The AAL Mutual Funds
Institutional Shares
Annual Report
April 30, 2000
The AAL Large Company Index Fund
The AAL Mid Cap Index Fund
The AAL Bond Index Fund
<PAGE>
Table of Contents
President's Letter....................................................2
Portfolio Perspective
The AAL Large Company Index Fund.............................4
The AAL Mid Cap Index Fund...................................6
The AAL Bond Index Fund......................................8
Schedule of Investments
The AAL Large Company Index Fund............................10
The AAL Mid Cap Index Fund..................................16
The AAL Bond Index Fund.....................................21
Statement of Assets and Liabilities..................................24
Statement of Operations..............................................25
Statement of Changes in Net Assets...................................26
Notes to Financial Statements........................................27
Financial Highlights
The AAL Large Company Index Fund............................30
The AAL Mid Cap Index Fund..................................31
The AAL Bond Index Fund.....................................32
Report of Independent Accountants....................................33
A Note on Forward-Looking Statements.................................34
<PAGE>
April 30, 2000
Dear AAL Mutual Fund Shareholder:
The Markets and Economy in Review
In the past year, the financial markets have been like riding a roller coaster
at an amusement park. At one moment, you're at the pinnacle of excitement,
overlooking the entire area from the top. And then at the next instant, you're
plunging downward and can feel your stomach flip-flop. Finally, the ride ends
and you come back to where you started...
But unlike a roller coaster, you can't tell where the low point is going to be
in the financial markets. Investors trying to "buy on the dips" have found
themselves seeing prices fall even further after they've made a purchase. Those
trying to sell in falling markets may find themselves following the "herd
mentality." If everyone else is selling, they figure they should as well...even
if it may not be a good move for them.
Where am I going with this? Well, it's quite simple. You should:
o invest in things with which you're comfortable.
o diversify your portfolio among various asset classes.
o have a long-term investment outlook.
o realize that markets will go up and down.
Besides investor sentiment, what else has sent the market for such a wild ride?
New Economy issues, the dotcoms and other darlings of the technology world, have
seen huge swings in the past six months. New Economy stocks are those with lots
of excitement around them and generally not much in terms of earnings history,
while Old Economy stocks generally have a history of earnings but little
excitement around them. Some Old Economy stocks participating in new
Economy-type activities--such as Corning, the traditional glassware maker that
has now branched into making fiber optic materials--are benefiting from
"membership" in both groups!
Increasing energy prices have had a mixed effect. While it has been good for
some industries like exploration and field service concerns, it has been a
negative for utilities and others. It also has been fueling fears of inflation,
prompting rises in interest rates.
In the past six months, the Federal Reserve Board has implemented three interest
rate hikes of one-quarter percent. The Fed's attempt to cool what it considers
an overheated U.S. economy and to quell inflation has impacted financial
markets. Because the global community looks to the U.S. for clues about where
the economy is heading, the sentiment is similar around the world. Global
economic growth is at perhaps its strongest levels since the mid-1980s, but
there's uneasiness in many areas because of interest-rate fears, inflation and
volatile markets.
This is much like the anxiousness around the Y2K situation, which came and went
without much difficulty. Investors who were patient and stuck with a plan of
remaining invested did well, for the most part. That's solid advice for any time
period. Remember, it's your time in the market, and not timing the market, that
is more likely to yield solid long-term investment performance. While the ride
has been bumpy as of late, remember that short-term market gyrations are just
part of the ride. Because you've invested in The AAL Mutual Funds, you share our
commitment in long-term investing...we think it's a philosophy that beats
short-term investing and "being taken for a ride."
Sincerely
/s/Bob Same
Bob Same
President
The AAL Mutual Funds
<PAGE>
[PHOTO APPEARS HERE]
The AAL Large Company Index Fund
Discuss the Fund's performance.
The fund produced a return of 2.70% in the first quarter of 2000. This was 41
basis points ahead of the S&P 500 Index, which returned 2.29%. The positive
return relative to the Index benchmark was the result of advantageous timing of
the purchase of stocks on the first day of trading and some amount of positive
tracking error subsequent to that first day. Large capitalization stocks, as
measured by the S&P 500, have been quite volatile with declines in January and
February offset by a significant recovery in March.
Provide an overview of current economic and market fundamentals.
The U.S. stock market faces a set of adverse factors that could weigh heavily on
investor sentiment going forward. The posture of the Federal Reserve Board
("Fed") is a primary concern. The Fed has been raising the Fed funds rate
continuously for almost a year now, putting upward pressure on the entire yield
curve. This movement is designed to slow the economy and prevent inflation. The
strength of the economy in the face of a tightening Federal Reserve Board would
imply that the Fed has a lot more work to do in terms of raising interest rates
if it is to be effective in slowing it down. The other concern of the Federal
Reserve is the trend in the rate of inflation. Various measures are indicating a
pick-up in the inflation rate including the GDP Price deflator that was 2.7% in
the first quarter of 2000 after spending 1999 at 2.0% or less. The Employment
Cost Index, one of Fed Chairman Greenspan's favorite measures of inflation,
soared in the first quarter to an annualized rate of 5.6%, putting the Fed on
full alert that the tight labor market was finally flexing its muscles. Here
again it appears that the Fed has a lot more work to do if, by raising interest
rates, it hopes to keep inflation low.
Discuss the growth vs. value dynamic of stocks comprising the S&P 500 Index.
One common means of characterizing the stock market is to divide it into stocks
that are thought to provide superior earnings growth versus the rest of the
stock universe which would be classified as better values. There is some
evidence that investors will favor one type of stock over the other given
certain market conditions. The dynamic that may have been operational over the
past year and a half is the degree of speculation that entered into the
marketplace. After April passed in 1999, during which a one month rally in
cyclical stocks such as steel, paper and chemicals took place, the market took
on a speculative tone unlike anything seen in years. Any company with a
perceived high growth profile, was bid up to lofty price levels that were
unjustified by any logical measure of potential future growth. The emergence of
the Internet fed into this frenzy as various ".com" companies went public and
caught the imagination of investors with their promise of a new world order of
conducting business, dispersing information and linking people to each other.
The lack of earnings of these companies was not a deterrent to investors eager
to get into an investing game that promised quick riches. Instead of earnings,
investors were now content to value ".com" companies on the basis of sales. The
result was a market in the second half of 1999 and into the first quarter of
2000 that was dominated by growth stocks. Growth stocks in the S&P 500 Index
outperformed value stocks during 1999 by an extraordinary 1700 basis points (29%
return for growth to 12% for value). This relative performance continued into
the first quarter of 2000 with growth tacking on an added 370 basis points of
outperformance.
Has the recent volatility in technology stocks affected the S&P 500 Index as it
has the Mid Cap and Small Cap Indices?
While perhaps not declining as precipitously as some of the smaller growth
stocks, many of those in the S&P 500 have had major price declines as well.
Numerous growth stocks in the S&P 500 Index achieved price multiples during the
first quarter in excess of 75 times their earnings. Any multiple of this size is
very hard to justify under even the most optimistic growth assumptions, leaving
these stocks vulnerable to significant price declines. The average return of
Technology stocks classified as growth stocks during the month of April was
about -10%, underperforming the Index which returned about -3%.
/s/David J. Schnarsky
David J. Schnarsky
Portfolio Manager
Average Annual Total Returns(1)
April 30, 2000
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From Inception
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The AAL Large Company Index Fund (0.50)%(2)
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S&P 500(R)Index(4) (0.78)%(3)
SEC Quarterly Standardized Returns
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as of March 31, 2000
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The AAL Large Company Index Fund 2.70%(2)
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S&P 500(R)Index(4) 2.29%(3)
(1) Past performance is not an indication of future results. Investment return
and principal value will fluctuate, and shares, when redeemed, may be worth more
or less than their original cost.
(2) Inception of Fund December 31, 1999.
(3) Performance number reflects the return of the S&P 500(R) Index since
December 31, 1999.
(4) The S&P 500(R) Index is a broad-based composite unmanaged index that
represents the average performance of a group of 500 widely-held,
publicly-traded stocks. Index performance does not include fees and expenses
which are reflected in the fund's performance. It is not possible to invest
directly in the index.
Since the fund has been in existence for less than one year, mountain chart
performance has not been shown.
% of Net Assets
Fund Allocations 4/30/00
Technology 32%
Financials 13%
Health Care 10%
Consumer Staples 9%
Consumer Cyclicals 9%
Capital Goods 9%
Communication Services 7%
Energy 6%
Utilities 2%
Basic Materials 2%
Transportation 1%
--
100%
5 LARGEST HOLDINGS
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% of Net Assets
Security 4/30/00
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General Electric Company 4.2%
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Cisco Systems, Inc. 3.8%
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Intel Corporation 3.4%
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Microsoft Corporation 2.9%
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Exxon Mobil Corporation 2.2%
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[PHOTO APPEARS HERE]
The AAL Mid Cap Index Fund
Discuss Performance of the Fund
The Fund exceeded performance expectations by modestly exceeding the benchmark
index, even after expenses. Since its inception on December 31, 1999, the Fund
has returned 9.0% percent compared to the S&P MidCap 400 return of 8.75%. This
outperformance is primarily the result of the fortuitous timing of the initial
investment in the Fund.
Describe current economic and market fundamentals affecting the Mid Cap market
and how do the fundamentals affect the S&P MidCap 400 Index?
Domestic equity markets have been extremely volatile in 2000, and the Mid Cap
market has been no exception. Several countervailing influences including a very
strong economy, solid earnings growth, historically high valuations, and rising
interest rates have impacted investor perceptions during the past several
months. Depending upon which factors investors have focused on, the market has
moved sharply in both directions in very short periods of time.
The MidCap 400 Index, and therefore, this Fund, have not been immune to that
volatility. During its short existence, the Fund reached a high of positive 12%
and a low of negative 5%. Both the highs and lows have been driven by the
technology sector of the index. While the fundamentals of those stocks have not
changed dramatically, the sentiment regarding them has.
Discuss the growth v. value dynamic of stocks comprising the S&P MidCap 400
Index, particularly the technology component of the S&P MidCap 400 Index.
The S&P MidCap 400 Index provides an excellent balance between growth and value
in the Mid Cap market. On the growth side, the technology sector represents
about 25% percent of the Index at the current time. When one combines that with
other growth industries such as communications, pharmaceuticals, and others,
approximately 60% of the Index would be classified as growth. That is balanced
by the other 40% of the Index that represents more value-oriented industries
such as machinery or paper. This equilibrium has allowed the Index to perform
well in the volatility we have seen so far this year.
How does an investment in the S&P MidCap 400 Index fit into an investor's
overall asset allocation strategy?
An investment in the MidCap 400 Index provides investors an opportunity to
participate in a segment of the market where companies typically have
established business models and experienced management teams but still retain
the potential to grow into much larger companies. The AAL MidCap Index Fund
should also be viewed as a vehicle to diversify an investor's portfolio when
used in conjunction with our other product offerings.
/s/Michael R. Hochholzer
Michael R. Hochholzer
Portfolio Manager
Average Annual Total Returns(1)
April 30, 2000
From Inception
The AAL Mid Cap Index Fund 9.00%(2)
S&P MidCap 400(R)Index(4) 8.75%(3)
SEC Quarterly Standardized Returns
as of March 31, 2000
The AAL Mid Cap Index Fund 13.20%(2)
S&P MidCap 400(R)Index(4) 12.69%(3)
(1) Past performance is not an indication of future results. Investment return
and principal value will fluctuate, and shares, when redeemed, may be worth more
or less than their original cost.
