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Previous: MONARCH LIFE INSURANCE COMPANY SEPARATE ACCOUNT VA, NSAR-U, 2000-02-25 |
Next: STOLT NIELSEN S A, SC 13E3/A, 2000-02-25 |
<PAGE>
AHA INVESTMENT FUNDS, INC.
Semi-Annual Report to
Shareholders
As of December 31, 1999
<PAGE>
CONTENTS
- --------------------------------------------------------------------------------
Portfolio of Investments 1
Full Maturity Fixed Income Portfolio
Limited Maturity Fixed Income Portfolio
Diversified Equity Portfolio
Balanced Portfolio
Financial Statement 43
Notes to Financial Statements 47
- --------------------------------------------------------------------------------
i
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS 98.9%
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 58.2%
United States Treasury Bonds
$ 20,000 11.875% 11/15/03 $ 23,619
800,000 10.750% 08/15/05 955,250
100,000 6.000% 08/15/09 96,906
1,175,000 9.875% 11/15/15 1,519,422
5,725,000 9.250% 02/15/16 7,072,167
2,440,000 8.000% 11/15/21 2,768,639
2,210,748 3.625% 04/15/28 1,976,548
United States Treasury Notes
400,000 5.625% 11/30/00 398,625
United States Treasury Inflation Index Bonds
1,020,249 3.625% 01/15/08 972,106
1,250,160 3.875% 04/15/29 1,168,118
United States Treasury Strips
2,150,000 0.000% 11/15/04 1,568,324
Federal Home Loan Mortgage Corporation
52,101 8.750% 04/01/09 52,333
46,233 10.500% 01/01/10 49,353
2,270,093 5.500% 02/01/14 2,111,758
176,554 9.300% 04/15/19 181,859
344,724 7.000% 06/15/21 340,076
629,167 7.000% 09/15/21 619,582
843,832 6.000% 04/15/22 802,531
276,074 7.000% 05/01/24 268,466
1,187,381 6.500% 06/01/29 1,120,591
299,245 7.000% 08/01/29 289,831
108,889 7.500% 08/01/29 107,925
189,655 6.000% 10/01/29 173,870
208,420 7.500% 10/01/29 206,574
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-1-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
Federal National Mortgage Association
(mortgage-backed securities)
$ 300,000 6.000% 01/01/14 $ 284,625
350,855 9.500% 07/25/19 365,561
244,310 7.600% 11/25/19 242,822
335,260 6.500% 02/25/20 325,395
496,984 7.000% 07/25/20 490,043
261,742 6.500% 09/25/20 251,920
280,428 7.000% 09/25/20 276,551
290,633 8.500% 09/25/20 298,242
315,691 7.000% 10/25/20 311,232
126,990 7.000% 01/25/21 126,810
288,018 7.000% 01/25/21 282,053
359,990 6.500% 02/25/21 349,283
415,825 8.000% 02/25/21 419,936
590,256 7.000% 03/25/21 581,966
343,397 6.500% 06/25/21 330,903
351,631 8.500% 09/25/21 361,253
324,692 7.000% 06/25/22 317,836
113,207 9.500% 02/25/25 119,655
395,292 6.000% 01/01/29 362,238
800,058 6.000% 01/01/29 733,158
369,023 6.000% 06/01/29 337,963
1,147,451 6.500% 06/01/29 1,082,190
254,248 6.500% 07/01/29 239,787
997,733 6.500% 07/01/29 940,986
998,158 6.500% 07/01/29 941,140
727,292 6.000% 09/01/29 666,079
398,899 6.500% 09/01/29 376,113
748,776 7.500% 09/01/29 741,210
677,646 7.500% 10/01/29 670,799
515,590 7.500% 10/01/29 510,380
698,789 6.500% 10/01/29 659,045
239,491 6.500% 10/01/29 225,810
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-2-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (CONTINUED)
Government National Mortgage Association
(mortgage-backed securities)
$ 370,000 6.000% 01/01/15 $ 350,690
188,970 9.500% 12/15/17 201,571
830,000 6.000% 01/01/30 754,785
2,474,000 6.500% 01/01/30 2,321,701
380,000 7.500% 01/01/30 375,725
Sally Mae Floating Rate Note
678,533 5.090% 04/25/06 672,806
51,429 5.598% 04/25/07 51,176
------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 43,795,911
ASSET BACKED OBLIGATIONS 12.5%
Advantage Mortgage Loan Trust
400,000 7.350% 05/25/27 398,298
Amresco Residential Securities
350,000 6.405% 12/25/27 333,751
Autonation 99-A
60,000 6.540% 11/15/02 Series 1999-A 59,930
Capital Equipment Trust
100,629 6.280% 06/15/00 Series 1996-1 100,687
Chase Commingled Mortgage Security
508,000 7.370% 02/19/07 Series 1997- A2 506,989
Chevy Chase Home Loan
202,290 7.150% 05/15/15 Series 1996-1 202,249
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-3-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
ASSET BACKED OBLIGATIONS (CONTINUED)
Contimortgage Home Equity Loan
$ 250,000 7.280% 04/25/14 Series 1999-3 $ 245,619
300,000 6.630% 12/15/20 Series 1997-5 293,663
300,000 7.090% 04/15/28 Series 1997-2 297,026
250,000 7.120% 08/15/28 Series 1997-3A9 242,856
DLJ Commercial Mortgage Corporation
655,209 5.880% 11/12/31 618,809
Fairbanks Capital Mortgage
431,203 5.810% 05/25/28 431,285
Ford Motor Credit Company
180,000 7.700% 05/15/97 172,579
1,075,000 6.500% 08/15/02 1,075,349
30,000 5.800% 01/12/09 26,670
250,000 9.215% 09/15/21 287,699
Green Tree Financial Corporation
300,000 5.816% 07/15/03 299,642
86,845 6.900% 02/15/04 86,227
190,465 7.850% 07/15/04 190,108
375,000 6.130% 02/15/19 361,149
375,000 6.900% 04/15/27 373,592
375,000 6.760% 07/15/29 367,318
Household Automobile Revenue Trust
490,000 5.719% 05/17/02 488,518
Keystone Owner Trust
7,301 6.620% 11/25/08 Series 1998-P1 7,301
Nomura Asset Securities Corporation
200,000 7.120% 04/13/36 Series 1996-M 195,867
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-4-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
ASSET BACKED OBLIGATIONS (CONTINUED)
Residential Funding Mortgage Securities
$ 400,000 7.000% 12/25/07 $ 394,970
600,000 5.600% 06/25/07 597,519
Resolution Funding Corporation STRIP
1,800,000 6.758% 10/15/19 451,921
Standard Credit Card Trust Series 1993-2
65,000 8.250% 11/07/01 66,553
U.S. West Capital Funding
200,000 6.571% 06/15/00 199,959
-------
TOTAL ASSET BACKED OBLIGATIONS 9,374,103
CORPORATE OBLIGATIONS 27.8%
AEROSPACE & DEFENSE 0.2%
Lockheed Martin
150,000 8.500% 12/01/29 150,398
BANKS 5.0%
Banc One Corporation
325,000 7.600% 05/01/07 323,867
Bank of Boston
400,000 6.351% 11/16/03 400,252
Bankers Trust Company
1,000,000 8.125% 04/01/02 1,017,421
Dillards Incorporated
200,000 6.430% 08/01/04 188,157
Dryden Investor Trust
559,757 7.157% 07/23/08 528,063
J.P. Morgan
80,000 6.000% 01/15/09 71,654
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-5-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
BANKS (CONTINUED)
JPM Capital Trust
$ 50,000 7.950% 02/01/27 $ 46,299
Key Bank - Washington
400,000 7.125% 08/15/06 387,292
National Bank of Detroit
220,000 8.250% 11/01/24 226,287
NCNB Corporation
325,000 10.200% 07/15/15 388,245
Security Pacific Corporation
200,000 11.000% 03/01/01 208,956
-------
3,786,493
CHEMICAL 0.1%
Dow Chemical Company
60,000 7.375% 11/01/29 57,573
COMMUNICATION & MEDIA 1.0%
Continental Cablevision Incorporated
200,000 8.875% 09/15/05 212,998
200,000 9.000% 09/01/08 215,035
325,000 9.500% 08/01/13 355,284
Cox Communications Incorporated
40,000 7.875% 08/15/09 40,578
------
823,895
COMPUTER 0.4%
Electronic Data Systems
300,000 7.450% 10/15/29 291,735
DISTRIBUTION 0.5%
Federal Express
300,000 9.650% 06/15/12 334,800
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-6-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
ELECTRIC 0.5%
System Energy
$ 342,028 7.430% 01/15/11 $ 324,211
Union Pacific Corporation
100,000 6.625% 02/01/29 84,708
------
408,919
FINANCIAL 7.5%
Associates Corporation NA
350,000 7.625% 04/27/05 357,040
Auburn Hills Trust
280,000 12.000% 05/01/20 406,189
Chase Manhattan Bank
610,000 8.500% 02/15/02 628,190
CIT Group Incorporated
375,000 5.570% 12/08/03 353,388
Dean Witter Discover Senior Note
300,000 6.750% 10/15/13 273,831
Delta Home Equity Loan Trust
350,000 6.860% 10/25/28 343,012
General Motors Acceptance Corporation
800,000 0.000% 06/15/15 effective yield 6.15% 232,544
60,000 5.950% 03/14/03 57,917
Lehman Brothers Incorporated
375,000 11.625% 05/15/05 436,956
Merrill Lynch Company
163,135 6.310% 11/15/26 158,050
217,467 6.220% 02/15/30 210,702
375,000 6.875% 11/15/18 340,486
Paine Webber Incorporated
150,000 6.730% 01/20/04 144,964
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-7-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
FINANCIAL (CONTINUED)
RayTheon Company
$ 70,000 7.200% 08/15/27 $ 62,626
The Money Store Home Equity
350,000 6.900% 07/15/38 343,495
235,116 5.506% 10/15/26 234,943
600,000 5.446% 07/15/03 600,687
Zurich Capital Trust
500,000 8.376% 06/01/37 487,904
-------
5,672,924
FOOD & BEVERAGES 0.4%
J. Seagram & Sons
30,000 7.600% 12/15/28 28,346
80,000 6.800% 12/15/08 75,087
170,000 6.400% 12/15/03 163,886
-------
267,319
INDUSTRIAL 1.4%
Caterpillar Incorporated
1,000,000 9.750% 06/01/19 1,047,794
INSURANCE 0.3%
GEICO Corporation
125,000 9.150% 09/15/21 133,696
Royal & Sun Alliance Insurance
100,000 8.950% 10/15/29 101,487
-------
235,183
MANUFACTURING 0.4%
Pepsi Bottling
300,000 7.000% 03/01/29 271,586
OIL & GAS 0.6%
Petrozuata Financial Guarantee
280,000 8.220% 04/01/17 195,300
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-8-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
OIL & GAS (CONTINUED)
PSI Energy
$ 250,000 7.850% 10/15/07 $ 246,474
------------
441,774
PAPER 0.5%
Georgia Pacific Corporation
200,000 9.625% 03/15/22 209,949
75,000 9.875% 11/01/21 81,032
50,000 9.500% 05/15/22 52,934
------
343,915
PIPLINE 0.3%
Williams COS
200,000 7.625% 07/15/19 192,463
RAILROAD 0.8%
Conrail
40,000 7.875% 05/15/43 38,503
Louisville & Nashville Railroad
600,000 3.375% 04/01/03 527,383
-------
565,886
RETAIL STORES 0.9%
J.C. Penney Incorporated
250,000 9.750% 06/15/21 266,741
200,000 8.250% 08/15/22 178,460
Nordstrom Incorporated
300,000 5.625% 01/15/09 260,755
-------
705,956
TELECOMMUNICATION 1.3%
Lucent Technologies Incorporated
100,000 6.450% 03/15/29 87,363
SPRINT
130,000 6.900% 05/01/19 117,638
