[front cover]
[graphic images: acorn, Greek column, graduation mortar board cap, hands clasped
in handshake)
Annual Report
March 31, 1999
Galaxy II Funds
Galaxy 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
[logo: Galaxy Funds]
<PAGE>
- --------------------------------------------------------------------------------
Market Overview
[pullquote]
"To prevent further economic turmoil
overseas from threatening growth at
home, the Federal Reserve (the "Fed")
cut short-term interest rates by 75
basis points (0.75%) during the fall of
1998."
[end pullquote]
Market Overview
By Fleet Investment Advisors Inc.
Prices for both stocks and bonds improved in the 12 months ended March 31,
1999, as inflation remained low and interest rates fell. Although U.S. economic
growth was stronger than most analysts expected, improved productivity and
competitive pricing kept inflation in check. To prevent further economic turmoil
overseas from threatening growth at home, the Federal Reserve (the "Fed") cut
short-term interest rates by 75 basis points (0.75%) during the fall of 1998.
The anticipation of these cuts, plus heavy demand for Treasury securities from
investors seeking refuge from economic uncertainty here and abroad, helped bond
prices rally from May to October of 1998. Bonds retained most of their gains in
the months that followed, as a continued flight to quality helped offset
concerns that unexpectedly strong domestic growth might cause the Fed to raise
short-term interest rates.
With economic growth healthier than analysts had forecast, and inflation
still low, broad stock benchmarks like the Standard & Poor's(R) 500 Composite
Stock Price Index (the "S&P(R) 500 Index")enjoyed gains that were above their
historic averages. The market's advance was due primarily to exceptional gains
by stocks of larger firms, which offset deep losses by small-company shares.
During the reporting period, the S&P(R) 500 Index had a total return of
18.49%, the Standard & Poor's(R) SmallCap 600 Stock Price Index (the "S&P(R) 600
Index") had a total return of -19.13%, and the U.S. Treasury component of the
Salomon Brothers Broad Investment Grade Bond Index returned 7.01%. Over the same
time the Lehman Brothers Seven-Year Municipal Bond Index earned a total return
of 5.92%.
A Surprisingly Strong Economy
When the reporting period began in the second quarter of 1998, U.S. growth
was slowing. The Gross Domestic Product ("GDP"), which measures the output of
U.S. goods and services, improved at an annualized rate of 1.8% versus a rate of
5.5% during the first quarter of 1998. Growth slowed largely as the result of
reduced trade with Asia, where economies had been weak for more than a year.
While stock investors were encouraged by modest inflation and low interest
rates, they became nervous about future earnings. As a result, prices for stocks
of larger firms, whose earnings tend to be more reliable, continued to gain,
while prices for small-cap shares and most stocks on the New York Stock Exchange
declined. Bond prices traded in a narrow range during this time, as investors
remained uncertain whether inflation would remain controlled by slower growth or
would increase from rising wages.
Although the Commerce Department later reported that the GDP grew at an
annualized rate of 3.7% in the third quarter of 1998, investors worried during
the quarter about the broadening of economic problems overseas. As a recession
in Japan added to Asia's troubles, the Russian economy faltered. Concerned about
a global economic downturn, investors abandoned these regions -- as well as
Latin America and other emerging markets. Meanwhile, a cut in exports helped to
slow growth and trim corporate earnings in the U.S. Prices for stocks declined
in this environment. Between July and August, the S&P(R) 500 Index suffered a
loss of 19%, virtually erasing its year-to-date gains. Losses for stocks of
smaller companies were particularly deep. By September, however, bargain hunting
by investors and the hope of lower interest rates were helping stock prices to
rebound.
As investors looked for a safe haven from volatile stock prices and global
economic turmoil in the third quarter, long-term Treasury yields set record
lows. By the end of September, after the Fed had cut short-term interest rates
by 25 basis points (0.25%) to sustain domestic growth, 30-year Treasury yields
had fallen to 4.97% -- from 5.93% six months earlier.
Although corporate earnings reports remained disappointing in the fourth
quarter of 1998, stock prices rebounded sharply. Investors were cheered as
economic growth strengthened. (The Commerce Department later reported a GDP
growth rate of 6.1% for the fourth quarter.)
