<PAGE> 1
REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS
To the Shareholders and Board of Trustees
California Investment Trust
California Investment Trust II
We have audited the accompanying statements of assets and liabilities of
California Tax-Free Money Market Fund, California Tax-Free Income Fund and
California Insured Tax-Free Income Fund, each a series of shares of beneficial
interest of California Investment Trust, and the U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund and S&P MidCap Index
Fund, each a series of shares of beneficial interest of California Investment
Trust II, including the portfolios of investments, as of August 31, 1995 and the
related statements of operations for the year then ended, the statements of
changes in net assets for each of the two years in the period then ended and the
financial highlights for the periods indicated thereon. These financial
statements and financial highlights are the responsibility of the Trusts'
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audits to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of
August 31, 1995, by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights
referred to above present fairly, in all material respects, the financial
position of California Tax-Free Money Market Fund, California Tax-Free Income
Fund, California Insured Tax-Free Income Fund, the U.S. Government Securities
Fund, The United States Treasury Trust, S&P 500 Index Fund and S&P MidCap Index
Fund as of August 31, 1995, the results of their operations for the year then
ended, the changes in their net assets for each of the two years in the period
then ended and the financial highlights for the periods referred to above, in
conformity with generally accepted accounting principles.
TAIT, WELLER & BAKER
Philadelphia, Pennsylvania
September 29, 1995
- --------------------------------------------------------------------------------
For the year ended August 31, 1995, 100% of the distributions paid from net
investment income of the California Tax-Free Money Market Fund, California
Tax-Free Income Fund and California Insured Tax-Free Income Fund qualify as
tax-exempt interest dividends to noncorporate shareholders.
- --------------------------------------------------------------------------------
<PAGE> 2
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
VARIABLE RATE DEMAND NOTES (b) (54.18%)
<S> <C> <C> <C> <C>
ASSOCIATION OF BAY AREA GOVT. FINANCE AUTHORITY
$ 1,300,000 Lucile Slater Packard Children's Hospital..................... 3.200% 9/7/95 $ 1,300,000
CALIFORNIA HEALTH FACILITIES FINANCE AUTHORITY
900,000 Sutter Health Series 1990A.................................... 3.300% 9/1/95 900,000
700,000 Sutter Health Series 1995..................................... 3.300% 9/1/95 700,000
1,700,000 St. Francis Memorial Hospital................................. 3.350% 9/7/95 1,700,000
3,500,000 Kaiser Permanente............................................. 3.350% 9/7/95 3,500,000
900,000 Children's Hospital of Orange County Series 1994.............. 3.400% 9/7/95 900,000
3,600,000 Newport Beach Hoag Memorial Hospital.......................... 3.450% 9/1/95 3,600,000
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
400,000 Shell Oil Series 1991A........................................ 3.300% 9/1/95 400,000
2,800,000 Southern California Edison Series A........................... 3.450% 9/1/95 2,800,000
400,000 Southern California Edison Series D........................... 3.450% 9/1/95 400,000
CITY OF RIVERSIDE
3,000,000 Multifamily Housing Revenue Series 1985G ..................... 3.550% 9/7/95 3,000,000
CITY OF SANTA CLARA
1,200,000 Floating Rate Demand Electric Revenue Series C................ 3.400% 9/7/95 1,200,000
CITY OF SOUTH SAN FRANCISCO
1,125,000 Water Control Plant Improvement Project 1991.................. 3.600% 9/7/95 1,125,000
CONTRA COSTA TRANSPORTATION AUTHORITY
1,600,000 Sales Tax Revenue Bonds ...................................... 3.400% 9/7/95 1,600,000
EASTERN MUNICIPAL WATER DISTRICT
3,000,000 Water & Sewer Revenue Cert. of Participation.................. 3.350% 9/7/95 3,000,000
INDEPENDENT CITIES FINANCE AUTHORITY
3,240,000 Pooled Projects............................................... 3.300% 9/7/95 3,240,000
INDUSTRIAL DEVELOPMENT AUTHORITY OF FULLERTON
1,600,000 Industrial Development for PCL Industry ...................... 3.400% 9/7/95 1,600,000
LOS ANGELES COUNTY MTA
2,400,000 Public Improvement Project.................................... 3.450% 9/7/95 2,400,000
REGIONAL AIRPORTS IMPROVEMENT CORPORATION
1,100,000 Facilities Sublease Revenue Bonds Series 84A ................. 3.500% 9/1/95 1,100,000
700,000 Facilities Sublease Revenue Bonds Series 84C ................. 3.500% 9/1/95 700,000
1,900,000 Facilities Sublease Revenue Bonds Series 84D ................. 3.500% 9/1/95 1,900,000
SAN BERNARDINO COUNTY TRANSPORTATION AUTHORITY
3,000,000 Sales Tax Revenue Bonds....................................... 3.500% 9/7/95 3,000,000
SOUTHERN CALIFORNIA PUBLIC POWER AUTHORITY
3,500,000 Transmission Project Series 1991B ............................ 3.600% 9/7/95 3,500,000
-----------
Total Variable Demand Notes
(cost $43,565,000)..................................... 43,565,000
-----------
</TABLE>
2
<PAGE> 3
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(Continued)
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
TAX AND REVENUE ANTICIPATION NOTES (17.08%)
<S> <C> <C> <C> <C>
$ 2,000,000 California Revenue Anticipation Warrant........................ 5.750% 4/25/96 $ 2,024,567
2,000,000 Hillsborough City School District.............................. 4.750% 7/5/95 2,009,687
3,000,000 Los Angeles County Local Ed. Agencies.......................... 4.750% 7/5/96 3,016,157
1,500,000 Roseville City School District................................. 4.700% 9/5/96 1,507,170
1,165,000 San Carlos School District..................................... 4.750% 7/5/96 1,171,570
2,000,000 San Mateo County Schools Insurance Group ...................... 5.000% 11/13/95 2,001,528
2,000,000 Sonoma County ................................................. 4.750% 10/10/95 2,001,333
-----------
Total Tax & Revenue Anticipation Notes
(cost $13,732,012)..................................... 13,732,012
-----------
COMMERCIAL PAPER (30.34%)
CALIFORNIA POLLUTION CONTROL AUTHORITY
2,600,000 Pacific Gas & Electric 1988C................................... 4.000% 10/19/95 2,600,000
1,700,000 Pacific Gas & Electric 1988E................................... 4.150% 9/11/95 1,700,000
CALIFORNIA EDUCATION FACILITIES FINANCING AUTHORITY
1,000,000 Carnegie Institute Tax Exempt Commercial Paper................. 3.650% 12/8/95 1,000,000
DEL MAR RACE TRACK AUTHORITY
3,000,000 Tax Exempt Commercial Paper.................................... 3.750% 9/28/95 3,000,000
EAST BAY MUNICIPAL UTILITY DISTRICT
3,000,000 Tax Exempt Commercial Paper ................................... 3.400% 10/26/95 3,000,000
LOS ANGELES COUNTY WASTEWATER AUTHORITY
2,900,000 Tax Exempt Commercial Paper ................................... 3.500% 10/23/95 2,900,000
LOS ANGELES DEPT. OF WATER & POWER
3,500,000 Tax Exempt Commercial Paper.................................... 3.400% 10/17/95 3,500,000
LOS ANGELES METRO TRANSPORTATION AUTHORITY
1,500,000 Commercial Paper............................................... 3.650% 11/8/95 1,500,000
METRO WATER DISTRICT OF SOUTHERN CA
1,400,000 Tax Exempt Commercial Paper.................................... 2.900% 9/11/95 1,400,000
1,000,000 Tax Exempt Commercial Paper.................................... 3.75% 9/13/95 1,000,000
SACRAMENTO MUNICIPAL UTILITY DISTRICT
2,800,000 Tax Exempt Commercial Paper.................................... 3.600% 9/12/95 2,800,000
-----------
</TABLE>
3
<PAGE> 4
CALIFORNIA TAX-FREE MONEY MARKET FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
--------
<S> <C>
Total Commercial Paper
(cost $24,400,000)........................................ $ 24,400,000
Total Investments (101.60%)
(cost $81,697,012) (a).................................... 81,697,012
Liabilities in Excess of Other Assets (1.60%)................ (1,285,435)
--------------
Net Assets (100.00%)...................................... $ 80,411,577
==============
</TABLE>
_____________________
(a) Aggregate cost for federal income tax purposes is $81,697,012.
(b) Variable interest rates are subject to change every 1 to 7 days.
See accompanying notes to financial statements
4
<PAGE> 5
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
LONG-TERM SECURITIES (98.60%)
<S> <C> <C> <C> <C>
CASTAIC LAKE WATER AGENCY
$ 2,090,000 Certificates of Participation Series 1994A................... 7.250% 8/1/09 $ 2,455,750
CONTRA COSTA WATER DISTRICT
4,000,000 Water Revenue Bonds.......................................... 6.250% 10/1/12 4,195,000
CULVER CITY REDEVELOPMENT FINANCE AUTHORITY
3,000,000 Tax Allocation Refunding Revenue Bonds 1993.................. 5.500% 11/1/14 2,850,000
FONTANA CITY SCHOOL DISTRICT
4,240,000 Fontana City School District................................. 6.250% 5/1/12 3,778,900
FRESNO, CITY OF
6,000,000 California Sewer System Revenue Bonds ....................... 5.250% 9/1/19 5,400,000
LOS ANGELES CA CONV. & EXHIB. CENTER AUTHORITY, CITY OF
1,300,000 Certificate of Participation 1985............................ 9.000% 12/1/20 1,733,875
560,000 Certificate of Participation 1985............................ 9.000% 12/1/10 746,900
7,500,000 Lease Revenue Bonds 1993 Refunding Series H.................. 6.000% 8/15/10 7,696,875
LOS ANGELES DEPARTMENT OF AIRPORTS
5,000,000 Revenue Refunding Bonds...................................... 6.500% 5/15/04 5,543,750
LOS ANGELES DEPT. OF WATER & POWER, CITY OF
2,680,000 Electric Plant Refunding Revenue Bond 1993................... 9.000% 9/1/01 3,269,600
LOS ANGELES STATE BUILDING AUTHORITY
5,250,000 Deparment of General Services 1993 Series A.................. 5.625% 5/1/11 4,961,250
LOS ANGELES WASTEWATER SYSTEM
2,300,000 Wastewater System Rev. Bonds Series 1994A.................... 8.500% 6/1/03 2,837,625
3,270,000 Wastewater System Rev. Bonds Series 1994A.................... 8.500% 6/1/04 4,087,500
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
4,540,000 Sales Tax Revenue Refunding Bond............................. 6.500% 7/1/10 4,852,125
MSR PUBLIC POWER AGENCY
3,500,000 San Juan Project Series D.................................... 6.750% 7/1/20 3,867,500
5,410,000 San Juan Project Series F.................................... 6.125% 7/1/13 5,579,063
METROPOLITAN WATER DISTRICT OF SOUTHERN CA
4,000,000 Water Revenue Bonds 1995 Series A............................ 5.750% 7/1/15 3,910,000
NORTHERN CA POWER AGENCY
1,425,000 Geothermal Project Series A.................................. 5.850% 7/1/10 1,462,406
1,000,000 California-Oregon Transmission Project, 1990A................ 7.000% 5/1/13 1,132,500
REDEVELOPMENT AGENCY OF OAKLAND
5,650,000 Senior Tax Allocation Refunding Proj. Series 1992............ 5.500% 2/1/14 5,402,813
ORANGE COUNTY LOCAL TRANSPORTATION AUTHORITY
3,750,000 Measure M Sales Tax Revenue Bond............................. 9.500% 2/15/03 4,734,375
PASADENA, CITY OF
4,000,000 Certificates of Participation................................ 6.250% 1/1/18 4,115,000
</TABLE>
5
<PAGE> 6
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
<S> <C> <C> <C> <C>
PORT HUENEME, CITY OF
$ 2,200,000 1992 Refunding Cert. of Participation......................... 6.000% 4/1/12 $ 2,249,500
SACRAMENTO MUD
9,000,000 Electric Revenue Refunding Bonds 1992 Series A................ 6.250% 8/15/10 9,596,250
SAN BERNARDINO COUNTY
5,500,000 Certificate of Participation Series B......................... 6.875% 8/1/24 6,187,500
SAN FRANCISCO BART
2,950,000 Sales Tax Revenue Refunding Bonds 1990........................ 6.750% 7/1/11 3,289,250
SAN JOSE, REDEVELOPMENT AGENCY OF
5,500,000 Merced Area Redevelopment Project 1993........................ 6.000% 8/1/10 5,754,375
SAN MATEO TRANSPORTATION DISTRICT
10,000,000 Limited Tax Bonds 1993 Series A............................... 5.250% 6/1/19 9,012,500
SANTA CLARA, REDEVELOPMENT AGENCY OF
6,000,000 Bayshore North Project 1992................................... 7.000% 7/1/10 6,840,000
SOUTH COAST AIR QUAL. MGMT. DISTRICT
2,400,000 Installment Sales Revenue Bonds............................... 6.000% 8/1/11 2,502,000
SOUTHERN CA PUBLIC POWER AUTHORITY
1,195,000 Multiple Project Revenue Bonds................................ 6.750% 7/1/11 1,271,181
2,000,000 Multiple Project Revenue Bonds................................ 6.750% 7/1/12 2,122,500
6,800,000 Multiple Project Revenue Bonds................................ 6.750% 7/1/13 7,191,000
CALIFORNIA DEPARTMENT OF WATER RESOURCES
2,320,000 Central Valley Project Series J1.............................. 7.000% 12/1/11 2,633,200
2,585,000 Central Valley Project Series J3.............................. 7.000% 12/1/11 2,933,975
CALIFORNIA, STATE OF
9,000,000 General Obligation Bonds...................................... 6.250% 9/1/12 9,427,500
CALIFORNIA STATE PUBLIC WORKS BOARD
8,000,000 Dept. of Corrections, 1991 Series A........................... 6.500% 9/1/17 8,300,000
1,000,000 Hightech Facilities, San Jose 1986 Series A................... 7.750% 8/1/06 1,156,250
5,000,000 Lease Revenue Bonds Regents of Univ. of CA ................... 5.500% 6/1/14 4,575,000
3,630,000 California Community Colleges 1994 Series A .................. 9.000% 10/1/03 4,492,125
CALIFORNIA STATEWIDE COMMUNITIES DEV. AUTHORITY
6,000,000 Certificate of Part. Cedar Sinai.............................. 6.500% 8/1/12 6,277,500
3,615,000 Children's Hospital of Los Angeles, Series 1993............... 6.000% 6/1/09 3,737,006
REGENTS OF THE UNIVERSITY OF CALIFORNIA
3,000,000 UCLA Central Chiller/Cogeneration Facility.................... 10.000% 11/1/03 3,930,000
4,000,000 Multi Purpose Projects 1989 Series C.......................... 10.000% 9/1/02 5,210,000
------------
Total Long-Term Securities (98.60%)
(cost $187,160,861).................................... 193,301,419
------------
</TABLE>
6
<PAGE> 7
CALIFORNIA TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
VARIABLE RATE DEMAND NOTES (b) (2.10%)
<S> <C> <C> <C> <C>
CALIFORNIA POLLUTION CONTROL FINANCE AUTHORITY
$ 700,000 Southern California Edison.................................... 3.450% 9/1/95 $ 700,000
400,000 Southern California Edison.................................... 3.450% 9/1/95 400,000
REGIONAL AIRPORTS IMPROVEMENT CORPORATION
200,000 Facilities Sublease Revenue Bonds Series...................... 3.500% 9/1/95 200,000
2,300,000 Facilities Sublease Revenue Bonds Series...................... 3.500% 9/1/95 2,300,000
CALIFORNIA HEALTH FACILITIES FINANCE AUTHORITY
500,000 Newport Beach Hoag Memorial Hospital.......................... 3.450% 9/1/95 500,000
------------
Total Variable Rate Demand Notes (2.10%)
(cost $4,100,000)...................................... 4,100,000
------------
Total Investments (100.70%)
(cost $191,260,861)................................. 197,401,419
Liabilities In Excess of Other Assets (0.70%)............ (1,355,850)
------------
Net Assets (100.0%)................................. $196,045,569
============
_____________________
(a) Aggregate cost for federal income tax purposes is $191,260,861. At
August 31, 1995, unrealized appreciation (depreciation) of securities for
federal income tax purposes is as follows:
Unrealized appreciation.................................. $ 7,910,794
Unrealized depreciation.................................. (1,770,236)
------------
Net unrealized appreciation......................... $ 6,140,558
============
</TABLE>
(b) Variable interest rates are subject to change every 1 to 7 days.