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-9-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
TELECOMMUNICATION (CONTINUED)
TCI Communications Incorporated
$ 500,000 7.875% 02/15/26 $ 502,906
70,000 6.375% 05/01/03 68,586
U.S. West Communications
225,000 8.875% 06/01/31 229,991
-------
1,006,484
UTILITIES 0.3%
Commonwealth Edison
250,000 9.875% 06/15/20 273,792
MISCELLANEOUS 1.6%
British Aerospace Financial
750,000 7.500% 07/01/27 711,557
News America Holdings
200,000 8.875% 04/26/23 211,946
300,000 7.625% 11/30/28 279,708
-------
1,203,211
INTERNATIONAL 3.8%
Dresdner Bank New York
250,000 7.250% 09/15/15 235,562
80,000 8.151% 06/30/31 75,600
Hydro-Quebec
800,000 11.750% 02/01/12 1,051,400
Korea Development Bank
95,000 7.125% 09/17/01 94,307
Korea Electric Power
95,000 7.750% 04/01/13 88,955
75,000 6.750% 08/01/27 71,270
Midland Bank
375,000 6.950% 03/15/11 347,007
National Bank Hungary
75,000 8.875% 11/01/13 78,681
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-10-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS (CONTINUED)
INTERNATIONAL (CONTINUED)
Pohang Iron & Steel
$ 65,000 7.125% 07/15/04 $ 62,422
Republic of Argentina
380,000 0.000% 10/15/01 319,200
Wharf Capital International
175,000 7.625% 03/13/07 163,477
YPF Sociedad Anomia
300,000 7.750% 08/27/07 287,650
-------
2,875,531
TOTAL CORPORATE OBLIGATIONS 20,957,631
PREFERRED OBLIGATIONS 0.4%
SB Treasury Company
280,000 9.400% 12/29/49 295,372
-------
TOTAL PREFERRED OBLIGATIONS 295,372
-------
TOTAL LONG-TERM OBLIGATIONS (COST $76,633,882) 74,423,017
<CAPTION>
AMORTIZED COST
--------------
<S> <C> <C> <C> <C>
SHORT-TERM OBLIGATIONS 4.1%
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 0.3%
Federal National Mortgage Association
(A) 200,000 5.478% 05/11/00 196,013
DEMAND NOTES * 3.8%
Firstar Bank Demand Note
2,050,798 6.240% 12/31/31 2,050,798
General Mills Demand Note
836,295 6.095% 12/31/31 836,295
Pitney Bowes Demand Note
16,247 6.095% 12/31/31 16,247
------
TOTAL DEMAND NOTES 2,903,340
TOTAL SHORT-TERM OBLIGATIONS
(AMORTIZED COST $3,099,353) 3,099,353
TOTAL INVESTMENTS
(COST BASIS $79,733,235) 77,522,370
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-11-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
NUMBER OF CONTRACTS MARKET VALUE
- ------------------- ------------
<S> <C> <C> <C>
OPTIONS-WRITTEN
Put Options OTC CMBS 8.5 Year
9 Exercise Price $100.00, Expiring February 2000 0
Call Options OTC CMBS 8.5 Year
9 Exercise Price $100.00, Expiring February 2000 12,830
Put Options Bond Futures
12 Exercise Price $90.00, Expiring March 2000 (2,031)
Call Options Bond Futures
12 Exercise Price $94.00, Expiring March 2000 (4,688)
Put Options Bond Futures
16 Exercise Price $88.00, Expiring June 2000 (1,313)
Call Options Bond Futures
9 Exercise Price $94.00, Expiring June 2000 (9,422)
Call Options Bond Futures
2 Exercise Price $98.00, Expiring June 2000 (656)
-----
TOTAL OPTIONS WRITTEN (PREMIUMS RECEIVED $36,227) (5,280)
TOTAL INVESTMENTS NET OF
OUTSTANDING WRITTEN OPTIONS 103.0% 77,517,090
CASH AND OTHER ASSETS, LESS
LIABILITIES -3.0% (2,301,673)
-----------
TOTAL NET ASSETS 100.0% 75,215,417
---------------
---------------
</TABLE>
* These security have a maturity of more than one year, but have variable rate
and demand features which qualify it as a short-term security. These rates
disclosed are those currently in effect. These rates change periodically based
on market conditions or a specified market index.
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-12-
<PAGE>
FULL MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
(A) $100,000 OF U.S. GOVERNMENT AGENCY SECURITIESS PLEDGED AS MARGIN FOR
FUTURES CONTRACTS THE PORTFOLIO HAD THE FOLLOWING OPEN FUTURES CONTRACTS
AT DECEMBER 31, 1999:
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF PRINCIPAL GAINS (LOSSES)
TYPE CONTRACTS AMOUNT POSITION EXPIRATION DECEMBER 31, 1999
---- ---------- ------- -------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
5 Year Treasury Notes 31 31,000 Short March 2000 $44,502
10 Year U.S. Treasury Notes 13 13,000 Long March 2000 (33,511)
Bond Futures 8 8,000 Short March 2000 13,292
------------
$24,283
------------
------------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THIS
SCHEDULE.
-13-
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS 97.8%
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 57.0%
United States Treasury Notes
$ 3,810,000 5.750% 10/31/00 $ 3,802,856
7,990,000 5.500% 12/31/00 7,945,056
1,420,000 5.250% 01/31/01 1,408,463
3,010,000 5.000% 04/30/01 2,966,731
1,430,000 6.250% 06/30/01 2,679,164
6,415,000 6.625% 06/30/01 6,455,094
5,535,000 6.375% 09/30/01 5,547,111
4,845,000 6.125% 12/31/01 4,835,916
1,170,000 6.250% 08/31/02 1,169,635
1,160,000 6.625% 03/31/02 1,168,338
Federal Home Loan Bank
1,060,000 4.875% 01/26/01 1,044,547
Federal National Mortgage Association
(mortgage-backed securities)
2,040,000 6.375% 01/16/02 2,032,591
1,465,000 5.375% 03/15/02 1,430,177
---------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 42,485,679
ASSET BACKED OBLIGATIONS 8.1%
Citibank Credit Card Trust
1,825,000 5.850% 04/10/03 1,803,693
Discovery Card Master Trust
1,550,000 5.750% 10/16/03 1,528,959
First USA Credit
1,930,000 6.420% 03/17/05 1,912,968
IBM Credit Corporation
830,000 6.640% 10/29/01 826,524
-------
TOTAL ASSET BACKED OBLIGATIONS 6,072,144
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-14-
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS 32.7%
BANKS 2.7%
Nations Bank
$ 1,000,000 5.750% 03/15/01 $ 986,468
Wells Fargo
1,050,000 6.500% 09/03/02 1,038,802
---------
2,025,270
COMPUTER & OFFICE EQUIPMENT 1.1%
International Business Machine Corporation
2,000,000 7.250% 11/01/02 831,411
CONSUMER 1.1%
Hertz Corporation
825,000 7.000% 05/01/02 821,528
ENTERTAINMENT 1.2%
Walt Disney Company
890,000 6.375% 03/30/01 887,630
FINANCIAL 20.6%
American Express Credit Corporation
650,000 6.125% 11/15/01 641,023
Associates Corporation
1,740,000 5.850% 01/15/01 1,723,875
CIT Group Holdings
2,500,000 6.000% 05/08/01 2,469,658
Commerical Credit Company
790,000 6.875% 05/01/02 785,981
1,010,000 8.250% 11/01/01 1,032,882
Ford Credit Grantor Trust
1,000,000 5.500% 02/15/03 Series 986,425
2,000,000 7.000% 09/25/01 2,003,126
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-15-
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C> <C>
LONG-TERM OBLIGATIONS (CONTINUED)
CORPORATE OBLIGATIONS
FINANCIAL (CONTINUED)
General Electric Capital Corporation
$ 1,250,000 5.920% 04/03/01 $ 1,239,659
1,450,000 6.330% 09/17/01 1,441,162
General Motors Acceptance Corporation Grantor Trust
1,600,000 5.800% 04/09/01 1,582,974
International Lease Financial Corporation
710,000 5.625% 05/01/02 689,607
Morgan Stanley
730,000 8.100% 06/24/02 746,040
-------
15,342,412
RETAIL STORES 2.7%
Dayton Hudson Corporation
1,000,000 6.800% 10/01/01 999,569
Wal-Mart Stores
1,000,000 9.100% 07/15/00 993,105
-------
1,992,674
TELECOMMUNICATION 1.7%
Lucent Technologies Incorporated
1,250,000 6.900% 07/15/01 1,255,121
MISCELLANEOUS 1.6%
Tyco International Group
1,200,000 6.125% 06/15/01 1,179,740
---------
TOTAL CORPORATE OBLIGATIONS 24,335,786
----------
TOTAL LONG-TERM OBLIGATIONS
(COST $ 73,634,106) 72,893,609
----------
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-16-
<PAGE>
LIMITED MATURITY FIXED INCOME PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
SHORT-TERM OBLIGATIONS 1.2%
COMMERCIAL PAPER
American Express
$ 920,000 2.500% 01/03/00 $ 919,872
(AMORTIZED COST $919,872)
TOTAL INVESTMENTS
(COST BASIS $74,553,978) 99.0% 73,813,483
CASH AND OTHER ASSETS, LESS
LIABILITIES 1.0% 783,849
-------
TOTAL NET ASSETS 100.0% $ 74,597,332
--------------
--------------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-17-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO
Portfolio of Investments
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES 95.6%
AEROSPACE & AIR TRANSPORTATION 1.1%
4,600 Delta Airlines $ 229,138
1,600 FDX Corporation 65,500
1,200 General Dynamics Corporation 63,300
6,600 Rockwell International Corporation 315,975
13,200 United Technologies Corporation 858,000
-------
1,531,913
APPLIANCE 0.1%
400 Whirlpool Corporation 26,025
AUTOMOTIVE 1.9%
5,200 Cummins Engine 251,225
5,871 Delphi Automotive Systems 92,468
6,200 Ford Motor Company 331,313
13,100 General Motors Corporation 952,206
39,200 Ryder System 957,950
-------
2,585,162
BANKS 4.7%
9,892 Bank of America Corporation 496,455
4,400 Bank of New York Corporation 176,000
300 BB&T Corporation 8,213
16,300 Chase Manhattan 1,266,305
32,350 Citigroup Incorporated 1,797,446
900 Golden West Financial 30,150
40,900 First Union Corporation 1,342,030
18,000 Firstar Corporation 380,250
16,311 Fleet Boston Financial Corporation 567,827
1,000 J.P. Morgan & Company Incorporated 126,625
1,300 PNC Financial Corporation 57,850
1,200 Wachovia Corporation 81,600
4,300 Wells Fargo Company 173,881
-------
6,504,632
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-18-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES (CONTINUED)
BUILDING & HOUSING 0.8%
5,800 Applied Materials Incorporated $ 734,787
8,100 Kaufman & Broad Home Corporation 195,918
5,000 Pulte Corporation 112,500
-------
1,043,205
BUSINESS MECHANICS & SOFTWARE 10.6%
10,500 America Online Incorporated 792,094
3,900 Apple Computers Incorporated 400,969
38,800 Borders Group 623,225
78,200 Compaq Computers Corporation 2,116,288
4,700 General Instruments Corporation 399,500