1
<PAGE>
[pullquote]
"With more moderate growth, inflation
should remain low, allowing the Fed to
keep interest rates on hold. Bond prices
could then strengthen in months to
come."
[end pullquote]
Stocks also gained as the Fed continued to cut short-term rates. In
October, the Fed took the unusual step of trimming rates by 25 basis points
between its regular meetings to give the bond market liquidity in the face of an
international financial crisis. In November, with continued turmoil abroad, the
Fed imposed another 25 basis point cut. Bond prices were volatile in this
environment, ending the quarter slightly lower than where they began. By
December 31, the yield for long-term Treasuries stood at 5.09%.
In the first quarter of 1999 a further advance by large-cap stocks pushed
the Dow Jones Industrial Average above 10,000 for the first time. Although
corporate earnings were still weak, investors focused on continued economic
strength with low inflation. Bond prices continued to slide in this environment,
as investors worried that the unexpectedly robust economy would force the Fed to
prevent future inflation with higher interest rates, and the earlier flight to
safety abated. By the end of the quarter, the yield for 30-year Treasuries had
risen to 5.63%.
Slower Growth Possible
The current economic expansion, now eight years old, represents the
longest continuous period of growth since 1969. While it has become clear in
recent months that economies are stabilizing overseas, many problems remain that
could continue to curb U.S. exports. This, plus a slowdown in consumer spending,
could reduce the annualized rate of GDP growth to less than 3% for the rest of
1999.
With more moderate growth, inflation should remain low, allowing the Fed
to keep interest rates on hold. Bond prices could thus strengthen in months to
come. We believe bonds, particularly municipal securities, remain attractive at
current inflation levels.
Because slower growth and further price competition will likely keep a lid
on corporate earnings, and stock prices are at record highs, the market should
remain volatile and could be vulnerable to a correction. A correction could set
the stage for new gains by stocks, as low inflation and interest rates sustain
the present expansion and help to strengthen earnings down the road.
Average Annual Total Returns
<TABLE>
<CAPTION>
Life of
Years ended March 31, 1999 1 Year 3 Years 5 Years Fund
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Large Company Index Fund (Inception date 10/1/90) 18.15% 27.58% 25.79% 20.68%
.................................................................................................
Small Company Index Fund (Inception date 10/1/90) -19.19% 7.74% 11.98% 15.22%
.................................................................................................
Utility Index Fund (Inception date 1/5/93) -1.53% 12.32% 13.43% 11.43%
.................................................................................................
U.S. Treasury Index Fund (Inception date 6/4/91) 6.38% 7.29% 7.13% 7.73%
.................................................................................................
Municipal Bond Fund (Inception date 4/15/93) 5.20% 5.87% 6.05% 5.59%
- -------------------------------------------------------------------------------------------------
</TABLE>
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]
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 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 12 months ended March 31, 1999, the S&P(R) 500 Index had a total
return of 18.49%, and the Galaxy Fund II Large Company Index Fund had a total
return of 18.15% (after the deduction of operating expenses.) The Fund's
12-month performance represents a correlation coefficient of 99.986%. The
correlation coefficient measures the degree to which the Fund's performance
since inception moved in line with its target index.
Market Dominance, Liquidity Attract Investors
Large capitalization stocks offer greater liquidity and, often, market
dominance that investors prize during periods of competitive pricing and slower
demand. Many of these issues are also global competitors that can benefit from
foreign investment, currency swings, and economic growth overseas. These
characteristics typically earn large companies higher valuations than those for
stocks generally.
With investors concerned about the sustainability of a low-inflation
economic expansion, stocks of large companies dominated the market's advance of
the past year. As a consequence, the Galaxy Fund II Large Company Index Fund
outperformed most actively managed portfolios. Investors found that they could
easily move significant sums into large-cap issues. Investors were also
attracted to the advantage larger companies enjoy during periods of excess
capacity and limited pricing power. The market dominance of large companies can
earn them higher returns in such an environment, while their mid-sized
competitors struggle just to cover costs. Because larger companies are also
frequently multinational firms, they were exposed to the ebb and flow of
economic activity abroad. In addition, large-cap stocks benefited from high name
recognition, which attracted many foreign investors.