(2) Inception of Fund December 31, 1999.
(3) Performance number reflects the return of the S&P MidCap 400(R) Index since
December 31, 1999.
(4) The S&P MidCap 400(R) Index is an unmanaged index that represents the
average performance of a group of 400 medium capitalization stocks. Index
performance does not include fees and expenses which are reflected in the fund's
performance. It is not possible to invest directly in the index.
*Since the fund has been in existence for less than one year, mountain chart
performance has not been shown.
% of Net Assets
Fund Allocations 4/30/00
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Technology 25%
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Consumer Cyclicals 13%
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Health Care 11%
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Utilities 10%
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Financials 9%
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Capital Goods 9%
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Consumer Staples 8%
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Energy 6%
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Basic Materials 4%
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Cash & Cash Equivalents 2%
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Communication Services 2%
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Transportation 1%
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100%
5 LARGEST HOLDINGS
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Security % of Net Assets
4/30/00
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Siebel Systems, Inc 2.6%
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Maxim Integrated Products, Inc. 1.9%
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MedImmune, Inc. 1.2%
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Univision Communications, Inc 1.2%
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Vitesse Semiconductor Corporation 1.2%
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[PHOTO APPEARS HERE]
The AAL Bond Index Fund
Discuss the Fund's performance.
The Fund returned positive 1.72% since its inception date of December 31, 1999.
Since January, the Fund has closely tracked its benchmark, the Lehman Aggregate
Bond Index and has outpaced the Index over the past three months. The top
performing sectors since the beginning of the year were U.S. Treasury securities
and U.S. Government Agency securities while investment grade corporate bonds
performed the worst. Short-term Treasury yields have increased significantly
since the beginning of the year, while long-term Treasury yields have declined.
This yield curve shift resulted from a stronger than expected economy that
prompted the Federal Reserve Board ("Fed")to raise interest rates and created an
atmosphere of further tightening. In addition, a dwindling supply of Treasury
securities contributed to the decline in long-term bond yields.
Provide an overview of current economic and market fundamentals affecting the
Bond market.
Concerns about inflation pressure stemming from a strong economy and an
ever-tightening labor market has prompted the Fed to raise the Federal funds
rate five times over the past year. GDP growth continues to be well above its
long-term growth potential and the unemployment rate is the lowest it has been
in 30 years. The Fed's interest rate tightenings have yet to slow the pace of
economic activity and calm inflation fears. This has fueled investor
expectations that the Fed may have to be more aggressive in raising interest
rates. Since the beginning of the year, the yield curve has inverted reflecting
in our opinion, bond investor expectations of higher short-term rates, a slowing
economy, and a reduction in the supply of Treasury securities. Investor
expectations for higher interest rates (lower bond prices) have been offset by
the allure of higher bond yields and the perception that the bond market as a
safe haven from the volatile equity markets.
It is not practical to hold all the issues that comprise the Lehman Brothers
Aggregate Bond Index, so how do you determine which issues to hold?
The Fund invests in a well diversified sample of securities that approximate the
key characteristics (sector weightings, maturity, credit quality distributions,
yield curve exposure, and coupon rates) of the Index. Within each sector, the
Fund invests in securities that offer the best return potential relative to
their risk. To minimize tracking error in the investment grade corporate bond
sector, the Fund maintains adequate exposure to the largest corporate issuers in
the Index.
/s/Gregory R. Anderson
Gregory R. Anderson
Portfolio Manager
AVERAGE ANNUAL TOTAL RETURNS(1)
APRIL 30, 2000
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From Inception
------------------------------------------------------------ -------------------
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The AAL Bond Index Fund 1.72%(2)
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Lehman Brothers Aggregate Bond Index(R)(4) 1.91%(3)
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SEC Quarterly Standardized Returns
as of March 31, 2000
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The AAL Bond Index Fund 1.96%(2)
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Lehman Brothers Aggregate Bond Index(R)(4) 2.21%(3)
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(1) Past performance is not an indication of future results. Investment return
and principal value will fluctuate, and shares, when redeemed, may be worth more
or less than their original cost.
(2) Inception of Fund December 31, 1999.
(3) Performance number reflects returns of the Lehman Brothers Aggregate Bond
Index(R) since December 31, 1999.
(4) The Lehman Brothers Aggregate Bond Index(R) is an unmanaged index that
encompasses four classes of fixed-income securities in the United States: U.S.
Treasury and U.S. government agency securities, corporate debt obligations,
mortgage-backed securities, and asset-backed securities. Index performance does
not include fees and expenses which are reflected in the fund's performance. It
is not possible to invest directly in the index.
* Since the fund has been in existence for less than one year, mountain chart
performance has not been shown.
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Credit Quality
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% of Net Assets
4/30/00
------------------- ----------------------
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AAA 77%
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AA 4%
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A 13%
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BBB 6%
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100%
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Average Quality: AAA
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Average Maturity: 8.3 years
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5 LARGEST HOLDINGS
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% of Net Assets
Security 4/30/00
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ABN Amro Bank Chicago 1.3%
Coupon Rate: 7.250%
Maturity Date: 5/31/2005
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General Motors Acceptance Corporation 1.3%
Coupon Rate: 6.850%
Maturity Date: 6/17/2004
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EQCC Home Equity Loan Trust 1.1%
Series 1997-3 Class A7
Coupon Rate: 6.930%
Maturity Date: 2/15/2029
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Wellsford Residential Property Trust 1.0%
Coupon Rate: 9.375%
Maturity Date: 2/1/2002
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Niagara Mohawk Power 1.0%
Coupon Rate: 7.750%
Maturity Date: 5/15/2006
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<PAGE>
The AAL Large Company Index Fund
Schedule of Investments as of April 30, 2000
Investment Objective
The Fund seeks total returns that track the performance of the S&P 500 Index, by
investing primarily in common stocks comprising the Index.
Shares Common Stocks (99.8%) Market Value
Basic Materials (2.0%)
500 Air Products and Chemicals, Inc. $15,531
500 Alcan Aluminium, Ltd. 16,375
800 Alcoa, Inc. 51,900
200 Allegheny Technologies, Inc. 4,838
1,300 Archer-Daniels-Midland Company 12,919
100 Ball Corporation 3,150
100 Bemis Company, Inc. 3,681
200 Bethlehem Steel Corporation* 1,075
100 Boise Cascade Corporation 3,256
200 Champion International Corporation 13,150
200 Crown Cork & Seal Company, Inc. 3,250
500 Dow Chemical Company 56,500
200 Eastman Chemical Company 10,462
300 Ecolab, Inc. 11,719
2,300 E.I. du Pont de Nemours and Company 109,106
200 Engelhard Corporation 3,513
100 FMC Corporation* 5,819
400 Georgia-Pacific Corporation 14,700
100 Great Lakes Chemical Corporation 2,694
200 Hercules, Inc. 3,112
200 International Flavors & Fragrances, Inc. 6,888
900 International Paper Company 33,075
200 Louisiana-Pacific Corporation 2,675
200 Mead Corporation 6,963
200 Nucor Corporation 8,600
300 Owens-Illinois, Inc.* 4,050
300 Pactiv Corporation* 2,456
100 Potlatch Corporation 3,944
400 PPG Industries, Inc. 21,750
300 Praxair, Inc. 13,331
200 Reynolds Metals Company 13,300
500 Rohm and Haas Company 17,813
200 Sigma-Aldrich Corporation 5,875
100 Temple-Inland, Inc. 5,012
300 Union Carbide Corporation 17,700
200 USX-U.S. Steel Group 5,013
200 Vulcan Materials Company 8,762
200 Westvaco Corporation 6,175
500 Weyerhaeuser Company 26,719
200 Willamette Industries, Inc. 7,637
100 Worthington Industries, Inc. 1,237
100 W.R. Grace & Company* $1,300
Total Basic Materials 567,025