17,300 International Business Machines Corporation 1,868,400
45,850 Oracle Systems 5,138,066
18,800 Sun Microsystems* 1,455,825
15,000 Synopsys Incorporated 1,001,250
5,800 Xerox Corporation 131,588
1,500 YAHOO! Incorporated 649,031
-------
14,576,236
BUSINESS SERVICE 5.2%
3,000 Eastman Kodak 198,750
29,050 Equifax 684,491
500 H & R Block 21,875
56,700 First Data 2,796,019
49,500 Manpower Incorporated 1,862,438
63,000 Owens Illinois, Incorporated 1,578,938
---------
7,142,511
CHEMICALS 1.0%
7,200 Dow Chemical Company 962,100
2,800 Praxair Incorporated 140,875
9,900 Sherwin Williams 207,900
-------
1,310,875
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-19-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES (CONTINUED)
COMMUNICATION 2.6%
14,400 Comcast Corporation $ 728,100
58,700 Infinity Broadcasting 2,124,206
1,200 McGraw Hill Company Incorporated 73,950
1,000 Omnicom Group 100,000
6,600 Time Warner Incorporated 478,088
-------
3,504,344
CONGLOMERATE 0.3%
9,500 Tyco International Ltd. 369,313
CONSTRUCTION 0.6%
34,000 Masco Corporation 862,750
CONSUMER NON-DURABLES 0.4%
9,300 Tupperware Corporation 157,519
8,214 Unilever 447,150
-------
604,669
COMPUTER & OFFICE EQUIPMENT 11.5%
111,200 3 COM Corporation 5,226,400
600 Adaptec Incorporated 29,925
1,000 Analog Devices 93,000
14,200 Dell Computer Corporation 724,200
9,200 EMC Corporation 1,005,100
27,700 Microsoft Corporation 3,233,975
137,000 Novell 5,471,438
---------
15,784,038
CONTAINER
4,000 Ball Corporation 0.1% 157,500
COSMETIC & SOAP 0.2%
600 Int'l Flavors & Fragrance 22,650
2,900 Proctor & Gamble 317,731
-------
340,381
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-20-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES (CONTINUED)
ELECTRICAL EQUIPMENT 1.4%
12,300 General Electric Company $ 1,903,425
ELECTRIC 1.3%
2,400 Hewlett-Packard Company 273,450
15,200 Intel Corporation 1,251,150
2,400 Kla-Tencor Corporation 267,300
-------
1,791,900
ELECTRONICS 4.0%
800 Motorola Incorporated 117,800
6,200 National Semiconductor 265,438
15,400 Nortel Networks Corporation 1,555,400
22,540 Philips Electronics 3,042,900
1,500 Solectron Corporation 142,688
4,100 Texas Instruments 397,188
-------
5,521,414
ENTERTAINMENT & LEISURE 0.2%
9,700 Brunswick Corporation 215,825
FINANCIAL COMPANY & SERVICES 3.7%
2,100 American Express Company 349,125
10,300 Associates First Capital Corporation 282,605
5,459 Bear Stearns Companies Incorporated 233,377
11,400 Conseco Incorporated 203,775
4,600 Charles Schwab Corporation 176,525
29,900 Fannie Mae 1,866,881
10,700 Household International 398,575
4,600 MBNA Corporation 125,350
6,400 Merrill Lynch Company 534,400
6,470 Morgan Stanley Group Incorporated 923,593
700 T. Rowe Price Associates 25,856
------
5,120,062
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-21-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES (CONTINUED)
FOOD & BEVERAGES 1.4%
2,900 Anheuser-Busch Companies, Incorporated $ 205,538
4,400 Coca-Cola Company 256,300
12,500 Conagra Incorporated 282,031
2,600 Coors Adolph 136,500
3,700 Dardeen Resaurants 67,063
4,500 Fortune Brands Incorporated 148,781
1,800 General Mills 64,350
8,100 Great Atlantic & Pacific 225,788
13,000 Pepsico Incorporated 458,250
2,700 Safeway Incorporated 96,019
------
1,940,620
HEALTH CARE 9.9%
45,400 Abbott Labs Company 1,648,588
5,000 Allergan 248,750
55,400 American Home Products Corporation 2,184,838
2,900 Bard C.R. Incorporated 153,700
1,900 Bausch & Lomb Incorporated 130,031
25,000 Baxter International Incorporated 1,570,313
15,600 Bristol-Meyers/ Squibb 1,001,325
2,700 Guidant Corporation 126,900
4,100 Johnson & Johnson Company 381,813
1,100 Lilly Eli & Company 73,150
26,400 Mallincrokdt Incorporated 839,850
13,200 Merck & Company 885,225
28,000 Novo-Nordisk ADR 1,809,500
13,200 Pfizer Incorporated 428,175
12,600 Schering Plough Corporation 531,563
4,900 Warner-Lambert Company 401,494
34,100 Watson Pharmaceuticals Incorporated 1,221,206
---------
13,636,421
HEALTH CARE SERVICES 0.3%
11,500 Columbia/HCA Healthcare Corporation 337,094
900 United Healthcare Corporation 47,813
------
384,907
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-22-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES (CONTINUED)
INSURANCE 2.7%
3,700 Aflac Corporation $ 174,594
37,502 Allstate Corporation 900,048
1,600 American General Corporation 121,400
2,496 American International Group 269,880
1,000 CIGNA Corporation 80,563
1,100 Hartford Financial Services 52,113
650 Jefferson Pilot 44,363
5,400 Lincoln National Corporation 216,000
30,700 MBIA Corporation 1,621,344
3,300 Providian Financial Corporation 300,506
-------
3,780,811
METAL & MINERAL 0.8%
1,100 Alcoa Incorporated 91,300
675 De Beers Construction Mines ADR 19,532
4,500 Freeport McMoran Copper 95,063
23,500 Minerals Technologies, Incorporated 941,469
-------
1,147,364
PAPER & FOREST PRODUCTS 0.5%
5,800 Boise Cascade 234,900
5,700 Georgia Pacific Company 289,275
2,000 Temple Inland 131,875
-------
656,050
PETROLEUM 3.9%
700 Anadarko Petroleum Corporation 23,888
600 Apache Corporation 22,162
19,276 Exxon Mobil Corporation 1,552,923
1,400 Phillips Petroleum Company 65,800
15,900 Royal Dutch Petroleum ADR 960,956
20,600 Schlumberger 1,158,750
3,200 Texaco 173,800
34,988 Transocean Offshore, Incorporated 1,178,664
1,900 Occidental Petroleum 41,088
12,900 Union Pacific Resource Group 164,475
-------
5,342,506
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-23-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES (CONTINUED)
PRINTING & PUBLISHING 0.3%
26,500 Journal Register Company $ 409,094
RAILROADS 1.5%
77,900 Conoco Incorporated 1,937,763
2,900 Union Pacific Corporation 126,513
-------
2,064,276
RETAIL STORES 6.2%
48,300 Abercrombie & Fitch 1,289,006
5,700 Best Buy Incorporated 286,069
5,700 Circuit City Stores Incorporated 256,856
1,200 Costco Companies Incorporated 109,500
4,600 Dayton Hudson Corporation 337,813
5,700 Federated Department Stores 288,206
11,100 Home Depot 761,044
900 Kohls Department Stores 64,969
4,200 Lowes Companies 250,950
112,500 Office Depot 1,230,468
8,400 Sears Roebuck & Company 255,675
11,900 Supervalu Incorporated 238,000
4,100 Tandy Corporation 201,669
39,000 The Limited Incorporated 1,689,188
1,900 TJX Companies Incorporated 38,831
5,571 Too Inc 96,100
13,000 Toys "R" Us 186,063
13,600 Wal-Mart Stores Incorporated 940,100
-------
8,520,507
SERVICES 0.3%
1,900 Briggs & Stratton 101,888
900 Ingersoll Rand Company 49,556
9,900 Timken Comoany 202,331
-------
353,775
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-24-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES (CONTINUED)
TECHNOLOGY 4.9%
600 Adobe Systems Incorporated $ 40,350
800 Advanced Micro Devices 23,150
26,800 Amgen 1,609,675
15,500 Cisco Systems Incorporated 1,660,438
2,000 Compuware Corporation 74,500
11,000 Electronic Data Systems Corporation 736,313
68,000 J.D. Edwards 2,031,500
800 LSI Logic Corporation 54,000
1,400 Micron Technology Incorporated 108,850
800 Network Appliance Incorporated 66,450
6,100 Seagate Technology Incorporated 284,031
1,800 Xilinx Incorporated 81,844
------
6,771,101
TELECOMMUNICATION 1.7%
15,548 Lucent Technologies 1,163,185
1,900 Nextel Communications Incorporated 195,938
4,800 Qualcom Incorporated 845,400
400 Scientific -Atlanta Incorporated 22,250
2,200 Tellabs Incorporated 141,213
-------
2,367,986
TEXTILE & APPAREL 0.2%
6,900 Spring Industries 275,569
TRAVEL & RECREATION 0.1%
3,500 Carnival Corporation 167,344
UTILITIES-ELECTRIC & ENERGY 1.6%
1,500 Ameren Corporation 49,125
900 American Electric Power Company 28,913
1,500 Caroline Power & Light 45,656
4,700 DTE Energy Company 147,463
6,200 Edison International 162,363
5,100 Enron 226,313
6,700 Entergy Corporation 172,525
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-25-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES (CONTINUED)
UTILITIES-ELECTRIC & ENERGY (CONTINUED)
2,300 First Energy Corporation $ 52,181
1,400 General Public Utilities Corporation 41,913
6,300 PECO Energy Company 218,925
19,500 PG&E Corporation 399,750
4,000 Public Service Enterprises 139,250
9,800 Reliant Energy Incoporated 224,175
7,700 Texas Utilities Company 273,831
900 Unicom Corporation 30,150
------
2,212,533
UTILITIES-TELEPHONE 6.3%
70,100 American Telephone and Telegraph 3,557,575
8,900 Bell Atlantic Corporation 547,906
4,900 Bell South Corporation 229,381
5,600 GTE Corporation 395,150
13,200 MCI Worldcom Incorporated 700,425
3,500 Mediaone Group 268,844
42,715 SBC Communication, Incorporated 2,082,356
4,300 Sprint Corporation 289,444
2,400 Sprint PCS Group 246,000
4,000 US West Incorporated 288,000
-------
8,605,081
MISCELLANEOUS 1.3%
1,300 Corning Corporation 167,628
53,000 Elan Corporation 1,563,500
---------
1,731,128
TOTAL COMMON STOCK (COST $ 100,776,772) 131,263,228
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-26-
<PAGE>
DIVERSIFIED EQUITY PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
AMORTIZED COST
--------------
<S> <C> <C> <C>
SHORT-TERM OBLIGATIONS 4.3%
DEMAND NOTES** 4.3%
Firstar Bank Demand Note
$ 3,401,606 6.240% 12/31/31 $ 3,383,384
Warner Lambert Demand Note
2,512,305 6.044% 12/31/31 2,512,305
---------
(AMORTIZED COST $ 5,895,689) 5,895,689
---------
TOTAL INVESTMENTS
(COST BASIS $106,672,461) 99.9% 137,158,917
CASH AND OTHER ASSETS, LESS
LIABILITIES 0.1% 90,705
------
TOTAL NET ASSETS 100.0% $ 137,249,647
-------------------
-------------------
</TABLE>
* Non-income producing stocks.
