296,328) 602,635
NET ASSETS
Beginning of year ..................... 24,174,518 23,571,883
------------------------------
End of year* .......................... $ 22,878,190 $ 24,174,518
==============================
* Including undistributed net
investment income of: ................. $ 2,317 $ 15,023
==============================
</TABLE>
See accompanying notes to financial statements
34
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Short-Term U.S. U.S. Government The United States
Government Bond Fund Securities Fund Treasury Trust
January 18, 2000** Year Ended Year Ended Year Ended Year Ended
to August 31, August 31, August 31, August 31,
August 31, 2000 2000 1999 2000 1999
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................. $ 140,872 $ 1,679,202 $ 1,781,479 $ 3,256,040 $ 2,099,638
Net realized gain (loss) on investments 189 (761,829) 451,871 6,434 (14,094)
Change in unrealized
appreciation of investments ........ 16,896 1,023,753 (3,009,870) --
----------------------------------------------------------------------------
Net increase (decrease) in net
assets resulting from operations ... 157,957 1,941,126 (776,520) 3,262,474 2,085,544
Undistributed investment income
included in price of shares sold
and repurchased .................... 10,121 (13,837) (3,115) --
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................. (139,943) (1,625,632) (1,791,585) (3,256,040) (2,099,638)
Distributions from realized capital
gains on investments ............... -- (149,160) (836,071) -- (7,101)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... 5,404,078 (6,626,253) (1,706,034) 5,940,300 6,197,460
----------------------------------------------------------------------------
Total increase (decrease) ............. 5,432,213 (6,473,756) (5,113,325) 5,946,734 6,176,265
NET ASSETS
Beginning of period ................... -- 30,950,021 36,063,346 50,517,276 44,341,011
----------------------------------------------------------------------------
End of period* ........................ $ 5,432,213 $ 24,476,265 $ 30,950,021 $ 56,464,010 $ 50,517,276
============================================================================
* Including undistributed net
investment income of: ................. $ 11,050 $ 39,733 $ -- $ -- $ --
============================================================================
** Commencement of operations
</TABLE>
See accompanying notes to financial statements
35
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P 500 S&P MidCap
Index Fund Index Fund
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31,
2000 1999 2000 1999
----------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................. $ 2,026,588 $ 1,885,640 $ 760,320 $ 570,356
Net realized gain (loss) on investments (661,145) 6,083,099 10,171,031 11,747,162
Net realized gain on futures contracts 676,284 1,294,714 1,478,760 953,605
Change in unrealized appreciation
of investments ..................... 21,095,696 25,875,574 9,000,448 2,394,104
Change in unrealized appreciation
of futures contracts ............... 511,322 1,576,025 506,225 672,027
----------------------------------------------------------------
Net increase in net
assets resulting from operations ... 23,648,745 36,715,052 21,916,784 16,337,254
Undistributed investment income
included in price of shares sold
and repurchased .................... (6,304) 45,716 (5,906) 70
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................. (2,088,867) (1,828,933) (713,110) (570,366)
Distributions from realized capital
gains on investments ............... (6,859,499) (2,601,666) (12,200,407) (6,720,682)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... 8,920,516 22,325,561 8,587,687 8,263,116
----------------------------------------------------------------
Total increase ........................ 23,614,591 54,655,730 17,585,048 17,309,392
NET ASSETS
Beginning of year ..................... 142,276,333 87,620,603 57,164,008 39,854,616
----------------------------------------------------------------
End of year* .......................... $ 165,890,924 $ 142,276,333 $ 74,749,056 $ 57,164,008
================================================================
* Including undistributed net
investment income of: ................. $ 274,634 $ 343,217 $ 61,482 $ 20,178
================================================================
S&P SmallCap
Index Fund
Year Ended Year Ended
August 31, August 31,
2000 1999
------------------------------
OPERATIONS:
Net investment income ................. $ 108,228 $ 67,254
Net realized gain (loss) on investments (145,676) 254,654
Net realized gain on futures contracts 307,029 83,019
Change in unrealized appreciation
of investments ..................... 2,516,370 1,327,982
Change in unrealized appreciation
of futures contracts ............... 220,692 155,690
------------------------------
Net increase in net
assets resulting from operations ... 3,006,643 1,888,599
Undistributed investment income
included in price of shares sold
and repurchased .................... (1,259) 408
DISTRIBUTIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................. (93,077) (67,339)
Distributions from realized capital
gains on investments ............... (486,514) (110,068)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... (444,384) 1,253,579
------------------------------
Total increase ........................ 1,981,409 2,965,179
NET ASSETS
Beginning of year ..................... 10,881,431 7,916,252
------------------------------
End of year* .......................... $ 12,862,840 $ 10,881,431
==============================
* Including undistributed net
investment income of: ................. $ 14,215 $ 323
==============================
</TABLE>
See accompanying notes to financial statements
36
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION> European Growth Nasdaq-100
Equity Income Fund & Income Fund Index Fund
Year Ended Year Ended January 18, 2000** January 18, 2000**
August 31, August 31, to to
2000 1999 August 31, 2000 August 31, 2000
----------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................. $ 316,823 $ 288,677 $ 8,868 $ 54,429
