CALIFORNIA
INVESTMENT TRUST
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F U N D G R O U P
44 Montgomery Street #2100
San Francisco, CA 94104
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California Tax-Free Income Fund
California Insured Intermediate Fund
California Tax-Free Money Market Fund
U.S. Government Securities Fund
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
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F U N D G R O U P
SEMI-ANNUAL REPORT
FEBRUARY 29, 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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CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
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VARIABLE RATE DEMAND NOTES* (57.55%)
ANAHEIM PUBLIC IMPROVEMENT CORP.
$ 2,700,000 Certificates of Particip., 1993 Refunding Project ....... 2.450% 03/01/00 $ 2,700,000
CALIFORNIA HEALTH FACILITIES FIN. AUTHORITY
3,000,000 Cottage Hospital Santa Barbara 1985 Series B ............ 2.500% 03/02/00 3,000,000
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
2,300,000 So Cal Edison Series 1986A .............................. 3.300% 03/01/00 2,300,000
3,600,000 Shell Oil Company Series 1991B .......................... 3.200% 03/01/00 3,600,000
4,300,000 PG&E Series C ........................................... 3.150% 03/01/00 4,300,000
CALIFORNIA STATE DEVELOPMENT AUTHORITY
3,000,000 St. Joseph's Health, Series 1994 ........................ 3.200% 03/01/00 3,000,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Rev. Certificates of Participation ........ 2.400% 03/02/00 3,000,000
IRVINE RANCH WATER DISTRICT
2,800,000 COP, Series 86 .......................................... 3.050% 03/01/00 2,800,000
3,300,000 Consolidated Series 1995; Districts 105, 140, 240 and 280 3.050% 03/01/00 3,300,000
CITY OF IRVINE, CALIFORNIA
2,990,000 Assessment District 89-10; Orange County ................ 3.250% 03/01/00 2,990,000
CITY OF TUSTIN
3,200,000 Reassessment District No. 95-2, Series A ................ 3.250% 03/01/00 3,200,000
CALIFORNIA HEALTH FAC. FIN. AUTHORITY
400,000 Ref Rev. St. Joseph, Series 8 ........................... 3.200% 03/01/00 400,000
3,600,000 Sutter Health, Series 1996B ............................. 3.200% 03/01/00 3,600,000
ORANGE COUNTY WATER DISTRICT
3,500,000 COP's Series 90B ........................................ 3.100% 03/01/00 3,500,000
LOS ANGELES MTA
2,800,000 Tax Revenue Refunding Bonds, 1993 Series A .............. 2.400% 03/02/00 2,800,000
LOS ANGELES COUNTY
2,500,000 Pension Obligation Refunding Bonds ...................... 2.450% 03/01/00 2,500,000
NEWPORT BEACH, CITY OF
1,250,000 Hoag Mem. Hospital Presbyterian, Series 1992 ............ 3.250% 03/01/00 1,250,000
ORANGE COUNTY SANITATION DISTRICT
3,100,000 Refunding Cert. of Participation, 1993 Series ........... 3.250% 03/01/00 3,100,000
RIVERSIDE REDEVELOPMENT AGENCY
2,700,000 Multi-family Housing Revenue Bonds ...................... 2.350% 03/01/00 2,700,000
SAN BERNADINO COUNTY
3,400,000 COP, 1996 County Center Refinancing Project ............. 2.500% 03/01/00 3,400,000
SOUTHERN CA PUBLIC POWER AUTHORITY
3,000,000 Power Project Revenue Bond, Series C .................... 2.450% 03/01/00 3,000,000
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Total Variable Rate Demand Notes
(cost $60,440,000) ................................ 60,440,000
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1
<PAGE>
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Par Value
Value Rate Maturity (Note 1)
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TAX AND REVENUE ANTICIPATION NOTES (19.02%)
$ 2,000,000 Alisal Union School District ............................ 4.000% 07/27/00 $ 2,004,298
2,000,000 CA School Cash Res. Program ............................. 4.000% 07/03/00 2,005,913
2,000,000 CA Statewide Communities Dev Authority .................. 4.000% 06/30/00 2,005,251
2,630,000 Kings River Dist Rev Series D ........................... 6.000% 01/01/01 2,733,141
2,000,000 Los Altos School District ............................... 3.500% 06/30/00 2,002,559
2,000,000 Los Angeles Unified School District ..................... 4.000% 06/30/00 2,005,768
2,000,000 San Diego Area Local Governments ........................ 4.000% 06/30/00 2,005,443
2,200,000 Santa Rosa High School District ......................... 4.250% 09/29/00 2,205,817
1,000,000 Solano County Tax/Rev Notes ............................. 4.500% 12/15/00 1,005,351
2,000,000 Santa Barbara School Finance Authority .................. 4.000% 06/30/00 2,005,769
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Total Tax and Revenue Anticipation Notes
(cost $19,979,310) .................................... 19,979,310
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COMMERCIAL PAPER (22.85%)
CALIFORNIA EDUCATIONAL FACILITIES
3,000,000 Carnegie Institution .................................... 2.600% 06/14/00 3,000,000
EASTBAY MUNICIPAL UTILITY DISTRICT
3,500,000 Water System Series ..................................... 2.800% 03/02/00 3,500,000
LOS ANGELES DEPT. OF WATER & POWER
3,500,000 Electric Plant Short-Term Revenue Certificates .......... 2.650% 04/05/00 3,500,000
CITY OF LOS ANGELES WASTEWATER
3,500,000 Wastewater System ....................................... 2.650% 03/07/00 3,500,000
METROPOLITAN WATER DISTRICT OF SO. CA
2,400,000 Metropolitan Water District of Southern CA .............. 2.450% 03/07/00 2,400,000
1,500,000 Metropolitan Water District of Southern CA .............. 2.450% 06/14/00 1,500,000
SACRAMENTO MUNICIPAL UTILITIES DISTRICT
3,100,000 Commercial Paper Notes Series I ......................... 2.700% 08/09/00 3,100,000
SAN DIEGO COUNTY REGIONAL TRANS. AUTH.
3,500,000 Sales Tax Revenue, Series A ............................. 2.600% 05/12/99 3,500,000
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Total Commercial Paper
(cost $24,000,000) ................................ 24,000,000
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Total Investments (99.43%)
(cost $104,419,309) (a) ........................... 104,419,310
Other Net Assets (0.57%) ............................. 603,118
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Net Assets (100.00%) .............................. $105,022,428
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</TABLE>
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(a) Aggregate cost for federal income tax purposes is $104,419,309.
* Stated maturity reflects next reset date.
See accompanying notes to financial statements
2
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
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<S> <C> <C> <C>
LONG-TERM SECURITIES (93.45%)
ALAMEDA CORRIDOR TRANSPORTATION AUTH.
$ 2,500,000 Tax Exempt Senior Lien Revenue Bonds .................... 5.000% 10/01/07 $ 2,528,125
ANAHEIM PUBLIC FINANCE AUTHORITY
2,250,000 Public Improvement Project .............................. 6.000% 09/01/12 2,399,063
CALIFORNIA EDUCATIONAL FAC. AUTHORITY
2,025,000 USC Refunding RevenueBonds, 1997 Series A ............... 5.600% 10/01/04 2,111,063
1,290,000 Revenue Bonds (Pooled Colleges & Universities) .......... 5.250% 12/01/07 1,315,800
2,000,000 Revenue Bonds (University of San Francisco) ............. 6.000% 10/01/16 2,052,500
CA POLLUTION CONTROL AUTHORITY
3,000,000 San Diego Gas & Electric, Series 1996A .................. 5.900% 06/01/14 3,075,000
1,950,000 San Diego Gas & Electric, Series A ...................... 5.900% 06/01/14 2,042,625
CALIFORNIA, STATE OF
5,000,000 General Obligations ..................................... 6.250% 09/01/12 5,425,000
STATE OF CA DEPT. OF WATER RESOURCES
2,320,000 Water System Revenue Bonds, Central Valley J-1 .......... 7.000% 12/01/11 2,682,500
2,835,000 Water System Revenue Bonds, Central Valley J-3 .......... 7.000% 12/01/11 3,277,969
CA STATE PUBLIC WORKS BOARD
4,000,000 Imperial County, State Prisons .......................... 6.500% 09/01/17 4,300,000
5,000,000 Lease Revenue Bonds Regents of Univ of CA ............... 5.500% 06/01/14 5,043,750
CA STATEWIDE COMMUNITIES DEV. AUTHORITY
2,250,000 Certificates of Participation, Cedars Sinai ............. 6.500% 08/01/12 2,328,750
CASTAIC LAKE WATER AGENCY
2,090,000 Certificates of Participation, 1994 Series A ............ 7.250% 08/01/09 2,419,175
CENTRAL COAST WATER AUTHORITY
1,420,000 Cal. Revenue Refunding Bonds,1996 Series A .............. 6.000% 10/01/08 1,524,725
CONTRA COSTA WATER DISTRICT
4,000,000 Water Revenue Bonds, Series E ........................... 6.250% 10/01/12 4,360,000
CULVER CITY REDEVELOPMENT FIN. AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds, 1993 ............ 5.500% 11/01/14 3,011,250
FONTANA UNIFIED SCHOOL DISTRICT
4,240,000 GO Convertible Bonds, 1993 Series C ..................... 6.250% 05/01/12 4,563,300
FRESNO, CITY OF
3,000,000 Sewer System Revenue Bonds .............................. 5.250% 09/01/19 2,778,750
FRESNO UNIFIED SCHOOL DISTRICT
1,665,000 General Obligation Bonds ................................ 5.800% 02/01/16 1,710,788
KERN HIGH SCHOOL DISTRICT
2,555,000 General Obligation Bonds, 1996 Series A ................. 6.600% 08/01/16 2,804,113
LA QUINTA REDEVELOPMENT AGENCY
1,015,000 Tax Allocation Refunding Redev. Project Area #1 ......... 7.300% 09/01/09 1,179,938
CITY OF LOS ANGELES
2,000,000 General Obligation Bonds, Series 1999-B ................. 5.375% 09/01/17 1,915,000
LA CONVENTION & EXHIBIT CENTER
1,300,000 Certificates of Participation 1985 * .................... 9.000% 12/01/20 1,568,125
4,500,000 Lease Revenue Bonds, 1993 Series A ...................... 6.000% 08/15/10 4,820,625
LA DEPARTMENT OF AIRPORTS, CITY OF
2,500,000 Refunding Revenue Bonds ................................. 6.500% 05/15/04 2,675,000
LA STATE BUILDING AUTHORITY
3,500,000 Lease Revenue Refunding Bonds ........................... 5.625% 05/01/11 3,587,500
LA UNIFIED SCHOOL DISTRICT
1,625,000 General Obligation Bonds, 1997 Series A ................ 4.900% 07/01/09 1,610,781
2,450,000 General Obligation Bonds, 1997 Series A ................. 6.000% 07/01/14 2,590,870
LA DEPARTMENT OF WATER AND POWER
3,000,000 Wastewater System Revenue Bonds 1994 .................... 8.500% 06/01/04 3,438,750
3
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
LA COUNTY TRANSPORTATION COMMISSION
$ 3,540,000 Sales Tax Revenue Refunding Bonds, 1991 Series B ........ 6.500% 07/01/10 $ 3,885,150
M-S-R PUBLIC POWER AGENCY
3,500,000 San Juan Project Refunding Rev Bonds, Ser. F ............ 6.125% 07/01/13 3,766,875
METROPOLITAN WATER DISTRICT OF SO. CA
3,000,000 Water Revenue Bonds 1995 Series A ....................... 7.250% 03/01/07 3,416,250
TRANSMISSION AGENCY OF NORTHERN CA
1,000,000 CA-Oregon Transmission Project, Series 1990A ............ 7.000% 05/01/13 1,156,250
2,500,000 CA-Oregon Transmission Project .......................... 5.300% 05/01/09 2,550,000
REDEVELOPMENT AGENCY OF OAKLAND
4,000,000 Central District Redev. Project Ser. 1992 ............... 5.500% 02/01/14 4,035,000
ORANGE COUNTY LOCAL TRANS. AUTHORITY
1,500,000 Measure M Sales Tax Revenue Bonds ....................... 9.500% 02/15/03 1,702,500
ORANGE COUNTY CA SCH DIST
1,050,000 General Obligation Bonds, 1997 Series A ................. 5.500% 02/15/11 1,074,938
OXNARD SCHOOL DISTRICT
1,485,000 General Obligation Bonds ................................ 5.625% 08/01/14 1,516,555
POMONA UNIFIED SCHOOL DISTRICT
1,175,000 General Obligation Refunding Bonds ...................... 5.700% 08/01/08 1,236,688
PORT HUENEME, CITY OF
2,200,000 Refunding Certificates of Participation, 1992 ........... 6.000% 04/01/12 2,343,000
RANCHO CA WATER DISTRICT FINANCE AUTH.
3,000,000 Revenue Refunding Bonds ................................. 5.875% 11/01/10 3,153,750
RIVERSIDE, CITY OF
2,000,000 Sewer Revenue Bonds ..................................... 5.000% 08/01/12 1,952,500
RIVERSIDE, CITY OF
1,500,000 Water Revenue Bond Issue 1991 ........................... 9.000% 10/01/01 1,606,875
RIVERSIDE COUNTY TRANS. AGENCY
2,000,000 General Obligation Refunding Bonds ...................... 5.750% 06/01/09 2,107,500
SACRAMENTO MUNICIPAL UTILITY DISTRICT
4,000,000 Refunding Revenue Bonds Series A ........................ 6.250% 08/15/10 4,355,000
SACRAMENTO REDEVELOPMENT AGENCY
1,135,000 Downtown Sacramento Redevelopment Project ............... 4.750% 11/01/08 1,119,394
SADDLEBACK VALLEY SCHOOL DISTRICT
1,575,000 Special Tax Revenue Bonds, 1996 Series A ................ 6.000% 09/01/16 1,651,780
SAN BERNARDINO, COUNTY OF
2,000,000 Certificates of Participation, Series B ................. 6.875% 08/01/24 2,292,500
SAN BERNARDINO COUNTY TRANS AUTHORITY
2,000,000 Sales Tax Revenue Bonds ................................. 5.000% 03/01/09 1,997,500
SAN DIEGO COUNTY CALIFORNIA
2,515,000 1998 Downtown Courthouse Refunding COPs ................. 5.000% 05/15/08 2,524,430
SAN DIEGO REGIONAL TRANSPORTATION COMM.
2,000,000 Sales Tax Rev. Bonds, Second Senior Series A ............ 5.500% 04/01/08 2,075,000
CITY AND COUNTY OF SAN FRANCISCO
2,000,000 General Obligation Refunding Bond Series 1 .............. 5.500% 06/15/09 2,070,000
SAN FRANCISCO BART DISTRICT
2,950,000 Sales Tax Rev. Refunding Series 1990 .................... 6.750% 07/01/11 3,337,188
SAN JOSE REDEVELOPMENT AGENCY
4,000,000 Merged Area Redevelopment Project ....................... 6.000% 08/01/10 4,285,000
SAN MARINO UNIFIED SCHOOL DISTRICT
1,440,000 General Obligation Bonds ................................ 5.250% 07/01/16 1,364,400
SAN MATEO COUNTY REG. TRANS. DISTRICT
4,000,000 Sales Tax Revenue Bonds, 1993 A ......................... 5.250% 06/01/19 3,760,000
4
<PAGE>
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
LONG-TERM SECURITIES (Continued)
REDEVELOPMENT AGENCY OF SANTA CLARA
$ 4,000,000 Bayshore North Project Tax Allocation 1992 .............. 7.000% 07/01/10 $ 4,555,000
SANTA CLARA COUNTY FINANCING AUTHORITY
2,000,000 Lease Revenue Refunding Bonds, Series A ................. 6.000% 11/15/12 2,135,000
1,750,000 Lease Revenue Refunding Bonds, Series A ................. 5.750% 11/15/13 1,813,438
SANTA MAGARITA/DANA POINT AUTHORITY
1,045,000 Improvement District .................................... 7.250% 08/01/10 1,216,118
SANTA MONICA-MALIBU UNIFIED SCHOOL DISTRICT
3,000,000 Gen. Obligation Refunding Bonds, Series 1998 ............ 5.250% 08/01/15 2,932,500
SOUTH COAST AIR QUALITY MGMT. DISTRICT
2,400,000 Installment Sale Revenue Bonds, Series 1992 ............. 6.000% 08/01/11 2,562,000
SO. CALIFORNIA PUBLIC POWER AUTHORITY
3,500,000 Multiple Project Revenue Bonds, 1989 .................... 6.750% 07/01/13 3,885,000
TURLOCK IRRIGATION DISTRICT
2,000,000 Revenue Refunding Bonds, 1996 Series A .................. 6.250% 01/01/12 2,162,500
UNIVERSITY OF CALIFORNIA, REGENTS OF
3,000,000 UCLA Central Chiller/Cogeneration Facility .............. 10.000% 11/01/03 3,543,750
2,815,000 Revenue Bonds, Housing System ........................... 5.500% 11/01/09 2,878,338
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Total Long-term Securities
(cost $173,705,527) ............................... 179,160,506
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VARIABLE RATE DEMAND NOTES** (5.53%)
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
1,700,000 So Cal Edison Series 1986A .............................. 3.300% 03/01/00 1,700,000
3,200,000 PG&E Series C ........................................... 3.150% 03/01/00 3,200,000
IRVINE RANCH WATER DISTRICT
2,500,000 Special Assessment,Consolidated Series 1985 ............. 3.241% 03/01/00 2,500,000
100,000 Special Assessment,Consolidated Series 1991 ............. 3.241% 03/01/00 100,000
400,000 Special Assessment,Consolidated Series 1995 ............. 3.241% 03/01/00 400,000
NEWPORT BEACH, CITY OF
2,700,000 Hoag Mem. Hospital Presbyterian, Series 1992 ............ 3.250% 03/01/00 2,700,000
Total Variable Rate Demand Notes
(costs $10,600,000) ............................... 10,600,000
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Total Investments (98.95%)
(cost $184,305,527) (a) ........................... 189,760,506
Other Net Assets (1.05%) ............................. 1,952,563
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Net Assets (100.00%) .............................. $191,713,069
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</TABLE>
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* Denotes bond issue refunded prior to maturity on date shown and secured by
100% US Government Direct Obligations.
** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $184,305,527. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ........................... $ 7,353,999
Unrealized depreciation ........................... (1,899,020)
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Net unrealized appreciation ....................... $ 5,454,979
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See accompanying notes to financial statements
5
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
<S> <C> <C> <C>
LONG-TERM SECURITIES (96.57%)
ANAHEIM , CITY OF
$ 500,000 Electric Revenue Bonds .................................. 5.00% 10/01/03 $ 507,944
CALIFORNIA, STATE OF
300,000 General Obligation Bonds ................................ 5.75% 10/01/05 316,500
STATE PUBLIC WORKS BOARD
400,000 Energy Efficiency Revenue Bonds 1995 Series A ........... 5.25% 10/01/03 410,500
640,000 Refunding Bonds, Dept. of Corrections ................... 5.25% 12/01/06 658,400
400,000 College and University Housing Revenue .................. 4.90% 11/01/03 406,000
CASTAIC LAKE AGENCY FINANCING CORP.
300,000 Water System Imp. Projects, Series 1994 A ............... 7.25% 08/01/09 347,250
CENTRAL VALLEY SCHOOL DISTRICT FIN. AUTHORITY
400,000 General Obligation Refi. Bonds, Series A ................ 6.15% 02/01/09 430,500
CHICO UNIFIED SCHOOL DISTRICT
400,000 General Obligation Refunding Bonds ...................... 8.50% 08/01/07 488,000
CONTRA COSTA TRANSPORTATION AUTHORITY
500,000 Sales Tax Revenue Bonds 1995 Series A ................... 6.00% 03/01/03 520,625
DELTA DIABLO SANITATION DISTRICT
400,000 Wastewater Facilities Expansion Project ................. 6.25% 12/01/04 420,500
DESERT SANDS UNIFIED SCHOOL DISTRICT
500,000 Certificates of Participation, Series 1995 .............. 5.30% 03/01/07 514,375
EAST BAY CA MUNICIPAL UTILITY DISTRICT
500,000 Water Revenue Refunding Bonds ........................... 6.00% 06/01/03 522,500
EASTERN MUNICIPAL WATER DISTRICT
500,000 Water & Sewer Revenue Refunding Certificates ............ 5.00% 07/01/05 508,125
ELSINOR VALLEY CA WATER DISTRICT
500,000 Certificates of Participation, Series A ................. 5.90% 07/01/05 529,375
IMPERIAL IRRIGATION DISTRICT
600,000 Electric System Project, COP ............................ 5.20% 11/01/09 609,750
LOS ANGELES, CITY OF
500,000 General Obligation Bonds, 1994 Series A ................. 5.60% 09/01/05 523,125
LOS ANGELES DEPARTMENT OF AIRPORTS
400,000 LAX Refunding Revenue Bonds, 1995 Series B .............. 6.50% 05/15/03 423,000
LOS ANGELES UNIFIED SCHOOL DISTRICT
400,000 General Obligation Bonds, 1997 Series A ................. 6.00% 07/01/07 427,500
LOS ANGELES COUNTY PENSION
400,000 General Obligation ...................................... 6.90% 06/30/08 450,000
MODESTO CA IRRIGATION DISTRICT
400,000 Series 1999A Certification of Participation ............. 4.25% 07/01/04 393,500
NEWPORT MESA UNIFIED SCHOOL DISTRICT
450,000 Special Tax Bonds ....................................... 4.40% 09/01/08 428,063
NORTHERN CA, TRANS. AGENCY OF
500,000 Cal/Oregon Transmission Proj., Rev. Bonds ............... 6.10% 05/01/03 523,750
OAK PARK UNIFIED SCHOOL DISTRICT
600,000 General Obligation, Refunding Bonds ..................... 5.15% 05/01/07 612,000
OLIVENHAIN MUNICIPAL WATER DISTRICT
500,000 1997 Capital Projects and Refunding ..................... 4.75% 06/01/06 500,000
ORANGE COUNTY LOCAL TRANS. AUTHORITY
500,000 Limited Tax Bonds, 1994 ................................. 9.50% 02/15/03 567,500
PASADENA UNIFIED SCHOOL DISTRICT
400,000 General Obligation ...................................... 5.00% 07/01/07 404,500
RIVERSIDE COUNTY TRANSPORTATION COMM.
260,000 Sales Tax Revenue Bonds, 1993 Series A .................. 5.50% 06/01/04 269,425
ROCKLIN UNIFIED SCHOOL DISTRICT
535,000 General Obligation Bonds ................................ 5.00% 09/01/04 544,363
SACRAMENTO CITY FINANCING AUTHORITY
500,000 Lease Revenue Bonds, State of CA EPA Bldg ............... 4.20% 05/01/10 455,625
SACRAMENTO MUNICIPAL WATER DISTRICT
500,000 Electric Revenue Refunding Bonds ........................ 5.10% 11/15/03 511,250
6
<PAGE>
CALIFORNIA INSURED INTERMEDIATE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
SACRAMENTO REDEVELOPMENT AGENCY
$ 500,000 Downtown Sacramento Project, Series 1998C ............... 4.75% 11/01/08 $ 493,125
COUNTY OF SACRAMENTO PFA
400,000 Main Detention Facility COP ............................. 5.30% 06/01/04 411,500
SAN DIEGO PUBLIC FACILITIES FINANCING AUTH.
