[GRAPHIC]
Semi-Annual Report
September 30, 1999
Galaxy II Funds
Galaxy II Large Company Index Fund
Galaxy II Small Company Index Fund
Galaxy II Utility Index Fund
Galaxy II U.S. Treasury Index Fund
Galaxy II Municipal Bond Fund
Galaxy Funds
[LOGO] Galaxy
Funds
<PAGE>
Market Overview
"After cutting short-term rates by 75 basis points (0.75%) during the fall of
1998, the Fed imposed rate hikes of 25 basis points (0.25%) each on both June
30, 1999 and August 24, 1999. The Fed then indicated it might have to raise
rates before the end of 1999, if economic growth remained strong enough to
threaten higher inflation."
Market Overview
By Fleet Investment Advisors Inc.
Stock prices remained volatile in the six months ended September 30, 1999
and bond prices fell, as interest rates rose and investors became more concerned
about inflation and future economic growth. Although inflation remained
relatively low, economic growth was stronger than many analysts had expected.
This raised fears that the Federal Reserve (the "Fed") would have to boost
interest rates to keep inflation under control. After cutting short-term rates
by 75 basis points (0.75%) during the fall of 1998, the Fed imposed rate hikes
of 25 basis points (0.25%) each on both June 30, 1999 and August 24, 1999. The
Fed then indicated it might have to raise rates before the end of 1999, if
economic growth remained strong enough to threaten higher inflation.
Meanwhile, the further recovery of economies overseas and a record imbalance
in U.S. trade caused the U.S. dollar to weaken against the Japanese yen and
other foreign currencies. Besides raising concerns that higher import costs
would mean further fuel for inflation, the weaker dollar caused worry that
foreign investors would leave U.S. securities markets for better opportunities
abroad.
During the six-month reporting period, the Standard & Poor's(R) 500
Composite Stock Price Index (the "S&P(R) 500 Index"), a benchmark for
large-company stocks, had a total return of 0.37%, and the Standard & Poor's(R)
Small Cap 600 Stock Price Index (the "S&P(R) 600 Index"), a benchmark for
small-company stocks had a total return of 9.83%. Over the same time, the U.S.
Treasury component of the Salomon Smith Barney Broad Investment Grade Bond Index
(the "Salomon Smith Barney U.S. Treasury Index") returned -0.21%, and the Lehman
Brothers Quality Intermediate Bond Index, a benchmark for municipal bonds, had a
total return of -0.59%.
Growth Still Surprisingly Strong
For the second quarter of 1999, when the reporting period began, the Gross
Domestic Product ("GDP") that measures the output of U.S. goods and services
improved at an annualized rate of 1.8%, versus 4.3% in the first quarter.
However, a robust recovery in economies overseas, among other signs, indicated
that U.S. economic growth remained surprisingly strong.
In a distinct change in sentiment during the second quarter, stock investors
broadened their interests beyond the large-company shares that had led the
market's advance for many months and began to buy issues of small- and mid-sized
companies as well as "value-oriented" securities. With brighter prospects for
corporate earnings, investors also favored stocks in "cyclical" sectors that
have greater sensitivity to economic growth. This trend did not continue into
the third quarter, however, as selected large-cap growth stocks rallied.
As bond investors worried that continued economic strength would keep upward
pressure on inflation and interest rates, the yield on the 30-year Treasury bond
rose from 5.63% at the end of the first quarter to 5.96% at the end of the
second quarter. The shrinking of Treasury supplies due to a federal budget
surplus, at a time when supplies of corporate bonds remained ample, helped
Treasuries outperform corporates for the quarter. Municipal bonds underperformed
late in the second quarter, as institutional investors traded tax-exempt issues
for taxable securities.
The two hikes in short-term interest rates, along with greater weakness in
the dollar, hit stocks hard in the third quarter of 1999. Many indicators
pointed to a pickup in domestic growth that, combined with the weaker dollar,
suggested further rate hikes by the end of the year that could eventually slow
growth and reduce corporate earnings. This drove most stock investors back to
the greater earnings reliability of larger companies, with particular emphasis
on technology and energy shares.
1
<PAGE>
"After averaging growth rates of 3.9% and 3.8% in 1998 and 1999, respectively,
we expect the GDP to improve by 2.5% next year. If that's the case, inflation
should remain under control, interest rates should retrace their recent rise,
and bond prices should strengthen."
Bond prices moved lower in the third quarter, pushing the yield for 30-year
Treasury bonds to a high of 6.28% in August. As fears of further rate hikes
eased somewhat in September, and many stock investors fled to bonds, the yield
for long-term Treasuries retreated to 6.05% by the end of the reporting period.
Concern about future earnings, combined with a continued reduction in Treasury
supplies, helped Treasuries continue to outperform corporate bonds.
Third-quarter results for municipal bonds were mixed, with short-term municipals
outperforming Treasuries of comparable maturities and long-term municipals
underperforming long-term Treasuries.
Signs of Slower Growth Ahead
Stock and bond prices are likely to remain volatile in coming months. With
year-end profit taking and concerns about potential Year 2000 ("Y2K") computer
problems, stock prices could even experience a further correction. Meanwhile, a
tight labor supply and reduced gains in productivity could keep upward pressure
on wages and inflation and force the Fed to raise interest rates again.
There are now many signs, however, that previous rate hikes are already
creating an environment for slower growth. After averaging growth rates of 3.9%
and 3.8% in 1998 and 1999, respectively, we expect the GDP to improve by 2.5%
next year. If that's the case, inflation should remain under control, interest
rates should retrace their recent rise, and bond prices should strengthen. In
this way, a slowdown in growth could lay the foundation for a rebound in stock
prices next year, particularly among the many stocks whose valuations have
become more attractive.
Average Annual Total Returns
<TABLE>
<CAPTION>
As of September 30, 1999 6 Months 1 Year 3 Years 5 Years Life of Fund
- ------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Large Company Index Fund
(Inception date 10/1/90) 0.11%* 27.34% 24.59% 24.55% 19.44%
- ------------------------------------------------------------------------------------------------
Small Company Index Fund
(Inception date 10/1/90) 8.80%* 16.24% 8.42% 13.31% 15.39%
- ------------------------------------------------------------------------------------------------
Utility Index Fund
(Inception date 1/5/93) 5.93%* -1.43% 15.67% 14.48% 11.48%
- ------------------------------------------------------------------------------------------------
U.S. Treasury Index Fund
(Inception date 6/4/91) -0.44%* -2.19% 6.45% 7.26% 7.19%
- ------------------------------------------------------------------------------------------------
Municipal Bond Fund
(Inception date 4/15/93) -1.73%* -0.38% 4.62% 5.51% 4.87%
- ------------------------------------------------------------------------------------------------
</TABLE>
* Unannualized total returns.
The performance data quoted represents past performance and is no guarantee of
future results. The investment return and principal value of an investment will
fluctuate so that an investor's shares, when redeemed, may be worth more or less
than their original cost.
2
<PAGE>
Portfolio Reviews
[PHOTO]
G. Jay Evans became manager of the Galaxy Fund II Large Company Index Fund, the
Galaxy Fund II Small Company Index Fund and the Galaxy Fund II Utility Index
Fund in July 1998. He previously had managed these Funds from July 1994 until
March of 1996 and has managed the Equity Value Fund of The Galaxy Fund since
April 1992.
GALAXY FUND II
LARGE COMPANY INDEX FUND
By G. Jay Evans
Portfolio Manager
The Galaxy Fund II Large Company Index Fund seeks to match, before the
deduction of operating expenses, the price and yield performance of
large-capitalization stocks as represented by the S&P(R) 500 Index. By investing
in publicly traded U.S. stocks according to their representation in the S&P(R)
500 Index, the Fund is also structured to deliver the same volatility and risk
as the Index.
For the six months ended September 30, 1999, the S&P(R) 500 Index had a
total return of 0.37%, and the Galaxy Fund II Large Company Index Fund had a
total return of 0.11% (after the deduction of operating expenses.) The Fund's
6-month performance represents a correlation coefficient of 99.996%. The
correlation coefficient measures the degree to which the Fund's performance
moves in line with its target index.
Changing Outlook Shifts Market Leadership
Large-capitalization stocks offer greater liquidity and, often, market
dominance that investors prize during periods of competitive pricing and slower
demand. Many of these stocks are global competitors sensitive to foreign
investment, currency swings, and economic developments overseas. Generally,
these and other characteristics earn large-cap stocks higher valuations. During
periods of rising confidence and earnings acceleration, however, they may lose
leadership to companies with smaller-capitalizations as investors seek higher
returns in the broader market.
These trends were repeated in the recent six-month reporting period. During
the first four months of the period, when signs of economic recovery overseas
and strong consumer spending at home brightened the earnings prospects for U.S.
companies, many investors moved into shares of small- and medium-sized companies
to take advantage of the more attractive valuations in those sectors. Later in
the period, as concerns about higher interest rates and inflation clouded the
earnings outlook, investors turned to the global leaders in technology and
chased large-cap energy issues higher. Even with this change in sentiment,
large-cap shares underperformed small-cap issues over the six month reporting
period.
Large-Cap Sector Should Lead in Near Term
While significant valuation disparities remain between large- and small-cap
stocks, there is little other evidence that would support a broadening of
investor interest in the near future. If a slowing in both the demand for credit
and the issuance of new government debt securities helps interest rates retrace
their recent rise, however, there could be a cooling-off period that would set
the stage for stronger earnings growth and a movement to smaller-cap issues.
Galaxy Fund II Large Company Index Fund
Distribution of Total Net Assets as of September 30, 1999
[The following table was represented as a pie chart in the printed material.]
U.S. Government Obligations,
Repurchase Agreement and
Net Other Assets and Liabilities ........... 1%
Other Common Stocks ........................ 1%
Utilities .................................. 9%
Basic Materials ............................ 4%
Technology ................................. 26%
Capital Goods .............................. 7%
Consumer Staples ........................... 19%
Finance .................................... 14%
Energy ..................................... 7%
Consumer Cyclical .......................... 12%
Galaxy Fund II Large Company Index Fund
Growth of $10,000 investment*
[The following table was represented as a mountain graph
in the printed material.]
10/1/90 9/30/99
------- -------
Galaxy Fund II Large Company Index Fund .... $10,000 $49,448
S&P(R) 500 Index ........................... $10,000 $52,388
*Since inception on 10/1/90. The S&P(R) 500 Index is an unmanaged index which
does not reflect management fees and other expenses. An investor cannot invest
in the Index.
3
<PAGE>
Portfolio Reviews
GALAXY FUND II
SMALL COMPANY INDEX FUND
By G. Jay Evans
Portfolio Manager
The Galaxy Fund II Small Company Index Fund seeks to match, before the
deduction of operating expenses, the price and yield performance of
smaller-capitalization stocks as represented by the S&P(R) 600 Index. The S&P(R)
600 Index is an unmanaged index of small-company stocks. By investing in
smaller-capitalization stocks according to their representation in the S&P(R)
600 Index, the Fund is also structured to deliver the same volatility and risk
as the Index.
For the six months ended September 30, 1999, the S&P(R) 600 Index produced a
total return of 9.83%. Over the same time the Galaxy Fund II Small Company Index
Fund returned 8.80% (after the deduction of operating expenses). The Fund's
6-month performance represents a correlation coefficient of 99.977%. The
correlation coefficient measures the degree to which the Fund's performance
moved in line with its target index during the period.
Investors Flirt with Small Cap Sector
Smaller companies are generally more oriented towards the domestic economy
and are thought to be more flexible in responding to business opportunities.
Although they are usually less sensitive to macroeconomic developments,
small-cap shares generally attract investors when economic confidence is rising.
While the prices of small-cap stocks tend to be more volatile than the prices
for large-cap shares, that volatility can be offset by the potential for higher
returns in small-cap stocks.
Prices for stocks of small companies outperformed in the first four months
of the reporting period as the economy brightened and investors recognized the
significant value offered by the small-cap sector. Then the weaker dollar,
soaring oil prices, and rising interest rates dimmed the outlook for inflation
and market liquidity in the last two months of the period. There was little
support for companies reporting even minor earnings disappointments. In this
environment investors favored the global leaders in technology and the large
energy stocks. Despite this change in sentiment, small-cap shares enjoyed
significantly greater gains than large-cap shares for the reporting period as a
whole.
Full Recovery Requires Greater Confidence
Even after their recent gains, the prices for small-cap shares remain very
attractive versus large-cap shares. However, a full recovery in the sector will
probably require stronger earnings estimates, lower corporate debt risk
premiums, and greater confidence in the intermediate-term outlook for the
economy. If interest rates decline in coming quarters, lending confidence to the
long-term outlook, investors may decide to take advantage of opportunities in
the small-cap sector.
Galaxy Fund II Small Company Index Fund
Distribution of Total Net Assets as of September 30, 1999
[The following table was represented as a pie chart in the printed material.]
Other Common Stocks ....................... 11%
Consumer Staples .......................... 17%
Utilities ................................. 4%
Capital Goods ............................. 6%
Finance ................................... 11%
Consumer Cyclical ......................... 16%
Technology ................................ 22%
Basic Materials ........................... 6%
U.S. Government Obligation,
Repurchase Agreement and
Net Other Assets and Liabilities .......... 7%
Galaxy Fund II Small Company Index Fund
Growth of $10,000 investment*
[The following table was represented as a mountain graph
in the printed material.]
10/1/90 9/30/99
------- -------
Galaxy Fund II Small Company Index Fund ......... $10,000 $36,242
S&P(R) 600 Index ................................ $10,000 $40,504
*Since inception on 10/1/90. The S&P(R) 600 Index is an unmanaged index which
does not reflect management fees and other expenses. An investor cannot invest
in the Index.
4
<PAGE>
Portfolio Reviews
GALAXY FUND II UTILITY INDEX FUND
By G. Jay Evans
Portfolio Manager
The Galaxy Fund II Utility Index Fund seeks to match, before the deduction
of operating expenses, the price and yield performance of stocks in the utility
industry. To this end, the Fund invests in publicly traded stocks according to
their representation in the Standard & Poor's(R) Utilities Composite Stock Price
Index (the "S&P(R) Utilities Index"). The S&P(R) Utilities Index is an unmanaged
index of the common stocks of utility companies included in the S&P(R) 500
Index.
For the six months ended September 30, 1999, the S&P(R) Utilities Index
produced a total return of 6.26%, and the Galaxy Fund II Utility Index Fund had
a total return of 5.93% (after the deduction of operating expenses). This
performance represents a correlation coefficient of 99.992%. The correlation
coefficient measures the degree to which the Fund's performance moved in line
with its target index during the period.
Value and Stability Help Utilities Outperform
Utility stocks have historically offered defensive characteristics that are
desirable during periods of high market volatility. With strong yields,
utilities have also performed well when short-term interest rates decline prior
to economic expansions. Utility stocks will most likely remain defensive income
vehicles despite significant industry changes resulting from deregulation.
Utility stocks in the Galaxy Fund II Utility Index Fund outperformed broader
market benchmarks during the reporting period. Although interest rates rose,
which can erode the earnings of utility firms, the sector benefited in the first
part of the period as a generally brighter earnings picture encouraged investors
to trade large-cap growth stocks for shares in other sectors that had better
valuations. As further rises in interest rates threatened higher inflation,
slower economic growth and higher market volatility, utility stocks benefited as
investors searched for issues with relatively stable returns. Furthermore, the
sector's exposure to the growth in communications technology added to investor
interest.
Near Term Outlook Could Favor Utilities
With future uncertainty in the form of potential Y2K computer problems,
cooler relations between several Asian countries, and questions of control in
Russia, investors may continue to favor utility positions. The high dividend
yields of utilities may also attract investors in coming months, if the Fed
succeeds in slowing the economy.
Galaxy Fund II Utility Index Fund
Distribution of Total Net Assets as of September 30, 1999
[The following table was represented as a pie chart in the printed material.]
Repurchase Agreement and
Net Other Assets and Liabilities ......... 1%
Energy ................................... 20%
Utilities ................................ 79%
Galaxy Fund II Utility Index Fund
Growth of $10,000 investment*
[The following table was represented as a mountain graph
in the printed material.]
1/5/93 9/30/99
------ -------
Galaxy Fund II Utility Index Fund ..... $10,000 $20,795
S&P(R) Utilities Index ................ $10,000 $21,905
*Since inception on 1/5/93. The S&P(R) Utilities Index is an unmanaged index
which does not reflect management fees and other expenses. An investor cannot
invest in the Index.
5
<PAGE>
Portfolio Reviews
[PHOTO]
David Lindsay has managed the Galaxy Fund II U.S. Treasury Index Fund since July
1994. He has managed fixed-income portfolios for Fleet Investment Advisors Inc.
since 1986.
GALAXY FUND II U.S. TREASURY INDEX FUND
By David Lindsay
Portfolio Manager
The Galaxy Fund II U.S. Treasury Index Fund seeks to match, before the
deduction of operating expenses, the price and yield performance of the U.S.
Treasury notes and bonds as represented by the Salomon Smith Barney U.S.
Treasury Index, an unmanaged index of U.S. Treasury bonds. The Fund attempts to
meet this objective by investing in U.S. Treasury notes and bonds according to
their representation in the Salomon Smith Barney U.S. Treasury Index.
For the six months ended September 30, 1999, the Salomon Smith Barney U.S.
Treasury Index posted a total return of -0.21%, and the Galaxy Fund II U.S.
Treasury Index Fund had a total return of -0.44% (after the deduction of
operating expenses). This performance represents a correlation coefficient of
99.395%. The correlation coefficient measures the degree to which the Fund's
performance moved in line with its target index during the period.
Investors Favor Quality and Liquidity of Treasuries
Backed by the full faith and credit of the U.S. government, Treasury bonds
have historically been especially attractive to domestic and foreign investors
during times of economic and market uncertainty. Investors also prefer
Treasuries at these times due to their strong liquidity. Because their yields
are generally lower than those for other taxable debt, however, Treasury issues
are often less appealing when economic and market outlooks are brightening.
This pattern of Treasury performance was again evident during the recent
six-month reporting period. After underperforming other market sectors in the
first quarter of 1999, Treasuries outperformed for the combined second and third
quarters. As interest rates rose during this time, investors became concerned
about future growth and returned to the stronger credit quality and higher
liquidity that Treasuries offer. Treasuries also benefited as federal budget
surpluses reduced the supply of new issues, while supplies of corporate debt
remained strong.