Net realized gain (loss) on investments (654,649) 431,876 (806) 5,951
Net realized gain (loss) on futures
contracts .......................... 379,643 (17,808) -- (154,778)
Change in unrealized appreciation
(depreciation) of investments ...... 541,412 1,105,618 (43,955) (102,760)
Change in unrealized appreciation
of futures contracts ............... 308,179 757,312 -- 234,032
------------------------------------------------------------------
Net increase (decrease) in net
assets resulting from operations ... 891,408 2,565,675 (35,893) 36,874
Undistributed investment income
included in price of shares sold
and repurchased .................... (5,348) (6,498) 3,232 57,779
DISTRIBURIONS TO
SHAREHOLDERS:
Distributions from net investment
income ............................. (236,044) (309,056) (6,338) (36,344)
Distributions from realized capital
gains on investments ............... (391,669) -- --
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... (2,162,022) (613,954) 1,543,925 14,439,784
------------------------------------------------------------------
Total increase (decrease) ............. (1,903,675) 1,636,167 1,504,926 14,498,093
NET ASSETS
Beginning of period ................... 13,716,223 12,080,056 -- --
------------------------------------------------------------------
End of period* ........................ $ 11,812,548 $ 13,716,223 $ 1,504,926 $ 14,498,093
==================================================================
* Including undistributed net
investment income of: ................. $ 90,093 $ 14,662 $ 5,762 $ 75,864
==================================================================
</TABLE>
** Commencement of operations.
See accompanying notes to financial statements
37
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Tax-Free Income Fund
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------------------- ----------------------------
Shares Value Shares Value
-------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold .................... 7,364,881 $ 90,156,519 15,768,098 $ 205,504,666
Shares issued in reinvestment of
distributions ............... 597,193 7,321,479 646,333 8,415,358
-------------------------------------------------------------
7,962,074 97,477,998 16,414,431 213,920,024
Shares repurchased ............. (8,737,755) (107,250,079) (17,316,111) (225,901,676)
-------------------------------------------------------------
Net increase (decrease) ..... (775,681) $ (9,772,081) (901,680) $ (11,981,652)
=============================================================
California Insured Intermediate Fund
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------------------- ----------------------------
Shares Value Shares Value
-------------------------------------------------------------
Shares sold .................... 546,988 $ 5,705,840 385,025 $ 4,240,740
Shares issued in reinvestment of
distributions ............... 69,592 727,775 89,409 916,685
-------------------------------------------------------------
616,580 6,433,615 474,434 5,157,425
Shares repurchased ............. (775,212) (8,086,999) (339,179) (3,667,687)
-------------------------------------------------------------
Net increase (decrease) ..... (158,632) $ (1,653,384) 135,255 $ 1,489,738
=============================================================
<CAPTION>
California Tax-Free The United States Short-Term U.S.
Money Market Treasury Trust Government Bond Fund
Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, January 18, 2000* to
2000 1999 2000 1999 August 31, 2000
------------ ------------ ------------ ------------ ------------ ------------
Shares/Value Shares/Value Shares/Value Shares/Value Shares Value
--------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold .................... 211,511,643 252,637,535 142,465,708 202,306,898 597,309 $ 5,972,711
Shares issued in reinvestment of
distributions ............... 2,827,709 2,737,686 3,134,082 1,929,990 13,823 138,498
--------------------------------------------------------------------------------------------
214,339,352 255,375,221 145,599,790 204,236,888 611,132 6,111,209
Shares repurchased ............. (217,097,511) (238,004,981) (139,659,490) (198,039,428) (70,674) (707,131)
--------------------------------------------------------------------------------------------
Net increase (decrease) ..... (2,758,159) 17,370,240 5,940,300 6,197,460 540,458 $ 5,404,078
============================================================================================
<CAPTION>
U.S. Government Securities Fund
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------------------- ----------------------------
Shares Value Shares Value
-------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold .................... 542,404 $ 5,502,376 1,155,865 $ 12,864,538
Shares issued in reinvestment of
distributions ............... 138,352 1,401,847 182,696 2,002,273
-------------------------------------------------------------
680,756 6,904,223 1,338,561 14,866,811
Shares repurchased ............. (1,334,649) (13,530,476) (1,506,815) (16,572,845)
-------------------------------------------------------------
Net increase (decrease) ..... (653,893) $ (6,626,253) (168,254) $ (1,706,034)
=============================================================
S&P 500 Index Fund
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------------------- ----------------------------
Shares Value Shares Value
-------------------------------------------------------------
Shares sold .................... 1,622,705 $ 46,857,711 1,579,685 $ 41,008,077
Shares issued in reinvestment of
distributions ............... 305,590 8,678,383 166,767 4,212,322
-------------------------------------------------------------
1,928,295 55,536,094 1,746,452 45,220,399
Shares repurchased ............. (1,609,739) (46,615,578) (879,522) (22,894,838)
-------------------------------------------------------------
Net increase (decrease) ..... 318,556 $ 8,920,516 866,930 $ 22,325,561
=============================================================
</TABLE>
* Commencement of operations.