See accompanying notes to financial statements
7
<PAGE> 8
CALIFORNIA INSURED TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
LONG-TERM SECURITIES (96.65%)
<S> <C> <C> <C> <C>
ALAMEDA COUNTY TRANSPORTATION AUTHORITY
$ 200,000 Sales Tax Revenue Bonds ...................................... 5.400% 11/01/00 $ 208,000
BREA DEVELOPMENT AGENCY
500,000 1993 Tax Allocation Refunding Bonds........................... 5.000% 8/01/02 507,500
CONTRA COSTA WATER DISTRICT
750,000 Water Revenue Bonds........................................... 5.800% 10/1/02 798,750
CONTRA COSTA TRANSPORTATION AUTHORITY
800,000 Sales Tax Revenue Bonds 1995 Series A......................... 6.000% 3/1/03 860,000
DELTA DIABLO SANITATION DISTRICT
400,000 1991 Subordinated Certificates of Participation .............. 6.250% 12/01/04 433,500
ELSINOR VALLEY MUNICIPAL WATER DISTRICT
1,000,000 Refunding Certificates of Participation ...................... 5.900% 7/1/05 1,065,000
LOS ANGELES, CITY OF
965,000 General Obligation Bonds Series A ............................ 5.600% 9/1/05 1,006,013
LOS ANGELES DEPARTMENT OF AIRPORTS
700,000 Revenue Refunding Bonds....................................... 6.500% 5/15/03 773,500
LOS ANGELES, CITY OF
300,000 Wastewater System Revenue Bonds............................... 9.000% 6/1/02 372,750
710,000 Wastewater System Revenue Bonds............................... 8.500% 6/1/03 875,963
LOS ANGELES COUNTY TRANSPORTATION COMMISSION
900,000 Sales Tax Revenue Refunding Bonds Series 1991B ............... 6.000% 7/1/04 970,875
MODESTO HIGH SCHOOL DISTRICT
200,000 1993 General Obligation Refunding Bonds ...................... 5.200% 8/01/03 204,500
ONTARIO REDEVELOPMENT FINANCING AUTHORITY
700,000 Local Agency Revenue Bonds.................................... 5.500% 9/2/02 728,875
ORANGE COUNTY TRANSPORTATION AUTHORITY
800,000 Measure M Sales Tax Revenue Bonds ........................... 9.500% 2/15/03 1,010,000
RANCHO CA WATER DISTRICT
395,000 Refunding Revenue Bonds, Series 1995 ......................... 6.500% 11/1/02 436,475
REDEVELOPMENT AGENCY, CITY OF RIVERSIDE
320,000 Tax Allocation Refunding Bonds................................ 5.000% 8/1/04 321,200
RIVERSIDE COUNTY TRANSPORTATION COMMISSION
260,000 Sales Tax Revenue Bonds....................................... 5.500% 6/1/04 271,050
SACRAMENTO MUD
900,000 Electric Revenue Refunding Bonds.............................. 5.100% 11/15/03 914,625
SACRAMENTO, COUNTY OF
400,000 Refunding Certificates of Participation....................... 5.300% 6/1/04 410,000
</TABLE>
8
<PAGE> 9
CALIFORNIA INSURED TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
<S> <C> <C> <C> <C>
SAN DIEGO REGIONAL TRANSPORTATION COMMISSION
$ 800,000 Second Senior Sales Tax Revenue Bonds..................... 5.000% 4/1/03 $ 808,000
SAN FRANCISCO INTERNATIONAL AIRPORT COMMISSION
455,000 Second Series Revenue Bonds............................... 5.150% 5/1/03 463,531
SAN FRANCISCO, CITY & COUNTY OF
500,000 Sewer Revenue Refunding Bonds Series 1992................. 5.500% 10/1/02 522,500
SAN FRANCISCO BAY AREA RAPID TRANSIT
530,000 Sales Tax Revenue Bonds Series 1991....................... 6.200% 7/1/01 571,075
SAN MATEO JOINT POWERS FIN. AUTHORITY, CITY OF
400,000 Refunding Revenue Bonds................................... 5.100% 8/1/03 406,000
SANTA ROSA, CITY OF
400,000 Wastewater Revenue Refunding Bonds........................ 5.125% 9/1/05 402,000
SIGNAL HILL REDEVELOPMENT AGENCY
745,000 1993 Tax Allocation Bonds, Series B....................... 5.200% 10/1/03 762,694
SOUTH ORANGE COUNTY PUBLIC FINANCE AUTHORITY
690,000 Special Tax Revenue Bonds, 1994 Series C.................. 9.500% 8/15/04 903,037
SOUTHERN CA RAPID TRANSIT DISTRICT
900,000 Special Benefit Assessment District A1.................... 5.400% 9/1/02 934,875
STATE OF CALIFORNIA
300,000 General Obligation Bonds.................................. 5.750% 10/1/05 316,500
STATE PUBLIC WORKS BOARD OF CALIFORNIA
600,000 Energy Efficiency Revenue Bonds Series 1995A.............. 5.250% 10/1/03 615,750
TRANSMISSION AGENCY OF NORTHERN CALIFORNIA
700,000 California-Oregon Transmission Project Rev. Bonds......... 6.100% 5/1/03 755,125
SUISUN CITY, REDEVELOPMENT AGENCY OF
500,000 1993 Tax Allocation Refunding Bonds....................... 5.000% 10/1/02 507,500
UNIVERSITY OF CALIFORNIA, REGENTS OF THE
900,000 Housing System Revenue Bonds.............................. 5.000% 11/1/02 913,500
700,000 Refunding Rev. Bonds 1989 Multipurpose Projects........... 10.000% 9/1/02 911,750
WEST SACRAMENTO, REDEVELOPMENT AGENCY OF
715,000 Tax Allocation Bonds, Series 1991......................... 6.150% 9/1/00 766,837
----------
Total Long-Term Securities (96.65%)
(cost $22,153,535).............................. 22,729,250
==========
</TABLE>
9
<PAGE> 10
CALIFORNIA INSURED TAX-FREE INCOME FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
VARIABLE RATE DEMAND NOTES (b) (1.28%)
<S> <C> <C> <C> <C>
CALIFORNIA HEALTH FACILITIES FINANCE AUTHORITY
$ 100,000 St. Francis Memorial Hospital................................. 3.350% 9/1/95 $ 100,000
REGIONAL AIRPORTS IMPROVEMENT CORPORATION
200,000 Facilities Sublease Revenue Bonds ............................ 3.500% 9/1/95 200,000
------------
Total Variable Rate Demand Notes (1.28%)
(cost $300,000)...................................... 300,000
------------
Total Investments(97.93%)
(cost $22,453,535)................................... 23,029,250
Other Assets Less Liabilities (2.07%)..................... 486,169
-----------
Net Assets (100.0%).................................. $23,515,419
===========
__________________
(a) Aggregate cost for federal income tax purposes is $22,453,535. At August
31, 1995, unrealized appreciation (depreciation) of securities for
federal income tax purposes is as follows:
Unrealized appreciation ............................................................ $ 622,282
Unrealized depreciation ............................................................ (46,567)
-----------
Net unrealized appreciation ................................................ $ 575,715
===========
</TABLE>
(b) Variable rate interest rates are subject to change every 1 to 7 days.
See accompanying notes to financial statements
10
<PAGE> 11
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
<S> <C> <C> <C>
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (20.65%)
$ 45,609 11.000% 3/15/10 $ 50,256
48,217 10.000% 10/15/10 52,195
21,625 11.250% 7/15/13 24,007
10,804 10.000% 7/15/13 11,695
56,581 10.000% 9/15/18 61,602
485,206 9.000% 10/15/18 509,467
1,336,659 8.000% 9/15/21 1,370,911
962,485 8.500% 6/15/24 1,000,705
3,011,136 8.000% 7/15/24 3,089,214
-----------
Total Government National Mortgage Association (cost $5,958,846) ......... 6,170,052
-----------
UNITED STATES TREASURY BONDS (56.67 %)
800,000 11.125% 8/15/03 1,038,250
1,700,000 10.750% 8/15/05 2,235,500
1,025,000 9.875% 11/15/15 1,375,422
1,800,000 9.125% 5/15/18 2,283,186
1,600,000 9.000% 11/15/18 2,010,499
1,500,000 8.875% 2/15/19 1,862,813
2,000,000 8.500% 2/15/20 2,403,124
1,800,000 8.750% 5/15/20 2,215,125
1,300,000 8.125% 8/15/21 1,510,843
-----------
Total United States Treasury Bonds (cost $16,314,577) .................... 16,934,762
-----------
UNITED STATES TREASURY STRIPS (5.16%)
4,000,000 0.000% 11/15/18 805,000
4,000,000 0.000% 2/15/20 736,631
-----------
Total United States Treasury Strips (cost $1,432,560) .................... 1,541,631
-----------
</TABLE>
11
<PAGE> 12
U.S. GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE MATURITY (NOTE 1)
----- ---- -------- --------
<S> <C> <C> <C>
UNITED STATES TREASURY NOTES (15.22%)
$1,250,000 7.750% 1/31/00 $ 1,330,077
1,500,000 7.750% 2/15/01 1,612,500
1,500,000 7.500% 5/15/02 1,608,280
------------
Total United States Treasury Notes (cost $4,414,939) ............. 4,550,857
------------
UNITED STATES TREASURY BILLS (1.33%)
400,000 5.380% 10/26/95 396,682
------------
Total United States Treasury Bills (cost $396,682) ............... 396,682
------------
Total Investments (cost $28,517,604) (a) ( 99.03%) ............... 29,593,984
Other Assets Less Liabilities (0.97%) ............................ 289,915
------------
Net Assets (100.0%) ....................................... $ 29,883,899
============
- -------------------
(a) Aggregate cost for federal income tax purposes is $28,517,604. At August
31, 1995, unrealized appreciation (depreciation) of securities for federal
income tax purposes is as follows:
Unrealized appreciation ................................... $ 1,130,358
Unrealized depreciation ................................... (53,978)
------------
Net unrealized appreciation ......................... $ 1,076,380
============
</TABLE>
See accompanying notes to financial statements
12
<PAGE> 13
THE UNITED STATES TREASURY TRUST
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
PAR VALUE
VALUE RATE (b) MATURITY (NOTE 1)
----- ------- -------- --------
<S> <C> <C> <C>
UNITED STATES TREASURY BILLS (100.97%)
$ 2,900,000 5.430% - 5.480% 9/14/95 $ 2,894,312
2,800,000 5.310% 10/5/95 2,785,958
3,100,000 5.480% - 5.650% 10/12/95 3,080,265
2,700,000 5.370% - 5.440% 10/19/95 2,680,472
2,900,000 5.370% - 5.530% 10/26/95 2,876,208
2,000,000 5.280% - 5.375% 11/02/95 1,981,641
1,000,000 5.310% 11/9/95 989,823
2,000,000 5.740% 11/16/95 1,975,743
2,400,000 5.350% - 5.380% 11/24/95 2,370,026
3,400,000 5.425% 12/14/95 3,346,714
2,600,000 5.400% 12/21/95 2,556,710
2,600,000 5.340% 1/11/96 2,549,092
-----------
Total Investments (cost $30,086,964) (a) (100.97%).......................... 30,086,964
Liabilities in Excess of Other Assets (0.97%)............................... (289,858)
-----------
Net Assets (100%) ...................................................... $29,797,106
===========
</TABLE>
- -------------
(a) Cost for federal income tax purposes is $30,086,964.
(b) Represents yield to maturity at purchase date.
See accompanying notes to financial statements
13
<PAGE> 14
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMON STOCKS (84.97%)
CAPITAL GOOD (4.72%)
PRODUCTION (1.19%)
800 Caterpillar Inc. ................................... $ 53,700
100 Cincinnati Milacron ................................. 3,313
500 Cooper Ind........................................... 19,000
300 Deere & Co........................................... 25,650
200 Dover Co............................................. 15,950
100 FMC Corp. *.......................................... 7,700
100 Foster Wheeler Corp. ................................ 3,688
600 Illinois Tool Works ................................. 36,750
500 Ingersoll Rand Co. .................................. 18,938
300 Pall Corp............................................ 6,563
350 Parker Hannifin .................................... 13,869
100 Raychem ............................................ 4,388
100 Timken Co............................................ 4,513
400 Tyco International LTD ............................. 23,650
1,600 Westinghouse Electric .............................. 21,800
----------
259,472
----------
MACHINERY -- AGRICULTURE & CONSTRUCTION (0.02%)
100 Varity Corp. New *................................... 4,550
----------
MACHINERY -- INDUSTRIAL (0.02%)
100 Giddings & Lewis Inc................................. 1,638
100 Harnischfeger ....................................... 3,675
----------
5,313
----------
POLLUTION CONTROL (0.30%)
2,200 WMX Technologies Inc. ............................... 64,625
----------
ENGINEERING & CONSTRUCTION (0.0%)
100 Morris Knudson ...................................... 775
----------
</TABLE>
14
<PAGE> 15
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
ELECTRICAL EQUIPMENT (2.68%)
1,028 AMP Inc. .................................................. $ 41,763
1,100 Emerson Electric Co. ...................................... 78,513
7,600 General Electric .......................................... 447,450
200 Grainger EWW Inc. ......................................... 11,900
200 Scientific-Atlanta Inc. ................................... 4,000
----------
583,626
----------
TRANSPORTATION EQUIPMENT (0.04%)
200 Cummins Engine ............................................ 7,850
----------
CONGLOMERATES (0.47%)
500 ITT Corp. ................................................ 59,813
900 Tenneco Inc. .............................................. 43,650
----------
103,463
----------
Total Capital Good......................................... 1,029,674
----------
CONSUMER CYCLICAL (7.02%)
Housing (0.01%)
100 Kaufman & Broad Home Corp. ................................ 1,338
----------
BUILDING MATERIALS (0.42%)
2,133 Home Depot ............................................... 85,053
100 Johnson Controls .......................................... 6,088
----------
91,141
----------
AUTO & TRUCK (2.32%)
2,100 Chrysler .................................................. 113,138
500 Dana....................................................... 14,938
400 Eaton Corp................................................. 21,650
200 Echlin Corp. .............................................. 6,900
4,600 Ford Motor Co. ............................................ 140,875
3,400 General Motors Corp. ...................................... 159,800
400 Genuine Parts Co. ......................................... 15,750
115 Paccar .................................................... 5,693
100 Trinova Corp............................................... 3,675
300 TRW Inc. .................................................. 23,363
----------
505,782
----------
</TABLE>
15
<PAGE> 16
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
TIRE AND RUBBER (0.18%)
200 Cooper Tire & Rubber Co............................ $ 5,200
100 Goodrich, BF Co.................................... 5,950
700 Goodyear Tire & Rubber............................. 28,000
---------
39,150
---------
APPLIANCES (0.20%)
100 Armstrong World Ind................................ 5,738
200 Black & Decker..................................... 6,475
300 Maytag Corp........................................ 4,650
100 Snap On Inc........................................ 4,100
400 Whirlpool Corp..................................... 21,800
100 Zenith Electronics *............................... 850
---------
43,613
---------
TEXTILE & APPAREL (0.41%)
100 Brown Group........................................ 1,825
200 Liz Claiborne Inc.................................. 4,550
500 Melville Corp...................................... 16,688
400 Nike Class B....................................... 37,050
300 Reebok International............................... 10,650
100 Russell Co......................................... 2,750
100 Spring Industries.................................. 4,313
200 VF Corp............................................ 10,950
---------
88,776
---------
RETAIL--GENERAL (3.48%)
200 American Greetings................................. 6,150
700 American Stores Comp............................... 20,563
300 Charming Shoppes Inc............................... 1,575
300 Circuit City Stores Inc............................ 10,350
400 Dayton Hudson Corp................................. 29,250
600 Dillard Department Stores Class A.................. 18,525
700 Gap Inc............................................ 22,488
200 Giant Foods........................................ 6,225
100 Great Atlantic & Pacific........................... 2,838
100 Jostens............................................ 2,400
300 Kroger *........................................... 9,788
</TABLE>
16
<PAGE> 17
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
RETAIL-GENERAL (CONTINUED)
800 Lowes Companies............................ $ 26,600
1,200 May Department Stores...................... 50,850
100 Mercantile Stores.......................... 4,588
400 Nordstrom Inc.............................. 16,500
1,100 Penney JC Co............................... 49,775
200 Pep Boys-Manny, Mo, Jack................... 5,500
300 Rite Aid Corp.............................. 8,400
1,800 Sears Roebuck & Co......................... 58,275
200 Supervalu Inc.............................. 5,925
400 Tandy Corp................................. 24,850
1,600 The Limited LTD............................ 29,600
200 TJX Cos Inc................................ 2,500
1,300 Toys "R" Us Inc. *......................... 33,800
10,300 Wal-Mart Stores Inc........................ 253,638
1,200 Walgreen Co................................ 29,400
400 Winn-Dixie Stores Inc...................... 23,800
400 Woolworth Corp............................. 5,350
----------
759,503
----------
Total Consumer Cyclical.................... 1,529,303
----------
CONSUMER NON-DURABLE (22.76%)
Health Care (0.35%)
200 Bausch & Lomb Inc.......................... 7,950
200 Beverly Enterprises *...................... 2,650
300 Biomet Inc. *.............................. 4,838
200 Manor Care................................. 6,475
600 Warner-Lambert Co.......................... 54,225
----------
76,138
----------
CONSUMER PRODUCTS (0.09%)
800 Newell Co.................................. 20,000
----------
FOOD, BEVERAGES & TOBACCO (6.61%)
900 American Brands............................ 37,800
2,471 Archer-Daniels-Midland Companies........... 41,075
1,200 Campbell Soup.............................. 54,900
</TABLE>
17
<PAGE> 18
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
FOOD, BEVERAGES & TOBACCO (CONTINUED)
5,700 Coca-Cola Co................................. $ 366,225
1,100 ConAgra Inc.................................. 41,663
600 CPC International Inc........................ 37,725
500 Darden Restaurants * ........................ 5,125
100 Fleming Companies Inc........................ 2,913
800 General Mills................................ 41,300
1,100 H J Heinz Co................................. 46,613
300 Hershey Foods................................ 17,963
1,000 Kellogg Co................................... 67,500
300 Loews Corporation............................ 39,413
3,500 Pepsico Inc.................................. 158,375
3,800 Philip Morris Co. Inc........................ 283,575
300 Pioneer Hi-Bred International................ 12,900
600 Quaker Oats.................................. 20,850
500 Ralston-Ralston Purina Group................. 26,000
2,200 Sara-Lee Corp................................ 61,050
900 Sysco Corp................................... 25,875
900 UST Inc...................................... 24,525
600 Wrigley, Wm. Jr. Co.......................... 27,075
----------
1,440,440
----------
RETAIL - FOOD & DRUGS (0.32%)
1,200 Albertson's Inc.............................. 38,250
6 Bruno's Inc. New * .......................... 59
2,100 K Mart....................................... 28,613
100 Longs Drug Stores............................ 3,700
----------
70,622
----------
COMMUNICATIONS & MEDIA (1.73%)
200 Andrew Corp. * .............................. 11,650
700 Capital Cities/ABC........................... 80,500
300 CBS Inc...................................... 23,925
700 Comcast Corp. Cl A Special................... 14,963
400 Comcast Corp. Cl A........................... 8,500
300 Dow Jones & Co............................... 10,988
700 Gannett Co. Inc.............................. 37,450
200 Harcourt General Inc......................... 8,325
</TABLE>
18
<PAGE> 19
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
COMMUNICATIONS & MEDIA (CONTINUED)
200 Interpublic Group Companies.............................................................. $ 7,775
200 Knight Ridder Inc........................................................................ 11,250
400 New York Times Class A * ................................................................ 9,950
2,900 Tele Communications Inc. Ser A *......................................................... 53,650
1,700 Time Warner Inc.......................................................................... 71,613
400 Times Mirror Co. Class A-New............................................................. 12,250
200 Tribune Co............................................................................... 13,400
--------
376,189
--------
ENTERTAINMENT & LEISURE (1.32%)
100 Bally Entertainment Corp. * ............................................................. 1,213
300 Brunswick Corp........................................................................... 6,038