500,000 Sewer Revenue Refunding Bonds, Series A ................. 5.10% 05/15/10 500,000
SAN DIEGO COUNTY
500,000 1998 Downtown Courthouse Refunding ...................... 4.00% 05/01/07 466,875
SAN DIEGO COUNTY RTC
400,000 Sales Tax Rev. Bonds, Seconds 1993 Series A ............. 5.00% 04/01/03 406,000
SAN DIEGO COUNTY WATER AUTHORITY
600,000 Water Revenue Refunding COP Series 1993 A ............... 5.50% 05/01/05 623,250
SAN FRANCISCO, CITY & COUNTY
500,000 City Hall Improvement Project, Series A ................. 5.10% 06/15/06 509,375
450,000 School District Facilities Improvement, Ser. B .......... 6.50% 06/15/05 486,562
SAN FRANCISCO AIRPORT COMMISSION
450,000 SF Intl. Airport Revenue, Second Series B ............... 5.50% 05/01/09 465,750
SAN JOSE REDEVELOPMENT AGENCY
500,000 Merged Area Redevelopment Project Series 1997 ........... 6.00% 08/01/06 533,125
SAN MATEO JOINT POWERS AUTHORITY
400,000 Refunding Revenue Bonds, 1993 Series A .................. 5.10% 08/01/03 409,872
SANTA ROSA, CITY OF
400,000 Wastewater Rev. Refunding Bonds, Ser. A ................. 5.13% 09/01/05 407,500
SARATOGA UNION SCHOOL DISTRICT
600,000 1997 General Obligation Series A ........................ 4.90% 09/01/09 607,500
SOUTH COUNTY REGIONAL WASTEWATER
390,000 Revenue Bonds, Gilroy Series 1992A ...................... 5.90% 08/01/06 409,012
SOUTHERN CA PUBLIC POWER AUTHORITY
500,000 Transmission Project Revenue Bonds, Series A ............ 6.00% 07/01/04 526,875
VISALIA, CITY OF
500,000 Wastewater System Revenue Bonds ......................... 5.90% 12/01/05 531,250
WISEBURN SCHOOL DISTRICT
325,000 1997 General Obligation Series A ........................ 6.88% 08/01/05 357,500
Total Long-term Securities
(cost $22,335,730) ................................ 22,369,016
------------
VARIABLE RATE DEMAND NOTES** (2.16%)
CALIFORNIA HEALTH FAC. FIN. AUTHORITY
300,000 Ref Rev. St Joseph, Series 85 ........................... 3.200% 03/01/00 300,000
CITY OF IRVINE, CALIFORNIA
100,000 Assessment District 95-12, Series A 1996 ................ 3.250% 03/01/00 100,000
ORANGE COUNTY SANITATION DISTRICT
100,000 Refunding Cert. of Participation, 1993 Series ........... 3.250% 03/01/00 100,000
------------
Total Variable Rate Demand Notes
(cost $500,000) ................................... 500,000
------------
Total Investments (98.73%)
(cost $22,835,730) (a) ............................ 22,869,016
Other Net Assets (1.27%) ............................. 294,986
------------
Net Assets (100.00%) .............................. $ 23,164,002
============
</TABLE>
- ------------------
** Stated maturity reflects next reset date.
(a) Aggregate cost for federal income tax purposes is $22,835,730. At February
29, 2000 unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ........................... $ 301,587
Unrealized depreciation ........................... (268,301)
-----------
Net unrealized appreciation ....................... $ 32,286
===========
See accompanying notes to financial statements
7
<PAGE>
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (47.60%)
<S> <C> <C> <C>
$ 1,828,087 6.000% 05/15/26 $ 1,661,295
984,227 6.000% 06/15/28 891,266
982,444 6.000% 08/15/28 889,653
922,977 6.000% 04/15/14 863,925
943,377 6.000% 04/15/14 883,021
1,563,666 6.500% 03/15/26 1,461,690
731,095 6.500% 01/15/26 683,416
576,574 6.500% 03/15/26 538,973
752,349 6.500% 04/15/26 703,284
674,981 6.500% 04/15/26 630,961
993,878 7.000% 07/15/29 952,565
1,000,000 7.000% 09/15/29 958,433
103,394 9.000% 10/15/18 107,867
33,101 10.000% 09/15/18 35,304
19,499 11.250% 07/15/13 21,127
103,394 7.000% 09/15/29 938,272
1,000,256 7.000% 01/15/30 958,380
------------
Total Government National Mortgage Association (cost $13,599,557) 13,179,432
------------
UNITED STATES TREASURY BONDS (19.65%)
1,700,000 7.875% 02/15/21 1,977,845
1,500,000 8.000% 11/15/21 1,773,750
1,700,000 6.250% 02/28/02 1,690,970
------------
Total United States Treasury Bonds (cost $5,399,331) 5,442,565
------------
UNITED STATES TREASURY NOTES (30.73%)
2,000,000 6.000% 08/15/09 1,924,376
2,000,000 5.500% 02/15/09 1,853,126
1,700,000 6.500% 02/15/10 1,710,095
1,500,000 7.875% 08/15/01 1,529,063
1,500,000 6.375% 08/15/02 1,493,907
------------
Total United States Treasury Notes (cost $8,467,693) 8,510,567
------------
UNITED STATES TREASURY BILLS (1.80%)
500,000 5.000% 04/06/00 497,275
------------
Total United States Treasury Bills (cost $497,350) 497,275
------------
Total Investments (cost $27,963,931) (a) (99.78%) ............. 27,629,839
Other Net Assets (0.22%) ...................................... 60,768
------------
Net Assets (100.00%) .......................................... $ 27,690,607
=============
</TABLE>
- ------------------
(a) Aggregate cost for federal income tax purposes is $27,963,931. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ........................ $ 139,763
Unrealized depreciation ........................ (473,855)
-----------
Net unrealized appreciation ................. $ (334,092)
===========
See accompanying notes to financial statements
8
<PAGE>
SHORT-TERM U.S. GOVERNMENT BOND FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
UNITED STATES TREASURY BILLS (33.15%)
<S> <C> <C> <C>
$ 100,000 5.200% 03/02/00 $ 99,986
200,000 5.690% 06/08/00 197,003
200,000 5.740% 11/09/00 191,932
------------
Total United States Treasury Bonds (cost $488,920) 488,921
------------
UNITED STATES TREASURY NOTES (60.86%)
400,000 6.375% 08/15/02 398,375
200,000 6.625% 06/30/01 200,375
300,000 6.250% 10/31/01 298,781
------------
Total United States Treasury Notes (cost $898,298) 897,531
------------
Total Investments (cost $1,387,218) (a) (94.01%) .............. 1,386,452
Other Net Assets (5.99%) ...................................... 88,231
------------
Net Assets (100.00%) .......................................... $ 1,474,683
============
</TABLE>
(a) Aggregate cost for federal income tax purposes is $1,387,218. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ........................ $ 519
Unrealized depreciation ........................ (1,285)
----------
Net unrealized appreciation ................. $ (766)
==========
See accompanying notes to financial statements
9
<PAGE>
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
Par Value
Value Rate Maturity (Note 1)
----- ---- -------- --------
UNITED STATES TREASURY BILLS (100.17%)
<S> <C> <C> <C>
$ 6,000,000 5.110% 03/02/00 $ 5,999,148
7,600,000 4.840% - 5.240% 03/09/00 7,591,173
7,000,000 4.845% - 5.150% 03/16/00 6,985,360
6,400,000 5.120% 03/23/00 6,379,975
4,800,000 5.230% - 5.260 03/30/00 4,779,777
3,700,000 5.110% - 5.230% 04/13/00 3,677,280
4,700,000 5.240% 04/20/00 4,665,795
5,600,000 5.210% - 5.365% 04/27/00 5,553,657
5,800,000 5.220% - 5.500% 05/04/00 5,745,927
5,400,000 5.255% - 5.230% 05/11/00 5,344,232
4,200,000 5.610% 05/25/00 4,144,368
1,700,000 5.550% 06/29/00 1,668,550
5,000,000 5.710% 08/10/00 4,871,525
5,000,000 5.620% 08/17/00 4,868,086
------------
Total Investments (cost $72,274,853) (a)(100.17%) ............. 72,274,853
Liabilities in Excess of Other Assets (%.17) .................. (124,741)
------------
Net Assets (100.00%) .......................................... $ 72,150,112
============
</TABLE>
- --------------------
(a) Cost for federal income tax purposes is $72,274,853.
See accompanying notes to financial statements
10
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
COMMON STOCK (96.69%)
CAPITAL GOODS (5.60%)
PRODUCTION (0.50%)
273 Briggs & Stratton ............................... $ 9,128
4,879 Caterpillar Inc. ................................ 171,057
1,325 Deere & Co ...................................... 40,081
2,806 Dover Co ........................................ 100,314
2,406 Cooper Industries ............................... 92,781
3,705 Illinois Tool Works ............................. 191,502
1,590 Ingersol Rand Co. ............................... 60,917
387 Milacron Inc. ................................... 5,370
1,125 Pall Corp. ...................................... 22,218
1,073 Parker Hannifin ................................. 38,896
603 Timken Co. ...................................... 8,630
------------
740,894
MACHINERY (INDUSTRIAL) (0.02%)
1,627 Thermo Electron Corp.* .......................... 25,422
------------
POLLUTION CONTROL (0.01%)
2,391 Waste Management Inc. ........................... 13,449
------------
ENGINEERING & CONSTRUCTION (0.05%)
807 Fluor Corp ...................................... 22,949
1,092 Vulcan Materials Co. ............................ 43,680
------------
66,629
ELECTRICAL EQUIPMENT (4.12%)
5,769 Emerson Electric Co. ............................ 262,835
41,007 General Electric ................................ 5,420,613
1,214 Grainger, WW, Inc. .............................. 51,974
806 Johnson Controls ................................ 43,020
1,758 Molex, Inc. ..................................... 98,228
2,173 Teradyne, Inc. .................................. 189,051
------------
6,065,721
TRANSPORTATION EQUIPMENT (0.05%)
382 Cummins Engine .................................. 12,724
1,626 Danaher Corporation ............................. 66,361
------------
79,085
CONGLOMERATE (0.85%)
5,385 3M Co. .......................................... 474,553
108 NACCO Industries Cl A ........................... 4,691
20,481 Tyco International, Ltd. ........................ 776,998
------------
1,256,242
Total Capital Goods ............................. 8,247,442
------------
CONSUMER CYCLICAL (6.36%)
HOUSING (0.08%)
5,251 MASCO Co. ....................................... 93,862
505 Owens-Corn. Fbrgls Corp. ........................ 7,323
860 The Stanley Works ............................... 19,780
------------
120,965
AUTO & TRUCK(1.04%)
1,510 Dana ............................................ 32,182
864 Eaton Corp. ..................................... 64,746
15,729 Ford Motor Co. .................................. 654,720
8,176 General Motors Corp. ............................ 621,887
1,755 Genuine Parts Co. ............................... $ 39,597
1,109 ITT Industries .................................. 26,893
749 Paccar, Inc. .................................... 32,254
1,243 TRW, Inc. ....................................... 59,664
------------
1,531,943
AUTO PART (0.10%)
1,346 Autozone, Inc.* ................................. 33,061
7,032 Delphi Auto Systems ............................. 117,347
------------
150,408
TIRE & RUBBER (0.05%)
807 Cooper Tire&Rubber Co. .......................... 8,726
1,321 Goodrich, B.F. Co. .............................. 31,621
1,678 Goodyear Tire & Rubber .......................... 38,070
------------
78,417
APPLIANCE (0.09%)
400 Armstrong World Ind ............................. 7,600
1,268 Black and Decker ................................ 41,765
965 Maytag Corp. .................................... 25,512
589 Snap-On, Inc. ................................... 12,848
725 Whirlpool Corp. ................................. 39,377
------------
127,102
HOUSEHOLD PRODUCTS (0.05%)
2,016 Federated Dept. Stores* ......................... 73,962
------------
TEXTILE & APPAREL (0.12%)
700 Liz Claiborne, Inc. ............................. 26,206
3,713 Nike Class B .................................... 105,588
557 Reebok Intl Ltd.* ............................... 4,456
363 Russell Co. ..................................... 5,014
198 Spring Industries ............................... 7,017
1,219 VF Corp. ........................................ 30,094
------------
178,375
RETAIL GENERAL (4.76%)
0.01 Ambercrombie & Fitch ............................ 0
715 American Greetings Co. .......................... 12,334
1,581 Bed Bath & Beyond ............................... 44,861
2,357 Best Buy Co., Inc. .............................. 128,162
1,905 Circuit City Stores ............................. 76,914
1,240 Cons. Stores Corp.* ............................. 13,950
5,634 Costco Companies Inc. ........................... 279,587
1,098 Dillard's Inc. Class A .......................... 19,078
2,619 Dollar General Corp. ............................ 54,835
12,147 Gap, Inc. ....................................... 586,852
1,883.50 Hasbro Inc. ..................................... 29,665
28,856 Home Depot ...................................... 1,668,238
374 Jostens ......................................... 8,999
5,508 K Mart .......................................... 48,539
1,665 Kohl's Corp.* ................................... 126,228
4,543 Lowes Cos ....................................... 216,360
5,207 Mattel CS ....................................... 50,117
4,192 May Dept. Stores ................................ 109,778
1,560 Nordstrom Inc. .................................. 33,248
3,283 JC Penney Co. ................................... 51,707
593 Pep Boys-Manny, Mo, Jack ........................ 3,669
5,152 Sears Robuck & Co. .............................. 142,002
2,275 Tandy Corp. ..................................... 86,592
5,785 Target Corp. .................................... 341,315
11
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
2,572 The Limited, Inc. ............................... $ 87,448
2,833 TJX Cos, Inc. ................................... 45,151
3,077 Toys R Us, Inc.* ................................ 38,078
55,533 Wal-Mart Stores, Inc. ........................... 2,703,763
------------
7,007,470
LODGING (0.07%)
2,831 Marriott Intl Class A ........................... 78,029
1,655 Mirage Resorts, Inc.* ........................... 26,273
------------
104,302
Total Consumer Cyclical ......................... 9,372,944
------------
CONSUMER NON-DURABLE (19.80%)
HEALTH CARE (0.11%)
548 Bausch & Lomb, Inc. ............................. 28,907
1,114 Biomet, Inc. .................................... 36,762
940 Mallincrokdt Inc. ............................... 23,148
1,054 Manor Care, Inc. ................................ 9,157
864 Wellpoint health Networks ....................... 58,320
------------
156,294
CONSUMER PRODUCT (0.34%)
4,161 IMS Health ...................................... 83,740
2,989 Newell Co. ...................................... 69,121
598 Tupperware Corp. ................................ 10,278
7,523 Unilever (NY Shrs) ADR .......................... 342,297
------------
505,436
FOOD, BEVERAGE & TOBACCO (3.31%)
8,128 Archer-Daniels-Midland Co. ...................... 81,788
3,662 Bestfoods ....................................... 153,575
5,952 Campbell Soup ................................... 168,888
30,739 Coca-Cola Co. ................................... 1,488,920
5,230 Coca-Cola Enterprises ........................... 122,251
6,257 Conagra, Inc. ................................... 102,458
1,503 Dardeen Restaurants ............................. 19,821
1,976 Fortune Brands, Inc. ............................ 43,225
4,187 General Mills ................................... 137,909
4,742 H J Heinz Co. ................................... 151,448
1,480 Hershey Foods ................................... 65,028
5,369 Kellogg Co. ..................................... 135,903
1,467 Loews Corp. ..................................... 65,282
19,920 Pepsico, Inc. ................................... 642,420
28,949 Philip Morris Co., Inc. ......................... 580,789
1,575 Quaker Oats ..................................... 84,952
4,178 Ralston-Ralston Purina Grp ...................... 118,290
6,214 Safeway Inc ..................................... 239,627
12,497 Sara Lee Corp. .................................. 187,455
3,493 Sysco Corp. ..................................... 114,614
1,700 Tricon Global Rstrs* ............................ 45,263
1,803 UST, Inc. ....................................... 34,820
1,307 Wrigley, Wm Jr. Co. ............................. 88,386
------------
4,873,112
RETAIL-FOOD & DRUGS (0.61%)
5,665 Albertson's, Inc. ............................... 138,793
5,404 CVS Corporation ................................. 189,140
369 Great Atlantic & Pacific ........................ 8,648
10,128 Kroger .......................................... 150,654
380 Longs Drug Stores ............................... 7,054
2,583 Rite Aid Corp ................................... 17,758
1,739 Supervalu Inc. .................................. 29,889
12,973 Walgreen Co. .................................... $ 334,866
1,470 Winn-Dixie Stores Inc. .......................... 23,704
------------
900,506
COMMUNICATIONS & MEDIA (2.48%)
9,684 CBS, Inc. ....................................... 576,803
4,052 Clear Channel Comm.* ............................ 269,965
9,268 Comcast Corp CL A Spec .......................... 393,890
1,600 Comcast Corp. Class A ........................... 64,000
930 Dow Jones & Co. ................................. 58,009
3,621 Gannett Co., Inc. ............................... 236,044
702 Harcourt General, Inc. .......................... 24,175
2,813 Interpublic Group Cos Inc. ...................... 113,047
915 Knight Ridder, Inc. ............................. 42,891
2,258 McGraw Hill Cos Inc. ............................ 114,876
1,873 New York Times Class A .......................... 79,134
1,779 Omnicom Group ................................... 167,560
16,153 Time Warner, Inc. ............................... 1,381,082
961 Times Mirror Co. A-New .......................... 49,011
2,840 Tribune Co. ..................................... 110,583
------------
3,681,070
ENTERTAINMENT & LEISURE (0.74%)
943 Brunswick Corp. ................................. 16,679
16,887 McDonalds Corp. ................................. 532,996
9,212 Viacom Inc. Cl B* ............................... 513,569
1,241 Wendys Int'l .................................... 19,546
------------
1,082,790
DRUGS (7.97%)
20,092 Abbott Labs ..................................... 658,013
1,273 Allergan ........................................ 64,048
1,213 Alza Corp. Class A* ............................. 44,502
16,938 Amer Home Products Corp. ........................ 736,803
542 Bard C.R., Inc. ................................. 21,409
3,584 Baxter International, Inc. ...................... 195,328
3,273 Becton Dickinson Co. ............................ 101,668
24,863 Bristol-Meyer/Squibb ............................ 1,412,529
3,790 Guidant Corp. ................................... 255,351
1,579 Humana, Inc.* ................................... 10,757
16,799 Johnson & Johnson ............................... 1,205,328
13,641 Lilly, Eli & Co. ................................ 810,787
3,546 McKesson HBOC Inc ............................... 68,704
15,631 Medtronic, Inc. ................................. 757,127
29,350 Merck & Co. ..................................... 1,806,859
48,228 Pfizer, Inc. .................................... 1,549,325
6,673 Pharmacia & Upjohn, Inc. ........................ 317,802
19,243 Schering Plough Corp. ........................... 671,100
1,255 St. Jude Medical * .............................. 32,787
3,331 Tenet Healthcare Corp.* ......................... 58,293
10,597 Warner-Lambert Co. .............................. 906,706
1,194 Watson Pharmeceuticals .......................... 47,760
------------
11,732,986
COSMETIC & SOAP (1.78%)
536 Alberto-Culver Co. Cl B ......................... 11,457
3,405 Avon Products, Inc. ............................. 92,148
3,147 Clorox .......................................... 127,257
7,708 Colgate Palmolive Co. ........................... 402,261
14,643 Gillette Co. .................................... 516,166
1,066 Int'l Flavors & Fragrance ....................... 31,980
16,427 Procter & Gamble ................................ 1,445,576
------------
2,626,845
12
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
LIQUOR (0.54%)
6,430 Anheuser-Busch Cos., Inc. ....................... $ 412,324
669 Brown Foreman Cl. B ............................. 31,861
477 Coors (Adolph) .................................. 20,928
5,518 Seagrams Ltd. ................................... 324,183
------------
789,296
TRAVEL & RECREATION (0.78%)
7,523 Carnival Corp. .................................. 216,756
1,020 Harrahs Entertainment, Inc.* .................... 19,508
2,862 Hilton Hotels Corp. ............................. 20,034
26,574 Walt Disney Co. ................................. 890,229
------------
1,146,527
PRINTING & PUBLISHING (0.03%)
1,458 Donnelley, RR & Sons ............................ 27,884
452 Meredith Corp. .................................. 12,939
------------
40,823
BUSINESS SERVICE (0.56%)
462 Autodesk, Inc. .................................. 20,646
1,326 Ceridian Corp.* ................................. 26,271
7,134 Computer Assoc .................................. 458,805
1,468 Computer Sciences* .............................. 115,697
934 Deluxe Corp. .................................... 21,891
2,667 Paychex Inc. .................................... 133,517
870 Young & Rubicam ................................. 43,935
------------
820,762
OFFICE PRODUCTS (0.19%)
1,254 Avery Dennison Co. .............................. 76,102
4,532 Office Depot .................................... 55,234
5,456 Staples Inc. .................................... 147,312
------------
278,648
HEALTH CARE SERVICE (0.36%)
5,153 Boston Scientific* .............................. 94,042
3,611 Cardinal Health, Inc. ........................... 148,954
8,579 Columbia/HCA Hthcare ............................ 165,682
4,299 Healthsouth Corp.* .............................. 20,958
2,081 United Healthcare Corp. ......................... 106,391
------------
536,027
Total Consumer Non-Durable ...................... 29,171,122
------------
BANKING & FINANCIAL SERVICE (11.95%)
BANK & BANK HOLDING COS. (5.98%)
4,905 AMSouth Bancorp ................................. 71,123
15,012 Banc One Corp. .................................. 387,497
22,369 Bank of America Corp. ........................... 1,030,372
10,143 Bank of New York ................................ 337,889
4,520 BB&T Corp. ...................................... 106,220
10,639 Chase Manhattan Corp. ........................... 847,130
41,910 Citigroup Inc. .................................. 2,166,223
1,958 Comerica ........................................ 72,324
3,257 Fifth Third Bancorp ............................. 169,568
4,487 First Security Corp. ............................ 104,042
12,363 First Union Corp. ............................... 364,709
11,573 Firstar Corp (New) .............................. 206,144
11,597 Fleet Boston Grp., Inc. ......................... 316,018
2,667 Huntington Bancshares ........................... 55,674
6,614 Mellon Bank ..................................... 199,247
2,305 Morgan, J.P. & Co., Inc. ........................ 255,855
2,425 Northern Trust .................................. 137,013
1,321 Old Kent Financial Corp. ........................ $ 34,594
1,014 Pinnacle West ................................... 28,012
4,127 PNC Financial Corp. ............................. 159,663
2,163 Regions Financial Corp. ......................... 43,801
2,219 SouthTrust Corp. ................................ 50,898
2,162 State Street Corp. .............................. 157,556
1,876 Summit Bancorp .................................. 44,907
4,241 Sun Trust Banks, Inc. ........................... 215,496
2,982 Synovus Financial Corp. ......................... 48,830
9,603 U.S. Bancorp .................................... 175,855
2,474 Wachovia Corp. .................................. 141,482
7,660 Washington Mutual ............................... 169,478
21,508 Wells Fargo & Co. ............................... 711,108
------------
8,808,728
SAVINGS & LOAN (0.29%)
9,132 Fed Home Loan Mtg Corp. ......................... 381,261
1,663 Golden West Financial ........................... 47,396
------------
428,657
FINANCE COMPANY (1.20%)
5,602 American Express Co. ............................ 751,718
2,164 Capital One Fin. Corp. .......................... 79,662
6,156 Household Int'l ................................. 196,607
1,221 Lehman Brothers Holding ......................... 88,523
4,414 Merrill Lynch ................................... 452,435
8,284 National City Corp. ............................. 159,467
1,420 Union Planters Corp ............................. 38,873
------------
1,767,285
INVESTMENT COMPANY (0.04%)
1,422 Bear Stearns Co, Inc. ........................... 55,814
------------
INSURANCE (2.52%)
1,855 Aetna Life & Cas. Co. ........................... 76,287
3,093 Aflac Corp. ..................................... 113,088
11,367 Allstate Corp. .................................. 221,657
3,151 American General Corp. .......................... 164,443
19,656 American Intl. Group ............................ 1,738,328
2,764 AON Corporation ................................. 57,871
2,611 Chubb Group ..................................... 128,429
2,808 Cigna Corp. ..................................... 207,266
1,666 Cinci. Financial Corp. .......................... 49,772
2,904 Hartford Fin. Services .......................... 90,750
1,036 Jefferson Pilot ................................. 53,937
5,798 Keycorp New ..................................... 98,204
2,017 Lincoln National Corp. .......................... 56,098
3,319 Marsh & McClennan Co. ........................... 256,808
1,041 MBIA, Inc. ...................................... 39,948
1,327 MGIC Investment ................................. 49,597
894 Progressive Corp. ............................... 53,193
1,858 Providian Corp. ................................. 120,422
1,531 Safeco Corp. .................................... 32,151
2,263 St. Paul Co. .................................... 50,635
1,373 Torchmark Corp. ................................. 27,203
2,471 UNUM Provident Corp. ............................ 33,050
------------
3,719,137
FINANCIAL SERVICES (1.92%)
9,033 Assoc. First Capital Corp. ...................... 179,531
9,928 Charles Schwab Corp. ............................ 415,115
4,122 Conseco, Inc. ................................... 60,284
13
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
984 Countrywide Credit, Inc. ........................ $ 24,539
12,755 Fannie Mae ...................................... 676,015
2,755 Franklin Resources .............................. 74,902
9,783 MBNA Corp. ...................................... 222,563
14,181 Morgan Stanley Dean Witter & Co. ................ 998,874
1,738 Paine Webber .................................... 66,479
1,861 SLM Holding Corp. ............................... 58,273
1,459 T. Rowe Price Assoc ............................. 48,056
------------
2,824,631
Total Banking & Financial Services .............. 17,604,252
------------
UTILITY (9.05%)
ELECTRIC (0.53%)
1,519 Ameren Corp.* ................................... 45,570
1,534 Cinenrgy Corp. .................................. 32,789
1,317 CMS Energy Corp. ................................ 22,060
2,663 Consolidated Edison ............................. 73,399
4,697 Duke Power ...................................... 227,805
4,161 Edison Intl ..................................... 109,486
1,207 Florida Progres Corp. ........................... 51,448
1,500 GPU, Inc. ....................................... 37,313
1,222 New Century Energies Inc. ....................... 33,070
336 Peoples Energy Corp. ............................ 9,723
1,545 PP & L Resources Inc. ........................... 31,093
3,244 Texas Utilities ................................. 105,836
------------
779,592
GAS (0.00%)
272 Oneok Inc. ...................................... 6,171
------------
TELEPHONE (7.08%)
3,768 Alltell Corp. ................................... 218,544
39,419 AT&T Corp. ...................................... 1,948,776
20,000 Bell Atlantic Corp. ............................. 978,750
23,580 Bell South Corp. ................................ 960,885
1,716 Centurytel, Inc. ................................ 57,701
12,531 GTE Corp. ....................................... 739,329
35,016 MCI Worldcom Inc. ............................... 1,562,589