See accompanying notes to financial statements
38
<PAGE>
--------------------------------------------------------------------------------
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P MidCap Index Fund
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------------------- ----------------------------
Shares Value Shares Value
-------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold .................... 698,333 $ 12,761,968 653,642 $ 12,002,893
Shares issued in reinvestment of
distributions ............... 766,970 12,316,597 405,301 6,790,728
-------------------------------------------------------------
1,465,303 25,078,565 1,058,943 18,793,621
Shares repurchased ............. (920,257) (16,490,878) (587,777) (10,530,505)
-------------------------------------------------------------
Net increase (decrease) ..... 545,046 $ 8,587,687 471,166 $ 8,263,116
=============================================================
S&P SmallCap Index Fund
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------------------- ----------------------------
Shares Value Shares Value
-------------------------------------------------------------
Shares sold .................... 263,140 $ 3,302,697 821,321 $ 8,940,557
Shares issued in reinvestment of
distributions ............... 48,978 567,623 15,601 170,087
-------------------------------------------------------------
312,118 3,870,320 836,922 9,110,644
Shares repurchased ............. (348,402) (4,314,704) (724,076) (7,857,065)
-------------------------------------------------------------
Net increase (decrease) ..... (36,284) $ (444,384) 112,846 $ 1,253,579
=============================================================
Equity Income Fund
Year Ended Year Ended
August 31, 2000 August 31, 1999
---------------------------- ----------------------------
Shares Value Shares Value
-------------------------------------------------------------
Shares sold .................... 126,613 $ 1,749,095 219,202 $ 3,141,876
Shares issued in reinvestment of
distributions ............... 45,005 620,518 21,738 302,170
-------------------------------------------------------------
171,618 2,369,613 240,940 3,444,046
Shares repurchased ............. (327,857) (4,531,635) (295,944) (4,058,000)
-------------------------------------------------------------
Net increase (decrease) ..... (156,239) $ (2,162,022) (55,004) $ (613,954)
=============================================================
European Growth &
Income Fund Nasdaq-100 Index Fund
January 18, 2000* to January 18, 2000* to
August 31, 2000 August 31, 2000
---------------------------- ----------------------------
Shares Value Shares Value
-------------------------------------------------------------
Shares sold .................... 166,914 $ 1,644,006 1,616,206 $ 16,842,371
Shares issued in reinvestment of
distributions ............... 606 5,992 3,380 35,956
-------------------------------------------------------------
167,520 1,649,998 1,619,586 16,878,327
Shares repurchased ............. (10,633) (106,073) (261,064) (2,438,543)
-------------------------------------------------------------
Net increase (decrease) ..... 156,887 $ 1,543,925 1,358,522 $ 14,439,784
=============================================================
</TABLE>
* Commencement of operations.