100 Handleman Company........................................................................ 950
300 Hasbro Inc............................................................................... 9,713
100 King World Productions Corp. * .......................................................... 3,800
968 Mattel CS................................................................................ 28,072
3,100 McDonald's Corp.......................................................................... 113,150
200 Premark International.................................................................... 10,475
613 Price/Costco Inc. *..................................................................... 10,344
500 Service Corp. International.............................................................. 17,500
100 Shoney's Inc. *.......................................................................... 1,163
64 Viacom Inc. Class A *.................................................................... 3,112
1,584 Viacom Inc. Class B *.................................................................... 77,022
300 Wendy's International.................................................................... 5,888*
--------
288,440
--------
APPAREL (0.07%)
250 Fruit of the Loom Inc.................................................................... 5,875
900 Laidlaw Inc. Class B..................................................................... 8,100
200 Stride Rite Corp......................................................................... 2,250
--------
16,225
--------
DRUGS (6.39%)
3,600 Abbott Labs.............................................................................. 139,500
200 Allergan................................................................................. 6,075
200 Alza Corp. Class A *..................................................................... 4,750
</TABLE>
19
<PAGE> 20
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
DRUGS (CONTINUED)
1,400 American Home Products Corp............................................................. $ 107,800
200 Bard C.R. Inc........................................................................... 6,200
1,300 Baxter International Inc................................................................ 50,700
200 Becton Dickinson Co..................................................................... 11,275
2,300 Bristol-Meyer/Squibb.................................................................... 157,838
100 Community Psychiatric................................................................... 1,175
2,900 Johnson & Johnson Co.................................................................... 200,100
1,300 Lilly Eli & Co........................................................................... 106,438
600 Medtronic Inc........................................................................... 56,625
5,500 Merck & Co.............................................................................. 274,313
2,900 Pfizer Inc.............................................................................. 143,188
1,700 Schering Plough Corp.................................................................... 79,263
100 St. Jude Medical *...................................................................... 5,963
500 Tenet Healthcare Corp. *............................................................... 7,938
800 Upjohn Co............................................................................... 33,900
----------
1,393,041
----------
HOSPITAL SUPPLY & SERVICES (0.15%)
687 Boston Scientific Corp. *............................................................... 27,308
200 US Surgical Corp. ...................................................................... 5,075
----------
32,383
----------
COSMETIC & SOAP (1.90%)
100 Alberto-Culver Co. Class B.............................................................. 2,850
400 Avon Products........................................................................... 28,250
200 Clorox.................................................................................. 13,525
700 Colgate Palmolive Co.................................................................... 47,600
2,000 Gillette Co............................................................................. 83,500
500 Int'l Flavors & Fragrance............................................................... 23,938
3,100 Proctor & Gamble........................................................................ 215,063
----------
414,726
----------
LIQUOR (0.66%)
1,200 Anheuser-Busch Companies Inc............................................................ 68,550
300 Brown Foremann Class B.................................................................. 11,100
100 Coors (Adolph).......................................................................... 1,700
1,700 Seagrams LTD............................................................................ 62,900
----------
144,250
----------
</TABLE>
20
<PAGE> 21
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
TRAVEL & RECREATION (0.92%)
600 CUC International Inc. *................................................................ $ 20,475
100 Fleetwood Enterprises................................................................... 1,963
300 Harrah's Entertainment Inc. *........................................................... 9,563
200 Hilton Hotels Corp...................................................................... 13,300
600 Marriott International.................................................................. 21,300
2,400 Walt Disney Co.......................................................................... 134,700
----------
201,301
----------
PRINTING AND PUBLISHING (0.19%)
700 Donnelley RR & Sons..................................................................... 26,600
200 McGraw Hill Cos. Inc.................................................................... 15,750
----------
42,350
----------
RESTAURANTS (0.02%)
100 Luby's Cafeterias Inc................................................................... 1,988
200 Ryan's Family Steak House *............................................................. 1,500
----------
3,488
----------
BUSINESS SERVICES (1.43%)
200 Autodesk Inc............................................................................ 9,225
600 Automatic Data Processing Inc........................................................... 39,000
1,000 Browning Ferris......................................................................... 33,625
1,200 Cisco Systems Inc. *.................................................................... 78,750
800 Computer Associates..................................................................... 55,600
200 Computer Sciences *..................................................................... 12,050
200 Deluxe Corporation...................................................................... 6,250
200 Dial Corporation........................................................................ 4,800
700 Dun & Bradstreet ....................................................................... 40,513
500 H&R Block............................................................................... 19,500
100 Harland John & Co....................................................................... 2,213
300 Moore Corporation....................................................................... 6,263
100 National Service Industries............................................................. 2,900
----------
310,689
----------
HEALTH CARE SERVICES (0.61%)
1,987 Columbia/HCA Healthcare Corporation..................................................... 93,389
200 Ecolab Inc.............................................................................. 5,475
800 United Healthcare Corporation........................................................... 33,800
----------
132,664
----------
Total Consumer Non-Durable 4,962,946
----------
</TABLE>
21
<PAGE> 22
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ---------
<S> <C> <C>
BANKING AND FINANCIAL SERVICES (10.87%)
BANK AND BANK HOLDING COMPANIES (5.11%)
1,800 Banc One Corp. .................................................................. $ 60,525
500 Bank of Boston .................................................................. 22,000
900 Bank of New York ................................................................ 39,150
1,700 BankAmerica Corp. ............................................................... 96,050
300 Bankers Trust New York .......................................................... 20,663
500 Barnett Bank Inc. ............................................................... 28,563
600 Boatmens Bancshares ............................................................. 22,200
800 Chase Manhattan Corp. ........................................................... 46,000
1,100 Chemical Bank ................................................................... 64,075
1,800 Citicorp ........................................................................ 119,475
700 Corestates Financial ............................................................ 25,900
300 First Chicago ................................................................... 19,013
400 First Fidelity .................................................................. 26,150
300 First Interstate Bancorp ........................................................ 28,650
800 First Union Corp. ............................................................... 40,100
700 Fleet Financial Group Inc. ...................................................... 25,900
750 Mellon Bank ..................................................................... 35,531
900 Morgan (J.P.) & Co., Inc. ....................................................... 65,588
1,300 Nations Bank Corporation ........................................................ 79,788
800 NBD Bancorp Inc. ................................................................ 28,600
1,500 Norwest Corp. ................................................................... 45,188
1,100 PNC Financial Corp. ............................................................. 28,875
200 Republic New York Corp. ......................................................... 11,250
600 Shawmut National ................................................................ 19,425
600 Suntrust Banks Inc. ............................................................. 36,825
300 U.S. Bancorp .................................................................... 8,588
800 Wachovia Corp. .................................................................. 31,800
200 Wells Fargo & Co. ............................................................... 37,275
----------
1,113,147
----------
SAVINGS & LOAN (0.31%)
900 Fed Home Loan Mtg Corp. ......................................................... 57,825
200 Golden West Financial ........................................................... 9,550
----------
67,375
----------
</TABLE>
22
<PAGE> 23
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
FINANCE COMPANIES (1.37%)
300 Ahmanson H.F. & Co. ..................................................................... $ 7,125
2,300 American Express Company ................................................................ 92,863
200 Beneficial Corp. ........................................................................ 9,825
400 Great Western Financial ................................................................. 9,350
500 Household International ................................................................. 28,063
800 Merrill Lynch ........................................................................... 46,100
500 National City Corporation ............................................................... 14,875
500 Salomon Inc. ............................................................................ 19,188
1,487 Travelers Group ......................................................................... 71,376
--------
298,765
INVESTMENT COMPANY (0.18%) --------
790 Dean Witter Discover & Company .......................................................... 40,290
--------
INSURANCE (3.21%)
600 Aetna Life & Casualty Co. ............................................................... 40,950
100 Alexander & Alexander Svcs. Inc. ........................................................ 2,313
2,027 Allstate Corp. .......................................................................... 68,665
1,000 American General Corp. .................................................................. 35,250
2,175 American International Group ............................................................ 175,359
400 Chubb Group ............................................................................. 36,500
400 Cigna Corp. CI .......................................................................... 38,700
400 General RE Corp. ........................................................................ 59,450
300 Jefferson Pilot ......................................................................... 18,863
1,143 Keycorp New ............................................................................. 35,433
500 Lincoln National Corp. .................................................................. 21,500
400 Marsh & McLennan Co. .................................................................... 32,950
300 Providian Corporation ................................................................... 11,513
200 Safeco Corp. ............................................................................ 12,925
400 St. Paul Companies ...................................................................... 21,700
200 Torchmark Corp. ......................................................................... 8,000
400 TransAmerica Corporation ................................................................ 27,200
300 Unum Corporation ........................................................................ 14,400
800 US Healthcare Inc. ...................................................................... 25,600
500 USF&G ................................................................................... 9,063
100 USLife Corporation ...................................................................... 4,313
--------
700,647
--------
</TABLE>
23
<PAGE> 24
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
FINANCIAL SERVICES (0.69%)
1,300 Federal National Mortgage ............................................................ 123,988
750 MBNA Corporation ..................................................................... 26,625
----------
150,613
----------
Total Banking and Financial Services ............................................... 2,370,837
----------
UTILITIES (10.22%)
ELECTRIC (0.78%)
504 Cinergy Corporation .................................................................. 12,915
1,100 Consolidated Edison .................................................................. 31,075
1,000 Duke Power ........................................................................... 40,625
365 General Public Utilities ............................................................. 10,448
1,300 Pacificorp ........................................................................... 23,563
100 People's Energy Corporation .......................................................... 2,725
1,100 Texas Utilities Co. .................................................................. 38,225
300 Union Electric Co. ................................................................... 10,688
----------
170,264
----------
TELEPHONE (6.94%)
900 Alltell Corp. ........................................................................ 25,425
7,100 American Telephone & Telegraph ....................................................... 401,150
2,500 Ameritech Corporation ................................................................ 128,125
2,000 Bell Atlantic ........................................................................ 119,500
2,300 Bell South Corp. ..................................................................... 158,125
400 DSC Communications Corp. * ........................................................... 21,000
4,400 GTE Corp. ............................................................................ 161,150
3,100 MCI Communications ................................................................... 74,594
1,900 Nynex Corp. .......................................................................... 85,500
1,900 Pacific Telesis Group ................................................................ 53,913
2,700 SBC Communications, Inc. ............................................................. 136,688
1,600 Sprint Corporation ................................................................... 56,800
2,100 US West Inc. ......................................................................... 91,350
----------
1,513,320
----------
ENERGY (2.50%)
900 American Electric Power Co. .......................................................... 30,713
700 Baltimore Gas & Electric ............................................................. 18,375
500 Carolina Power & Light ............................................................... 15,313
900 Central & SW Corp. ................................................................... 22,050
</TABLE>
24
<PAGE> 25
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ ---------
<S> <C> <C>
ENERGY (CONTINUED)
300 Coastal Corp. ................................................................. $ 9,825
300 Consolidated Natural Gas ...................................................... 11,588
700 Detroit Edison Co. ............................................................ 21,438
800 Dominion Resources ............................................................ 28,900
200 Ensearch ...................................................................... 3,275
900 Entergy Corp New .............................................................. 21,600
900 FPL Group Inc. ................................................................ 34,988
600 Houston Industries ............................................................ 25,425
400 Niagra Mohawk Power ........................................................... 4,800
200 Nicor ......................................................................... 5,125
400 Noram Energy Corporation ...................................................... 2,850
200 Northern States Power ......................................................... 8,525
500 Ohio Edison ................................................................... 10,813
200 Pacific Enterprises ........................................................... 4,800
2,000 Pacific Gas and Electric ...................................................... 57,500
700 Panhandle Eastern Corp. ....................................................... 17,500
1,000 PECO Energy Company ........................................................... 26,625
1,100 Public Service Enterprises .................................................... 30,250
2,000 SCE Corp. ..................................................................... 33,250
200 Sonat Inc. .................................................................... 6,350
3,000 Southern Co. .................................................................. 63,375
1,000 Unicom Corporation ............................................................ 28,125
----------
543,378
----------
Total Utilities ............................................................... 2,226,962
----------
SERVICE (0.07%)
DISTRIBUTOR (0.07%)
200 Alco Standard Corp. ........................................................... 16,100
----------
Total Service ................................................................. 16,100
----------
TRANSPORTATION (1.48%)
GENERAL (0.01%)
100 Pittson Services Group ........................................................ 2,538
----------
</TABLE>
25
<PAGE> 26
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
AIR TRANSPORTATION (0.36%)
400 AMR Corp. * ............................................................................ $ 28,200
300 Delta Airlines ......................................................................... 22,313