Search for Quality and Liquidity May Continue
Although interest rates and bond yields may edge higher in the short term,
we expect the recent increases in interest rates will slow growth in coming
months and help bond prices to rise. As investors become more concerned about
future growth, and potential Y2K computer problems, they are likely to continue
to seek the higher credit quality and greater liquidity that Treasuries offer.
As in previous months, Treasuries should also benefit from reduced supplies of
new issues.
Galaxy Fund II U.S. Treasury Index Fund
Distribution of Total Net Assets as of September 30, 1999
[The following table was represented as a pie chart in the printed material.]
Repurchase Agreement and
Net Other Assets and Liabilities ........... 2%
U.S. Treasury Bonds ........................ 32%
U.S. Treasury Notes ........................ 66%
Galaxy Fund II U.S. Treasury Index Fund
Growth of $10,000 investment*
[The following table was represented as a mountain graph
in the printed material.]
6/4/91 9/30/99
------ -------
Galaxy Fund II U.S. Treasury Index Fund ........ $10,000 $17,827
The Salomon Smith Barney U.S. Treasury Index ... $10,000 $18,539
* Since inception on 6/4/91. The Salomon Smith Barney U.S. Treasury Index is an
unmanaged index which does not reflect management fees and other expenses. An
investor cannot invest in the Index.
6
<PAGE>
Portfolio Reviews
[PHOTO]
Glenn Migliozzi is the managing director of Fixed Income Investments for Fleet
Investment Advisors Inc. He is also a member of Fleet's Tax-Exempt Investment
Policy Committee, which has managed the Galaxy Fund II Municipal Bond Fund since
1996.
GALAXY FUND II MUNICIPAL BOND FUND
By Glenn Migliozzi
Managing Director, Fixed Income Investments
The Galaxy Fund II Municipal Bond Fund seeks to provide investors with the
highest level of income exempt from regular federal income tax that is
consistent with prudent investment management and preservation of capital.
Typically, the Fund invests substantially all of its assets in debt securities
issued by state, local, and regional government agencies, and maintains an
average maturity for its investments of 7 to 12 years.
For the six months ended September 30, 1999, the Galaxy Fund II Municipal
Bond Fund earned a total return of -1.73% (after deduction of operating
expenses). During the same time, the average of the intermediate municipal bond
funds tracked by Lipper Analytical Services had a total return of -1.72%, the
Lehman Brothers Seven-Year Municipal Bond Index had a total return of -0.89%,
and the Lehman Brothers Quality Intermediate Bond Index had a total return of
- -0.59%. We have changed the Fund's market benchmark to the Lehman Quality
Intermediate Bond Index because we believe this Index more closely resembles the
broad-based mix of high-quality securities in the Fund than the Lehman Brothers
Seven-Year Municipal Bond Index does.
High Quality Mix of Maturities Helps Returns
Having outperformed taxable bonds in the first quarter of 1999, municipal
bonds began to lag at the end of the second quarter. The underperformance
occurred as investors traded municipals for taxable issues to take advantage of
attractive yields in taxable sectors. Negative returns for municipals continued
in the third quarter, as supplies of new municipals increased against reduced
demand from municipal bond mutual funds. This was offset somewhat as the overall
increase in yields encouraged purchases of municipal bonds, particularly
municipals with short to intermediate maturities.
Prices for intermediate-term municipals were the hardest hit in the second
quarter. Longer maturities then underperformed significantly in the third
quarter. The Fund benefited in this environment from the laddered maturity
structure of its portfolio and from a continued emphasis on holdings with high
credit quality. As municipal yields rose, we took advantage of the particularly
attractive yields available in issues at the longer end of the Fund's maturity
range.
Longer Maturities Could Again Outperform
Although there remains some uncertainty about whether the Fed will raise
interest rates again before the end of 1999, we feel that current yields for
municipal bonds offer attractive investment opportunities. Longer
intermediate-term municipals have yields in excess of 5%, which represents a
taxable yield of 8.27% for investors in the 39.6% tax bracket. We continue to
emphasize issuers with strong credit fundamentals, believing that investors are
not rewarded sufficiently at this time for the added risk involved with
lower-rated securities.
Galaxy Fund II Municipal Bond Fund
Geographical Distribution of Total Net Assets as of September 30, 1999
[The following table was represented as a pie chart in the printed material.]
East ...................................... 30%
South ..................................... 31%
Mountain .................................. 7%
Cash Equivalents and
Net Other Assets and Liabilities .......... 4%
Pacific ................................... 10%
North Central ............................. 18%
Galaxy Fund II Municipal Bond Fund
Growth of $10,000 investment*
[The following table was represented as a mountain graph
in the printed material.]
4/15/93 9/30/99
------- -------
Galaxy Fund II Municipal Bond Fund ................. $10,000 $13,592
Lehman Brothers Seven-Year Municipal Bond Index .... $10,000 $13,754
Lehman Brothers Quality Intermediate Bond Index .... $10,000 $14,058
*Since inception on 4/15/93. The Lehman Brothers Seven-Year Municipal Bond Index
and Quality Intermediate Bond Index are unmanaged indices which do not reflect
management fees and other expenses. An investor cannot invest in these indices.
7
<PAGE>
Shareholder Information
TRUSTEES
AND OFFICERS
Dwight E. Vicks, Jr.
Chairman and Trustee
John T. O'Neill
President, Treasurer
and Trustee
Louis DeThomasis,
F.S.C., Ph.D.
Trustee
Donald B. Miller
Trustee
James M. Seed
Trustee
Bradford S. Wellman
Trustee
W. Bruce
McConnel, III, Esq.
Secretary
Jylanne Dunne
Vice President and
Assistant Treasurer
William Greilich
Vice President
INVESTMENT ADVISOR
Fleet Investment
Advisors Inc.
75 State Street
Boston, MA
02109
DISTRIBUTOR
First Data
Distributors, Inc.
P.O. Box 6520
Providence,
Rhode Island 02940-6520
ADMINISTRATOR
FleetBoston
Financial Corp.
50 Kennedy Plaza
Providence,
Rhode Island 02903-2305
For complete information, and before making an investment decision on any of the
Funds of Galaxy Fund II, you should request a prospectus from First Data
Distributors, Inc. by calling toll-free 1-877-BUY-GALAXY (1-877-289-4252). This
report is submitted for the general information of shareholders of Galaxy Fund
II. It is not authorized for distribution to prospective investors unless
accompanied or preceded by an effective prospectus for each Fund of Galaxy Fund
II, which contains more information concerning the investment policies and
expenses of the Funds as well as other pertinent information. Read the
prospectus carefully before you invest.
Shares of the Funds are not bank deposits or obligations of, or guaranteed or
endorsed by, FleetBoston Financial Corp. or any of its affiliates, Fleet
Investment Advisors Inc., or any Fleet bank. Shares of the Funds are not
federally insured by, guaranteed by, obligations of or otherwise supported by
the U.S. Government, the Federal Deposit Insurance Corporation, the Federal
Reserve Board or any other governmental agency. Investment return and principal
value will vary as a result of market conditions or other factors so that shares
of the Funds, when redeemed, may be worth more or less than their original cost.
An investment in the Funds involves investment risks, including the possible
loss of principal amount invested.
[RECYCLE LOGO]
8
<PAGE>
Large Company Index Fund
Portfolio of Investments
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
COMMON STOCKS - 99.10%
<C> <S> <C>
Technology - 26.46%
11,300 ADC Telecommunications, Inc. *..................... $ 473,894
9,000 Adaptec, Inc. *.................................... 357,188
5,550 Adobe Systems, Inc................................. 629,925
12,060 Advanced Micro Devices, Inc. *..................... 207,281
93,035 America OnLine, Inc.*.............................. 9,675,640
267,439 American Telephone & Telegraph Corp................ 11,633,596
13,328 Apple Computer, Inc. *............................. 843,829
30,953 Applied Materials, Inc. *.......................... 2,410,465
4,917 Autodesk, Inc...................................... 107,559
50,621 Automatic Data Processing, Inc..................... 2,258,962
19,791 BMC Software *..................................... 1,416,293
13,955 Cabletron Systems, Inc. *.......................... 218,919
60,083 CBS Corp.*......................................... 2,778,839
1,892 Celera Genomics*................................... 76,153
12,248 Ceridian Corp. *................................... 304,669
272,964 CISCO Systems, Inc. *.............................. 18,715,094
140,797 Compaq Computer Corp............................... 3,229,531
45,220 Computer Associates International, Inc............. 2,769,725
13,332 Computer Sciences Corp. *.......................... 937,406
31,251 Compuware Corp.*................................... 814,479
19,508 Corning, Inc....................................... 1,337,517
4,193 Data General Corp. *............................... 88,315
213,153 Dell Computer Corp. *.............................. 8,912,460
3,888 EG&G, Inc.......................................... 154,791
41,446 Electronic Data Systems Corp....................... 2,194,048
84,064 EMC Corp. *........................................ 6,005,322
26,234 Gateway 2000 *..................................... 1,165,773
14,161 General Instrument Corp. *......................... 681,498
65,730 Global Crossing Ltd.*.............................. 1,741,842
6,714 Harris Corp........................................ 185,474
85,249 Hewlett-Packard Co................................. 7,842,908
10,593 Honeywell, Inc..................................... 1,179,133
277,979 Intel Corp......................................... 20,657,314
152,854 International Business Machines Corp............... 18,552,654
9,821 ITT Industies, Inc................................. 312,431
7,346 KLA-Tencor Corp. *................................. 477,490
10,800 Lexmark International Group, Inc., Class A *....... 869,400
11,859 LSI Logic Corp. *.................................. 610,738
257,753 Lucent Technologies, Inc........................... 16,721,726
20,766 Micron Technology, Inc. *.......................... 1,382,237
428,489 Microsoft Corp. *.................................. 38,805,035
50,366 Motorola, Inc...................................... 4,432,208
13,855 National Semiconductor Corp. *..................... 422,578
6,100 Network Appliance, Inc. *.......................... 436,912
109,774 Nortel Networks Corp............................... 5,598,474
29,552 Novell, Inc. *..................................... 611,357
122,574 Oracle Corp. *..................................... 5,577,117
22,866 Parametric Technology Corp. *...................... 308,691
8,170 Pe Corp - PE Biosystems Group...................... 590,282
19,320 PeopleSoft, Inc. *................................. 327,232
23,073 Pitney Bowes, Inc.................................. 1,406,011
13,500 QUALCOMM, Inc. *................................... 2,554,031
5,690 Scientific-Atlanta, Inc............................ 282,011
20,466 Seagate Technology, Inc. *......................... 630,609
15,846 Silicon Graphics, Inc. *........................... 173,316
72,642 Sprint Corp........................................ 3,940,828
36,630 Sprint PCS Group*.................................. 2,731,224
63,931 Sun Microsystems, Inc. *........................... 5,945,583
30,117 3Com Corp. *....................................... 865,864
3,983 Tektronix, Inc..................................... 133,431
32,552 Tellabs, Inc. *.................................... 1,853,429
65,464 Texas Instruments, Inc............................. 5,384,414
4,712 Thomas & Betts Corp................................ 240,312
25,715 Unisys Corp. *..................................... 1,160,389
55,305 Xerox Corp......................................... 2,319,353
--------------
237,663,209
--------------
Consumer Staples - 19.44%
127,393 Abbott Laboratories................................ 4,681,693
4,630 Alberto-Culver Co., Class B........................ 107,069
5,473 Allergan, Inc...................................... 602,030
8,360 ALZA Corp. *....................................... 357,913
110,695 American Home Products Corp........................ 4,593,842
42,806 Amgen, Inc. *...................................... 3,488,689
40,493 Anheuser-Busch Cos., Inc........................... 2,837,041
52,903 Archer-Daniels-Midland Co.......................... 644,755
22,236 Avon Products, Inc................................. 551,731
4,612 Bard (C.R.), Inc................................... 217,052
4,619 Bausch & Lomb, Inc................................. 304,565
24,023 Baxter International, Inc.......................... 1,447,386
20,789 Becton Dickinson & Co.............................. 583,391
24,133 Bestfoods.......................................... 1,170,450
9,446 Biomet, Inc........................................ 248,548
33,056 Boston Scientific Corp. *.......................... 816,070
167,343 Bristol-Myers Squibb Co............................ 11,295,652
5,782 Brown-Forman Corp., Class B........................ 360,652
37,653 Campbell Soup Co................................... 1,473,174
22,872 Cardinal Health, Inc............................... 1,246,524
50,386 Carnival Corp...................................... 2,191,791
19,536 Clorox Co.......................................... 747,252
207,338 Coca-Cola Co....................................... 9,965,183
34,148 Coca-Cola Enterprises, Inc......................... 770,464
49,836 Colgate Palmolive Co............................... 2,279,997
47,741 Columbia/HCA Healthcare Corp....................... 1,011,512
41,126 ConAgra, Inc....................................... 927,905
3,134 Coors (Adolph) Co., Class B........................ 169,628
18,270 Costco Cos., Inc. *................................ 1,315,440
32,751 CVS Corp........................................... 1,336,650
11,429 Danaher Corp....................................... 602,165
17,818 Federated Department Stores, Inc. *................ 778,424
14,584 Fortune Brands, Inc................................ 470,334
12,994 General Mills, Inc................................. 1,054,138
94,389 Gillette Co........................................ 3,203,327
25,289 Guidant Corp....................................... 1,356,123
35,470 HEALTHSOUTH Corp. *................................ 215,037
30,424 Heinz (H. J.) Co................................... 1,308,232
12,062 Hershey Foods Corp................................. 587,269
14,061 Humana, Inc. *..................................... 96,669
27,863 IMS Health, Inc.................................... 635,625
8,926 International Flavors & Fragrances, Inc............ 307,947
113,112 Johnson & Johnson Co............................... 10,392,165
34,196 Kellogg Co......................................... 1,280,213
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
Large Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Consumer Staples (continued)
46,134 Kimberly-Clark Corp................................ $ 2,422,035
92,649 Lilly (Eli) & Co................................... 5,929,536
19,104 Limited, Inc....................................... 730,728
5,443 Liz Clairborne, Inc................................ 168,733
9,137 Manor Care, Inc.*.................................. 157,042
22,622 McKesson HBOC, Inc................................. 656,038
51,191 Mediaone Group, Inc.*.............................. 3,496,985
97,232 Medtronic, Inc..................................... 3,451,736
196,916 Merck & Co., Inc................................... 12,762,618
27,382 Nabisco Group Holdings Corp........................ 410,730
24,215 NIKE, Inc., Class B................................ 1,377,228
123,894 PepsiCo, Inc....................................... 3,747,794
329,572 Pfizer, Inc........................................ 11,843,994
42,702 Pharmacia & Upjohn, Inc............................ 2,119,087
204,515 Philip Morris Cos., Inc............................ 6,991,857
20,344 Pioneer Hi-Bred International, Inc................. 809,946
111,549 Procter & Gamble Co................................ 10,457,719
11,439 Quaker Oats Co..................................... 707,788
26,453 Ralston Purina Co.................................. 735,724
4,733 Reebok International, Ltd. *....................... 50,584
3,146 Russell Corp....................................... 44,634
40,920 Safeway, Inc.*..................................... 1,557,518
78,302 Sara Lee Corp...................................... 1,835,203
123,423 Schering-Plough Corp............................... 5,384,328
35,966 Seagram Co., Ltd................................... 1,636,453
7,031 Sealed Air Corp. *................................. 360,778
32,903 Sears Roebuck & Co................................. 1,032,332
2,309 Shared Medical Systems Corp........................ 107,946
1,573 Springs Industries, Inc., Class A.................. 53,384
7,122 St. Jude Medical, Inc. *........................... 224,343
7,552 Stanley Works...................................... 190,216
39,234 Staples, Inc.*..................................... 855,792
10,181 SuperValu, Inc..................................... 222,073
28,405 Sysco Corp......................................... 995,950
4,836 Tupperware Corp.................................... 97,929
47,999 Unilever NV, New York Shares, ADR.................. 3,269,932
16,246 United Healthcare Corp............................. 790,977
15,523 UST, Inc........................................... 468,601
10,274 VF Corp............................................ 318,494
71,436 Warner-Lambert Co.................................. 4,741,564
5,600 Wellpoint Health Networks, Inc. *.................. 319,200
12,475 Winn-Dixie Stores, Inc............................. 370,352
9,855 Wrigley (Wm.) Jr. Co............................... 678,147
--------------
174,615,765
--------------
Finance - 14.39%
12,168 Aetna, Inc......................................... 599,274
22,700 AFLAC, INC......................................... 950,563
69,446 Allstate Corp...................................... 1,731,810
38,293 American Express Co................................ 5,155,195
21,189 American General Corp.............................. 1,338,880
129,112 American International Group, Inc.................. 11,224,674
14,799 AmSouth Bancorp.................................... 346,852
21,458 Aon Corp........................................... 634,352
58,660 Associates First Capital Corp...................... 2,111,760
146,136 Bank of America Corp............................... 8,137,948
98,536 Bank One Corp...................................... 3,430,284
24,677 BankBoston Corp.................................... 1,070,365
24,394 BB&T Corp.......................................... 789,756
10,074 Bear Stearns Cos, Inc.............................. 387,219
8,390 Block (H&R), Inc................................... 364,441
16,777 Capital One Financial Corp......................... 654,303
73,838 Chase Manhattan Corp............................... 5,565,539
13,934 Chubb Corp......................................... 694,087
17,821 CIGNA Corp......................................... 1,385,583
14,160 Cincinnati Financial Corp.......................... 531,442
284,620 Citigroup, Inc..................................... 12,523,280
13,114 Comerica, Inc...................................... 663,896
26,344 Conseco, Inc....................................... 508,769
9,343 Countrywide Credit Industries, Inc................. 301,312
12,382 Equifax, Inc....................................... 348,244
87,106 Fannie Mae......................................... 5,460,457
22,552 Fifth Third Bancorp................................ 1,372,148
37,447 First Data Corp.................................... 1,642,987
81,611 First Union Corp................................... 2,902,291
84,734 Firstar Corp....................................... 2,171,309
47,757 Fleet Financial Group, Inc......................... 1,749,100
21,298 Franklin Resources, Inc............................ 654,914
57,188 Freddie Mac........................................ 2,973,776
4,831 Golden West Financial Corp......................... 474,646
19,619 Hartford Financial Services Group, Inc............. 801,927
41,309 Household International, Inc....................... 1,657,524
19,515 Huntington Bancshares, Inc......................... 518,367
8,809 Jefferson-Pilot Corp............................... 556,619
37,197 KeyCorp............................................ 960,148
9,953 Lehman Brothers Holdings, Inc...................... 580,384
16,814 Lincoln National Corp., Ltd........................ 631,576
9,659 Loews Corp......................................... 677,941
21,622 Marsh & McLennan Cos., Inc......................... 1,481,107
8,292 MBIA, Inc.......................................... 386,615
63,775 MBNA Corp.......................................... 1,454,867
43,848 Mellon Bank Corp................................... 1,479,870
29,410 Merrill Lynch & Co., Inc........................... 1,975,984
9,532 MGIC Investment Corp............................... 455,153
14,797 Morgan (J.P.) & Co., Inc........................... 1,690,557
49,087 Morgan Stanley, Dean Witter, Discover & Co......... 4,377,947
55,494 National City Corp................................. 1,480,996
9,338 Northern Trust Corp................................ 779,723
12,000 Paine Webber Group, Inc............................ 435,000
20,619 Paychex, Inc....................................... 703,623
25,383 PNC Bank Corp...................................... 1,337,367