See accompanying notes to financial statements
39
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Tax-Free Money Market Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2000 1999 1998 1997 1996
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ..................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ............................... 0.029 0.026 0.030 0.031 0.032
LESS DISTRIBUTIONS
Dividends from net investment
income ........................................... (0.029) (0.026) (0.030) (0.031) (0.032)
--------------------------------------------------------------
Net asset value, end of year ........................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
==============================================================
Total Return ........................................... 2.92% 2.61% 3.09% 3.09% 3.26%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) .................. $ 102,848 $ 105,606 $ 88,236 $ 92,818 $ 103,402
Ratio of expenses to average net
assets:
Before expense reimbursements ................ 0.66% 0.61% 0.61% 0.61% 0.61%
After expense reimbursements ................. 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to average net assets:
Before expense reimbursements ................ 2.63% 2.33% 2.77% 2.86% 2.90%
After expense reimbursements ................. 2.89% 2.54% 2.98% 3.07% 3.11%
California Tax-Free Income Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2000 1999 1998 1997 1996
--------------------------------------------------------------
Net asset value, beginning of year ..................... $ 12.40 $ 13.18 $ 12.86 $ 12.31 $ 12.22
--------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ............................... 0.55 0.56 0.58 0.60 0.62
Net gain (loss) on securities (both
realized and unrealized) ......................... 0.41 (0.68) 0.51 0.54 0.09
--------------------------------------------------------------
Total from investment operations .............. 0.96 (0.12) 1.09 1.14 0.71
--------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment
income ........................................... (0.55) (0.57) (0.58) (0.59) (0.62)
Distributions from capital gains .................... (0.06) (0.09) (0.19) -- --
--------------------------------------------------------------
Total distributions ........................... (0.61) (0.66) (0.77) (0.59) (0.62)
--------------------------------------------------------------
Net asset value, end of year ........................... $ 12.75 $ 12.40 $ 13.18 $ 12.86 $ 12.31
==============================================================
Total Return ........................................... 8.07% (1.07)% 8.75% 9.48% 5.40%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) .................. $ 196,786 $ 200,946 $ 225,507 $ 212,198 $ 194,926
Ratio of expenses to average net
assets:
Before expense reimbursements ................ 0.64% 0.61% 0.61% 0.59% 0.60%
After expense reimbursements ................. 0.64% 0.61% 0.61% 0.59% 0.60%
Ratio of net investment income to average net assets:
Before expense reimbursements ................ 4.54% 4.33% 4.47% 4.75% 4.96%
After expense reimbursements ................. 4.54% 4.33% 4.47% 4.75% 4.96%
Portfolio Turnover .................................. 18.05% 16.36% 20.95% 34.96% 10.34%
</TABLE>
See accompanying notes to financial statements
40
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
California Insured Intermediate Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2000 1999 1998 1997 1996
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ..................... $ 10.54 $ 10.92 $ 10.72 $ 10.42 $ 10.49
--------------------------------------------------------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ............................... 0.44 0.43 0.44 0.45 0.46
Net gain (loss) on securities (both realized
and unrealized) ................................. 0.20 (0.26) 0.25 0.30 (0.07)
--------------------------------------------------------------
Total from investment operations ................. 0.64 0.17 0.69 0.75 0.39
--------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment
income ........................................... (0.44) (0.43) (0.44) (0.45) (0.46)
Distributions from capital gains .................... (0.02) (0.12) (0.05) -- --
--------------------------------------------------------------
Total distributions .............................. (0.46) (0.55) (0.49) (0.45) (0.46)
--------------------------------------------------------------
Net asset value, end of year ........................... $ 10.72 $ 10.54 $ 10.92 $ 10.72 $ 10.42
==============================================================
Total Return ........................................... 6.25% 1.51% 6.64% 7.34% 3.75%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ................. $ 22,878 $ 24,175 $ 23,572 $ 24,390 $ 24,207
Ratio of expenses to average net
assets:
Before expense reimbursements ................. 0.72% 0.66% 0.70% 0.70% 0.70%
After expense reimbursements .................. 0.55% 0.55% 0.55% 0.55% 0.55%
Ratio of net investment income to average net assets:
Before expense reimbursements ................. 3.93% 3.85% 3.94% 4.12% 4.22%
After expense reimbursements .................. 4.10% 3.96% 4.09% 4.27% 4.37%
Portfolio Turnover .................................. 24.24% 8.38% 26.76% 32.11% 36.08%
</TABLE>
Short-Term U.S. Govt. Bond Fund
January 18, 2000*
to August 31, 2000
-------------------------------
Net asset value, beginning of period .... $ 10.00
---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.36
Net gain on securities (both
realized and unrealized) .......... 0.05
---------
Total from investment operations 0.41
---------
LESS DISTRIBUTIONS
Dividends from net investment income . (0.36)
---------
Net asset value, end of period .......... $ 10.05
=========
Total Return ............................ 4.15%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 5,432
Ratio of expenses to average net
assets:
Before expense reimbursements .. 1.26%**
After expense reimbursements ... 0.09%**
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 5.02%**
After expense reimbursements ... 6.19%**
Portfolio Turnover ................... --
* Commencement of operations.