Slower Growth Could Sustain Large-Cap Lead
There is little evidence beyond valuation disparities that suggests a
near-term broadening of market gains. Stocks of large companies could continue
to dominate in coming months -- especially if growth slows and stock prices
become more volatile. If demand for credit ebbs as a result of slower growth,
and interest rates decline, the stage could be set for more robust earnings down
the road. As in past periods of rising confidence and earnings acceleration,
large-cap stocks could eventually lose their leadership to smaller-cap shares as
investors seek higher returns in the broader market.
- ------------------------------ [pie chart] -----------------------------------
Galaxy Fund II Large Company Index Fund
Distribution of Total Net Assets as of March 31, 1999
Consumer Staples 22%
Technology 22%
Finance 16%
Consumer Cyclical 11%
Utilities 8%
Capital Goods 6%
U.S. Government Obligation,
Repurchase Agreement and
Net Other Assets and Liabilities 4%
Basic Materials 3%
Other Common Stocks 2%
- ---------------------------- [end pie chart] ---------------------------------
- --------------------------- [mountain chart] ---------------------------------
Galaxy Fund II Large Company Index Fund
Growth of $10,000 investment*
<TABLE>
<CAPTION>
Galaxy Fund II
Large Company S&P(R) 500
Index Fund Index
<S> <C> <C>
10/1/90 $10,000 $10,000
3/31/99 $49,393 $52,195
</TABLE>
*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.
- ------------------------- [end mountain chart] ------------------------------
3
<PAGE>
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 12 months ended March 31, 1999, the S&P(R) 600 Index produced a
total return of -19.13%. Over the same time, the Galaxy Fund II Small Company
Index Fund returned -19.19% (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 since inception
moved in line with its target index.
Attractive Prospects and Valuations
The median market capitalization of companies in the Galaxy Fund II Small
Company Index Fund is approximately 1/17 that of the S&P(R) 500 Index. Smaller
companies are thought to respond with greater flexibility to business
opportunities and be more oriented towards the domestic economy. They tend to be
less tied to macro-economic developments and usually draw investors when
economic confidence is rising. While small-cap stocks are typically more
volatile than large-cap shares, that volatility can be offset by the potential
that small-cap stocks have for higher returns.
Prices for stocks of small companies fell over the past year, despite
strong gains for stocks as a whole, as larger-cap issues absorbed most of the
cash moving into equities. During this period, stocks with the smallest
capitalizations lost the most ground. The earnings for smaller firms remained
strong, however, improving the value of small-cap stocks relative to large-cap
issues.
Prices for small-caps were hurt as investors sought to reduce the chance
that they might be caught in illiquid issues if inflation rose or the economy
turned sour. Small caps suffered particularly during the recent backup in bond
yields, when investors feared that the Fed would raise interest rates to temper
the strong pace of the economy and keep inflation from rising.
Greater Confidence Could Improve Performance
Because stocks of small companies have performed poorly for several years,
they now sell at sizable discounts to large-cap shares. If slower growth in
coming quarters pushes interest rates lower, and economies improve overseas,
small-cap stocks could perform relatively well. Historically, small-cap issues
have outperformed when economic confidence is rising, as they are thought to
respond with greater flexibility as business opportunities change.
- ------------------------------ [pie chart] -----------------------------------
Galaxy Fund II Small Company Index Fund
Distribution of Total Net Assets as of March 31, 1999
Consumer Staples 21%
Consumer Cyclical 18%
Technology 18%
Finance 13%
Other Common Stocks 10%
Utilities 5%
Basic Materials 6%
Capital Goods 6%
U.S. Government Obligation,
Repurchase Agreement and
Net Other Assets and Liabilities 3%
- ---------------------------- [end pie chart] ---------------------------------
- --------------------------- [mountain chart] ---------------------------------
Galaxy Fund II Small Company Index Fund
Growth of $10,000 investment*
<TABLE>
<CAPTION>
Galaxy Fund II
Small Company S&P(R) 600
Index Fund Index
<S> <C> <C>
10/1/90 $10,000 $10,000
3/31/99 $33,311 $36,879
</TABLE>
*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.