** These security have a maturity of more than one year, but have variable rate
and demand features which qualify it as a ahort-term security. These rates
disclosed are those currently in effect. These rates change periodically based
on market conditions or a specified market index.
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-27-
<PAGE>
BALANCED PORTFOLIO
PORTFOLIO OF INVESTMENTS
DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
EQUITIES 71.6%
AEROSPACE & AIR TRANSPORTATION 0.4%
400 Delta Airlines $ 19,925
1,300 FDX Corporation 53,219
2,200 United Technologies Corporation 143,000
-------
216,144
APPLIANCE 0.1%
200 Network Appliance Incorporated 16,613
100 Whirlpool Corporation 6,506
-----
23,119
AUTOMOTIVE 1.3%
1,000 Cummins Engine 48,313
1,100 Ford Motor Company 58,781
2,400 General Motors Corporation 174,450
15,600 Ryder System 381,225
-------
662,769
BANKS 2.6%
1,200 Bank of America Corporation 60,225
2,500 Chase Manhattan 194,220
5,900 Citigroup Incorporated 327,820
16,700 First Union Corporation 547,969
3,100 Fleet Boston Financial Group, Incorporated 107,920
300 J.P. Morgan & Company Incorporated 37,989
1,600 PNC Financial Corporation 71,200
------
1,347,343
BUILDING & HOUSING 0.2%
600 Applied Materials Incorporated 76,012
500 Centex Corporation 12,345
1,100 Kaufman & Broad Home Corporation 26,606
------
114,963
BUSINESS MECHANICS & SOFTWARE 7.6%
1,600 America Online Incorporated 120,700
600 Apple Computers Incorporated 61,688
15,400 Borders Group 247,362
32,000 Compaq Computers Corporation 866,000
900 General Instruments Corporation 76,500
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-28-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
BUSINESS MECHANICS & SOFTWARE (CONTINUED)
2,600 International Business Machines Corporation $ 280,800
13,900 Oracle Systems 1,557,670
3,000 Sun Microsystems 232,312
6,200 Synopsys Incorporated 413,850
200 YAHOO! Incorporated 86,538
------
3,943,420
BUSINESS SERVICE 4.1%
11,650 Equifax 274,503
20,800 First Data 1,025,700
21,900 Manpower Incorporated 823,988
-------
2,124,191
CHEMICALS 0.4%
1,100 Dow Chemical Company 146,987
200 DuPont De Nemours & Company 13,175
800 Great Lakes Chemical 30,550
900 Praxair Incorporated 45,282
------
235,994
COMMUNICATION 2.3%
2,100 Comcast Corporation 106,181
23,600 Infinity Broadcasting 854,025
800 Interpublic Group Companies 46,150
300 Nextel Communications Incorporated 30,938
500 Omnicom Group 50,000
1,100 Time Warner Incorporated 79,681
900 Tribune Company 49,556
------
1,216,531
COMPUTER & OFFICE EQUIPMENT 9.8%
45,300 3 COM Corporation 2,129,100
200 Analog Devices 18,600
600 Computer Associates 41,962
2,400 Dell Computer Corporation 122,400
1,400 EMC Corporation Massachusetts 152,950
100 Ikon Office Solution 681
4,100 Microsoft Corporation 478,675
53,100 Novell 2,120,681
---------
5,065,049
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-29-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
CONGLOMERATE 0.1%
1,800 Tyco International Ltd. $ 69,975
CONSTRUCTION 0.7%
14,000 Masco Corporation 355,250
CONSUMER NON-DURABLES 0.1%
1,500 Tupperware Corporation 25,407
CONTAINER 1.3%
600 Ball Corporation 23,625
25,900 Owens Illinois, Incorporated 649,120
-------
672,745
COSMETIC & SOAP 0.1%
300 Avon Products Incorporated 9,900
ELECTRIC 0.7%
2,400 General Electric Company 371,400
100 Kla-Tencor Corporation 11,137
------
382,537
ELECTRONICS 3.9%
400 Hewlett-Packard Company 45,575
2,300 Intel Corporation 189,320
1,000 Motorola Incorporated 147,250
300 National Semiconductor 12,844
2,600 Nortel Networks Corporation 262,600
9,200 Philips Electronics 1,242,000
300 Solectron Corporation 28,537
1,100 Texas Instruments 106,564
-------
2,034,690
ENTERTAINMENT & LEISURE 0.2%
1,600 Brunswick Corporation 35,600
FINANCIAL COMPANY 1.0%
700 American Express Company 116,375
1,050 Bear Stearns Companies Incorporated 44,887
1,800 Household International 67,050
200 Lehman Brothers Holdings 16,938
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-30-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
FINANCIAL COMPANY (CONTINUED)
700 Merrill Lynch Company $ 58,450
1,100 Morgan Stanley Dean Witter 157,025
2,200 National City Corporation 52,113
200 Paine Webber 7,762
-----
520,600
FINANCIAL SERVICE 1.5%
3,700 Associates First Capital Corporation 101,520
11,400 Fannie Mae 711,788
-------
813,308
FOOD & BEVERAGES 0.7%
600 Anheuser-Busch Companies, Incorporated 42,525
100 Bestfoods 5,256
900 Coca-Cola Company 52,425
2,100 Conagra Incorporated 47,381
500 Coors Adolph 26,250
600 Dardeen Restaurants 10,875
1,500 Great Atlantic & Pacific 41,813
3,300 Pepsico Incorporated 116,325
-------
342,850
HEALTH CARE 9.0%
17,900 Abbott Labs Company 649,995
800 Allergan 39,800
19,000 American Home Products Corporation 749,313
800 Bard C.R. Incorporated 42,400
600 Bausch & Lomb Incorporated 41,064
11,100 Baxter International Incorporated 697,220
2,600 Bristol-Meyers/ Squibb 166,887
700 Johnson & Johnson Company 65,188
11,900 Mallincrokdt Incorporated 378,570
1,400 Merck & Company 93,888
11,500 Novo-Nordisk ADR 743,188
2,200 Pfizer Incorporated 71,362
1,000 Procter & Gamble 109,563
1,400 Schering Plough Corporation 59,063
800 Warner-Lambert Company 65,550
18,500 Watson Pharmaceuticals Incorporated 662,531
-------
4,635,582
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-31-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
HEALTH CARE SERVICES 0.1%
900 United Healthcare Corporation $ 47,813
INSURANCE 1.7%
1,500 Aflac Corporation 70,781
375 American International Group 40,547
200 CIGNA Corporation 16,113
900 Chubb Group 50,681
12,800 MBIA Corporation 676,000
200 Providian Financial Corporation 18,213
------
872,335
METAL & MINERAL 2.2%
400 Alcoa Incorporated 33,200
26,000 De Beers Construction Mines ADR 752,375
900 Freeport McMoran Copper 19,012
8,000 Minerals Technologies, Incorporated 320,500
-------
1,125,087
PAPER & FOREST PRODUCTS 0.2%
900 Boise Cascade 36,450
1,100 Georgia Pacific Company 55,825
300 WeyerhaeuserCompany 21,544
100 Willamette Industries 4,644
-----
118,463
PETROLEUM 2.8%
100 Apache Corporation 3,694
3,224 Exxon Corporation 259,733
400 Occidental Petroleum 8,650
200 Phillips Petroleum Company 9,400
2,300 Royal Dutch Petroleum ADR 139,006
8,300 Schlumberger 466,875
500 Texaco 27,156
15,307 Transocean Sedco Forex, Incorporated 515,651
-------
1,430,165
PRINTING & PUBLISHING 0.1%
3,600 Journal Register Company 55,575
RAILROADS 1.6%
31,900 Conoco Incorporated 793,513
300 Union Pacific Corporation 13,087
------
806,600
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-32-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
RETAIL STORES 4.6%
19,800 Abercrombie & Fitch $ 528,413
200 Best Buy Incorporated 10,038
900 Circuit City Stores Incorporated 40,556
500 Dayton Hudson Corporation 36,720
900 GAP Incorporated 41,400
1,100 Federated Department Stores 55,620
1,800 Home Depot 123,412
200 Kmart 2,013
400 Lowes Companies 23,900
210 Neiman-Marcus Group Incorporated 5,657
45,500 Office Depot 497,656
1,400 Sears Roebuck & Company 42,612
1,900 Supervalu Incorporated 38,000
700 Tandy Corporation 34,431
16,100 The Limited Incorporated 697,331
300 TJX Companies Incorporated 6,131
1 TOO Incorporated 17
2,200 Toys "R" Us Incorporated 31,488
1,900 Wal-Mart Stores Incorporated 131,338
-------
2,346,733
SERVICES 0.3%
600 Briggs & Stratton 32,175
100 General Dynamics Corporation 5,275
1,300 Rockwell International Corporation 62,237
1,900 Timken Company 38,831
------
138,518
TECHNOLOGY 3.1%
200 Adobe Systems, Incorporated 13,450
4,400 Amgen 264,275
400 Compuware Corporation 14,900
2,600 Cisco Systems Incorporated 278,525
1,800 Electronic Data Systems Corporation 120,488