** Annualized.
See accompanying notes to financial statements
41
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
U.S. Government Securities Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2000 1999 1998 1997 1996
--------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ...... $ 10.24 $ 11.30 $ 10.38 $ 10.15 $ 10.66
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income ................ 0.58 0.56 0.59 0.64 0.66
Net gain (loss) on securities (both
realized and unrealized) .......... 0.14 (0.80) 1.01 0.36 (0.51)
--------------------------------------------------------------
Total from investment operations 0.72 (0.24) 1.60 1.00 0.15
--------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.58) (0.56) (0.61) (0.63) (0.66)
Distributions from capital gains ..... (0.05) (0.26) (0.07) (0.14) --
--------------------------------------------------------------
Total distributions ............ (0.63) (0.82) (0.68) (0.77) (0.66)
--------------------------------------------------------------
Net asset value, end of year ............ $ 10.33 $ 10.24 $ 11.30 $ 10.38 $ 10.15
==============================================================
Total Return ............................ 7.35% (2.42)% 15.88% 10.00% 1.26%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ... $ 24,476 $ 30,950 $ 36,063 $ 31,277 $ 29,088
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.72% 0.66% 0.68% 0.69% 0.71%
After expense reimbursements ... 0.65% 0.65% 0.65% 0.65% 0.65%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 5.82% 5.11% 5.46% 6.00% 6.10%
After expense reimbursements ... 5.89% 5.12% 5.49% 6.04% 6.16%
Portfolio Turnover ................... 184.60% 139.00% 65.27% 170.76% 89.11%
The United States Treasury Trust
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2000 1999 1998 1997 1996
--------------------------------------------------------------
Net asset value, beginning of year ...... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income ................ 0.050 0.042 0.051 0.048 0.050
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.050) (0.042) (0.051) (0.048) (0.050)
--------------------------------------------------------------
Net asset value, end of year ............ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
==============================================================
Total Return ............................ 5.12% 4.22% 5.21% 4.92% 5.11%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ... $ 56,464 $ 50,517 $ 44,341 $ 104,509 $ 37,903
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.66% 0.63% 0.64% 0.64% 0.66%
After expense reimbursements ... 0.40% 0.41% 0.40% 0.40% 0.43%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 4.76% 3.92% 4.54% 4.58% 4.60%
After expense reimbursements ... 5.02% 4.14% 4.78% 4.82% 4.83%
</TABLE>
See accompanying notes to financial statements
42
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH YEAR)
(CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P 500 Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2000 1999 1998 1997 1996
---------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year ..................... $ 28.12 $ 20.90 $ 19.98 $ 14.81 $ 13.31
---------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income ............................... 0.38 0.39 0.36 0.38 0.36
Net gain on securities (both realized and unrealized) 4.06 7.79 1.28 5.44 2.05
---------------------------------------------------------------
Total from investment operations ................. 4.44 8.18 1.64 5.82 2.41
---------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income ................ (0.40) (0.39) (0.34) (0.37) (0.37)
Distributions from capital gains .................... (1.32) (0.57) (0.38) (0.28) (0.54)
---------------------------------------------------------------
Total distributions .............................. (1.72) (0.96) (0.72) (0.65) (0.91)
---------------------------------------------------------------
Net asset value, end of year ........................... $ 30.84 $ 28.12 $ 20.90 $ 19.98 $ 14.81
===============================================================
Total Return ........................................... 16.38% 39.76% 8.14% 40.19% 18.63%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) .................. $ 165,891 $ 142,276 $ 87,621 $ 71,860 $ 43,849
Ratio of expenses to average net assets:
Before expense reimbursements .................... 0.40% 0.37% 0.40% 0.46% 0.57%
After expense reimbursements ..................... 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of net investment income to average net assets:
Before expense reimbursements .................... 1.11% 1.33% 1.48% 1.85% 2.13%
After expense reimbursements ..................... 1.31% 1.50% 1.68% 2.11% 2.50%
Portfolio Turnover .................................. 9.00% 9.76% 1.82% 2.10% 1.87%
S&P MidCap Index Fund
Year Ended Year Ended Year Ended Year Ended Year Ended
August 31, August 31, August 31, August 31, August 31,
2000 1999 1998 1997 1996
---------------------------------------------------------------
Net asset value, beginning of year ..................... $ 18.70 $ 15.41 $ 18.57 $ 14.45 $ 13.82
---------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income ............................... 0.22 0.20 0.23 0.22 0.24
Net gain (loss) on securities (both
realized and unrealized) ......................... 6.05 5.80 (1.76) 4.85 1.33
---------------------------------------------------------------
Total from investment operations .............. 6.27 6.00 (1.53) 5.07 1.57
---------------------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income ................ (0.21) (0.20) (0.23) (0.22) (0.25)
Distributions from capital gains .................... (4.01) (2.51) (1.40) (0.73) (0.69)
---------------------------------------------------------------