- ------------------------- [end mountain chart] ------------------------------
4
<PAGE>
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 utility stocks as
represented by 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 12 months ended March 31, 1999, the S&P(R) Utilities Index
produced a total return of -1.51%, and the Galaxy Fund II Utility Index Fund had
a net total return of -1.53% (after the deduction of operating expenses). This
performance represents a correlation coefficient of 99.546%. The correlation
coefficient measures the degree to which the Fund's performance moved in line
with its target index since inception.
Strong Economy, Weak Gas Prices Hurt Sector
Historically, utility stocks have offered defensive characteristics that
investors favor during high market volatility. With strong yields, utilities
also perform well when short-term interest rates decline before economic
expansions.
After outperforming the market in the second and third quarters of 1998,
utility stocks underperformed in the fourth quarter of 1998 and the first
quarter of 1999. As economic activity remained surprisingly strong in the second
half of the reporting period, bond yields rose and investor concerns shifted
from recession and deflation to a rise in interest rates. Utility shares were
further hurt by weak gas prices, which reduced the earnings prospects of their
issuers.
Economic Slowdown Could Favor Utilities
Returns from utility shares could improve in the months ahead. If domestic
growth slows, as we expect, interest rates could head lower and stock prices
could become more volatile. Investors may then turn to the strong yields and
defensive earnings that utility stocks offer.
Utilities should remain defensive investments despite significant industry
changes that are underway. Although some electric and gas companies are
accepting the greater risks of deregulated power generation to achieve higher
returns, most will likely concentrate on stable, regulated transmission and
distribution. The sector should also benefit from continued industry
consolidation through mergers and acquisitions, as companies seek economies of
scale in gas and electric combinations.
- ------------------------------ [pie chart] -----------------------------------
Galaxy Fund II Utility Index Fund
Distribution of Total Net Assets as of March 31, 1999
Utilities 83%
Energy 16%
Repurchase Agreement and
Net Other Assets and Liabilities 1%
- ---------------------------- [end pie chart] ---------------------------------
- --------------------------- [mountain chart] ---------------------------------
Galaxy Fund II Utility Index Fund
Growth of $10,000 investment*
<TABLE>
<CAPTION>
Galaxy Fund II S&P(R)
Utility Index Utilities
Fund Index
<S> <C> <C>
1/5/93 $10,000 $10,000
3/31/99 $19,631 $20,615
</TABLE>
*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.
- ------------------------- [end mountain chart] ------------------------------
5
<PAGE>
GALAXY FUND II U.S. TREASURY INDEX FUND
[photo: David Lindsay]
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.
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 component of the Salomon Brothers Broad Investment Grade Bond Index
(the "Salomon Brothers U.S. Treasury Index"), an unmanaged index of corporate
and government bonds. The Fund attempts to meet this objective by investing in
U.S. Treasury notes and bonds according to their representation in the Salomon
Brothers U.S. Treasury Index.
For the 12 months ended March 31, 1999, the Salomon Brothers U.S. Treasury
Index posted a total return of 6.69%, and the Galaxy Fund II U.S. Treasury Index
Fund had a total return of 6.38% (after deduction of operating expenses). This
performance represents a correlation coefficient of 99.782%. The correlation
coefficient measures the degree to which the Fund's performance since inception
moved in line with its target index.
Treasuries Outpace Other Issues
Treasury securities outperformed other fixed-income investments over the
last 12 months. While foreign economies eventually stabilized, and U.S. growth
remained solid, investors worried about economic volatility for much of the
year. With corporate earnings in jeopardy, investors fled corporate bonds and
asset-backed securities for the exceptionally strong liquidity and high credit
quality of Treasuries. Treasuries also benefited as low interest rates sustained
high levels of home-loan prepayments, which curbed the demand for
mortgage-backed securities.
Most of the outperformance by Treasuries was due to their strong showing in
the second and third quarters of 1998. Treasuries began to lag in the fourth
quarter, when the Fed cut short-term interest rates to stem international
financial turmoil and stimulate economic growth at home. As the economic outlook
brightened, investors moved from Treasuries into other assets that offered
higher yields. This trend continued in the first quarter of 1999.
Slower Growth Would Favor Treasuries
If slower consumer spending at home and economic sluggishness abroad curb
U.S. growth in coming months, investors may become concerned again about
corporate earnings. In such an environment, investors could turn from corporates
back to Treasuries. The price gains could be especially strong for
intermediate-term Treasuries, where the Galaxy Fund II U.S. Treasury Index Fund
concentrates its investments, since these instruments have born the brunt of
recent price declines.