7,874 Media One Group* ................................ 618,109
1,097 NCR Corp. ....................................... 41,617
42,493 SBC Comm., Inc. ................................. 1,614,734
11,140 Sprint Corp. .................................... 679,540
10,340 Sprint PCS Group ................................ 535,095
6,455 US West, Inc. ................................... 468,794
------------
10,424,463
ENERGY (1.29%)
2,156 American Elect. Pwr. Co. ........................ 60,638
1,471 Carolina Power & Light .......................... 43,762
2,045 Central & S/W Corp. ............................. 34,382
2,456 Coastal Corp. ................................... 103,306
802 Columbia Energy Group ........................... 47,318
1,431 Consolidated Natural Gas ........................ 42,572
627 Dominion Resources .............................. 23,003
1,456 DTE Energy Co. .................................. 43,953
207 Eastern Enterprises ............................. 11,980
8,224 Enron ........................................... 567,456
2,229 Entergy Corp. New ............................... 45,137
3,155 First Energy Corp.* ............................. 58,959
2,341 FPL Group, Inc. ................................. 90,421
1,549 Niagara Mohawk Power* ........................... $ 18,201
477 Nicor ........................................... 14,489
1,996 Northern States Power ........................... 35,055
2,118 PECO Energy Co. ................................. 79,028
5,378 PG & E Corp. .................................... 110,921
2,341 Public Services Enter ........................... 67,889
3,690 Reliant Energy Inc. ............................. 75,876
2,955 Sempra Energy ................................... 53,190
8,800 Southern Co. .................................... 195,250
2,090 Unicom Corp. .................................... 79,028
------------
1,901,814
MISCELLANEOUS (0.15%)
5,303 Williams Co. .................................... 221,732
------------
Total Utilities ................................. 13,333,772
------------
SERVICE (0.75%)
BUSINESS (0.31%)
7,731 Automatic Data Processing ....................... 336,782
1,642 Dun & Bradstreet Corp. .......................... 43,000
1,343 Equifax ......................................... 28,455
999 H & R Block ..................................... 43,831
------------
452,068
CONSUMER (0.31%)
10,538 Cendant Corp. ................................... 187,708
5,827 First Data ...................................... 262,215
3,275 Service Corp. Intl .............................. 12,077
------------
462,000
ENVIRONMENTAL SERVICES (0.08%)
7,461 Waste Management Srvcs .......................... 111,915
------------
MISCELLANEOUS (0.05%)
2,482 Quitiles Transnational Corp. .................... 73,684
------------
Total Service ................................... 1,099,667
------------
TRANSPORTATION (0.80%)
AIR TRANSPORTATION (0.27%)
2,229 AMR Corp.* ...................................... 117,858
1,674 Delta Airlines .................................. 76,376
2,941 FDX Corp.* ...................................... 102,751
4,761 Southwest Airlines Co. .......................... 87,781
762 US Airways Group, Inc.* ......................... 14,240
------------
399,006
RAILROAD (0.42%)
5,996 Burlington No./Santa Fe ......................... 118,046
7,985 Conoco Inc. Class B ............................. 157,205
2,450 CSX Corp. ....................................... 54,359
1,312 Kansas City Southern Inds ....................... 103,320
4,834 Norfolk Southern Co. ............................ 65,561
3,261 Union Pacific Corp. ............................. 123,918
------------
622,409
TRUCKING (0.02%)
634 Navistar Intl.* ................................. 20,764
775 Ryder System .................................... 14,434
------------
35,198
MISCELLANEOUS (0.09%)
1,853 Harley Davidson ................................. 126,236
------------
Total Transportation ............................ 1,182,849
------------
14
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
MANUFACTURING (6.28%)
CONSUMER DURABLE (0.22%)
759 Eastman Chemical Co. ............................ $ 27,277
4,179 Eastman Kodak ................................... 239,509
2,498 Leggett & Platt ................................. 41,998
445 Polaroid Corp. .................................. 11,153
------------
319,937
BUILDING & HOUSING (0.02%)
560 Centex Corp. .................................... 11,025
532 Crane Co. ....................................... 10,574
388 Kaufman & Broad Corp. ........................... 7,421
464 Pulte Corp. ..................................... 7,801
------------
36,821
CHEMICAL (1.26%)
2,491 Air Prods. & Chem., Inc. ........................ 64,143
2,971 Dow Chemical .................................... 322,354
12,996 Dupont De Nemours & Co. ......................... 656,298
1,251 Ecolab, Inc. .................................... 35,341
608 Great Lakes Chemical ............................ 17,670
1,037 Hercules ........................................ 17,111
916 Millipore ....................................... 48,949
7,731 Monsanto Co. .................................... 300,059
2,255 PPG Industries .................................. 111,341
1,510 Praxair, Inc. ................................... 50,963
2,627 Rohm & Haas Co. ................................. 106,065
1,667 Sherwin Williams ................................ 31,881
962 Sigma-Aldrich Corp. ............................. 22,848
1,265 Union Carbide Corp. ............................. 67,915
842 W.R. Grace & Co. ................................ 8,473
------------
1,861,411
DIVERSIFIED (0.47%)
3,573 Corning Corp. ................................... 671,724
331 FMC Corp. ....................................... 15,991
451 National Service Inds ........................... 9,246
------------
696,961
PAPER & FOREST PRODUCTS (0.68%)
478 Boise Cascade ................................... 14,250
927 Champion Intl ................................... 47,972
2,148 Fort James Corp. ................................ 40,409
2,073 Georgia Pacific Co. ............................. 71,907
4,988 International Paper ............................. 183,621
6,676 Kimberly Clark .................................. 345,066
1,047 Louisiana-Pacific Co. ........................... 12,368
1,004 Mead Corp. ...................................... 30,057
1,923 PACTIV .......................................... 15,985
279 Potlatch Corp. .................................. 10,602
536 Temple Inland ................................... 27,403
981 Westvaco Corp. .................................. 27,039
2,767 Weyerhaeuser Co. ................................ 141,982
1,073 Willamette Inds ................................. 36,415
------------
1,005,076
METAL & MINERAL (0.07%)
1,085 Allegheny Teledyne, Inc. ........................ 18,377
1,721 Bethlehem Steel* ................................ 9,788
848 Nucor Corp. ..................................... 42,135
819 USX-US Steel .................................... 17,916
880 Worthington Inds., Inc. ......................... 11,660
------------
99,876
CONTAINER (0.08%)
291 Ball Corp. ...................................... $ 7,839
513 Bemis Co. ....................................... 15,261
1,233 Crown Cork & Seal ............................... 17,262
1,402 Owens-Illinois, Inc.* ........................... 19,365
1,316 Sealed Air Corp. ................................ 65,389
------------
125,116
COMPUTER (2.42%)
1,303 Adaptec, Inc. ................................... 53,423
1,980 Citrix Systems, Inc. ............................ 208,766
1,036 Comverse Tech ................................... 203,963
31,837 Dell Computer* .................................. 1,299,348
12,878 EMC Corp.* ...................................... 1,532,482
3,920 Gateway 2000, Inc.* ............................. 269,500
------------
3,567,482
NON FERROUS METAL (0.36%)
2,181 Alcan Aluminum Ltd. ............................. 71,973
4,080 Aluminum Co. of Amer ............................ 279,480
1,377 Englehard Corp. ................................. 18,762
1,659 Inco Ltd. ....................................... 29,033
1,578 Newmont Mining Co. .............................. 34,913
935 Phelps Dodge .................................... 44,062
704 Reynolds Metals ................................. 44,704
------------
522,927
GOLD AND PRECIOUS METAL (0.10%)
4,281 Barrick Gold Corp. .............................. 69,834
2,235 Freeport McMoran Corp. Cl B ..................... 30,731
1,533 Homestake Mining Co. ............................ 9,965
4,418 Placer Dome, Inc. ............................... 38,658
------------
149,188
MISCELLANEOUS (0.59%)
4,762 Applied Materials, Inc.* ........................ 871,148
------------
Total Manufacturing ............................. 9,255,943
------------
TECHNOLOGY (30.75%)
OFFICE EQUIPMENT (0.21%)
1,281 IKON Office Soution ............................. 8,967
1,513 Lexmark Int'l. Group ............................ 180,425
3,406 Novell* ......................................... 112,611
------------
302,003
ELECTRONIC (8.27%)
12,617 Hewlett-Packard Co. ............................. 1,696,987
41,213 Intel Corp. ..................................... 4,657,069
1,982 KLA-Tencor Corp.* ............................... 154,472
9,010 Motorola, Inc. .................................. 1,536,205
1,773 National Semiconductor* ......................... 133,197
17,008 Nortel Networks Corp. ........................... 1,896,392
1,728 PE Corp. PE Biosystems .......................... 182,304
457 Perkin-Elmer Corp. .............................. 29,534
3,096 Solectron Corp. ................................. 202,788
723 Tektronix, Inc. ................................. 41,934
9,838 Texas Instruments ............................... 1,638,027
658 Thomas & Betts Co. .............................. 14,764
------------
12,183,673
BIO-TECHNOLOGY (4.41%)
13,671 Amgen* .......................................... 932,191
15
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
1,802 Biogen, Inc. .................................... $ 194,503
40,482 Cisco Systems Inc. .............................. 5,351,214
1,688 Silicon Graphics Inc. ........................... 16,564
------------
6,494,472
SOFTWARE (4.68%)
1,333 Adobe Systems, Inc. ............................. 135,966
2,845 BMC Software, Inc. .............................. 130,870
4,651 Compuware Corp. ................................. 102,903
5,675 EDS Corp. ....................................... 367,456
63,619 Microsoft Corp. ................................. 5,685,948
1,751 Network Appliance, Inc. ......................... 330,501
2,672 Parametric Tech Co.* ............................ 80,995
3,108 Peoplesoft Inc. ................................. 64,297
------------
6,898,936
BUSINESS-MACHINES & SOFTWARE (6.52%)
27,609 America Online Inc. ............................. 1,628,931
1,942 Apple Computer, Inc.* ........................... 222,602
21,579 Compaq Computers ................................ 536,778
22,510 IBM ............................................. 2,296,020
35,775 Oracle Systems* ................................. 2,656,294
3,528 Pitney Bowes Systems ............................ 174,636
19,057 Sun Microsystems* ............................... 1,815,179
2,923 Unisys Corp.* ................................... 87,507
8,411 Xerox Corp. ..................................... 182,414
------------
9,600,361
BUSINESS SERVICE (0.69%)
227 Shared Medical Systems .......................... 8,839
6,332 Yahoo!, Inc. .................................... 1,011,141
------------
1,019,980
SEMI CONDUCTOR (0.55%)
1,319 Advanced Micro Devices* ......................... 51,606
2,940 LSI Logic Corp.* ................................ 188,344
2,762 Micron Technology, Inc.* ........................ 270,849
3,722 Xilink, Inc. .................................... 296,830
------------
807,629
TELECOMMUNICATIONS (3.41%)
3,742 ADC Communications .............................. 167,922
863 Andrew Corp. .................................... 21,359
1,502 Ascend Comms* ................................... 73,598
9,574 Cabletron Systems* .............................. 446,388
38,245 Lucent Technologies ............................. 2,275,578
4,161 Nextel Comms* ................................... 569,017
8,106 Qualcom, Inc. ................................... 1,154,598
749 Scientific-Atlanta, Inc. ........................ 76,913
4,886 Tellabs, Inc.* .................................. 234,528
------------
5,019,901
AEROSPACE AIRCRAFT (1.28%)
12,876 Boeing .......................................... 474,803
2,498 Conexant Systems, Inc. .......................... 245,429
2,503 General Dynamics Corp. .......................... 108,255
10,411 Honeywell Int'l., Inc. .......................... 501,029
2,312 Rockwell Intl. Corp. ............................ 104,618
2,130 Textron, Inc. ................................... 129,930
6,223 United Technologies Corp. ....................... 316,984
------------
1,881,048
TELECOM EQUIPMENT (0.13%)
5,032 Lockheed Martin Corp. ........................... 87,746
670 Northrop Grumman Corp. .......................... 30,443
3,942 Raytheon-Class B ................................ 72,927
------------
191,116
MISCELLANEOUS (0.60%)
4,378 3 Com Corp.* .................................... $ 429,044
2,109 Analog Devices .................................. 331,113
2,610 Seagate technology, Inc. ........................ 130,174
------------
890,331
Total Technology ................................ 45,289,450
------------
ENERGY (5.33%)
OIL & GAS - 0DOMESTIC (0.61%)
972 Amerada Hess Corp. .............................. 49,147
1,129 Anadarko Petroleum Corp. ........................ 34,717
855 Apache Corp. .................................... 31,208
723 Ashland, Inc. ................................... 22,503
4,126 Atlantic Richfield .............................. 292,946
1,767 Burlington Resources, Inc. ...................... 48,813
2,803 El Paso Energy Corp. ............................ 103,886
860 Kerr McGee Co. .................................. 38,485
3,456 Phillips Petroleum Co. .......................... 132,192
1,001 Sunoco Inc. ..................................... 24,712
1,945 Tosco Corp. ..................................... 52,029
2,795 Unocal Corp. .................................... 74,766
------------
905,404
OIL & GAS INTERNATIONAL (3.91%)
8,523 Chevron Corp. ................................... 636,562
43,682 Exxon Corp. ..................................... 3,289,801
26,935 Royal Dutch Pet.-ADR ............................ 1,414,088
7,426 Texaco .......................................... 352,271
3,304 USX-Marathon .................................... 71,449
------------
5,764,171
OIL & GAS SERVICE (0.44%)
784 Rowan Co., Inc.* ................................ 19,698
6,865 Schlumberger .................................... 507,152
2,430 Transocean Sedco Forex, Inc. .................... 95,833
2,418 Union Pac. Resources Grp ........................ 21,611
------------
644,294
NATURAL GAS (0.02%)
3,529 RJR Nabisco Corp. ............................... 30,438
------------
ENERGY RAW MATERIAL (0.35%)
1,994 AES Corp. ....................................... 167,122
3,144 Baker Hughes, Inc. .............................. 81,351
5,494 Halliburton Co. ................................. 209,802
540 McDermott Intl .................................. 5,063
3,601 Occidental Petroleum ............................ 57,841
------------
521,179
Total Energy .................................... 7,865,486
------------
Total Common Stocks (Cost $87,612,517) .......... 142,422,927
------------
16
<PAGE>
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Par
Value Value
----- -----
SHORT-TERM INVESTMENTS (5.49%)
UNITED STATES TREASURY BILLS
$ 4,500,000 4.900% 03/16/00 (b) ............................. $ 4,490,297
195,242 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ......... 195,242
------------
Total Short-Term Investments (Cost $4,685,539) .. 4,685,539
------------
Total Investments (Cost $92,298,056) (99.87%) ... 147,108,466
Other Net Assets (0.13%) ........................ 187,570
------------
Net Assets (100.00%) ............................ $147,296,036
============
- -----------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $92,298,056. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ................................ $ 63,394,706
Unrealized depreciation ................................ (8,584,296)
-------------
Net unrealized appreciation ......................... $ 54,810,410
-------------
(b) At February 29, 2000, certain United States Treasury Bills with a market
value of $1,995,360 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2000 (Contracts-$250 times premium/
delivery month/commitment)
Unrealized
Depreciation
------------
S&P 500 Stock Index:
15/March 00/Long ................................ $ (168,185)
============
See accompanying notes to financial statements
17
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
COMMON STOCKS (90.55%)
CAPITAL GOODS (2.84%)
PRODUCTION (0.09%)
1,300 Tecumseh Prod. Co. Cl. A ........................ $ 56,063
------------
MACHINERY-AGRICULT & CONSTRUCTION (0.07%)
3,929 AGCO Corp. ...................................... 43,219
------------
MACHINERY-INDUSTRIAL (0.35%)
1,668 Albany Intl. Corp. Cl A ......................... 24,186
1,500 Borg-Warner Automotive .......................... 48,000
2,636 Flowserve Corp. ................................. 30,314
2,000 Modine Manufacturing Co. ........................ 45,625
2,200 Stewart & Stevenson Svcs ........................ 21,588
2,700 York Intl. Corp. New Com ........................ 48,938
------------
218,651
POLLUTION CONTROL (0.12%)
3,400 Donaldson Co. Inc. .............................. 77,350
------------
ENGINEERING & CONSTRUCTION (0.12%)
1,700 Jacobs Engineering Group* ....................... 47,706
1,800 Structural Dyn. Research* ....................... 25,650
------------
73,356
ELECTRICAL EQUIPMENT (1.39%)
2,100 Ametek, Inc. .................................... 35,569
4,300 Cirrus Logic, Inc.* ............................. 89,494
4,430 Hubbell, Inc. Cl. B ............................. 107,704
4,600 Integrated Device Tech.* ........................ 169,625
5,700 IPALCO .......................................... 96,544
4,215 Mark IV Industries, Inc. ........................ 84,300
2,900 UCAR Intl.* ..................................... 44,225
5,575 Vishay Intertech., Inc.* ........................ 239,725
------------
867,186
TRANSPORTATION EQUIPMENT (0.48%)
2,700 Federal Signal .................................. 40,331
1,850 SPX Corp. ....................................... 161,066
2,500 Trinity Industries .............................. 55,313
3,200 WI Central Transport* ........................... 39,600
------------
296,310
CONGLOMERATE (0.22%)
2,000 Rayonier, Inc. .................................. 79,500
2,040 Newport News Shipbuilding, Inc. ................. 57,758
------------
137,258
Total Capital Goods ............................. 1,769,393
------------
CONSUMER CYCLICAL (4.09%)
HOUSING (0.13%)
9,701 Clayton Homes, Inc. ............................. 78,821
------------
BUILDING MATERIAL (0.65%)
4,400 BJ'S Wholesale Club* ............................ 136,400
2,900 Martin Marietta Materials ....................... 102,950
3,200 USG Corp. ....................................... 104,000
3,736 VISX, Inc. ...................................... 63,279
------------
406,629
AUTO & TRUCK (0.19%)
2,300 Teleflex, Inc. .................................. 64,975
2,400 Webster Financial Corp. ......................... 50,700
------------
115,675
AUTO PARTS (0.25%)
1,200 Arvin Inds., Inc. ............................... $ 22,050
4,100 Lear Corp.* ..................................... 86,613
2,000 Superior Industries ............................. 47,750
------------
156,413
TIRE & RUBBER (0.16%)
1,400 Bandag Inc. ..................................... 32,900
2,000 Carlisle Cos., Inc. ............................. 66,250
------------
99,150
HOUSEHOLD PRODUCTS (0.29%)
3,200 Furniture Brands Intl. Inc. ..................... 51,400
4,234 William Sonoma, Inc. ............................ 130,989
------------
182,389
TEXTILE & APPAREL (0.53%)
3,400 Burlington Inds., Inc.* ......................... 9,563
3,731 Mohawk Inds ..................................... 82,782
7,800 Shaw Industries, Inc. ........................... 98,963
3,900 UNIFI, Inc. ..................................... 37,294
3,500 Warnaco Group CL-A .............................. 38,063
3,700 Westpoint Stevens, Inc.* ........................ 61,513
------------
328,178
RETAIL-GENERAL (1.89%)
6,800 Abercrombie & Fitch ............................. 99,875
4,300 Barnes & Noble, Inc.* ........................... 74,175
4,600 Callaway Golf Co. ............................... 55,200
3,250 Claire's Stores, Inc. ........................... 56,672
5,913 CompUSA* ........................................ 59,130
3,700 Dollar Tree Stores Inc. ......................... 143,606
11,300 Family Dollar Stores ............................ 196,338
2,500 Fastenal Co. .................................... 110,469
3,000 Heilig-Myers Co. ................................ 9,750
2,234 Payless Shoesource* ............................. 88,243
4,480 Tiffany & Co. ................................... 287,560
------------
1,181,018
Total Consumer Cyclical ......................... 2,548,273
------------
CONSUMER NON-DURABLE (19.78%)
HEALTHCARE (1.60%)
3,300 Appria Healthcare Group* ........................ 47,025
6,900 Beverly Enterprises, Inc.* ...................... 18,113
3,700 Covance, Inc.* .................................. 52,725
3,100 Dentsply Intl., Inc. ............................ 79,438
2,200 Millinium Pharmeceuticals ....................... 572,275
8,000 Mylan Laboratories .............................. 184,000
4,700 Quorum HG, Inc.* ................................ 41,859
------------
995,435
CONSUMER PRODUCTS (0.22%)
3,633 A.C. Nielson Corp.* ............................. 61,534
2,631 Lancaster Colony Corp. .......................... 78,272
------------
139,806
FOOD BEVERAGE & TOBACCO (2.33%)
2,200 Bob Evans Farms ................................. 29,838
2,300 Dean Foods Co. .................................. 62,388
4,000 Dole Food Co. ................................... 61,500
1,600 Dreyer Grand Ice Cream .......................... 29,100
6,175 Flowers Inds., Inc. ............................. 79,889
9,800 Hormel Foods Corp. .............................. 163,538
18
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
1,100 Int'l. Multifoods, Inc. ......................... $ 12,031
4,822 Interstate Bakeries Corp. ....................... 55,152
1,700 Lance, Inc. ..................................... 17,425
4,660 McCormick & Co. ................................. 127,568
3,900 NSTAR- W/I ...................................... 159,656
1,600 Smucker (J.M.) Co. Cl. A ........................ 27,400
11,000 Starbucks Corp.* ................................ 386,375
14,050 Tyson Foods, Inc. Cl. A ......................... 144,891
2,300 Universal Corp. ................................. 37,663
2,900 Universal Foods Corp. ........................... 52,381
2,862 Vlasic Foods Int'l., Inc. ....................... 8,049
------------
1,454,844
RETAIL-FOOD & DRUGS (0.34%)
2,554 Hannaford Brothers Co. .......................... 181,973
2,400 Ruddick Corp. ................................... 32,250
------------
214,223
COMMUNICATIONS & MEDIA (2.91%)
8,000 Belo (A.H.) Corp. Sr. A ......................... 103,000
4,200 Harte Hanks, Inc. ............................... 91,613
3,100 Hispanic Broadcasting Corp. ..................... 289,656
1,900 L-3 Communications Holdings ..................... 80,869
6,250 Univision Communications, Inc. .................. 636,719
3,528 Valassis Communications ......................... 97,682
617 Washington Post, Class B ........................ 300,942
3,255 Westwood One, Inc. .............................. 217,475
------------
1,817,956
ENTERTAINMENT & LEISURE (0.83%)
2,159 Chris Craft Industries* ......................... 142,089
2,778 Gtech Holdings Corp.* ........................... 55,560
3,100 Int'l Speedway Corp. ............................ 137,175
6,300 Mandalay Resorts Co. ............................ 88,594
4,800 Premier Parks, Inc. ............................. 97,200
------------
520,618
APPAREL (0.78%)
2,700 American Eagle Outfitters ....................... 68,850
7,402 Jones Apparel Group* ............................ 167,470
1,800 Lands End * ..................................... 59,738
5,976 Ross Store, Inc. ................................ 86,652
8,766 Saks Holding, Inc.* ............................. 100,809
------------
483,519
DRUGS (2.17%)
8,124 Bergen Brusswig CL A ............................ 40,112
2,400 Carter-Wallace Inc. ............................. 43,350
5,300 Forest Labs CL A* ............................... 362,056
2,400 Gilead Services, Inc. ........................... 183,600
4,555 ICN Pharmeceuticals ............................. 90,531
11,700 IVAX Corp.* ..................................... 266,175
3,600 Sepracor Inc. ................................... 364,950
------------
1,350,774
HOSPITAL SUPPLY & SERVICE (2.43%)
1,500 Acuson Corp.* ................................... 20,063
3,701 Medimmune, Inc. ................................. 734,649
1,800 Minimed, Inc. ................................... 179,775
5,250 Omnicare, Inc. .................................. 48,234
2,836 Pacific Health Systems .......................... 128,861
4,325 PSS World Medical, Inc.* ........................ 27,842
6,400 Stryker Corp. ................................... 374,400
------------
1,513,824
COSMETICS & SOAP (0.06%)
2,200 Church and Dwight ............................... 37,538
------------
TRAVEL & RECREATION(0.33%)
18,400 Park Place Entertainment ........................ $ 208,150
------------
PRINTING & PUBLISHING (0.82%)
2,000 Banta Corp. ..................................... 36,500
2,600 Glatfelter (P.H.) Co. ........................... 31,850
1,600 Houghton Mifflin Co. ............................ 63,700
2,800 Lee Enterprises ................................. 58,275
1,800 Media General, Inc. Cl. A ....................... 93,038
6,700 Readers Digest Assoc ............................ 230,313
------------
513,676
RESTAURANT (0.52%)
4,110 Brinker International* .......................... 89,393
1,800 Buffets, Inc.* .................................. 15,638
4,000 CBRL Group Inc. ................................. 37,000
2,600 Lone Star Steakhouse* ........................... 23,075
4,500 Outback Steakhouse, Inc.* ....................... 117,563
1,700 Papa Johns Int'l., Inc. ......................... 40,800
------------
323,469
BUSINESS SERVICE (2.62%)
6,400 Cintas Group .................................... 255,600
9,200 Comdisco ........................................ 353,625
11,850 Concord EFS Inc. ................................ 231,816
4,354 Devrey, Inc. .................................... 78,644
6,100 Dial Corp. ...................................... 87,688
6,800 Modis Prof. Services ............................ 107,100
2,600 Navigant Consulting Co. ......................... 25,025
3,500 Noble Affiliates ................................ 78,750
2,959 Pittston Brink's Group .......................... 52,892
6,328 Sungard D.S., Inc.* ............................. 189,840
6,000 Viad Corp. ...................................... 140,625
3,000 Wallace Comp. Services .......................... 31,313
------------
1,632,918
OFFICE PRODUCTS (0.41%)
3,400 Hon Inds ........................................ 62,688
5,600 Miller (Herman), Inc. ........................... 114,800
8,000 Office Max, Inc.* ............................... 56,500
1,600 Standard Register Co. ........................... 21,800
------------
255,788
HEALTHCARE SERVICE (1.35%)
2,546 Express Scripts, Inc. ........................... 117,275