200 Federal Express * ...................................................................... 14,350
500 Southwest Airlines Co. ................................................................. 12,938
200 USAir Group * .......................................................................... 1,625
--------
79,426
--------
RAILROAD (1.03%)
400 Burlington Northern .................................................................... 27,700
300 Conrail Inc. ........................................................................... 20,175
500 CSX Corp. .............................................................................. 41,250
500 Norfolk Southern Co. ................................................................... 35,375
100 Ogden Corp. ............................................................................ 2,325
718 Santa Fe Pacific ....................................................................... 20,373
400 Santa Fe Pacific Gold Corp. ............................................................ 4,850
1,000 Union Pacific Corp. .................................................................... 65,500
300 Whitman Corp. .......................................................................... 6,038
--------
223,586
--------
TRUCKING (0.08%)
100 Consolidated Freightways ............................................................... 2,588
170 Navistar International * ............................................................... 2,210
100 Roadway Services ....................................................................... 5,500
200 Ryder System ........................................................................... 4,850
100 Yellow Corporation ..................................................................... 1,413
--------
16,561
--------
Total Transportation ................................................................... 322,111
--------
MANUFACTURING (9.08%)
CONSUMER DURABLES (0.59%)
450 Eastman Chemical Company ............................................................... 29,081
1,600 Eastman Kodak .......................................................................... 92,200
100 Outboard Marine ........................................................................ 2,138
100 Polaroid Corp. ......................................................................... 4,363
--------
127,782
BUILDING & HOUSING (0.41%) --------
100 Centex Corp. ........................................................................... 2,925
</TABLE>
26
<PAGE> 27
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
BUILDING & HOUSING (CONTINUED)
1,100 Corning Corp. ............................................................ $ 35,888
100 Crane Co. ................................................................ 3,600
300 Fluor Corp. .............................................................. 17,550
700 Masco Co. ................................................................ 19,600
100 Owens Corning * .......................................................... 3,925
100 Pulte Corp. .............................................................. 2,700
100 Stanley Works ............................................................ 4,425
--------
90,613
--------
CHEMICAL (2.84%)
500 Air Products & Chemicals Inc. ............................................ 26,813
1,300 Dow Chemical ............................................................. 96,200
2,500 Dupont De Nemours & Co. .................................................. 163,438
100 First Mississippi Corp. .................................................. 3,313
500 Grace WR & Co. ........................................................... 33,313
300 Great Lakes Chemical ..................................................... 19,838
600 Hercules ................................................................. 33,375
600 Monsanto ................................................................. 56,925
500 Morton Inc. .............................................................. 16,250
200 Nalco Chemical Co. ....................................................... 7,000
1,000 PPG Industries ........................................................... 42,750
700 Praxair Inc. ............................................................. 18,200
200 Rohm & Haas Co. .......................................................... 11,950
800 Rubber Maid Inc. ......................................................... 23,800
200 Safety Kleen ............................................................. 2,700
300 Sherwin Williams ......................................................... 10,763
200 Sigma-Aldrich Corp. ...................................................... 9,600
700 Union Carbide Corp. ...................................................... 24,850
518 Williams Cos. ............................................................ 18,972
--------
620,050
DIVERSIFIED (0.46%) --------
800 Unilever (New York Shares) ADR ........................................... 98,900
--------
PAPER & FOREST PRODUCTS (2.29%)
200 Avery Dennison Co. ....................................................... 8,200
200 Boise Cascade ............................................................ 8,575
500 Champion International ................................................... 28,313
20 Crown Vantage Inc. * ..................................................... 485
100 Federal Paperboard ....................................................... 3,963
</TABLE>
27
<PAGE> 28
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
PAPER & FOREST PRODUCTS (CONTINUED)
500 Georgia Pacific Co. ........................................................ $ 45,000
600 International Paper ........................................................ 49,125
200 James River of Virginia .................................................... 6,950
800 Kimberly Clark ............................................................. 51,100
400 Louisiana-Pacific Co. ...................................................... 9,500
200 Mead Corp. ................................................................. 12,275
100 Potlach Corporation ........................................................ 3,963
700 Scott Paper Co. ............................................................ 32,463
200 Temple Inland .............................................................. 10,350
400 Union Camp Corp. ........................................................... 22,750
200 Westvaco Corp. ............................................................. 8,825
1,000 Weyerhaeuser Co. ........................................................... 46,000
2,200 Willamette Industries ...................................................... 151,250
--------
499,087
METALS & MINERALS (0.30%) --------
300 Armco Inc. * ............................................................... 1,875
300 Bethlehem Steel * .......................................................... 4,388
100 Inland Steel Inds. ......................................................... 2,738
300 Nucor Corp. ................................................................ 14,700
1,400 USX-Marathon ............................................................... 28,875
200 USX-US Steel ............................................................... 6,550
300 Worthington Inds. Inc. ..................................................... 6,000
--------
65,126
CONTAINERS (0.12%) --------
100 Ball Corp. ................................................................. 3,400
200 Bemis Company .............................................................. 5,800
300 Crown Cork & Seal * ........................................................ 13,500
200 Stone Container ............................................................ 4,350
--------
27,050
COMPUTERS (0.12%) --------
100 Data General * ............................................................. 975
600 Silicon Graphics Inc. * .................................................... 25,350
--------
26,325
NON FERROUS METALS (0.75%) --------
1,000 Alcan Aluminum LTD ......................................................... 32,625
800 Aluminum Co. of America .................................................... 45,700
100 Asarco Inc. ................................................................ 3,238
</TABLE>
28
<PAGE> 29
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
NON FERROUS METALS (CONTINUED)
450 Englehard Corp........................................... $ 12,713
600 Inco Ltd................................................. 21,000
249 Newmont Mining Corp...................................... 10,831
400 Phelps Dodge............................................. 25,350
200 Reynolds Metals.......................................... 11,950
----------
163,407
----------
GOLD & PRECIOUS METALS (0.50%)
1,573 Barrick Gold Corp........................................ 39,915
250 Cyprus Amax Mineral Company.............................. 7,000
300 Echo Bay Mines Ltd....................................... 3,113
970 Freeport McMoran Copper-B *.............................. 22,674
400 Homestake Mining Co...................................... 6,600
1,100 Placer Dome Inc.......................................... 28,738
----------
108,040
----------
MISCELLANEOUS (0.70%)
1,900 3M Co.................................................... 103,788
400 Applied Materials Inc. * ................................ 41,600
200 Mallinckrodt Groupe Inc.................................. 7,525
----------
152,913
----------
Total Manufacturing...................................... 1,979,293
----------
TECHNOLOGY (10.62%)
OFFICE EQUIPMENT (0.14%)
1,700 Novell * ................................................ 30,600
----------
ELECTRONICS (3.66%)
200 EG&G..................................................... 3,800
200 General Signal........................................... 7,100
100 Harris Corp.............................................. 5,763
2,300 Hewlett Packard Co....................................... 184,000
3,700 Intel Corp............................................... 227,088
400 Loral Co................................................. 21,900
2,700 Motorola Inc............................................. 201,825
600 National Semiconductor * ................................ 16,950
1,200 Northern Telecom......................................... 44,100
100 Perkin-Elmer Corp........................................ 3,413
100 Tektronix inc............................................ 4,563
</TABLE>
29
<PAGE> 30
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
ELECTRONICS (CONTINUED)
200 Teledyne Inc............................................. $ 4,750
2 Teledyne Inc. Preferred Series E......................... 30
800 Texas Instruments........................................ 59,900
300 Western Atlas Inc. * .................................... 13,613
---------
798,795
---------
BIO-TECHNOLOGY (0.30%)
1,200 Amgen *.................................................. 57,450
200 Millipore Corp........................................... 6,975
---------
64,425
---------
SOFTWARE (1.10%)
2,600 Microsoft *.............................................. 240,500
---------
BUSINESS MECHANICS & SOFTWARE (2.81%)
300 Amdahl Corp. *........................................... 2,738
600 Apple Computer........................................... 25,800
100 Ceridian Corporation *................................... 4,375
1,200 Compaq Computers Corp. *................................. 57,300
100 Cray Research *.......................................... 2,325
700 Digital Equipment *...................................... 29,225
600 Honeywell................................................ 26,250
2,600 International Business Machines.......................... 268,712
100 Intergraph *............................................. 1,238
2,000 Oracle Systems *......................................... 80,250
700 Pitney Bowes............................................. 28,438
300 Sun Microsystems *...................................... 17,363
300 Tandem Computer Inc. *................................... 3,675
500 Unisys Corp. *........................................... 4,000
500 Xerox Corp............................................... 60,375
---------
612,064
---------
BUSINESS - SERVICE (0.18%)
600 First Data............................................... 35,025
100 Shared Medical System.................................... 3,688
---------
38,713
---------
SEMICONDUCTORS (0.36%)
300 Advanced Micro Devices................................... 10,125
900 Micron Technology ...................................... 69,188
---------
79,313
---------
</TABLE>
30
<PAGE> 31
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
TELECOMMUNICATIONS (0.45%)
2,200 Airtouch Communications *................................ $ 71,500
250 Cabletron Systems *...................................... 13,219
300 Tellabs Inc. *........................................... 14,025
-----------
98,744
-----------
AEROSPACE AIRCRAFT (1.62%)
1,300 Allied Signal Inc........................................ 57,688
1,600 Boeing................................................... 102,000
200 General Dynamics Corp.................................... 10,525
600 McDonnell-Douglas Corp................................... 48,150
300 Northrop Grumman Corporation............................. 18,263
1,000 Rockwell Intl. Corp...................................... 44,750
300 Textron Inc.............................................. 20,550
600 United Technologies Corp................................. 50,025
-----------
351,951
-----------
Total Technology ....................................... 2,315,105
-----------
AEROSPACE-DEFENSE (0.48%)
AEROSPACE-DEFENSE (0.48%)
926 Lockheed Martin Corp..................................... 56,370
600 Raytheon Co.............................................. 48,525
-----------
Total Aerospace-Defense.................................. 104,895
-----------
ENERGY (7.65%)
OIL & GAS-DOMESTIC (1.80%)
300 Amerada Hess Corp........................................ 14,213
2,300 Amoco Corp............................................... 146,625
200 Ashland Inc.............................................. 6,550
800 Atlantic Richfield....................................... 87,300
600 Burlington Resources, Inc................................ 24,375
100 Columbia Gas Systems *................................... 3,525
100 Helmerich & Payne........................................ 2,863
300 Kerr-McGee Co............................................ 16,500
300 Oryx Energy *............................................ 4,050
100 Pennzoil................................................. 4,400
1,200 Phillips Petroleum Co.................................... 39,450
300 Santa Fe Energy Resources *.............................. 2,850
</TABLE>
31
<PAGE> 32
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
OIL & GAS-DOMESTIC (CONTINUED)
300 Sun Co.............................................. $ 7,988
1,100 Unocal Corp......................................... 32,038
-----------
392,727
-----------
OIL & GAS INTERNATIONAL (4.87%)
2,900 Chevron Corp........................................ 140,288
5,600 Exxon Corp.......................................... 385,000
1,800 Mobil Corp.......................................... 171,450
2,400 Royal Dutch Petroleum............................... 286,200
1,200 Texaco.............................................. 77,700
-----------
1,060,638
-----------
OIL & GAS SERVICE (0.33%)
200 Rowan Cos. Inc. *................................... 1,625
1,100 Schlumberger........................................ 70,950
-----------
72,575
-----------
NATURAL GAS (0.20%)
1,200 Enron............................................... 40,350
100 ONEOK Inc........................................... 2,188
-----------
42,538
-----------
ENERGY RAW MATERIAL (0.45%)
400 Baker Hughes Inc.................................... 9,000
820 Dresser Inds........................................ 19,680
100 Eastern Enterprises................................. 3,063
600 Halliburton Co...................................... 25,425
100 Louisiana Land & Exploration........................ 3,825
200 McDermott International............................. 4,550
1,500 Occidental Petroleum................................ 32,625
-----------
98,168
-----------
Total Energy........................................ 1,666,646
-----------
Total Common Stocks (Cost $15,547,023).............. 18,523,872
-----------
<CAPTION>
PAR
VALUE
-----
<S> <C> <C>
SHORT TERM INVESTMENTS (14.61%)
UNITED STATES TREASURY BILLS
$2,250,000 5.92% 9/14/95 (b).................................. 2,245,623
939,309 PORTICO INSTITUTIONAL MONEY MARKET FUND............. 939,309
</TABLE>
32
<PAGE> 33
S&P 500 INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
(NOTE 1)
--------
<S> <C>
Total Short-Term Investments (Cost $3,184,932).............................. $ 3,184,932
-----------
Total Investments (Cost $18,731,955) (99.58%)............................... 21,708,804
Other Assets less Liabilities (0.42%)....................................... 91,386
-----------
Net Assets (100.00%)...................................................... $21,800,190
===========
</TABLE>
______________
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $18,731,955. At
August 31, 1995, unrealized appreciation (depreciation) of securities
for federal income tax purpose is as follows:
<TABLE>
<S> <C>
Unrealized appreciation..................................................... $ 3,369,723
Unrealized depreciation .................................................... (392,874)
-----------
Net unrealized appreciation............................................... $ 2,976,849
===========
</TABLE>
(b) At August 31, 1995, certain United States Treasury Bills with a market
value of $131,731 were pledged to cover margin requirements for futures
contracts.
(c) Futures contracts at August 31, 1995
(Contracts-$500 times premium/delivery month/commitment)
<TABLE>
<CAPTION>
UNREALIZED
APPRECIATION
(DEPRECIATION)
--------------
<S> <C>
S&P 500 Stock Index:
4/September 95/Buy .............................................................. $ 53.035
6/December 95/Buy .............................................................. 13,590
----------
$ 66,625
==========
</TABLE>
See accompanying notes to financial statements
33
<PAGE> 34
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
COMMON STOCKS (83.78%)
CAPITAL GOODS(5.58%)
PRODUCTION (0.21%)
2,358 Rollins Environmental *.................................... $ 10,906
900 Tecumseh Products Co. Class A.............................. 43,650
--------
54,556
--------
MACHINERY INDUSTRIALS (1.06%)
1,200 Albany Intl. Corp. Class A................................. 29,100
500 Lawson Products............................................ 14,125
1,200 Modine Manufacturing....................................... 36,300
1,300 Stewart & Stevenson Svcs................................... 41,438
2,925 Thermo Electron Corp. *.................................... 126,141
1,200 Watts Industry............................................. 29,700
--------
276,804
--------
POLLUTION CONTROLS (0.17%)
1,600 Calgon Carbon Corp......................................... 18,200
1,000 Donaldson Co. Inc.......................................... 25,375
--------
43,575
--------
ENGINEERING & CONSTRUCTION (0.59%)
1,500 CBI Industries Inc......................................... 36,750
1,000 Jacobs Engineering Group Inc. *............................ 25,375
1,100 Structural Dynamics Research *............................. 19,938
1,400 Vulcan Materials Company................................... 73,675
--------
155,738
--------
ELECTRICAL EQUIPMENT (2.75%)
1,700 Ametek Inc................................................. 29,750
2,200 Cirrus Logic Inc. *........................................ 119,900
1,365 Hubbel Inc. Class B........................................ 80,023
1,500 Ipalco..................................................... 51,938
1,713 Mark IV Industries Inc..................................... 38,114
3,125 Molex Inc.................................................. 134,375
2,800 Teradyne, Inc. *........................................... 106,050
1,400 Varian Assoc............................................... 75,600
2,100 Vishay Intertechnology Inc................................. 85,050