- ------------------------------ [pie chart] -----------------------------------
Galaxy Fund II U.S. Treasury Index Fund
Distribution of Total Net Assets as of March 31, 1999
U.S. Treasury Notes 67%
U.S. Treasury Bonds 30%
Repurchase Agreements and
Net Other Assets and Liabilities 3%
- ---------------------------- [end pie chart] ---------------------------------
- --------------------------- [mountain chart] ---------------------------------
Galaxy Fund II U.S. Treasury Index Fund
Growth of $10,000 investment*
<TABLE>
<CAPTION>
Galaxy Fund II
U.S. Treasury The Salomon Brothers
Index Fund U.S. Treasury Index
<S> <C> <C>
6/4/91 $10,000 $10,000
3/31/99 $17,905 $18,578
</TABLE>
*Since inception on 6/4/91. The Salomon Brothers U.S. Treasury Index is an
unmanaged index which does not reflect management fees and other expenses.
An investor cannot invest in the Index.
- ------------------------- [end mountain chart] ------------------------------
6
<PAGE>
GALAXY FUND II MUNICIPAL BOND FUND
[photo: Glenn Migliozzi]
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.
By Glenn Migliozzi
Managing Director, Fixed Income Investments
The Galaxy Fund II Municipal Bond Fund seeks to provide a high level of
income exempt from regular federal income tax that is consistent with
preservation of capital. Typically, the Fund invests substantially all of its
assets in debt securities issued by state, local, and regional governments and
their agencies, and maintains an average maturity for its investments of 7 to 12
years.
For the 12 months ended March 31, 1999, the Galaxy Fund II Municipal Bond
Fund earned a total return of 5.20% (after deduction of operating expenses).
That compares favorably with a total return of 4.97% for intermediate municipal
bond funds tracked by Lipper Analytical Services for the same 12-month period.
The Lehman Brothers Seven-Year Municipal Bond Index returned 5.92% for the
period.
Investors Find Value in Munis
During this time, municipal bonds performed well against Treasuries. After
lagging Treasuries in the second and third quarters of 1998, when low interest
rates increased supplies of municipals and decreased demand, municipals
outperformed in the fourth quarter of 1998 and the first quarter of 1999. While
supplies of municipals remained strong at the end of 1998, municipals benefited
as an improving economic outlook drew investors from Treasuries into
fixed-income issues with better value. In the first quarter of 1999, municipals
gained on Treasuries as the earlier flight to quality continued to abate and the
installation of new state and local officials postponed many issues.
In the first half of the reporting period, we increased positions in
longer maturities, which tended to be more sensitive to changes in interest
rates and provided extra price appreciation as yields fell. We further enhanced
returns by adding premium-coupon securities that could not be called in by their
issuers.
As the yield curve steepened at the end of the period, the greatest
decline in prices fell on issues with 10-year maturities -- where the Fund had a
relatively heavy concentration of investments. To protect the value of Fund
shares, we increased cash reserves and gave greater emphasis to issues with
shorter maturities. We subsequently deployed this cash in investments that would
enhance the credit quality of the portfolio. We emphasized high-quality
securities throughout the period, feeling that the additional yield available
for issues with lower credit ratings did not justify the extra risk those issues
carry.
Additional Opportunities
If economic growth slows later this year, and bond yields edge lower,
prices for municipals are positioned to rise. After a 25% decline in the supply
of new issues during the first quarter of 1999, we expect municipal supplies to
rise to more normal levels during the second and third quarters of the year. At
this time, we believe municipals are fairly valued versus Treasury securities
and expect municipal yields to track yields for government issues closely in
coming months. In this environment, we plan to continue to look for
opportunities that make the most of changes in yield -- while maintaining strong
credit quality.