Capital Goods (8.7%)
400 Allied Waste Industries, Inc.* 2,450
300 Avery Dennison Corporation 19,688
800 Barrick Gold Corporation 13,450
200 BFGoodrich Company 6,375
1,900 Boeing Company 75,406
100 Briggs & Stratton Corporation 3,837
800 Caterpillar, Inc. 31,550
200 Cooper Industries, Inc. 6,863
700 Corning, Inc. 138,250
100 Crane Company 2,688
300 Danaher Corporation 17,137
500 Deere & Company 20,188
500 Dover Corporation 25,406
200 Eaton Corporation 16,800
1,000 Emerson Electric Company 54,875
100 Fluor Corporation 3,356
300 Freeport-McMoRan Copper & Gold, Inc., Class B* 2,888
500 General Dynamics Corporation 29,250
7,400 General Electric Company 1,163,650
500 Homestake Mining Company 3,000
1,800 Honeywell International, Inc. 100,800
700 Illinois Tool Works, Inc. 44,844
400 Inco, Ltd.* 6,250
400 Ingersoll-Rand Company 18,775
200 ITT Industries, Inc. 6,313
200 Johnson Controls, Inc. 12,662
800 Lockheed Martin Corporation 19,900
100 McDermott International, Inc. 812
100 Milacron, Inc. 1,825
100 Millipore Corporation 7,169
900 Minnesota Mining and Manufacturing Company 77,850
425 Molex, Inc. 23,348
100 NACCO Industries, Inc. 4,487
100 National Service Industries, Inc. 2,150
300 Newmont Mining Corporation 7,031
200 Northrop Grumman Corporation 14,175
200 Pall Corporation 4,463
200 Parker-Hannifin Corporation 9,300
200 Phelps Dodge Corporation $9,250
600 Pitney Bowes, Inc. 24,525
700 Placer Dome, Inc. 5,688
400 Rockwell International Corporation 15,750
200 Sealed Air Corporation* 11,125
1,300 Solectron Corporation* 60,856
300 Textron, Inc. 18,581
300 Thermo Electron Corporation* 5,813
100 Thomas & Betts Corporation 3,081
100 Timken Company 1,850
3,800 Tyco International, Ltd. 174,562
1,100 United Technologies Corporation 68,406
1,300 Waste Management, Inc. 20,638
Total Capital Goods 2,419,386
Communication Services (7.3%)
700 ALLTEL Corporation 46,638
7,100 AT&T Corporation 331,481
3,500 Bell Atlantic Corporation 207,375
4,200 BellSouth Corporation 204,488
300 CenturyTel, Inc. 7,350
1,700 Global Crossing, Ltd.* 53,550
2,200 GTE Corporation 149,050
800 Nextel Communications, Inc.* 87,550
7,600 SBC Communications, Inc. 332,975
2,000 Sprint Corporation 123,000
1,900 Sprint Corporation (PCS Group)* 104,500
1,100 U S WEST, Inc. 78,306
6,300 WorldCom, Inc.* 286,256
Total Communication Services 2,012,519
Consumer Cyclicals (8.9%)
100 Adolph Coors Company 5,100
100 American Greetings Corporation 1,812
1,100 Anheuser-Busch Companies, Inc. 77,619
100 Armstrong Holdings, Inc. 1,956
300 AutoZone, Inc.* 6,881
300 Bed Bath & Beyond, Inc.* 11,006
500 Best Buy Company, Inc.* 40,375
200 Black & Decker Corporation 8,413
200 Brown-Forman Corporation, Class B 10,912
200 Brunswick Corporation 3,838
1,500 Cendant Corporation* 23,156
100 Centex Corporation 2,413
500 Circuit City Stores, Inc.-Circuit City Group 29,406
200 Consolidated Stores Corporation* 2,487
100 Cooper Tire & Rubber Company 1,350
1,000 Costco Wholesale Corporation* 54,062
100 Cummins Engine Company, Inc. 3,556
900 CVS Corporation $39,150
300 Dana Corporation 9,113
1,200 Delphi Automotive Systems Corporation 22,950
200 Dillard's, Inc. 2,788
500 Dollar General Corporation 11,438
200 Dow Jones & Company, Inc. 12,975
300 Dun & Bradstreet Corporation 9,038
500 Federated Department Stores, Inc.* 17,000
2,700 Ford Motor Company 147,656
300 Fortune Brands, Inc. 7,500
600 Gannett Company, Inc. 38,325
1,900 Gap, Inc. 69,825
1,500 General Motors Corporation 140,438
300 Genuine Parts Company 7,875
300 Goodyear Tire & Rubber Company 8,287
200 H&R Block, Inc. 8,362
100 Harcourt General, Inc. 3,737
800 Harley-Davidson, Inc. 31,850
200 Harrah's Entertainment, Inc.* 4,112
300 Hasbro, Inc. 4,781
5,200 Home Depot, Inc. 291,525
600 IMS Health, Inc. 10,238
600 Interpublic Group of Companies, Inc. 24,600
500 J.C. Penney Company, Inc. 6,906
100 Jostens, Inc. 2,469
100 Kaufman and Broad Home Corporation 1,925
1,000 Kmart Corporation* 8,125
200 Knight-Ridder, Inc. 9,813
800 Kohl's Corporation* 38,400
400 Leggett & Platt, Inc 8,550
500 Limited, Inc. 22,594
100 Liz Claiborne, Inc. 4,631
100 Long's Drug Stores Corporation 2,325
900 Lowe's Companies, Inc. 44,550
900 Masco Corporation 20,194
900 Mattel, Inc. 11,025
700 May Department Stores Company 19,250
200 Maytag Corporation 6,888
400 McGraw-Hill Companies, Inc. 21,000
100 Meredith Corporation 2,781
400 Mirage Resorts, Inc.* 8,150
100 Navistar International Corporation* 3,500
600 NIKE, Inc. 26,062
600 Newell Rubbermaid, Inc. 15,112
400 New York Times Company 16,475
300 Nordstrom, Inc. 8,344
700 Office Depot, Inc.* 7,394
400 Omnicom Group, Inc. 36,425
100 Owens Corning 1,819
200 PACCAR, Inc. $9,513
100 Pulte Corporation 2,150
100 Reebok International, Ltd.* 1,700
500 Rite Aid Corporation 2,500
100 Russell Corporation 1,963
800 Sears Roebuck & Company 29,300
300 Sherwin-Williams Company 7,462
100 Snap-on, Inc. 2,644
100 Springs Industries, Inc. 4,106
200 Stanley Works 5,900
1,000 Staples, Inc.* 19,062
400 Tandy Corporation 22,800
1,000 Target Corporation 66,563
200 Times Mirror Company 19,512
600 TJX Companies, Inc. 11,512
500 Toys "R" Us, Inc.* 7,625
500 Tribune Company 19,438
300 TRW, Inc. 17,550
100 Tupperware Corporation 1,888
200 V.F. Corporation 5,650
2,200 Walgreen Company 61,875
10,000 Wal-Mart Stores, Inc. 553,750
200 Whirlpool Corporation 13,025
100 Young & Rubicam, Inc 5,569
Total Consumer Cyclicals 2,455,669
Consumer Staples (9.5%)
100 Alberto-Culver Company 2,362
900 Albertson's, Inc. 29,306
500 Avon Products, Inc. 20,750
600 Bestfoods 30,150
900 Campbell Soup Company 23,400
600 Cardinal Health, Inc. 33,038
1,300 Carnival Corporation 32,338
1,700 CBS Corporation* 99,875
800 Clear Channel Communications, Inc.* 57,600
500 Clorox Company 18,375
5,500 Coca-Cola Company 258,844
900 Coca-Cola Enterprises, Inc. 19,181
1,300 Colgate-Palmolive Company 74,262
2,100 Comcast Corporation* 84,131
1,000 ConAgra, Inc. 18,875
200 Darden Restaurants, Inc. 3,688
100 Deluxe Corporation 2,519
400 Fort James Corporation 9,575
700 General Mills, Inc. 25,463
2,400 Gillette Company 88,800
100 Great Atlantic & Pacific Tea Company, Inc. 1,831
300 Hershey Foods Corporation 13,612
800 Hilton Hotels Corporation $6,800
800 H.J. Heinz Company 27,200
900 Kellogg Company 21,994
1,200 Kimberly-Clark Corporation 69,675
1,800 Kroger Company* 33,413
500 Marriott International, Inc. 16,000
3,000 McDonald's Corporation 114,375
600 McKesson HBOC, Inc. 10,125
1,400 MediaOne Group, Inc.* 105,875
700 Nabisco Group Holdings Corporation 9,013
3,200 PepsiCo, Inc. 117,400
5,200 Phillip Morris Companies, Inc. 113,750
2,900 Procter & Gamble Company 172,913
300 Quaker Oats Company 19,556
600 Ralston Purina Company 10,612
200 R.R. Donnelley & Sons Company 4,250
1,100 Safeway, Inc.* 48,537
2,000 Sara Lee Corporation 30,000
1,000 Seagram Company, Ltd 54,000
300 SUPERVALU, Inc. 6,206
700 SYSCO Corporation 26,337
2,900 Time Warner, Inc. 260,819
300 Tricon Global Restaurants, Inc.* 10,237
1,300 Unilever NV 59,231
300 UST, Inc. 4,500
1,600 Viacom, Inc., Class B* 87,000
4,600 Walt Disney Company 199,237
200 Wendy's International, Inc. 4,475
300 Winn-Dixie Stores, Inc. 4,969
300 Wm. Wrigley Jr. Company 21,713
Total Consumer Staples 2,618,187
Energy (5.5%)
200 Amerada Hess Corporation 12,725
300 Anadarko Petroleum Corporation 13,031
300 Apache Corporation 14,531
100 Ashland, Inc. 3,412
700 Baker Hughes, Inc. 22,269
1,148 BP Amoco plc 58,548
500 Burlington Resources, Inc. 19,656
1,500 Chevron Corporation 127,688
1,400 Conoco, Inc., Class B 34,825
7,700 Exxon Mobil Corporation 598,194
1,000 Halliburton Company 44,187
200 Kerr-McGee Corporation 10,350
800 Occidental Petroleum Corporation 17,150
600 Phillips Petroleum Company 28,462
200 Rowan Companies, Inc.* 5,587
4,800 Royal Dutch Petroleum Company 275,400
1,200 Schlumberger, Ltd. 91,875
200 Sunoco, Inc. $6,063
1,200 Texaco, Inc. 59,400
300 Tosco Corporation 9,619
500 Transocean Sedco Forex, Inc. 23,500
500 Union Pacific Resources Group, Inc. 9,594
500 Unocal Corporation 16,156
600 USX-Marathon Group 13,988
Total Energy 1,516,210
Financials (12.8%)
600 AFLAC, Inc. 29,288
1,700 Allstate Corporation 40,162
1,000 American Express Company 150,062
600 American General Corporation 33,600
3,500 American International Group, Inc. 383,906
800 AmSouth Bancorporation 11,650
500 Aon Corporation 13,531
1,600 Associates First Capital Corporation 35,500
3,800 Bank of America Corporation 186,200
1,600 Bank of New York Company, Inc. 65,700
2,500 Bank One Corporation 76,250
700 BB&T Corporation 18,638
200 Bear Stearns Companies, Inc. 8,575
400 Capital One Financial Corporation 17,500
1,800 Charles Schwab Corporation 80,100
1,900 Chase Manhattan Corporation 136,919
400 Chubb Corporation 25,450
400 CIGNA Corporation 31,900
400 Cincinnati Financial Corporation 16,125
7,500 Citigroup, Inc. 445,781
300 Comerica, Inc. 12,712
700 Conseco, Inc. 3,806
200 Countrywide Credit Industries, Inc. 5,525
2,300 Fannie Mae 138,719
700 Fifth Third Bancorp 44,188
2,200 First Union Corporation 70,125
2,100 Firstar Coporation 52,237
2,000 FleetBoston Financial Corporation 70,875
500 Franklin Resources, Inc. 16,125
1,500 Freddie Mac 68,906
300 Golden West Financial Corporation 10,237
500 Hartford Financial Services Group, Inc. 26,094
1,000 Household International, Inc. 41,750
500 Huntington Bancshares, Inc. 9,125
200 Jefferson-Pilot Corporation 13,312
400 J.P. Morgan & Company, Inc. 51,350
900 KeyCorp 16,650
300 Lehman Brothers Holdings, Inc. 24,619
400 Lincoln National Corporation 13,925
200 Loews Corporation 11,025
600 Marsh & McLennan Companies, Inc. $59,138
200 MBIA, Inc. 9,888
1,700 MBNA Corporation 45,156
1,100 Mellon Financial Corporation 35,338
900 Merrill Lynch & Company, Inc. 91,744