6,186 Progressive Corp................................... 505,319
11,966 Providian Financial Corp........................... 947,558
3,658 Pulte Corp......................................... 79,562
18,074 Regions Financial Corp............................. 542,220
9,014 Republic New York Corp............................. 553,798
11,742 Safeco Corp........................................ 328,776
67,366 Schwab (Charles) Corp.............................. 2,269,392
14,154 SLM Holding Corp................................... 608,622
13,923 SouthTrust Corp.................................... 499,488
19,835 St. Paul Cos., Inc................................. 545,463
13,534 State Street Corp.................................. 874,635
14,586 Summit Bancorp..................................... 473,133
26,855 SunTrust Banks, Inc................................ 1,765,716
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
Large Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Finance (continued)
22,256 Synovus Financial Corp............................. $ 415,909
63,114 The Bank of New York Co., Inc...................... 2,110,374
11,751 Torchmark Corp..................................... 304,057
62,373 U.S. Bancorp....................................... 1,882,885
10,840 Union Planters Corp................................ 441,730
19,856 UnumProvident Corp................................. 584,511
17,413 Wachovia Corp...................................... 1,369,097
49,939 Washington Mutual, Inc............................. 1,460,716
136,348 Wells Fargo & Co................................... 5,402,789
--------------
129,240,501
--------------
Consumer Cyclical - 11.70%
35,318 Albertson's, Inc................................... 1,397,268
5,873 American Greetings Corp., Class A.................. 151,230
3,449 Armstrong World Industries, Inc.................... 154,989
12,797 AutoZone, Inc. *................................... 359,116
12,000 Bed, Bath & Beyond, Inc. *......................... 350,250
17,300 Best Buy Co., Inc. *............................... 1,073,681
7,441 Black & Decker Corp................................ 339,961
2,102 Briggs & Stratton Corp............................. 122,704
8,265 Brunswick Corp..................................... 205,592
63,563 Cendant Corp. *.................................... 1,128,243
4,935 Centex Corp........................................ 145,891
16,800 Circuit City Stores-Circuit City Group............. 708,750
27,441 Clear Channel Communications, Inc. *............... 2,191,850
62,122 Comcast Corp. Special, Class A..................... 2,477,115
9,232 Consolidated Stores Corp. *........................ 203,681
6,487 Cooper Tire & Rubber Co............................ 114,333
5,763 Crane Co........................................... 129,307
13,948 Dana Corp.......................................... 517,820
11,639 Darden Restaurants, Inc............................ 227,688
37,040 Dayton-Hudson Corp................................. 2,224,715
47,541 Delphi Autotmotive Systems Corp.................... 763,627
6,811 Deluxe Corp........................................ 231,574
9,231 Dillard's, Inc., Class A........................... 187,505
172,495 Disney (Walt) Co................................... 4,463,308
19,417 Dollar General Corp................................ 599,500
11,646 Donnelley (R.R.) & Sons Co......................... 336,278
7,873 Dow Jones & Co., Inc............................... 420,221
14,357 Dun & Bradstreet Corp.............................. 428,915
27,287 Eastman Kodak Co................................... 2,058,463
6,089 Eaton Corp......................................... 525,557
2,933 Fleetwood Enterprises, Inc......................... 59,210
101,974 Ford Motor Co...................................... 5,117,820
23,914 Gannett Co., Inc................................... 1,654,550
74,006 Gap, Inc........................................... 2,368,192
15,009 Genuine Parts Co................................... 398,677
13,209 Goodyear Tire & Rubber Co.......................... 635,683
3,246 Great Atlantic & Pacific Tea Co., Inc.............. 98,394
5,974 Harcourt General, Inc.............................. 248,668
8,810 Harrah's Entertainment, Inc. *..................... 244,478
16,618 Hasbro, Inc........................................ 356,248
22,023 Hilton Hotels Corp................................. 217,477
123,925 Home Depot, Inc.................................... 8,504,353
11,480 Ikon Office Solutions, Inc......................... 122,692
23,016 Interpublic Group of Cos., Inc..................... 946,533
3,147 Jostens, Inc....................................... 60,186
3,398 Kaufman & Broad Home Corp.......................... 70,084
6,195 King World Productions, Inc. *..................... 232,312
41,450 Kmart Corp. *...................................... 484,447
6,612 Knight-Ridder, Inc................................. 362,833
13,425 Kohl's Corp. *..................................... 887,728
69,332 Kroger Co. *....................................... 1,529,637
3,345 Longs Drug Stores Corp............................. 99,932
31,331 Lowe's Cos., Inc................................... 1,527,386
20,967 Marriott International, Inc., Class A.............. 685,359
38,500 Masco Corp......................................... 1,193,500
35,041 Mattel, Inc........................................ 665,779
7,761 Maytag Corp........................................ 258,538
114,953 McDonald's Corp.................................... 4,942,979
16,675 McGraw-Hill Cos., Inc.............................. 806,653
4,412 Meridith Corp...................................... 160,211
15,311 Mirage Resorts, Inc. *............................. 215,311
3,575 National Services Industries, Inc.................. 112,612
15,814 New York Times Co., Class A........................ 593,025
23,663 Newell Rubbermaid, Inc............................. 675,874
12,472 Nordstrom, Inc..................................... 336,744
31,600 Office Depot, Inc. *............................... 321,925
14,226 Omnicom Group, Inc................................. 1,129,689
4,507 Owens-Corning...................................... 97,746
21,409 Penny (J.C.) Co., Inc.............................. 735,934
4,203 Pep Boys-Manny, Moe & Jack......................... 62,520
3,762 Polaroid Corp...................................... 97,812
21,832 Rite Aid Corp...................................... 301,554
23,488 Service Corp. International........................ 248,092
14,581 Sherwin-Williams Co................................ 305,290
5,039 Snap-On, Inc....................................... 163,768
16,696 Tandy Corp......................................... 862,974
29,152 The May Department Stores Co....................... 1,062,226
108,649 Time Warner, Inc................................... 6,600,427
7,225 Times Mirror Co., Class A.......................... 475,495
26,671 TJX Cos., Inc...................................... 748,455
2,672 Too, Inc. *........................................ 47,929
21,802 Toys `R' Us, Inc. *................................ 327,030
20,534 Tribune Co......................................... 1,021,567
12,897 Tricon Global Restaurants, Inc. *.................. 527,971
70,736 Tyco International, Ltd............................ 7,303,502
83,835 Walgreen Co........................................ 2,127,313
374,268 Wal-Mart Stores, Inc............................... 17,801,122
48,408 Waste Management, Inc.............................. 931,854
10,686 Wendy's International, Inc......................... 281,843
6,397 Whirlpool Corp..................................... 417,804
--------------
105,115,079
--------------
Utilities - 8.62%
14,812 AES Corp. *........................................ 873,908
25,586 ALLTEL Corp........................................ 1,800,615
11,441 Ameren Corp........................................ 432,613
15,959 American Electric Power Co., Inc................... 544,601
92,746 Ameritech Corp..................................... 6,231,372
130,739 Bell Atlantic Corp................................. 8,800,369
159,219 BellSouth Corp..................................... 7,164,855
12,803 Carolina Power & Light Co.......................... 452,906
17,935 Central & South West Corp.......................... 378,877
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
Large Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Utilities (continued)
11,570 Century Telephone Enterprises, Inc................. $ 470,031
13,314 Cinergy Corp....................................... 376,953
7,030 Columbia Energy Group.............................. 389,286
19,621 Consolidated Edison, Inc........................... 814,272
8,090 Consolidated Natural Gas Co........................ 504,614
12,492 Constellation Energy Group......................... 351,338
16,476 Dominion Resources, Inc............................ 743,479
12,178 DTE Energy Co...................................... 439,930
30,417 Duke Energy Corp................................... 1,676,737
29,693 Edison International............................... 721,911
20,675 Entergy Corp....................................... 598,283
19,841 FirstEnergy Corp................................... 505,945
8,400 Florida Progress Corp.............................. 388,500
15,222 FPL Group, Inc..................................... 766,808
10,813 GPU, Inc........................................... 352,774
81,111 GTE Corp........................................... 6,235,408
156,330 MCI WorldCom, Inc.*................................ 11,236,219
9,352 New Century Energies, Inc.......................... 312,708
27,835 NEXTEL Communications, Inc., Class A *............. 1,887,561
15,643 Niagara Mohawk Power Corp. *....................... 241,489
4,000 NICOR, Inc......................................... 148,750
12,790 Northern States Power Co........................... 275,784
2,726 ONEOK, Inc......................................... 82,632
24,966 PacifiCorp......................................... 502,441
18,581 PECO Energy Co..................................... 696,788
3,043 Peoples Energy Corp................................ 107,076
32,098 PG & E Corp........................................ 830,536
12,797 PP & L Resources, Inc.............................. 346,319
19,390 Public Service Enterprise Group, Inc............... 748,939
164,728 SBC Communications, Inc............................ 8,411,423
58,655 Southern Co........................................ 1,510,366
14,276 Tenneco, Inc....................................... 242,692
23,621 Texas Utilities Co. (Holding Co.).................. 881,359
42,275 U.S. West, Inc., Communications Group.............. 2,412,317
18,267 Unicom Corp........................................ 674,737
60,057 Viacom Inc., Class B *............................. 2,537,408
35,781 Williams Cos., Inc................................. 1,339,551
--------------
77,443,480
--------------
Energy - 6.82%
7,656 Amerada Hess Corp.................................. 468,930
10,175 Anadarko Petroleum Corp............................ 310,973
8,386 Apache Corp........................................ 362,170
6,498 Ashland, Inc....................................... 218,495
27,079 Atlantic Richfield Co.............................. 2,399,876
26,881 Baker Hughes, Inc.................................. 779,549
14,908 Burlington Resources, Inc.......................... 547,869
55,082 Chevron Corp....................................... 4,888,528
8,850 CMS Energy Corp.................................... 300,347
17,935 Coastal Corp....................................... 734,214
52,700 Conoco, Inc., Class B.............................. 1,442,663
1,881 Eastern Enterprises................................ 87,349
59,490 Enron Corp......................................... 2,453,962
205,097 Exxon Corp......................................... 15,574,553
36,924 Halliburton Co..................................... 1,513,884
4,206 Helmerich & Payne, Inc............................. 106,464
7,347 Kerr-McGee Corp.................................... 404,544
65,788 Mobil Corp......................................... 6,628,141
29,669 Occidental Petroleum Corp.......................... 686,096
21,714 Phillips Petroleum Co.............................. 1,058,557
24,827 Reliant Energy, Inc................................ 671,881
7,119 Rowan Cos., Inc. *................................. 115,684
180,374 Royal Dutch Petroleum Co., ADR..................... 10,653,339
45,853 Schlumberger, Ltd.................................. 2,857,215
20,240 Sempra Energy...................................... 421,245
9,236 Sonat, Inc......................................... 366,554
7,880 Sunoco, Inc........................................ 215,715
45,118 Texaco, Inc........................................ 2,848,074
12,800 Tosco Corp......................................... 323,200
21,192 Union Pacific Resources Group, Inc................. 340,397
20,256 Unocal Corp........................................ 750,738
25,909 USX-Marathon Group................................. 757,838
--------------
61,289,044
--------------
Capital Goods - 6.49%
15,800 Allied Waste Industries, Inc.*..................... 184,663
7,244 Andrew Corp. *..................................... 125,864
79,729 Boeing Co.......................................... 3,398,449
30,607 Caterpillar, Inc................................... 1,677,646
8,696 Cooper Industries, Inc............................. 406,538
3,271 Cummins Engine Co., Inc............................ 162,937
20,551 Deere & Co......................................... 795,067
18,789 Dover Corp......................................... 768,000
37,034 Emerson Electric Co................................ 2,340,086
6,610 Fluor Corp......................................... 266,053
3,040 FMC Corp. *........................................ 146,680
3,471 Foster Wheeler Corp................................ 41,869
16,804 General Dynamics Corp.............................. 1,049,200
275,930 General Electric Co................................ 32,714,951
8,181 Grainger (W.W.), Inc............................... 393,199
20,977 Illinois Tool Works, Inc........................... 1,564,098
13,945 Ingersoll-Rand Co.................................. 766,103
7,239 Johnson Controls, Inc.............................. 480,036
33,048 Lockheed Martin Corp............................... 1,080,256
4,940 McDermott International, Inc....................... 100,035
3,341 Milacron, Inc...................................... 59,303
722 NACCO Industries, Inc., Class A.................... 50,450
5,660 Navistar International Corp. *..................... 263,190
5,779 Northrop Grumman Corp.............................. 367,328
6,607 PACCAR, Inc........................................ 336,131
9,322 Parker-Hannifin Corp............................... 417,742
28,424 Raytheon Co., Class B.............................. 1,410,541
15,957 Rockwell International Corp........................ 837,743
22,562 Solectron Corp.*................................... 1,620,234
13,732 Textron, Inc....................................... 1,062,514
13,928 Thermo Electron Corp. *............................ 187,157
5,150 Timken Co.......................................... 83,044
10,272 TRW, Inc........................................... 511,032
39,786 United Technologies Corp........................... 2,359,807
8,500 Vulcan Materials Co................................ 311,313
--------------
58,339,259
--------------
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
Large Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Basic Materials - 3.69%
19,415 Air Products & Chemicals, Inc...................... $ 564,248
19,098 Alcan Aluminum, Ltd................................ 596,813
31,430 Alcoa, Inc......................................... 1,950,624
47,205 AlliedSignal, Inc.................................. 2,829,350
9,771 Avery-Dennison Corp................................ 515,420
2,715 Ball Corp.......................................... 119,630
31,482 Barrick Gold Corp.................................. 684,734
4,398 Bemis Co., Inc..................................... 148,982
10,925 Bethlehem Steel Corp. *............................ 80,572
4,729 Boise Cascade Corp................................. 172,313
8,081 Champion International Corp........................ 415,161
10,492 Crown Cork & Seal Co., Inc......................... 254,431
7,866 Cyprus Amax Minerals Co............................ 154,370
18,880 Dow Chemical Co.................................... 2,145,240
82,346 duPont (E.I.) deNemours & Co....................... 5,012,813
6,723 Eastman Chemical Co................................ 268,920
12,063 Engelhard Corp..................................... 219,396
18,570 Fort James Corp.................................... 495,587
15,063 Freeport-McMoran Copper &
Gold, Inc., Class B................................ 234,418
15,612 Georgia-Pacific Co................................. 632,286
6,389 Goodrich (B.F.) Co................................. 185,281
4,925 Great Lakes Chemical Corp.......................... 187,457
7,998 Hercules, Inc...................................... 228,943
20,248 Homestake Mining Co................................ 186,029
14,045 Inco, Ltd., Class A................................ 300,212
34,365 International Paper Co............................. 1,651,668
9,239 Louisiana-Pacific Corp............................. 144,359
8,712 Mead Corp.......................................... 299,475
3,671 Millipore Corp..................................... 137,892
33,990 Minnesota Mining & Manufacturing Co................ 3,265,164
50,869 Monsanto Co........................................ 1,815,387
14,166 Newmont Mining Corp................................ 366,545
7,449 Nucor Corp......................................... 354,759
13,114 Owens-Illinois, Inc.*.............................. 259,821
10,489 Pall Corp.......................................... 243,214
4,816 Phelps Dodge Corp.................................. 265,181
2,525 Potlatch Corp...................................... 103,998
14,908 PPG Industries, Inc................................ 894,480
13,313 Praxair, Inc....................................... 612,398
1 R. J. Reynolds Tobacco Holdings, Inc............... 27
5,858 Reynolds Metals Co................................. 353,677
18,977 Rohm & Haas Co..................................... 685,544
8,409 Sigma Aldrich Corp................................. 266,986
4,631 Temple-Inland, Inc................................. 280,176
11,313 Union Carbide Corp................................. 642,720
7,449 USX-U.S. Steel Group, Inc.......................... 191,812
8,501 Westvaco Corp...................................... 217,838
16,793 Weyerhaeuser Co.................................... 967,697
9,338 Willamette Industries, Inc......................... 402,701
8,057 Worthington Industries, Inc........................ 136,969
--------------
33,143,718
--------------
Transportation - 1.30%
13,732 AMR Corp. *........................................ 748,394
39,757 Burlington Northern Santa Fe Corp.................. 1,093,317
6,290 Case Corp.......................................... 313,321
18,451 CSX Corp........................................... 781,861
12,032 Delta Air Lines, Inc............................... 583,552
10,913 Ecolab, Inc........................................ 372,406
24,744 FDX Corp. *........................................ 958,830
55,094 General Motors Corp................................ 3,467,479
9,214 Kansas City Southern Industries, Inc............... 427,875
27,804 Laidlaw, Inc....................................... 187,677
31,898 Norfolk Southern Corp.............................. 781,501
6,172 Ryder Systems, Inc................................. 125,755
42,328 Southwest Airlines Co.............................. 642,857
20,769 Union Pacific Corp................................. 998,210
7,340 US Airways Group, Inc. *........................... 192,675
--------------
11,675,710
--------------
Chemicals and Drugs - 0.11%
6,300 Grace (W.R.) & Co.*................................ 101,194
6,174 Mallinckrodt, Inc.................................. 186,378
26,033 Tenet Healthcare Corp. *........................... 457,205
7,986 Watson Pharmaceuticals, Inc. *..................... 244,072
--------------
988,849
--------------
Metals and Mining - 0.08%
16,582 Allegheny Teledyne, Inc............................ 279,821
3,365 ASARCO, Inc........................................ 90,224
21,585 Placer Dome, Inc................................... 321,077
--------------
691,122
--------------
Total Common Stocks................................ 890,205,736
--------------
(Cost $525,518,129)
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
Large Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Par Value Value
- --------- -----
U.S. GOVERNMENT OBLIGATIONs (A) - 0.27%
<C> <S> <C>
U.S. Treasury Bills (B) - 0.27%
$ 500,000 4.74%, 05/25/00.................................... $ 484,100
2,000,000 4.88%, 06/22/00.................................... 1,928,440
--------------
Total U.S. Government Obligations.................. 2,412,540
--------------
(Cost $2,412,626)
REPURCHASE AGREEMENT - 0.92%
8,302,000 Repurchase Agreement with:
State Street Bank
5.25%, 10/01/99, dated 09/30/99
Repurchase Price $8,303,211
(Collateralized by U.S. Treasury Note,
6.63%, Due 2001, Total Par $8,225,000
Market Value $8,607,977)........................... 8,302,000
--------------
Total Repurchase Agreement......................... 8,302,000
--------------
(Cost $8,302,000)
Total Investments - 100.29%....................................... 900,920,276
--------------
(Cost $536,232,755)
Net Other Assets and Liabilities - (0.29)%........................ (2,656,870)
--------------
Net Assets - 100.00%.............................................. $ 898,263,406
==============
</TABLE>
- ----------------------------------------
* Non-income producing security.