- ------------------------------ [pie chart] -----------------------------------
Galaxy Fund II Municipal Bond Fund
Geographical Distribution of Total Net Assets as of March 31, 1999
South 40%
East 26%
North Central 19%
Pacific 7%
Mountain 5%
Cash Equivalents
and Net Other Assets
and Liabilities 3%
- ---------------------------- [end pie chart] ---------------------------------
- --------------------------- [mountain chart] ---------------------------------
Galaxy Fund II Municipal Bond Fund
Growth of $10,000 investment*
<TABLE>
<CAPTION>
Lehman Brothers
Galaxy Fund II Seven-Year
Municipal Bond Municipal Bond
Fund Index
<S> <C> <C>
4/15/93 $10,000 $10,000
3/31/99 $13,831 $13,878
</TABLE>
*Since inception on 4/15/93. The Lehman Brothers Seven-Year Municipal Bond
Index is an unmanaged index which does not reflect management fees and other
expenses. An investor cannot invest in the Index.
- ------------------------- [end mountain chart] ------------------------------
7
<PAGE>
- --------------------------------------------------------------------------------
Large Company Index Fund
Portfolio of Investments
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
COMMON STOCKS - 96.18%
Technology - 22.36%
5,131 Adobe Systems, Inc. $ 291,184
10,877 Advanced Micro Devices, Inc. * 168,594
43,537 AirTouch Communications, Inc. * 4,206,763
76,326 America OnLine, Inc.* 11,143,596
158,456 American Telephone & Telegraph Corp. 12,646,808
16,629 AMP, Inc. 892,769
10,271 Apple Computer, Inc. * 369,114
27,831 Applied Materials, Inc. * 1,716,825
16,432 Ascend Communications, Inc. * 1,375,153
4,501 Autodesk, Inc. 182,009
45,616 Automatic Data Processing, Inc. 1,887,362
17,930 BMC Software * 664,531
12,518 Cabletron Systems, Inc. * 102,491
54,302 CBS Corp.* 2,222,988
11,068 Ceridian Corp. * 404,674
118,044 CISCO Systems, Inc. * 12,933,196
126,897 Compaq Computer Corp. 4,021,049
40,766 Computer Associates International, Inc. 1,449,741
12,021 Computer Sciences Corp. * 663,409
28,132 Compuware Corp.* 671,651
17,554 Corning, Inc. 1,053,240
3,795 Data General Corp. * 38,424
192,276 Dell Computer Corp. * 7,859,281
3,501 EG&G, Inc. 92,339
37,382 Electronic Data Systems Corp. 1,820,036
37,900 EMC Corp. * 4,841,725
11,811 Gateway 2000 * 809,792
12,734 General Instrument Corp. * 385,999
6,060 Harris Corp. 173,467
78,864 Hewlett-Packard Co. 5,347,965
9,547 Honeywell, Inc. 723,782
126,329 Intel Corp. 15,048,942
70,872 International Business Machines Corp. 12,562,062
9,018 ITT Industies, Inc. 319,012
6,574 KLA-Tencor Corp. * 319,250
10,682 LSI Logic Corp. * 333,145
99,823 Lucent Technologies, Inc. 10,755,928
18,782 Micron Technology, Inc. * 906,232
377,918 Microsoft Corp. * 33,870,901
45,392 Motorola, Inc. 3,324,964
12,428 National Semiconductor Corp. * 115,736
49,489 Northern Telecom, Ltd. 3,074,504
26,792 Novell, Inc. * 674,823
110,758 Oracle Corp. * 2,921,242
20,643 Parametric Technology Corp. * 407,699
3,688 Perkin-Elmer Corp. 357,967
17,464 PeopleSoft, Inc. * 255,411
20,840 Pitney Bowes, Inc. 1,328,550
5,042 Scientific-Atlanta, Inc. 137,394
18,489 Seagate Technology, Inc. * 546,581
14,379 Silicon Graphics, Inc. * 239,942