200 MGIC Investment Corporation 9,562
2,600 Morgan Stanley, Dean Witter & Company 199,550
1,300 National City Corporation 22,100
500 Northern Trust Corporation 32,062
300 Old Kent Financial Corporation 9,038
300 Paine Webber Group, Inc. 13,162
700 PNC Bank Corporation 30,537
200 Progressive Corporation 13,088
300 Providian Financial Corporation 26,419
400 Regions Financial Corporation 8,175
200 SAFECO Corporation 4,425
300 SLM Holding Corporation 9,394
300 SouthTrust Corporation 7,163
400 State Street Corporation 38,750
500 St. Paul Companies, Inc. 17,812
300 Summit Bancorp 7,612
700 SunTrust Banks, Inc. 35,525
600 Synovus Financial Corporation 11,138
200 Torchmark Corporation 5,013
300 T. Rowe Price Associates, Inc. 11,438
300 Union Planters Corporation 8,494
500 UNUMProvident 8,500
1,600 U.S. Bancorp 32,500
500 Wachovia Corporation 31,344
1,200 Washington Mutual, Inc. 30,675
3,700 Wells Fargo & Company 151,931
Total Financials 3,524,813
Health Care (10.0%)
3,400 Abbott Laboratories 130,688
300 Aetna, Inc. 17,363
300 Allergan, Inc. 17,662
200 ALZA Corporation* 8,812
2,900 American Home Products Corporation 162,944
2,300 Amgen, Inc.* 128,800
100 Bausch & Lomb, Inc. 6,037
700 Baxter International, Inc. 45,588
500 Becton, Dickinson and Company 12,812
300 Biogen, Inc.* 17,644
200 Biomet, Inc. 7,138
900 Boston Scientific Corporation* 23,850
4,400 Bristol-Myers Squibb Company 230,725
1,200 Columbia/HCA Healthcare Corporation 34,125
100 C.R. Bard, Inc. 4,356
2,400 Eli Lilly and Company $185,550
700 Guidant Corporation* 40,162
800 HEALTHSOUTH Corporation* 6,450
300 Humana, Inc.* 2,306
3,100 Johnson & Johnson 255,750
100 Mallinckrodt, Inc. 2,688
200 Manor Care, Inc.* 2,387
2,700 Medtronic, Inc. 140,231
5,200 Merck & Company, Inc. 361,400
8,600 Pfizer, Inc. 362,275
2,757 Pharmacia Corporation 137,678
200 Quintiles Transnational Corporation* 2,862
3,300 Schering-Plough Corporation 133,031
100 St. Jude Medical, Inc.* 3,119
600 Tenet Healthcare Corporation 15,300
400 UnitedHealth Group, Inc. 26,675
1,900 Warner-Lambert Company 216,244
200 Watson Pharmaceuticals, Inc.* 8,988
200 Wellpoint Health Networks, Inc.* 14,750
Total Health Care 2,766,390
Technology (32.0%)
800 3Com Corporation* 31,550
200 Adaptec, Inc.* 5,400
700 ADC Telecommunications, Inc.* 42,525
300 Adobe Systems, Inc. 36,281
300 Advanced Micro Devices, Inc.* 26,325
5,100 America Online, Inc* 305,044
800 Analog Devices, Inc.* 61,450
100 Andrew Corporation* 2,944
400 Apple Computer, Inc.* 49,625
1,700 Applied Materials, Inc.* 173,081
100 Autodesk, Inc. 3,838
1,400 Automatic Data Processing, Inc. 75,338
500 BMC Software, Inc.* 23,406
400 Cabletron Systems, Inc.* 9,150
300 Ceridian Corporation* 6,506
15,300 Cisco Systems, Inc.* 1,060,720
400 Citrix Systems, Inc.* 24,425
3,700 Compaq Computer Corporation 108,225
1,300 Computer Associates International, Inc. 72,556
400 Computer Sciences Corporation* 32,625
800 Compuware Corporation* 10,050
400 Comverse Technology, Inc.* 35,675
500 Conexant Systems, Inc.* 29,938
5,700 Dell Computer Corporation* 285,712
700 Eastman Kodak Company 39,156
1,100 Electronic Data Systems Corporation 75,625
2,300 EMC Corporation* 319,556
300 Equifax, Inc. 7,331
900 First Data Corporation $43,819
700 Gateway, Inc.* 38,675
2,300 Hewlett-Packard Company 310,500
300 IKON Office Solutions, Inc. 1,763
7,500 Intel Corporation 951,094
4,100 International Business Machines Corporation 457,663
400 KLA-Tencor Corporation* 29,950
300 Lexmark International Group, Inc.* 35,400
700 Linear Technology Corporation 39,987
700 LSI Logic Corporation* 43,750
7,100 Lucent Technologies, Inc. 441,531
600 Micron Technology, Inc.* 83,550
11,600 Microsoft Corporation* 809,100
1,657 Motorola, Inc. 197,287
400 National Semiconductor Corporation* 24,300
200 NCR Corporation* 7,725
700 Network Appliance, Inc.* 51,756
3,300 Nortel Networks Corporation 373,725
700 Novell, Inc.* 13,737
6,300 Oracle Corporation* 503,606
600 Parametric Technology Corporation* 4,894
600 Paychex, Inc. 31,575
500 PE Corporation 30,000
500 PeopleSoft, Inc.* 6,969
100 PerkinElmer, Inc. 5,475
100 Polaroid Corporation 2,019
1,700 QUALCOMM, Inc.* 184,344
700 Raytheon Company, Class B 15,531
272 Sabre Holdings Corporation* 9,503
400 Scientific-Atlanta, Inc. 26,025
500 Seagate Technology, Inc.* 25,406
100 Shared Medical Systems Corporation 4,144
400 Silicon Graphics, Inc.* 2,875
3,500 Sun Microsystems, Inc.* 321,781
100 Tektronix, Inc. 5,787
900 Tellabs, Inc.* 49,331
400 Teradyne, Inc.* 44,000
1,800 Texas Instruments, Inc. 293,175
600 Unisys Corporation* 13,913
900 VERITAS Software Corporation* 96,539
200 W.W. Grainger, Inc. 8,675
1,400 Xerox Corporation 37,012
700 Xilinx, Inc.* 51,275
1,200 Yahoo!, Inc.* 156,300
Total Technology 8,839,523
Transportation (0.6%)
300 AMR Corporation* 10,219
1,000 Burlington Northern Santa Fe Corporation $24,125
400 CSX Corporation 8,375
300 Delta Air Lines, Inc. 15,825
600 FedEx Corporation* 22,613
300 Kansas City Southern Industries, Inc. 21,562
800 Norfolk Southern Corporation 14,100
100 Ryder Systems, Inc. 2,219
1,100 Southwest Airlines Company 23,856
500 Union Pacific Corporation 21,063
100 US Airways Group, Inc.* 2,781
Total Transportation 166,738
Utilities (2.5%)
500 AES Corporation* 44,969
300 Ameren Corporation 11,006
400 American Electric Power Company, Inc. 14,650
300 Carolina Power & Light Company 10,969
400 Central and South West Corporation 8,675
300 Cinergy Corporation 8,025
200 CMS Energy Corporation 3,800
500 Coastal Corporation 25,094
200 Columbia Energy Group 12,550
500 Consolidated Edison, Inc. 17,594
300 Constellation Energy Group, Inc. 9,919
546 Dominion Resources, Inc. 24,570
300 DTE Energy Company 9,788
800 Duke Energy Corporation 46,000
100 Eastern Enterprises 6,087
700 Edison International 13,344
500 El Paso Energy Corporation 21,250
1,600 Enron Corporation 111,500
500 Entergy Corporation 12,719
500 FirstEnergy Corporation 12,719
200 Florida Progress Corporation 9,800
400 FPL Group, Inc. 18,075
200 GPU, Inc. 5,612
200 New Century Energies, Inc. 6,525
400 Niagara Mohawk Holdings, Inc.* 5,550
100 Nicor, Inc. 3,388
300 Northern States Power Company 6,544
100 ONEOK, Inc. 2,525
400 PECO Energy Company 16,675
100 Peoples Energy Corporation 3,106
800 PG&E Corporation 20,750
200 Pinnacle West Capital Corporation 7,025
300 PP&L Resources, Inc. 7,162
500 Public Service Enterprise Group, Inc. 17,937
600 Reliant Energy, Inc. 15,975
411 Sempra Energy 7,629
1,500 Southern Company $37,406
600 Texas Utilities Company 20,213
500 Unicom Corporation 19,875
1,000 Williams Companies, Inc. 37,312
Total Utilities 694,312
Total Common Stocks
(cost basis $28,381,288) 27,580,772
Total Investments (99.8%)
(amortized cost basis $28,381,288) 27,580,772
Other Assets, Less Liabilities (0.2%) 43,683
Net Assets (100%) $27,624,455
*Non-income producing
<PAGE>
The AAL Mid Cap Index Fund Schedule of Investments as of April 30, 2000
Investment Objective
The Fund seeks total returns that track the performance of the S&P MidCap 400
Index, by investing primarily in common stocks comprising the Index.
SharesCommon Stocks (97.7%) Market Value
Basic Materials (4.1%)
595 Airgas, Inc.* $3,496
1,040 AK Steel Holding Corporation 11,505
380 Albemarle Corporation 7,956
250 A. Schulman, Inc. 3,219
545 Bowater, Inc. 29,975
575 Cabot Corporation 15,525
180 Carpenter Technology Corporation 3,611
140 Chesapeake Corporation 4,375
1,020 CK Witco Corporation* 11,985
100 Cleveland-Cliffs, Inc. 2,456
880 Consolidated Papers, Inc. 33,330
365 Cytec Industries, Inc.* 10,996
190 Dexter Corporation 10,426
715 Ethyl Corporation 2,234
290 Ferro Corporation 6,634
250 Georgia Gulf Corporation 6,016
110 H.B. Fuller Company 4,228
980 IMC Global, Inc. 15,129
420 Longview Fibre Company* 5,355
470 Lubrizol Corporation 12,044
1,010 Lyondell Chemical Company 18,559
400 M.A. Hanna Company 4,600
405 Martin Marietta Materials, Inc. 21,465
60 MAXXAM, Inc.* 1,620
170 Minerals Technologies, Inc. 7,862
385 Olin Corporation 6,834
340 P.H. Glatfelter Company 3,655
245 Rayonier, Inc. 11,500
915 RPM, Inc. 9,264
945 Solutia, Inc. 12,876
975 Sonoco Products Company 20,353
315 Southdown, Inc. 18,309
710 Timber Company 16,463
370 UCAR International, Inc.* 4,879
250 Universal Corporation 4,719
420 Wausau-Mosinee Paper Corporation 5,092
Total Basic Materials 368,545
Capital Goods (8.9%)
510 AGCO Corporation 6,056
250 Albany International Corporation* 3,797
1,860 American Power Conversion Corporation* 65,681
710 American Standard Companies, Inc.* $29,110
260 AMETEK, Inc. 5,346
265 Carlisle Companies, Inc. 10,915
325 Cordant Technologies, Inc. 18,403
590 Diebold, Inc. 17,036
395 Donaldson Company, Inc. 9,184
395 Federal Signal Corporation 8,023
300 Flowserve Corporation 4,238
220 Granite Construction, Inc. 5,225
330 Harsco Corporation* 9,797
680 Herman Miller, Inc. 18,615
630 Hillenbrand Industries, Inc. 18,979
515 HON INDUSTRIES, Inc. 12,843
555 Hubbell, Inc. 14,465
1,600 Jabil Circuit, Inc.* 65,500
210 Jacobs Engineering Group, Inc* 6,576
250 Kaydon Corporation 5,844
265 Kennametal, Inc. 7,619
190 MagneTek, Inc.* 1,579
270 Newport News Shipbuilding, Inc. 9,011
130 Nordson Corporation 5,809
415 Pentair, Inc. 15,874
200 Precision Castparts Corporation 8,350
655 Reynolds and Reynolds Company 15,556
200 Ryerson Tull, Inc. 2,475
1,190 Sanmina Corporation* 71,474
1,335 SCI Systems, Inc.* 71,089
655 Sensormatic Electronics Corporation* 10,930
370 SPX Corporation* 40,654
230 Standard Register Company 3,004
230 Stewart & Stevenson Services, Inc. 2,774
75 Sequa Corporation* 3,694
1,298 Symbol Technologies, Inc. 72,336
185 Tecumseh Products Company* 8,591
335 Teleflex, Inc. 11,578
320 Trinity Industries, Inc. 7,120
830 Vishay Intertechnology, Inc.* 69,616