ADR American Depositary Receipt.
(A) Discount yield at time of purchase.
(B) Securities have been deposited as initial margin on open futures contracts.
At September 30, 1999 the Fund's open futures contracts were as follows:
Number of Contract Expiration Opening Current
Contracts Type Date Position Market Value
- --------- ---- ---- -------- ------------
29 S&P 500 Dec-99 $9,767,065 $9,411,950
========== ==========
See Notes to Financial Statements.
14
<PAGE>
Small Company Index Fund
Portfolio of Investments
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
COMMON STOCKS - 92.88%
<C> <S> <C>
Technology - 21.51%
60,500 Acxiom Corp. *..................................... $ 1,189,203
10,600 Adaptive Broadband Corp. *......................... 355,100
30,400 Advanced Tissue Sciences, Inc. *................... 93,575
19,700 Allen Telecom, Inc. *.............................. 192,075
13,600 Alpha Industries, Inc. *........................... 767,125
9,100 Analogic Corp...................................... 287,219
16,100 Analysts International Corp........................ 167,037
25,600 Anixter International, Inc. *...................... 595,200
14,700 Apex, Inc. *....................................... 274,706
26,800 Artesyn Technologies, Inc. *....................... 508,362
17,800 Aspen Technology, Inc. *........................... 173,550
18,800 Auspex Systems, Inc. *............................. 166,850
17,600 BE Aerospace, Inc. *............................... 210,100
11,600 Benchmark Electronics, Inc. *...................... 409,625
16,400 Biomatrix, Inc. *.................................. 367,975
19,300 BISYS Group, Inc. *................................ 905,291
12,600 Black Box Corp. *.................................. 661,500
19,500 BMC Industries, Inc................................ 240,094
26,200 Burr-Brown Corp. *................................. 1,034,900
9,000 C&D Technologies, Inc.............................. 326,812
20,100 Cable Design Technologies *........................ 458,531
13,200 Catalina Marketing Corp. *......................... 1,119,525
7,600 C-COR.net Corp. *.................................. 230,850
28,900 C-Cube Microsystems, Inc. *........................ 1,257,150
13,600 CDI Corp. *........................................ 371,450
4,300 Centigram Communications Corp. *................... 47,031
20,700 Cephalon, Inc. *................................... 371,953
24,000 Cerner Corp. *..................................... 366,000
11,000 ChoicePoint, Inc. *................................ 741,125
16,300 Clarify, Inc. *.................................... 820,094
29,100 Cognex Corp. *..................................... 878,456
17,100 Coherent, Inc. *................................... 381,544
14,900 Computer Task Group, Inc........................... 219,775
10,900 Customtracks Corp. *............................... 322,912
16,200 Cygnus, Inc. *..................................... 181,744
20,600 Dallas Semiconductor Corp.......................... 1,100,812
17,900 Dendrite International, Inc. *..................... 845,775
10,400 Digi International, Inc. *......................... 113,750
28,400 DSP Communications, Inc. *......................... 539,600
9,300 Electro Scientific Industries, Inc. *.............. 495,516
28,900 Epicor Software Corp. *............................ 166,175
16,200 Exabyte Corp. *.................................... 70,369
11,100 FactSet Research Systems, Inc...................... 631,312
10,100 Fair Isaac & Co., Inc.............................. 283,431
22,900 FileNet Corp. *.................................... 244,744
65,200 FirstMerit Corp.................................... 1,654,450
10,500 Flow International Corp. *......................... 108,937
26,300 General Semiconductor, Inc. *...................... 271,219
16,200 Gerber Scientific, Inc............................. 362,475
9,700 Hadco Corp. *...................................... 419,525
27,500 Harbinger Corp. *.................................. 464,062
7,800 Harmon Industries, Inc............................. 97,987
16,000 Helix Technology Corp.............................. 532,000
17,600 HNC Software *..................................... 698,500
17,600 Hutchinson Technology *............................ 475,200
22,000 Hyperion Solutions Corp. *......................... 484,000
28,000 IDEXX Laboratories, Inc. *......................... 482,125
36,100 Input/Output, Inc. *............................... 239,162
18,200 Insituform Technologies, Inc., Class A *........... 455,000
37,800 Interface, Inc..................................... 193,725
37,000 International Rectifier Corp. *.................... 564,250
18,700 Inter-Tel, Inc..................................... 331,925
22,900 InterVoice-Brite, Inc. *........................... 253,331
11,500 Ionics, Inc. *..................................... 372,312
10,600 Itron, Inc. *...................................... 62,275
20,000 Kent Electronics Corp. *........................... 370,000
9,000 Kronos, Inc. *..................................... 330,187
7,300 Landstar System, Inc. *............................ 253,675
33,400 Lattice Semiconductor Corp. *...................... 991,562
30,600 Macromedia, Inc. *................................. 1,250,775
11,900 Marshall Industries *.............................. 434,350
11,100 Material Sciences Corp. *.......................... 147,769
10,200 Maxxim Medical, Inc. *............................. 244,162
7,300 McWhorter Technologies, Inc. *..................... 107,675
27,500 Mercury Interactive Corp. *........................ 1,775,469
25,400 Methode Electronics, Inc., Class A................. 479,425
29,700 Micrel, Inc. *..................................... 1,288,237
14,600 MicroAge, Inc. *................................... 31,481
11,600 MICROS Systems, Inc. *............................. 469,800
4,200 Nashua Corp. *..................................... 37,275
22,700 National Computer Systems, Inc..................... 870,403
35,500 National Instruments Corp. *....................... 1,254,703
15,400 Network Equipment Technologies, Inc. *............. 141,487
13,000 Oak Industries, Inc. *............................. 442,000
21,800 Organogenesis, Inc. *.............................. 162,138
33,700 Paxar Corp. *...................................... 324,362
45,900 P-COM, Inc. *...................................... 321,300
28,800 PictureTel Corp. *................................. 122,400
18,900 Pioneer Standard Electronics, Inc.................. 272,869
12,300 Plantronics, Inc. *................................ 611,925
12,600 Plexus Corp. *..................................... 385,875
14,200 Powerwave Technologies, Inc. *..................... 684,706
12,500 Progress Software Corp. *.......................... 392,187
13,300 Protein Design Laboratories, Inc. *................ 480,462
9,400 QRS Corp. *........................................ 602,775
22,400 Regeneron Pharmaceuticals, Inc. *.................. 182,000
20,800 Remedy Corp. *..................................... 590,200
27,800 RSA Security, Inc. *............................... 738,437
23,600 Silicon Valley Group, Inc. *....................... 278,775
6,700 Spacelabs Medical, Inc. *.......................... 101,337
20,900 Speedfam International, Inc. *..................... 250,800
9,100 SPS Technologies, Inc. *........................... 345,231
11,200 Standard Microsystems Corp. *...................... 103,600
8,000 Steel Technologies, Inc............................ 93,000
33,300 Summit Technology, Inc. *.......................... 609,806
10,700 Symmetricom, Inc. *................................ 80,250
43,000 TALK.com, Inc. *................................... 554,969
2,145 TALK.com, Inc., Rights *........................... 0
29,600 Technology Solutions Co. *......................... 418,100
23,000 Unitrode Corp. *................................... 966,000
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
Small Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Technology (continued)
19,100 Valence Technology, Inc. *......................... $ 89,531
19,100 Vantive Corp. *.................................... 165,931
21,600 Visio Corp. *...................................... 847,800
10,700 Volt Information Sciences, Inc. *.................. 259,475
4,700 Watkins-Johnson Co................................. 157,744
39,200 Whittman-Hart, Inc. *.............................. 1,520,225
17,200 Xircom, Inc. *..................................... 734,225
15,200 X-Rite, Inc........................................ 98,800
22,200 Zebra Technologies Corp., Class A *................ 1,009,406
--------------
55,185,459
--------------
Consumer Staples - 16.57%
19,600 AAR Corp........................................... 352,800
14,600 ADAC Laboratories *................................ 143,262
30,500 Alliance Pharmaceutical Corp. *.................... 154,406
19,700 Alpharma, Inc., Class A............................ 695,656
6,200 Angelica Corp...................................... 71,300
18,600 AnnTaylor Stores Corp. *........................... 760,275
19,600 Apogee Enterprises, Inc............................ 137,812
21,100 Applebees International, Inc....................... 710,806
32,500 Aztar Corp. *...................................... 333,125
16,300 Barr Laboratories, Inc. *.......................... 517,525
17,400 Belden, Inc........................................ 356,700
24,516 Bindley Western Industries......................... 350,885
37,300 Bio-Technology General Corp. *..................... 357,847
12,900 Books-A-Million, Inc. *............................ 105,619
12,900 Canandaigua Brands, Inc., Class A *................ 770,775
17,800 Caraustar Industries, Inc.......................... 453,900
37,700 Casey's General Stores, Inc........................ 505,416
18,900 Cato Corp., Class A................................ 266,372
19,400 CEC Entertainment, Inc. *.......................... 695,975
7,500 Chemed Corp........................................ 226,875
47,000 Chiquita Brands International, Inc................. 279,062
17,100 Clarcor, Inc....................................... 287,494
6,000 Coca-Cola Bottling Co.............................. 336,562
18,200 Cone Mills Corp. *................................. 88,725
10,000 Cooper Cos., Inc................................... 308,750
17,600 Cor Therapeutics, Inc. *........................... 334,400
42,100 Coventry Health Care, Inc. *....................... 399,950
11,900 Cross (A.T.) Co., Class A.......................... 49,831
4,300 Damark International, Inc., Class A *.............. 43,269
10,900 Datascope Corp. *.................................. 382,862
27,500 Delta & Pine Land Co............................... 711,562
17,000 Delta Woodside Industries, Inc..................... 46,750
9,800 Diagnostic Products Corp........................... 262,762
31,900 DiMon, Inc......................................... 123,612
14,200 Dress Barn, Inc. *................................. 260,481
31,600 Dura Pharmaceuticals, Inc. *....................... 440,425
30,700 Earthgrains Co..................................... 679,237
17,800 Enzo Biochem, Inc. *............................... 505,075
27,500 Fleming Cos........................................ 269,844
27,300 Foodmaker, Inc. *.................................. 680,794
14,700 G & K Services, Inc., Class A...................... 595,350
8,500 Galey & Lord, Inc. *............................... 22,312
25,200 Genesis Health Ventures, Inc. *.................... 59,850
11,300 Gibson Greetings, Inc. *........................... 60,031
21,800 Griffon Corp. *.................................... 174,400
16,100 Guilford Mills, Inc................................ 138,862
17,400 Gymboree Corp. *................................... 119,625
5,100 Haggar Corp........................................ 64,387
13,700 Hancock Fabrics, Inc............................... 59,081
13,500 Hanger Orthopedic Group, Inc. *.................... 195,750
12,700 Harman International Industries, Inc............... 534,194
24,500 Hartmarx Corp. *................................... 98,000
14,700 IDEC Pharmaceuticals Corp. *....................... 1,382,259
20,000 INCYTE Pharmaceuticals, Inc. *..................... 462,500
21,500 Invacare Corp...................................... 420,594
6,400 J & J Snack Foods Corp. *.......................... 126,400
30,900 Jones Pharma, Inc.................................. 1,018,734
16,900 Kaman Corp., Class A............................... 215,475
19,800 Kellwood Co........................................ 435,600
1 Kimberly-Clark Corp................................ 42
38,600 Komag, Inc. *...................................... 115,800
18,100 Laser Vison Centers, Inc. *........................ 253,966
9,100 Lindsay Manufacturing Co........................... 178,587
28,100 Linens'N Things, Inc. *............................ 948,375
27,600 Liposome Co., Inc. *............................... 210,019
22,700 Magellan Health Services, Inc. *................... 165,994
25,500 Medquist Inc.*..................................... 852,656
17,400 Mentor Corp........................................ 495,900
8,100 Nash Finch Co...................................... 56,700
5,300 National Presto Industries, Inc.................... 204,712
12,700 Nature's Sunshine Products, Inc.................... 120,253
24,700 Nautica Enterprises, Inc. *........................ 398,287
51,300 NBTY, Inc. *....................................... 391,162
23,100 North American Vaccine, Inc. *..................... 173,250
15,300 Noven Pharmaceuticals, Inc. *...................... 130,050
33,700 Oakwood Homes Corp................................. 151,650
11,800 Oshkosh B'Gosh, Inc., Class A...................... 188,431
10,700 Osteotech, Inc. *.................................. 145,787
23,400 Owens & Minor, Inc................................. 225,225
5,800 Oxford Industries, Inc............................. 125,062
18,000 PAREXEL International Corp. *...................... 164,250
24,100 Patterson Dental Co. *............................. 1,194,456
5,300 Penford Corp....................................... 72,212
17,500 Pharmaceutical Product Development, Inc. *......... 237,344
19,500 Phillips-Van Heusen Corp........................... 173,062
54,600 PhyCor, Inc. *..................................... 238,875
69,000 Pier 1 Imports, Inc................................ 465,750
18,000 Polaris Industries, Inc............................ 623,250
9,600 Pope & Talbot, Inc................................. 118,800
15,400 Priority Healthcare Corp., Class B *............... 475,475
6,400 Quaker Chemical Corp............................... 106,400
22,300 Ralcorp Holdings, Inc. *........................... 394,431
27,700 Regis Corp......................................... 533,225
31,700 Renal Care Group, Inc. *........................... 694,428
21,900 Respironics, Inc. *................................ 180,675
22,600 Roberts Pharmaceutical Corp. *..................... 683,650
13,700 Royal Appliance Manufacturing Co. *................ 68,500
10,600 Ryland Group, Inc.................................. 241,150
39,400 Safeskin Corp. *................................... 323,819
11,400 Schweitzer-Mauduit International, Inc.............. 147,487
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
Small Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Consumer Staples (continued)
21,300 Shopko Stores, Inc. *.............................. $ 617,700
19,200 Sierra Health Services, Inc. *..................... 194,400
29,900 Smithfield Foods, Inc. *........................... 799,825
9,200 Standex International Corp......................... 248,400
33,200 Stride Rite Corp................................... 232,400
15,900 Sunrise Medical, Inc. *............................ 95,400
322 SUPERVALU INC...................................... 7,024
8,300 Syncor International Corp. *....................... 311,250
16,300 TCBY Enterprises, Inc.............................. 74,369
26,900 TetraTech, Inc. *.................................. 448,894
30,300 The Men's Wearhouse, Inc. *........................ 651,450
15,800 Timberland Co., Class A *.......................... 617,187
18,300 Triarc Cos., Inc. *................................ 392,306
13,100 United Natural Foods, Inc. *....................... 115,034
19,400 United States Bioscience, Inc. *................... 276,450
22,700 Universal Health Services, Inc., Class B *......... 587,362
9,900 USA Detergents, Inc. *............................. 48,881
21,800 Varian Medical Systems, Inc........................ 476,875
18,200 Vertex Pharmaceuticals, Inc. *..................... 565,337
29,600 Vicor Corp. *...................................... 671,550
11,200 WD-40 Co........................................... 262,150
12,200 Wesley Jessen VisionCare, Inc. *................... 380,487
18,700 Whole Foods Market, Inc. *......................... 611,841
8,800 Xomed Surgical Products, Inc. *.................... 501,600
--------------
42,499,501
--------------
Consumer Cyclical - 15.68%
15,700 ABM Industries, Inc................................ 398,387
12,100 Action Performance Cos., Inc. *.................... 254,856
15,400 ADVO, Inc. *....................................... 307,037
6,600 Amcast Industrial Corp............................. 87,862
20,400 Ames Department Stores, Inc. *..................... 650,250
8,500 Anchor Gaming *.................................... 505,750
19,500 Arctic Cat, Inc.................................... 186,469
10,100 Ashworth, Inc. *................................... 47,975
16,500 Authentic Fitness Corp............................. 289,781
17,200 Avid Technology, Inc. *............................ 225,750
10,100 Baker (J.), Inc.................................... 79,537
9,100 Bassett Furniture Industries, Inc.................. 172,900
26,700 Bombay Co., Inc. *................................. 135,169
26,400 Bowne & Co., Inc................................... 318,450
38,100 Brightpoint, Inc. *................................ 277,416
13,000 Brown Shoe Co., Inc................................ 238,062
9,100 Building Materials Holding Corp. *................. 91,000
5,100 Butler Manufacturing Co............................ 133,875
8,200 Carmike Cinemas, Inc., Class A *................... 107,625
18,200 Cash America International, Inc.................... 171,762
34,800 Champion Enterprises, Inc. *....................... 313,200
41,800 CIBER, Inc. *...................................... 640,062
37,100 CKE Restaurants, Inc............................... 268,975
11,900 Coachmen Industries, Inc........................... 182,962
11,200 Consolidated Graphics, Inc. *...................... 471,800
19,000 Consolidated Products, Inc. *...................... 185,250
7,100 CPI Corp........................................... 242,731
7,200 Curative Health Services, Inc. *................... 34,200
11,100 Cyrk International, Inc. *......................... 61,397
12,900 Department 56, Inc. *.............................. 308,794
49,700 DEVRY, Inc. *...................................... 994,000
11,900 Discount Auto Parts, Inc. *........................ 191,887
8,100 Dixie Group, Inc. *................................ 62,775
10,000 Enesco Group, Inc.................................. 153,750
15,300 ETEC Systems, Inc. *............................... 575,663
29,300 Ethan Allen Interiors, Inc......................... 932,106
27,400 Express Scripts, Inc., Class A *................... 2,144,050
26,200 Fedders Corp....................................... 157,200
22,500 Fossil, Inc. *..................................... 608,906
14,600 Franklin Covey Co. *............................... 112,237
5,600 GC Cos., Inc. *.................................... 168,000
35,800 General Communication, Class A *................... 186,831
23,800 Goody's Family Clothing, Inc. *.................... 191,887
9,000 Gottschalks, Inc. *................................ 81,000
14,500 Graco, Inc......................................... 475,781
15,400 Group 1 Automotive, Inc. *......................... 282,012
34,700 Ha-Lo Industries, Inc. *........................... 216,875
14,400 Henry (Jack) & Associates, Inc..................... 531,900
18,500 Hollywood Park, Inc. *............................. 284,437
7,600 Huffy Corp......................................... 75,050
14,200 IHOP Corp. *....................................... 287,550
17,500 Immune Response Corp. *............................ 85,312
10,600 Innovex, Inc....................................... 95,400
37,800 Integrated Health Services, Inc. *................. 59,062
48,700 Interim Services, Inc. *........................... 797,462
20,300 Jan Bell Marketing, Inc. *......................... 62,169
13,300 Jo-Ann Stores Inc., Class A *...................... 165,419
22,300 Just For Feet, Inc. *.............................. 45,994
11,900 K2, Inc............................................ 104,869
7,800 K-Swiss, Inc., Class A............................. 246,188
19,900 Landry's Seafood Restaurants, Inc. *............... 159,200
37,500 La-Z-Boy, Inc...................................... 714,844
1 LCA-Vision, Inc. *................................. 5
11,600 Libbey, Inc........................................ 342,925
6,500 Lillian Vernon Corp................................ 81,250
16,000 Luby's, Inc........................................ 184,000
21,400 Marcus Corp........................................ 258,138
31,600 MascoTech, Inc..................................... 511,525
11,400 Merrill Corp....................................... 227,287
14,700 Michael Foods, Inc................................. 386,334