32,647 Sprint Corp. 3,203,487
32,970 Sprint PCS Group* 1,460,983
28,762 Sun Microsystems, Inc. * 3,593,452
3,591 Tektronix, Inc. 90,673
<CAPTION>
Technology (continued)
Shares Value
------ -----
<S> <C> <C>
14,696 Tellabs, Inc. * $ 1,436,534
29,569 Texas Instruments, Inc. 2,934,723
4,301 Thomas & Betts Corp. 161,556
27,215 3Com Corp. * 634,450
19,305 Unisys Corp. * 534,507
49,922 Xerox Corp. 2,664,587
------------
185,375,194
------------
Consumer Staples - 22.02%
114,925 Abbott Laboratories 5,379,927
4,218 Alberto-Culver Co., Class B 98,596
4,944 Allergan, Inc. 434,454
7,565 ALZA Corp. * 289,361
99,917 American Home Products Corp. 6,519,584
38,610 Amgen, Inc. * 2,890,924
36,558 Anheuser-Busch Cos., Inc. 2,785,263
45,479 Archer-Daniels-Midland Co. 667,973
20,023 Avon Products, Inc. 942,332
4,207 Bard (C.R.), Inc. 212,191
4,209 Bausch & Lomb, Inc. 273,585
21,664 Baxter International, Inc. 1,429,824
18,802 Becton Dickinson & Co. 720,352
21,774 Bestfoods 1,023,378
8,526 Biomet, Inc. 357,559
29,787 Boston Scientific Corp. * 1,208,235
150,956 Bristol-Myers Squibb Co. 9,708,358
5,248 Brown-Forman Corp., Class B 302,416
34,083 Campbell Soup Co. 1,386,752
20,640 Cardinal Health, Inc. 1,362,240
45,387 Carnival Corp. 2,204,106
8,739 Clorox Co. 1,024,102
187,117 Coca-Cola Co. 11,484,306
30,681 Coca-Cola Enterprises, Inc. 928,100
22,495 Colgate Palmolive Co. 2,069,540
48,978 Columbia/HCA Healthcare Corp. 927,521
37,069 ConAgra, Inc. 947,576
2,762 Coors (Adolph) Co., Class B 149,148
16,443 Costco Cos., Inc. * 1,505,562
29,588 CVS Corp. 1,405,430
10,267 Danaher Corp. 536,451
16,008 Federated Department Stores, Inc. * 642,321
13,150 Fortune Brands, Inc. 508,741
5,447 Fruit of The Loom, Inc., Class A * 56,513
11,694 General Mills, Inc. 883,628
85,219 Gillette Co. 5,065,204
22,800 Guidant Corp. 1,379,400
8,220 HCR Manor Care, Inc.* 187,519
32,043 HEALTHSOUTH Corp. * 332,446
27,516 Heinz (H. J.) Co. 1,303,570
10,882 Hershey Foods Corp. 609,392
12,634 Humana, Inc. * 217,937
25,240 IMS Health, Inc. 836,075
8,118 International Flavors & Fragrances, Inc. 304,932
102,082 Johnson & Johnson Co. 9,563,807
30,903 Kellogg Co. 1,044,908
41,574 Kimberly-Clark Corp. 1,992,954
</TABLE>
See Notes to Financial Statements.
9
<PAGE>
- --------------------------------------------------------------------------------
Large Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Consumer Staples (continued)
83,598 Lilly (Eli) & Co. $ 7,095,380
17,261 Limited, Inc. 683,967
5,017 Liz Clairborne, Inc. 163,680
20,380 McKesson HBOC, Inc. 1,345,080
46,204 Mediaone Group, Inc.* 2,933,954
43,773 Medtronic, Inc. 3,140,713
180,757 Merck & Co., Inc. 14,494,452
21,862 NIKE, Inc., Class B 1,261,164
111,824 PepsiCo, Inc. 4,382,103
99,186 Pfizer, Inc. 13,762,057
38,508 Pharmacia & Upjohn, Inc. 2,401,937
184,653 Philip Morris Cos., Inc. 6,497,477
18,376 Pioneer Hi-Bred International, Inc. 691,397
100,552 Procter & Gamble Co. 9,847,811
10,373 Quaker Oats Co. 648,961
23,711 Ralston Purina Co. 632,787
4,323 Reebok International, Ltd. * 68,628
24,647 RJR Nabisco Holdings Corp. 616,175
2,775 Russell Corp. 55,847
36,869 Safeway, Inc.* 1,891,841
70,818 Sara Lee Corp. 1,752,746