340 Wallace Computer Services, Inc. 3,719
320 York International Corporation 7,720
Total Capital Goods 786,205
Communication Services (2.0%)
2,060 Broad Wing, Inc. 58,324
455 COMSAT Corporation 11,119
200 Powerwave Technologies, Inc.* $41,612
635 Telephone and Data Systems, Inc. 64,770
Total Communication Services 175,825
Consumer Cyclicals (13.0%)
1,015 A.H. Belo Corporation 16,938
875 Abercrombie & Fitch Company* 9,625
495 ACNielsen Corporaton* 11,416
845 Acxiom Corporation* 22,815
405 American Eagle Outfitters, Inc.* 6,885
655 Apollo Group, Inc.* 18,995
210 Arvin Industries, Inc. 4,568
180 Bandag, Inc. 4,297
595 Barnes & Noble, Inc.* 11,008
730 BJ's Wholesale Club, Inc.* 25,869
415 Blyth Industries, Inc. 12,320
665 Borders Group, Inc.* 10,557
220 Borg-Warner Automotive, Inc. 9,199
430 Burlington Industries, Inc.* 1,881
650 Callaway Golf Company 10,806
475 CDW Computer Centers, Inc.* 49,400
1,540 Cintas Corporation 61,023
440 Claire's Stores, Inc. 8,113
1,300 Clayton Homes, Inc. 12,350
1,415 Convergys Corporation* 62,260
595 DeVry, Inc.* 14,168
635 Dollar Tree Stores, Inc.* 36,751
1,585 Family Dollar Stores, Inc. 30,214
335 Fastenal Company 19,577
630 Federal-Mogul Corporation 8,544
400 Furniture Brands International, Inc.* 7,475
280 GTECH Holdings Corporation* 5,810
590 Harte-Hanks, Inc. 14,603
275 Houghton Mifflin Company 11,430
644 International Game Technology* 15,698
555 International Speedway Corporation 23,865
1,155 Jones Apparel Group, Inc.* 34,289
345 Lancaster Colony Corporation 9,056
265 Lands' End, Inc.* 11,213
575 Lear Corporation* 17,214
360 Lee Enterprises, Inc. 8,167
775 Mandalay Resort Group* 14,628
380 Mark IV Industries, Inc. 8,051
235 Media General, Inc. 11,559
535 Meritor Automotive, Inc. 8,025
240 Modine Manufacturing Company 5,295
520 Mohawk Industries, Inc.* 12,903
340 Navigant Consulting, Inc. 3,379
45 NCH Corporation 1,946
225 NCO Group, Inc.* 7,734
425 Nieman Marcus Group, Inc.* $10,944
980 OfficeMax, Inc.* 5,513
425 Ogden Corporation 4,170
2,820 Park Place Entertainment Corporation* 36,131
275 Payless ShoeSource, Inc.* 15,159
405 Pittston Brink's Group 6,632
670 Premier Parks, Inc.* 14,447
1,015 Readers Digest Association, Inc. 32,480
240 Rollins, Inc. 3,450
760 Ross Stores, Inc. 15,770
1,335 Saks, Inc.* 15,269
155 Scholastic Corporation* 7,237
1,250 Shaw Industries, Inc. 19,766
505 Sothebys Holdings, Inc. 8,364
910 Stewart Enterprises, Inc. 4,379
220 Superior Industries International, Inc. 7,081
435 Sylvan Learning Systems, Inc.* 6,552
445 Tech Data Corporation* 18,662
725 Tiffany & Company 52,698
505 Unifi, Inc.* 5,145
425 USG Corporation 17,744
915 Viad Corporation 23,218
475 Warnaco Group, Inc. 5,047
160 Washington Post Company 78,080
270 Wellman, Inc. 5,771
455 Westpoint Stevens, Inc. 8,531
485 Williams-Sonoma, Inc.* 16,793
Total Consumer Cyclicals 1,156,952
Consumer Staples (8.2%)
210 Banta Corporation 4,108
1,255 Bergen Brunswig Corporation 6,275
320 Bob Evans Farms, Inc. 4,180
560 Brinker International, Inc.* 17,850
340 Buffets, Inc.* 3,336
385 Carter-Wallace, Inc. 8,566
480 CBRL Group, Inc. 6,660
303 Chris-Craft Industries, Inc.* 18,616
310 Church & Dwight Company, Inc. 5,541
320 Dean Foods Company 7,840
905 Dial Corporation 12,613
480 Dole Food Company, Inc. 8,430
220 Dreyer's Grand Ice Cream, Inc. 5,280
900 Energizer Holdings, Inc.* 15,356
860 Flowers Industries, Inc. 13,115
465 Hannaford Brothers Company 33,654
570 Hispanic Broadcasting Corporation* 57,606
1,325 Hormel Foods Corporation 20,206
915 IBP, Inc. 15,098
150 International Multifoods Corporation 1,922
570 Interstate Bakeries Corporation $7,268
230 J.M. Smucker Company 3,680
290 Kelly Services, Inc. 6,833
240 Lance, Inc. 2,550
270 Lone Star Steakhouse & Saloon, Inc. 3,189
750 Manpower, Inc. 26,484
710 McCormick & Company, Inc. 22,143
825 Modis Professional Services, Inc.* 6,239
745 Outback Steakhouse, Inc.* 24,399
250 Papa John's International, Inc.* 6,875
630 Perrigo Company* 3,583
610 PSS World Medical, Inc.* 5,242
940 R.J. Reynolds Tobacco Holdings, Inc. 19,505
870 Robert Half International, Inc.* 53,179
380 Ruddick Corporation 4,346
1,680 Starbucks Corporation* 50,794
275 Suiza Foods Corporation* 10,708
2,045 Tyson Foods, Inc. 21,345
410 Universal Foods Corporation 6,739
980 Univision Communications, Inc* 107,065
575 Valassis Communications, Inc.* 19,586
1,060 Westwood One, Inc.* 37,498
1,310 Whitman Corporation 14,983
Total Consumer Staples 730,485
Energy (6.3%)
770 BJ Services Company* 54,092
840 Devon Energy Corporation 40,477
1,280 ENSCO International, Inc. 42,480
1,595 Global Marine, Inc. 38,280
1,030 Grant Prideco, Inc.* 19,827
255 Hanover Compressor Company* 14,854
425 Helmerich & Payne, Inc. 13,308
485 Murphy Oil Corporation 28,615
1,295 Nabors Industries, Inc.* 51,072
490 Noble Affiliates, Inc. 17,671
1,230 Noble Drilling Corporation* 49,123
1,535 Ocean Energy, Inc.* 19,859
670 Pennzoil-Quaker State Company 7,328
860 Pioneer Natural Resources Company* 8,869
1,685 Santa Fe Snyder Corporation* 15,481
525 Smith International, Inc.* 39,900
480 Tidewater, Inc. 14,280
745 Ultramar Diamond Shamrock Corporation 18,439
480 Valero Energy Corporation 13,920
560 Varco International, Inc.* 7,000
1,030 Weatherford International, Inc.* 41,844
Total Energy 556,719
Financials (9.2%)
875 A.G. Edwards, Inc. $32,922
565 Allmerica Financial Corporation 30,581
700 Ambac Financial Group, Inc. 33,600
500 American Financial Group, Inc. 12,719
550 Associated Banc-Corp 14,059
465 Astoria Financial Corporation 12,817
355 CCB Financial Corporation 14,045
1,920 Charter One Financial, Inc. 39,000
410 City National Corporation 15,093
1,075 Compass Bancshares, Inc. 19,888
950 Dime Bancorp, Inc. 17,812
2,690 E*TRADE Group, Inc.* 57,835
405 Everest Re Group, Ltd. 11,846
525 FINOVA Group, Inc. 6,727
1,765 First Security Corporation 24,931
1,220 First Tennessee National Corporation 23,180
425 First Virginia Banks, Inc. 15,512
770 FirstMerit Corporation 12,609
1,025 GreenPoint Financial Corporation 19,091
1,475 Hibernia Corporation 15,672
330 Horace Mann Educators Corporation 4,806
240 HSB Group, Inc. 6,960
415 Keystone Financial, Inc. 6,225
595 Legg Mason, Inc. 22,498
1,015 Marshall & Ilsley Corporation 47,134
590 Mercantile Bankshares Corporation 16,815
930 National Commerce Bancorporation 15,287
1,615 North Fork Bancorporation, Inc. 26,143
515 Ohio Casualty Corporation 8,562
1,185 Old Republic International Corporation 16,886
685 Pacific Century Financial Corporation 14,085
385 PMI Group, Inc. 18,648
555 Protective Life Corporation 13,216
415 Provident Financial Group, Inc. 12,165
865 ReliaStar Financial Corporation 37,249
1,980 Sovereign Bancorp, Inc. 13,612
710 TCF Financial Corporation 16,596
715 Unitrin, Inc. 24,131
370 Webster Financial Corporation 7,909
325 Westamerica Bancorporation 8,145
285 Wilmington Trust Corporation 13,146
835 Zions Bancorporation 34,652
Total Financials 814,809
Health Care (10.6%)
220 Acuson Corporation* 2,709
445 Apria Healthcare Group, Inc.* 6,202
255 Beckman Coulter, Inc. 16,527
880 Beverly Enterprises, Inc.* 2,970
1,755 Chiron Corporation* $79,414
470 Covance, Inc.* 4,318
455 DENTSPLY International, Inc. 13,223
500 Edwards Lifesciences Corporation* 7,500
335 Express Scripts, Inc.* 11,976
425 First Health Group Corporation* 12,936
830 Forest Laboratories, Inc.* 69,772
1,050 Foundation Health Systems, Inc.* 10,566
825 Genzyme Corporation* 40,270
385 Gilead Sciences, Inc.* 20,862
2,260 Health Management Associates, Inc.* 36,019
670 ICN Pharmaceuticals, Inc. 16,876
300 Incyte Pharmaceuticals, Inc.* 23,100
1,460 IVAX Corporation* 39,967
465 Lincare Holdings, Inc.* 14,183
680 MedImmune, Inc.* 108,758
970 Millennium Pharmaceuticals, Inc.* 76,994
370 MiniMed, Inc.* 45,487
1,210 Mylan Laboratories, Inc. 34,334
785 Omnicare, Inc. 11,922
700 Oxford Health Plans, Inc.* 13,300
475 PacifiCare Health Systems, Inc.* 24,433
605 Quorum Health Group, Inc.* 6,428
670 Sepracor, Inc.* 61,640
580 STERIS Corporation* 5,220
935 Stryker Corporation 67,203
995 Sybron International Corporation* 30,969
345 Trigon Healthcare, Inc.* 12,398
550 VISX, Inc.* 8,697
Total Health Care 937,173
Technology (24.4%)
345 ADTRAN, Inc.* 23,309
425 Affiliated Computer Services, Inc.* 14,078
925 Arrow Electronics, Inc.* 40,527
2,095 Atmel Corporation* 102,524
480 Avnet, Inc. 37,740
2,280 Cadence Design Systems, Inc.* 38,333
515 Cambridge Technology Partners, Inc.* 5,665
570 CheckFree Holdings Corporation* 28,963
565 Cirrus Logic, Inc.* 9,252
1,415 Comdisco, Inc. 43,953
1,870 Concord EFS, Inc.* 41,841
545 CSG Systems International, Inc.* 25,138
1,040 Cypress Semiconductor Corporation* 54,015
645 DST Systems, Inc.* 47,851
655 Electronic Arts, Inc.* 39,627
1,155 Fiserv, Inc.* 53,058
760 Gartner Group, Inc., Class B* 8,217
595 Harris Corporation 19,226
300 Imation Corporation* $8,419
2,515 Informix Corporation* 27,665
905 Integrated Device Technology, Inc.* 43,497
1,890 Intuit, Inc.* 67,922
275 Jeffries Group, Inc.* 10,312
615 Keane, Inc.* 17,758
275 L-3 Communciations Holdings, Inc.* 14,644
730 Legato Systems, Inc.* 9,444
395 Litton Industries, Inc.* 17,158
500 Macromedia, Inc.* 43,500
2,590 Maxim Integrated Products, Inc.* 167,864
550 Mentor Graphics Corporation* 7,219
300 Micrel, Inc.* 25,950
760 Microchip Technology, Inc.* 47,167
1,295 Network Associates, Inc.* 32,942
630 NOVA Corporation* 19,924
1,210 Novellus Systems, Inc.* 80,692
365 NVIDIA Corporation* 32,531
290 Policy Management Systems Corporation* 3,842
295 Polycom, Inc.* 23,342
735 QLogic Corporation* 73,730
1,480 Quantum Corporation* 17,390
865 Rational Software Corporation* 73,633
465 Sawtek, Inc.* 22,233
1,870 Siebel Systems, Inc.* 229,776
860 Storage Technology Corporation* 11,180