28,000 J.D. Edwards 836,500
200 LSI Logic Corporation 13,500
200 Micron Technology Incorporated 15,550
200 Seagate Technology Incorporated 9,312
200 Xilinx Incorporated 9,095
-----
1,575,595
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-33-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
TELECOMMUNICATION 0.4%
2,000 Lucent Technologies $ 149,625
TEXTILE & APPAREL 0.1%
800 Spring Industries 31,950
TRAVEL & RECREATION 0.1%
500 Carnival Corporation 23,906
UTILITIES-ELECTRIC 0.1%
1,500 Texas Utilities Company 53,344
UTILITIES-ENERGY 0.4%
1,200 Coastal Corporation 42,525
1,300 Entergy Corporation 33,475
1,300 General Public Utilities Corporation 38,919
500 People's Energy Corporation 16,750
800 PG&E Corporation 16,400
1,600 Reliant Energy Incorporated 36,600
------
184,669
UTILITIES-TELEPHONE 4.2%
24,500 American Telephone and Telegraph 1,243,375
1,500 Bell Atlantic Corporation 92,344
1,700 Bell South Corporation 79,581
900 GTE Corporation 63,506
2,250 MCI Worldcom Incorporated 119,391
9,495 SBC Communication, Incorporated 462,881
700 Sprint Corporation 47,119
400 Sprint PCS Group 41,000
------
2,149,197
MISCELLANEOUS 1.7%
21,700 Elan Corporation 640,150
200 FMC Corporation 11,463
300 KeyCorp 6,637
800 Qualcom Incorporated 140,900
3,200 Southern Company 75,200
------
874,350
------
TOTAL COMMON STOCK
(COST $28,918,715) 36,831,892
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-34-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
TOTAL LONG-TERM OBLIGATIONS 30.4%
U.S. GOVERNMENT & AGENCY OBLIGATIONS 20.3%
United States Treasury Bonds
$ 40,000 6.000% 08/15/09 $ 38,763
230,000 8.000% 11/15/21 260,978
20,000 5.250% 11/15/28 16,488
530,000 5.250% 02/15/29 438,575
United States Treasury Inflation Index Bonds
832,856 3.625% 01/15/08 793,556
1,341,445 3.625% 04/15/28 1,199,337
314,690 3.875% 04/15/29 294,039
United States Treasury Notes
200,000 7.500% 02/15/05 208,688
10,000 6.125% 08/15/07 9,750
Federal Home Loan Mortgage Corporation
299,358 7.000% 08/01/29 289,940
99,748 7.000% 08/01/29 96,610
593,690 6.500% 06/01/29 560,295
Federal National Mortgage Association
(mortgage-backed securities)
146,845 9.000% 08/01/07 151,996
399,077 6.000% 03/01/29 365,488
98,149 6.000% 04/01/29 89,888
199,586 6.000% 06/01/29 182,787
1,134,396 6.500% 06/01/29 1,069,596
299,336 6.500% 06/01/29 282,311
198,001 7.000% 07/01/29 181,444
99,773 6.000% 08/01/29 91,375
299,511 7.500% 09/01/29 296,485
597,923 7.500% 10/01/29 591,882
Government National Mortgage Association
(mortgage-backed securities)
460,000 6.000% 01/01/15 435,993
658,926 6.500% 09/15/28 619,502
900,000 7.000% 01/01/30 869,067
395,000 6.500% 01/01/30 370,684
200,000 6.000% 01/01/30 183,876
57,289 10.000% 12/15/20 62,033
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-35-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
U.S. GOVERNMENT & AGENCY OBLIGATIONS (CONTINUED)
Student Loan Marketing Association
$ 351,603 5.090% 04/25/06 $ 348,636
22,041 5.598% 04/25/07 21,932
------
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS 10,421,994
Asset Backed Obligations 4.1%
Autonation 99-A
20,000 6.500% 11/15/02 19,977
Chase Commingled Mortgage Security
287,000 7.370% 02/19/07 286,429
Chevy Chase Home Loan
80,916 7.150% 05/15/15 Series 1996-1 80,900
Contimortgage Home Equity Loan
185,221 6.420% 04/25/14 184,272
DLJ Commercial Mortgage Corporation
280,804 5.880% 11/12/31 265,204
Fairbanks Capital Mortgage
172,481 5.810% 05/25/28 172,514
Ford Motor Company
180,000 7.700% 05/15/97 172,579
Green Tree Financial Corporation
100,000 5.816% 07/15/03 99,881
33,773 6.900% 02/15/04 33,533
70,342 7.850% 07/15/04 70,210
Keystone Owner Trust
4,227 6.620% 11/25/08 Series 1998-P1 4,227
Merrill Lynch Mortgage Investors
100,000 6.960% 11/21/28 Series 1996-C2 97,372
Nomura Asset Securities Corporation
70,000 7.120% 04/13/36 Series 1996-M 68,553
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-36-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
ASSET BACKED OBLIGATIONS (CONTINUED)
Residential Funding Mortgage
$ 200,000 5.600% 06/25/07 $ 199,173
Resolution Funding Corporate Strip
1,360,000 0.000% 10/15/19 effective yield 5.627% 341,451
-------
TOTAL ASSET BACKED OBLIGATIONS 2,096,275
CORPORATE OBLIGATIONS 5.7%
AEROSPACE & DEFENSE 0.1%
Lockheed & Martin
20,000 8.500% 12/01/29 20,053
BANKS 0.9%
Bank Boston
200,000 6.351% 11/16/03 200,126
Dryden Investor Trust
279,878 7.157% 07/23/08 264,032
-------
464,158
CHEMICALS 0.1%
Dow Chemical Company
20,000 7.375% 11/01/29 19,191
COMMUNICATION & MEDIA 0.2%
Continental Cablevision Incorporated
100,000 9.000% 09/01/08 107,518
Cox Communications Incorporated
20,000 7.875% 08/15/09 20,289
------
127,807
COMPUTER 0.2%
Electronic Data Systems
100,000 7.450 % 10/15/29 97,245
ELECTRIC 0.2%
System Energy
123,985 7.430% 01/15/11 117,527
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-37-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS (CONTINUED)
FINANCIAL 1.8%
General Electric Capital Corporation
$ 260,000 8.200% 10/30/03 $ 270,180
General Motors Acceptance Corporation
250,000 0.000% 06/15/15 effective yield 6.452% 72,670
JPM Capital Trust
20,000 7.950% 02/01/27 18,519
The Money Store Home Equity
164,581 5.506% 10/15/26 164,460
200,000 5.446% 07/15/03 200,229
Raytheon Company
40,000 7.200% 08/01/27 35,786
Zurich Capital Trust
150,000 8.376% 06/01/37 146,371
-------
908,215
FOOD & BEVERAGES 0.2%
J Seagram & Sons
10,000 7.600% 12/15/28 9,449
30,000 6.800% 12/15/08 28,157
80,000 6.400% 12/15/03 77,123
------
114,729
MANUFACTURING 0.2%
Pepsi Bottling Company
150,000 7.000% 03/01/29 135,793
OIL & GAS 0.2%
Petrozuata Financial Guarantee
120,000 8.220% 04/01/17 83,700
RAILROAD 0.1%
Conrail
20,000 7.875% 05/15/43 19,251
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-38-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
CORPORATE OBLIGATIONS (CONTINUED)
TELECOMMUNICATION 0.5%
Lucent Technologies Incorporated
$ 100,000 6.450% 03/15/29 $ 87,363
Sprint
50,000 6.900% 05/01/19 45,246
TCI Communications Incorporated
150,000 6.375% 05/01/03 146,971
-------
279,580
MISCELLANEOUS 0.3%
News America Holdings
100,000 8.875% 04/26/23 105,973
100,000 7.625% 11/30/28 93,236
------
199,209
INTERNATIONAL 0.7%
Dresdner Bank New York
40,000 8.151% 06/30/31 37,800
Republic of Argentina
160,000 0.000% 10/15/01 134,400
YPF Sociedad Anonima
200,000 7.750% 08/27/07 191,767
-------
363,967
----------
TOTAL CORPORATE OBLIGATIONS 2,950,425
----------
PREFERRED OBLIGATIONS 0.3%
SB Treasury Company
190,000 9.400% 12/29/49 197,039
----------
TOTAL PREFERRED OBLIGATIONS 197,039
----------
TOTAL LONG-TERM OBLIGATIONS
(COST $16,180,481) 15,665,733
----------
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-39-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<CAPTION>
MARKET VALUE
SHARES OR ------------
PRINCIPAL AMORTIZED COST
- --------- --------------
<S> <C> <C> <C>
SHORT-TERM OBLIGATIONS 0.9%
U.S. GOVERNMENT AND AGENCY OBLIGATIONS 0.2%
Federal Home Loan Mortgage Corporation
(A) 100,000 5.478% 05/11/00
TOTAL U.S. GOVERNMENT AND AGENCY OBLIGATIONS $ 98,007
DEMAND NOTES** 0.7%
General Mills Demand Note
10,895 6.095% 12/31/31 10,894
Pitney Bowes Demand Note
307,071 6.095% 12/31/31 307,071
Sara Lee Demand Note
2,538 6.090% 12/31/31 1,535
-----
TOTAL DEMAND NOTES 319,500
TOTAL SHORT-TERM OBLIGATIONS
(AMORTIZED COST $417,507) 417,507
-------
TOTAL INVESTMENTS
(COST BASIS $45,516,653) 52,915,131
----------
</TABLE>
** These security have a maturity of more than one year, but have variable rate
and demand features which qualify it as a short-term security. These rates
disclosed are those currently in effect. These rates change periodically based
on market conditions or a specified market index.