20,500 Michaels Stores, Inc. *............................ 604,750
27,200 Midway Games, Inc. *............................... 428,400
14,500 Myers Industries, Inc.............................. 257,375
24,200 National Data Corp................................. 629,200
14,500 NCS Healthcare, Inc., Class A *.................... 38,062
15,700 NFO Worldwide, Inc. *.............................. 200,175
17,700 O'Reilly Automotive, Inc. *........................ 843,516
34,300 Orthodontic Centers of America, Inc. *............. 600,250
22,100 Pacific Sunwear of California, Inc. *.............. 619,491
8,700 Panera Bread Co. *................................. 57,637
7,400 Park Electrochemical Corp.......................... 243,275
11,100 Pediatrix Medical Group, Inc. *.................... 154,012
9,700 Performance Food Group Co. *....................... 248,562
17,200 Photronics, Inc. *................................. 385,925
10,100 Pillowtex Corp..................................... 75,750
22,900 Players International, Inc. *...................... 169,603
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
Small Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Consumer Cyclical (continued)
16,800 Pre-Paid Legal Services, Inc. *.................... $ 661,500
14,800 Primark Corp. *.................................... 420,875
36,700 Prime Hospitality Corp. *.......................... 293,600
15,700 Quicksilver, Inc. *................................ 286,525
8,400 Republic Group, Inc................................ 117,075
22,900 Ruby Tuesday, Inc.................................. 446,550
10,400 Rural/Metro Corp. *................................ 68,900
15,200 Russ Berrie & Co., Inc............................. 318,250
27,500 Ryan's Family Steakhouses, Inc. *.................. 247,500
52,800 S3, Inc. *......................................... 551,100
12,700 SEI Investments Co................................. 1,133,872
25,000 SLI, Inc. *........................................ 532,812
16,600 Smith (A.O.) Corp.................................. 502,150
17,800 Sola International, Inc. *......................... 274,787
13,600 Sonic Corp. *...................................... 413,950
9,000 Spartan Motors, Inc................................ 45,563
9,400 Standard Motor Products, Inc....................... 182,713
21,200 Standard Pacific Corp.............................. 217,300
32,400 Stein Mart, Inc. *................................. 230,850
19,300 Sturm Ruger & Co., Inc............................. 173,700
5,600 Swiss Army Brands, Inc. *.......................... 51,800
9,600 Taco Cabana, Class A *............................. 93,000
15,100 TBC Corp. *........................................ 104,520
14,400 The Cheesecake Factory, Inc. *..................... 399,600
22,800 The Sports Authority, Inc. *....................... 72,675
11,300 Thomas Industries, Inc............................. 211,169
10,500 Thomas Nelson, Inc................................. 102,375
8,700 Thor Industries, Inc............................... 221,850
5,000 Three-Five Systems, Inc. *......................... 110,625
26,400 Toll Brothers, Inc. *.............................. 503,250
9,300 Toro Co............................................ 347,588
33,500 Tower Automotive, Inc. *........................... 663,719
15,900 Trimble Navigation, Ltd. *......................... 169,931
33,900 True North Communications, Inc..................... 1,233,113
9,500 U.S. Home Corp. *.................................. 264,219
15,200 Ultratech Stepper, Inc. *.......................... 193,800
8,800 Vital Signs, Inc................................... 179,300
7,300 Wall Data, Inc. *.................................. 39,238
20,500 Watsco, Inc........................................ 233,188
15,900 Winnebago Industries, Inc.......................... 380,606
29,400 Wolverine World Wide, Inc.......................... 334,425
26,000 Zale Corp. *....................................... 996,125
--------------
40,212,235
--------------
Finance - 11.50%
51,400 AmeriCredit Corp. *................................ 767,788
34,900 AMRESCO, Inc. *.................................... 104,700
17,900 Anchor Bancorp Wisconsin, Inc...................... 290,875
16,600 BankNorth Group, Inc............................... 495,925
9,300 Blanch (E.W.) Holdings, Inc........................ 605,663
26,400 Capital Re Corp.................................... 264,000
18,300 Carolina First Corp................................ 362,569
20,400 Centura Banks, Inc................................. 844,050
20,100 Chittenden Corp.................................... 572,850
19,700 Commerce Bancorp, Inc.............................. 817,550
43,400 Commercial Federal Corp............................ 851,725
33,700 Community First Bankshares, Inc.................... 568,688
38,300 Cullen/Frost Bankers, Inc.......................... 957,500
8,900 Dain Rauscher Corp................................. 436,100
14,500 Delphi Financial Group, Class A.................... 437,719
20,100 Downey Financial Corp.............................. 404,513
25,800 Eaton Vance Corp................................... 825,600
27,200 Enhance Financial Services Group, Inc.............. 481,100
21,700 Fidelity National Financial, Inc................... 329,569
46,200 First American Financial Corp...................... 617,925
20,200 First Midwest Bancorp, Inc......................... 771,388
20,900 FirstBancorp/Puerto Rico........................... 412,775
50,100 Fremont General Corp............................... 475,950
24,800 Frontier Insurance Group, Inc...................... 217,000
12,900 Gallagher (Arthur J.) & Co......................... 686,925
17,700 Hambrecht & Quist Group *.......................... 866,194
9,400 Hilb, Rogal & Hamilton Co.......................... 235,588
28,800 Hudson United Bancorp.............................. 887,400
17,100 Jefferies Group, Inc............................... 356,963
6,700 JSB Financial, Inc................................. 383,575
40,200 Legg Mason, Inc.................................... 1,540,163
17,300 MAF Bancorp........................................ 343,838
15,900 MDC Holdings, Inc.................................. 257,381
31,000 Mutual Risk Management, Ltd........................ 379,750
20,400 Orion Capital Corp................................. 966,450
18,800 Pioneer Group, Inc. *.............................. 282,000
18,700 Premier Bancshares, Inc............................ 327,250
17,400 Provident Bankshares Corp.......................... 370,294
15,400 Queens County Bancorp, Inc......................... 425,425
26,400 Radian Group, Inc.................................. 1,133,550
34,100 Raymond James Financial, Inc....................... 679,869
20,200 Riggs National Corp................................ 340,875
20,000 Selective Insurance Group, Inc..................... 377,500
14,900 Silicon Valley Bancshares *........................ 359,463
1 Sovereign Bancorp, Inc............................. 9
28,600 St. Paul Bancorp, Inc.............................. 654,225
26,400 Susquehanna Bancshares, Inc........................ 455,400
7,600 Trenwick Group, Inc................................ 125,875
19,300 Trustco Bank Corp.................................. 569,953
31,000 United Bankshares, Inc............................. 753,688
13,300 U.S. Trust Corp.................................... 1,068,988
30,500 UST Corp........................................... 937,875
16,500 Whitney Holding Corp............................... 567,188
12,200 Zenith National Insurance Co....................... 260,775
--------------
29,507,951
--------------
Capital Goods - 6.41%
7,600 Alliant Techsystems, Inc. *........................ 526,775
30,400 American Management Systems, Inc. *................ 779,950
27,800 Applied Power, Inc., Class A....................... 844,425
26,000 AptarGroup, Inc.................................... 695,500
25,900 Baldor Electric Co................................. 490,481
1,091 Blount International, Inc.......................... 14,723
21,600 Checkpoint Systems, Inc. *......................... 201,150
10,500 Commercial Metals Co............................... 301,875
36,200 Commscope, Inc. *.................................. 1,176,500
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
Small Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Capital Goods (continued)
44,200 Digital Microwave Corp. *.......................... $ 693,388
16,000 Dionex Corp. *..................................... 684,000
13,000 Drill-Quip, Inc. *................................. 332,313
14,100 Electroglas, Inc. *................................ 329,588
10,700 Gardner Denver, Inc.*.............................. 161,838
52,000 Gentex Corp. *..................................... 1,074,125
16,000 Global Industrial Technologies, Inc. *............. 195,000
22,300 Harland (John H.) Co............................... 433,456
11,000 Hologic, Inc. *.................................... 44,344
17,300 Hughes Supply, Inc................................. 376,275
21,100 IDEX Corp.......................................... 597,394
11,800 IMCO Recycling, Inc................................ 177,000
31,600 JLG Industries, Inc................................ 479,925
28,100 KEMET Corp. *...................................... 898,322
16,800 Kulicke & Soffa Industries, Inc. *................. 408,450
18,600 Manitowoc Co., Inc................................. 634,725
26,600 Orbital Sciences Corp. *........................... 465,500
15,000 Regal Beloit Corp.................................. 311,250
7,800 Robbins & Myers, Inc............................... 120,900
21,700 Roper Industries, Inc.............................. 830,025
13,100 Scott Technologies, Inc. *......................... 258,725
8,700 SEACOR SMIT, Inc. *................................ 445,875
12,900 Simpson Industries, Inc............................ 142,706
6,400 Skyline Corp....................................... 164,400
8,700 Southern Energy Homes, Inc. *...................... 22,838
13,300 Specialty Equipment Cos. Inc. *.................... 335,825
9,300 Stone & Webster, Inc............................... 260,400
9,700 TETRA Technologies, Inc. *......................... 98,819
14,900 Titan International, Inc........................... 152,725
17,300 Valmont Industries, Inc............................ 291,938
--------------
16,453,448
--------------
Basic Materials - 6.17%
7,800 Agribrands International, Inc. *................... 387,075
19,100 AMCOL International Corp........................... 281,725
15,200 Applied Industrial Technologies, Inc............... 273,600
13,600 Astec Industries, Inc. *........................... 328,100
14,000 Barnes Group, Inc.................................. 280,875
21,200 Birmingham Steel Corp.............................. 161,650
16,100 Brady Corp., Class A............................... 515,200
25,300 Buckeye Technologies, Inc. *....................... 396,894
17,600 Cambrex Corp....................................... 465,300
10,000 Castle (A.M.) & Co................................. 126,250
13,100 Chem First, Inc.................................... 357,794
11,400 Commonwealth Industries, Inc....................... 153,188
26,700 Corn Products International, Inc................... 812,681
19,700 CTS Corp........................................... 1,132,750
14,000 Elcor Corp......................................... 350,000
12,400 Esterline Technologies Corp. *..................... 195,300
13,500 Florida Rock Industries............................ 469,125
16,900 Geon Co............................................ 435,175
6,100 Insteel Industries, Inc............................ 54,900
8,800 Intermagnetics General Corp. *..................... 52,800
18,100 Intermet Corp...................................... 153,284
18,200 Justin Industries, Inc............................. 258,213
7,600 Lawson Products, Inc............................... 164,350
16,600 Lilly Industries, Inc., Class A.................... 226,175
14,000 Lone Star Industries, Inc.......................... 698,250
11,300 Lydall, Inc. *..................................... 116,531
18,000 MacDermid, Inc..................................... 613,125
18,700 Mississippi Chemical Corp.......................... 130,900
25,700 Mueller Industries, Inc. *......................... 762,969
17,000 OM Group, Inc...................................... 652,375
10,200 Quanex Corp........................................ 261,375
19,800 Reliance Steel & Aluminum Co....................... 415,800
13,100 Scotts Co., Class A *.............................. 453,588
19,600 Shorewood Packaging Corp. *........................ 265,825
8,300 Simpson Manufacturing Co., Inc. *.................. 389,063
26,900 Stillwater Mining Co. *............................ 722,938
11,600 Technitrol, Inc.................................... 408,900
11,500 Telxon Corp........................................ 96,313
15,000 Texas Industries, Inc.............................. 555,000
26,400 Tredegar Industries, Inc........................... 564,300
14,900 Universal Forest Products, Inc..................... 194,631
12,200 WHX Corp. *........................................ 122,000
9,600 Wolverine Tube, Inc. *............................. 148,800
13,400 Wynn's International, Inc.......................... 213,563
--------------
15,818,650
--------------
Utilities - 4.12%
6,400 American States Water Co........................... 212,000
8,100 Aquarion Co........................................ 290,588
34,200 Aspect Telecommunications Corp. *.................. 580,331
22,100 Atmos Energy Corp.................................. 533,163
5,300 Bangor Hydro-Electric Co........................... 87,450
7,900 Cascade Natural Gas Corp........................... 141,213
12,100 Central Hudson Gas & Electric Corp................. 476,438
8,200 Central Vermont Public Service Corp................ 108,138
9,700 CILCORP, Inc....................................... 628,681
7,700 Connecticut Energy Corp............................ 297,894
14,600 Eastern Utilities Associates....................... 436,175
3,800 Green Mountain Power Corp.......................... 39,425
12,800 New Jersey Resources Corp.......................... 512,000
17,800 Northwest Natural Gas Co........................... 459,463
16,400 NorthWestern Corp.................................. 373,100
1 NSTAR *............................................ 52
7,800 Pennsylvania Enterprises, Inc...................... 253,013
29,200 Philadelphia Suburban Corp......................... 688,025
22,100 Piedmont Natural Gas Co., Inc...................... 669,906
14,700 Public Service Co. of North Carolina............... 455,700
22,700 Southwest Gas Corp................................. 611,481
17,800 Southwestern Energy Co............................. 161,313
9,900 TNP Enterprises, Inc............................... 385,481
10,300 United Illuminating Co............................. 498,263
27,600 United Water Resources, Inc........................ 900,450
26,800 WICOR, Inc......................................... 778,875
--------------
10,578,618
--------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
Small Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
<C> <S> <C>
Transportation - 3.30%
23,900 Air Express International Corp..................... $ 542,231
22,700 American Freightways Corp. *....................... 412,856
14,000 Arkansas Best Corp. *.............................. 173,250
26,200 Central Parking Corp............................... 766,350
35,800 Expeditors International of Washington, Inc........ 1,148,956
26,000 Fritz Cos., Inc. *................................. 269,750
11,700 Frozen Food Express Industries, Inc................ 71,663
21,500 Heartland Express, Inc. *.......................... 303,688
8,100 Insurance Auto Auctions, Inc. *.................... 120,488
14,400 Kirby Corp. *...................................... 282,600
8,800 M.S. Carriers, Inc. *.............................. 211,200
10,200 Midwest Express Holdings, Inc. *................... 267,113
14,100 Monaco Coach Corp. *............................... 343,688
14,900 Pittston BAX Group................................. 120,131
6,600 Railtex, Inc. *.................................... 108,900
41,200 Rollins Truck Leasing Corp......................... 417,150
17,400 Skywest, Inc....................................... 381,713
11,500 Standard Products Co............................... 406,813
18,900 USFreightways Corp................................. 895,388
16,400 Wabash National Corp............................... 333,125
33,900 Werner Enterprises, Inc............................ 597,488
17,800 Yellow Corp. *..................................... 294,813
--------------
8,469,354
--------------
Energy - 2.96%
23,000 Barrett Resources Corp. *.......................... 849,563
21,200 Benton Oil & Gas Co. *............................. 56,975
17,700 Cabot Oil & Gas Corp., Class A..................... 305,325
34,900 Cross Timbers Oil Co............................... 471,150
21,300 Energen Corp....................................... 431,325
13,300 HS Resources, Inc. *............................... 217,788
29,300 Newfield Exploration Co. *......................... 965,069
16,200 Oceaneering International, Inc. *.................. 272,363
15,400 Offshore Logistics, Inc. *......................... 158,813
12,100 Plains Resources, Inc. *........................... 216,288
28,700 Pogo Producing Co.................................. 595,525
15,200 Pool Energy Services Co. *......................... 374,300
40,100 Pride International, Inc. *........................ 568,919
15,200 Remington Oil & Gas Corp. *........................ 86,450
17,000 Seitel, Inc. *..................................... 165,750
7,700 St. Mary Land & Exploration Co..................... 201,163
12,800 Stone Energy Corp. *............................... 651,200
31,700 Tuboscope Vetco International Corp. *.............. 394,269
44,400 Vintage Petroleum, Inc............................. 599,400
--------------
7,581,635
--------------
Business Services - 2.36%
26,600 Billing Concepts Corp. *........................... 133,000
13,200 DBT Online, Inc. *................................. 329,175
21,600 Hooper Holmes, Inc................................. 553,500
32,400 InaCom Corp. *..................................... 297,675
19,900 Information Resources, Inc. *...................... 220,144
18,300 Insight Enterprises, Inc. *........................ 594,750
30,400 Labor Ready, Inc. *................................ 305,900
13,300 Lason, Inc. *...................................... 592,266
10,300 New England Business Service, Inc.................. 294,194
33,500 Profit Recovery Group International, Inc. *........ 1,494,938
21,000 StaffMark, Inc. *.................................. 166,688
14,900 The Kroll-O'Gara Co. *............................. 248,644
60,400 U.S. Onocolgy, Inc. *.............................. 547,375
10,900 URS Corp. *........................................ 267,050
--------------
6,045,299
--------------
Building and Construction - 0.84%
45,900 D.R. Horton, Inc................................... 593,831
18,300 Dycom Industries, Inc. *........................... 772,031
38,000 Morrison Knudsen Corp. *........................... 391,875
12,500 Service Experts *.................................. 129,688
11,100 TJ International, Inc.............................. 278,888
--------------
2,166,313
--------------
Durable Goods - 0.81%
20,600 Halter Marine Group, Inc. *........................ 112,013
35,500 Read-Rite Corp. *.................................. 166,406
40,800 Valassis Communications, Inc. *.................... 1,792,650
--------------
2,071,069
--------------
Aerospace - Airlines - 0.23%
14,000 Atlantic Coast Airlines Holdings, Inc. *........... 248,500
10,500 Aviation Sales Co. *............................... 199,500
24,300 Mesa Air Group, Inc. *............................. 148,838
--------------
596,838
--------------
Consumer Products - 0.22%
15,800 Footstar, Inc. *................................... 556,950
--------------
Metals and Mining - 0.20%
11,700 Brush Wellman, Inc................................. 171,844
15,700 Coeur d'Alene Mines Corp. *........................ 73,594
39,600 HECLA Mining Co. *................................. 116,325
14,900 RTI International Metals, Inc. *................... 149,000
--------------
510,763
--------------
Total Common Stocks................................ 238,254,083
--------------
(Cost $246,208,295)
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
Small Company Index Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Par Value Value
- --------- -----
U.S. GOVERNMENT OBLIGATION (A) - 0.56%
<C> <S> <C>
U.S. Treasury Bill (B) - 0.56%
$ 1,500,000 4.88%, 06/22/00.................................... $ 1,446,330
--------------
Total U.S. Government Obligation................... 1,446,330
--------------
(Cost $1,446,172)
REPURCHASE AGREEMENT - 4.13%
10,599,000 Repurchase Agreement with:
State Street Bank
5.25%, 10/01/99, dated 09/30/99
Repurchase Price $10,600,546
(Collateralized by U.S. Treasury Bond
5.50%, Due 2000; Total Par $10,695,000
Market Value $10,815,319).......................... 10,599,000
--------------
Total Repurchase Agreement......................... 10,599,000
--------------
(Cost $10,599,000)
Total Investments - 97.57%........................................ 250,299,413
--------------
(Cost $258,253,467)
Net Other Assets and Liabilities - 2.43%.......................... 6,222,261
--------------
Net Assets - 100.00%.............................................. $ 256,521,674
==============
</TABLE>
- -----------------------------------
* Non-income producing security.