290 Structural Dynamics Research Corporation* 3,879
1,205 SunGard Data Systems, Inc.* 41,648
700 Sybase, Inc.* 14,131
340 Sykes Enterprises, Inc.* 6,800
610 Symantec Corporation* 38,087
700 Synopsys, Inc.* 29,400
500 Titan Corporaiton* 21,469
285 Transaction Systems Architects, Inc.* 4,649
400 TranSwitch Corporation* 35,225
425 TriQuint Semiconductor, Inc.* 43,695
1,550 Vitesse Semiconductor Corporation* 105,497
635 Waters Corporation* 60,325
Total Technology 2,167,856
Transportation (1.1%)
415 Airborne Freight Corporation 8,897
235 Alaska Air Group, Inc.* 6,756
350 Alexander & Baldwin, Inc. 7,350
200 Arnold Industries, Inc. 2,337
355 C.H. Robinson Worldwide, Inc. 17,750
415 CNF Transportation, Inc. 11,594
425 GATX Corporation 15,194
290 J.B. Hunt Transport Services, Inc. 4,785
270 Overseas Shipholding Group, Inc. 7,071
550 Swift Transportation Company, Inc.* $11,034
420 Wisconsin Central Transportation Corporation* 6,116
Total Transportation 98,884
Utilities (9.9%)
485 AGL Resources, Inc. 8,488
1,050 Allegheny Energy, Inc. 31,894
775 Alliant Energy Corporation 23,250
930 American Water Works Company, Inc. 21,099
300 ANTEC Corporation* 16,125
170 Black Hills Corporation 3,899
645 Calpine Corporation* 59,017
180 Cleco Corporation 6,199
285 CMP Group, Inc. 8,247
795 Conectiv, Inc. 14,111
1,245 DPL, Inc. 28,946
750 DQE, Inc. 28,688
1,300 Dynegy, Inc. 85,069
1,165 Energy East Corporation 24,319
285 Hawaiian Electric Industries, Inc. 10,545
325 IDACORP, Inc. 11,984
735 IPALCO Enterprises, Inc. 15,022
530 Kansas City Power & Light Company 13,614
1,250 KeySpan Corporation 36,719
1,065 Kinder Morgan, Inc. $32,283
1,215 LG&E Energy Corporation 28,325
835 MCN Energy Group, Inc. 20,823
630 Minnesota Power, Inc. 11,616
1,050 Montana Power Company 46,266
335 National Fuel Gas Company 15,892
1,175 NiSource, Inc. 21,737
1,325 Northeast Utilities 28,488
615 NSTAR 27,098
665 OGE Energy Corporation 13,175
1,115 Potomac Electric Power Company 26,133
330 Public Service Company of New Mexico 5,940
725 Puget Sound Energy, Inc. 17,219
705 Questar Corporation 13,263
990 SCANA Corporation 25,616
670 Sierra Pacific Resources 10,134
1,210 TECO Energy, Inc. 26,469
795 UtiliCorp United, Inc. 15,304
540 Vectren Corporation* 10,867
380 Washington Gas Light Company 9,737
1,110 Wisconsin Energy Corporation 23,726
Total Utilities 877,346
Total Common Stocks
(cost basis $8,234,756) 8,670,799
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
Principal Amount Short-Term Investments (2.4%) Interest Rate(1) Maturity Date Market Value
$215,000 General Mills, Inc. 6.040% 5/1/2000 $215,000
Total Short-Term Investments
(amortized cost basis $215,000) 215,000
TOTAL INVESTMENTS (100.1%)
(amortized cost basis $8,449,756) 8,885,799
Other Assets, Less Liabilities (-0.1%) (6,453)
Net Assets (100.0%) $8,879,346
</TABLE>
(1) The interest rate reflects the discount rate at the date of purchase.
* Non-income producing security.
<PAGE>
The AAL Bond Index Fund Schedule of Investments as of April 30, 2000
Investment Objective
The Fund seeks total returns approximating the total return of the Lehman
Brothers Aggregate Bond Index by investing primarily in bonds and other debt
securities that comprise the Index.
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
Principal Interest Maturity Market
Amount Long-Term Fixed-Income Investments (98.5%) Rate Date Value
-------------------------------------------------------------------------------------------------------------------------------
Asset Backed Securities (1.1%)
$125,000 EQCC Home Equity Loan Trust Series 1997-3 Class A7 6.930% 2/15/2029 $117,073
Total Asset Backed Securities 117,073
Commercial Mortgage Backed Securities (1.8%)
100,000 First Union National Bank Commercial Mortgage Trust 7.390 11/15/2009 97,713
Pass-Through Certificates Series 1999-C4 Class A2
100,000 Nationslink Funding Corporation Commercial Mortgage 7.181 12/20/2006 97,320
Pass-Through Certificates Series 1999-2 Class A3
Total Commercial Mortgage Backed Securities 195,033
Finance (7.4%)
150,000 ABN Amro Bank Chicago 7.250 5/31/2005 147,110
100,000 Allstate Corporation 7.200 12/1/2009 94,163
100,000 Bank of America Corporation 6.625 6/15/2004 96,514
100,000 Camden Property Trust 7.000 11/15/2006 93,630
100,000 Chase Manhattan Corporation 7.000 11/15/2009 94,839
100,000 Household Finance Corporation 7.250 5/15/2006 96,587
100,000 Merrill Lynch & Company, Inc. 6.000 2/12/2003 96,070
100,000 Wellsford Residential Property Trust 9.375 2/1/2002 102,078
Total Finance 820,991
Industrial-Consumer Goods (1.7%)
100,000 Procter & Gamble Company 6.600 12/15/2004 97,260
100,000 Tyson Foods, Inc. 6.750 6/1/2005 94,050
Total Industrial-Consumer Goods 191,310
Industrial-Energy (2.6%)
100,000 Coastal Corporation 6.500 5/15/2006 93,113
100,000 TransCanada PipeLines, Ltd. 7.150 6/15/2006 97,241
100,000 Union Oil Company of California 6.700 10/15/2007 92,558
Total Industrial-Energy 282,912
Industrial-Manufacturing (4.6%)
100,000 Alcoa, Inc. 6.500 6/15/2018 87,677
100,000 Ford Motor Company 7.500 8/1/2026 93,664
150,000 General Motors Acceptance Corporation 6.850 6/17/2004 145,422
100,000 International Business Machines Corporation 5.370 9/22/2003 93,766
100,000 Raytheon Company 6.750 8/15/2007 90,801
Total Industrial-Manufacturing 511,330
Industrial-Services (2.5%)
100,000 AT&T Corporation 6.000 3/15/2009 89,080
100,000 MCI Communications Corporation 6.500 4/15/2010 90,806
$100,000 Sears, Roebuck & Company 6.250% 1/15/2004 $94,660
Total Industrial-Services 274,546
Industrial-Transportation (0.8%)
100,000 Burlington Northern Santa Fe Corporation 6.125 3/15/2009 88,261
Total Industrial-Transportation 88,261
U.S. Government Agencies (42.3%)
100,000 Federal Home Loan Bank 6.640 12/13/2016 93,116
100,000 Federal Home Loan Mortgage Corporation 6.800 3/19/2007 97,094
150,000 Federal Home Loan Mortgage Corporation 5.750 7/15/2003 143,618
94,339 Federal Home Loan Mortgage Corporation Gold 30 Yr.
Pass Through 8.000 10/1/2029 94,375
149,204 Federal Home Loan Mortgage Corporation Gold 30 Yr.
Pass Through 7.500 2/1/2030 146,166
251,705 Federal Home Loan Mortgage Corporation Gold 30 Yr.
Pass Through 6.500 11/1/2025 235,866
200,000 Federal National Mortgage Association 6.500 8/15/2004 194,315
150,000 Federal National Mortgage Association 6.660 3/5/2007 144,777
100,000 Federal National Mortgage Association 6.210 8/6/2038 86,852
200,000 Federal National Mortgage Association 6.375 1/16/2002 197,725
180,908 Federal National Mortgage Association 15 Yr. Pass Through 7.000 3/1/2009 177,769
157,379 Federal National Mortgage Association 15 Yr. Pass Through 6.500 7/1/2013 151,551
200,851 Federal National Mortgage Association 15 Yr. Pass Through 6.000 1/1/2014 188,283
95,404 Federal National Mortgage Association 15 Yr. Pass Through 5.500 4/1/2014 87,525
99,394 Federal National Mortgage Association 30 Yr. Pass Through 7.500 1/1/2030 97,338
247,939 Federal National Mortgage Association 30 Yr. Pass Through 7.500 8/1/2023 243,894
243,014 Federal National Mortgage Association 30 Yr. Pass Through 7.000 11/1/2029 232,556
189,898 Federal National Mortgage Association 30 Yr. Pass Through 7.000 12/1/2025 182,307
114,955 Federal National Mortgage Association 30 Yr. Pass Through 6.500 8/1/2029 107,323
595,434 Federal National Mortgage Association 30 Yr. Pass Through 6.500 3/1/2029 556,265
337,439 Federal National Mortgage Association 30 Yr. Pass Through 6.000 7/1/2029 305,954
148,090 Government National Mortgage Association 30 Yr. Pass
Through 8.500 12/15/2029 150,886
98,612 Government National Mortgage Association 30 Yr. Pass
Through 8.000 12/15/2029 98,974
197,616 Government National Mortgage Association 30 Yr. Pass
Through 7.500 12/15/2029 194,401
99,161 Government National Mortgage Association 30 Yr. Pass
Through 7.500 9/15/2029 97,548
197,503 Government National Mortgage Association 30 Yr. Pass
Through 7.000 7/15/2029 190,051
195,724 Government National Mortgage Association 30 Yr. Pass
Through 6.500 6/15/2029 183,508
Total U.S. Government Agencies 4,680,037
U.S. Treasury Securities (30.3%)
150,000 U.S. Treasury Bonds 11.750 11/15/2014 204,328
150,000 U.S. Treasury Bonds 8.750 5/15/2017 187,406
100,000 U.S. Treasury Bonds 8.125 8/15/2021 121,313
$200,000 U.S. Treasury Bonds 8.125% 8/15/2019 $240,187
250,000 U.S. Treasury Bonds 6.750 8/15/2026 267,266
250,000 U.S. Treasury Bonds 6.250 8/15/2023 250,078
250,000 U.S. Treasury Notes 7.500 5/15/2002 253,750
250,000 U.S. Treasury Notes 7.250 5/15/2004 255,703
250,000 U.S. Treasury Notes 6.500 8/31/2001 249,453
350,000 U.S. Treasury Notes 6.250 8/31/2002 346,609
250,000 U.S. Treasury Notes 6.125 12/31/2001 247,813
200,000 U.S. Treasury Notes 5.875 11/15/2005 194,000
150,000 U.S. Treasury Notes 5.875 10/31/2001 148,266
150,000 U.S. Treasury Notes 5.500 5/15/2009 141,234
250,000 U.S. Treasury Notes 5.500 5/31/2003 242,265
Total U.S. Treasury Securities 3,349,671
Sovereign/Provincial (2.5%)
100,000 Inter-American Development Bank 5.750 2/26/2008 90,642
100,000 Korea Development Bank 7.250 5/15/2006 94,099
100,000 Quebec Province 6.500 1/17/2006 95,181
Total Sovereign/Provincial 279,922
Utilities (0.9%)
100,000 Niagara Mohawk Power 7.750 5/15/2006 98,320
Total Utilities 98,320
Total Long-Term Fixed-Income Investments
(amortized cost basis $10,933,716) 10,889,406
Short-Term Investments (1.4%)(1)
155,000 General Electric Capital Corporation 6.000 5/2/2000 154,974
Total Short-Term Investments
(amortized cost basis $154,974) 154,974
TOTAL INVESTMENTS (99.9%)
(amortized cost basis $11,088,690) 11,044,380
Other Assets, Less Liabilities (0.1%) 9,600
Net Assets (100.0%) $11,053,980
</TABLE>
(1) The interest rate reflects the discount rate at the date of purchase.