--------
720,800
--------
</TABLE>
34
<PAGE> 35
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
TRANSPORTATION EQUIPMENT (0.62%)
2,200 Danaher Corporation...................................... $ 72,600
1,800 Federal Signal........................................... 38,925
1,600 Trinity Industries....................................... 51,800
----------
163,325
----------
CONGLOMERATE (0.18%)
1,200 Rayonier Inc............................................. 46,050
----------
Total Capital Goods...................................... 1,460,848
----------
CONSUMER CYCLICALS (5.02%)
HOUSING (0.26%)
2,875 Clayton Homes............................................ 67,922
----------
BUILDING MATERIALS (0.06%)
900 Calmat Co................................................ 16,425
----------
AUTO & TRUCK (0.11%)
700 Teleflex, Inc............................................ 28,263
----------
AUTO PARTS (0.21%)
900 Arvin Inds. Inc.......................................... 19,688
1,200 Superior Industries...................................... 35,550
----------
55,238
----------
TIRE & RUBBER (0.09%)
600 Carlisle Cos. Inc........................................ 24,525
----------
APPLIANCES (0.05%)
300 National Presto Industries............................... 12,750
----------
HOUSEHOLD PRODUCTS (0.20%)
1,800 Fingerhut Industries..................................... 28,125
800 Stanhome Incorporated.................................... 24,800
----------
52,925
----------
TEXTILE & APPARELS (0.99%)
2,600 Burlington Industries Inc. *............................. 32,175
1,900 Cintas Group............................................. 71,725
5,800 Shaw Industries Inc...................................... 87,000
</TABLE>
35
<PAGE> 36
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
TEXTILE & APPARELS (CONTINUED)
2,700 Unifi, Inc................................................ $ 68,175
----------
259,075
----------
SHOES (0.23%)
1,400 Nine West Group Inc. *.................................... 59,675
----------
RETAIL-GENERAL (2.50%)
1,700 Best Buy Co. Inc. *....................................... 46,325
2,600 Callaway Golf Inc......................................... 40,300
2,195 Dollar General Corporation................................ 57,619
1,100 Duty Free International................................... 12,513
900 Edison Brothers Stores.................................... 2,925
2,300 Family Dollar Stores...................................... 41,975
800 Hancock Fabrics........................................... 8,400
1,900 Heilig-Myers Co........................................... 41,800
1,500 Kohls Department Stores *................................. 70,500
1,200 Mac Frugals Bargains Close-Out *.......................... 20,100
1,100 Meyer Fred Inc. *......................................... 26,400
5,400 Office Depot *............................................ 168,075
1,500 Tambrands................................................. 67,313
600 Tiffany & Co.............................................. 25,650
1,300 Waban Inc.*............................................... 24,538
----------
654,433
----------
LODGING (0.32%)
1,800 Hospitality Fran. *....................................... 84,375
----------
Total Consumer Cyclicals ................................. 1,315,606
----------
CONSUMER NON-DURABLES (15.95%)
HEALTH CARE (0.93%)
1,008 Coram Healthcare Corp..................................... 4,914
600 Datascope Corp. *......................................... 12,600
1,200 Dentsply International Inc................................ 44,700
500 Diagnostic Products Corp.................................. 19,250
1,200 Health Care & Retirement Del. *.......................... 37,800
1,100 Nellcor Puritan Bennett, Inc. *........................... 57,200
1,947 Value Health Inc.......................................... 67,415
----------
243,879
----------
</TABLE>
36
<PAGE> 37
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
CONSUMER PRODUCTS (0.41%)
900 First Brands Corp. .................................................... $ 39,263
1,154 Lancaster Colony Corp. ................................................ 40,102
4,000 Service Merchandise Co.* .............................................. 28,500
--------
107,865
--------
FOOD BEVERAGE & TOBACCO (2.69%)
1,700 Bob Evans Farms ....................................................... 30,388
5,200 Coca-Cola Enterprises ................................................. 120,250
1,600 Dean Foods Co. ........................................................ 42,400
2,400 Dole Food Co. ......................................................... 78,600
600 Dreyer Grand Ice Cream ................................................ 23,250
1,500 Flowers Industries Inc. ............................................... 30,938
800 International Multifoods Inc. ......................................... 18,000
1,300 Lance Inc. ............................................................ 23,400
3,200 McCormick and Co. ..................................................... 70,800
800 Michael Foods, Inc. ................................................... 10,400
1,100 Savannah Foods & Industries ........................................... 11,825
1,200 Smucker (J.M.) Co. Class A ............................................ 25,200
5,900 Tyson Foods Inc. Class A .............................................. 151,925
1,400 Universal Corporation ................................................. 31,500
1,100 Universal Foods Corp. ................................................. 34,925
--------
703,801
--------
RETAIL--FOOD & DRUGS (0.62%)
400 Angelica Corp. ........................................................ 10,000
1,554 Hannaford Brothers Company ............................................ 39,821
2,600 Revco D.S. Inc. *...................................................... 51,350
900 Ruddick Corp. ......................................................... 24,075
1,700 Vons Co Inc. *......................................................... 38,038
--------
163,284
--------
COMMUNICATIONS & MEDIA (1.71%)
1,600 Belo (A.H.) Corp-Common Ser A ......................................... 56,200
600 CPI Corporation ....................................................... 12,075
3,800 Home Shopping Network * ............................................... 39,900
1,000 Information Resources * ............................................... 12,875
1,500 Multimedia Inc. * ..................................................... 63,750
1,400 Omnicom Group ......................................................... 87,850
1,000 TCA Cable TV Inc. ..................................................... 31,625
500 Washington Post Class B ............................................... 143,688
--------
447,963
--------
</TABLE>
37
<PAGE> 38
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
ENTERTAINMENT & LEISURE (1.11%)
1,166 Chris Craft Industries............................................ $ 52,470
3,500 Circus Circus Enterprises Inc. *.................................. 114,625
3,600 Mirage Resorts Inc. *............................................. 123,750
----------
290,845
----------
APPARELS (0.43%)
900 Ann Taylor Stores *............................................... 17,438
800 Claire's Stores Inc............................................... 17,300
2,050 CML Group Inc..................................................... 17,681
1,000 Jones Apparel Group *............................................. 34,750
1,400 Lands End *....................................................... 24,325
----------
111,494
----------
DRUGS (1.85%)
1,470 Bergen Brunswig Corp. Class A..................................... 30,686
1,800 Carter-Wallace Inc................................................ 23,175
1,700 Forest Laboratories Class A....................................... 76,075
4,600 Ivax Corp......................................................... 117,875
2,000 McKesson Corp..................................................... 87,000
4,800 Mylan Laboratories................................................ 109,800
900 R P Scherer Corp. *............................................... 38,700
----------
483,311
----------
HOSPITAL SUPPLY & SERVICES (0.84%)
1,100 Acuson Corp. *.................................................... 14,438
4,720 Laboratory Corp. of America Hld. *................................ 65,490
1,100 Pacificare Health Systems A *..................................... 60,225
1,900 Stryker Corp...................................................... 79,325
----------
219,478
----------
COSMETICS & SOAP (0.07%)
800 Church & Dwight................................................... 18,300
----------
TRAVEL & RECREATION (0.16%)
2,000 Promus Hotel Corp. *.............................................. 41,250
----------
PRINTING & PUBLISHING (0.78%)
800 Banta Corporation................................................. 31,400
600 Gibson Greetings Inc.............................................. 8,625
1,700 Glatfeler (P.H.) Co............................................... 38,250
600 Houghton Mifflin Co............................................... 29,325
900 Lee Enterprises................................................... 35,663
</TABLE>
38
<PAGE> 39
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
PRINTING & PUBLISHING (CONTINUED)
<S> <C> <C>
1,100 Media General Inc. Class A.................................... $ 39,600
1,900 The Topps Co.................................................. 11,400
800 Western Publishing Group Inc.................................. 8,800
--------
203,063
--------
RESTAURANTS (0.91%)
2,700 Brinker International *....................................... 45,225
1,200 Buffets Inc. *................................................ 15,750
2,400 Cracker Barrel Old Country.................................... 48,900
1,000 Intl. Dairy Queen Inc. *...................................... 21,125
1,450 Morrison Restaurants Inc...................................... 28,456
1,700 Outback Steakhouse Inc. *..................................... 54,825
750 Sbarro Inc.................................................... 17,156
1,200 Sizzler International, Inc.................................... 7,200
--------
238,637
--------
BUSINESS SERVICES (1.03%)
1,600 Comdisco...................................................... 48,800
700 Ennis Business Forms.......................................... 9,100
2,000 Noble Affiliates.............................................. 55,250
1,800 Paychex Inc................................................... 73,800
700 PHH Corporation............................................... 30,538
900 Wallace Computer Services..................................... 51,975
--------
269,463
--------
OFFICE PRODUCTS (0.79%)
700 Cross (A.T.) Company - A...................................... 11,113
1,300 Hon Industries.................................................. 38,350
1,400 Intellegent Electronics Inc................................... 12,950
1,000 Miller Herman Inc............................................. 26,250
1,200 Standard Register Co.......................................... 25,500
3,600 Staples Inc. *................................................ 92,250
--------
206,413
--------
HEALTH CARE SERVICES (1.47%)
1,500 Cardinal Health, Inc.......................................... 80,250
600 Cordis Corporation *.......................................... 46,350
2,200 Foundation Health Corp. *..................................... 76,175
1,400 Healthcare Compare Corp. *.................................... 52,675
2,400 Healthsouth Corp. *........................................... 56,700
809 Horizon/CMS Healthcare Corp................................... 17,697
2,500 Novacare Inc. *............................................... 20,625
</TABLE>
39
<PAGE> 40
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
HEALTH CARE SERVICES (CONTINUED)
1,500 Surgical Care ................................................ $ 32,813
----------
383,285
----------
HEALTH & BEAUTY AIDS (0.15%)
3,000 Perrigo Co. *................................................. 40,500
----------
Total Consumer Non-Durables................................... 4,172,831
----------
BANKING & FINANCIAL SERVICES (15.22%)
BANK & HOLDING COMPANIES (7.60%)
1,650 Bancorp Hawaii Inc. .......................................... 55,275
1,600 Central Fidelity Banks Inc. .................................. 52,400
1,784 City National Bank ........................................... 23,415
4,800 Comerica Inc. ................................................ 171,000
1,500 Crestar Financial Corp. ...................................... 84,563
1,300 Dauphin Deposit Corp. ........................................ 35,750
2,400 Fifth Third Bancorp .......................................... 135,000
5,300 First Bank System Inc. ....................................... 241,782
2,300 First of America Bank Corp. .................................. 101,775
1,900 First Security Corp./Del ..................................... 59,850
1,200 First Tennesse National Corp. ................................ 63,600
1,300 First Virginia Banks Inc. .................................... 53,463
4,300 Hibernia Bank ................................................ 43,000
3,900 Marshall & Isley Corp. ....................................... 98,475
1,650 Mercantile Bancorporation .................................... 74,663
1,800 Mercantile Bankshares Corporation ............................ 47,925
2,300 Meridian Bancorp ............................................. 92,288
2,100 Northern Trust ............................................... 94,500
3,500 Pinnacle West ................................................ 87,063
1,600 Regions Financial Corporation ................................ 64,400
3,100 Southtrust Corp. ............................................. 80,213
3,000 State Street Boston Corp. .................................... 110,625
2,100 United Jersey Bank ........................................... 72,713
1,500 Wilmington Trust Corp. ....................................... 45,750
----------
1,989,488
----------
FINANCE COMPANY (0.10%)
2,900 Nabors Industries * .......................................... 26,825
----------
</TABLE>
40
<PAGE> 41
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
INVESTMENT COMPANY (0.40%)
5,021 Bear Stearns Companies Inc. .................................. $ 103,558
----------
INSURANCE (3.39%)
4,075 Aflac Corporation ............................................ 166,566
1,800 American Financial Group Inc. ................................ 55,575
4,050 AON Corporation .............................................. 157,950
1,800 FHP International Corp. *..................................... 44,550
800 Hartford Steam ............................................... 37,100
1,300 Healthsource Inc. *........................................... 52,000
1,300 Kemper Corp. ................................................. 62,400
3,800 Paine Webber ................................................. 73,150
2,900 Progressive Corp. ............................................ 128,688
1,800 Provident Life & Accident B .................................. 47,025
900 Transatlantic Holdings Inc. .................................. 63,000
----------
888,004
----------
FINANCIAL SERVICES (3.73%)
3,450 Charles Schwab Corp. ......................................... 160,425
2,325 Edwards AG ................................................... 56,672
3,000 Equifax ...................................................... 116,625
3,300 Franklin Resources Inc. ...................................... 181,500
2,500 Green Tree Financial Corp. ................................... 145,625
3,000 Morgan Stanley Group Inc. .................................... 260,625
1,300 West One Bancorp ............................................. 53,138
----------
974,610
----------
Total Financial Services ..................................... 3,982,485
----------
UTILITIES (10.89%)
ELECTRIC (7.59%)
4,700 Allegheny Power System ....................................... 114,563
2,100 Atlantic Energy Inc. ......................................... 39,900
600 Black Hills Corp. ............................................ 14,550
900 Central Louisiana Electric ................................... 22,050
1,300 Central Maine Power Co. ...................................... 14,950
3,400 CMS Energy Corporation ....................................... 83,725
2,400 Delmarva Power & Light ....................................... 52,200
3,500 Florida Progress Corp. ....................................... 106,313
1,100 Hawaiian Electric Corporation ................................ 39,738
</TABLE>
41
<PAGE> 42
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
ELECTRIC (CONTINUED)
1,500 Idaho Power Company .......................................... $ 39,563
3,000 Illinova Corporation ......................................... 75,375
2,500 Kansas City Power & Light .................................... 55,938
1,300 LG&E Energy Corp. ............................................ 50,375
1,764 Midamerican Energy Company ................................... 25,137
1,200 Minnesota Power & Light ...................................... 32,250
2,100 Montana Power Co. ............................................ 46,200
1,700 Nevada Power Co. ............................................. 34,638
2,600 New England Electric System .................................. 91,000
2,800 New York State Elec. & Gas ................................... 67,550
2,600 Nipsco Industries ............................................ 85,150
4,900 Northeast Utilities .......................................... 112,088
1,600 Oklahoma Gas & Electric ...................................... 56,600
1,900 Portland General Corp. ....................................... 45,600
4,600 Potomac Electric Power Co. ................................... 98,325
2,400 Public Service Co. of Colorado ............................... 77,700
1,700 Public Service Co. of New Mexico ............................. 25,925
2,500 Puget Sound Power & Light .................................... 54,063
3,600 Scana Corp. .................................................. 83,700
1,600 Southwestern Public Serv. Co. ................................ 48,000
4,600 Teco Energy Inc. ............................................. 99,475
1,700 Utilicorp United Inc. ........................................ 46,113
4,200 Wisc Energy Corp. ............................................ 112,875
1,200 WPL Holdings Inc. ............................................ 34,200
---------
1,985,829
---------
GAS (0.67%)
1,000 Atlanta Gas Light Co. ........................................ 36,875
1,800 Brooklyn Union Gas Co. ....................................... 45,225
900 Indiana Energy Inc. .......................................... 18,675
2,400 MCN Corp ..................................................... 44,700
1,600 Washington Gas & Light Co. ................................... 30,600
---------
176,075
---------
TELEPHONE (2.47%)
2,100 Century Telephone Enterprises ................................ 58,538
5,900 Frontier Corporation ......................................... 164,463
1,300 Lincoln Telecommunications ................................... 24,050
2,600 Southern New England Telecom ................................. 87,425
</TABLE>
42
<PAGE> 43
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
TELEPHONE (CONTINUED)
1,900 Telephone & Data ............................................. $ 77,900
6,986 Worldcom Inc. *............................................... 235,341
----------
647,717
----------
MISCELLANEOUS (0.16%)
1,500 Vanguard Cellular Sys Class A * .............................. 40,688
----------
Total Utilities .............................................. 2,850,309
----------
SERVICES (1.87%)
DISTRIBUTOR (0.30%)
1,800 Alexander & Baldwin Inc. ..................................... 40,950
600 Scholastic Corp. * ........................................... 36,750
----------
77,700
----------
BUSINESS (1.33%)
1,100 Applied Bioscience Inc. * .................................... 8,113
1,600 Fisserve, Inc. *.............................................. 45,600
1,300 Flightsafety International ................................... 57,688