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-40-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET VALUE
- --------- ------------
<S> <C> <C> <C>
NUMBER OF CONTRACTS
OPTIONS-WRITTEN -0.1%
Call Options OTC CMBS 8.5 Year Index
5 Exercise Price $100.00, Expiring February 2000 7,128
Put Options OTC CMBS 8.5 Year Index
5 Exercise Price $100.00, Expiring February 2000 0
Put Options Bond Futures
1 Exercise Price $90.00, Expiring March 2000 (1,016)
Call Options Bond Futures
5 Exercise Price $94.00, Expiring March 2000 (1,953)
Call Options Bond Futures
1 Exercise Price $96.00, Expiring March 2000 (391)
Call Options Bond Futures
5 Exercise Price $94.00, Expiring June 2000 (5,234)
Call Options Bond Futures
1 Exercise Price $98.00, Expiring June 2000 (328)
-----
TOTAL OPTIONS WRITTEN
(PREMIUMS RECEIVED $13,153) (1,794)
-------
TOTAL INVESTMENTS NET OF
OUTSTANDING WRITTEN OPTIONS 102.8% 52,913,337
CASH AND OTHER ASSETS, LESS
LIABILITIES -2.8% (1,454,996)
-----------
TOTAL NET ASSETS 100.0% $ 51,458,341
---------------
---------------
</TABLE>
* Non-income producing stocks.
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-41-
<PAGE>
BALANCED PORTFOLIO (CONTINUED)
PORTFOLIO OF INVESTMENTS
(A) $100,000 OF U.S. GOVERNMENT AGENCY SECURITIES PLEDGED AS MARGIN FOR FUTURES
CONTRACTS THE PORTFOLIO HAD THE FOLLOWING OPEN FUTURES CONTRACTS AT
DECEMBER 31, 1999:
OPEN FUTURES CONTRACTS:
<TABLE>
<CAPTION>
UNREALIZED
NUMBER OF PRINCIPAL GAINS (LOSSES)
TYPE CONTRACTS AMOUNT POSITION EXPIRATION DECEMBER 31, 1999
---- --------- ------ -------- ---------- -----------------
<S> <C> <C> <C> <C> <C>
5 Year U.S. Treasury Notes 6 6,000 Short March 2000 $8,752
U.S. Govt Bond Futures 3 3,000 Long March 2000 (11,796)
----------
($3,044)
----------
----------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART
OF THIS SCHEDULE.
-42-
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENTS OF ASSETS AND LIABILITIES
AS OF DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------
ASSETS:
<S> <C> <C> <C> <C>
Investments, at market value $ 77,517,090 $ 73,813,483 $ 137,158,917 $ 52,913,337
Receivable for investments sold 0 0 0 290,744
Cash 949,261 1,945 0 0
Dividends and interest receivable 951,183 796,327 92,679 177,739
Other Assets 12,008 4,848 5,949 3,414
--------------- ---------------- ---------------- ---------------
Total Assets $ 79,429,542 $ 74,616,603 $ 137,257,545 $ 53,385,234
--------------- ---------------- ---------------- ---------------
--------------- ---------------- ---------------- ---------------
LIABILITIES:
Payable for investments purchased $ 4,186,913 $ 0 $ 0 $ 1,899,634
Options written and securities sold short
at market value 18,110 0 0 8,922
Accrued expenses and other liabilities 9,102 19,271 7,898 18,337
--------------- ---------------- ---------------- ---------------
Total Liabilities $ 4,214,125 $ 19,271 $ 7,898 $ 1,926,893
--------------- ---------------- ---------------- ---------------
NET ASSETS $ 75,215,417 $ 74,597,332 $ 137,249,647 $ 51,458,341
--------------- ---------------- ---------------- ---------------
--------------- ---------------- ---------------- ---------------
Net Assets consist of:
Capital Stock ($0.01 par value and
200 million shares authorized) and
Paid-in Capital $ 79,108,317 $ 77,999,012 $ 104,685,856 $ 44,067,352
Undistributed net investment income 0 0 75,058 745,192
Accumulated net realized gain (loss)
on investments sold (1,710,046) (2,661,185) 2,002,277 (752,025)
Net unrealized appreciation
(depreciation) of investments and (2,182,854) (740,495) 30,486,456 7,397,822
futures -------------- ---------------- ---------------- ---------------
TOTAL NET ASSETS $ 75,215,417 $ 74,597,332 $ 137,249,647 $ 51,458,341
--------------- ---------------- ---------------- ---------------
--------------- ---------------- ---------------- ---------------
Number of Shares Outstanding at
the end of period 7,828,338 7,374,359 6,376,005 4,041,288
--------------- ---------------- ---------------- ---------------
NET ASSET VALUE PER SHARE $ 9.61 $ 10.12 $ 21.53 $ 12.73
--------------- ---------------- ---------------- ---------------
--------------- ---------------- ---------------- ---------------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THESE
STATEMENTS.
- --------------------------------------------------------------------------------
43
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income $ 2,408,711 $ 2,464,499 $ 98,041 $ 548,096
Dividends 0 0 675,122 190,295
------------- ------------- ------------- -------------
Total investment income $ 2,408,711 $ 2,464,499 $ 773,163 $ 738,391
EXPENSES:
Custodian fees $ 8,936 $ 7,335 $ 9,191 $ 12,481
Accounting fees 26,059 19,566 19,094 21,879
Transfer agent fees 5,677 6,719 9,283 4,058
Legal fees 10,993 14,115 10,993 13,779
Audit and tax return fees 6,625 6,625 6,625 6,625
Director fees and expenses 2,264 2,264 2,264 2,264
Officers and directors insurance 3,601 4,848 5,949 3,039
Administrative and other fees 1,262 3,125 1,695 1,696
------------- ------------- ------------- -------------
Total Expenses $ 65,417 $ 64,597 $ 65,094 $ 65,821
NET INVESTMENT INCOME $ 2,343,294 $ 2,399,902 $ 708,069 $ 672,570
REALIZED AND UNREALIZED GAINS
(LOSSES) ON INVESTMENTS
Net realized gain (loss) on $ (757,202) $ (607,439) $ 4,583,906 $ 2,596,260
investments sold
Net realized gain (loss) on closed futures
and options contracts 66,463 0 0 10,909
Net change in unrealized appreciation
(depreciation) of investments, futures,
and options (1,181,941) (22,226) 4,784,121 (963,544)
-------------- -------------- ------------- --------------
NET GAIN (LOSS) ON INVESTMENTS $ (1,872,680) $ (629,665) $ 9,368,027 $ 1,643,625
-------------- -------------- ------------- -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 470,614 $ 1,770,237 $ 10,076,096 $ 2,316,195
------------- ------------- ------------- -------------
------------- ------------- ------------- -------------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THESE
STATEMENTS.
- --------------------------------------------------------------------------------
44
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
FULL MATURITY LIMITED MATURITY
FIXED INCOME PORTFOLIO FIXED INCOME PORTFOLIO
----------------------------------------- -----------------------------------------
YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED
JUNE 30, 1999 DECEMBER 31, 1999 JUNE 30, 1999 DECEMBER 31, 1999
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 4,472,963 $ 2,343,294 $ 5,421,520 $ 2,399,902
Net realized gain on
investments sold and closed
futures and options contracts 39,599 (690,739) 1,073,910 (607,439)
Net change in unrealized
appreciation (depreciation) of
investments, futures and (2,455,200) (1,181,941) (1,147,704) (22,226)
---------------- ----------------- ----------------- -----------------
options
Net increase in net assets
resulting from operations 2,057,362 470,614 5,347,726 1,770,237
--------------- ---------------- ---------------- ----------------
DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment
income (4,472,963) (2,343,294) (5,421,520) (2,399,902)
Capital gains distribution -- -- -- --
--------------- ---------------- ---------------- ----------------
Net decrease in net assets
resulting from distributions $ (4,472,963) $ (2,343,294) $ (5,421,520) $ (2,399,902)
SHARE TRANSACTIONS:
Subscriptions of fund shares 10,557,454 3,863,260 29,136,977 7,402,969
Investment income dividends
reinvested 4,466,909 2,340,316 5,341,148 2,346,035
Capital gains distributions
reinvested -- -- -- --
--------------- ---------------- ---------------- ----------------
Gross increase in fund shares 15,24,363 6,203,576 34,478,125 9,749,004
Redemptions of fund shares (11,017,877) (2,535,702) (59,446,215) (39,196,719)
---------------- ----------------- ----------------- -----------------
Net increase (decrease) from
share transactions 4,006,486 3,667,874 (24,968,090) (29,447,715)
--------------- ---------------- ----------------- -----------------
Net increase (decrease) in net
assets $ 1,590,885 $ 1,795,194 $ (25,041,884) $ (30,077,380)
TOTAL NET ASSETS
Beginning of Period 71,829,338 73,420,223 129,716,596 104,674,712
------------- ---------------- ---------------- ----------------
End of Period $ 73,420,223 $ 75,215,417 $ 104,674,712 $ 74,597,332
--------------- ---------------- ---------------- ----------------
--------------- ---------------- ---------------- ----------------
Undistributed net
investment income $ 0 $ 0 $ 0 $ 0
--------------- ---------------- ---------------- ----------------
--------------- ---------------- ---------------- ----------------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THESE
STATEMENTS.
- --------------------------------------------------------------------------------
45
<PAGE>
AHA INVESTMENT FUNDS, INC.
STATEMENT OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
DIVERSIFIED EQUITY PORTFOLIO BALANCED PORTFOLIO
---------------------------------------- ---------------------------------------------
YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED
JUNE 30, 1999 DECEMBER 31, 1999 JUNE 30, 1999 DECEMBER 31, 1999
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 1,571,477 $ 708,069 $ 1,531,097 $ 672,570
Net realized gain on
investments sold and closed
futures and options contracts 10,655,846 4,583,906 7,314,860 2,607,169
Net change in unrealized
appreciation (depreciation)
of investments, futures, and 8,583,529 4,784,121 (692,742) (963,544)
--------------- --------------- ---------------- ----------------
options
Net increase in net assets
resulting from operations 20,810,852 10,076,096 8,153,215 2,316,195
--------------- --------------- --------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment
income (1,584,051) (675,004) (1,542,516) (693,587)
Capital gains distribution (8,635,723) (12,462,482) (5,761,408) (8,444,132)
---------------- ---------------- ---------------- ----------------
Net decrease in net assets
resulting from distributions $ (10,219,774) $ (13,137,486) $ (7,303,924) $ (9,137,719)
SHARE TRANSACTIONS:
Subscriptions of fund shares 29,559,964 4,325,319 1,380,210 200,891
Investment income dividends
reinvested 1,584,051 675,004 1,278,332 693,587
Capital gains distributions
reinvested 8,635,723 12,462,482 5,761,408 8,444,132
--------------- --------------- --------------- ---------------
Gross increase in fund shares 39,779,738 17,462,805 8,419,950 9,338,610
Redemptions of fund shares (9,214,420) (4,043,920) (5,328,032) (14,359,649)
---------------- ---------------- ---------------- ----------------
Net increase (decrease) from
share transactions 30,565,318 13,418,885 3,091,918 (5,021,039)
--------------- --------------- --------------- ----------------
Net increase (decrease) in 41,156,396 10,357,495 3,941,209 (11,842,563)
net assets
TOTAL NET ASSETS
Beginning of Year 85,735,756 126,892,152 59,359,695 63,300,904
--------------- --------------- --------------- ---------------
End of Year $ 126,892,152 $ 137,249,647 $ 63,300,904 $ 51,458,341
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
Undistributed net investment
income $ 41,993 $ 75,058 $ 766,209 $ 745,192
--------------- --------------- --------------- ---------------
--------------- --------------- --------------- ---------------
</TABLE>
THE ACCOMPANYING NOTES TO THE FINANCIAL STATEMENTS ARE AN INTEGRAL PART OF THESE
STATEMENTS.