4,000 First Health Group Corp.* ....................... 96,500
7,900 Foundation H.S.-A* .............................. 65,669
15,550 Health Mgmt. Assoc. Cl.A.* ...................... 167,163
3,598 Lincare Holdings Inc.* .......................... 84,328
4,114 Steris Corp.* ................................... 39,854
5,930 Sybron Intl. Corp.* ............................. 166,040
4,943 Total Renal Care Hlds* .......................... 14,829
2,800 Trigon Healthcare Inc. .......................... 89,425
------------
841,083
HEALTH & BEAUTY AIDS (0.06%)
5,000 Perrigo Co.* .................................... 36,719
------------
Total Consumer Non-Durable ...................... 12,340,340
------------
BANKING & FINANCIAL SERVICES (8.58%)
BANK & BANK HOLDING COS. (3.05%)
2,460 CCB Financial Corp. ............................. 91,328
2,984 City National Corp. ............................. 82,247
7,200 Compass Bancshares, Inc. ........................ 116,550
19
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
8,100 First Tennesse Ntl., Corp. ...................... $ 139,725
5,338 First Merit Corp. ............................... 75,733
3,400 First Virginia Banks, Inc. ...................... 107,100
9,600 Hibernia Bank ................................... 87,000
317 JSB Finacial .................................... 15,315
3,200 Keystone Financial Inc. ......................... 50,000
6,380 Marshall and Isley Corp. ........................ 293,081
4,300 Mercantile Bankshares Corp. ..................... 108,038
8,650 North Fork Bancorp .............................. 141,644
5,400 Pacific Century Financial ....................... 82,013
2,737 Provident Financial Group ....................... 76,978
2,400 West America Bancorp ............................ 54,450
2,300 Wilmington Trust Corp. .......................... 107,956
5,100 Zions Bancorporation ............................ 270,619
------------
1,899,777
SAVINGS & LOAN (1.16%)
3,933 Associated Banc Corp. ........................... 99,554
3,500 Astoria Financial Corp. ......................... 83,344
12,038 Charter One Fin., Inc. .......................... 189,599
6,893 Dime Bancorp Inc. ............................... 84,008
5,800 Greenpoint Fin. Corp. ........................... 92,438
8,542 Sovereign Bancorp, Inc. ......................... 61,930
5,689 TCF Financial Corp. ............................. 112,713
------------
723,586
FINANCE COMPANY (0.17%)
6,400 National Commerce Bancorp ....................... 108,800
------------
INVESTMENT COMPANY (0.21%)
3,392 Legg Mason, Inc. ................................ 133,136
------------
INSURANCE (2.07%)
4,500 AMBAC Financial Group ........................... 197,719
4,000 American Fin. Group, Inc. ....................... 84,000
3,100 Everest Re Holdings ............................. 76,144
3,800 Finova Group, Inc. .............................. 108,775
2,600 Horace Mann Educators ........................... 40,300
2,050 HSB Group, Inc. ................................. 50,738
3,800 Ohio Causualty Corp. ............................ 47,025
8,100 Old Republic .................................... 94,669
5,000 Oxford Health Plans* ............................ 77,188
3,877 Protective Life Corp. ........................... 85,294
5,600 Reliastar Financial Corp. ....................... 156,450
3,150 The PMI Group, Inc. ............................. 114,384
4,600 Unitron, Inc. ................................... 156,113
------------
1,288,799
FINANCIAL SERVICES (1.92%)
3,500 Allmerica Financial Corp. ....................... 146,125
3,000 Check Free Holding Corp. ........................ 263,813
16,680 E*Trade ......................................... 410,745
6,287 AG Edwards ...................................... 199,219
6,301 Gartner Group, Inc. Cl B ........................ 74,431
1,800 Investment Tech. Group, Inc. .................... 69,750
1,500 NCO Group, Inc. ................................. 35,063
------------
1,199,146
Total Banking & Financial Services .............. 5,353,244
------------
UTILITY (8.30%)
ELECTRIC (5.73%)
7,070 Allegheny Power System .......................... 183,378
4,636 Alliant Energy .................................. $ 130,388
1,200 Black Hills Corp. ............................... 26,400
3,400 Calpine Corp. ................................... 311,100
1,200 Cleco Corporation ............................... 38,400
1,700 CMP Group Inc. .................................. 48,025
5,900 Connectiv, Inc.* ................................ 84,075
9,800 DPL Inc. ........................................ 210,700
4,500 DQE, Inc. ....................................... 209,250
7,449 Energy East Corp. ............................... 156,442
1,700 Hawaiian Electric Inds .......................... 48,981
2,200 Idacorp Inc. .................................... 70,125
4,100 Kansas City Power & Light ....................... 94,300
8,100 LG&E Energy Corp. ............................... 179,719
3,740 Midamerican Energy Co. .......................... 129,498
3,800 Minnesota Power & Light ......................... 58,188
6,400 Montana Power Co. ............................... 252,000
3,640 New England Electric Sys ........................ 196,560
7,184 NI Source, Inc. ................................. 92,943
8,400 Northeast Utilities* ............................ 158,025
5,300 OGE Energy Corp. ................................ 91,094
6,933 Potomac Electric Power Co. ...................... 140,827
2,300 Public Ser. Co. N.Mexico ........................ 35,363
5,327 Puget Sound Power & Light ....................... 108,205
3,943 SCANA Corp. ..................................... 93,893
4,874 Sierra Pacific Resources ........................ 66,408
8,000 Teco Energy, Inc. ............................... 144,000
5,100 Utilicorp United, Inc. .......................... 83,513
7,400 Wisc. Energy Corp. .............................. 130,888
------------
3,572,688
GAS (1.18%)
3,300 AGL Resources ................................... 56,306
1,600 Indiana Energy, Inc. ............................ 26,100
8,570 Keyspan Energy Corp. ............................ 174,614
4,900 MCN Energy Group, Inc. .......................... 117,906
8,410 Noble Drilling Corp.* ........................... 302,760
2,500 Washington Gas Light Co. ........................ 59,688
------------
737,374
TELEPHONE (1.39%)
3,000 Blyth Industries, Inc. .......................... 67,313
13,100 Broadwing, Inc. ................................. 388,906
3,900 Telephone & Data ................................ 411,450
------------
867,669
Total Utility ................................... 5,177,731
------------
SERVICE (3.77%)
DISTRIBUTOR (0.46%)
2,700 Alexander & Baldwin, Inc. ....................... 55,266
5,700 American W.W., Inc. ............................. 114,000
900 Scholastic Corp.* ............................... 46,631
3,269 Tech Data Corp. * ............................... 70,896
------------
286,793
BUSINESS (2.18%)
8,200 Convergys Corp. ................................. 315,700
7,050 Fiserv, Inc.* ................................... 192,113
5,000 Jabil Circuits, Inc. ............................ 347,188
2,200 Kelly Services, Inc. Cl. A ...................... 52,938
5,400 ManPower, Inc. .................................. 176,513
4,750 Olsten Corp. .................................... 56,703
5,208 Robert Half Intl.* .............................. 220,038
------------
1,361,193
20
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
CONSUMER (0.38%)
4,415 Nova Corp/Georgia ............................... $ 101,821
2,300 Rollins, Inc. ................................... 37,231
3,800 Sotheby's ....................................... 74,813
5,500 Stewart Enterprises, Inc. ....................... 23,375
------------
237,240
MISCELLANEOUS (0.75%)
5,700 Apollo Group Inc. ............................... 130,031
7,200 Dynegy, Inc. .................................... 337,500
------------
467,531
Total Service ................................... 2,352,757
------------
TRANSPORTATION (1.04%)
AIR TRANSPORTATION (0.22%)
2,600 Airbourne Freight Corp. ......................... 48,100
1,700 Alaska Airgroup, Inc.* .......................... 45,050
3,000 Swift Transportation, Inc. ...................... 44,438
------------
137,588
RAILROAD (0.39%)
3,100 Gatx Corp. ...................................... 96,488
3,300 Ogden Corp. ..................................... 37,538
8,720 Whitman Corp. ................................... 109,000
------------
243,026
TRUCKING (0.21%)
1,400 Arnold Inds., Inc. .............................. 16,538
2,700 Consolidated Freightways ........................ 86,569
2,500 Hunt (J.B.)* .................................... 28,750
------------
131,857
MISCELLANEOUS (0.22%)
1,900 Overseas Shipholding Grp ........................ 39,544
5,624 U.S. Foodservice, Inc.* ......................... 99,475
------------
139,019
Total Transportation ............................ 651,490
------------
MANUFACTURING (7.06%)
CONSUMER DURABLE (0.14%)
2,200 Suiza Foods Corp. ............................... 86,075
------------
BUILDING & HOUSING (0.19%)
2,374 Southdown, Inc. ................................. 117,810
------------
CHEMICAL (1.74%)
4,100 Airgas, Inc.* ................................... 28,444
3,600 Albemarle Corp. ................................. 54,225
4,300 Cabot Corp. ..................................... 95,138
7,778 Crompton & Knowles Corp. ........................ 82,641
2,900 Cytec Inds.* .................................... 70,325
1,300 Dexter Corp. .................................... 59,963
5,200 Ethyl Corp. ..................................... 16,575
2,300 Ferro Corp. ..................................... 43,413
800 Fuller (H.B.) Corp. ............................. 49,100
2,400 Georgia Gulf Corp. .............................. 54,600
7,000 IMC Global, Inc. ................................ 94,500
6,200 Iowa Beef Processing ............................ 77,500
3,600 Lubrizol Corp. .................................. 89,325
7,000 Lyondell Petrochemical .......................... 59,938
500 NCH Corp. ....................................... 19,813
5,718 RPM, Inc. Ohio .................................. $ 57,180
2,400 Schulman (A.), Inc. ............................. 31,800
7,318 Solutia, Inc. ................................... 101,080
------------
1,085,560
DIVERSIFIED ( 0.14%)
1,000 Nordson Corp. ................................... 38,750
3,200 Olin Corp. ...................................... 49,600
------------
88,350
CAPITAL GOOD (0.21%)
3,200 Harsco Corp. .................................... 79,400
1,600 Kennametal, Inc. ................................ 37,200
1,400 Magnetek, Inc.* ................................. 12,075
------------
128,675
PAPER & FOREST PRODUCT (1.17%)
3,600 Bowater, Inc. ................................... 177,075
1,300 Chesapeake Corp. ................................ 28,844
6,000 Consolidated Papers ............................. 227,625
5,550 Georgia Pacific Co Timber* ...................... 122,447
3,400 Longview Fibre Co. .............................. 46,325
2,200 Pentair, Inc. ................................... 75,625
3,742 Wausau Paper Mills Co. .......................... 48,880
------------
726,821
MINING AND MINERAL (0.30%)
3,400 AK Steel Holding Corp. .......................... 28,263
1,200 Carpenter Technology ............................ 26,700
3,175 Hanna (M.A.) Co. ................................ 36,314
400 Maxxam, Inc.* ................................... 11,750
1,500 Minerals Technology, Inc. ....................... 60,844
1,600 Oregon Steel Mills, Inc. ........................ 6,600
1,258 Ryerson Tull, Inc. .............................. 16,669
------------
187,140
CONTAINER (0.22%)
600 Cleveland Cliffs Corp. .......................... 14,963
6,762 Sonoco Products, Inc. ........................... 124,674
------------
139,637
COMPUTER (0.89%)
3,500 CDW Computer Centers ............................ 192,063
4,800 Legato Systems Inc. ............................. 171,000
10,530 Quantum Corp.* .................................. 109,249
6,548 Storage Tech. Corp.* ............................ 83,487
------------
555,799
NON-FERROUS METAL (0.07%)
3,400 Federal Mogul Corp. ............................. 46,325
------------
MISCELLANEOUS (1.99%)
4,400 American Standard Co.* .......................... 153,450
4,060 Hillenbrand Industries .......................... 123,323
5,550 International Game Tech ......................... 98,859
1,800 Kaydon Corp. .................................... 41,400
6,957 Novellus Systems, Inc. .......................... 412,637
3,800 Waters Corp. .................................... 372,638
2,200 Wellman, Inc. ................................... 40,975
------------
1,243,282
Total Manufacturing ............................. 4,405,474
------------
TECHNOLOGY (30.20%)
OFFICE EQUIPMENT (0.18%)
4,500 Diebold ......................................... 110,250
------------
21
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
ELECTRONIC (3.34%)
5,574 Arrow Electronics, Inc.* ........................ $ 168,614
2,427 Avnet, Inc. ..................................... 162,306
4,980 Harris Corp. .................................... 158,738
3,000 Litton Inds.* ................................... 89,813
3,792 Sanmina Corp. ................................... 443,901
2,300 Sawtek, Inc. .................................... 110,400
8,868 SCI Systems Inc.* ............................... 356,937
4,900 Sensormatic Elect. Corp.* ....................... 93,100
5,250 Symbol Technologies, Inc. ....................... 499,406
------------
2,083,215
BIOTECHNOLOGY (1.52%)
1,900 Beckman Coulter, Inc. ........................... 91,438
11,212 Chiron Corp.* ................................... 560,600
5,130 Genzyme Corp.* .................................. 294,654
------------
946,692
SOFTWARE (11.28%)
14,340 Cadence Design Sys., Inc.* ...................... 285,904
3,700 Cambridge Tech Partners ......................... 55,500
3,600 Electronic Arts* ................................ 360,000
10,100 Informix Corp.* ................................. 161,600
11,100 Intuit Inc. ..................................... 582,750
5,400 R&R Cl. A ....................................... 149,175
11,000 Siebel Systems Inc. ............................. 1,525,563
5,666 Sterling Commerce, Inc.* ........................ 248,242
4,934 Sterling Software, Inc.* ........................ 177,007
4,900 Sybase, Inc. .................................... 122,806
2,600 Sykes Corp. ..................................... 42,413
3,000 Symantec Corp.* ................................. 214,313
1,800 Transaction Systems Archit A .................... 81,225
15,300 Veritas Software Corp. .......................... 3,027,488
------------
7,033,986
BUSINESS MACHINES & SOFTWARE (1.79%)
5,327 Axiom Corp. ..................................... 153,817
4,800 Borders Group* .................................. 59,100
1,525 Granite Construction, Inc. ...................... 38,030
2,600 Imation Corp.* .................................. 80,438
7,981 Network Associates, Inc. ........................ 242,922
5,300 Rational Software Corp. ......................... 376,963
4,109 Synopsys, Inc.* ................................. 164,103
------------
1,115,373
BUSINESS SERVICES (0.27%)
3,100 Affiliated Computer Services-A .................. 97,650
2,300 Policy Mgmt. Sys. Corp.* ........................ 20,413
3,200 Sylvan Learning Systems, Inc. ................... 47,600
------------
165,663
SEMICONDUCTOR (9.94%)
12,240 Altera Corp.* ................................... 976,140
12,800 Atmel Corp.* .................................... 633,600
6,460 Cypress Semiconductor* .......................... 294,738
9,800 Linear Technology Corp. ......................... 1,028,388
16,200 Maxim Integrated Prod.* ......................... 1,082,363
4,699 Microchip Tech* ................................. 293,425
4,400 Qlogic Corp. .................................... 686,400
2,200 Triquint Semiconductor .......................... 261,250
9,088 Vitesse Semiconductor ........................... 943,448
------------
6,199,752
TELECOMMUNICATIONS (0.68%)
2,600 Adtran, Inc.* ................................... 191,256
1,444 Comsat Corp. .................................... $ 24,277
1,800 Polycom* ........................................ 209,363
------------
424,896
AEROSPACE/AIRCRAFT (0.16%)
4,306 Meritor Automative, Inc.* ....................... 60,284
1,550 Precision Castparts ............................. 40,009
------------
100,293
TELECOM EQUIPMENT (0.11%)
2,100 Cordant Tech., Inc. ............................. 67,988
------------
MISCELLANEOUS (0.94%)
12,200 Amer. Pwr. Conv. Corp.* ......................... 414,038
4,270 Keane, Inc.* .................................... 102,480
4,200 Mentor Graphics* ................................ 71,925
------------
588,443
Total Technology ................................ 18,836,551
------------
ENERGY (4.89%)
OIL & GAS-DOMESTIC (1.53%)
4,290 Devon Energy Corp. .............................. 159,802
3,140 Helmerich & Payne ............................... 83,603
3,000 Murphy Oil Corp. ................................ 151,875
2,200 National Fuel Gas Co. ........................... 90,063
10,319 Ocean Energy, Inc.* ............................. 110,284
3,394 Pennzoil-Quaker State Co. ....................... 29,697
6,200 Pioneer Nat. Resources* ......................... 51,522
5,500 Questar ......................................... 76,656
11,121 Snata Fe Snyder Corp. ........................... 83,407
5,500 Ultramar D. Shamrock ............................ 119,281
------------
956,190
OIL & GAS SERVICE (2.81%)
4,800 BJ Services* .................................... 273,888
9,000 Ensco Intl., Inc. ............................... 272,250
11,100 Global Marine, Inc.* ............................ 249,056
1,800 Hanover Compressor Co. .......................... 84,488
7,706 Nabors Industries* .............................. 276,453
2,700 Smith International, Inc.* ...................... 169,256
3,900 Tidewater, Inc. ................................. 110,409
4,100 Varco Intl., Inc.* .............................. 45,356
6,056 Weatherford Int'l ............................... 272,520
------------
1,753,676
NATURAL GAS (0.38%)
4,246 K N Energy, Inc. ................................ 118,357
6,566 RJ Reynolds Tabacco Hldgs ....................... 118,188
------------
236,545
MISCELLANEOUS (0.17%)
500 Sequa Corp.* .................................... 18,530
3,400 Valero Energy Corp. ............................. 86,700
------------
105,230
Total Energy .................................... 3,051,641
------------
Total Common Stock
(cost $46,128,317) ............................ 56,486,894
------------
22
<PAGE>
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Par
Value
-----
SHORT-TERM INVESTMENTS (2.19%) VALUE
UNITED STATES TREASURY BILLS -----
$ 950,000 4.90% 03/16/00 (b) .............................. $ 4,689,865
171,855 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ......... 588,489
5,083 FIRSTAR GOVERNMENT MONEY MARKET FUND ............ 374,006
------------
Total Short-Term Investments (Cost $5,652,360) .. 5,652,360
------------
Total Investments (Cost $51,780,677) (99.94%) ... 62,139,254
Other Net Assets (0.06%) ........................ 238,866
------------
Net Assets (100.00%) ............................ $ 62,378,120
============
- ------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $51,780,677. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ 20,942,793
Unrealized depreciation ........................ (10,584,216)
------------
Net unrealized appreciation .................... $ 10,358,577
============
(b) At February 29, 2000, certain United States Treasury Bills with a market
value of $997,680 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2000: (Contracts-$500 times
premium/delivery month/commitment)
Unrealized
Appreciation
------------
S&P MidCap 400 Index:
25/March 00/Long ................................ $ 315,775
============
See accompanying notes to financial statements
23
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
COMMON STOCK (89.64%)
CAPITAL GOODS (5.71%)
PRODUCTION (0.26%)
550 Foster Wheeler Corp. ............................ $ 3,094
490 Gardner Denver, Inc. ............................ 9,310
548 Graco, Inc. ..................................... 16,543
340 Republic Group .................................. 3,698
------------
32,645
MACHINERY - AGRICULT & CONST (0.29%)
470 Astec Industries Inc. ........................... 12,514
469 Lindsay Manufacturing Co. ....................... 7,883
1,200 Masco Tech, Inc. ................................ 16,800
------------
37,197
MACHINERY-INDUSTRIAL (1.19%)
623 Applied Industrial Tech ......................... 11,292
697 BMC Industries, Inc. ............................ 3,833
1,000 JLG Industries, Inc. ............................ 9,000
500 Lawson Products ................................. 11,250
1,275 PAXAR Corp.* .................................... 12,670
356 Robbins & Myers ................................. 6,720
500 Speacialty Equipment Co. ........................ 8,688
1,200 Steel Dynamics, Inc. ............................ 18,450
444 Technitrol ...................................... 20,813
1,076 Vicor Corp.* .................................... 24,479
1,600 Watts Industries ................................ 23,200
------------
150,395
POLLUTION CONTROL (0.08%)
372 Ionics, Inc.* ................................... 10,602
------------
ENGINEERING & CONSTRUCTION (0.52%)
525 CDI Corp.* ...................................... 9,581
657 Manitowoc Company, Inc. ......................... 17,698
2,803 Morrison Knudson Corp.* ......................... 19,271
600 Polaris Industries, Inc. ........................ 18,375
------------
64,925
ELECTRICAL EQUIPMENT (3.12%)
481 Adaptive Broadband Corp. ........................ 55,329
600 Audiovox Corp. .................................. 38,820
694 Belden, Inc. .................................... 15,702
320 Benchmark Elec. Inc. ............................ 10,120
770 Cable Design Tech.* ............................. 17,806
788 CTS Corp. ....................................... 50,826
900 Dycom Industries ................................ 45,000
310 Harmon Industries Inc. .......................... 4,340
1,394 Intl. Rectifier Corp.* .......................... 58,374
762 Pioneer Standard Elec ........................... 14,002
453 Plexus Corp.* ................................... 25,580
800 SLI, Inc. ....................................... 9,750
757 Trimble Navigation Ltd.* ........................ 18,168
750 Varian Medical Systems, Inc. .................... 29,953
------------
393,770
TRANSPORTATION EQUIPMENT (0.07%)
622 Wabash Natl. Corp. .............................. 8,708
------------
CONGLOMERATE (0.14%)
560 Scott Technolgies Inc. .......................... $ 10,780
850 Tenneco Automotive, Inc. ........................ 6,269
------------
17,049
WASTE MANAGEMENT(0.04%)
400 URS Corp. ....................................... 5,450
------------
Total Capital Goods ............................. 720,741
------------
CONSUMER CYCLICAL (6.11%)
OPTICAL PHOTO EQUIPMENT (0.10%)
1,086 X-Rite, Inc. .................................... 13,032
------------
HOUSING (0.48%)
1,000 Linens `N Things* ............................... 19,688
480 MDC Holdings Inc. ............................... 7,290
1,170 Oakwood Homes Corp. ............................. 2,995
535 The Ryland Group, Inc. .......................... 9,496
280 Skyline Corp. ................................... 6,020
887 Toll Bros., Inc.* ............................... 14,746
------------
60,235
BUILDING MATERIAL (0.66%)
520 ABM Industries, Inc. ............................ 13,098
990 Apogee Enterprises, Inc. ........................ 4,579
495 Elcor Corp. ..................................... 16,582
736 Geon Co. ........................................ 15,364
1,012 Justin Industries, Inc. ......................... 18,279
512 Texas Industries, Inc. .......................... 15,360
------------
83,262
AUTO & TRUCK (0.47%)
1,011 Applied Power, Inc. CL A ........................ 24,454
400 Coachmen Industries, Inc. ....................... 4,800
500 Monoco Coach Corp. .............................. 9,000
705 Reliance Steel & Alum ........................... 13,659
535 Wynn's International, Inc. ...................... 7,122
------------
59,035
AUTO PART (1.14%)
505 A.O. Smith Corp. ................................ 8,711
764 Clarcor, Inc. ................................... 14,850
1,400 Copart, Inc. .................................... 29,442
2,086 Gentex Corp.* ................................... 60,950
1,148 O'Reilly Automotive, Inc.* ...................... 16,072
1,200 Tower Automotive ................................ 14,250
------------
144,275
MOBILE HOME (0.19%)
360 Thor Industries Inc. ............................ 9,201
660 Winnebago Industries ............................ 14,108
------------
23,309
APPLIANCE (0.26%)
1,451 Fedders Corp. ................................... 7,617
1,350 Interface, Inc. ................................. 6,075
1,268 Lennox International, Inc. ...................... 12,046
24
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
230 National Presto Industries ...................... $ 7,274
------------
33,012
HOUSEHOLD PRODUCT (0.39%)
880 Aptargroup, Inc. ................................ 21,065
500 Department 56, Inc. ............................. 7,063
1,000 Enesco Group, Inc. .............................. 7,250
300 Salton, Inc. .................................... 14,138
------------
49,516
TEXTILE & APPAREL (0.65%)
711 Brown Group ..................................... 7,465
470 Cascade Natural Gas Corp. ....................... 6,786
532 G & K Services Inc., CL A ....................... 9,044
831 Griffon Corp.* .................................. 6,960
541 Jo-Ann Stores Inc - CL A ........................ 4,869
663 Kellwood Co. .................................... 11,188
1,012 Nautica Enterprises, Inc.* ...................... 10,686
530 Oshkosh B Gosh .................................. 10,070
346 Oxford Industries, Inc. ......................... 5,752
374 Pillowtex Corp. ................................. 1,636
600 Quicksilver, Inc. ............................... 7,725
------------
82,181
SHOES (0.66%)
707 Footstar, Inc.* ................................. 17,454
750 Pacific Sunwear of Cal .......................... 19,078
794 The Timberland Co.* ............................. 34,043
1,111 Wolverine World Wide, Inc. ...................... 12,776
------------
83,351
RETAIL - GENERAL (0.93%)
600 Ames Department Stores .......................... 8,475
898 Cato Corp New CL A .............................. 8,980
500 Cost Plus, Inc. ................................. 9,280
565 Discount Auto Parts, Inc.* ...................... 6,144
556 The Dress Barn, Inc.* ........................... 8,062
816 Michaels Stores, Inc.* .......................... 22,134
2,545 Pier 1 Imports, Inc. ............................ 22,268
760 Shopko Stores, Inc.* ............................ 12,635
1,116 Stein Mart, Inc.* ............................... 4,810
439 The Toro Co. .................................... 14,542
------------
117,330
LODGING (0.18%)
975 Marcus Corp. .................................... 10,177
1,431 Prime Hospitality Corp.* ........................ 12,163
------------
22,340
Total Consumer Cyclical ......................... 770,878
------------
CONSUMER NON-DURABLE (19.14%)
HEALTH CARE (1.70%)
733 Bindley Western Inds ............................ 12,598
1,084 Bio-Technology General Corp. .................... 20,833
400 Cooper Co.* ..................................... 10,975
490 Datascope Corp.* ................................ 19,539
420 Diagnostic Products Corp. ....................... 9,660
710 Immune Response Corp. ........................... $ 11,005
730 Invacare Corp. .................................. 17,794