(A) Discounted yield at time of purchase.
(B) Security has been deposited as initial margin on open futures contracts.
At September 30, 1999 the Fund's open futures contracts were as follows:
Number of Contract Expiration Opening Current
Contracts Type Date Position Market Value
- --------- ---- ---- -------- ------------
34 Midcap 400 Dec-99 $ 6,414,545 $ 6,166,400
30 Russell 2000 Dec-99 6,594,575 6,442,500
------------ ------------
$ 13,009,120 $ 12,608,900
============ ============
See Notes to Financial Statements.
21
<PAGE>
Utility Index Fund
Portfolio of Investments
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Shares Value
- ------ -----
COMMON STOCKS - 98.79%
<C> <S> <C>
Utilities - 79.28%
35,300 AES Corp.*......................................... $ 2,082,700
25,200 Ameren Corp........................................ 952,875
35,500 American Electric Power Co., Inc................... 1,211,437
29,300 Carolina Power & Light Co.......................... 1,036,487
39,100 Central & South West Corp.......................... 825,987
29,200 Cinergy Corp....................................... 826,725
15,100 Columbia Energy Group.............................. 836,163
40,600 Consolidated Edison, Inc........................... 1,684,900
17,600 Consolidated Natural Gas Co........................ 1,097,800
27,500 Constellation Energy Group......................... 773,437
26,600 DTE Energy Co...................................... 960,925
35,300 Dominion Resources, Inc............................ 1,592,913
67,000 Duke Energy Corp................................... 3,693,375
63,800 Edison International............................... 1,551,137
45,300 Entergy Corp....................................... 1,310,868
18,000 Florida Progress Corp.............................. 832,500
32,900 FPL Group, Inc..................................... 1,657,338
23,000 GPU, Inc........................................... 750,375
21,200 New Century Energies, Inc.......................... 708,875
34,400 Niagara Mohawk Power Corp.*........................ 531,050
8,700 NICOR, Inc......................................... 323,531
28,300 Northern States Power Co........................... 610,219
5,800 Oneok, Inc......................................... 175,813
54,600 PacifiCorp......................................... 1,098,825
34,300 PECO Energy Co..................................... 1,286,250
6,500 Peoples Energy Corp................................ 228,719
70,500 PG & E Corp........................................ 1,824,188
29,000 PP & L Resources, Inc.............................. 784,812
40,300 Public Service Enterprise Group, Inc............... 1,556,588
54,300 Reliant Energy, Inc................................ 1,469,494
125,500 Southern Co........................................ 3,231,625
50,800 Texas Utilities Co................................. 1,895,475
39,900 Unicom Corp........................................ 1,473,806
79,800 Williams Cos., Inc................................. 2,987,512
--------------
43,864,724
--------------
Energy - 19.51%
21,700 CMS Energy Corp.................................... $ 736,444
39,200 Coastal Corp....................................... 1,604,750
4,900 Eastern Enterprises................................ 227,544
131,100 Enron Corp......................................... 5,407,875
43,000 FirstEnergy Corp................................... 1,096,500
44,200 Sempra Energy...................................... 919,912
20,200 Sonat, Inc......................................... 801,688
--------------
10,794,713
--------------
Total Common Stocks................................ 54,659,437
--------------
(Cost $45,758,557)
<CAPTION>
Par Value
- ---------
REPURCHASE AGREEMENT - 0.69%
<C> <S> <C>
$ 384,000 Repurchase Agreement with:
State Street Bank
5.25%, 10/01/99, dated 09/30/99
Repurchase Price $384,056
(Collateralized by U.S. Treasury Note
5.50%, Due 2000; Total Par $390,000
Market Value $394,388)............................. 384,000
--------------
Total Repurchase Agreement......................... 384,000
--------------
(Cost $384,000)
Total Investments - 99.48%........................................ 55,043,437
--------------
(Cost $46,142,557)
Net Other Assets and Liabilities - 0.52%......................... 288,434
--------------
Net Assets - 100.00%.............................................. $ 55,331,871
==============
- ------------------------------------
* Non-income producing security.
</TABLE>
See Notes to Financial Statements.
22
<PAGE>
U.S. Treasury Index Fund
Portfolio of Investments
September 30, 1999 (unaudited)
Par Value Value
- --------- -----
U.S. GOVERNMENT OBLIGATIONS - 97.79%
U.S. Treasury Notes - 66.12%
$ 10,150,000 5.63%, 11/30/00..................... $ 10,162,079
12,450,000 5.00%, 02/28/01..................... 12,358,990
14,700,000 6.50%, 05/31/01..................... 14,898,892
4,250,000 7.50%, 11/15/01..................... 4,403,042
4,600,000 6.63%, 04/30/02..................... 4,701,614
8,000,000 6.38%, 08/15/02..................... 8,138,400
20,450,000 6.25%, 08/31/02..................... 20,730,370
2,400,000 5.50%, 02/28/03..................... 2,379,288
4,250,000 5.38%, 06/30/03..................... 4,189,522
4,350,000 7.25%, 05/15/04..................... 4,589,511
3,750,000 7.25%, 08/15/04..................... 3,962,925
4,250,000 5.88%, 11/15/05..................... 4,227,050
11,275,000 7.00%, 07/15/06..................... 11,843,486
5,350,000 6.50%, 10/15/06..................... 5,473,852
9,100,000 5.63%, 05/15/08..................... 8,836,464
---------------
120,895,485
---------------
U.S. Treasury Bonds - 31.67%
1,200,000 10.75%, 08/15/05.................... 1,474,452
2,700,000 12.00%, 08/15/13.................... 3,731,184
3,730,000 11.75%, 11/15/14.................... 5,230,430
8,900,000 7.50%, 11/15/16..................... 9,859,242
3,939,000 8.88%, 08/15/17..................... 4,938,324
3,221,000 8.50%, 02/15/20..................... 3,959,189
2,000,000 7.88%, 02/15/21..................... 2,327,840
5,900,000 8.13%, 08/15/21..................... 7,049,202
10,150,000 7.50%, 11/15/24..................... 11,548,873
8,000,000 6.13%, 11/15/27..................... 7,774,880
---------------
57,893,616
---------------
Total U.S. Government Obligations .. 178,789,101
---------------
(Cost $182,991,523)
REPURCHASE AGREEMENT - 0.69%
$ 1,265,000 Repurchase Agreement with:
State Street Bank
5.25%, 10/01/99, dated 09/30/99
Repurchase Price $1,265,184
(Collateralized by U.S. Treasury Bond
5.50%, Due 2000; Total Par $1,280,000,
Market Value $1,312,000)................ $ 1,265,000
---------------
Total Repurchase Agreement.............. 1,265,000
---------------
(Cost $1,265,000)
Total Investments - 98.48%............................. 180,054,101
---------------
(Cost $184,256,523)
Net Other Assets and Liabilities - 1.52%............... 2,776,685
---------------
Net Assets - 100.00%................................... $ 182,830,786
===============
See Notes to Financial Statements.
23
<PAGE>
Municipal Bond Fund
Portfolio of Investments
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Par Value Value
- --------- -----
MUNICIPAL BONDS - 95.89%
<C> <S> <C>
Alabama - 1.92%
$ 400,000 Auburn University Athletics
5.20%, 04/01/04
Insured: MBIA...................................... $ 410,000
--------------
Arizona - 5.00%
250,000 Maricopa County School District 1
Elementary Project of 1998, Series A
6.00%, 07/01/11
Insured: FSA....................................... 267,813
750,000 Maricopa County School District 4, GO
Mesa University, Series A,
Prerefunded 07/01/05
5.65%, 07/01/11
Insured: FGIC...................................... 801,562
--------------
1,069,375
--------------
Colorado - 2.44%
500,000 Jefferson County School District
Number R-001, GO
5.50%, 12/15/06
Insured: MBIA...................................... 521,875
--------------
Florida - 7.42%
1,000,000 Florida State Board of Education
Capital Outlay, Public Education
Series A, GO, Prerefunded 06/01/04
5.70%, 06/01/08
Insured: AMBAC..................................... 1,061,250
540,000 Tampa Bay Water Utility
Systems Revenue, Series B
5.13%, 10/01/13
Insured: FGIC...................................... 527,175
--------------
1,588,425
--------------
Illinois - 4.97%
500,000 Illinois State Sales Tax Revenue
Series V
6.00%, 06/15/08.................................... 532,500
500,000 Kane County Community School District
Number 304, Geneva GO
6.00%, 06/01/04
Insured: FGIC...................................... 530,625
--------------
1,063,125
--------------
Maryland - 4.75%
1,000,000 Maryland State, GO
State and Local Facilities Loan
Second Series
5.00%, 07/15/07.................................... 1,017,500
--------------
Massachusetts - 8.04%
500,000 Massachusetts Bay Transportation
Authority General Transportation System
Revenue, Series C
5.25%, 03/01/07.................................... 512,500
500,000 Massachusetts State Construction Loan
Series B, GO
5.00%, 05/01/19.................................... 450,000
250,000 Massachusetts State Federal Highway
Grant Anticipation Note, Series A
5.25%, 12/15/12.................................... 248,437
500,000 Springfield, Series B, GO
5.05%, 01/15/04
Insured: MBIA...................................... 509,375
--------------
1,720,312
--------------
Michigan - 3.29%
750,000 Michigan State Building Authority Revenue
Facilities Program, Series II
5.05%, 10/15/14.................................... 705,000
--------------
Missouri - 4.95%
1,000,000 Sikeston Electric Revenue
6.00%, 06/01/04
Insured: MBIA...................................... 1,060,000
--------------
Nevada - 2.41%
500,000 Las Vegas Valley
Water District Revenue, GO
5.40%, 09/01/04
Insured: AMBAC..................................... 516,250
--------------
New Jersey - 6.51%
750,000 New Jersey Health Care Facilities
Financing Authority, Dover General
Hospital and Medical Center
5.60%, 07/01/02
Insured: MBIA...................................... 775,313
600,000 New Jersey State Transportation Authority
Transportation System Revenue, Series A
5.63%, 06/15/12.................................... 618,750
--------------
1,394,063
--------------
New York - 10.86%
750,000 Long Island Power Authority
New York Electric Systems Revenue
Series A
5.50%, 12/01/12
Insured: FSA....................................... 771,563
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
Municipal Bond Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Par Value Value
- --------- -----
<C> <S> <C>
New York (continued)
$ 500,000 Nassau County IDA
Civic Facility Revenue
Hofstra University Project
5.25%, 07/01/08
Insured: MBIA...................................... $ 511,875
500,000 New York State Dormitory Authority
Revenue, City University System
Consolidated, Series A
5.50%, 07/01/02.................................... 513,750
500,000 New York State Environmental
Facilities Corp., PCR, State Water
Revolving Fund, NYC Municipal Water
5.75%, 06/15/09.................................... 527,500
--------------
2,324,688
--------------
Ohio - 2.30%
500,000 Franklin County Convention Facilities
Authority Tax and Lease Revenue
Anticipation Bonds
5.00%, 12/01/11
Insured: MBIA...................................... 492,500
--------------
Oklahoma - 3.58%
750,000 Oklahoma State Capital Improvement
Authority, Highway Capital
Improvement Revenue
5.00%, 06/01/05
Insured: MBIA...................................... 765,937
--------------
Tennessee - 2.30%
500,000 Tennessee State, Series A
5.00%, 05/01/12.................................... 491,875
--------------
Texas - 4.53%
500,000 Carrollton Farmers Branch
Independent School District, GO
5.10%, 02/15/04.................................... 509,375
500,000 Judson Independent School District, GO
5.00%, 02/01/17
Insured: PSF....................................... 460,625
--------------
970,000
--------------
Utah - 2.38%
500,000 Utah State, Series A, GO
5.00%, 07/01/05.................................... 510,000
--------------
Virginia - 6.02%
500,000 University of Virginia
University Revenue, Series A
5.13%, 06/01/10.................................... 501,250
750,000 Virginia State Transportation Board
Transportation Contract Revenue
Route 28 Project
6.00%, 04/01/10.................................... 787,500
--------------
1,288,750
--------------
Washington - 4.84%
750,000 Seattle Municipal Light &
Power Revenue, Series B
5.75%, 08/01/07.................................... 780,000
250,000 Seattle Water System Revenue
5.38%, 08/01/09.................................... 255,312
--------------
1,035,312
--------------
West Virginia - 3.81%
500,000 West Virginia School Building Authority
Refunding, Capital Improvement
5.30%, 07/01/09
Insured: AMBAC..................................... 513,125
300,000 West Virginia State Housing
Development Fund, Housing Finance
Series A
5.55%, 11/01/10.................................... 303,375
--------------
816,500
--------------
Wisconsin - 3.57%
750,000 Milwaukee Corporate Purpose
Series A, GO, Prerefunded 06/15/01
5.50%, 06/15/08.................................... 765,000
--------------
Total Municipal Bonds.............................. 20,526,487
--------------
(Cost $20,528,773)
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
Municipal Bond Fund
Portfolio of Investments (continued)
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Par Value Value
- --------- -----
COMMERCIAL PAPER - 3.27%
<C> <S> <C>
$ 600,000 Jacksonville Electric Authority
3.30%, 10/06/99.................................... $ 599,946
100,000 State of Wisconsin, Series 98B, GO
3.35%, 10/06/99.................................... 99,992
--------------
Total Commercial Paper............................. 699,938
--------------
(Cost $700,000)
<CAPTION>
Shares
------
INVESTMENT COMPANIES - 2.38%
<C> <S> <C>
352 Dreyfus Tax-Exempt Cash Management Fund............ 352
508,665 Federated Tax-Exempt Obligations Fund.............. 508,665
--------------
Total Investment Companies......................... 509,017
--------------
(Cost $509,017)
Total Investments - 101.54%....................................... 21,735,442
--------------
(Cost $21,737,790)
Net Other Assets and Liabilities - (1.54)%........................ (329,153)
--------------
Net Assets - 100.00%.............................................. $ 21,406,289
==============
</TABLE>
- -------------------------------------
AMBAC American Municipal Bond Assurance Corp.