- --------------------------------------------------------------------------------
46
<PAGE>
AHA INVESTMENT FUNDS, INC.
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1999
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
NOTE 1.
SIGNIFICANT ACCOUNTING POLICIES
The following are the significant accounting policies of Full Maturity Fixed
Income, Limited Maturity Fixed Income, Diversified Equity and Balanced
Portfolios (the "Portfolios"), each a series of AHA Investment Funds, Inc., a
Maryland corporation, ("Fund").
SECURITY VALUATIONS
All securities are recorded at fair market value as of December 31, 1999.
Securities traded on national securities exchanges are valued at last reported
sales prices or, if there are no sales, at the latest bid quotation. Each
over-the-counter security for which the last sale price is available from NASDAQ
is valued at that price. All other over-the-counter securities for which
reliable quotations are available are valued at the latest bid quotation.
Securities convertible into equity securities are valued at the greater of
latest bid valuation or net conversion value. Other assets and securities are
valued by a method that the Board of Directors believes represents a fair value.
ACCOUNTING FOR FUTURES
The Fund may enter into long or short positions in futures contracts in order to
hedge against the effect of changing values on portfolio securities held. When
the Fund enters into a futures contract, it is required to deposit, into a
segregated account at its custodian bank, U.S. Government securities as
guarantee that it will meet the futures commitment. Each day the Fund receives
or pays cash, called "variation margin," equal to the daily change in the market
value of the futures contracts. Such receipts and payments are recorded as
unrealized gains or losses until the futures contracts expire or are closed out.
Risks of entering into futures contracts include the possibility that there may
be an illiquid market at the time the Portfolios seek to close out a contract
and changes in the value of the futures contract may not correlate with changes
in the value of the portfolio securities being hedged. The Full Maturity Fixed
Income and Balanced Portfolios had open futures contracts as of December 31,
1999.
ACCOUNTING FOR OPTIONS
The Fund may purchase and write (sell) put and call options on U.S. securities,
stock indices, and futures contracts that are traded on U.S. securities
exchanges and over-the-counter markets.
The risk associated with purchasing an option is that the Fund pays a premium
whether or not the option is exercised. Additionally, the Fund bears the risk of
loss of premium and change in market value should the counterparty not perform
under the contract. Put and call options purchased are accounted for in the same
manner as portfolio securities. The cost of securities acquired through the
exercise of call options is increased by premiums paid. The proceeds from
securities sold through the exercise of put options are decreased by the
premiums paid.
- --------------------------------------------------------------------------------
47
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
ACCOUNTING FOR OPTIONS (CONTINUED)
When the Fund writes an option, the premium received by the Fund is recorded as
a liability and is subsequently adjusted to the current market value of the
option written. Premiums received from writing options which expire unexercised
are recorded by the Fund on the expiration date as realized gains from option
transactions. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a call option is
exercised, the premium is added to the proceeds from the sale of the underlying
security or currency in determining whether the Fund has realized a gain or
loss. If a put option is exercised, the premium reduces the cost basis of the
security or currency purchased by the Fund. In writing an option, the Fund bears
the market risk of an unfavorable change in the price of the security or
currency underlying the written option. Exercise of an option written by the
Fund could result in the Fund selling or buying a security or currency at a
price different from the current market value. Transactions in options written
for the six months ended December 31, 1999 for the Fund were as follows:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
FULL MATURITY FIXED INCOME BALANCED
---------------------------------- --------------------------------
NUMBER OF PREMIUMS NUMBER OF PREMIUMS
CONTRACTS (000'S) CONTRACTS (000'S)
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Options Outstanding at Beginning 69 $ 50,701 33 $ 23,831
of Year
Options Written 181 $ 127,632 89 $ 62,920
Options Terminated in Closing (136) $ (101,402) (66) $ (48,664)
Purchase Transactions
Options Expired (79) (70,704) (38) (14,934)
--------- --------------- -------- ---------------
Options Outstanding at December 31, 1999 35 $ 36,227 18 $ 18,153
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
The Limited Maturity and Diversified Equity Portfolios did not purchase or hold
any options during the six months ended December 31, 1999.
- --------------------------------------------------------------------------------
48
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
INVESTMENT OPTIONS
FULL MATURITY FIXED INCOME PORTFOLIO
Seeks over the long term the highest level of income consistent with
preservation of capital. Invests primarily on high quality fixed income
securities. There is no restriction on the maximum maturity of the securities
purchased. The average dollar-weighted maturity will vary and may exceed 20
years.
LIMITED MATURITY FIXED INCOME PORTFOLIO
Seeks a high level of current income, consistent with preservation of capital
and liquidity. Invests primarily in high quality fixed income securities and
maintains an average dollar-weighted portfolio maturity of five years or less.
DIVERSIFIED EQUITY PORTFOLIO
Seeks long-term capital growth. Invests primarily in equity securities and
securities having equity characteristics.
BALANCED PORTFOLIO
Seeks a combination of growth of capital and income. Invests varying proportions
of its assets in equity and fixed income securities, with not less than 25
percent of total assets invested in fixed income securities.
REPURCHASE AGREEMENTS
The Fund may enter into repurchase agreements with respect to any of the types
of securities in which they are authorized to invest without regard to the
maturity of the underlying security. Repurchase agreements will be affected only
with banks, savings institutions and broker-dealers. They involve the purchase
by a Portfolio of a debt security with the condition that, after a stated period
of time, the original seller will buy back the same security at a predetermined
price or yield. Repurchase agreements are used to enhance liquidity and to earn
income for periods as short as overnight. To minimize risk, the securities
underlying each repurchase agreement will be maintained with the Fund's
custodian, or a subcustodian, in an amount at least equal in value to the
repurchase price under the agreement (including accrued interest thereunder),
and such agreements will only be affected with parties that meet certain
creditworthiness standards. However, in the event the other party to the
repurchase agreement fails to repurchase the securities subject to such
agreement, a Portfolio could suffer a loss to the extent it is precluded from
selling the securities or, if due to delays, proceeds from the same are less
than the repurchase price. The Fund had no outstanding repurchase agreements as
of December 31, 1999.
- --------------------------------------------------------------------------------
49
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
FEDERAL INCOME TAXES
No provision is made for Federal Income Taxes since the Portfolios elect to be
taxed as "regulated investment companies" and make such distributions to their
shareholders as to be relieved of all Federal income taxes under provisions of
current Federal tax law. At June 30, 1999, the Funds' most recent fiscal year
end, the approximate capital loss carryforwards for U.S. Federal income tax
purposes for the Full Maturity Fixed Income Portfolio and Limited Maturity Fixed
Income Portfolio were approximately $650,000 and $2.0 million respectively.
These capital loss carryforwards expire beginning in the year ending June 30,
2003, and are available to offset future capital gains.
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 increases and decreases in net assets from operations
during the reporting period. Actual results could differ from those estimates.
OTHER INFORMATION
The accounts of the Fund are kept on the accrual basis of accounting. Securities
transactions are recorded on the trade date. Realized gains or losses from sales
of securities are determined on the specific identification cost basis. Dividend
income is recognized on the ex-dividend date.
NOTE 2.
FUND DISTRIBUTIONS
The Full Maturity Fixed Income Portfolio and the Limited Maturity Fixed Income
Portfolio declare income dividends from net investment income daily and pay
these dividends monthly, on the last day of every month.
In the Diversified Equity Portfolio and Balanced Portfolio, dividends from net
investment income are declared on the thirteenth day of the last month of each
quarter; the ex-dividend date is the fourteenth; and payment is made on the
fifteenth. The aggregate distributions of net investment income for the
Diversified Equity Portfolio and Balanced Portfolio were $0.118 and $0.197 per
share, respectively, during the six months ended December 31, 1999.
During the six months ended December 31, 1999, the Diversified Equity and
Balanced Portfolios made a long-term capital gain distribution of $1.825 and
$2.039 per share, respectively.
During the six months ended December 31, 1999, the Diversified Equity and
Balanced Portfolios made a short-term capital gain distribution of $0.336 and
$0.475 per share, respectively.
- --------------------------------------------------------------------------------
50
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 3.
DIRECTORS' FEES AND TRANSACTIONS WITH AFFILIATES
Directors not affiliated with Hewitt Associates LLC ("Hewitt") or American
Hospital Association ("AHA") received $1,000 for each quarterly meeting and $500
for each special meeting of the Board of Directors, or committee thereof, (plus
travel expenses). No remuneration has been paid to any principal or employee of
the Fund's investment consultant, Hewitt, or any director or officer of AHA. The
investments of the Portfolios are managed by various advisory organizations,
which serve as the investment managers. The Fund pays no fees to Hewitt or to
the investment managers.
Hewitt is compensated for its services by the shareholders pursuant to The
Program Services Agreement it has with each shareholder, under which Hewitt
provides asset allocation consulting and certain other services. The Fees of the
investment managers are paid by Hewitt. The Program Service Fee is equal to .50%
for the Full Maturity and Limited Maturity Portfolios and 0.75% for the Balanced
and Diversified Equity Portfolios and is reflected in the total return as
disclosed in the financial highlights tables.
Hewitt has voluntarily undertaken to pay certain expenses of the Portfolios (or
to reimburse the Portfolios for certain expenses) as may be necessary to limit
total expenses of the Portfolios to specified amounts. American Hospital
Association Services, Inc. has, in this regard, agreed to reimburse Hewitt for
one-half of the amounts incurred by Hewitt pursuant to this undertaking. The
maximum expense as a percent of average net assets for the Full Maturity Fixed
Income Portfolio, the Limited Maturity Fixed Income Portfolio, the Diversified
Equity Portfolio, and the Balanced Portfolio is 0.50% (annual percentage). The
Portfolios have reached asset levels which allow the reduction of expenses to
percentage amounts below that set forth above. The Portfolios may reimburse
Hewitt for the expenses of the Portfolios it voluntarily has absorbed on or
after September 1, 1989, provided that such reimbursement does not cause the
percentage expense limitations set forth above to be exceeded and is approved by
the Board of Directors of the Fund. There is no commitment, however, by the Fund
to make any such reimbursement. As of June 30, 1999, approximate expenses paid
on behalf of or reimbursed to the Portfolio by Hewitt since September 1, 1989,
were: $101,400 for the Full Maturity Fixed Income Portfolio; $41,000 for the
Limited Maturity Fixed Income Portfolio; $116,000 for the Diversified Equity
Portfolio; and $10,900 for the Balanced Portfolio.