581 Mentor Corp. .................................... 16,122
1,813 NBTY, Inc.* ..................................... 25,490
1,201 Orthodontic Centers of Am* ...................... 20,789
881 Owens & Minor Hldg Co. .......................... 9,691
605 Priority Healthcare Corp B ...................... 29,040
475 Vital Signs, Inc. ............................... 11,014
------------
214,550
CONSUMER PRODUCT (0.36%)
485 Harman International ............................ 30,040
646 Russ Berrie & Co., Inc. ......................... 11,870
572 Sola International* ............................. 2,860
------------
44,770
FOOD, BEVERAGE & TOBACCO (1.98%)
300 Agribrands International ........................ 10,968
400 American Italian Pasta .......................... 9,124
1,752 Chiquita Brands Int'l ........................... 7,775
273 Coca-Coca Bottling .............................. 13,778
737 Consolidated Products ........................... 7,414
922 Corn Products Intl.* ............................ 21,722
350 Curative Health Services* ....................... 2,100
866 Dimon, Inc. ..................................... 2,111
1,122 Earthgrains Co. ................................. 16,830
1,103 Fleming Co., Inc. ............................... 17,028
500 Hain Food Group, Inc. ........................... 18,375
700 Instituform Tech. CL A .......................... 19,775
280 J&J Snack Foods ................................. 5,163
500 Nash-Finch Co. .................................. 3,938
561 Natures Sunshine Prod., Inc. .................... 5,890
400 Performance Food Group .......................... 9,500
800 Ralcorp Holdings, Inc.* ......................... 11,950
413 Schweitzer-Mauduit, Inc. ........................ 5,627
936 Smithfield Foods, Inc.* ......................... 14,508
737 Titan Intl., Inc. ............................... 5,435
820 Triarc Co.* ..................................... 15,529
654 Whole Foods Market, Inc.* ....................... 24,832
------------
249,372
RETAIL - FOOD AND DRUGS (0.11%)
1,404 Casey's General Stores .......................... 11,759
832 The Sports Authority, Inc..* .................... 1,714
------------
13,473
COMMUNICATIONS & MEDIA (0.93%)
1,110 Advo, Inc.* ..................................... 30,802
340 CPI Corp. ....................................... 8,373
253 GC Companies* ................................... 8,586
1,128 Ha-Lo Industries, Inc.* ......................... 11,985
700 Information Resources ........................... 5,467
1,500 Valassis Communication* ......................... 41,531
410 Volt Info Sciences, Inc.* ....................... 10,865
------------
117,609
ENTERTAINMENT & LEISURE (2.45%)
400 Action Performance Cos., Inc. ................... 3,624
25
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
300 Anchor Gaming ................................... $ 12,488
1,243 Aztar Corp.* .................................... 11,809
430 Carmike Cinemas Inc.* ........................... 3,359
875 Incyte Pharmaceuticals .......................... 241,115
1,084 Jack in the Box, Inc. ........................... 21,748
865 Pinnacle Entertainment, Inc. .................... 14,921
------------
309,064
APPAREL (0.87%)
933 99 Cents Only Stores ............................ 23,383
689 Ann Taylor* ..................................... 13,134
750 Fossil, Inc. .................................... 17,016
800 Goody's Family Clothing* ........................ 5,600
752 Guilford Mills, Inc. ............................ 6,956
668 Gymboree Corp.* ................................. 3,131
1,673 Hartmax Corp.* .................................. 5,333
860 Mens Wearhouse, Inc.* ........................... 19,968
1,141 Phillips Van Heusen Corp. ....................... 7,916
1,396 Stride Rite Corp. ............................... 7,678
------------
110,115
DRUGS (4.08%)
550 Barr Laboratories Inc. .......................... 26,194
734 Cor Therapeutics, Inc.* ......................... 65,785
582 Cygnus, Inc.* ................................... 10,731
1,300 Dura Pharmaceuticals, Inc. ...................... 18,038
1,300 IDEC Pharmaceuticals Corp. ...................... 183,138
1,283 Jones Pharmacy, Inc. ............................ 92,055
1,016 Liposome Co., Inc.* ............................. 13,653
700 Medicis Pharmaceutical CL-A ..................... 35,306
751 N. American Vaccine, Inc.* ...................... 4,177
600 Noven Pharmaceuticals ........................... 8,663
624 Parexel Intl. Corp.* ............................ 8,502
669 Vertex Pharm., Inc.* ............................ 48,586
------------
514,828
HOSPITAL SUPPLY & SERVICE (1.86%)
500 ADAC Laboratories* .............................. 6,219
650 Coherent, Inc.* ................................. 68,900
1,009 eLoyalty Corp. .................................. 30,838
1,028 Indexx Laboratories, Inc.* ...................... 30,390
851 Patterson Dental Co.* ........................... 30,663
390 Pediatrix Med. Grp., Inc.* ...................... 3,071
1,035 Renal Care Group, Inc.* ......................... 18,177
400 ResMed Inc. ..................................... 29,850
852 Respironics* .................................... 11,981
899 Sunrise Medical* ................................ 3,877
------------
233,966
LIQUOR (0.29%)
500 Beringer Wine Estates - B ....................... 18,031
387 Canadaigua Wine Co., Inc.* ...................... 18,963
------------
36,994
PRINTING & PUBLISHING (0.24%)
900 Fleetwood Enterprises ........................... 13,894
1,002 Bowne & Co., Inc. ............................... 11,961
600 Gibson Greetings, Inc.* ......................... 4,838
------------
30,693
RESTAURANT (1.12%)
751 Applebee's Intl., Inc. .......................... $ 21,145
763.5 CEC Entertainment, Inc.* ........................ 17,370
628 Cheesecake Factory .............................. 18,683
1,285 CKE Restaurants, Inc. ........................... 8,192
582 IHOP Corp.* ..................................... 8,985
764 Landry's Seafood Rest.* ......................... 5,396
879 Luby's Cafeterias, Inc. ......................... 9,175
500 Michael Foods Inc. .............................. 10,938
1,004 Ruby Tuesday, Inc. .............................. 17,005
1,141 Ryan's Family Steak House* ...................... 10,911
572 Sonic Corp.* .................................... 13,871
------------
141,671
BUSINESS SERVICE (2.07%)
652 BISYS Group, Inc.* .............................. 33,619
524 Catalina Marketing Corp.* ....................... 44,606
1,381 Ciber, Inc.* .................................... 32,108
670 Harland, John H. Co. ............................ 10,343
883 National Data Corp. ............................. 27,373
550 Prepaid Legal Srvs., Inc.* ...................... 15,469
4,000 Cnyder Communications, Inc. ..................... 97,000
------------
260,518
OFFICE PRODUCT (0.26%)
474 New England Bus. Srvc ........................... 8,976
900 United Stationers, Inc. ......................... 24,188
------------
33,164
HEALTH CARE SERVICE (0.72%)
600 Advance Paradigm, Inc. .......................... 14,194
1,604 Coventry Health Care, Inc.* ..................... 13,133
500 Hanger Orthopedic Group, Inc. ................... 2,406
726 Magellan Health Srvs., Inc.* .................... 4,265
735 Sierra Health Srvs., Inc.* ...................... 4,502
1,200 Summit Technology, Inc. ......................... 9,000
820 Universal Hlth Srvs-B* .......................... 31,878
400 Wesley Jessen VissionCare ....................... 11,500
------------
90,878
HEALTH & BEAUTY AIDS (0.10%)
832 Regis Corp. ..................................... 12,896
------------
Total Consumer Non-Durable ...................... 2,414,561
------------
BANKING & FINANCIAL SERVICE (8.34%)
BANK & BANK HOLDING CO. (3.75%)
700 BankNorth Group, Inc. ........................... 13,256
580 Carolina First Corp. ............................ 9,208
641 Centura Banks, Inc. ............................. 21,634
687 Chemfirst, Inc. ................................. 13,397
700 Chittenden Corp. ................................ 17,806
691 Commerce Bank Corp. ............................. 23,235
1,200 Community First Bankshares ...................... 16,800
1,270 Cullen/Frost Bankers, Inc. ...................... 27,305
756 Firstbank Puerto Rico ........................... 12,852
1,068 First Midwest Bancorp Inc./IL ................... 26,633
26
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
1,108 Hubco, Inc. ..................................... $ 22,368
1,100 MAF Bancorp, Inc. ............................... 18,700
600 Mercury Computer Systems, Inc. .................. 28,913
630 Provident Bankshares Corp. ...................... 10,159
450 Queens County Bancorp ........................... 8,550
948 Riggs Natl Corp. ................................ 9,450
560 Silicon Valley Bancshares* ...................... 44,380
1,000 Staten Island Bancorp, Inc. ..................... 16,625
1,314 Trustco Bank Corp. NY ........................... 14,577
573 U.S. Trust Corp. ................................ 79,361
1,000 United Bankshares, Inc. ......................... 18,313
596 Whitney Holding Co. ............................. 19,445
------------
472,967
SAVINGS & LOAN (0.85%)
400 Anchor Bancorp WI, Inc. ......................... 5,375
1,535 Commercial Federal Corp. ........................ 19,859
783 Downey Financial Corp. .......................... 15,415
1,000 RSA Security, Inc. .............................. 66,938
------------
107,587
FINANCE COMPANIES (0.11%)
681 Pioneer Group, Inc. ............................. 13,663
------------
INVESTMENT COMPANIES (1.19%)
346 Dain Rauscher Corp. ............................. 19,506
1,030 Eaton Vance Corp. ............................... 42,681
400 National Discount Brokers ....................... 18,025
1,245 Raymond James Fncl. Corp. ....................... 24,589
509 SEI Investments Co. ............................. 45,460
------------
150,261
INSURANCE (1.15%)
300 Blanch E W Holdings ............................. 14,100
507 Delphi Financial Group, Inc.* ................... 13,372
1,010 Enhance Fncl. Svcs. Grp ......................... 11,868
716 Fidelity National Fin., Inc. .................... 8,995
1,674 Fremont General Corp. ........................... 12,137
906 Frontier Insurance Group ........................ 1,699
429 Gallagher, Arthur J & Co. ....................... 21,933
971 Mutual Risk Mgmt., Ltd. ......................... 13,351
300 RLI Corp. ....................................... 8,944
300 SCPIE Holdings, Inc. ............................ 9,469
737 Selective Insurance Group ....................... 11,377
418 Trenwick Group, Inc. ............................ 5,512
600 Zenith Ntnl. Ins. Corp. ......................... 12,675
------------
145,432
REAL ESTATE (0.32%)
1,497 First American Finl.Corp ........................ 17,403
670 Macdermid, Inc. ................................. 22,906
------------
40,309
FINANCIAL SERVICE (0.97%)
1,540 Americredit Corp.* .............................. 21,368
792 Cash American Intl., Inc. ....................... 8,910
400 Investors Financial Services, Inc. .............. 16,200
500 Jefferies Group, Inc. ........................... 11,688
510 Primark Corp.* .................................. $ 11,252
961 Radian Group, Inc. .............................. 33,335
1,050 The Profit Recovery Group I'ntl ................. 19,425
------------
122,178
Total Banking & Financial Service ............... 1,052,397
------------
UTILITY (3.13%)
ELECTRIC (1.87%)
612 Eastern Utilities Assoc ......................... 19,010
1,600 Micrel Inc. ..................................... 184,400
403 TNP Enterprises, Inc. ........................... 17,405
375 United Illuminating Co. ......................... 15,234
------------
236,049
GAS (0.58%)
728 Atmos Energy, Inc. .............................. 12,467
435 CH Energy Group, Inc. ........................... 12,425
722 Piedmont Natural Gas ............................ 17,870
1,192 Southwestern Energy Co. ......................... 8,344
1,496 Vintage Petroleum, Inc. ......................... 21,692
------------
72,798
TELEPHONE (0.04%)
914 Billing Concepts Corp.* ......................... 5,370
------------
WATER (0.53%)
280 American States Water Co. ....................... 7,543
1,039 Philadelphia Suburban Corp. ..................... 19,222
1,147 UWR, Inc. ....................................... 39,930
------------
66,695
MISCELLANEOUS(0.11%)
600 Northwestern Corp. .............................. 13,575
------------
Total Utility ................................... 394,487
------------
SERVICE (4.21%)
DISTRIBUTOR (0.42%)
300 Aviation Sales Company .......................... 2,231
559 Hughes Supply, Inc. ............................. 9,992
774 Kent Electronics Corp.* ......................... 26,219
667 Microage* ....................................... 2,293
300 Syncor Intl Corp. ............................... 7,350
445 United Natural Foods, Inc. ...................... 4,589
------------
52,674
POLLUTION CONTROL (0.04%)
530 IMCO Recycling .................................. 5,267
------------
BUSINESS (2.73%)
600 Avid Tech Inc.* ................................. 10,538
420 Hilb, Rogal & Hamilton Co. ...................... 11,944
800 Hooper Holmes, Inc. ............................. 24,600
1,894 Interim Services, Inc.* ......................... 47,232
480 Kroll-O'Gara Co. ................................ 7,980
1,088 Labor Ready, Inc. ............................... 9,044
400 Lason Holdings, Inc. ............................ 3,413
27
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
500 MAXIMUS, Inc. ................................... $ 17,094
820 Medquist Inc. ................................... 21,115
1,800 Mercury Interactive Corp.* ...................... 173,475
800 Staffmark, Inc. ................................. 9,000
2,180 US Oncology, Inc. ............................... 8,993
------------
344,428
ENVIRONMENTAL SERVICES (0.18%)
875 Tetra Tech Inc. ................................. 21,930
------------
MISCELLANEOUS (0.84%)
437 Bassett Furniture Inds., Inc. ................... 5,900
769 Central Parking Corp. ........................... 11,391
610 NFO Worldwide Inc. .............................. 10,828
448 Stone & Webster, Inc. ........................... 5,712
344 Tetra Technologies, Inc.* ....................... 3,096
1,438 True North Comms ................................ 53,206
971 Tuboscope, Inc.* ................................ 16,204
------------
106,337
Total Service ................................... 530,636
------------
TRANSPORTATION (2.08%)
AIR TRANSPORTATION (0.90%)
500 Atlantic Coast Airline Hldgs .................... 8,938
1,400 EGL, Inc. ....................................... 39,375
1,260 Expeditors Intl Wash, Inc. ...................... 47,565
820 Mesa Air Group Inc. ............................. 4,869
500 Midwest Express Holdings ........................ 12,906
------------
113,653
TRUCKING (0.94%)
749 American Freightways Corp.* ..................... 8,145
1,107 Fritz Companies, Inc.* .......................... 9,271
810 Heartland Express, Inc.* ........................ 11,568
295 Landstar* ....................................... 16,575
409 M S Carriers, Inc.* ............................. 9,049
1,489 Rollins Truck Leasing ........................... 12,470
675 US Freightways Corp. ............................ 22,444
1,263 Werner Enterprises, Inc. ........................ 16,893
716 Yellow Corp.* ................................... 11,456
------------
117,871
MISCELLANEOUS (0.24%)
723 AAR Corp. ....................................... 17,171
691 Kirby Corp.* .................................... 13,388
------------
30,559
Total Transportation ............................ 262,083
------------
MANUFACTURING (14.33%)
CONSUMER DURABLE (1.04%)
1,095 Ethan Allen Interiors, Inc. ..................... 25,527
683 Intermet Corp. .................................. 7,684
429 K2, Inc. ........................................ 3,030
1,518 La-Z-Boy Chair Co. .............................. 25,237
830 Scotts Company Class A* ......................... 26,975
300 Simpson Manufacturing ........................... $ 12,713
390 Standard Motor Products ......................... 5,289
703 Sturm Ruger & Co., Inc. ......................... 6,854
440 Thomas Industries Inc. .......................... 8,250
600 Windmere-Durable Holdings ....................... 9,000
------------
130,559
BUILDING & HOUSING (0.56%)
323 Butler Manufacturing ............................ 8,176
1,136 Champion Enterprises, Inc.* ..................... 7,171
1,350 D.R. Horton, Inc. ............................... 15,188
500 Florida Rock Inds ............................... 16,656
923 Standard Pacific Corp. .......................... 9,807
400 U.S. Home Corp.* ................................ 13,700
------------
70,698
CHEMICAL (1.78%)
616 Brady Corp. ..................................... 16,709
670 Cambrex Corp. ................................... 26,884
341 Chemed Corp. .................................... 10,038
800 IDEX Corp. ...................................... 19,800
738 Lilly Industries, Inc. .......................... 10,470
350 McWhorter Tech. Inc. ............................ 4,856
821 Mississippi Chem. Corp. ......................... 6,158
592 OM Group, Inc. .................................. 22,052
650 Omnova Solutions, Inc. .......................... 4,266
989 Regeneron Pharm.* ............................... 55,879
690 Simpson Industries .............................. 6,943
636 Skywest, Inc. ................................... 18,881
862 Susquehanna Bankshares, Inc. .................... 12,607
496 W D-40 Co. ...................................... 9,176
------------
224,719
DIVERSIFIED (1.09%)
1,068 Kemet Corp.* .................................... 65,615
637 Kulicke & Soffa Ind.* ........................... 50,642
646 SPS Technologies, Inc.* ......................... 21,116
------------
137,373
CAPITAL GOOD (0.35%)
582 Barnes Group, Inc. .............................. 8,257
454 Standex International Corp. ..................... 7,179
1,023 Tredegar Industries, Inc. ....................... 28,900
------------
44,336
PAPER & FOREST PRODUCT (0.57%)
1,014 Buckeye Tech, Inc.* ............................. 16,161
604 Caraustar Industries ............................ 10,042
300 Deltic Timber Corp. ............................. 6,675
260 Kimberly Clark .................................. 13,439
981 Pope & Talbot, Inc. ............................. 18,762
601 Universal Forest Products ....................... 7,137
------------
72,216
METAL & MINERAL (1.24%)
330 AMCAST Ind ...................................... 3,939
933 AMCOL Intl. Corp. ............................... 14,695
926 Baldor Electric Co. ............................. 14,990
600 Brush Wellman Inc. .............................. 10,050
519 Castle (A.M.) & Co. ............................. 6,617
28
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
570 Commercial Metals Co. ........................... $ 15,746
577 Myers Industries, Inc. .......................... 8,186
1,119 Pogo Producing Co. .............................. 25,877
910 Stillwater Mining Co.* .......................... 33,784
707 Valmont Industries .............................. 10,693
710 WHX Corp. ....................................... 5,769
459 Wolverine Tube, Inc.* ........................... 5,938
------------
156,284
CONTAINER (0.24%)
500 Conmed Corp. .................................... 13,750
823 Shorewood Packaging Corp.* ...................... 17,077
------------
30,827
COMPUTER (4.87%)
620 Alpha Industries, Inc. .......................... 90,016
1,100 Apex, Inc. ...................................... 49,363
1,197 C Cube Microsystems* ............................ 111,620
470 DBT Online, Inc. ................................ 8,989
1,077 Epicor Software Corp. ........................... 9,626
730 Factset Research Sys. Inc. ...................... 21,991
691 Gerber Scientific, Inc. ......................... 11,574
370 Hadco Corp.* .................................... 20,489
750 Intervoice Inc. ................................. 27,094
1,459 Komag, Inc.* .................................... 3,237
375 Kronos, Inc.* ................................... 23,813
1,300 Macromedia, Inc.* ............................... 112,369
1,033 Methode Electronics CL A ........................ 60,043
743 Network Equip. Tech., Inc.* ..................... 7,802
400 QRS Corp. ....................................... 37,750
891 Telxon Corp. .................................... 19,157
------------
614,933
NON-FERROUS METAL (0.30%)
398 Material Sciences* .............................. 5,746
998 Mueller Industries* ............................. 28,568
500 RTI International Metals, Inc. .................. 3,531
------------
37,845
GOLD & PRECIOUS METAL (0.50%)
734 Alpharma, Inc. Class A .......................... 25,415
563 Coeur D'Alene Mines* ............................ 1,900
934 Zale Corp.* ..................................... 35,142
------------
62,457
MISCELLANEOUS (1.79%)
600 Actel Corp. ..................................... 19,538
1,141 Arctic Cat, Inc. ................................ 11,553
759 Birmingham Steel Corp. .......................... 3,510
952 Delta & Pine Land Co. ........................... 17,077
684 Electro Scientific Inds., Inc.* ................. 38,774
357 Innovex, Inc. ................................... 3,369
440 Libbey Inc. ..................................... 11,825
405 Lydall, Inc.* ................................... 2,860
997 Midway Games Inc.* .............................. 14,768
400 Plantronics Inc. ................................ 31,775
529 Quanex Corp. .................................... 11,274
534 Regal-Beloit Corp. .............................. 9,512
788 Roper Industries, Inc. .......................... $ 21,473
900 Silicon Valley Group, Inc. ...................... 22,781
665 Watsco, Inc. .................................... 5,569
------------
225,658
Total Manufacturing ............................. 1,807,905
------------
TECHNOLOGY (23.68%)
OFFICE EQUIPMENT (0.46%)
525 Cybex Corp. ..................................... 24,413
788 Filenet Corp.* .................................. 33,736
------------
58,149
ELECTRONIC (2.99%)
300 American Xtal Technology ........................ 13,088
688 BE Aerospace, Inc.* ............................. 6,106
1,617 Burr-Brown Corp.* ............................... 94,898
310 C&D Technologies, Inc. .......................... 14,493
964 Checkpoint Systems, Inc.* ....................... 8,194
600 Cohu, Inc. ...................................... 33,825
640 Dionex Corp.* ................................... 20,200
662 Etec Systems, Inc.* ............................. 77,971
383 Itron, Inc.* .................................... 2,873
430 Micro Systems Inc. .............................. 23,811
900 Progress Software Corp. ......................... 22,444
1,320 Read-Rite Corp.* ................................ 4,991
441 Speedfam Intl., Inc.* ........................... 12,706
593 Ultratech Stepper, Inc.* ........................ 10,378
900 Valence Technology, Inc. ........................ 30,684
------------
376,662
BIO-TECHNOLOGY (3.03%)
1,086 Advanced Tissue Sciences* ....................... 8,281
1,094 Alliance Pharmaceutical* ........................ 19,692
600 Biomatrix ....................................... 17,625
861 Cephalon, Inc.* ................................. 57,230
834 Enzo Biochem, Inc.* ............................. 66,095
700 Organogenesis Inc. .............................. 10,500
630 Pharm. Product Dev.* ............................ 15,278
579 Protein Design Labs, Inc.* ...................... 144,859
500 Techne Corp. .................................... 42,891
------------
382,451
SOFTWARE (5.45%)
1,300 Aspen Technology, Inc. .......................... 58,175
300 Barra, Inc. ..................................... 10,509
848 Cerner Corp.* ................................... 30,051
700 Clarify, Inc. ................................... 101,019
1,079 Cognex Corp.* ................................... 47,409
540 Computer Task Group, Inc. ....................... 6,919
400 Concord Communications .......................... 17,900
900 Dendrite Intl. Inc. ............................. 22,163
400 Great Plains Software, Inc. ..................... 27,825
1,060 Harbinger Corp.* ................................ 33,986
770 HNC Software* ................................... 75,749
748 Inacom Corp. .................................... 2,525
29
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
600 Insight Enterprises ............................. $ 18,825
714 Inter Tel, Inc. ................................. 28,025
600 Project Software & Development .................. 46,463
900 Remedy Corp. .................................... 51,019
750 Saga Systems, Inc. .............................. 25,453
450 THQ, Inc. ....................................... 9,084
900 Verity, Inc. .................................... 48,038
620 Xircom, Inc.* ................................... 25,749
------------
686,886
BUSINESS - MECHANICS & SOFTWARE (2.33%)
816 Analogic Corp. .................................. 39,576
598 Analysts Intl. Corp. ............................ 7,924
1,000 Artesyn Technologies, Inc. ...................... 19,813
1,529 Commscope Inc.* ................................. 59,535
345 Fair Issac & Co, Inc. ........................... 16,840
503 Henry (Jack) & Assoc ............................ 35,147
540 Hutchinson Technology* .......................... 9,754
775 Hyperion Software Corp.* ........................ 38,266
1,237 National Instruments Corp.* ..................... 55,549
800 Theragenics Corp. ............................... 11,050
------------
293,454
BUSINESS - SERVICE (2.14%)
1,041 American Mgmt. Systems* ......................... 33,117
1,091 Anixter Intl.* .................................. 20,388
800 ChoicePoint, Inc. ............................... 30,150
339 Consolidated Graphics* .......................... 4,640
633 Franklin Covey Co.* ............................. 5,183
635 Helix Technology Corp. .......................... 45,164
1,700 Whitman-Hart* ................................... 77,138
803 Zebra Tech CL A* ................................ 53,450
------------
269,230
SEMICONDUCTOR (1.80%)
1,418 Dallas Semiconductor Corp. ...................... 57,252
1,406 Lattice Semiconductor Corp.* .................... 98,772
326 Park Electrochemical Corp. ...................... 7,417
649 Photronics, Inc.* ............................... 27,623
2,226 S3, Inc.* ....................................... 35,477
------------
226,541
TELECOMMUNICATION (3.40%)
1,401 Allen Telecom, Inc.* ............................ 19,264
1,448 Aspect Telecom. Corp.* .......................... 93,306
700 Auspex Systems, Inc. ............................ 9,056
400 Black Box Corp. ................................. 29,925
1,313 Brightpoint Inc.* ............................... 16,905
300 C-COR.Net Corp. ................................. 13,416
1,693 Digital Microwave Corp.* ........................ 56,504
500 F.Y.I. Inc. ..................................... 14,875
1,702 General Communication* .......................... 11,276
1,860 P Com, Inc.* .................................... 33,945
984 Picturetel Corp.* ............................... 7,442
600 Powerwave Technologies, Inc. .................... 95,925
381 Symmetricom, Inc.* .............................. 5,239
1,329 Talk.Com, Inc. .................................. $ 22,427
------------
429,505
AEROSPACE AIRCRAFT (0.18%)
670 Kaman Corp. ..................................... 6,658
953 Orbital Sciences Corp.* ......................... 16,678
------------
23,336
TELECOM EQUIPMENT (0.29%)
310 Alliant Techsystems, Inc.* ...................... 16,779
2,600 Gencorp, Inc. ................................... 20,313
------------
37,092
MISCELLANEOUS (1.61%)
460 Electroglas, Inc.* .............................. 17,825
450 Esterline Technologies .......................... 5,006