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Statement of Assets and Liabilities as of April 30, 2000
------------------------------------------------------------ ------------------- --------------- ----------------
The AAL Large The AAL Mid The AAL Bond
Company Index Fund Cap Index Fund Index Fund
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Assets
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Investments at cost $28,381,288 $8,449,756 $11,088,690
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Investments at value $27,580,772 $8,885,799 $11,044,380
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Cash 40,584 265 789
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Dividends and interest receivable 18,455 5,716 172,774
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Prepaid expenses 27,511 27,380 27,367
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Receivable from investment adviser 2,530 5,402 4,511
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Total Assets $27,669,852 $8,924,562 $11,249,821
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Liabilities
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Payable for investments purchased - - 146,749
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Income distributions payable - - 4,313
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Accrued expenses 45,397 45,216 44,779
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Total Liabilities 45,397 45,216 195,841
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Net Assets
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Trust Capital (beneficial interest) 28,371,576 8,169,287 11,105,810
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Accumulated undistributed net investment income 52,550 31,946 5,092
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Accumulated undistributed net realized gain (loss) on 845 242,070 (12,612)
investments
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Net unrealized appreciation/depreciation on investments (800,516) 436,043 (44,310)
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Total Net Assets 27,624,455 8,879,346 11,053,980
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Total Liabilities & Capital $27,669,852 $8,924,562 $11,249,821
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Class I share capital $27,624,455 $8,879,346 $11,053,980
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Shares of beneficial interest outstanding (Class I) 2,775,311 814,985 1,111,115
------------------------------------------------------------ ------------------- --------------- ----------------
------------------------------------------------------------ ------------------- --------------- ----------------
Net asset value per share $9.95 $10.90 $9.95
------------------------------------------------------------ ------------------- --------------- ----------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Statement of Operations for the Period ended April 30, 2000(1)
--------------------------------------------------------- ------------------- ---------------- ---------------
The AAL Large The AAL Mid The AAL Bond
Company Index Fund Cap Index Fund Index Fund
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Investment Income
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Dividends $40,866 $28,379 $ -
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Taxable interest 14,587 3,890 236,552
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Total Investment Income 55,453 32,269 236,552
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Expenses
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Adviser fees 9,396 6,562 8,357
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Administrative service and pricing fees 13,115 13,065 12,889
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Audit and legal fees 5,224 5,224 5,224
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Custody fees 1,810 1,878 1,454
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Printing and postage expense 35 35 35
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
SEC and state registration expense 5,618 5,606 5,620
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Shareholder maintenance fees 6 6 6
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Transfer Agent fees 16 16 16
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Trustees fees and expenses 1,091 1,091 1,091
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Other expenses 75 75 75
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Total Expenses 36,386 33,558 34,767
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Less Reimbursement from Adviser (28,393) (28,157) (27,894)
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Total Net Expenses 7,993 5,401 6,873
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Net Investment Income 47,460 26,868 229,679
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Realized and Unrealized Gains (Losses) on Investments
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Net realized gains (losses) on investments 845 242,070 (12,612)
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Change in net unrealized appreciation/depreciation on (800,516) 436,043 (44,310)
investments
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Net Realized and Unrealized Gains (Losses) on (799,671) 678,113 (56,922)
Investments
--------------------------------------------------------- ------------------- ---------------- ---------------
--------------------------------------------------------- ------------------- ---------------- ---------------
Net Increase (Decrease) in Net Assets From Operations $(752,211) $704,981 $172,757
--------------------------------------------------------- ------------------- ---------------- ---------------
</TABLE>
(1)From Fund inception, December 31, 1999
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Statement of Changes in Net Assets as of April 30, 2000
---------------------------------------------------- ---------------------- ------------------- -------------------
The AAL Large The AAL Mid Cap The AAL Bond
Company Index Fund Index Fund Period Index Fund Period
Period Ended Ended 4/30/2000(1) Ended 4/30/2000(1)
4/30/2000(1)
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Operations
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Net investment income $47,460 $26,868 $229,679
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Net realized gains (losses) on investments 845 242,070 (12,612)
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Change in net unrealized appreciation/ (800,516) 436,043 (44,310)
depreciation on investments
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Net Increase (Decrease) in Net Assets Resulting (752,211) 704,981 172,757
from Operations
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Distributions to Shareholders
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
From net investment income - - (229,679)
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
From net realized gains - - -
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Total Distributions to Shareholders - - (229,679)
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Trust Shares Transactions
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Purchases of trust shares 28,377,341 8,174,365 10,886,334
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Income dividends reinvested - - 225,252
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Capital gains distributions reinvested - - -
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Redemption of trust shares (675) - (684)
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Net Increase in Trust Capital 28,376,666 8,174,365 11,110,902
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Net Increase in Net Assets 27,624,455 8,879,346 11,053,980
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Net Assets Beginning of Period - - -
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Net Assets End of Period $27,624,455 $8,879,346 $11,053,980
---------------------------------------------------- ---------------------- ------------------- -------------------
---------------------------------------------------- ---------------------- ------------------- -------------------
Accumulated Undistributed Net Investment Income $52,550 $31,946 $5,092
---------------------------------------------------- ---------------------- ------------------- -------------------
</TABLE>
(1)Since Fund inception, December 31, 1999.
<PAGE>
Notes to Financial Statements as of April 30, 2000
(A) ORGANIZATION
The AAL Mutual Funds (the "Trust") was organized as a Massachusetts Business
Trust on March 31, 1987, and is registered as an open-end diversified management
company under the Investment Company Act of 1940. The Trust commenced operations
on July 16, 1987, and currently consists of The AAL Small Cap Stock, Mid Cap
Stock, International, Capital Growth, Equity Income, Balanced, High Yield Bond,
Municipal Bond, Bond, Money Market, U.S. Government Zero Coupon Target Funds
2001 and 2006, Large Company Index, Mid Cap Index, and Bond Index Funds. The 15
AAL Mutual Funds are collectively referred to as the "Funds". The AAL Small Cap
Stock, Mid Cap Stock, International, Capital Growth, Equity Income, Balanced,
High Yield Bond, Municipal Bond, Bond, and Money Market Funds are printed under
a separate annual report. The AAL U.S. Government Zero Coupon Target Funds 2001
and 2006 are also printed under a separate annual report.
On December 31, 1999, The AAL Large Company Index, Mid Cap Index, and Bond Index
Funds commenced operations. These funds are only offered to institutions.
(B) SIGNIFICANT ACCOUNTING POLICIES
The Funds' principal accounting policies are:
Valuation-Securities traded on national securities exchanges abroad are valued
at last reported sales prices. Each over-the-counter security for which the last
sales price is available from NASDAQ is valued at that price. Interest bearing
money market instruments are valued at a cost that approximates the market.
Money market investments with a remaining maturity of 60 days are valued on an
amortized cost basis. All other securities are valued at the latest bid
quotation if such quotations are readily available. Otherwise, such securities
are valued at a fair value as determined in good faith by the investment adviser
under supervision of the Board of Trustees.
Federal Income Taxes -Each Fund intends to comply with the requirements of the
Internal Revenue Code which are applicable to regulated investment companies and
to distribute substantially all of their taxable income to their shareholders.
The Funds accordingly anticipate paying no Federal income taxes and no Federal
income tax provision was required. Certain funds may utilize earnings and
profits distributed to shareholders on redemption of shares as part of the
dividend paid deduction.
Income and Expenses- The Funds are charged for those expenses that are directly
attributed to each portfolio, such as transfer agent, printing, postage, and
shareholder service fees. Expenses that are not directly attributable to a
portfolio are typically allocated among the Fund portfolios in proportion to
their respective net assets, number of shareholder accounts or other reasonable
basis.
Distributions to Shareholders - Net investment income is distributed to each
shareholder as a dividend. Dividends to shareholders are recorded on the
ex-dividend date. Dividends from The AAL Large Company Index Fund and The AAL
Mid Cap Index Fund are declared and paid annually. Dividends from The AAL Bond
Index Fund are declared daily and distributed monthly. Dividends from net
realized gains from securities transactions, if any, are distributed at least
annually in the calendar year.
Credit Risk - The Funds may be susceptible to credit risk with respect to the
extent the issuer defaults on its payment obligation. The Funds' policy is to
monitor the creditworthiness of the issuer and does not anticipate
nonperformance on the instruments.
Use of Estimates - The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenues and expenses during the
reporting period. Actual results could differ from these estimates.
Other -For financial statement purposes, investment security transactions are
accounted for on the trade date. Dividend income is recognized on the
ex-dividend date, and interest income is recognized on an accrual basis.
Discounts on bonds purchased are amortized over the life of the respective bonds
in The AAL Bond Index Fund. Realized gains or losses on sales are determined on
a specific cost identification basis. The Funds have no right to require
registration of unregistered securities. Generally accepted accounting
principles require that permanent financial reporting and tax differences be
reclassified to trust capital.