NOTE 4.
SHORT-TERM DEBT
To facilitate portfolio liquidity, each Portfolio is authorized to borrow
against portfolio securities. During the six months ended December 31, 1999,
there were no borrowings.
- --------------------------------------------------------------------------------
51
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 5.
INVESTMENT TRANSACTIONS
The aggregate cost of purchases and proceeds from sales of securities (exclusive
of short-term obligations) for the six months ended December 31, 1999 is
presented below:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
- -----------------------------------------------------------------------
PORTFOLIO PURCHASES SALES
- -----------------------------------------------------------------------
<S> <C> <C>
Full Maturity Fixed Income 89,911,326 86,442,912
Limited Maturity Fixed Income 67,013,844 96,114,824
Diversified Equity 37,089,044 38,169,669
Balanced 47,649,342 56,412,773
- -----------------------------------------------------------------------
</TABLE>
At December 31, 1999 gross unrealized appreciation and depreciation of
investments and futures on a tax basis and the cost of investments for financial
reporting purposes and for Federal income tax purposes were as follows:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------
COST OF INVESTMENTS
--------------------------------------
FINANCIAL FEDERAL
PORTFOLIO APPRECIATION DEPRECIATION REPORTING INCOME TAX
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Full Maturity Fixed Income 121,714 2,304,568 79,733,235 79,733,235
Limited Maturity Fixed Income 342 740,837 74,553,978 74,553,978
Diversified Equity 35,735,277 5,248,821 106,672,461 106,672,461
Balanced 9,174,001 1,776,179 45,516,653 45,516,653
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
52
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 6.
TRANSACTIONS IN CAPITAL STOCK SHARES
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
FOR THE SIX MONTHS ENDED DECEMBER 31, 1999
---------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transactions in capital stock shares
were as follows:
Subscriptions of fund shares 392,863 728,628 200,030 13,828
Investment income dividends
reinvested 243,312 233,069 31,172 48,382
Capital Gains Distribution reinvested 0 0 602,343 684,844
------------ ------------ ----------- ----------
Gross increase in fund shares 636,175 961,697 833,545 747,054
Redemptions of fund shares (260,296) (3,854,334) (186,910) (1,015,006)
------------- ------------- ------------ -----------
Net increase (decrease) in fund shares 375,879 (2,892,637) 646,635 (267,952)
Beginning of Year 7,452,459 10,266,996 5,729,370 4,309,240
------------ ------------ ----------- ----------
End of Period 7,828,338 7,374,359 6,376,005 4,041,288
------------ ------------ ----------- ----------
------------ ------------ ----------- ----------
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
FOR THE YEAR ENDED JUNE 30, 1999
---------------------------------------------------------------------------
FULL LIMITED
MATURITY MATURITY DIVERSIFIED
FIXED INCOME FIXED INCOME EQUITY BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Transactions in capital stock shares
were as follows:
Subscriptions of fund shares 1,035,517 2,837,605 1,444,628 104,870
Investment income dividends
reinvested 438,828 519,500 79,595 92,172
Capital Gains Distribution reinvested 0 0 450,011 436,139
--------------- ---------------- -------------- -------------
Gross increase in fund shares 1,474,345 3,357,105 1,974,234 633,181
Redemptions of fund shares (1,079,427) (5,777,512) (453,783) (385,827)
--------------- ---------------- -------------- -------------
Net increase (decrease) in fund shares 394,918 (2,420,407) 1,520,451 247,354
Beginning of Year 7,057,541 12,687,403 4,208,919 4,061,886
--------------- ---------------- -------------- -------------
End of Year 7,452,459 10,266,996 5,729,370 4,309,240
--------------- ---------------- -------------- -------------
--------------- ---------------- -------------- -------------
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
FULL MATURITY FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30
------------------------------------------------------
6 MONTHS ENDED
1996 1997 1998 1999 DECEMBER 31, 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $9.88 $9.63 $9.79 $10.18 $9.85
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.65 0.65 0.64 0.60 0.31
Net realized and unrealized gain (loss)
on investments and futures (0.25) 0.16 0.39 (0.33) (0.24)
-----------------------------------------------------------------------------
Total from Investment Operations 0.40 0.81 1.02 0.27 0.07
LESS DISTRIBUTIONS:
Net investment income (0.65) (0.65) (0.64) (0.60) (0.31)
Net realized capital gains (0.00) (0.00) (0.00) (0.00) (0.00)
-----------------------------------------------------------------------------
Total Distributions (0.65) (0.65) (0.64) (0.60) (0.31)
-----------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $9.63 $9.79 $10.18 $9.85 $9.61
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
TOTAL RETURN ON NET ASSET VALUE (A) 3.58% 8.09% 10.20% 2.11% 0.44%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $53,292 $50,796 $71,829 $73,420 $75,215
Ratio of Expenses to Average Net Assets (B) 0.21% 0.21% 0.17% 0.16% 0.17%
Ratio of Net Investment Income to
Average Net Assets (B) 6.52% 6.63% 6.19% 5.90% 6.02%
Portfolio turnover rate 283.13% 304.93% 178.52% 273.61% 118.66%
</TABLE>
- ---------------------------------------------------
(A) Total Return on Net Asset Value is net of the management fee of 0.50% per
annum.
(B) Ratios include all management fees and expenses except for the program
services fee.
- --------------------------------------------------------------------------------
54
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
LIMITED MATURITY FIXED INCOME PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30
------------------------------------------------------
6 MONTHS ENDED
1996 1997 1998 1999 DECEMBER 31, 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $10.22 $10.12 $10.16 $10.22 $10.20
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.62 0.61 0.60 0.53 0.28
Net realized and unrealized gain (loss)
on investments and futures (0.10) 0.04 0.06 (0.02) (0.08)
-----------------------------------------------------------------------------
Total from Investment Operations 0.52 0.65 0.66 0.51 0.20
LESS DISTRIBUTIONS:
Net investment income (0.62) (0.61) (0.61) (0.53) (0.28)
Net realized capital gains (0.00) (0.00) (0.00) (0.00) (0.00)
-----------------------------------------------------------------------------
Total Distributions (0.62) (0.61) (0.61) (0.53) (0.28)
-----------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $10.12 $10.16 $10.22 $10.20 $10.12
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
TOTAL RETURN ON NET ASSET VALUE (A) 4.66% 6.03% 6.11% 4.59% 1.67%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $201,196 $141,023 $129,717 $104,675 $74,597
Ratio of Expenses to Average Net Assets (B) 0.10% 0.12% 0.12% 0.12% 0.15%
Ratio of Net Investment Income to
Average Net Assets (B) 6.03% 6.04% 5.92% 5.30% 5.65%
Portfolio turnover rate 132.75% 121.70% 144.97% 176.78% 76.66%
</TABLE>
- ---------------------------------------------------
(A) Total Return on Net Asset Value is net of the management fee of 0.50% per
annum.
(B) Ratios include all management fees and expenses except for the program
services fee.
- --------------------------------------------------------------------------------
55
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
DIVERSIFIED EQUITY PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30
------------------------------------------------------
6 MONTHS ENDED
1996 1997 1998 1999 DECEMBER 31, 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $14.76 $17.59 $20.72 $20.37 $22.15
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.35 0.34 0.32 0.29 0.12
Net realized and unrealized gain (loss)
on investments and futures 3.57 5.18 4.14 3.42 1.54
-----------------------------------------------------------------------------
Total from Investment Operations 3.92 5.52 4.46 3.71 1.66
LESS DISTRIBUTIONS:
Net investment income (0.35) (0.34) (0.32) (0.29) (0.12)
Net realized capital gains (0.74) (2.05) (4.49) (1.64) (2.16)
-----------------------------------------------------------------------------
Total Distributions (1.09) (2.39) (4.81) (1.93) (2.28)
-----------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $17.59 $20.72 $20.37 $22.15 $21.53
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
TOTAL RETURN ON NET ASSET VALUE (A) 26.42% 32.97% 24.05% 18.90% 7.52%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $54,435 $70,590 $85.736 $126,892 $137,250
Ratio of Expenses to Average Net
Assets (B) 0.18% 0.17% 0.14% 0.10% 0.10%
Ratio of Net Investment Income to
Average Net Assets (B) 2.09% 1.83% 1.51% 1.43% 1.13%
Portfolio turnover rate 57.76% 67.31% 65.82% 74.35% 30.61%
</TABLE>
- ---------------------------------------------------
(A) Total Return on Net Asset Value is net of the management fee of 0.75% per
annum.
(B) Ratios include all management fees and expenses except for the program
services fee.
- --------------------------------------------------------------------------------
56
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 7:
FINANCIAL HIGHLIGHTS
FOR A FUND SHARE OUTSTANDING THROUGHOUT EACH PERIOD:
BALANCED PORTFOLIO
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
PERIOD ENDED JUNE 30
------------------------------------------------------
6 MONTHS ENDED
1996 1997 1998 1999 DECEMBER 31, 1999
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $12.63 $13.38 $14.86 $14.61 $14.69
INCOME FROM INVESTMENT OPERATIONS
Net investment income 0.41 0.37 0.41 0.36 0.20
Net realized and unrealized gain (loss)
on investments and futures 1.98 2.65 2.01 1.45 0.55
-----------------------------------------------------------------------------
Total from Investment Operations 2.39 3.02 2.42 1.81 0.75
LESS DISTRIBUTIONS:
Net investment income (0.41) (0.39) (0.44) (0.36) (0..20)
Net realized capital gains (1.23) (1.15) (2.23) (1.37) (2.51)
-----------------------------------------------------------------------------
Total Distributions (1.64) (1.54) (2.67) (1.73) (2.71)
-----------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD $13.38 $14.86 $14.61 $14.69 $12.73
-----------------------------------------------------------------------------
-----------------------------------------------------------------------------
TOTAL RETURN ON NET ASSET VALUE (A) 19.20% 23.23% 16.79% 13.10% 5.37%
RATIOS/SUPPLEMENTAL DATA:
Net Assets, End of Period (in thousands) $43,130 $52,137 $59,360 $63,301 $51,458
Ratio of Expenses to Average Net
Assets (B) 0.23% 0.23% 0.18% 0.18% 0.24%
Ratio of Net Investment Income to
Average Net Assets (B) 3.08% 2.81% 2.86% 2.55% 2.47%
Portfolio turnover rate 146.69% 173.60% 169.04% 206.43% 89.71%
</TABLE>
- ---------------------------------------------------
(A) Total Return on Net Asset Value is net of the management fee of 0.75% per
annum.
(B) Ratios include all management fees and expenses except for the program
services fee.
- --------------------------------------------------------------------------------
|
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