820 National Computer Sys., Inc. .................... 32,595
1,300 Pinnacle Systems, Inc. .......................... 65,163
300 Proxim, Inc. .................................... 43,050
300 Three-Five Systems, Inc. ........................ 18,413
400 ZixIt Corp. ..................................... 21,513
------------
203,565
Total Technology ................................ 2,986,871
------------
ENERGY (2.91%)
OIL & GAS - DOMESTIC (1.28%)
751 Barrett Resources Corp.* ........................ 21,873
765 Cabot Oil & Gas Corp. ........................... 12,097
1,212 Cross Timbers Oil Co. ........................... 10,454
870 Energen Corp. ................................... 14,138
482 HS Resources, Inc.* ............................. 7,953
488 New Jersey Resources ............................ 18,117
1,032 Newfield Exploration Co. ........................ 31,992
547 Northwest Natural Gas ........................... 10,667
395 Plains Resources, Inc.* ......................... 5,481
692 Southwest Gas ................................... 12,802
400 Stone Energy Corp. .............................. 16,250
------------
161,824
OIL & GAS - INTERNATIONAL (0.07%)
303 St. Mary Land & Explor .......................... 8,427
------------
OIL & GAS - SERVICE (1.06%)
400 Atwood Oceanics, Inc. ........................... 21,250
400 Cal Dive International, Inc. .................... 14,400
900 Dril-Quip, Inc. ................................. 30,544
421 Friede Goldman Halter, Inc. ..................... 2,210
688 Oceaneering International* ...................... 13,072
656 Offshore Logistics, Inc.* ....................... 6,519
1,742 Pride Petroleum Services* ....................... 25,803
300 SEACOR Smit, Inc. ............................... 14,550
687 Seitel, Inc.* ................................... 5,625
------------
133,973
NATURAL GAS (0.28%)
726 Southern Union Company .......................... 11,162
30
<PAGE>
S&P SMALLCAP INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
804 Wicor, Inc. ..................................... $ 24,170
------------
35,332
MISCELLANEOUS (0.22%)
1,146 General Semiconductor, Inc.* .................... 19,124
1,437 Input/Output, Inc.* ............................. 8,712
------------
27,836
Total Energy .................................... 367,392
------------
Total Common Stock
(cost $9,863,245) ............................. 11,307,951
------------
PAR
VALUE VALUE
----- -----
SHORT-TERM INVESTMENTS (17.69%)
UNITED STATES TREASURY BILLS
$ 1,500,000 4.900% 03/16/00 (b) ............................. $ 1,496,766
328,449 FIRSTAR US GOVERNMENT MONEY MARKET FUND ......... 328,449
406,928 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ......... 406,928
------------
Total Short-Term Investments (Cost $2,232,143) .. 2,232,143
------------
Total Investments (Cost $12,095,388)(107.33%) ... 13,540,094
Other Net Assets (7.33%) ........................ (924,428)
------------
Net Assets (100.00%) ............................ $ 12,615,666
============
- ------------------
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $12,095,388. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 3,467,114
Unrealized depreciation ........................ (2,022,408)
------------
Net unrealized appreciation .................... $ 1,444,706
============
(b) At February 29, 2000, certain United States Treasury Bills with a market
value of $399,072 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2000 (Contracts-$500 times premium/
delivery month/commitment)
Unrealized
Appreciation
------------
Russel 2000 Stock Index:
4/March 00/Long ............................... $ 174,514
============
See accompanying notes to financial statements
31
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
COMMON STOCK (70.95%)
CAPITAL GOOD (5.59%)
ELECTRICAL EQUIPMENT (5.59%)
3,700 General Electric ................................ $ 489,094
1,800 Johnson Controls ................................ 96,075
------------
585,169
------------
Total Capital Good .............................. 585,169
------------
CONSUMER CYCLICAL (2.04%)
AUTO & TRUCK (1.05%)
5,340 Ford Motor Co. .................................. 109,890
------------
TEXTILE & APPAREL (0.29%)
800 Liz Claiborne, Inc. ............................. 29,950
------------
RETAIL-GENERAL (0.70%)
2,160 The Limited, Inc. ............................... 73,440
------------
Total Consumer Cyclical ......................... 213,280
------------
CONSUMER NON-DURABLE (8.56%)
FOOD, BEVERAGE & TOBACCO (0.80%)
900 McCormick & Co., Inc. ........................... 24,638
700 Quaker Oats Co. ................................. 37,756
1,200 Universal Foods Corp. ........................... 21,675
------------
84,069
------------
RETAIL, FOOD AND DRUGS (0.16%)
700 Great Atlantic & Pacific Tea Co., Inc. .......... 16,406
------------
COMMUNICATIONS AND MEDIA (3.53%)
750 Gannett Co. Inc. ................................ 48,890
700 Knight-Ridder, Inc. ............................. 32,813
4,000 McGraw Hill Cos Inc. ............................ 203,500
2,000 NY Times Class A ................................ 84,500
------------
369,703
------------
DRUGS (2.15%)
600 Bard (C.R.), Inc. ............................... 23,700
1,350 Baxter International, Inc. ...................... 73,575
2,240 Bristol-Myers/Squibb Co. ........................ 127,260
------------
224,535
------------
LIQUOR(0.21%)
500 Adolph Coors Co. ................................ 21,938
------------
BUSINESS SERVICE(0.55%)
500 Computer Associates Intl ........................ 32,156
1,100 Viad Corp. ...................................... 25,780
------------
57,936
------------
OFFICE SUPPLIES (1.16%)
2,000 Avery Dennison .................................. 121,375
------------
Total Consumer Non-Durable ...................... 895,962
------------
BANKING & FINANCE (16.33%)
BANK & BANK HOLDING CO. (8.14%)
1,700 Bank of NewYork Co., Inc. ....................... $ 56,631
3,500 Chase Manhattan Corp. ........................... 278,688
800 City National Corp. ............................. 22,050
2,800 Fleet Financial Group, Inc. ..................... 76,300
600 Marshall & Ilsley Corp .......................... 27,563
4,000 Mellon Bank Corp. ............................... 120,500
2,000 PNC Financial Corp. ............................. 77,375
1,000 Southtrust Corp. ................................ 22,938
900 Sun Trust Banks, Inc. ........................... 45,730
3,750 Wells Fargo & Co. ............................... 123,984
------------
851,759
------------
SAVINGS & LOAN(0.22%)
1,470 Charter One Financial, Inc. ..................... 23,153
------------
FINANCE COMPANY (0.92%)
3,000 Household Intl .................................. 95,813
------------
INVESTMENT COMPANY(0.43%)
1,200 Alliance Capital Mngmnt Hldg .................... 44,925
------------
INSURANCE (5.04%)
2,400 American General Corp. .......................... 125,250
2,000 Cigna Corp. ..................................... 147,625
400 Lincoln National Corp. .......................... 11,125
3,150 Marsh & McLennan ................................ 243,730
------------
527,730
------------
FINANCIAL SERVICE (1.58%)
1,500 Fannie Mae ...................................... 79,500
2,200 MBNA Corp. ...................................... 50,050
1,100 T. Rowe Price Associates ........................ 36,231
------------
165,781
------------
Total Banking & Finance ......................... 1,709,161
------------
UTILITY (7.66%)
TELEPHONE (5.60%)
2,425 AT&T Corp. ...................................... 119,886
5,060 Bell Atlantic Corp. ............................. 247,624
5,737 SBC Communications, Inc. ........................ 218,006
------------
585,516
------------
ENERGY (0.46%)
700 Enron Corp. ..................................... 48,300
------------
MISCELLANEOUS (1.60%)
4,000 Williams Co. .................................... 167,250
------------
Total Utility ................................... 801,066
------------
32
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
SERVICE(0.89%)
BUSINESS(0.46%)
500 Automatic Data Processing, Inc. ................. $ 21,781
600 H & R Block, Inc. ............................... 26,325
------------
48,106
------------
CONSUMER(0.43%)
1,000 First Data Corp. ................................ 45,000
------------
Total Service ................................... 93,106
------------
TRANSPORTATION (0.44%)
RAILROAD (0.44%)
2,333 Conoco, Inc., Class B ........................... 45,931
------------
MANUFACTURING (6.44%)
CONSUMER DURABLE (0.79%)
5,000 LA-Z-BOY Chair Co. .............................. 83,125
------------
BUILDING & HOUSING(0.82%)
4,500 Kaufman & Broad Home Corp. ...................... 86,063
------------
CHEMICAL (0.94%)
1,109 E.I.Dupont & Co. ................................ 56,005
800 Millipore Corp. ................................. 42,750
------------
98,755
------------
PAPER & FOREST(1.66%)
2,000 Boise Cascade Corp. ............................. 59,625
600 Bowater, Inc. ................................... 29,513
2,500 Willamette Industries, Inc. ..................... 84,844
------------
173,982
------------
METAL & MINERAL (2.21%)
1,200 USX-U.S. Steel Group, Inc. ...................... 26,250
3,000 Aluminum Co. of Amer ............................ 205,500
------------
231,750
------------
Total Manufacturing ............................. 673,675
------------
TECHNOLOGY (16.71%)
ELECTRONIC (9.51%)
1,000 Hewlett-Packard Co. ............................. 134,500
2,700 Intel Corp. ..................................... 305,100
1,700 Motorola Inc. ................................... 289,850
1,000 Nortel Networks Corp. ........................... 111,500
800 Tektronix, Inc. ................................. 46,400
650 Texas Instruments, Inc. ......................... 108,225
------------
995,575
------------
SOFTWARE (0.73%)
500 Adobe Systems Inc. .............................. $ 51,000
400 Electronic Data Systems Corp. ................... 25,900
------------
76,900
------------
BUSINESS-MECHANIC & SOFTWARE (3.82%)
1,400 Int'l Business Machines ......................... 142,800
5,200 Pitney Bowes, Inc. .............................. 257,400
------------
400,200
------------
AEROSPACE AIRCRAFT (0.54%)
4,000 Meritor Automotive, Inc. ........................ 56,000
------------
TELECOM EQUIPMENT (2.11%)
2,500 Lucent Technologies, Inc. ....................... 148,750
700 Scientific-Atlanta, Inc. ........................ 71,881
------------
220,631
------------
Total Technology ................................ 1,749,306
------------
ENERGY (6.29%)
OIL & GAS INTERNATIONAL (6.29%)
2,500 Burlington Resources, Inc. ...................... 69,063
6,340 Exxon Corp. ..................................... 477,481
4,000 USX-Marathon Group .............................. 86,500
900 Tidewater, Inc. ................................. 25,481
------------
658,525
------------
Total Energy .................................... 658,525
------------
Total Common Stock
(cost $6,276,437) ............................. 7,425,181
------------
33
<PAGE>
EQUITY INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Par
Value
-----
SHORT-TERM INVESTMENTS (27.93%)
UNITED STATES TREASURY BILLS
2,200,000 4.900% 3/16/00 (b) .............................. $ 2,195,256
364,989 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ......... 364,989
364,207 FIRSTAR US GOVERNMENT MONEY MARKET FUND ......... 364,207
------------
Total Short-Term Investments (Cost $2,924,452) .. 2,924,452
------------
Total Investments (Cost $9,200,889)(98.88%) ..... 10,349,633
Other Net Assets (1.12%) ........................ 117,596
------------
Net Assets (100.00%) ............................ $ 10,467,229
============
(a) Aggregate cost for federal income tax purposes is $9,200,889. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 1,718,273
Unrealized depreciation ........................ (569,529)
------------
Net unrealized appreciation .................... $ 1,148,744
============
(b) At February 29, 2000, certain United States Treasury Bills with a market
value of $598,608 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2000 (Contracts-$500 times premium/
delivery month/commitment)
Unrealized
Appreciation
------------
S&P 400 MidCap Stock Index:
12/March 00/Long .............................. $ 196,067
============
See accompanying notes to financial statements
34
<PAGE>
EUROPEAN GROWTH & INCOME FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
COMMON STOCK (103.35%)
CAPITAL GOODS (5.11%)
CONGLOMERATE (3.37%)
60 Mannesman AG - ADR .............................. $ 19,757
------------
CONSUMER CYCLICAL (1.74%)
AUTO & TRUCK (1.74%)
150 DaimlerChrysler AG .............................. 10,163
------------
Total Capital Goods ............................. 29,920
------------
CONSUMER NON-DURABLE (18.17%)
FOOD, BEVERAGE, & TOBACCO (2.25%)
100 Deageo PLC - ADR ................................ 3,081
120 Nestle SA - ADR ................................. 10,117
------------
13,198
------------
RETAIL - FOOD AND DRUGS (1.54%)
380 Koninklijke Ahold NV - ADR ...................... 9,001
------------
COMMUNICATIONS & MEDIA (5.28%)
270 Ericsson Tel - ADR .............................. 25,920
400 Marconi PLC - ADR* .............................. 4,982
------------
30,902
------------
DRUGS (7.97%)
270 Glaxo Wellcome PLC - ADR ........................ 13,163
190 Novartis AG - ADR ............................... 12,095
110 Roche Hldg AG - ADR ............................. 11,855
170 SmithKline Beecham PLC - ADR .................... 9,552
------------
46,665
------------
COSMETIC & SOAP (1.13%)
50 L'Oreal - ADR* .................................. 6,643
------------
Total Cnsmr Non-Durable ......................... 106,409
------------
BANKING & FINANCIAL SERVICE (21.07%)
BANK & BANK HOLDING CO. (10.53%)
210 ABN AMRO - ADR .................................. 4,370
300 Banco Bilbao Vizcaya - ADR ...................... 4,463
550 Banco Santander Cen - ADR ....................... 5,775
100 Barclays PLC - ADR .............................. 9,850
150 Credit Suisse Grp - ADR ......................... 5,968
90 Deutsche Bank AG - ADR .......................... 7,573
140 ING Groep NV- ADR ............................... 7,219
80 Ntl Westminster Bank - ADR ...................... 8,920
620 UBS AG - ADR .................................... 7,535
------------
61,673
------------
FINANCE COMPANY (2.54%)
250 HSBC Hldgs PLC - ADR ............................ 14,875
------------
INVESTMENT COMPANY (0.75%)
60 Prudential Corp. PLC - ADR ...................... 4,418
------------
INSURANCE (7.25%)
100 Aegon NV - ADR .................................. 6,963
310 AXA - ADR ....................................... 19,530
70 Swiss Reins. Co. - ADR .......................... 5,627
440 Vivendi - ADR ................................... 10,337
------------
42,457
------------
Total Bkg & Financial Svc ....................... 123,423
------------
UTILITY (13.00%)
ELECTRIC (0.61%)
80 Veba AG - ADR ................................... $ 3,580
------------
TELEPHONE (11.97%)
140 Alcatel SA - ADR ................................ 6,615
160 Telefonica Espana - ADR ......................... 13,870
860 Vodafone Airtouch Public, Ltd. -ADR ............. 49,610
------------
70,095
------------
MISCELLANEOUS (0.42%)
100 Unilever PLC - ADR .............................. 2,450
------------
Total Utility ................................... 76,125
------------
SERVICE (1.54%)
CONSUMER (1.54%)
70 Royal PTT Nederland - ADR ....................... 9,026
------------
MANUFACTURING (3.53%)
CHEMICAL (0.78%)
110 Bayer AG - ADR .................................. 4,580
------------
DIVERSIFIED (2.75%)
90 Siemens AG - ADR* ............................... 16,074
------------
Total Manufacturing ............................. 20,654
------------
TECHNOLOGY (23.49%)
ELECTRONIC (1.64%)
50 Koninklijke Philips Electronics NV .............. 9,575
------------
TELECOMMUNICATION (21.85%)
100 British Telecom PLC - ADR ....................... 17,825
440 Deutsch Telekom AG - ADR ........................ 37,153
150 France Telecom SA - ADR ......................... 24,675
170 Nokia Corp - ADR ................................ 33,712
80 Telecom Italia SPA - ADR ........................ 14,560
------------
127,925
------------
Total Technology ................................ 137,500
------------
ENERGY (9.55%)
OIL & GAS - INTERNATIONAL (8.66%)
500 BP Amoco PLC - ADR .............................. 23,500
320 Royal Dutch Petrol. - ADR ....................... 16,800
250 Shell Trans. & Trdg - ADR ....................... 10,391
------------
50,691
------------
OIL & GAS - SERVICE (0.89%)
110 ENI SPA - ADR ................................... 5,218
------------
MISCELLANEOUS (2.52%)
220 Total Fina Elf SA - ADR ......................... 14,768
------------
Total Energy .................................... 55,909
------------
MUTUAL FUND GROWTH (5.36%)
1,730 Europe Fund, Inc. ............................... 31,356
------------
Total Common Stock
(cost $608,532) ................................. 605,090
------------
35
<PAGE>
EUROPEAN GROWTH & INCOME FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
PAR
VALUE
-----
SHORT-TERM INVESTMENTS (75.85%)
$ 23,078 FIRSTAR U.S. GOVERNMENT MONEY MARKET FUND ....... $ 23,078
421,053 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ......... 421,053
Total Short-Term Investments (Cost $444,131) .... 444,131
------------
Total Investments (Cost $1,052,663)(179.20%) .... 1,049,221
Other Net Assets (79.20%) ....................... (463,709)
------------
Net Assets (100.00%) ............................ $ 585,512
============
- ------------------
(a) Aggregate cost for federal income tax purposes is $1,052,663. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 6,379
Unrealized depreciation ........................ (9,821)
------------
Net unrealized depreciation .................... $ (3,442)
============
* Unsponsered ADR
See accompanying notes to financial statements
36
<PAGE>
NASDAQ-100 INDEX FUND
PORTFOLIO OF INVESTMENTS
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
COMMON STOCK (68.10%)
CAPITAL GOODS (0.09%)
ELECTRICAL EQUIPMENT (0.09%)
100 Molex, Inc. ..................................... $ 5,587
------------
CONSUMER CYCLICAL (0.71%)
BUILDING MATERIAL (0.03%)
100 Visx, Inc. ...................................... 1,694
------------
AUTO & TRUCK (0.14%)
200 Paccar, Inc. .................................... 8,613
------------
RETAIL - GENERAL (0.54%)
300 Bed Bath and Beyond, Inc. ....................... 8,513
400 Costco Wholesale Corp. .......................... 19,850
100 Dollar Tree Stores, Inc. ........................ 3,880
------------
32,243
------------
Total Consumer Cyclical ......................... 42,550
------------
CONSUMER NON-DURABLE (5.69%)
HEALTH CARE (0.16%)
300 Biomet, Inc. .................................... 9,900
------------
FOOD, BEVERAGE & TOBACCO (0.29%)
500 Starbucks Corp. ................................. 17,563
------------
COMMUNICATIONS & MEDIA (2.42%)
200 Adelphia Comm. CL-A ............................. 10,987
600 Comcast Corp. ................................... 25,500
200 Echostar Communications ......................... 22,800
400 Ericsson Tel ADR ................................ 38,400
400 Metromedia Fiber Network ........................ 28,755
400 Panamsat Corp. .................................. 19,525
------------
145,967
------------
ENTERTAINMENT & LEISURE (0.22%)
600 USA Networks, Inc. .............................. 13,463
------------
DRUGS (1.31%)
400 Immunex, Inc. ................................... 78,975
------------
HOSPITAL SUPPLY & SERVICE (0.40%)
100 Medimmune, Inc. ................................. 19,850
100 Pacificare Health Systems ....................... 4,544
------------
24,394
------------
BUSINESS SERVICE (0.59%)
200 Cintas Group .................................... 7,988
400 Concord EFS, Inc. ............................... 7,825
400 Paychex, Inc. ................................... 20,025
------------
35,838
------------
OFFICE PRODUCT (0.30%)
100 Miller Herman, Inc. ............................. 2,050
600 Staples, Inc. ................................... $ 16,200
------------
18,250
------------
Total Consumer Non-Durable ...................... 344,350
------------
UTILITY (1.70%)
TELEPHONE (1.70%)
1,900 MCI Worldcom, Inc. .............................. 84,788
200 McLeod, Inc. .................................... 17,600
------------
102,388
------------
Total Utility ................................... 102,388
------------
SERVICE (1.40%)
BUSINESS (0.14%)
300 Fiserv, Inc. .................................... 8,175
------------
CONSUMER (1.07)
500 CMG Information Services ........................ 64,780
------------
MISCELLANEOUS (0.19)
100 Apollo Group, Inc. .............................. 2,281
300 Quintiles Transntl Corp. ........................ 8,905
------------
11,186
------------
Total Service ................................... 84,141
------------
TRANSPORTATION (0.03%)
AIR TRANSPORTATION (0.03%)
100 Northwest Airlines Corp. ........................ 1,725
------------
MANUFACTURING (4.27%)
CHEMICAL (0.08%)
200 Sigma-Aldrich Corp. ............................. 4,750
------------
CONTAINER (0.09%)
400 Smurfit-Stone Cntnr Corp. ....................... 5,450
------------
COMPUTER (2.89%)
200 Adaptec, Inc. ................................... 8,200
100 Applied Micro Crcts Corp. ....................... 27,505
400 Citrix Systems, Inc. ............................ 42,175
100 Comverse Technology ............................. 19,688
1,700 Dell Computer Corp. ............................. 69,380
200 Legato Systems, Inc. ............................ 7,125
------------
174,073
------------
MISCELLANEOUS (1.21%)
400 Applied Materials, Inc. ......................... 73,175
------------
Total Manufacturing ............................. 257,448
------------
TECHNOLOGY (54.21%)
OFFICE EQUIPMENT (0.39%)
700 Novell .......................................... 23,144
------------
37
<PAGE>
NASDAQ-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Shares Value
------ -----
ELECTRONIC (6.07%)
400 Amazon.com, Inc. ................................ $ 27,550
400 Gemstar Intl Group .............................. 30,350
2,100 Intel Corp. ..................................... 237,300
400 KLA-TENCOR Corp. ................................ 31,175
200 RF Micro Devices, Inc. .......................... 27,663
100 Sanmina Corp. ................................... 11,706
------------
365,744
------------
BIO-TECHNOLOGY (6.77%)
900 Amgen ........................................... 61,369
300 Biogen, Inc. .................................... 32,381
500 Chiron Corp. .................................... 25,000
2,100 Cisco Systems Inc. .............................. 277,594
200 Genzyme Corp. ................................... 11,488
------------
407,832
------------
SOFTWARE (12.36%)
200 Adobe Systems, Inc. ............................. 20,400
300 BMC Software, Inc. .............................. 13,800
200 Broadvision, Inc. ............................... 50,513
400 Compuware Corp. ................................. 8,850
100 Electronic Arts ................................. 10,000
300 I2 Technologies, Inc. ........................... 49,050
500 Intuit, Inc. .................................... 26,250
200 Lycos, Inc. ..................................... 11,925
3,200 Microsoft Corp. ................................. 286,000
300 Network Appliance, Inc. ......................... 56,625
700 Parametric Tech, Inc. ........................... 21,219
700 Peoplesoft, Inc. ................................ 14,481
300 Real Networks, Inc. ............................. 21,094
400 Siebel Systems, Inc. ............................ 55,475
500 Veritas Software Corp. .......................... 98,938
------------
744,620
------------
BUSINESS - MECHANICS & SOFTWARE (6.03%)
400 Apple Computer, Inc. ............................ 45,850
500 At Home Corp. ................................... 17,156
300 Network Associates, Inc. ........................ 9,131
2,200 Oracle Systems .................................. 163,350
1,300 Sun Microsystems ................................ 123,825
100 Synopsys, Inc. .................................. 3,994
------------
363,306
------------
BUSINESS - SERVICE (1.86%)
100 Network Solutions, Inc. ......................... $ 32,244
500 Yahoo!, Inc. .................................... 79,844
------------
112,088
------------
SEMICONDUCTOR (5.96%)
500 Altera Corp. .................................... 39,875
300 Atmel Corp. ..................................... 14,850
400 Linear Technology Corp. ......................... 41,975
700 Maxim Integrated Products ....................... 46,769
100 Microchip Tech .................................. 6,244
300 PMC - Sierra, Inc. .............................. 57,919
100 Qlogic Corp. .................................... 15,600
100 SDL, Inc. ....................................... 41,000
300 Vitesse Semiconductor ........................... 31,144
800 Xilinx, Inc. .................................... 63,800
------------
359,176
------------
TELECOMMUNICATION (10.25%)
700 ADC Telecomm., Inc. ............................. 31,413
300 Ciena Corp. ..................................... 47,944
200 CNET, Inc. ...................................... 13,375
1,500 Global Crossing, Ltd. ........................... 69,938
400 Level 3 Comm., Inc. ............................. 45,550
800 Nextel Comm., Inc. .............................. 109,400
200 Nextlink Comm., Inc. ............................ 22,038
200 NTL Inc. ........................................ 18,300
1,500 Qualcom, Inc. ................................... 213,656
400 Tellabs, Inc. ................................... 19,200
200 Voicestream Wireless Corp. ...................... 26,613
------------
617,427
------------
AEROSPACE AIRCRAFT (0.65%)
400 Conexant Systems, Inc. .......................... 39,300
------------
MISCELLANEOUS (3.87%)
300 3Com Corp. ...................................... 29,400
500 American Pwr Conv. Corp. ........................ 16,968
200 Ebay, Inc. ...................................... 28,675
600 JDS Uniphase Corp. .............................. 158,175
------------
233,218
------------
Total Technology ................................ 3,265,855
------------
Total Common Stock
(cost $4,008,007) ............................. 4,104,044
------------
38
<PAGE>
NASDAQ-100 INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
PAR
VALUE
-----
SHORT-TERM INVESTMENTS (31.22%) VALUE
UNITED STATES TREASURY BILLS -----
$ 150,000 4.900% 03/16/00 (b) ............................. $ 149,678
1,000,000 4.900% 06/15/00 ................................. 983,438
475,006 FIRSTAR INSTITUTIONAL MONEY MARKET FUND ......... 475,006
273,203 FIRSTAR U.S. GOVERNMENT MONEY MARKET FUND ....... 273,203
------------
Total Short-Term Investments (Cost $1,881,326) .. 1,881,325
------------
Total Investments (Cost $5,889,333)(99.32%) ..... 5,985,369
Other Net Assets (0.68%) ........................ 40,849
------------
Net Assets (100.00%) ............................ $ 6,026,218
============
(a) Aggregate cost for federal income tax purposes is $5,889,333. At February
29, 2000, unrealized appreciation (depreciation) of securities for federal
income tax purpose is as follows:
Unrealized appreciation ........................ $ 173,617
Unrealized depreciation ........................ (77,581)
Net unrealized appreciation .................... $ 96,036
============
(b) At February 29, 2000, certain United States Treasury Bills with a market
value of $299,304 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at February 29, 2000 (Contracts-$20 times premium/
delivery month/commitment)
Unrealized
Appreciation
------------
Nasdaq-100 E-Mini Future
17/March 00/Long .............................. $ 39,517
============
See accompanying notes to financial statements
39
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
California California California U.S.