Total distributions .................................... (4.22) (2.71) (1.63) (0.95) (0.94)
---------------------------------------------------------------
Net asset value, end of year ........................... $ 20.75 $ 18.70 $ 15.41 $ 18.57 $ 14.45
===============================================================
Total Return ........................................... 40.44% 41.13% (9.37)% 36.63% 11.77%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) .................. $ 74,749 $ 57,164 $ 39,855 $ 46,271 $ 33,559
Ratio of expenses to average net
assets:
Before expense reimbursements ................ 0.57% 0.57% 0.56% 0.61% 0.71%
After expense reimbursements ................. 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to average net assets:
Before expense reimbursements ................ 1.03% 0.90% 1.04% 1.19% 1.38%
After expense reimbursements ................. 1.20% 1.07% 1.20% 1.40% 1.69%
Portfolio Turnover .................................. 46.23% 42.98% 19.35% 17.80% 18.18%
</TABLE>
See accompanying notes to financial statements
43
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
S&P SmallCap Index Fund
Year Ended Year Ended Year Ended October 2, 1996*
August 31, August 31, August 31, to August 31,
2000 1999 1998 1997
----------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period ...... $ 11.46 $ 9.46 $ 12.25 $ 10.00
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income .................. 0.12 0.08 0.13 0.23
Net gain (loss) on securities (both
realized and unrealized) ............ 3.14 2.13 (2.39) 2.22
----------------------------------------------------
Total from investment operations . 3.26 2.21 (2.26) 2.45
----------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income ... (0.10) (0.08) (0.14) (0.20)
Distributions from capital gains ....... (0.53) (0.13) (0.39) --
----------------------------------------------------
Total distributions ....................... (0.63) (0.21) (0.53) (0.20)
----------------------------------------------------
Net asset value, end of period ............ $ 14.09 $ 11.46 $ 9.46 $ 12.25
====================================================
Total Return .............................. 29.63% 23.53% (19.38)% 24.86%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) ... $ 12,863 $ 10,881 $ 7,916 $ 5,933
Ratio of expenses to average net assets:
Before expense reimbursements .... 1.00% 1.05% 1.10% 2.32%**
After expense reimbursements ..... 0.65% 0.65% 0.65% 0.65%**
Ratio of net investment income
to average net assets:
Before expense reimbursements .... 0.58% 0.31% 0.57% 0.27%**
After expense reimbursements ..... 0.93% 0.71% 1.02% 1.94%**
Portfolio Turnover ..................... 37.21% 25.40% 24.58% 19.99%
Equity Income Fund
Year Ended Year Ended Year Ended September 4, 1996*
August 31, August 31, August 31, to August 31,
2000 1999 1998 1997
----------------------------------------------------
Net asset value, beginning of period ...... $ 14.38 $ 11.98 $ 12.64 $ 10.00
----------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net investment income .................. 0.36 0.32 0.37 0.39
Net gain (loss) on securities (both
realized and unrealized) ............ 0.76 2.41 (0.25) 2.84
----------------------------------------------------
Total from investment operations . 1.12 2.73 0.12 3.23
----------------------------------------------------
LESS DISTRIBUTIONS
Dividends from net investment income ... (0.27) (0.33) (0.37) (0.32)
Distributions from capital gains ....... (0.42) -- (0.41) (0.27)
----------------------------------------------------
Total distributions ....................... (0.69) (0.33) (0.78) (0.59)
----------------------------------------------------
Net asset value, end of period ............ $ 14.81 $ 14.38 $ 11.98 $ 12.64
====================================================
Total Return .............................. 8.23% 22.89% 0.46% 33.28%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) ... $ 11,813 $ 13,716 $ 12,080 $ 9,747
Ratio of expenses to average net assets:
Before expense reimbursements .... 0.98% 0.86% 0.91% 1.55%**
After expense reimbursements ..... 0.80% 0.80% 0.78% 0.76%**
Ratio of net investment income
to average net assets:
Before expense reimbursements .... 2.49% 2.09% 2.56% 2.48%**
After expense reimbursements ..... 2.67% 2.15% 2.69% 3.27%**
Portfolio Turnover ..................... 38.34% 54.03% 41.23% 2.80%
* Commencement of operations.
** Annualized.
</TABLE>
See accompanying notes to financial statements
44
<PAGE>
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
(CONTINUED)
--------------------------------------------------------------------------------
European Growth Nasdaq-100
& Income Fund Index Fund
January 18, 2000* January 18, 2000*
to August 31, 2000 to August 31, 2000
------------------ ------------------
Net asset value, beginning of period .... $ 10.00 $ 10.00
----------- ------------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.09 0.03
Net gain (loss) on securities (both
realized and unrealized) .......... (0.45) 0.67
----------- ------------
Total from investment operations (0.36) 0.70
----------- ------------
LESS DISTRIBUTIONS
Dividends from net investment income . (0.05) (0.03)
----------- ------------
Net asset value, end of period .......... $ 9.59 $ 10.67
=========== ============
Total Return ............................ (3.59)% 7.02%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 1,505 $ 14,498
Ratio of expenses to average net
assets:
Before expense reimbursements .. 3.99%** 0.99%**
After expense reimbursements ... 0.95%** 0.65%**
Ratio of net investment income to
average net assets:
Before expense reimbursements .. (1.53)%** 0.54%**
After expense reimbursements ... 1.51%** 0.88%**
Portfolio Turnover ................... 114.30% 0.62%
* Commencement of Operations.