1,500 Kelly Services Inc. Class A .................................. 43,125
2,900 Manpower Inc. ................................................ 83,375
1,100 Micro Warehouse Inc. * ....................................... 52,525
1,600 Olsten Corp. ................................................. 58,000
----------
348,426
----------
CONSUMER (0.24%)
1,400 Rollins Inc. ................................................. 33,425
2,200 Sotheby's .................................................... 30,525
----------
63.950
----------
Total Services ............................................... 490,076
----------
TRANSPORTATION (1.65%)
TRANSPORTATION (0.09%)
1,500 Hunt (J.B.) .................................................. 24,000
----------
AIR TRANSPORTATION (0.24%)
800 Airborne Freight Corp. ....................................... 16,300
500 Alaska Airgroup Inc. * ....................................... 9,750
1,400 Atlantic SE Airlines .......................................... 35,000
----------
61,050
----------
RAILROADS (0.69%)
800 GATX Corp. ................................................... 41,300
1,700 Illinois Central Corp Class A ................................ 65,238
1,700 Kansas City Southern Inds. ................................... 74,800
----------
181,338
----------
</TABLE>
43
<PAGE> 44
<TABLE>
<S> <C> <C>
TRUCKING (0.08%)
1,100 Arnold Industries, Inc. ...................................... $ 19,663
--------
MISCELLANEOUS (0.55%)
1,100 American President Cos. Ltd. ................................. 32,313
3,000 Harley Davidson .............................................. 83,250
1,400 Overseas Shipholding Group ................................... 29,225
--------
144,788
--------
Total Transportation ........................................ 430,839
--------
MANUFACTURING (10.91%)
CONSUMER DURABLES (0.30%)
1,600 Legget & Platt ............................................... 77,400
--------
BUILDING & HOUSING (0.05%)
700 Southdown Inc. ............................................... 13,300
--------
CHEMICALS (3.47%)
2,400 Albemarble Corporation ....................................... 39,300
1,100 Betz Labs .................................................... 46,063
1,400 Cabot Corp. .................................................. 67,375
2,100 Crompton & Knowles Corp. ..................................... 31,763
1,000 Dexter Corp. ................................................. 24,750
4,700 Ethyl Corp. .................................................. 51,113
1,200 Ferro Corp. .................................................. 32,400
600 Fuller (H.B.) Co ............................................. 20,550
1,600 Georgia Pacific Corp. ........................................ 53,000
1,000 IMC. Global Inc. ............................................. 63,250
1,900 Iowa Beef Processing ......................................... 93,575
1,800 Lawter International ......................................... 21,150
1,400 Loctite Corp. ................................................ 67,200
2,700 Lubrizol Corp. ............................................... 83,700
3,200 Lyondell Petrochemical ....................................... 88,000
300 NCH Corp ..................................................... 17,175
2,300 RPM Inc. Ohio ................................................ 46,000
1,500 Schulman (A.) Inc. ........................................... 39,750
2,200 Sterling Chemicals Inc.* ..................................... 22,825
--------
908,939
--------
DIVERSIFIED (0.76%)
800 Goulds Pumps Inc. ............................................ 17,200
600 Lukens Inc. .................................................. 18,000
800 Nordson Corp. ................................................ 45,600
800 Olin Corporation ............................................. 51,700
2,000 Witco Corporation ............................................ 66,500
--------
199,000
--------
CAPITAL GOODS (0.56%)
1,000 Kennametal Inc. .............................................. 38,000
1,400 Keystone International Inc. .................................. 28,175
</TABLE>
44
<PAGE> 45
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
CAPITAL GOODS (CONTINUED)
1,000 Magnetek Inc. * .............................................. $ 12,625
1,500 York Intl. Corp New Com. ..................................... 66,750
--------
145,550
--------
PAPER & FOREST PRODUCTS (1.20%)
1,500 Bowater Inc. ................................................. 71,625
1,000 Chesapeake Corporation ....................................... 36,375
1,800 Consolidated Papers .......................................... 108,900
2,100 Longview Fibre Co. ........................................... 33,863
750 Pentair Inc. ................................................. 34,125
1,210 Wausau Paper Mills Co. ....................................... 28,132
--------
313,020
--------
METALS & MINERALS (0.62%)
2,800 Allegheny Ludlum Corp. ....................................... 58,800
600 Brush Wellman Inc. ........................................... 12,300
300 Carpenter Technology ......................................... 22,875
1,350 Hanna (M.A.) Co. ............................................. 37,800
300 Maxxam Inc. *................................................. 17,625
800 Oregon Steel Mills Inc. ...................................... 13,400
--------
162,800
--------
CONTAINERS (0.62%)
500 Cleveland Cliffs Corp. ....................................... 22,625
800 Sealed Air Corp. *............................................ 42,200
3,675 Sonoco Products Inc. ......................................... 98,766
--------
163,591
--------
COMPUTERS (2.17%)
1,044 AST Research Inc. * .......................................... 13,833
1,000 Convex Computer Corp. * ...................................... 4,875
1,500 Dell Computer Corp. * ........................................ 115,500
7,400 EMCCorp Massachusetts * ...................................... 151,700
800 Exabyte Corp. * .............................................. 12,100
700 Measurex Corp. ............................................... 20,650
1,700 Quantum Corp. * .............................................. 40,800
2,800 Seagate Technology Inc. * .................................... 123,900
1,200 Sequent Computer Systems Inc. * .............................. 28,350
2,014 Storage Technology Corp. ..................................... 55,133
--------
566,841
--------
</TABLE>
45
<PAGE> 46
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
NON FERROUS METALS (0.35%)
1,800 Alumax Inc. * ................................................ $ 61,425
1,400 Federal Mogul Corp. .......................................... 31,150
----------
92,575
----------
GOLD & PRECIOUS METALS (0.33%)
3,200 Battle Mountain Gold Co. ..................................... 31,600
1,000 Harsco Corporation ........................................... 56,000
----------
87,600
----------
MISCELLANEOUS (0.48%)
4,900 International Game Technology ................................ 69,825
700 Kaydon Corp. ................................................. 21,350
1,300 Wellman, Inc. ................................................ 33,150
----------
124,325
----------
Total Manufacturing .......................................... 2,854,941
----------
TECHNOLOGY (12.77%)
OFFICE EQUIPMENT (0.22%)
1,200 Diebold ...................................................... 55,950
----------
ELECTRONICS (1.38%)
1,637 Arrow Electronics, Inc. ..................................... 88,807
1,600 Avnet Inc. ................................................... 82,400
1,800 Litton Inds. * ............................................... 69,750
2,900 Sensormatic Electronics Corp. ................................ 60,900
1,000 Symbol Technologies Inc. ..................................... 34,750
900 Verifone Inc. * .............................................. 25,538
----------
362,145
----------
BIO-TECHNOLOGY (1.09%)
1,200 Beckman Instruments Inc. ..................................... 34,350
1,200 Biogen Inc. .................................................. 65,700
1,700 Centocor Inc. * .............................................. 20,613
1,203 Chiron Corp. * ............................................... 107,969
1,000 Genzyme * .................................................... 55,875
----------
284,507
----------
SOFTWARE (3.66%)
2,300 Adobe Systems Inc. ........................................... 117,300
4,312 Bay Networks ................................................. 204,820
2,200 BMC Software Inc. * .......................................... 93,775
1,100 Borland International * ...................................... 15,400
</TABLE>
46
<PAGE> 47
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
SOFTWARE (CONTINUED)
1,700 Cadence Design Sys. Inc. * ................................... $ 61,625
1,800 Compuware Corp. * ............................................ 40,725
1,900 Electronic Arts * ............................................ 72,200
5,200 Informix Corp. * ............................................. 145,600
2,200 Parametric Tech Co. * ........................................ 121,550
1,600 Reynolds & Reynolds Class A .................................. 51,400
1,200 Symantic Corp. * ............................................. 34,650
--------
959,045
--------
BUSINESS - MECHANICS & SOFTWARE (0.17%)
400 Advanced Labs Technology * ................................... 6,800
500 Granite Construction Inc. .................................... 13,000
900 Stratus Computer * ........................................... 25,200
--------
45,000
--------
BUSINESS - SERVICES (1.00%)
2,400 First Financial Management ................................... 216,300
900 Policy Management Systems * .................................. 44,550
--------
260,850
--------
SEMICONDUCTORS (2.78%)
1,600 Altera Corp. * ............................................... 100,200
3,400 Atmel Corporation * .......................................... 107,525
1,400 Cypress Semi-Conductor * ..................................... 63,875
1,400 Linear Technology Corp. ...................................... 113,400
4,600 LSI Logic Corp. .............................................. 226,550
2,700 Xilinx Inc. * ................................................ 115,763
--------
727,313
--------
TELECOMMUNICATIONS (1.07%)
2,200 ADC Telecommunications Inc. *................................. 85,250
1,600 Comsat Corp. ................................................. 37,200
7,414 Nextel Communications Inc. - A * ............................. 132,525
700 Octel Communications Corp. * ................................. 23,888
--------
278,863
--------
AEROSPACE AIRCRAFT (0.56%)
2,000 Conner Peripherals * ......................................... 26,750
750 Precision Castparts .......................................... 25,406
1,400 Sundstrand Corp. ............................................. 95,375
--------
147,531
--------
MISCELLANEOUS (0.84%)
3,600 American Power Conversion Corp. * ............................ 60,300
3,000 Analog Devices ............................................... 103,875
750 Duriron Co. .................................................. 19,125
</TABLE>
47
<PAGE> 48
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
- ------ --------
<S> <C> <C>
MISCELLANEOUS (CONTINUED)
1,900 Mentor Graphics .............................................. $ 36,575
----------
219,875
----------
Total Technology ............................................. 3,341,079
----------
AEROSPACE - DEFENSE (0.30%)
AEROSPACE - DEFENSE (0.30%)
1,300 Gencorp Inc. ................................................. 15,438
800 OEA Inc ...................................................... 24,000
700 Rohr Inc. * .................................................. 10,850
800 Thiokol ...................................................... 27,900
----------
Total Aerospace - Defense .................................... 78,188
----------
ENERGY (3.62%)
OIL & GAS - DOMESTIC (2.27%)
2,300 Anadarko Petroleum Corp. ..................................... 109,825
2,400 Apache Corp. ................................................. 69,900
1,200 Diamond Shamrock Inc. ........................................ 31,950
1,500 El Paso Natural Gas .......................................... 42,188
1,200 Mapco Inc. ................................................... 64,050
1,800 Murphy Oil Co. ............................................... 72,900
1,500 National Fuel Gas Co. ........................................ 42,188
1,100 Parker & Parsley Petro Co. ................................... 23,513
1,100 Quaker State Corp. ........................................... 16,500
1,600 Questar ...................................................... 48,800
1,500 Seagull Energy Corp. ......................................... 30,188
1,300 Tosco Corporation ............................................ 41,763
----------
593,765
----------
OIL & GAS - INTERNATIONAL (0.13%)
2,200 Parker Drilling Company * .................................... 12,375
3,900 Ranger Oil Ltd. .............................................. 22,425
----------
34,800
----------
OIL & GAS SERVICES (0.64%)
600 B J Services ................................................. 15,000
700 Enterra Corp. * .............................................. 15,313
6,600 Global Marine Inc. * ......................................... 44,550
1,600 Smith International Inc. ..................................... 28,000
2,100 Tidewater Inc. ............................................... 51,975
1,100 Varco International Inc. * ................................... 12,100
----------
166,938
----------
</TABLE>
48
<PAGE> 49
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
<TABLE>
<CAPTION>
VALUE
SHARES (NOTE 1)
------ --------
<S> <C> <C>
ENERGY RAW MATERIALS (0.37%)
2,993 AES Corp. * .................................................. $ 55,370
1,900 California Energy *........................................... 39,663
-----------
95,033
-----------
MISCELLANEOUS (0.21%)
1,000 Air & Water Technologies Class A *............................ 5,938
400 Sequa Corporation *........................................... 10,650
1,700 Valero Energy Corp............................................ 38,888
-----------
55,476
-----------
Total Energy.................................................. 946,012
-----------
Total Common Stocks (cost $18,132,392)........................ 21,923,214
-----------
<CAPTION>
PAR
VALUE
-----
<S> <C> <C>
SHORT TERM INVESTMENTS (15.88%)
UNITED STATES TREASURY BILLS
$2,250,000 5.92%, 9/14/95 (b)............................................ 2,245,556
1,287,860 PORTICO INSTITUTIONAL MONEY MARKET FUND....................... 1,287,860
623,083 PORTICO U.S. GOVERNMENT MONEY MARKET FUND..................... 623,083
-----------
Total Short Term Investments (cost $4,156,499)................ 4,156,499
-----------
Total Investments (cost $22,288,891) (99.66%)................. 26,079,713
Other Assets less Liabilities (0.34%)......................... 88,131
-----------
Net Assets (100.%) $26,167,844
===========
</TABLE>
49
<PAGE> 50
S&P MIDCAP INDEX FUND
PORTFOLIO OF INVESTMENTS--(CONTINUED)
AUGUST 31, 1995
* Non-Income Producing Security
(a) Aggregate cost for federal income tax purposes is $22,288,891. At
August 31, 1995, unrealized appreciation (depreciation) of securities
for federal income tax purposes is as follows:
<TABLE>
<S> <C>
Unrealized appreciation......................... $ 5,073,278
Unrealized depreciation......................... (1,282,456)
-----------
Net unrealized appreciation................ $ 3,790,822
===========
</TABLE>
(b) At August 31, 1995, certain United States Treasury Bills with a market
value of $81,334 were pledged long to cover margin requirements for
futures contracts.
(c) Future contracts at August 31, 1995
<TABLE>
<CAPTION>
(contracts-$500 times premium/delivery month/commitment) Unrealized
S&P MidCap Index: Appreciation (Depreciation)
<S> <C>
29/September 95/Buy $ 267,110
10/December 95/Buy 19,175
-----------
$ 286,285
===========
</TABLE>
See accompanying notes to financial statements
50
<PAGE> 51
STATEMENTS OF ASSETS AND LIABILITIES
AUGUST 31, 1995
<TABLE>
<CAPTION>
CALIFORNIA CALIFORNIA
TAX-FREE CALIFORNIA INSURED
MONEY MARKET TAX-FREE TAX-FREE
FUND INCOME FUND INCOME FUND
------------ ------------ -----------
<S> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$81,697,012, $191,260,861 and $22,453,535
respectively) (Note 1) ................................. $81,697,012 $197,401,419 $23,029,250
Cash ......................................................... 42,927 61,395 38,600
Interest receivable .......................................... 496,033 2,914,081 401,976
Receivable for fund shares sold .............................. 70,492 191,725 100,000
----------- ------------ -----------
Total assets ............................................. 82,306,464 200,568,620 23,569,826
----------- ------------ -----------
LIABILITIES
Payable for investments purchased ............................ 1,507,170 4,118,787 --
Payable for fund shares repurchased .......................... 348,916 50,980 4,008
Payable to investment advisor ................................ 14,475 77,707 6,499
Accrued expenses ............................................. 14,124 60,959 10,095
Distributions payable ........................................ 10,202 214,618 33,805
----------- ------------ -----------
Total liabilities ............................................ 1,894,887 4,523,051 54,407
----------- ------------ -----------
Net Assets:
(Applicable to 80,473,681, 16,045,889 and
2,241,772 shares of beneficial interest with no
par value, unlimited number of shares
authorized) ........................................... $80,411,577 $196,045,569 $23,515,419
=========== ============ ===========
Pricing of Shares:
Net asset value, offering and
redemption price per share
$80,411,577/80,473,681 shares ........................... $ 1.00
===========
$196,045,569/16,045,889 shares .......................... $ 12.22
============
$23,515,419/2,241,772 shares ............................ $ 10.49
===========
Net assets at August 31, 1995 consisted of:
Paid-in capital ........................................... $80,473,681 $191,156,056 $23,220,804
Undistributed net investment income ....................... -- 18,129 4,916
Accumulated net realized losses ........................... (62,104) (1,269,174) (286,016)
Unrealized appreciation of
investments ............................................. -- 6,140,558 575,715
----------- ------------ -----------
$80,411,577 $196,045,569 $23,515,419
=========== ============ ===========
</TABLE>
See accompanying notes to financial statements
51
<PAGE> 52
STATEMENTS OF ASSETS AND LIABILITIES
AUGUST 31, 1995
<TABLE>
<CAPTION>
U.S. THE UNITED
GOVERNMENT STATES S&P 500 S&P MIDCAP
SECURITIES TREASURY INDEX INDEX
FUND TRUST FUND FUND
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
ASSETS
Investments at market value (identified cost
$28,517,604, $30,086,964, $18,731,955 and
$22,288,891, respectively) (Note 1) ............... $29,593,984 $30,086,964 $21,708,804 $26,079,713
Cash ................................................. 78,768 85,850 883 835
Interest receivable .................................. 287,512 --- 3,520 7,680
Dividends receivable ................................. --- --- 51,747 34,648
Receivable for fund shares sold ...................... 145 --- 57,623 57,568
Variation margin receivable .......................... --- --- 10,735 2,095
----------- ----------- ----------- -----------
Total assets ...................................... 29,960,409 30,172,814 21,833,312 26,182,539
----------- ----------- ----------- -----------
LIABILITIES
Payable for fund shares repurchased .................. 523 356,110 20,000 ---
Payable to investment advisor......................... 11,035 321 1,875 1,833
Accrued expenses ..................................... 7,189 17,421 11,247 12,862
Distributions payable ................................ 57,763 1,856 --- ---
----------- ----------- ----------- -----------
Total liabilities .................................... 76,510 375,708 33,122 14,695
----------- ----------- ----------- -----------
Net Assets:
(Applicable to 2,804,359, 29,791,048,
1,637,302 and 1,894,101 shares of
beneficial interest with no par value,