Tax-Free Tax-Free Insured Government
Money Market Income Intermediate Securities
Fund Fund Fund Fund
----------------------------------------------------------------
ASSETS
<S> <C> <C> <C> <C>
Investments at market value (identified cost
$104,419,310, $184,305,527, $22,835,730 and $27,963,931
respectively) (Note 1) ...................................... $ 104,419,310 $ 189,760,506 $ 22,869,016 $ 27,629,839
Cash ........................................................ 39,530 50,686 50,555 51,865
Interest receivable ......................................... 780,912 2,726,510 336,701 167,723
------------- ------------- ------------- -------------
Total assets ............................................. 105,239,752 192,537,702 23,256,272 27,849,427
------------- ------------- ------------- -------------
LIABILITIES
Payable to Investment Advisor ............................... 20,524 72,503 6,791 10,610
Accrued expenses ............................................ 15,199 24,150 4,432 6,415
Distributions payable ....................................... 181,601 727,980 81,047 141,795
------------- ------------- ------------- -------------
Total liabilities ........................................ 217,324 824,633 92,270 158,820
------------- ------------- ------------- -------------
Net Assets:
(Applicable to 105,085,798, 15,825,647,
2,232,702 and 2,780,302 shares of beneficial interest with no
par value, unlimited number of shares
authorized) ................................................. $ 105,022,428 $ 191,713,069 $ 23,164,002 $ 27,690,607
============= ============= ============= =============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$105,022,428 / 105,085,798 shares ........................... $ 1.00
$191,713,069 / 15,825,647 shares ............................ ============= $ 12.11
$23,164,002 / 2,232,702 shares .............................. ============= $ 10.37
$27,690,607 / 2,780,302 shares .............................. ============= $ 9.96
=============
Net assets at February 29, 2000 consisted of:
Paid-in capital ............................................. $ 105,041,399 $ 186,623,135 $ 23,153,912 $ 28,845,780
Undistributed net investment income ......................... -- 50,867 10,454 5,757
Accumulated net realized losses ............................. (18,971) (415,912) (33,650) (826,838)
Unrealized appreciation (depreciation) of investments ....... -- 5,454,979 33,286 (334,092)
------------- ------------- ------------- -------------
$ 105,022,428 $ 191,713,069 $ 23,164,002 $ 27,690,607
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
40
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
Short-Term The United
U.S. Govt. States S&P 500 S&P MidCap
Bond Treasury Index Index
Fund Trust Fund Fund
----------------------------------------------------------------
ASSETS
<S> <C> <C> <C> <C>
Investments at market value (identified cost
$1,387,218, $72,274,853, $92,298,056
and $51,780,677, respectively) (Note 1) ................... $ 1,386,452 $ 72,274,853 $ 147,108,466 $ 62,139,254
Cash ...................................................... 86,199 176,878 -- --
Interest receivable ....................................... 9,556 -- 7,325 5,130
Due from Advisor .......................................... 3,169 -- -- --
Dividends receivable ...................................... -- -- 164,208 47,138
Receivable for fund shares sold ........................... -- -- 2,000 10,000
Variation Margin Recievable ............................... -- -- 85,910 195,490
------------- ------------- ------------- -------------
Total assets .............................................. 1,485,376 72,451,731 147,367,909 62,397,012
------------- ------------- ------------- -------------
LIABILITIES
Payable to Investment Advisor ............................. -- 15,135 8,454 11,405
Accrued expenses .......................................... -- 12,953 13,404 5,903
Payable for fund shares repurchased ....................... -- -- 50,015 1,584
Distributions payable ..................................... 7,378 273,531 -- --
Accrued expenses .......................................... 3,315 -- -- --
------------- ------------- ------------- -------------
Total liabilities ......................................... 10,693 301,619 71,873 18,892
------------- ------------- ------------- -------------
Net Assets:
(Applicable to 147,565, 72,162,786,
5,305,627 and 3,571,331 shares of
beneficial interest with no par value,
unlimited number of shares authorized) .................... $ 1,474,683 $ 72,150,112 $ 147,296,036 $ 62,378,120
============= ============= ============= =============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$1,474,683 / 147,565 shares ............................... $ 9.99
$72,150,112 / 72,162,786 shares ........................... ============= $ 1.00
$147,296,036 / 5,305,627 shares ........................... ============= $ 27.76
$62,378,120 / 3,571,331 shares ............................ ============= $ 17.47
=============
Net assets at February 29, 2000 consisted of:
Paid-in capital ........................................... $ 1,474,980 $ 72,162,892 $ 91,318,570 $ 47,972,036
Undistributed net investment income ....................... 469 -- 301,891 37,464
Accumulated net realized gains (losses) ................... -- (12,780) 1,033,350 3,694,268
Unrealized appreciation (depreciation) of investments ..... (766) -- 54,810,410 10,358,577
Unrealized appreciation (depreciation) of futures contracts -- -- (168,185) 315,775
------------- ------------- ------------- -------------
$ 1,474,683 $ 72,150,112 $ 147,296,036 $ 62,378,120
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
41
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES
FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
S&P SmallCap Equity European Nasdaq-100
Index Income Growth & Income Index
Fund Fund Fund Fund
-----------------------------------------------------------
ASSETS
<S> <C> <C> <C> <C>
Investments at market value (identified cost
$12,095,388, $9,200,889, 1,052,663 and $5,889,333,
respectively) (Note 1) .............................. $ 13,540,094 $ 10,349,633 $ 1,049,221 $ 5,985,369
Interest receivable ................................. 3,640 1,789 400 2,752
Dividends receivable ................................ 4,729 14,315 -- --
Variation margin receivable ......................... 41,000 95,400 -- 39,780
Due from Advisor .................................... -- -- 2,034 1,502
Receivable for investments sold ..................... -- -- 113,719 --
Deferred organization costs ......................... 4,015 7,670 -- --
------------ ------------ ------------ ------------
Total assets ........................................ 13,593,478 10,468,807 1,165,374 6,029,403
------------ ------------ ------------ ------------
LIABILITIES
Payable for investments purchased ................... 934,048 -- 577,396 --
Payable to Investment Advisor ....................... 1,670 1,578 -- --
Payable for fund shares repurchased ................. 34,282 -- -- --
Accrued expenses .................................... 7,812 -- 2,466 3,185
------------ ------------ ------------ ------------
Total liabilities ................................... 977,812 1,578 579,862 3,185
------------ ------------ ------------ ------------
Net Assets:
(Applicable to 913,337, 783,028,
58,215 and 545,441 shares of
beneficial interest with no par value,
unlimited number of shares authorized) .............. $ 12,615,666 $ 10,467,229 $ 585,512 $ 6,026,218
============ ============ ============ ============
Pricing of Shares:
Net asset value, offering and
redemption price per share
$12,615,666 / 913,337 shares ........................ $ 13.81
$10,467,229 / 783,028 shares ........................ ============ $ 13.37
$585,512 / 58,215 shares ............................ ============ $ 10.06
$6,026,218 / 545,441 shares ......................... ============ $ 11.05
============
Net assets at February 29, 2000 consisted of:
Paid-in capital ..................................... $ 10,548,729 $ 9,350,356 $ 574,899 $ 5,618,548
Undistributed net investment income ................. 1,856 3,955 586 28,190
Accumulated net realized gains (losses) ............. 445,861 (231,893) 13,469 243,927
Unrealized appreciation (depreciation) of investments 1,444,706 1,148,744 (3,442) 96,036
Unrealized depreciation of futures contracts ........ 174,514 196,067 -- 39,517
------------ ------------ ------------ ------------
$ 12,615,666 $ 10,467,229 $ 585,512 $ 6,026,218
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
42
<PAGE>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
CALIFORNIA CALIFORNIA CALIFORNIA U.S.
TAX-FREE TAX-FREE INSURED GOVERNMENT
MONEY MARKET INCOME INTERMEDIATE SECURITIES
FUND FUND FUND FUND
---------------------------------------------------------
<S> <C> <C> <C> <C>
Investment Income:
Interest income ................................ $ 1,543,551 $ 5,079,790 $ 554,894 $ 936,023
----------- ----------- ----------- -----------
Expenses:
Management fees (Note 2) ....................... 258,517 463,076 59,863 74,646
Transfer agent fees ............................ 19,359 34,425 5,806 7,968
Accounting services ............................ 25,787 53,307 8,781 9,263
Custodian fees ................................. 9,017 14,123 1,971 3,080
Legal and audit fees ........................... 5,479 38,964 2,846 3,218
Trustees fees .................................. 2,428 2,359 2,448 1,105
Insurance ...................................... 1,121 1,443 243 316
Printing ....................................... 1,362 4,084 531 982
Registration & dues ............................ 764 1,388 267 2,425
----------- ----------- ----------- -----------
Total expenses .............................. 323,834 613,169 82,756 103,003
Less reimbursement from manager (Note 2) . (116,109) -- (16,907) (6,112)
----------- ----------- ----------- -----------
Net expenses ................................ 207,725 613,169 65,849 96,891
----------- ----------- ----------- -----------
Net investment income .................... 1,335,826 4,466,621 489,045 839,132
----------- ----------- ----------- -----------
Realized and Unrealized Gain on Investments:
Net realized loss from security transactions ... -- (356,102) (33,110) (826,838)
Change in unrealized appreciation of investments -- (3,224,798) (291,763) 139,830
----------- ----------- ----------- -----------
Net realized and unrealized gain on
investments ................................. -- (3,580,900) (324,873) (687,008)
----------- ----------- ----------- -----------
Net increase in net assets resulting
from operations ............................. $ 1,335,826 $ 885,721 $ 164,172 $ 152,124
=========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements
43
<PAGE>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHORT-TERM THE UNITED
U.S. GOVT. STATES S&P 500 S&P MIDCAP
BOND TREASURY INDEX INDEX
FUND TRUST FUND FUND
--------------------------------------------------------
Investment Income:
<S> <C> <C> <C> <C>
Interest income ........................................ $ 9,544 $ 1,552,750 $ 493,710 $ 148,744
Dividend Income ........................................ -- -- 787,782 316,843
----------- ----------- ----------- -----------
Total ............................................... 9,544 1,552,750 1,281,492 465,587
----------- ----------- ----------- -----------
Expenses:
Management fees (Note 2) ............................... 777 153,962 188,643 118,343
Transfer agent fees .................................... 1,058 11,321 15,280 6,420
Accounting services .................................... 578 16,096 32,066 14,990
Custodian fees ......................................... 120 4,928 10,575 7,344
Legal and audit fees ................................... 354 4,765 5,910 3,528
Trustees fees .......................................... 223 1,301 1,155 1,136
Insurance .............................................. 12 691 3,546 608
Printing ............................................... 70 925 3,953 1,942
Registration & dues .................................... 123 3,625 7,434 5,342
Standard & Poor's Licensing Fees ....................... -- -- 5,526 4,962
----------- ----------- ----------- -----------
Total expenses ...................................... 3,315 197,614 274,088 164,615
Less reimbursement from manager (Note 2) ......... (3,274) (74,445) (123,173) (46,271)
----------- ----------- ----------- -----------
Net expenses ........................................ 41 123,169 150,915 118,344
----------- ----------- ----------- -----------
Net investment income ............................ 9,503 1,429,581 1,130,577 347,243
----------- ----------- ----------- -----------
Realized and Unrealized Gain on Investments:
Net realized gain from security transactions ........... -- 1,314 1,374,821 4,795,904
Net realized gain from furtures contracts .............. -- -- 445,590 403,665
Change in unrealized appreciation of investments ....... (766) -- 3,100,171 3,697,864
Change in unrealized appreciation from futures contracts -- -- 95,976 506,448
----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on
investments ......................................... (766) 1,314 5,016,558 9,403,881
----------- ----------- ----------- -----------
Net increase in net assets resulting
from operations ..................................... $ 8,737 $ 1,430,895 $ 6,147,135 $ 9,751,124
=========== =========== =========== ===========
</TABLE>
* The Fund commenced operations on January 18, 2000.
See accompanying notes to financial statements
44
<PAGE>
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED FEBRUARY 29, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
S&P SMALLCAP EQUITY EUROPEAN NASDAQ-100
INDEX INCOME GROWTH & INCOME INDEX
FUND FUND FUND FUND
---------------------------------------------------------
Investment Income:
<S> <C> <C> <C> <C>
Interest income ........................................ $ 56,553 $ 87,810 $ 565 $ 13,848
Dividend Income ........................................ 34,440 87,787 -- 15
----------- ----------- ----------- -----------
Total ............................................... 90,993 175,597 565 13,863
----------- ----------- ----------- -----------
Expenses:
Management fees (Note 2) ............................... 28,081 31,339 389 1,294
Transfer agent fees .................................... 7,288 5,549 1,046 1,101
Accounting services .................................... 5,755 4,948 577 582
Custodian fees ......................................... 6,981 2,647 57 200
Legal and audit fees ................................... 3,754 3,572 349 372
Trustees fees .......................................... 1,187 1,053 220 231
Insurance .............................................. 127 122 11 14
Printing ............................................... 1,159 842 67 80
Registration & dues .................................... 1,624 1,617 138 141
Standard & Poor's Licensing Fees ....................... 542 -- -- --
Nasdaq Licensing Fees .................................. -- -- -- 465
Amortization of deferred organization costs ............ 1,254 2,553 -- --
----------- ----------- ----------- -----------
Total expenses ...................................... 57,752 54,242 2,854 4,480
Less reimbursement from manager (Note 2) ......... (21,247) (4,783) (2,423) (2,797)
----------- ----------- ----------- -----------
Net expenses ........................................ 36,505 49,459 431 1,683
----------- ----------- ----------- -----------
Net investment income ............................ 54,488 126,138 134 12,180
----------- ----------- ----------- -----------
Realized and Unrealized Gain on Investments:
Net realized gain (loss) from security transactions .... 147,268 (498,166) 13,469 (237)
Net realized gain from furtures contracts .............. 271,456 176,720 -- 244,164
Change in unrealized appreciation of investments ....... 1,944,415 (473,604) (3,442) 96,036
Change in unrealized appreciation from futures contracts 306,653 294,954 -- 39,517
----------- ----------- ----------- -----------
Net realized and unrealized gain (loss) on investments 2,669,792 (500,096) 10,027 379,480
----------- ----------- ----------- -----------
Net increase (decrease) in net assets resulting
from operations ..................................... $ 2,724,280 $ (373,958) $ 10,161 $ 391,660
=========== =========== =========== ===========
</TABLE>
* The Fund commenced operations on January 18, 2000.
See accompanying notes to financial statements
45
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE CALIFORNIA TAX-FREE
MONEY MARKET FUND INCOME FUND
------------------- -------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2000 AUGUST 31, FEBRUARY 29, 2000 AUGUST 31,
(UNAUDITED) 1999 (UNAUDITED) 1999
----------------- ---------- ----------------- ----------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income ................. $ 1,335,826 $ 2,879,603 $ 4,466,621 $ 9,544,522
Net realized gain (loss) on investments -- -- (356,102) 969,448
Change in unrealized
appreciation of investments ........ -- -- (3,224,798) (11,923,784)
Net increase (decrease) in net
assets resulting from operations ... 1,335,826 2,879,603 885,721 (1,409,814)
Undistributed investment income
included in price of shares sold
and repurchased ................. -- -- (4,763) 42,916
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ............................. (1,335,826) (2,879,603) (4,410,991) (9,698,023)
Distributions from realized capital
gains on investments ............... -- -- (922,721) (1,514,730)
CAPITAL SHARE
TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... (583,619) 17,370,240 (4,779,939) (11,981,652)
------------- ------------- ------------- -------------
Total increase (decrease) ............. (583,619) 17,370,240 (9,232,693) (24,561,303)
NET ASSETS
Beginning of period ................... 105,606,047 88,235,807 200,945,762 225,507,065
------------- ------------- ------------- -------------
End of period* ........................ $ 105,022,428 $ 105,606,047 $ 191,713,069 $ 200,945,762
============= ============= ============= =============
* Including undistributed net
investment income of: ................. $ -- $ -- $ 50,867 $ --
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
46
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
CALIFORNIA INSURED U.S. GOVERNMENT
INTERMEDIATE FUND SECURITIES FUND
------------------- -------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2000 AUGUST 31, FEBRUARY 29, 2000 AUGUST 31,
(UNAUDITED) 1999 (UNAUDITED) 1999
----------------- ---------- ----------------- ----------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income ...................... $ 489,045 $ 978,830 $ 839,132 $ 1,781,479
Net realized gain (loss) on investments .... (33,110) 49,271 (826,838) 451,871
Change in unrealized
appreciation of investments ............. (291,763) (673,557) 139,830 (3,009,870)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations ........ 164,172 354,544 152,124 (776,520)
Undistributed investment income
included in price of shares sold
and repurchased ......................... (2,392) 2,153 2,733 (3,115)
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income .................................. (491,222) (983,874) (836,108) (1,791,585)
Distributions from realized capital
gains on investments .................... (49,811) (259,926) (149,160) (836,071)
CAPITAL SHARE\ TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share transactions (631,263) 1,489,738 (2,429,003) (1,706,034)
------------ ------------ ------------ ------------
Total increase (decrease) .................. (1,010,516) 602,635 (3,259,414) (5,113,325)
NET ASSETS
Beginning of period ........................ 24,174,518 23,571,883 30,950,021 36,063,346
------------ ------------ ------------ ------------
End of period* ............................. $ 23,164,002 $ 24,174,518 $ 27,690,607 $ 30,950,021
============ ============ ============ ============
* Including undistributed net
investment income of: ...................... $ 10,454 $ 15,023 $ 5,757 $ --
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
47
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
SHORT-TERM U.S. THE UNITED STATES
GOVT. BOND FUND TREASURY TRUST
--------------- -----------------
JANUARY 18, 2000**
TO SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2000 FEBRUARY 29, 2000 AUGUST 31,
(UNAUDITED) (UNAUDITED) 1999
----------------- ----------------- ----------
OPERATIONS:
<S> <C> <C> <C>
Net investment income ..................... $ 9,503 $ 1,429,581 $ 2,099,638
Net realized gain on investments ......... -- 1,314 (14,094)
Change in unrealized
appreciation of investments ............ (766) -- --
------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations ....... 8,737 1,430,895 2,085,544
Undistributed investment incomeincluded
in price of shares sold and repurchased 238 -- --
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income ...... (9,272) (1,429,581) (2,099,638)
Distributions from realized capital
gains on investments ................... -- -- (7,101)
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ........................... 1,474,980 21,631,522 6,197,460
------------ ------------ ------------
Total increase ............................ 1,474,683 21,632,836 6,176,265
NET ASSETS
Beginning of period ....................... -- 50,517,276 44,341,011
------------ ------------ ------------
End of period* ............................ $ 1,474,683 $ 72,150,112 $ 50,517,276
============ ============ ============
* Including undistributed net
investment income of: ..................... $ 469 $ -- $ --
============ ============ ============
</TABLE>
** Commencement of Operations
See accompanying notes to financial statements
48
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
S&P 500 S&P MIDCAP
INDEX FUND INDEX FUND
------------------- -------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2000 AUGUST 31, FEBRUARY 29, 2000 AUGUST 31,
(UNAUDITED) 1999 (UNAUDITED) 1999
----------------- ---------- ----------------- ----------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income .......................... $ 1,130,577 $ 1,885,640 $ 347,243 $ 570,356
Net realized gain on investments ............... 1,374,821 6,083,099 4,795,904 11,747,162
Net realized gain on futures contracts ......... 445,590 1,294,714 403,665 953,605
Change in unrealized appreciation of investments 3,100,171 25,875,574 3,697,864 2,394,104
Change in unrealized
appreciation of futures contracts ........... 95,976 1,576,025 506,448 672,027
------------- ------------- ------------- -------------
Net increase in net
assets resulting from operations ............ 6,147,135 36,715,052 9,751,124 16,337,254
Undistributed investment income included
in price of shares sold and repurchased ..... 1,959 45,716 (5,309) 70
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment income ........... (1,173,862) (1,828,933) (324,648) (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 in net assets resulting
from capital share transactions ............. 6,903,970 22,325,561 7,993,352 8,263,116
------------- ------------- ------------- -------------
Total increase ........................... 5,019,703 54,655,730 5,214,112 17,309,392
NET ASSETS
Beginning of period ............................ 142,276,333 87,620,603 57,164,008 39,854,616
------------- ------------- ------------- -------------
End of period* ................................. $ 147,296,036 $ 142,276,333 $ 62,378,120 $ 57,164,008
============= ============= ============= =============
* Including undistributed net
investment income of: .......................... $ 301,891 $ 343,217 $ 37,464 $ 20,178
============= ============= ============= =============
</TABLE>
See accompanying notes to financial statements
49
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
S&P SMALLCAP EQUITY
INDEX FUND INCOME FUND
------------------- -------------------
SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED
FEBRUARY 29, 2000 AUGUST 31, FEBRUARY 29, 2000 AUGUST 31,
(UNAUDITED) 1999 (UNAUDITED) 1999
----------------- ---------- ----------------- ----------
OPERATIONS:
<S> <C> <C> <C> <C>
Net investment income ........................ $ 54,488 $ 67,254 $ 126,138 $ 288,677
Net realized gain (loss) on investments ...... 147,268 254,654 (498,166) 431,876
Net realized gain (loss) on futures contracts 271,456 83,019 176,720 (17,808)
Change in unrealized
appreciation of investments ............... 1,944,415 1,327,982 (473,604) 1,105,618
Change in unrealized
appreciation of futures contracts ......... 306,653 155,690 294,954 757,312
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations .......... 2,724,280 1,888,599 (373,958) 2,565,675
Undistributed investment income included
in price of shares sold and repurchased ... (1,755) 408 (6,626) (6,498)
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income .................................... (51,200) (67,339) (130,219) (309,056)
Distributions from realized capital
gains on investments ...................... (486,514) (110,068) (391,669) --
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions .............................. (450,576) 1,253,579 (2,346,522) (613,954)
------------ ------------ ------------ ------------
Total increase (decrease) .............. 1,734,235 2,965,179 (3,248,994) 1,636,167
NET ASSETS
Beginning of period .......................... 10,881,431 7,916,252 13,716,223 12,080,056
------------ ------------ ------------ ------------
End of period* ............................... $ 12,615,666 $ 10,881,431 $ 10,467,229 $ 13,716,223
============ ============ ============ ============
* Including undistributed net
investment income of: ........................ $ 1,856 $ 323 $ 3,955 $ 14,662
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
50
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
EUROPEAN GROWTH & NASDAQ-100
INCOME FUND INDEX FUND
----------------- -----------------
JANUARY 18, 2000** JANUARY 18, 2000**
TO TO
FEBRUARY 29, 2000 FEBRUARY 29, 2000
(UNAUDITED) (UNAUDITED)
----------------- -----------------
OPERATIONS:
Net investment income ................. $ 134 $ 12,180
Net realized gain (loss) on investments 13,469 (237)
Net realized gain on
futures contracts .................. -- 244,164
Change in unrealized
appreciation of investments ........ (3,442) 96,036
Change in unrealized
appreciation of futures contracts .. -- 39,517
----------- -----------
Net increase in net
assets resulting from operations ... 10,161 391,660
Undistributed investment income
included in price of shares sold
and repurchased .................... 452 16,010
DISTRIBUTIONS TO
SHAREHOLDERS:
Dividends from net investment
income ............................. -- --
CAPITAL SHARE
TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ....................... 574,899 5,618,548
----------- -----------
Total increase ........................ 585,512 6,026,218
NET ASSETS
Beginning of period ................... -- --
----------- -----------
End of period* ........................ $ 585,512 $ 6,026,218
=========== ===========
* Including undistributed net
investment income of: ................ $ 586 $ 28,190
=========== ===========
** Commencement of Operations
See accompanying notes to financial statements
51
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
CALIFORNIA TAX FREE INCOME FUND
----------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
------------------------ ------------------------
SHARES VALUE SHARES VALUE
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Shares sold .......................... 4,515,231 $ 55,083,562 15,768,098 $ 205,504,666
Shares issued in reinvestment of
distributions ..................... 288,275 3,513,442 646,333 8,415,358
--------- ------------- ---------- -------------
4,803,506 58,597,004 16,414,431 213,920,024
Shares repurchased ................... (5,181,912) (63,376,943) (17,316,111) (225,901,676)
--------- ------------- ---------- -------------
Net decrease ...................... (378,406) $ (4,779,939) (901,680) $ (11,981,652)
========= ============= ========== =============
<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
----------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
------------------------ ------------------------
SHARES VALUE SHARES VALUE
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Shares sold .......................... 189,736 $ 1,980,281 385,025 $ 4,240,740
Shares issued in reinvestment of
distributions ..................... 32,681 341,131 89,409 916,685
--------- ------------- ---------- -------------
222,417 2,321,412 474,434 5,157,425
Shares repurchased ................... (283,354) (2,952,675) (339,179) (3,667,687)
--------- ------------- ---------- -------------
Net increase (decrease) ........... (60,937) $ (631,263) 135,255 $ 1,489,738
========= ============= ========== =============
</TABLE>
CALIFORNIA TAX-FREE
MONEY MARKET FUND
-----------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
----------------- ---------------
SHARES/VALUE SHARES/VALUE
----------------- ---------------
Shares sold .......................... 95,935,639 252,637,535
Shares issued in reinvestment of
distributions ..................... 1,083,047 2,737,686
---------- -----------
97,018,686 255,375,221
Shares repurchased ................... (97,602,305) (238,004,981)
---------- -----------
Net increase (decrease) ........... (583,619) 17,370,240
========== ===========
See accompanying notes to financial statements
52
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS -- (CONTINUED)
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES FUND
--------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
---------------------- ----------------------
SHARES VALUE SHARES VALUE
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Shares sold .......................... 308,162 $ 3,126,814 1,155,865 $ 12,864,538
Shares issued in reinvestment of
distributions ..................... 65,650 665,381 182,696 2,002,273
------- ------------- --------- -------------
373,812 3,792,195 1,338,561 14,866,811
Shares repurchased ................... (617,032) (6,221,198) (1,506,815) (16,572,845)
------- ------------- --------- -------------
Net decrease ...................... (243,220) $ (2,429,003) (168,254) $ (1,706,034)
======= ============= ========= =============
<CAPTION>
SHORT-TERM U.S. THE UNITED STATES
GOVERNMENT BOND FUND TREASURY TRUST
----------------------- ---------------------------------
JANUARY 18, 2000*
TO SIX MONTHS ENDED
FEBRUARY 29, 2000 FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) (UNAUDITED) AUGUST 31, 1999
----------------------- ---------------------------------
SHARES VALUE SHARES/VALUE SHARES/VALUE
-------- ------- ---------------- ----------------
<S> <C> <C> <C> <C>
Shares sold .......................... 152,351 $ 1,522,855 87,426,857 202,306,898
Shares issued in reinvestment of
distributions ..................... 189 1,894 1,092,328 1,929,990
---------- ------------- ---------- -----------
152,540 1,524,749 88,519,185 204,236,888
Shares repurchased ................... (4,975) (49,769) (66,887,663) (198,039,428)
---------- ------------- ---------- -----------
Net increase ...................... $ 147,565 1,474,980 21,631,522 6,197,460
========== ============= ========== ===========
<CAPTION>
S&P 500 INDEX FUND
----------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
------------------------ ------------------------
SHARES VALUE SHARES VALUE
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Shares sold .......................... 728,977 $ 20,839,423 1,579,685 $ 41,008,077
Shares issued in reinvestment of
distributions ..................... 277,061 7,824,102 166,767 4,212,322
--------- ------------- --------- -------------
1,006,038 28,663,525 1,746,452 45,220,399
Shares repurchased ................... (760,638) (21,759,555) (879,522) (22,894,838)
--------- ------------- --------- -------------
Net increase ...................... 245,400 $ 6,903,970 866,930 $ 22,325,561
========= ============= ========= =============
</TABLE>
* Commencement of Operations
See accompanying notes to financial statements
53
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
S&P MIDCAP INDEX FUND
----------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
------------------------ ------------------------
SHARES VALUE SHARES VALUE
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Shares sold .......................... 195,440 $ 3,394,959 653,642 $ 12,002,893
Shares issued in reinvestment of
distributions ..................... 748,285 11,966,330 405,301 6,790,728
-------- ------------- --------- -------------
943,725 15,361,289 1,058,943 18,793,621
Shares repurchased ................... (429,921) (7,367,937) (587,777) (10,530,505)
-------- ------------- --------- -------------
Net increase ...................... 513,804 $ 7,993,352 471,166 $ 8,263,116
======== ============= ========= =============
<CAPTION>
S&P SMALLCAP INDEX FUND
----------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
------------------------ ------------------------
SHARES VALUE SHARES VALUE
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Shares sold .......................... 139,850 $ 1,689,670 821,321 $ 8,940,557
Shares issued in reinvestment of
distributions ..................... 46,103 529,520 15,601 170,087
-------- ------------- --------- -------------
185,953 2,219,190 836,922 9,110,644
Shares repurchased ................... (222,010) (2,669,766) (724,076) (7,857,065)
-------- ------------- --------- -------------
Net increase (decrease) ........... (36,057) $ (450,576) 112,846 $ 1,253,579
======== ============= ========= =============
<CAPTION>
EQUITY INCOME FUND
----------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, 2000 YEAR ENDED
(UNAUDITED) AUGUST 31, 1999
------------------------ ------------------------
SHARES VALUE SHARES VALUE
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Shares sold .......................... 48,725 $ 681,593 219,202 $ 3,141,876
Shares issued in reinvestment of
distributions ..................... 37,525 515,957 21,738 302,170
-------- ------------- -------- -------------
86,250 1,197,550 240,940 3,444,046
Shares repurchased ................... (256,867) (3,544,072) (295,944) (4,058,000)
-------- ------------- -------- -------------
Net decrease ...................... (170,617) $ (2,346,522) (55,004) $ (613,954)
======== ============= ======== =============
</TABLE>
See accompanying notes to financial statements
54
<PAGE>
<TABLE>
<CAPTION>
EUROPEAN GROWTH
& INCOME FUND NASDAQ-100 INDEX FUND
----------------------- -----------------------
JANUARY 18, 2000* JANUARY 18, 2000*
TO TO
FEBRUARY 29, 2000 FEBRUARY 29, 2000
(UNAUDITED) (UNAUDITED)
----------------------- -----------------------
SHARES VALUE SHARES VALUE
-------- ------- -------- -------
<S> <C> <C> <C> <C>
Shares sold .......................... 60,260 $ 595,289 557,892 $ 5,745,404
Shares repurchased ................... (2,045) (20,390) (12,451) (126,856)
---------- ----------- ----------- -------------
Net increase ...................... $ 58,215 $ 574,899 $ 545,441 $ 5,618,548
========== =========== =========== =============
</TABLE>
* Commencement of Operations
See accompanying notes to financial statements
55
<PAGE>
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE MONEY MARKET FUND
-------------------------------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
2000 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period . $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ............. 0.010 0.026 0.030 0.031 0.032 0.032
LESS DISTRIBUTIONS
Dividends from net
investment income .............. (0.010) (0.026) (0.030) (0.031) (0.032) (0.032)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period ....... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== ========== ========== ==========
Total Return ......................... 1.07% 2.61% 3.09% 3.09% 3.26% 3.27%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) $ 105,022 $ 105,606 $ 88,236 $ 92,818 $ 103,402 $ 80,412
Ratio of expenses to average net
assets:
Before expense reimbursements 0.62%* 0.61% 0.61% 0.61% 0.61% 0.66%
After expense reimbursements 0.40%* 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to
average net assets:
Before expense reimbursements 2.35%* 2.33% 2.77% 2.86% 2.90% 2.97%
After expense reimbursements 2.57%* 2.54% 2.98% 3.07% 3.11% 3.23%
Portfolio Turnover
</TABLE>
* Annualized
See accompanying notes to the financial statements
56
<PAGE>
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
-------------------------------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
2000 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period ....... $ 12.40 $ 13.18 $ 12.86 $ 12.31 $ 12.22 $ 12.17
----------- ----------- ----------- ----------- ----------- -----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................... 0.28 0.56 0.58 0.60 0.62 0.61
Net gain (loss) on securities (both
realized and unrealized) ............. (0.23) (0.68) 0.51 0.54 0.09 0.30
----------- ----------- ----------- ----------- ----------- -----------
Total from investment operations .. 0.05 (0.12) 1.09 1.14 0.71 0.91
----------- ----------- ----------- ----------- ----------- -----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................... (0.28) (0.57) (0.58) (0.59) (0.62) (0.66)
Distributions from capital gains ........ (0.06) (0.09) (0.19) -- -- (0.20)
----------- ----------- ----------- ----------- ----------- -----------
Total distributions .................. (0.34) (0.66) (0.77) (0.59) (0.62) (0.86)
----------- ----------- ----------- ----------- ----------- -----------
Net asset value, end of period ............. $ 12.11 $ 12.40 $ 13.18 $ 12.86 $ 12.31 $ 12.22
=========== =========== =========== =========== =========== ===========
Total Return ............................... 0.01% (1.07)% 8.75% 9.48% 5.40% 8.01%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) .... $ 191,713 $ 200,946 $ 225,507 $ 212,198 $ 194,926 $ 196,046
Ratio of expenses to average net
assets:
Before expense reimbursements ..... 0.63%* 0.61% 0.61% 0.59% 0.60% 0.62%
After expense reimbursements ...... 0.63%* 0.61% 0.61% 0.59% 0.60% 0.62%
Ratio of net investment income to
average net assets: ..................