** Annualized.
See accompanying notes to financial statements
45
<PAGE>
--------------------------------------------------------------------------------
CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2000
TRUST STATEMENTS
--------------------------------------------------------------------------------
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, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund are separate
series of shares of beneficial interest of California Investment Trust II. Both
Trusts are registered under the Investment Company Act of 1940, as amended, as
diversified open-end management investment companies. Both Trusts were organized
as Massachusetts business trusts on September 11, 1985 and are authorized to
issue an unlimited number of no par value shares in one or more series. The
investment objectives of the Funds are as follows: California Tax-Free Income
Fund and California Insured Intermediate Fund seek as high a level of income
exempt from federal and California personal income taxes as is consistent with
prudent investment management and safety of capital. California Tax-Free Money
Market Fund 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. European Growth & Income Fund seeks to provide
long-term capital appreciation and income. Nasdaq-100 Index Fund attempts to
replicate the performance of the largest non-financial companies as measured by
the Nasdaq-100 Index. Short-Term U.S. Government Bond Fund will attempt to
maximize current income and preserve investors' principal. 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, Equity Income Fund, European Growth & Income Fund,
and Nasdaq-100 Index 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, U.S. Government Securities
Fund and Short-Term U.S. Government Bond 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, Equity Income, European Growth & Income Fund and
Nasdaq-100 Index Fund may purchase or sell stock index futures to maintain cash
reserves while remaining fully invested, to facilitate trading, to reduce
transaction costs, or to seek higher investment returns when a futures contract
is priced more attractively than the underlying equity security or index. Risks
include the possibility of an illiquid market and an imperfect correlation
between the change in market value of the stocks held by a Fund and the prices
of futures contracts.
(c) Federal Income Taxes --- No provision is considered necessary for
Federal income taxes. The Funds intend to qualify for and elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
California Tax-Free Money Market Fund has capital loss carryovers available to
offset future gains, if any, of $14,841 which expire as follows, $1,920 in 2003
and $12,921 in 2004. U.S. Government Securities Fund has a capital loss
carryover which expires in 2008 of $126,497.
(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, Equity Income Fund,
European Growth & Income Fund, Nasdaq-100 Index Fund and Short-Term U.S.
Government Bond 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, Equity Income Fund,
European Growth & Income Fund, Nasdaq-100 Index Fund and Short-Term U.S.
Government Bond 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.
46
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CALIFORNIA INVESTMENT NOTES TO FINANCIAL 8/31/2000
TRUST STATEMENTS
CONTINUED
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(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.
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 compensation at the annual rate of
0.25% and 0.40%, respectively, of the Funds' average daily net assets. In
accordance with the terms of the management agreements with the S&P SmallCap
Index Fund, Equity Income Fund, Nasdaq-100 Index Fund and Short-Term U.S.
Government Bond 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. In accordance with the
terms of the management agreement with the European Growth & Income Fund, CCM
receives compensation at the annual rate of 0.75% of the Fund's average daily
net assets. CCM has agreed to reduce its fee by, or reimburse the Funds for, any
amount necessary to prevent the Funds' total expenses, excluding extraordinary
items, from exceeding 1.00% of the Funds' average daily net assets. The manager
has voluntarily reimbursed more expenses than contractually obliged. This
voluntary reimbursement may cease at any time without prior notice.
Reimbursement from the manager for the year ended August 31, 2000, is as
follows:
California Tax-Free Money Market Fund ............ $ 261,646
California Insured Intermediate Fund ............. $ 38,808
Short-Term U.S. Government Bond Fund ............. $ 26,740
U.S. Government Securities Fund .................. $ 20,149
The United States Treasury Trust ................. $ 166,392
S&P 500 Index Fund ............................... $ 306,200
S&P MidCap Index Fund ............................ $ 109,516
S&P SmallCap Fund ................................ $ 40,269
Equity Income Fund ............................... $ 20,881
European Growth & Income Fund .................... $ 17,863
Nasdaq-100 Index Fund ............................ $ 21,291
Certain officers and trustees of the Trust are also partners of CCM.