FGIC Financial Guaranty Insurance Corp.
FSA Financial Security Assurance Corp.
GO General Obligation
IDA Industrial Development Authority
MBIA Municipal Bond Insurance Association
PCR Pollution Control Revenue
PSF Permanent School Fund Guaranteed
See Notes to Financial Statements.
26
<PAGE>
This page left blank intentionally.
<PAGE>
Galaxy Fund II
Statements of Assets and Liabilities
September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Large Small U.S.
Company Company Utility Treasury Municipal
Index Fund Index Fund Index Fund Index Fund Bond Fund
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments (Note 2):
Investments at cost .......................... $ 527,930,755 $ 247,654,467 $ 45,758,557 $ 182,991,523 $ 21,737,790
Repurchase agreement ......................... 8,302,000 10,599,000 384,000 1,265,000 --
Net unrealized appreciation (depreciation) ... 364,687,521 (7,954,054) 8,900,880 (4,202,422) (2,348)
------------- ------------- ------------- ------------- -------------
Total investments at value ................. 900,920,276 250,299,413 55,043,437 180,054,101 21,735,442
Cash ......................................... -- -- 882 361 786
Receivable for investments sold .............. -- 5,421,613 -- -- --
Receivable for shares sold ................... 587,194 1,101,351 200,053 920,001 81,691
Receivable for daily variation margin
on futures contracts ....................... 133,205 82,995 -- -- --
Interest and dividend receivables ............ 985,790 123,330 137,313 2,935,532 332,270
------------- ------------- ------------- ------------- -------------
Total Assets ............................... 902,626,465 257,028,702 55,381,685 183,909,995 22,150,189
------------- ------------- ------------- ------------- -------------
LIABILITIES:
Payable for investments purchased ............. 2,354,818 290,652 -- -- 621,073
Payable for shares repurchased ................ 1,642,064 113,698 31,082 137,424 37,644
Due to custodian .............................. 6,469 16,841 -- -- --
Distributions payable ......................... -- -- -- 880,661 74,564
Advisory fee payable (Note 4) ................. 77,111 21,328 4,682 15,250 4,427
Sub-account services fee payable (Note 4) ..... 51,262 524 9 123 --
Administration fee payable (Note 4) ........... 231,335 63,985 14,041 45,751 6,192
------------- ------------- ------------- ------------- -------------
Total Liabilities .......................... 4,363,059 507,028 49,814 1,079,209 743,900
------------- ------------- ------------- ------------- -------------
NET ASSETS: ..................................... $ 898,263,406 $ 256,521,674 $ 55,331,871 $ 182,830,786 $ 21,406,289
============= ============= ============= ============= =============
NET ASSETS consist of:
Par value (Note 3) ............................ $ 24,320 $ 15,478 $ 3,981 $ 17,934 $ 2,100
Paid-in capital in excess of par value ........ 512,941,461 240,966,770 44,992,300 191,791,518 22,110,105
Undistributed net
investment income ............................ 6,377,291 1,094,244 74,685 567,625 22,997
Accumulated net realized gain (loss) on
investments sold and futures contracts ....... 14,587,928 22,799,456 1,360,025 (5,343,869) (726,565)
Unrealized appreciation (depreciation) of
investments and futures contracts ............ 364,332,406 (8,354,274) 8,900,880 (4,202,422) (2,348)
------------- ------------- ------------- ------------- -------------
TOTAL NET ASSETS ................................ $ 898,263,406 $ 256,521,674 $ 55,331,871 $ 182,830,786 $ 21,406,289
============= ============= ============= ============= =============
Shares of beneficial interest outstanding ....... 24,319,742 15,477,647 3,980,870 17,933,915 2,099,744
NET ASSET VALUE,
offering and redemption price per share
(Net Assets / Shares Outstanding) ............. $ 36.94 $ 16.57 $ 13.90 $ 10.19 $ 10.19
============= ============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Galaxy Fund II
Statements of Operations
For the six months ended September 30, 1999 (unaudited)
<TABLE>
<CAPTION>
Large Small U.S.
Company Company Utility Treasury Municipal
Index Fund Index Fund Index Fund Index Fund Bond Fund
------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest (Note 2) .............................. $ 742,186 $ 202,469 $ 8,513 $ 5,994,288 $ 536,470
Dividends (Note 2) ............................. 5,931,196 1,067,944 1,122,925 -- 6,050
------------- ------------- ------------- ------------- -------------
Total investment income ....................... 6,673,382 1,270,413 1,131,438 5,994,288 542,520
------------- ------------- ------------- ------------- -------------
EXPENSES:
Investment advisory fee (Note 4) ............... 455,696 134,242 29,429 95,858 28,301
Sub-account services fee (Note 4) .............. 337,506 10,223 68 8,538 --
Administration fee (Note 4) .................... 1,367,087 402,725 88,220 287,573 39,622
Trustees' fee (Note 4) ......................... 8,290 2,446 539 1,776 198
------------- ------------- ------------- ------------- -------------
Total expenses before reimbursement ........... 2,168,579 549,636 118,256 393,745 68,121
------------- ------------- ------------- ------------- -------------
Less: reimbursement by
sub-administrator (Note 4) .................. (8,290) (2,446) (539) (1,776) (198)
------------- ------------- ------------- ------------- -------------
Total expenses net of reimbursement ........... 2,160,289 547,190 117,717 391,969 67,923
------------- ------------- ------------- ------------- -------------
NET INVESTMENT INCOME ............................ 4,513,093 723,223 1,013,721 5,602,319 474,597
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain (loss) on investments sold ... 6,579,017 9,754,124 1,118,906 (1,823,480) (70,731)
Net realized gain (loss) on futures contracts .. (396,073) 449,065 -- -- --
Net change in unrealized appreciation
(depreciation) on investments
and futures contracts ......................... (13,409,423) 11,941,541 1,285,081 (4,645,700) (808,948)
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS ....................... (7,226,479) 22,144,730 2,403,987 (6,469,180) (879,679)
------------- ------------- ------------- ------------- -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS ................. $ (2,713,386) $ 22,867,953 $ 3,417,708 $ (866,861) $ (405,082)
============= ============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
29
<PAGE>
Galaxy Fund II
Statements of Changes in Net Assets
<TABLE>
<CAPTION>
Large Company Index Fund Small Company Index Fund
---------------------------------- -----------------------------------
Six months Year Six months Year
ended September 30, ended ended September 30, ended
1999 March 31, 1999 March 31,
(unaudited) 1999 (unaudited) 1999
------------- ------------- ------------- -------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period ...................... $ 828,899,259 $ 626,739,815 $ 259,903,218 $ 399,161,589
------------- ------------- ------------- -------------
Increase (Decrease) in net assets
resulting from operations:
Net investment income ................................ 4,513,093 7,652,332 723,223 1,781,411
Net realized gain (loss) on investments sold
and futures contracts ............................... 6,182,944 9,491,737 10,203,189 26,122,840
Net change in unrealized appreciation
(depreciation) of investments
and futures contracts ............................... (13,409,423) 103,150,294 11,941,541 (101,734,129)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
resulting from operations ......................... (2,713,386) 120,294,363 22,867,953 (73,829,878)
------------- ------------- ------------- -------------
Dividends to shareholders from:
Net investment income ................................ -- (7,495,542) -- (1,496,765)
Net realized gain on investments ..................... -- (8,218,686) -- (25,318,420)
------------- ------------- ------------- -------------
Total Dividends ..................................... -- (15,714,228) -- (26,815,185)
------------- ------------- ------------- -------------
Share transactions:
Net proceeds from sales of shares .................... 178,853,832 270,792,138 55,072,588 172,983,187
Issued to shareholders in reinvestment
of dividends ........................................ -- 14,297,984 -- 25,680,426
Cost of shares repurchased ........................... (106,776,299) (187,510,813) (81,322,085) (237,276,921)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets
from share transactions ............................ 72,077,533 97,579,309 (26,249,497) (38,613,308)
------------- ------------- ------------- -------------
Net increase (decrease) in net assets ............... 69,364,147 202,159,444 (3,381,544) (139,258,371)
------------- ------------- ------------- -------------
NET ASSETS at end of period (including line A) ......... $ 898,263,406 $ 828,899,259 $ 256,521,674 $ 259,903,218
============= ============= ============= =============
(A) Undistributed net investment income .............. $ 6,377,291 $ 1,864,198 $ 1,094,244 $ 371,021
============= ============= ============= =============
OTHER INFORMATION:
Share transactions:
Sold ................................................. 4,644,022 8,069,826 3,290,098 9,167,908
Issued to shareholders in reinvestment
of dividends ........................................ -- 420,937 -- 1,645,232
Repurchased .......................................... (2,788,441) (5,660,093) (4,883,426) (12,997,298)
------------- ------------- ------------- -------------
Net increase (decrease) in shares outstanding ....... 1,855,581 2,830,670 (1,593,328) (2,184,158)
============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
<TABLE>
<CAPTION>
Utility Index Fund U.S. Treasury Index Fund Municipal Bond Fund
---------------------------------- ---------------------------------- -----------------------------------
Six months Year Six months Year Six months Year
ended September 30, ended ended September 30, ended ended September 30, ended
1999 March 31, 1999 March 31, 1999 March 31,
(unaudited) 1999 (unaudited) 1999 (unaudited) 1999
------------- ------------- ------------- ------------- ------------- -------------
<S> <C> <C> <C> <C> <C>
$ 55,130,734 $ 55,864,298 $ 202,419,601 $ 118,367,938 $ 21,606,862 $ 18,146,608
------------- ------------- ------------- ------------- ------------- -------------
1,013,721 2,106,127 5,602,319 9,184,219 474,597 806,140
1,118,906 1,091,382 (1,823,480) 1,324,345 (70,731) 205,546
1,285,081 (4,268,548) (4,645,700) (2,789,656) (808,948) (85,148)
------------- ------------- ------------- ------------- ------------- -------------
3,417,708 (1,071,039) (866,861) 7,718,908 (405,082) 926,538
------------- ------------- ------------- ------------- ------------- -------------
(1,024,966) (2,020,197) (5,602,319) (9,184,219) (474,597) (806,140)
-- (576,213) -- -- -- --
------------- ------------- ------------- ------------- ------------- -------------
(1,024,966) (2,596,410) (5,602,319) (9,184,219) (474,597) (806,140)
------------- ------------- ------------- ------------- ------------- -------------
4,816,572 8,778,290 38,603,454 140,419,018 6,252,043 7,052,544
932,283 2,378,235 4,338,672 7,082,284 320,004 673,733
(7,940,460) (8,222,640) (56,061,761) (61,984,328) (5,892,941) (4,386,421)
------------- ------------- ------------- ------------- ------------- -------------
(2,191,605) 2,933,885 (13,119,635) 85,516,974 679,106 3,339,856
------------- ------------- ------------- ------------- ------------- -------------
201,137 (733,564) (19,588,815) 84,051,663 (200,573) 3,460,254
------------- ------------- ------------- ------------- ------------- -------------
$ 55,331,871 $ 55,130,734 $ 182,830,786 $ 202,419,601 $ 21,406,289 $ 21,606,862
============= ============= ============= ============= ============= =============
$ 74,685 $ 85,930 $ 567,625 $ 567,625 $ 22,997 $ 22,997
============= ============= ============= ============= ============= =============
331,724 607,668 3,731,564 13,043,471 596,351 668,030
62,490 164,843 421,750 659,482 28,189 63,633
(544,227) (580,292) (5,426,421) (5,763,875) (565,566) (417,603)
------------- ------------- ------------- ------------- ------------- -------------
(150,013) 192,219 (1,273,107) 7,939,078 58,974 314,060
============= ============= ============= ============= ============= =============
</TABLE>
See Notes to Financial Statements.
31
<PAGE>
Large Company Index Fund
Financial Highlights
For a Share outstanding throughout each period
<TABLE>
<CAPTION>
Six months ended
September 30, Years ended March 31,
1999 -------------------------------------------------------------
(unaudited) 1999 1998 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period ......... $ 36.90 $ 31.92 $ 23.09 $ 20.06 $ 15.76 $ 14.36
--------- --------- --------- --------- --------- ---------
Income from Investment Operations:
Net investment income(1) ................... 0.18 0.35 0.40 0.43 0.38 0.37
Net realized and unrealized gain (loss)
on investments and futures contracts ...... (0.14) 5.38 10.23 3.41 4.57 1.73
--------- --------- --------- --------- --------- ---------
Total from Investment Operations ........ 0.04 5.73 10.63 3.84 4.95 2.10
--------- --------- --------- --------- --------- ---------
Less Dividends:
Dividends from net investment income ....... -- (0.36) (0.44) (0.38) (0.31) (0.37)
Dividends from net realized capital gains .. -- (0.39) (1.36) (0.43) (0.34) (0.33)
--------- --------- --------- --------- --------- ---------
Total Dividends ......................... -- (0.75) (1.80) (0.81) (0.65) (0.70)
--------- --------- --------- --------- --------- ---------
Net increase in net asset value .............. 0.04 4.98 8.83 3.03 4.30 1.40
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of period ............... $ 36.94 $ 36.90 $ 31.92 $ 23.09 $ 20.06 $ 15.76
========= ========= ========= ========= ========= =========
Total Return ................................. 0.11%** 18.15% 47.29% 19.32% 31.80% 15.07%
Ratios/Supplemental Data:
Net assets, End of period (in 000's) ......... $ 898,263 $ 828,899 $ 626,740 $ 421,652 $ 240,689 $ 147,597
Ratios to average net assets:
Net investment income including
reimbursement ............................. 0.99%* 1.11% 1.44% 2.19% 2.11% 2.48%
Operating expenses including
reimbursement ............................. 0.47%* 0.47% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement ............................. 0.48%* 0.47% 0.40% 0.40% 0.41% 0.41%
Portfolio turnover rate ...................... 1%** 3% 3% 11% 5% 7%
</TABLE>
- -------------------------
* Annualized
** Not annualized
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the six months ended September 30, 1999
(unaudited) and the years ended March 31, 1999, 1998, 1997, 1996 and 1995
was $0.18, $0.35, $0.40, $0.43, $0.38 and $0.37, respectively.
See Notes to Financial Statements.
32
<PAGE>
Small Company Index Fund
Financial Highlights
For a Share outstanding throughout each period
<TABLE>
<CAPTION>
Six months ended
September 30, Years ended March 31,
1999 -----------------------------------------------------------------
(unaudited) 1999 1998* 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period ......... $ 15.22 $ 20.73 $ 22.64 $ 22.30 $ 17.62 $ 17.49
--------- --------- --------- --------- --------- ---------
Income from Investment Operations:
Net investment income(1) ................... 0.05 0.10 0.27 0.38 0.32 0.32
Net realized and unrealized gain (loss)
on investments and futures contracts ...... 1.30 (4.04) 7.64 1.76 5.07 0.91
--------- --------- --------- --------- --------- ---------
Total from Investment Operations ........ 1.35 (3.94) 7.91 2.14 5.39 1.23
--------- --------- --------- --------- --------- ---------
Less Dividends:
Dividends from net investment income ....... -- (0.09) (0.33) (0.34) (0.38) (0.32)
Dividends from net realized capital gains .. -- (1.48) (9.49) (1.46) (0.33) (0.78)
--------- --------- --------- --------- --------- ---------
Total Dividends ......................... -- (1.57) (9.82) (1.80) (0.71) (1.10)
--------- --------- --------- --------- --------- ---------
Net increase (decrease) in net asset value ... 1.35 (5.51) (1.91) 0.34 4.68 0.13
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of period ............... $ 16.57 $ 15.22 $ 20.73 $ 22.64 $ 22.30 $ 17.62
========= ========= ========= ========= ========= =========
Total Return ................................. 8.80%*** (19.19)% 41.22% 9.60% 30.85% 7.60%
Ratios/Supplemental Data:
Net assets, End of period (in 000's) ......... $ 256,522 $ 259,903 $ 399,162 $ 309,474 $ 291,724 $ 235,295
Ratios to average net assets:
Net investment income including
reimbursement ............................. 0.54%** 0.56% 0.97% 1.59% 1.52% 1.72%
Operating expenses including
reimbursement ............................. 0.41%** 0.40% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement ............................. 0.41%** 0.41% 0.40% 0.40% 0.41% 0.40%
Portfolio turnover rate ...................... 13%*** 22% 99% 8% 14% 10%
</TABLE>
- ---------------------------
* At a Special Meeting of Shareholders of the Small Company Index Fund held on
May 9, 1997, shareholders approved a change in the Fund's target index from
the Russell Special Small Company Index to the Standard & Poor's Small Cap
600 Stock Price Index.
** Annualized
*** Not annualized
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the six months ended September 30, 1999
(unaudited) and the years ended March 31, 1999, 1998, 1997, 1996 and 1995
was $0.05, $0.10, $0.27, $0.38, $0.31 and $0.31, respectively.
See Notes to Financial Statements.
33
<PAGE>
Utility Index Fund
Financial Highlights
For a Share outstanding throughout each period
<TABLE>
<CAPTION>
Six months ended
September 30, Years ended March 31,
1999 ------------------------------------------------------------
(unaudited) 1999 1998* 1997 1996 1995
--------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period ......... $ 13.35 $ 14.18 $ 11.42 $ 12.03 $ 9.88 $ 9.99
-------- -------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income(1) ................... 0.26 0.53 0.54 0.49 0.44 0.47
Net realized and unrealized gain (loss)
on investments ........................... 0.55 (0.71) 3.71 (0.09) 2.15 (0.03)
-------- -------- -------- -------- -------- --------
Total from Investment Operations ........ 0.81 (0.18) 4.25 0.40 2.59 0.44
-------- -------- -------- -------- -------- --------
Less Dividends:
Dividends from net investment income ....... (0.26) (0.51) (0.60) (0.46) (0.44) (0.46)
Dividends from net realized capital gains .. -- (0.14) (0.82) (0.55) -- (0.08)
Dividends in excess of net
realized capital gains .................... -- -- -- -- -- (0.01)
Return of capital .......................... -- -- (0.07) -- -- --
-------- -------- -------- -------- -------- --------
Total Dividends ......................... (0.26) (0.65) (1.49) (1.01) (0.44) (0.55)
-------- -------- -------- -------- -------- --------
Net increase (decrease) in net asset value ... 0.55 (0.83) 2.76 (0.61) 2.15 (0.11)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of period ............... $ 13.90 $ 13.35 $ 14.18 $ 11.42 $ 12.03 $ 9.88
======== ======== ======== ======== ======== ========
Total Return ................................. 5.93%*** (1.53)% 39.07% 3.46% 26.61% 4.67%
Ratios/Supplemental Data:
Net assets, End of period (in 000's) ......... $ 55,332 $ 55,131 $ 55,864 $ 45,582 $ 56,383 $ 52,831
Ratios to average net assets:
Net investment income including
reimbursement ............................. 3.44%** 3.72% 4.24% 3.96% 3.79% 4.62%
Operating expenses including
reimbursement ............................. 0.40%** 0.40% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement ............................. 0.40%** 0.40% 0.40% 0.40% 0.41% 0.41%
Portfolio turnover rate ...................... 4%*** 8% 72% 170% 12% 5%
</TABLE>
- ------------------------------
* At a Special Meeting of Shareholders of the Utility Index Fund held on May
9, 1997, shareholders approved a change in the Fund's target index from the
Russell 1000 Utility Index to the Standard & Poor's Utilities Composite
Stock Price Index.