(C) INVESTMENT ADVISORY MANAGEMENT FEES AND TRANSACTIONS WITH RELATED PARTIES
The Trust has entered into an Investment Advisory Agreement with AAL Capital
Management Corporation, (the "Adviser"), under which each of the mutual fund
portfolios pay a fee for investment advisory services. Effective December 31,
1999, the annual rates of fees as a percent of average daily net assets under
the investment advisory agreement were as follows:
(M - Millions) $0 to $50M
The AAL Large Company Index Fund 0.25%
The AAL Mid Cap Index Fund 0.25%
The AAL Bond Index Fund 0.25%
The Trust has entered into an Administrative Services Agreement with Aid
Association for Lutherans ("AAL") pursuant to which AAL provides certain
administrative services. Under the Administrative Service Agreement, AAL earned
the following fees from the respective Funds for the period ended April 30,
2000: $11,667 for The AAL Large Company Index, Mid Cap Index, and the Bond Index
Funds respectively.
The Trust has also contracted with AAL Capital Management Corporation for
certain shareholder maintenance services. These shareholder services include:
pre-processing and quality control of new accounts, shareholder correspondence,
account response and answering customer inquires regarding account status,
option and facilitating shareholder telephone transactions. Fees and cost
reimbursements charged to the Funds under terms of the contract approximated
$3.75 per year per shareholder account.
There are no 12b-1 Distribution Fees on Class I shares.
Each Trustee of the Funds or Trust who is not affiliated with the AAL or the
Adviser receives an annual fee from the Funds for services as a Trustee and is
eligible to participate in a deferred compensation plan with respect to these
fees. Participants in the plan may designate their deferred Trustee's fees as if
invested in any one of the Funds. The value of each Trustee's deferred
compensation account will increase or decrease as if it were invested in shares
of the selected Funds. The Funds maintain their proportionate share of AAL's
liability for the deferred fees.
All Trustee compensation was deferred and invested into the Funds for the year
ended April 30, 2000. No remuneration has been paid by the Trust to any of the
officers or affiliated Trustees of the Trust. In addition, the Trust reimbursed
unaffiliated Trustees for reasonable expenses incurred in relation to attendance
at the meetings.
The Adviser voluntarily has reimbursed The AAL Large Company Index, Mid Cap
Index, and Bond Index Funds for all expenses in excess of 0.20% of 1% of average
daily net assets since inception. Voluntary reimbursement of expenses to the
Funds may be modified or discounted at any time by the Adviser.
AAL is the ultimate parent company for AAL Capital Management Corporation.
(D) SECURITY TRANSACTIONS
During the period ended April 30, 2000 purchases and sales of securities other
than short-term obligations were as follows:
Purchases Sales
Period Ended Period Ended
4/30/00 4/30/00
--------------------------------------
The AAL Large Company Index Fund $28,543,434 $158,010
The AAL Mid Cap Index Fund 9,615,072 1,622,386
The AAL Bond Index Fund 15,260,426 4,322,056
For the year ended April 30, 2000, The AAL Bond Index Fund purchased $7,487,037
and sold $4,158,938 in U.S. Government Obligations.
As of April 30, 2000, the cost of investments for federal income tax purposes
for each of the funds were as follows:
The AAL Large Company Index Fund $28,391,019
The AAL Mid Cap Index Fund $8,495,674
The AAL Bond Index Fund $11,088,690
Any differences between book and tax are due primarily to wash sale losses.
The AAL Bond Index Fund deferred, on a tax basis, post-October losses of
$12,612. This amount may be used to offset future capital gains.
The gross unrealized appreciation and depreciation on investments at period
ended April 30, 2000 were as follows:
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Net Unrealized
Appreciation
Appreciation (Depreciation) (Depreciation)
---------------------------------------------------------
The AAL Large Company Index Fund $1,130,337 $(1,930,853) $(800,516)
The AAL Mid Cap Index Fund 1,154,978 (718,935) 436,043
The AAL Bond Index Fund 50,463 (94,773) (44,310)
</TABLE>
(E) TRUST TRANSACTIONS
Transactions in trust shares were as follows:
Period Ended
4/30/00
The AAL Large Company Index Fund Shares
-------------------------------------------------------------
Shares purchased 2,775,378
Income dividends reinvested -
Capital gains reinvested -
Shares redeemed (67)
Net increase in trust shares 2,775,311
Period Ended
4/30/00
The AAL Mid Cap Index Fund Shares
-------------------------------------------------------------
Shares purchased 814,985
Income dividends reinvested -
Capital gains reinvested -
Shares redeemed -
Net increase in trust shares 814,985
Period Ended
4/30/00
The AAL Bond Index Fund Shares
-------------------------------------------------------------
Shares purchased 1,088,560
Income dividends reinvested 22,623
Capital gains reinvested -
Shares redeemed (68)
Net increase in trust shares 1,111,115
<PAGE>
Financial Highlights Per Share Information
The AAL Large Company Index Fund
Period Ended
CLASS I SHARES 4/30/2000
-------------------------------------------------------------------------------
Net asset value: Beginning of Period $10.00
Income from Investment Operations
Net investment income 0.02
Net realized and unrealized gain (loss) on investments (0.07)
Total from Investment Operations (0.05)
Less Distributions from:
Net investment income -
Net realized capital gains -
Total Distributions -
Net increase (decrease) in net asset value (0.05)
Net asset value: End of period $9.95
Total return(b) (0.50)%
Net assets, end of period (in millions) $27.6
Ratio of expenses to average net assets(a) 0.20%
Ratio of net investment income (loss) to average net assets(a) 1.21%
Portfolio turnover rate 1.57%
If the Fund had paid all of their expenses without the Adviser's voluntary
expense reimbursement, the ratios would have been as follows:
Ratio of expenses to average net assets(a) 0.93%
Ratio of net investment income (loss) to average net assets(a) 0.49%
(a)Calculated on an annualized basis.
(b)Total return calculations assume reinvestment of all dividends and
distributions. Periods less than one year are not annualized.
<PAGE>
The AAL Mid Cap Index Fund
Period Ended
CLASS I SHARES 4/30/2000
-----------------------------------------------------------------------------
Net asset value: Beginning of Period $10.00
Income from Investment Operations
Net investment income 0.03
Net realized and unrealized gain on investments 0.87
Total from Investment Operations 0.90
Less Distributions from:
Net investment income -
Net realized capital gains -
Total Distributions -
Net increase (decrease) in net asset value 0.90
Net asset value: End of period $10.90
Total return(b) 9.00%
Net assets, end of period (in millions) $8.9
Ratio of expenses to average net assets(a) 0.20%
Ratio of net investment income (loss) to average net assets(a) 1.02%
Portfolio turnover rate 24.59%
If the Fund had paid all of their expenses without the adviser's voluntary
expense reimbursement, the ratios would have been as follows:
Ratio of expenses to average net assets(a) 1.27%
Ratio of net investment income (loss) to average net assets(a) (0.05)%
(a)Calculated on an annualized basis.
(b)Total return calculations assume reinvestment of all dividends and
distributions. Periods less than one year are not annualized.
<PAGE>
The AAL Bond Index Fund
Period Ended
CLASS I SHARES 4/30/2000
-------------------------------------------------------------------------------
Net asset value: Beginning of Period $10.00
Income from Investment Operations
Net investment income 0.22
Net realized and unrealized gain (loss) on investments (0.05)
Total from Investment Operations 0.17
Less Distributions from:
Net investment income (0.22)
Net realized capital gains -
Total Distributions (0.22)
Net increase (decrease) in net asset value (0.05)
Net asset value: End of period $9.95
Total return(b) 1.72%
Net assets, end of period (in millions) $11.1
Ratio of expenses to average net assets(a) 0.20%
Ratio of net investment income (loss) to average net assets(a) 6.85%
Portfolio turnover rate 52.37%
If the Fund had paid all of their expenses without the Adviser's voluntary
expense reimbursement, the ratios would have been as follows:
Ratio of expenses to average net assets(a) 1.04%
Ratio of net investment income (loss) to average net assets(a) 6.02%
(a)Calculated on an annualized basis.
(b)Total return calculations assume reinvestment of all dividends and
distributions. Periods less than one year are not annualized.
<PAGE>
Report of Independent Accountants
[PRICEWATERHOUSECOOPERS LETTERHEAD] PricewaterhouseCoopers LLP
100 East Wisconsin Avenue
Suite 1500
Milwaukee WI 53202
Telephone (414)212-1600
To the Shareholders and Trustees of
The AAL Mutual Funds
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of The AAL Large Company Index Fund,
The AAL Mid Cap Index Fund, and The AAL Bond Index Fund (three of the portfolios
constituting The AAL Mutual Funds, the "Funds") at April 30, 2000, and the
results of each of their operations, the changes in each of their net assets and
the financial highlights for the period December 31, 1999 (commencement of
operations) through April 30, 2000, in conformity with accounting principles
generally accepted in the United States. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of the Fund's management; our responsibility is to express an
opinion on these financial statements based on our audit. We conducted our audit
of these financial statements in accordance with auditing standards generally
accepted in the United States, which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audit, which included confirmation of securities at April 30, 2000, by
correspondence with the custodian and brokers, provides a reasonable basis for
the opinion expressed above.
/s/PricewaterhouseCoopers LLP
May 19, 2000
<PAGE>
A Note on Foward-Looking Statements (Unaudited)
Except for the historical information contained in the foregoing reports on each
of the Funds, the matters discussed in those reports may constitute
forward-looking statements that are made pursuant to the safe harbor provisions
of the Securities Litigation Reform Act of 1995. These include discussion about
each portfolio manager's predictions, assessments, analyses and outlooks for
relevant securities and investment markets, market sectors, industries and
individual stocks or other investment securities. These statements involve risks
and uncertainties. In addition to the general risks described for each Fund in
its current prospectus, other factors bearing on these reports include the
accuracy of each portfolio manager's forecasts and predictions, the
appropriateness of the investment strategies designed by the portfolio managers
to capitalize on their forecasts and predictions should they prove true, and the
ability of the portfolio managers to implement their strategies efficiently and
effectively. Any one or more of these factors, as well as other risks affecting
the securities markets and investment instruments generally, could cause the
actual results of any Fund to differ materially from the projected results for
the Fund, either on an overall basis or on a relative basis as compared to the
benchmark index selected for the particular Fund.
<PAGE>
Board Of Trustees
John O. Gilbert-Chairman of the Board
F. Gregory Campbell
Woodrow E. Eno
Richard L. Gady
John H. Pender
Edward W. Smeds
Lawrence M. Woods
Officers
Robert G. Same-President
James H. Abitz-Vice-President
Woodrow E. Eno-Vice-President
Charles D. Gariboldi-Treasurer
Frederick D. Kelsven-Secretary
Investment Adviser & Distributor
AAL Capital Management Corporation
222 West College Avenue
Appleton, WI 54919-0007
Custodian
Citibank, N.A.
111 Wall Street
New York, NY 10043
Transfer Agent & Disbursing Agent
Firstar Mutual Fund Services, LLC
615 East Michigan Street
P.O. Box 2981
Milwaukee, WI 53201-2981
Legal Counsel
Quarles & Brady LLP
411 East Wisconsin Avenue
Milwaukee, WI 53202
Independent Accountant
PricewaterhouseCoopers LLP
Suite 1500
100 East Wisconsin Avenue
Milwaukee, WI 53202
This report is submitted for the information of shareholders of The AAL Mutual
Funds. It is not authorized for distribution to prospective investors unless
preceded or accompanied by the current prospectus for The AAL Mutual Funds,
including investing policies, charges and expenses.