NOTE 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during the
year ended August 31, 2000 were as follows:
PURCHASES SALES
------------ ------------
California Tax-Free Income Fund ............ $ 32,861,709 $ 48,956,610
California Insured Tax-Free Income Fund .... $ 5,399,703 $ 6,828,174
Short-Term U.S. Government Bond Fund ....... $ 3,203,779 $ --
U.S. Government Securities Fund ............ $ 47,621,290 $ 54,595,750
S&P 500 Index Fund ......................... $ 26,151,128 $ 12,931,613
S&P Midcap Index Fund ...................... $ 26,614,188 $ 29,604,493
Equity Income Fund ......................... $ 3,547,303 $ 5,611,121
S&P SmallCap Index Fund .................... $ 3,604,009 $ 4,311,585
European Growth & Income Fund .............. $ 2,594,220 $ 1,086,754
Nasdaq-100 Index Fund ...................... $ 11,020,716 $ 54,546
For the year ended August 31, 2000, 100% of the distributions paid from net
investment income of the California Tax-Free Money Market Fund, California
Tax-Free Income Fund and the California Insured Intermediate Fund qualifies as
tax-exempt interest dividends to noncorporate shareholders.
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RESULTS OF SPECIAL MEETINGS
OF SHAREHOLDERS ON JANUARY 28, 2000
(UNAUDITED)
--------------------------------------------------------------------------------
A special meeting of the shareholders of the California Investment Trust Fund
Group was held on January 28, 2000. Several matters were submitted for
shareholder vote.
The first matter was to elect Stephen C. Rogers, Phillip W. McClanahan, Harry
Holmes, John B. Sias and Guy Rounsaville, Jr. to serve as Trustees on the Board
of Trustees of California Investment Trust and the Board of Trustees of
California Investment Trust II. The nominees were elected for both Trusts and
the results of the voting were as follows:
<TABLE>
<CAPTION>
NOMINEE FOR AGAINST ABSTAIN
------- --- ------- -------
<S> <C> <C> <C>
CALIFORNIA INVESTMENT TRUST
Stephen C. Rogers 64,858,029.285 0 168,647.505
Phillip W. McClanahan 64,850,704.884 0 175,971.906
Harry Holmes 64,730,683.137 0 295,993.653
John B. Sias 64,855,801.943 0 170,874.847
Guy Rounsaville, Jr. 64,858,050.745 0 168,626.045
CALIFORNIA INVESTMENT TRUST II
Stephen C. Rogers 42,680,245.241 0 178,367.780
Phillip W. McClanahan 42,680,489.949 0 178,123.072
Harry Holmes 42,615,340.543 0 243,272.478
John B. Sias 42,680,489.949 0 178,123.072
Guy Rounsaville, Jr. 42,680,489.949 0 178,123.072
</TABLE>
The next matter voted upon was the approval of a new Investment Management
Agreement between each fund and CCM Partners, the advisor to the funds, with an
effective date of February 5, 2000, as a result of the change of control of CCM
Partners, with no change in the advisory fee payable to CCM Partners. The
Investment Management Agreements were approved by all funds and the results of
the voting were as follows:
<TABLE>
<CAPTION>
FUND FOR AGAINST ABSTAIN
---- --- ------- -------
<S> <C> <C> <C>
CALIFORNIA INVESTMENT TRUST
California Tax-Free Income Fund 8,127,015.985 67,749.349 224,920.945
California Insured Intermediate Fund 1,375,413.562 0 18,949.499
California Tax-Free Money Market Fund 54,623,257.380 102,317.030 487,053.040
CALIFORNIA INVESTMENT TRUST II
S&P 500 Index Fund 2,829,004.196 13,329.532 30,134.394
S&P MidCap Index Fund 1,926,449.730 17,724.761 3,781.191
S&P SmallCap Index Fund 508,855.273 104.898 10,006.392
Equity Income Fund 578,059.148 19,585.162 6,612.606
U.S. Government Securities Fund 1,729,635.130 4,762.000 14,485.058
The United States Treasury Trust 35,004,542.800 129,769.600 31,771.150
</TABLE>
48
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Report of Independent Certified Public Accountants
To the Shareholders and Board of Trustees
California Investment Trust
California Investment Trust II
We have audited the accompanying statements of assets and liabilities of
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund, each a series of shares of beneficial
interest of California Investment Trust, and the U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index
Fund, S&P SmallCap Index Fund, Equity Income Fund, European Growth & Income
Fund, Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund, each a
series of shares of beneficial interest of California Investment Trust II,
including the portfolios of investments as of August 31, 2000, and the related
statements of operations for the year or period then ended, and the statements
of changes in net assets and the financial highlights for the periods indicated
thereon. These financial statements and financial highlights are the
responsibility of the Trusts' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
August 31, 2000, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
California Tax-Free Money Market Fund, California Tax-Free Income Fund,
California Insured Intermediate Fund, the U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, Equity Income Fund, European Growth & Income Fund,
Nasdaq-100 Index Fund and Short-Term U.S. Government Bond Fund as of August 31,
2000, the results of their operations for the year or period then ended, the
changes in their net assets and the financial highlights for the periods
referred to above, in conformity with generally accepted accounting principles.
Tait, Weller & Baker
Philadelphia, Pennsylvania
September 29, 2000
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