** Annualized
*** Not annualized
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the six months ended September 30, 1999
(unaudited) and the years ended March 31, 1999, 1998, 1997, 1996 and 1995
was $0.26, $0.53, $0.54, $0.49, $0.44 and $0.47, respectively.
See Notes to Financial Statements.
34
<PAGE>
U.S. Treasury Index Fund
Financial Highlights
For a Share outstanding throughout each period
<TABLE>
<CAPTION>
Six months ended
September 30, Years ended March 31,
1999 -----------------------------------------------------------------
(unaudited) 1999 1998 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period ......... $ 10.54 $ 10.50 $ 9.99 $ 10.24 $ 9.91 $ 10.38
--------- --------- --------- --------- --------- ---------
Income from Investment Operations:
Net investment income(1) ................... 0.30 0.61 0.63 0.64 0.66 0.65
Net realized and unrealized gain (loss)
on investments ............................ (0.35) 0.05 0.51 (0.25) 0.33 (0.29)
--------- --------- --------- --------- --------- ---------
Total from Investment Operations ........ (0.05) 0.66 1.14 0.39 0.99 0.36
--------- --------- --------- --------- --------- ---------
Less Dividends:
Dividends from net investment income ....... (0.30) (0.62) (0.63) (0.64) (0.65) (0.66)
Dividends in excess of net
investment income ......................... -- -- -- -- (0.01) (0.01)
Dividends in excess of net realized
capital gains ............................. -- -- -- -- -- (0.16)
--------- --------- --------- --------- --------- ---------
Total Dividends ......................... (0.30) (0.62) (0.63) (0.64) (0.66) (0.83)
--------- --------- --------- --------- --------- ---------
Net increase (decrease) in net asset value ... (0.35) 0.04 0.51 (0.25) 0.33 (0.47)
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of period ............... $ 10.19 $ 10.54 $ 10.50 $ 9.99 $ 10.24 $ 9.91
========= ========= ========= ========= ========= =========
Total Return ................................. (0.44)%** 6.38% 11.72% 3.91% 10.09% 3.81%
Ratios/Supplemental Data:
Net assets, End of period (in 000's) ......... $ 182,831 $ 202,420 $ 118,368 $ 111,313 $ 124,944 $ 104,251
Ratios to average net assets:
Net investment income including
reimbursement ............................. 5.84%* 5.77% 6.12% 6.31% 6.35% 6.43%
Operating expenses including
reimbursement ............................. 0.41%* 0.41% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement ............................. 0.41%* 0.41% 0.40% 0.40% 0.41% 0.41%
Portfolio turnover rate ...................... 25%** 70% 79% 39% 35% 50%
</TABLE>
- ---------------------------
* Annualized
** Not annualized
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the six months ended September 30, 1999
(unaudited) and the years ended March 31, 1999, 1998, 1997, 1996 and 1995
was $0.30, $0.62, $0.63, $0.64, $0.66 and $0.65, respectively.
See Notes to Financial Statements.
35
<PAGE>
Municipal Bond Fund
Financial Highlights
For a Share outstanding throughout each period
<TABLE>
<CAPTION>
Six months ended
September 30, Years ended March 31,
1999 ------------------------------------------------------------
(unaudited) 1999 1998 1997 1996 1995
--------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period ......... $ 10.59 $ 10.51 $ 10.15 $ 10.20 $ 9.94 $ 9.89
-------- -------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income(1) ................... 0.22 0.46 0.47 0.47 0.46 0.46
Net realized and unrealized gain (loss)
on investments ............................ (0.40) 0.08 0.36 (0.05) 0.26 0.05
-------- -------- -------- -------- -------- --------
Total from Investment Operations ........ (0.18) 0.54 0.83 0.42 0.72 0.51
-------- -------- -------- -------- -------- --------
Less Dividends:
Dividends from net investment income ....... (0.22) (0.46) (0.47) (0.47) (0.46) (0.46)
Dividends from net realized capital gains .. -- -- -- -- -- --
-------- -------- -------- -------- -------- --------
Total Dividends ......................... (0.22) (0.46) (0.47) (0.47) (0.46) (0.46)
-------- -------- -------- -------- -------- --------
Net increase (decrease) in net asset value ... (0.40) 0.08 0.36 (0.05) 0.26 0.05
-------- -------- -------- -------- -------- --------
Net Asset Value, End of period ............... $ 10.19 $ 10.59 $ 10.51 $ 10.15 $ 10.20 $ 9.94
======== ======== ======== ======== ======== ========
Total Return ................................. (1.73)%** 5.20% 8.29% 4.15% 7.36% 5.34%
Ratios/Supplemental Data:
Net assets, End of period (in 000's) ......... $ 21,406 $ 21,607 $ 18,147 $ 19,921 $ 22,478 $ 24,560
Ratios to average net assets:
Net investment income including
reimbursement ............................. 4.19%* 4.31% 4.49% 4.57% 4.54% 4.72%
Operating expenses including
reimbursement ............................. 0.60%* 0.60% 0.60% 0.60% 0.60% 0.60%
Operating expenses excluding
reimbursement ............................. 0.60%* 0.60% 0.60% 0.60% 0.61% 0.63%
Portfolio turnover rate ...................... 28%** 43% 28% 7% 2% 47%
</TABLE>
- -----------------
* Annualized
** Not annualized
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the six months ended September 30, 1999
(unaudited) and the years ended March 31, 1999, 1998, 1997, 1996 and 1995
was $0.22, $0.46, $0.46, $0.47, $0.47, $0.46 and $0.46, respectively.
See Notes to Financial Statements.
36
<PAGE>
Notes to Financial Statements (unaudited)
1. Organization:
Galaxy Fund II ("Galaxy II" or the "Trust"), a Massachusetts business trust, is
registered under the Investment Company Act of 1940, as amended, as an open-end
management investment company. As of the date of this report, the Trust offered
five managed investment portfolios. The accompanying financial statements and
financial highlights are those of the Large Company Index Fund, the Small
Company Index Fund, the Utility Index Fund, the U.S. Treasury Index Fund, and
the Municipal Bond Fund (individually a "Fund," collectively the "Funds").
2. Significant Accounting Policies:
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 at the date of the
financial statements and the reported amounts of income and expenses during the
reporting period. Actual results could differ from those estimates. The
following is a summary of significant accounting policies in conformity with
generally accepted accounting principles consistently followed by the Trust in
the preparation of its financial statements.
Portfolio Valuation: Listed investment securities are valued by an independent
pricing service approved by the Trust's Board of Trustees at the last quoted
sale price on the principal exchange where such securities are traded. Unlisted
securities or listed securities for which last sales prices are not available
are valued at the closing bid price in the principal market where such
securities trade. U.S. Government securities (other than short-term investments)
are valued at the mean of the quoted bid and asked prices in the
over-the-counter market. Debt securities of U.S. issuers (other than U.S.
Government securities and short-term securities), including municipal
securities, are valued at the mean between the quoted bid price and the asked
price. Short-term obligations that mature in 60 days or less are valued at
amortized cost, which approximates market value. Futures contracts are valued at
the settlement price established each day by the board of trade or exchange on
which they are traded.
Investments for which market quotations are not readily available are valued
based on fair value as determined in good faith under consistently applied
procedures established by and under the general supervision of the Board of
Trustees.
Futures Contracts: Each Fund, except the U.S. Treasury Index Fund, may enter
into futures contracts for the delayed delivery of securities at a fixed price
at some future date or the change in the value of a specified financial index
over a predetermined time period. Cash or securities are deposited with brokers
in order to establish and maintain a position. Subsequent payments made or
received by the Fund based on the daily change in the market value of the
position are recorded as unrealized gains or losses until the contract is closed
out, at which time the gains or losses are realized.
Security Transactions and Investment Income: Security transactions are accounted
for on a trade date basis. Net realized gains or losses on sales of securities
are determined on the identified cost method. Interest income and expenses are
recorded on the accrual basis. Dividends are recorded on the ex-dividend date.
Dividends and Distributions to Shareholders: Dividends from net investment
income are declared daily and paid monthly for the U.S. Treasury Index Fund and
the Municipal Bond Fund, declared and paid quarterly for the Utility Index Fund
and declared and paid annually for the Small Company Index Fund and the Large
Company Index Fund. Net realized capital gains, if any, are distributed at least
annually. Income dividends and capital gain dividends are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles.
Federal Income Taxes: The Trust treats each Fund as a separate entity for
federal income tax purposes. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code.
By so qualifying, each Fund will not be subject to federal income taxes to the
extent that it distributes substantially all of its taxable or tax-exempt
income, if any, for its tax year ending March 31. In addition, by distributing
in each calendar year substantially all of its net investment income, capital
gains, and certain other amounts, if any, each Fund will not be subject to a
federal excise tax. Therefore, no federal tax provision is recorded.
Repurchase Agreements: Each Fund may engage in repurchase agreement transactions
with institutions that the Trust's investment advisor has determined are
creditworthy pursuant to guidelines established by the Trust's Board of
Trustees. Each repurchase agreement transaction is recorded at cost plus accrued
interest. Each Fund requires that the securities collateralizing a repurchase
agreement transaction be transferred to the Trust's custodian in a manner that
is intended to enable the Fund to
37
<PAGE>
Notes to Financial Statements (unaudited)
obtain those securities in the event of a counterparty default. The value of the
collateral securities is monitored daily to ensure that the value of the
collateral, including accrued interest, equals or exceeds the repurchase price.
Repurchase agreement transactions involve certain risks in the event of default
or insolvency of the counterparty, including possible delays or restrictions
upon a Fund's ability to dispose of the under lying securities, and a possible
decline in the value of the underlying securities during the period while the
Fund seeks to assert its rights.
3. Shares of Beneficial Interest:
The Trust's Declaration of Trust authorizes the Trust to issue an unlimited
number of shares of beneficial interest, with $0.001 par value. The Trust's
shares are classified into five series.
4. Investment Advisory, Administration and Distribution Agreements:
The Trust and Fleet Investment Advisors Inc. (the "Investment Advisor"), an
indirect wholly-owned subsidiary of FleetBoston Financial Corp., are parties to
an investment advisory agreement under which the Investment Advisor provides
advisory services for a fee, computed daily and paid monthly, at the annual rate
of 0.10% of the average daily net assets of the Large Company Index, Small
Company Index, Utility Index and U.S. Treasury Index Funds, and 0.25% of the
average daily net assets of the Municipal Bond Fund.
The Trust and Fleet National Bank (the "Administrator"), an indirect
wholly-owned subsidiary of Fleet Financial Group, Inc., are parties to an
administration agreement. Under the agreement, the Administrator is responsible
for the payment of all expenses of the Funds, except the fees and expenses of
the Trustees who are not interested persons of the Trust, brokerage fees and
commissions, interest on borrowings, taxes, annual sub-account fees payable with
respect to shares of the Funds held by defined contribution plans, and such
extraordinary, non-recurring expenses as may arise, including litigation, to
which the Trust may be a party. For its services as administrator, the
Administrator receives a fee at an annual rate of 0.30% of the average daily net
assets of each of the Large Company Index, Small Company Index, Utility Index
and U.S. Treasury Index Funds, and 0.35% of the average daily net assets of the
Municipal Bond Fund.
The Administrator has entered into a sub-administration agreement with First
Data Investor Services Group, Inc. ("Investor Services Group"), a wholly-owned
subsidiary of First Data Corporation ("First Data"), under which Investor
Services Group provides administrative, accounting and transfer agent services
to the Trust. The Administrator bears the fees of Investor Services Group for
serving in this capacity.
First Data Distributors, Inc. ("FD Distributors"), a wholly-owned subsidiary of
Investor Services Group and an indirect wholly-owned subsidiary of First Data,
acts as the exclusive distributor of the Trust's shares.
The Trust and Investor Services Group may enter into agreements with one or more
entities, including the Administrator and affiliates of the Investment Advisor,
pursuant to which such entities agree to perform certain sub-account and
administrative functions ("Sub-Account Services") on a per account basis with
respect to shares of the Funds held by defined contribution plans. Such entities
are compensated by Investor Services Group for the Sub-Account Services and in
connection therewith the Funds pay Investor Services Group out-of-pocket
transfer agency expenses (i.e. sub-account services fee) in an amount equal to
these fees.
Certain officers of the Trust are officers of Investor Services Group and/or FD
Distributors. Such officers receive no compensation from the Trust for serving
in their respective roles. No officer, director or employee of the Investment
Advisor serves as an officer, Trustee or employee of the Trust. Effective May
28, 1999, each Trustee is entitled to receive for services as a Trustee of the
Trust, The Galaxy Fund ("Galaxy") and The Galaxy VIP Fund ("VIP") an aggregate
fee of $45,000 per annum plus certain other fees for attending or participating
in meetings as well as reimbursement for expenses incurred in attending
meetings. Prior to May 28, 1999, each Trustee was entitled to receive for
services as a Trustee of the Trust, Galaxy and VIP an aggregate fee of $40,000
per annum plus certain other fees for attending or participating in meetings as
well as reimbursement for expenses incurred in attending meetings. The Chairman
of the Boards of Trustees and the President and Treasurer of the Trust, Galaxy
and VIP are also entitled to additional fees for their services in these
capacities. These fees are allocated among the funds of the Trust, Galaxy and
VIP based on their relative net assets.
Each Trustee is eligible to participate in The Galaxy Fund/The Galaxy VIP
Fund/Galaxy Fund II Deferred Compensation Plan (the "Plan"), an unfunded,
non-qualified deferred compensation plan. The Plan allows each Trustee to defer
receipt of all or a percentage of fees that would otherwise be payable for
services performed.
Investor Services Group voluntarily agreed to reimburse the Funds for Trustees'
fees. Investor Services Group, at its discretion, may revise or discontinue the
voluntary expense reimbursement at any time.
38
<PAGE>
Notes to Financial Statements (unaudited)
5. Securities Transactions:
The cost of purchases and the proceeds from sales of securities (excluding
short-term investments and futures contracts) for the six months ended September
30, 1999 for each Fund were as follows:
U.S. Government Other Investment
Securities Securities
------------------------- --------------------------
Purchases Sales Purchases Sales
----------- ----------- ------------ -----------
Large Company Index .. $ -- $ -- $112,147,560 $12,572,154
Small Company Index .. -- -- 32,825,321 68,399,195
Utility Index ........ -- -- 2,407,219 4,754,587
U.S. Treasury Index .. 47,238,229 58,862,619 -- --
Municipal Bond ....... -- -- 6,625,971 6,073,909
The aggregate cost, gross unrealized appreciation and depreciation and net
unrealized appreciation (depreciation) for all securities as computed on a
federal income tax basis at September 30, 1999 for each Fund were as follows:
<TABLE>
<CAPTION>
Cost Appreciation (Depreciation) Net
------------------------------------------------------------
<S> <C> <C> <C> <C>
Large Company Index ..... $536,232,755 $399,348,330 $(34,660,809) $ 364,687,521
Small Company Index ..... 258,253,467 44,326,378 (52,280,432) (7,954,054)
Utility Index ........... 46,142,557 10,482,240 (1,581,360) 8,900,880
U.S. Treasury Index ..... 184,256,523 1,348,336 (5,550,758) (4,202,422)
Municipal Bond .......... 21,737,790 422,231 (424,579) (2,348)
</TABLE>
At March 31, 1999, the following Funds had capital loss carryforwards:
Capital loss Expiration
Carryforward Date
------------ ------------
U.S. Treasury Index ..... $ 2,863,608 2003
548,015 2004
Municipal Bond .......... 452,493 2003
203,341 2004
6. Financial Instruments:
The Large Company Index, Small Company Index and Utility Index Funds may enter
into stock index futures contracts that are traded on a national exchange. These
Funds will enter into stock index futures contracts only for bona fide hedging
purposes or as otherwise permitted by the Commodities Futures Trading Commission
("CFTC"). If permitted, these Funds may use stock index futures to maintain cash
reserves while remaining fully invested, to facilitate trading, to reduce
transaction costs or to seek higher investment returns when a stock index
futures contract is priced more attractively than the securities in the
underlying index. The Municipal Bond Fund may enter into interest rate futures
contracts and municipal bond index futures contracts only for bona fide hedging
purposes or as otherwise permitted by CFTC regulations. In addition, the
Municipal Bond Fund may purchase put or call options on interest rate and
municipal bond index futures contracts, which are traded on a United States
exchange, as a hedge against changes in interest rates, and may enter into
closing transactions with respect to such options to terminate existing
positions. A Fund will segregate assets to cover its commitments on purchased
futures contracts.
Risks associated with using financial instruments such as futures as a hedge
include an imperfect correlation between the movements in the price of the
instruments and the price of the underlying securities and interest rates, an
illiquid secondary market for the instruments or the inability of counterparties
to perform under the terms of the contract.
39
<PAGE>
Notes to Financial Statements (unaudited)
7. Concentration of Credit Risk:
The Utility Index Fund concentrates its investments in the utility industry. As
a result, the Fund's investments may be subject to greater risk and market
fluctuation than a fund that invests in securities representing a broader range
of investment alternatives.
40