unlimited number of shares authorized) ............ $29,883,899 $29,797,106 $21,800,190 $26,167,844
=========== =========== =========== ===========
Pricing of Shares:
Net asset value, offering and
redemption price per share
$29,883,899 / 2,804,359 shares .................... $10.66
======
$29,797,106 / 29,791,048 shares ................... $1.00
=====
$21,800,190 / 1,637,302 shares .................... $13.31
======
$26,167,844 / 1,894,101 shares .................... $13.82
======
Net assets at August 31, 1995 consisted of:
Paid-in capital ...................................... $28,863,575 $29,791,048 $17,875,623 $21,329,176
Undistributed net investment income .................. 5,068 --- 118,868 85,617
Accumulated net realized gains (losses) .............. (61,124) 6,058 762,225 675,944
Unrealized appreciation of investments ............... 1,076,380 --- 2,976,849 3,790,822
Unrealized appreciation of futures contracts ......... --- --- 66,625 286,285
----------- ----------- ----------- -----------
$29,883,899 $29,797,106 $21,800,190 $26,167,844
=========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements
52
<PAGE> 53
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 1995
<TABLE>
<CAPTION>
CALIFORNIA CALIFORNIA
TAX-FREE CALIFORNIA INSURED
MONEY MARKET TAX-FREE TAX-FREE
FUND INCOME FUND INCOME FUND
------------ ----------- -----------
<S> <C> <C> <C>
Investment Income:
Interest income ........................................ $3,044,985 $11,396,744 $1,077,306
---------- ----------- ----------
Expenses:
Management fees (Note 2) ............................... 420,624 943,027 108,729
Transfer agent fees .................................... 35,721 75,169 11,173
Accounting services .................................... 22,891 75,372 28,121
Custodian fees ......................................... 29,646 38,419 6,060
Legal & audit fees ..................................... 31,339 68,569 4,458
Trustees fees........................................... 4,040 4,043 4,049
Insurance .............................................. 1,999 5,224 577
Printing ............................................... 4,892 14,341 1,493
Registration & dues .................................... 2,555 5,631 766
---------- ----------- ----------
Total expenses ......................................... 553,707 1,229,795 165,426
Less reimbursement from advisor (Note 2) ............... (214,505) --- (34,227)
---------- ----------- ----------
Net expenses ........................................... 339,202 1,229,795 131,199
---------- ----------- ----------
Net investment income ............................. 2,705,783 10,166,949 946,107
---------- ----------- ----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized loss from security transactions .......... (7,604) (1,269,174) (286,016)
Increase in unrealized appreciation of investments --- 4,388,088 980,269
---------- ----------- ----------
Net realized and unrealized gain (loss) on
investments ...................................... (7,604) 3,118,914 694,253
---------- ----------- ----------
Net increase in net assets resulting
from operations .................................. $2,698,179 $13,285,863 $1,640,360
========== =========== ==========
</TABLE>
See accompanying notes to financial statements
53
<PAGE> 54
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED AUGUST 31, 1995
<TABLE>
<CAPTION>
U.S. THE UNITED
GOVERNMENT STATES S&P 500 S&P MIDCAP
SECURITIES TREASURY INDEX INDEX
FUND TRUST FUND FUND
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Investment Income:
Interest income................................. $2,086,402 $1,583,667 $ 237,904 $ 167,510
Dividend income................................. --- --- 336,137 389,328
---------- ---------- ---------- ----------
Total investment income..................... 2,086,402 1,583,667 574,041 556,838
---------- ---------- ---------- ----------
Expenses:
Management fees (Note 2) ....................... 139,656 144,720 41,579 89,035
Transfer agent fees ............................ 16,913 14,397 22,129 24,956
Accounting services ............................ 23,724 20,511 25,334 22,816
Custodian fees ................................. 7,702 7,230 14,303 12,737
Legal & audit fees.............................. 14,572 14,272 7,784 9,646
Trustees fees .................................. 3,036 3,030 3,033 3,036
Printing ....................................... 2,277 3,038 3,603 3,613
Insurance ...................................... 733 852 3,451 631
Registration & dues ............................ 969 1,029 472 798
Standard & Poor's licensing fees ............... --- --- 9,394 10,113
---------- ---------- ---------- ----------
Total expenses ................................. 209,582 209,079 131,082 177,381
---------- ---------- ---------- ----------
Less reimbursement from advisor
(Note 2) ..................................... (30,584) (63,017) (97,742) (88,110)
---------- ---------- ---------- ----------
Net expenses ................................... 178,998 146,062 33,340 89,271
---------- ---------- ---------- ----------
Net investment income ...................... 1,907,404 1,437,605 540,701 467,567
---------- ---------- ---------- ----------
Realized and Unrealized Gain (Loss) on Investments:
Net realized gain from
security transactions ....................... 185,598 21,175 126,863 636,630
Net realized gain on futures contracts ......... --- --- 798,460 256,105
Increase in unrealized
appreciation of investments ................. 743,511 --- 1,954,219 2,781,170
Increase (decrease) in unrealized
appreciation of futures contracts ............ --- --- (71,385) 175,145
---------- ---------- ---------- ----------
Net realized and unrealized gain on
investments ............................... 929,109 21,715 2,808,157 3,849,050
---------- ---------- ---------- ----------
Net increase in net assets resulting
from operations ........................... $2,836,513 $1,459,320 $3,348,858 $4,316,617
========== ========== ========== ==========
</TABLE>
See accompanying notes to financial statements
54
<PAGE> 55
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE CALIFORNIA TAX-FREE
MONEY MARKET FUND INCOME FUND
------------------------------- -------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1995 1994
--------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................. $ 2,705,783 $ 1,694,941 $ 10,166,949 $ 12,845,484
Net realized gain (loss)
on investments ..................... (7,604) 2,536 (1,269,174) 4,605,390
Increase (decrease) in unrealized
appreciation of investments ........ -- -- 4,388,088 (23,711,769)
--------------- ------------- ------------- -------------
Net increase (decrease) in net
assets resulting from operations ... 2,698,179 1,697,477 13,285,863 (6,260,895)
Undistributed investment income
included in price of shares sold
and repurchased .................... -- -- (113,983) (60,494)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment
income ............................. (2,705,783) (1,694,941) (10,989,636) (13,184,834)
Distributions from realized capital
gains on investments ............... -- -- (3,411,745) (5,924,589)
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... (5,515,970) 27,178,373 (27,812,252) (23,806,409)
--------------- ------------- ------------- -------------
Total increase (decrease) ............. (5,523,574) 27,180,909 (29,041,753) (49,237,221)
NET ASSETS
Beginning of year ..................... 85,935,151 58,754,242 225,087,322 274,324,543
--------------- ------------- ------------- -------------
End of year* .......................... $ 80,411,577 $ 85,935,151 $ 196,045,569 $ 225,087,322
=============== ============= ============= =============
- ----------------
* Including undistributed net
investment income of: $ -- $ -- $ 18,129 $ 954,799
=============== ============= ============= =============
</TABLE>
See accompanying notes to financial statements
55
<PAGE> 56
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
CALIFORNIA
INSURED TAX-FREE U.S. GOVERNMENT
INCOME FUND SECURITIES FUND
----------------------------- -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1995 1994
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ................. $ 946,107 $ 724,138 $ 1,907,404 $ 2,062,869
Net realized gain (loss)
on investments ..................... (286,016) 2,172 185,598 (244,505)
Increase (decrease) in unrealized
appreciation of investments ........ 980,269 (774,677) 743,511 (4,153,135)
------------ ------------ ------------ ------------
Net increase (decrease) in net
assets resulting from operations ... 1,640,360 (48,367) 2,836,513 (2,334,771)
Undistributed investment income
included in price of shares sold
and repurchased .................... (191) 16,502 (9,780) (5,625)
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment
income ............................. (1,017,602) (708,672) (2,066,368) (2,071,023)
Distributions from realized capital
gains on investments ............... (2,172) -- -- (167,454)
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ....................... 1,094,869 11,395,767 (1,104,006) (981,075)
------------ ------------ ------------ ------------
Total increase (decrease) ............. 1,715,264 10,655,230 (343,641) (5,559,948)
NET ASSETS
Beginning of year ..................... 21,800,155 11,144,925 30,227,540 35,787,488
------------ ------------ ------------ ------------
End of year* .......................... $ 23,515,419 $ 21,800,155 $ 29,883,899 $ 30,227,540
============ ============ ============ ============
* Including undistributed net
investment income of: $ 4,916 $ 76,602 $ 5,068 $ 173,812
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
56
<PAGE> 57
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
THE UNITED STATES
TREASURY TRUST
-----------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31,
1995 1994
------------ ------------
<S> <C> <C>
OPERATIONS:
Net investment income .................. $ 1,437,605 $ 633,839
Net realized gain on investments ....... 21,715 3,387
Increase in unrealized
appreciation of investments ......... -- --
------------ ------------
Net increase in net
assets resulting from operations .... 1,459,320 637,226
DISTRIBUTIONS TO SHAREHOLDERS:
Distributions from net investment
income .............................. (1,437,605) (633,839)
Distributions from realized capital
gains on investments ................ (18,771) (39,968)
CAPITAL SHARE TRANSACTIONS:
Increase (decrease) in net assets
resulting from capital share
transactions ........................ 10,526,034 (9,143,997)
------------ ------------
Total increase (decrease) .............. 10,528,978 (9,180,578)
NET ASSETS
Beginning of year ...................... 19,268,128 28,448,706
------------ ------------
End of year* ........................... $ 29,797,106 $ 19,268,128
============ ============
* Including undistributed net
investment income of: $ -- $ --
============ ============
</TABLE>
See accompanying notes to financial statements
57
<PAGE> 58
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
S&P 500 S&P MIDCAP
INDEX FUND INDEX FUND
----------------------------- -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1995 1994
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income ........................ $ 540,701 $ 362,546 $ 467,567 $ 362,921
Net realized gain on investments ............. 126,863 22,763 636,630 512,967
Net realized gain (loss) on
futures contracts ......................... 798,460 (26,735) 256,105 (198,945)
Increase (decrease) in unrealized
appreciation of investments ............... 1,954,219 247,264 2,781,170 (380,243)
Increase (decrease) in unrealized appreciation
of futures contracts ...................... (71,385) 84,206 175,145 38,300
------------ ------------ ------------ ------------
Net increase in net assets resulting
from operations ........................... 3,348,858 690,044 4,316,617 732,890
Undistributed investment income
included in price of shares sold
and repurchased ........................... 14,497 9,923 (2,423) 11,458
DISTRIBUTIONS TO SHAREHOLDERS
Distributions from net investment
income .................................... (506,583) (350,276) (452,252) (353,365)
Distributions from realized capital
gains on investments ...................... (46,686) (149,470) (797,770) (363,335)
CAPITAL SHARE TRANSACTIONS:
Increase in net assets
resulting from capital share
transactions ............................. 4,160,352 3,277,946 1,314,239 5,519,280
------------ ------------ ------------ ------------
Total increase ............................... 6,970,438 3,478,167 4,378,411 5,546,928
NET ASSETS
Beginning of year ............................ 14,829,752 11,351,585 21,789,433 16,242,505
------------ ------------ ------------ ------------
End of year* ................................. $ 21,800,190 $ 14,829,752 $ 26,167,844 $ 21,789,433
============ ============ ============ ============
* Including undistributed net
investment income of: $ 118,868 $ 70,253 $ 85,617 $ 72,725
============ ============ ============ ============
</TABLE>
See accompanying notes to financial statements
58
<PAGE> 59
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
-------------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1995 AUGUST 31, 1994
--------------------------- ---------------------------
SHARES VALUE SHARES VALUE
---------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold .................... 2,982,528 $ 35,212,115 4,524,808 $ 57,988,440
Shares issued in reinvestment of
dividends .................. 944,581 11,028,287 1,144,725 14,605,119
---------- ------------ ---------- ------------
3,927,109 46,240,402 5,669,533 72,593,559
Shares repurchased ............. (6,382,493) (74,052,654) (7,648,632) (96,399,968)
---------- ------------ ---------- ------------
Net decrease ............... (2,455,384) $(27,812,252) (1,979,099) $(23,806,409)
========== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA INSURED TAX-FREE INCOME FUND
------------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1995 AUGUST 31, 1994
-------------------------- --------------------------
SHARES VALUE SHARES VALUE
--------- ------------ --------- ------------
<S> <C> <C> <C> <C>
Shares sold .................... 978,758 $ 9,740,809 1,872,504 $ 19,556,246
Shares issued in reinvestment of
dividends ................... 67,965 686,965 54,119 560,985
--------- ------------ --------- ------------
1,046,723 10,427,774 1,926,623 20,117,231
Shares repurchased ............. (936,177) (9,332,905) (841,688) (8,721,464)
--------- ------------ --------- ------------
Net increase ................ 110,546 $ 1,094,869 1,084,935 $ 11,395,767
========= ============ ========= ============
</TABLE>
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE THE UNITED STATES
MONEY MARKET FUND TREASURY TRUST
---------------------------- -----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1995 1994
------------ ------------ ------------ ------------
SHARES/VALUE SHARES/VALUE SHARES/VALUE SHARES/VALUE
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
Shares sold .................................. 146,409,663 191,319,102 52,708,869 12,704,345
Shares issued in reinvestment of
dividends ................................. 2,530,269 1,587,532 1,427,559 660,056
------------ ------------ ----------- -----------
148,939,932 192,906,634 54,136,428 13,364,401
Shares repurchased ........................... (154,455,902) (165,728,261) (43,610,394) (22,508,398)
------------ ------------ ----------- -----------
Net increase (decrease) ................... (5,515,970) 27,178,373 10,526,034 (9,143,997)
============ ============ =========== ===========
</TABLE>
See accompanying notes to financial statements
59
<PAGE> 60
STATEMENTS OF CHANGES IN NET ASSETS--(CONTINUED)
<TABLE>
<CAPTION>
U.S. GOVERNMENT SECURITIES FUND
-------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1995 AUGUST 31, 1994
------------------------- --------------------------
SHARES VALUE SHARES VALUE
-------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold . . . . . . . . . . . . . . . . . . . 719,796 $ 7,461,139 899,083 $ 10,056,397
Shares issued in reinvestment of
dividends . . . . . . . . . . . . . . . . . . . 142,827 1,454,004 144,556 1,591,144
-------- ------------ ---------- ------------
862,623 8,915,143 1,043,639 11,647,541
Shares repurchased . . . . . . . . . . . . . . . . (991,818) (10,019,149) (1,153,670) (12,628,616)
-------- ------------ ---------- ------------
Net decrease . . . . . . . . . . . . . . . . . . (129,195) $ (1,104,006) (110,031) $ (981,075)
======== ============ ========== ============
</TABLE>
<TABLE>
<CAPTION>
S&P 500 INDEX FUND
-------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1995 AUGUST 31, 1994
------------------------- --------------------------
SHARES VALUE SHARES VALUE
-------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold . . . . . . . . . . . . . . . . . . . 412,534 $ 5,077,535 440,192 $ 4,886,401
Shares issued in reinvestment of
dividends . . . . . . . . . . . . . . . . . . . 43,886 509,025 42,529 466,212
-------- ----------- -------- -----------
456,420 5,586,560 482,721 5,352,613
Shares repurchased . . . . . . . . . . . . . . . . (122,148) (1,426,208) (188,427) (2,074,667)
-------- ----------- -------- -----------
Net increase . . . . . . . . . . . . . . . . . . 334,272 $ 4,160,352 294,294 $ 3,277,946
======== =========== ======== ===========
</TABLE>
<TABLE>
<CAPTION>
S&P MIDCAP INDEX FUND
-------------------------------------------------------
YEAR ENDED YEAR ENDED
AUGUST 31, 1995 AUGUST 31, 1994
------------------------- --------------------------
SHARES VALUE SHARES VALUE
-------- ------------ ---------- ------------
<S> <C> <C> <C> <C>
Shares sold . . . . . . . . . . . . . . . . . . . 292,712 $ 3,562,660 562,880 $ 6,795,446
Shares issued in reinvestment of
dividends . . . . . . . . . . . . . . . . . . . 107,087 1,207,423 57,370 684,150
-------- ----------- -------- -----------
399,799 4,770,083 620,250 7,479,596
Shares repurchased . . . . . . . . . . . . . . . . (290,400) (3,455,844) (163,816) (1,960,316)
-------- ----------- -------- -----------
Net increase . . . . . . . . . . . . . . . . . . 109,399 $ 1,314,239 456,434 $ 5,519,280
======== =========== ======== ===========
</TABLE>
See accompanying notes to financial statements
60
<PAGE> 61
FINANCIAL HIGHLIGHTS
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE MONEY MARKET FUND
----------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1993 1992 1991
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year . . . . . . . . $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income . . . . . . . . . . . . . . 0.032 0.022 0.022 0.031 0.046
LESS DISTRIBUTIONS
Dividends from net investment
income. . . . . . . . . . . . . . . . . . . . . (0.032) (0.022) (0.022) (0.031) (0.046)
-------- -------- -------- -------- --------
Net asset value, end of year . . . . . . . . . . . $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======== ======== ======== ======== ========
Total Return . . . . . . . . . . . . . . . . . . . 3.27% 2.18% 2.27% 3.18% 4.62%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . . . . . . . $ 80,412 $ 85,935 $ 58,754 $ 92,913 $ 75,316
Ratio of expenses to average net
assets:
Before expense reimbursements . . . . . . . . 0.66% 0.68% 0.39% 0.15% 0.32%
After expense reimbursements. . . . . . . . . 0.40% 0.35% 0.24% 0.15% 0.21%
Ratio of net investment income to
average net assets:
Before expense reimbursements . . . . . . . . 2.97% 1.83% 2.10% 3.05% 4.44%
After expense reimbursements. . . . . . . . . 3.23% 2.16% 2.25% 3.05% 4.55%
</TABLE>
See accompanying notes to the financial statements
61
<PAGE> 62
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA TAX-FREE INCOME FUND
----------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1993 1992 1991
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year . . . . . . . . $ 12.17 $ 13.39 $ 12.42 $ 11.85 $ 11.30
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income . . . . . . . . . . . . . . 0.61 0.65 0.69 0.73 0.75
Net gain (loss) on securities (both
realized and unrealized). . . . . . . . . . . . 0.30 (0.92) 1.04 0.57 0.55
-------- -------- -------- -------- --------
Total from investment operations. . . . . . . 0.91 (0.27) 1.73 1.30 1.30
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income. . . . . . . . . . . . . . . . . . . . . (0.66) (0.66) (0.68) (0.73) (0.75)