Before expense reimbursements ..... 4.59%* 4.33% 4.47% 4.75% 4.96% 5.13%
After expense reimbursements ...... 4.59%* 4.33% 4.47% 4.75% 4.96% 5.13%
Portfolio Turnover ...................... 47.55% 16.36% 20.95% 34.96% 10.34% 32.21%
</TABLE>
* Annualized
See accompanying notes to the financial statements
57
<PAGE>
FINANCIAL HIGHLIGHTS --(CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA INSURED INTERMEDIATE FUND
-------------------------------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
2000 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 10.54 $ 10.92 $ 10.72 $ 10.42 $ 10.49 $ 10.23
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.21 0.43 0.44 0.45 0.46 0.44
Net gain (loss) on securities (both
realized and unrealized) .......... (0.14) (0.26) 0.25 0.30 (0.07) 0.30
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.07 0.17 0.69 0.75 0.39 0.74
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.22) (0.43) (0.44) (0.45) (0.46) (0.48)
Distributions from capital gains ..... (0.02) (0.12) (0.05) -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ............... (0.24) (0.55) (0.49) (0.45) (0.46) (0.48)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period .......... $ 10.37 $ 10.54 $ 10.92 $ 10.72 $ 10.42 $ 10.49
========== ========== ========== ========== ========== ==========
Total Return ............................ 0.30% 1.51% 6.64% 7.34% 3.75% 7.46%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 23,164 $ 24,175 $ 23,572 $ 24,390 $ 24,207 $ 23,515
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.69%* 0.66% 0.70% 0.70% 0.70% 0.76%
After expense reimbursements ... 0.55%* 0.55% 0.55% 0.55% 0.55% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 3.94%* 3.85% 3.94% 4.12% 4.22% 4.19%
After expense reimbursements ... 4.08%* 3.96% 4.09% 4.27% 4.37% 4.35%
Portfolio Turnover ................... 25.90% 8.38% 26.76% 32.11% 36.08% 43.56%
</TABLE>
* Annualized
See accompanying notes to the financial statements
58
<PAGE>
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
U. S. GOVERNMENT SECURITIES FUND
-------------------------------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
2000 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 10.24 $ 11.30 $ 10.38 $ 10.15 $ 10.66 $ 10.30
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.28 0.56 0.59 0.64 0.66 0.70
Net gain (loss) on securities (both
realized and unrealized) .......... (0.23) (0.80) 1.01 0.36 (0.51) 0.41
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 0.05 (0.24) 1.60 1.00 0.15 1.11
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.28) (0.56) (0.61) (0.63) (0.66) (0.75)
Distributions from capital gains ..... (0.05) (0.26) (0.07) (0.14) -- --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ............... (0.33) (0.82) (0.68) (0.77) (0.66) (0.75)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period .......... $ 9.96 $ 10.24 $ 11.30 $ 10.38 $ 10.15 $ 10.66
========== ========== ========== ========== ========== ==========
Total Return ............................ 0.03% (2.42)% 15.88% 10.00% 1.26% 11.42%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 27,691 $ 30,950 $ 36,063 $ 31,277 $ 29,088 $ 29,884
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.69%* 0.66% 0.68% 0.69% 0.71% 0.75%
After expense reimbursements ... 0.65%* 0.65% 0.65% 0.65% 0.65% 0.64%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 5.58%* 5.11% 5.46% 6.00% 6.10% 6.72%
After expense reimbursements ... 5.62%* 5.12% 5.49% 6.04% 6.16% 6.83%
Portfolio Turnover ................... 130.72% 139.00% 65.27% 170.76% 89.11% 169.83%
</TABLE>
* Annualized
See accompanying notes to the financial statements
59
<PAGE>
FINANCIAL HIGHLIGHTS --(CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
SHORT-TERM
U.S. GOVT. BOND FUND
--------------------
JANUARY 18, 2000*
TO
FEBRUARY 29, 2000
(UNAUDITED)
--------------------
Net asset value, beginning of period .... $ 10.00
---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.07
Net gain (loss) on securities (both
realized and unrealized) .......... (0.01)
---------
Total from investment operations 0.06
---------
LESS DISTRIBUTIONS
Dividends from net investment ........ (0.07)
income
Net asset value, end of period .......... $ 9.99
=========
Total Return ............................ 0.56%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 1,475
Ratio of expenses to average net
assets:
Before expense reimbursements .. 2.08%**
After expense reimbursements ... 0.03%**
Ratio of net investment income
to average net assets:
Before expense reimbursements .. 3.91%**
After expense reimbursements ... 5.96%**
Portfolio Turnover ................... --
* Commencement of Operations
** Annualized
See accompanying notes to the financial statements
60
<PAGE>
FINANCIAL HIGHLIGHTS --(CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
THE UNITED STATES TREASURY TRUST
-------------------------------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
2000 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
---------- ---------- ---------- ----------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.022 0.042 0.051 0.048 0.050 0.050
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.022) (0.042) (0.051) (0.048) (0.050) (0.050)
---------- ---------- ---------- ----------- ---------- ----------
Net asset value, end of period .......... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
========== ========== ========== =========== ========== ==========
Total Return ............................ 1.90% 4.22% 5.21% 4.92% 5.11% 5.10%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's).. $ 72,150 $ 50,517 $ 44,341 $ 104,509 $ 37,903 $ 29,797
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.64%* 0.63% 0.64% 0.64% 0.66% 0.72%
After expense reimbursements ... 0.40%* 0.41% 0.40% 0.40% 0.43% 0.50%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 4.40%* 3.92% 4.54% 4.58% 4.60% 4.75%
After expense reimbursements ... 4.64%* 4.14% 4.78% 4.82% 4.83% 4.97%
</TABLE>
* Annualized
See accompanying notes to the financial statements
61
<PAGE>
FINANCIAL HIGHLIGHTS --(CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
S&P 500 INDEX FUND
-------------------------------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
2000 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 28.12 $ 20.90 $ 19.98 $ 14.81 $ 13.31 $ 11.38
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.22 0.39 0.36 0.38 0.36 0.39
Net gain on securities (both
realized and unrealized) .......... 0.96 7.79 1.28 5.44 2.05 1.94
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 1.18 8.18 1.64 5.82 2.41 2.33
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.22) (0.39) (0.34) (0.37) (0.37) (0.37)
Distributions from capital gains ..... (1.32) (0.57) (0.38) (0.28) (0.54) (0.03)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ............... (1.54) (0.96) (0.72) (0.65) (0.91) (0.40)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period .......... $ 27.76 $ 28.12 $ 20.90 $ 19.98 $ 14.81 $ 13.31
========== ========== ========== ========== ========== ==========
Total Return ............................ 4.14% 39.76% 8.14% 40.19% 18.63% 21.06%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 147,296 $ 142,276 $ 87,621 $ 71,860 $ 43,849 $ 21,800
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.36%* 0.37% 0.40% 0.46% 0.57% 1.04%
After expense reimbursements ... 0.20%* 0.20% 0.20% 0.20% 0.20% 0.20%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 1.34%* 1.33% 1.48% 1.85% 2.13% 2.40%
After expense reimbursements ... 1.50%* 1.50% 1.68% 2.11% 2.50% 3.24%
Portfolio Turnover ................... 1.95% 9.76% 1.82% 2.10% 1.87% 3.68%
</TABLE>
* Annualized
See accompanying notes to the financial statements
62
<PAGE>
FINANCIAL HIGHLIGHTS --(CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD)
<TABLE>
<CAPTION>
S&P MIDCAP INDEX FUND
-------------------------------------------------------------------------------
SIX MONTHS ENDED
FEBRUARY 29, YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
2000 AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1999 1998 1997 1996 1995
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 18.70 $ 15.41 $ 18.57 $ 14.45 $ 13.82 $ 12.21
---------- ---------- ---------- ---------- ---------- ----------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.13 0.20 0.23 0.22 0.24 0.26
Net gain (loss) on securities (both
realized and unrealized) .......... 2.75 5.80 (1.76) 4.85 1.33 2.04
---------- ---------- ---------- ---------- ---------- ----------
Total from investment operations 2.88 6.00 (1.53) 5.07 1.57 2.30
---------- ---------- ---------- ---------- ---------- ----------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.10) (0.20) (0.23) (0.22) (0.25) (0.25)
Distributions from capital gains ..... (4.01) (2.51) (1.40) (0.73) (0.69) (0.44)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ..................... (4.11) (2.71) (1.63) (0.95) (0.94) (0.69)
---------- ---------- ---------- ---------- ---------- ----------
Net asset value, end of period .......... $ 17.47 $ 18.70 $ 15.41 $ 18.57 $ 14.45 $ 13.82
========== ========== ========== ========== ========== ==========
Total Return ............................ 17.49% 41.13% (9.37)% 36.63% 11.77% 20.24%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 62,378 $ 57,164 $ 39,855 $ 46,271 $ 33,559 $ 26,168
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.56%* 0.57% 0.56% 0.61% 0.71% 0.80%
After expense reimbursements ... 0.40%* 0.40% 0.40% 0.40% 0.40% 0.40%
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 1.01%* 0.90% 1.04% 1.19% 1.38% 1.70%
After expense reimbursements ... 1.17%* 1.07% 1.20% 1.40% 1.69% 2.10%
Portfolio Turnover ................... 9.42% 42.98% 19.35% 17.80% 18.18% 11.71%
</TABLE>
* Annualized
See accompanying notes to the financial statements
63
<PAGE>
FINANCIAL HIGHLIGHTS --(CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
S&P SMALLCAP INDEX FUND
---------------------------------------------------------
SIX MONTHS ENDED OCTOBER 2, 1996*
FEBRUARY 29, YEAR ENDED YEAR ENDED TO
2000 AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 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 ................ 0.07 0.08 0.13 0.23
Net gain (loss) on securities (both
realized and unrealized) .......... 2.86 2.13 (2.39) 2.22
---------- ---------- --------- ---------
Total from investment operations 2.93 2.21 (2.26) 2.45
---------- ---------- --------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.05) (0.08) (0.14) (0.20)
Distributions from capital gains ..... (0.53) (0.13) (0.39) --
---------- ---------- --------- ---------
Total distributions ..................... (0.58) (0.21) (0.53) (0.20)
---------- ---------- --------- ---------
Net asset value, end of period .......... $ 13.81 $ 11.46 $ 9.46 $ 12.25
========== ========== ========= =========
Total Return ............................ 26.61% 23.53% (19.38)% 24.86%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 12,616 $ 10,881 $ 7,916 $ 5,933
Ratio of expenses to average net
assets:
Before expense reimbursements .. 1.03%** 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 .. 0.59%** 0.31% 0.57% 0.27%**
After expense reimbursements ... 0.97%** 0.71% 1.02% 1.94%**
Portfolio Turnover ................... 13.76% 25.40% 24.58% 19.99%
</TABLE>
* Commencement of Operations
** Annualized
See accompanying notes to the financial statements
64
<PAGE>
FINANCIAL HIGHLIGHTS --(CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
EQUITY INCOME FUND
---------------------------------------------------------
SIX MONTHS ENDED SEPT. 4, 1996*
FEBRUARY 29, YEAR ENDED YEAR ENDED TO
2000 AUGUST 31, AUGUST 31, AUGUST 31,
(UNAUDITED) 1999 1998 1997
---------------------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period .... $ 14.38 $ 11.98 $ 12.64 $ 10.00
---------- ---------- ---------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.17 0.32 0.37 0.39
Net gain (loss) on securities (both
realized and unrealized) .......... (0.62) 2.41 (0.25) 2.84
---------- ---------- ---------- ---------
Total from investment operations (0.45) 2.73 0.12 3.23
---------- ---------- ---------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income ............................ (0.14) (0.33) (0.37) (0.32)
Distributions from capital gains ..... (0.42) -- (0.41) (0.27)
---------- ---------- ---------- ---------
Total distributions ..................... (0.56) (0.33) (0.78) (0.59)
---------- ---------- ---------- ---------
Net asset value, end of period .......... $ 13.37 $ 14.38 $ 11.98 $ 12.64
========== ========== ========== =========
Total Return ............................ (3.22)% 22.89% 0.46% 33.28%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 10,467 $ 13,716 $ 12,080 $ 9,747
Ratio of expenses to average net
assets:
Before expense reimbursements .. 0.87%** 0.86% 0.91% 1.55%**
After expense reimbursements ... 0.79%** 0.80% 0.78% 0.76%**
Ratio of net investment income to
average net assets:
Before expense reimbursements .. 1.94%** 2.09% 2.56% 2.48%**
After expense reimbursements ... 2.02%** 2.15% 2.69% 3.27%**
Portfolio Turnover ................... 13.66% 54.03% 41.23% 2.80%
</TABLE>
* Commencement of Operations
** Annualized
65
<PAGE>
FINANCIAL HIGHLIGHTS --(CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
EUROPEAN GROWTH & NASDAQ-100
INCOME FUND INDEX FUND
--------------------------------------
JANUARY 18, 2000* JANUARY 18, 2000*
TO TO
FEBRUARY 29, 2000 FEBRUARY 29, 2000
(UNAUDITED) (UNAUDITED)
--------------------------------------
Net asset value, beginning of period .... $ 10.00 $ 10.00
--------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................ 0.01 0.05
Net gain (loss) on securities (both
realized and unrealized) .......... 0.05 1.00
--------- ---------
Total from investment operations 0.06 1.05
--------- ---------
LESS DISTRIBUTIONS
Dividends from net investment ........ -- --
income
Net asset value, end of period .......... $ 10.06 $ 11.05
========= =========
Total Return ............................ 0.60% 10.50%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (in 000's) . $ 586 $ 6,026
Ratio of expenses to average net
assets:
Before expense reimbursements .. 6.03%** 1.63%**
After expense reimbursements ... 0.91%** 0.61%**
Ratio of net investment income to
average net assets:
Before expense reimbursements .. (4.84)%** 3.41%**
After expense reimbursements ... 0.28%** 4.43%**
Portfolio Turnover ................... 128.25% --
* Commencement of Operations
** Annualized
See accompanying notes to the financial statements
66
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
FEBRUARY 29, 2000
(UNAUDITED)
Note 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Intermediate Fund are separate series of shares of beneficial
interest of California Investment Trust. U.S. Government Securities Fund, The
United States Treasury Trust, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, 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
issued an unlimited number of no par value shares in one or more series. The
investment objectives of the Funds are as follows: California Tax-Free Income
Fund and California Insured Intermediate Fund seek as high a level of income
exempt from federal and California personal income taxes as is consistent with
prudent investment management and safety of capital. California Tax-Free Money
Market Fund seeks capital preservation, liquidity and the highest achievable
current income exempt from both federal and California personal income taxes
consistent with safety. U.S. Government Securities Fund seeks safety from credit
risk, liquidity, and as high a level of income as is consistent with these
objectives by investment in full faith and credit obligations of the U.S.
Government and its agencies or instrumentalities. The United States Treasury
Trust seeks preservation of capital, safety, liquidity and consistent with these
objectives, the highest attainable current income exempt from state income
taxes. S&P 500 Index Fund, S&P MidCap Index Fund and S&P SmallCap Index Fund are
diversified mutual funds that seek to provide investment results that correspond
to the total return of publicly traded common stocks represented in the Standard
& Poor's 500 Composite Stock Price Index, the Standard & Poor's MidCap 400 Index
and the Standard & Poor's SmallCap 600 Index, respectively. The Equity Income
Fund seeks a high level of current income by investing primarily in income
producing equity securities. 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 investor's 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
67
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
futures to maintain cash reserves while remaining fully invested, to
facilitate trading, to reduce transaction costs, or to seek higher
investment returns when a futures contract is priced more attractively than
the underlying equity security or index. Risks include the possibility of
an illiquid market and an imperfect correlation between the change in
market value of the stocks held by a Fund and the prices of futures
contracts.
(c) Federal Income Taxes --- No provision is considered necessary for
Federal income taxes. The Funds intend to qualify for an elect the tax
treatment applicable to regulated investment companies under the Internal
Revenue Code and to distribute all of their taxable income to shareholders.
California Tax-Free Money Market Fund has capital loss carryovers available
to offset future gains, if any, of $28,920 which expire as follows, $9,949
in 1999, $4,130 in 2000, $1,920 in 2003 and $12,921 in 2004.
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities
purchased are amortized in accordance with tax regulations. Distributions
to shareholders are recorded on the ex-dividend date for the California
Tax-Free Income Fund, the California Insured Intermediate Fund, the U.S.
Government Securities Fund, S&P 500 Index Fund, S&P MidCap Index Fund, S&P
SmallCap Index Fund, 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.
(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.
68
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Note 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Intermediate Fund, U.S. Government Securities Fund, and The U.S. Treasury Trust,
CCM receives compensation at the annual rate of 0.50% of the Funds' average
daily net assets not exceeding $100 million, 0.45% on net assets from $100
million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives as compensation at the annual rate
of 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 six month period ended February 29, 2000,
is as follows:
California Tax-Free Money Market Fund $ 116,109
California Insured Intermediate Fund $ 16,907
U.S. Government Securities Fund ..... $ 6,112
Short-Term U.S. Government Bond Fund $ 3,274
The United States Treasury Trust .... $ 74,445
S&P 500 Index Fund .................. $ 123,173
S&P MidCap Index Fund ............... $ 46,271
S&P SmallCap Fund ................... $ 21,247
Equity Income Fund .................. $ 4,783
European Growth & Income Fund ....... $ 2,423
Nasdaq-100 Index Fund ............... $ 2,797
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 six months ended February 29, 2000 were as follows:
PURCHASES SALES
------------ ------------
California Tax-Free Income Fund ....... $ 88,420,090 $107,299,905
California Insured Tax-Free Income Fund $ 5,997,146 $ 6,611,240
U.S. Government Securities Fund ....... $ 35,967,022 $ 38,146,231
Short-Term U.S. Government Bond Fund .. $ 898,234 $ --
S&P 500 Index Fund .................... $ 16,475,956 $ 2,566,641
S&P Midcap Index Fund ................. $ 5,040,330 $ 9,693,168
69
<PAGE>
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
FEBRUARY 29, 2000
(UNAUDITED)
Equity Income Fund .................... $ 1,902,942 $ 1,265,350
S&P SmallCap Index Fund ............... $ 1,224,497 $ 2,953,875
European Growth & Income Fund.......... $ 1,122,285 $ 527,222
Nasdaq-100 Index Fund ................. $ 4,008,007 $ --
70
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