Distributions from capital gains . . . . . . . . (0.20) (0.29) (0.08) -- --
-------- -------- -------- -------- --------
Total distributions . . . . . . . . . . . . . (0.86) (0.95) (0.76) (0.73) (0.75)
-------- -------- -------- -------- --------
Net asset value, end of year . . . . . . . . . . . $ 12.22 $ 12.17 $ 13.39 $ 12.42 $ 11.85
======== ======== ======== ======== ========
Total Return . . . . . . . . . . . . . . . . . . . 7.53% -2.15% 14.55% 11.29% 11.87%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . . . . . . . $196,046 $225,087 $274,325 $217,321 $136,594
Ratio of expenses to average net
assets:
Before expense reimbursements . . . . . . . . 0.62% 0.60% 0.60% 0.60% 0.67%
After expense reimbursements. . . . . . . . . 0.62% 0.60% 0.60% 0.60% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements . . . . . . . . 5.13% 5.09% 5.41% 5.98% 6.36%
After expense reimbursements. . . . . . . . . 5.13% 5.09% 5.41% 5.98% 6.43%
Portfolio Turnover . . . . . . . . . . . . . . . 32.21% 31.27% 25.42% 45.43% 44.12%
</TABLE>
See accompanying notes to the financial statements
62
<PAGE> 63
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
U.S GOVERNMENT SECURITIES FUND
----------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1993 1992 1991
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year . . . . . . . . $ 10.30 $ 11.76 $ 10.52 $ 9.80 $ 9.41
-------- -------- -------- -------- --------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income . . . . . . . . . . . . . . 0.70 0.67 0.71 0.72 0.83
Net gain (loss) on securities (both
realized and unrealized). . . . . . . . . . . . 0.41 (1.40) 1.29 0.73 0.39
-------- -------- -------- -------- --------
Total from investment operations. . . . . . . 1.11 (0.73) 2.00 1.45 1.22
-------- -------- -------- -------- --------
LESS DISTRIBUTIONS
Dividends from net investment
income. . . . . . . . . . . . . . . . . . . . . (0.75) (0.67) (0.71) (0.73) (0.83)
Distributions from capital gains . . . . . . . . -- (0.06) (0.05) -- --
-------- -------- -------- -------- --------
Total distributions . . . . . . . . . . . . . (0.75) (0.73) (0.76) (0.73) (0.83)
-------- -------- -------- -------- --------
Net asset value, end of year . . . . . . . . . . . $ 10.66 $ 10.30 $ 11.76 $ 10.52 $ 9.80
======== ======== ======== ======== ========
Total Return . . . . . . . . . . . . . . . . . . . 10.80% -6.44% 20.09% 15.46% 13.55%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . . . . . . . $ 29,884 $ 30,228 $ 35,787 $ 79,858 $ 21,188
Ratio of expenses to average net
assets:
Before expense reimbursements . . . . . . . . 0.75% 0.73% 0.75% 0.63% 0.85%
After expense reimbursements. . . . . . . . . 0.64% 0.62% 0.52% 0.38% 0.60%
Ratio of net investment income to
average net assets:
Before expense reimbursements . . . . . . . . 6.72% 5.99% 6.32% 6.87% 8.48%
After expense reimbursements. . . . . . . . . 6.83% 6.10% 6.55% 7.12% 8.73%
Portfolio Turnover . . . . . . . . . . . . . . . 169.83% 129.06% 52.30% 122.14% 53.00%
</TABLE>
See accompanying notes to the financial statements
63
<PAGE> 64
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
THE UNITED STATES TREASURY TRUST
--------------------------------------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1993 1992 1991
---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of year . . . . . . . . $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
------- ------- ------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income . . . . . . . . . . . . . . 0.050 0.031 0.028 0.041 0.064
LESS DISTRIBUTIONS
Dividends from net investment
income . . . . . . . . . . . . . . . . . . . . (0.050) (0.031) (0.028) (0.041) (0.064)
------- ------- ------- ------- -------
Net asset value, end of year . . . . . . . . . . . $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
======= ======= ======= ======= =======
Total Return . . . . . . . . . . . . . . . . . . . 5.10% 3.11% 2.86% 4.18% 6.59%
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . . . . . . . $29,797 $19,268 $28,449 $16,799 $23,460
Ratio of expenses to average net
assets:
Before expense reimbursements . . . . . . . . 0.72% 0.75% 0.65% 0.73% 0.73%
After expense reimbursements . . . . . . . . 0.50% 0.52% 0.32% 0.25% 0.26%
Ratio of net investment income to
average net assets:
Before expense reimbursements . . . . . . . . 4.75% 2.62% 2.43% 3.66% 5.88%
After expense reimbursements . . . . . . . . 4.97% 2.85% 2.76% 4.14% 6.35%
</TABLE>
See accompanying notes to the financial statements
64
<PAGE> 65
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
S&P 500 INDEX FUND
-------------------------------------------------------
APRIL 20,
YEAR ENDED YEAR ENDED YEAR ENDED 1992* TO
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1993 1992
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net asset value, beginning of year . . . . . $ 11.38 $ 11.25 $ 10.09 $10.00
------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income . . . . . . . . . . . 0.39 0.30 0.30 0.10
Net gain on securities (both
realized and unrealized) . . . . . . . . 1.94 0.26 1.16 0.03
------- ------- ------- ------
Total from investment operations . . . 2.33 0.56 1.46 0.13
------- ------- ------- ------
LESS DISTRIBUTIONS
Dividends from net investment
income . . . . . . . . . . . . . . . . . (0.37) (0.30) (0.30) (0.04)
Distributions from capital gains . . . . . (0.03) (0.13) -- --
------- ------- ------- ------
Total distributions . . . . . . . . . . (0.40) (0.43) (0.30) (0.04)
------- ------- ------- ------
Net asset value, end of year . . . . . . . . $ 13.31 $ 11.38 $ 11.25 $10.09
======= ======= ======= ======
Total Return . . . . . . . . . . . . . . . . 21.06% 5.17% 14.77% 3.66%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) . . . . $21,800 $14,830 $11,352 $4,380
Ratio of expenses to average net
assets:
Before expense reimbursements . . . . . 1.04% 1.01% 1.41% 2.71%**
After expense reimbursements . . . . . 0.20% 0.20% 0.09% 0.00%**
Ratio of net investment income to
average net assets:
Before expense reimbursements . . . . . 2.40% 1.95% 1.54% 0.94%**
After expense reimbursements . . . . . 3.24% 2.76% 2.86% 3.65%**
Portfolio Turnover . . . . . . . . . . . . 3.68% 1.22% 8.46% --
</TABLE>
- ----------------
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
65
<PAGE> 66
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
CALIFORNIA INSURED
TAX-FREE INCOME FUND
-----------------------------------
OCTOBER 20,
YEAR ENDED YEAR ENDED 1992* TO
AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1993
---------- --------- -----------
<S> <C> <C> <C>
Net asset value, beginning of year ............................. $ 10.23 $ 10.65 $ 10.00
-------- -------- ---------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ....................................... 0.44 0.44 0.40
Net gain (loss) on securities (both
realized and unrealized) ................................. 0.30 (0.42) 0.61
-------- -------- ---------
Total from investment operations ...................... 0.74 0.02 1.01
-------- -------- ---------
LESS DISTRIBUTIONS
Dividends from net investment
income ................................................... (0.48) (0.44) (0.36)
-------- -------- ---------
Net asset value, end of year ............................ $ 10.49 $ 10.23 $ 10.65
======== ======== =========
Total Return ................................................... 7.05% 0.23% 11.91%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) .......................... $ 23,515 $ 21,800 $ 11,145
Ratio of expenses to average net
assets:
Before expense reimbursements ........................ 0.76% 0.88% 2.00%**
After expense reimbursements ......................... 0.60% 0.46% 0.16%**
Ratio of net investment income to average net assets:
Before expense reimbursements ........................ 4.19% 3.77% 2.75%**
After expense reimbursements ......................... 4.35% 4.19% 4.59%**
Portfolio Turnover .......................................... 43.56% 8.91% ---
</TABLE>
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
66
<PAGE> 67
FINANCIAL HIGHLIGHTS -- (CONTINUED)
(FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD)
<TABLE>
<CAPTION>
S&P MIDCAP INDEX FUND
-----------------------------------------------------
APRIL 20,
YEAR ENDED YEAR ENDED YEAR ENDED 1992* TO
AUGUST 31, AUGUST 31, AUGUST 31, AUGUST 31,
1995 1994 1993 1992
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net asset value, beginning of year.......................... $ 12.21 $ 12.23 $ 10.12 $10.00
------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS
Net investment income ................................... 0.26 0.22 0.25 0.09
Net gain on securities (both
realized and unrealized) ............................. 2.04 0.22 2.11 0.07
------- ------- ------- ------
Total from investment operations .................. 2.30 0.44 2.36 0.16
------- ------- ------- ------
LESS DISTRIBUTIONS
Dividends from net investment
income................................................ (0.25) (0.22) (0.25) (0.04)
Distributions from capital gains ........................ (0.44) (0.24) --- ---
------- ------- ------- ------
Total distributions ............................... (0.69) (0.46) (0.25) (0.04)
------- ------- ------- ------
Net asset value, end of year ............................... $ 13.82 $ 12.21 $ 12.23 $10.12
======= ======= ======= ======
Total Return................................................ 20.24% 3.75% 23.64% 4.48%**
RATIOS/SUPPLEMENTAL DATA
Net assets, end of year (in 000's) ...................... $26,168 $21,789 $16,243 $3,279
Ratio of expenses to average net assets:
Before expense reimbursements .................... 0.80% 0.97% 1.36% 3.74%**
After expense reimbursements ..................... 0.40% 0.40% 0.17% 0.00%**
Ratio of net investment income to average net assets:
Before expense reimbursements .................... 1.70% 1.30% 0.97% -0.46%**
After expense reimbursements ..................... 2.10% 1.87% 2.16% 3.28%**
Portfolio Turnover ...................................... 11.71% 15.01% 8.16% 0.87%
</TABLE>
- ----------------
* Commencement of operations
** Annualized
See accompanying notes to the financial statements
67
<PAGE> 68
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
AUGUST 31, 1995
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
California Tax-Free Money Market Fund, California Tax-Free Income Fund
and California Insured Tax-Free Income Fund are three separate series of shares
of beneficial interest of California Investment Trust. U.S. Government
Securities Fund, The United States Treasury Trust, S&P 500 Index Fund and S&P
MidCap Index Fund are separate series of shares of beneficial interest of
California Investment Trust II. Both Trusts are registered under the Investment
Company Act of 1940, as amended, as diversified open-end management investment
companies. Both Trusts were organized as Massachusetts business trusts on
September 11, 1985 and are authorized to issue an unlimited number of no par
value shares in one or more series. The following is a summary of significant
accounting policies followed by the Funds.
(a) Security Valuation --- Portfolio securities of the S&P 500
and S&P MidCap Index Funds listed on a national exchange are valued at the
last reported sales price. U.S. Treasury Bills are valued at amortized
cost which approximates market value. Portfolio securities of the
California Tax-Free Income Fund, California Insured Tax-Free Income Fund
and the U.S. Government Securities Fund are valued by an independent
pricing service that uses market quotations, representing the latest
available bid prices, prices provided by market makers, or estimates of
market values obtained from yield data relating to instruments or
securities with similar characteristics, in accordance with procedures
established in good faith by the Board of Trustees. Securities with
remaining maturities of 60 days or less are valued on the amortized cost
basis as reflecting fair value. All other securities are valued at their
fair value as determined in good faith by the Board of Trustees. California
Tax-Free Money Market Fund and The United States Treasury Trust securities
are valued at amortized cost which the Board of Trustees has determined in
good faith to constitute fair value.
(b) Futures Contracts --- Initial margin deposits required upon
entering into futures contracts are satisfied by the segregation of
specific securities or cash, as collateral, for the account of the
broker (the Fund's agent in acquiring the futures position). During
the period the futures contract is open, changes in the value of the
contract are recognized as unrealized gains or losses by "marking to
market" on a daily basis to reflect the market value of the contract at
the end of each day's trading. Variation margin payments are made or
received depending upon whether unrealized gains or losses are
incurred. When the contract is closed, the Fund records a realized gain
or loss equal to the difference between the proceeds from (or cost of) the
closing transaction and the Fund's basis in the contract. The S&P 500
Index Fund and S&P MidCap Index Fund may purchase or sell stock index
futures to maintain cash reserves while remaining fully invested, to
facilitate trading, to reduce transaction costs, or to seek higher
investment returns when a futures contract is priced more attractively than
the underlying equity security or index. Risks include the possibility of
an illiquid market and an imperfect correlation between the change in
market value of the stocks held by a Fund and the prices of futures
contracts.
(c) Federal Income Taxes --- No provision is considered necessary
for Federal income taxes. The Funds intend to qualify for and elect the
tax treatment applicable to regulated investment companies under the
Internal Revenue Code and to distribute all of their taxable income to
shareholders. California Tax-Free Money Market Fund had capital loss
carryovers available to offset future gains, if any, of approximately
$36,000 which expire
68
<PAGE> 69
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
AUGUST 31, 1995
NOTE 1 -- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES (CONTINUED)
as follows, $12,000 in 1996 and $8,000 in 1997, $10,000 in 1999, $4,000 in
2000, and $2,000 in 2003. California Tax-Free Income Fund and California
Insured Tax-Free Income Fund had capital loss carryovers of approximately
$339,000 and $84,000, respectively which expire in 2003.
(d) Security Transactions, Investment Income and Distributions to
Shareholders --- Security transactions are recorded on the trade date.
Interest income is recorded on the accrual basis. Dividend income is
recorded on the ex-dividend date. Discounts and premiums on securities
purchased are amortized in accordance with tax regulations. Distributions
to shareholders are recorded on the ex-dividend date for the California
Tax-Free Income Fund, the California Insured Tax-Free Income Fund, the U.S.
Government Securities Fund, S&P 500 Index Fund, and S&P MidCap Index Fund.
Income distributions and capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for futures contracts and post October capital losses.
For the California Tax-Free Money Market Fund and The United States
Treasury Trust, dividends from net investment income are declared daily and
reinvested or paid in cash monthly. The two Funds intend to maintain a
continuous net asset value per share of $1.00. If net asset value per
share using available market information deviates from $1.00 by $.005 or
more, the Board of Trustees would consider what steps, if any, should be
taken to restore net asset value per share to $1.00.
(e) Equalization --- The California Tax-Free Income Fund, the
California Insured Tax-Free Income Fund, the U.S. Government Securities
Fund, S&P 500 Index Fund and S&P MidCap Index Fund follow the accounting
practice of "equalization" whereby part of the proceeds from capital share
transactions equivalent to a proportionate share of the distributable
investment income on the date of the transaction, is transferred to or from
the undistributed net investment income account. Undistributed net
investment income is therefore unaffected by capital share transactions.
(f) Concentration --- The California Tax-Free Income Fund, the
California Insured Tax-Free Income Fund and the California Tax-Free Money
Market Fund invest in debt instruments of municipal issuers. The issuer's
abilities to meet their obligations may be affected by economic
developments in the state of California.
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY TRANSACTIONS
CCM Partners ("CCM"), a California Limited Partnership, provides each Fund
with management and administrative services pursuant to a Management Agreement.
In accordance with the terms of the management agreements with California
Tax-Free Money Market Fund, California Tax-Free Income Fund, California Insured
Tax-Free Income Fund, U.S. Government Securities Fund, and The U.S. Treasury
Trust, CCM receives compensation at the annual rate of 0.50% of the Funds'
average daily net assets not exceeding $100 million, 0.45% on net assets from
$100 million to $500 million, and 0.40% on net assets above $500 million. In
accordance with the terms of the management agreements with the S&P 500 Index
Fund and S&P MidCap Index Fund, CCM receives compensation at the annual rate of
.25% and .40%, respectively, of the Funds' average daily net assets. CCM has
agreed to reduce its fee by, or reimburse the Funds for, any amount necessary to
prevent the Funds' total expenses, excluding extraordinary items, from exceeding
1.00% of the Funds' average daily net assets.
69
<PAGE> 70
CALIFORNIA INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- (CONTINUED)
AUGUST 31, 1995
NOTE 2 --- INVESTMENT MANAGEMENT FEE AND OTHER RELATED PARTY
TRANSACTIONS (CONTINUED)
The manager has voluntarily reimbursed more expenses than contractually obliged.
This voluntary reimbursement may cease at any time without prior notice.
Reimbursement from the manager for the year ended August 31, 1995, is as
follows:
<TABLE>
<S> <C>
California Tax-Free Money Market Fund .......... $214,505
California Insured Tax-Free Income Fund ......... $ 34,227
U.S. Government Securities Fund ................ $ 30,584
The United States Treasury Trust ................ $ 63,017
S&P 500 Index Fund .............................. $ 97,742
S&P MidCap Index Fund ........................... $ 88,110
</TABLE>
CCM has retained Bank of America N.T. & S.A. to act as Sub-Advisor to the
S&P 500 Index Fund and S&P MidCap Index Fund, subject to supervision by the
Manager and the Trust's Board of Trustees. Under the Sub-Advisory Agreement,
the Sub-Advisor is responsible for the actual management of each Fund's
portfolio. The responsibility for making decisions to buy, sell or hold a
particular security rests with the Sub-Advisor. The Sub-Advisor makes all the
investment decisions and places transactions accordingly. CCM compensates the
Sub-Advisor at an annual rate of 0.10% of the average net assets of the Fund.
Certain officers and trustees of the Trust are also partners of CCM.
NOTE 3 --- PURCHASES AND SALES OF SECURITIES
Purchases and sales of securities other than short-term investments during
the year ended August 31, 1995 were as follows:
<TABLE>
<CAPTION>
Purchases Sales
----------- -----------
<S> <C> <C>
California Tax-Free Income Fund ................ $61,653,906 $88,822,767
California Insured Tax-Free Income Fund ........ $11,757,372 $ 8,958,496
U.S. Government Securities Fund ................ $45,378,978 $46,787,867
S&P 500 Index Fund ............................. $ 6,689,523 $ 461,058
S&P Midcap Index Fund .......................... $ 2,262,123 $ 2,763,760
</TABLE>
70
<PAGE> 71
<PAGE> 72
CALIFORNIA INVESTMENT
TRUST FUND GROUP
44 Montgomery Street
Suite 2100
San Francisco, California 94104
(415) 398-2727
(800) 225-8778
TRUSTEES AND OFFICERS
Richard F. Shelton,
President and Trustee
John Robert Hill, CALIFORNIA
Vice President, Secretary INVESTMENT TRUST
and Trustee ----------------
FUND GROUP (TM)
Harry Holmes,
Trustee
ANNUAL REPORT
Phillip W. McClanahan,
Vice President, Treasurer AUGUST 31, 1995
and Trustee
John B. Sias
Trustee
INVESTMENT MANAGER
CCM PARTNERS
44 Montgomery Street
Suite 2100
San Francisco, California 94104
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.