111,349 Schering-Plough Corp. 6,158,992
29,786 Seagram Co., Ltd. 1,489,300
6,368 Sealed Air Corp. * 313,226
29,754 Sears Roebuck & Co. 1,344,509
2,057 Shared Medical Systems Corp. 114,549
1,438 Springs Industries, Inc., Class A 38,916
6,357 St. Jude Medical, Inc. * 154,952
6,778 Stanley Works 173,686
35,432 Staples, Inc.* 1,164,827
9,146 SuperValu, Inc. 188,636
25,654 Sysco Corp. 675,021
4,423 Tupperware Corp. 79,614
48,587 Unilever NV, New York Shares, ADR 3,227,999
14,782 United Healthcare Corp. 777,903
14,059 UST, Inc. 367,291
9,239 VF Corp. 435,965
62,329 Warner-Lambert Co. 4,125,401
11,284 Winn-Dixie Stores, Inc. 421,739
8,828 Wrigley (Wm.) Jr. Co. 798,382
------------
182,523,558
------------
Finance - 15.91%
10,988 Aetna, Inc. 912,004
62,841 Allstate Corp. 2,329,045
34,608 American Express Co. 4,066,440
19,196 American General Corp. 1,353,318
93,148 American International Group, Inc. 11,235,977
8,900 AmSouth Bancorp. 404,950
12,839 Aon Corp. 812,067
52,636 Associates First Capital Corp. 2,368,620
88,836 Bank One Corp. 4,891,532
56,726 The Bank of New York Co., Inc. 2,038,591
131,851 BankAmerica Corp. 9,311,977
22,297 BankBoston Corp. 965,739
7,296 Bankers Trust New York Corp. 643,872
<CAPTION>
Finance (continued)
Shares Value
------ -----
<S> <C> <C>
21,786 BB&T Corp. $ 788,381
9,056 Bear Stearns Cos, Inc. 404,690
7,599 Block (H&R), Inc. 360,003
5,031 Capital One Financial Corp. 759,681
64,984 Chase Manhattan Corp. 5,284,011
12,515 Chubb Corp. 732,910
16,117 CIGNA Corp. 1,350,806
12,733 Cincinnati Financial Corp. 463,959
173,531 Citigroup, Inc. 11,084,293
11,810 Comerica, Inc. 737,387
23,717 Conseco, Inc. 732,262
8,423 Countrywide Credit Industries, Inc. 315,862
11,194 Equifax, Inc. 384,794
78,678 Fannie Mae 5,448,451
20,332 Fifth Third Bancorp 1,340,641
33,881 First Data Corp. 1,448,413
73,573 First Union Corp. 3,931,557
17,458 Firstar Corp. 1,562,491
43,145 Fleet Financial Group, Inc. 1,623,331
19,204 Franklin Resources, Inc. 540,112
51,561 Freddie Mac 2,945,422
4,420 Golden West Financial Corp. 422,110
17,762 Hartford Financial Services Group, Inc. 1,009,104
37,365 Household International, Inc. 1,704,778
16,011 Huntington Bancshares, Inc. 495,340
8,002 Jefferson-Pilot Corp. 542,136
33,407 KeyCorp 1,012,650
8,931 Lehman Brothers Holdings, Inc. 533,627
7,609 Lincoln National Corp., Ltd. 752,340
8,737 Loews Corp. 651,999
19,419 Marsh & McLennan Cos., Inc. 1,440,647
7,498 MBIA, Inc. 434,884
57,207 MBNA Corp. 1,365,817
19,813 Mellon Bank Corp. 1,394,340
11,514 Mercantile Bancorp, Inc. 546,915
26,416 Merrill Lynch & Co., Inc. 2,336,165
8,618 MGIC Investment Corp. 302,169
13,355 Morgan (J.P.) & Co., Inc. 1,647,673
44,457 Morgan Stanley, Dean Witter,
Discover & Co. 4,442,921
25,059 National City Corp. 1,663,291
8,421 Northern Trust Corp. 747,890
12,426 Paychex, Inc. 589,458
22,895 PNC Bank Corp. 1,272,103
5,544 Progressive Corp. 795,564
10,270 Provident Companies, Inc. 354,957
10,789 Providian Financial Corp. 1,186,790
3,274 Pulte Corp. 68,140
16,241 Regions Financial Corp. 562,345
8,204 Republic New York Corp. 378,410
10,675 Safeco Corp. 431,670
17,974 St. Paul Cos., Inc. 558,317
30,349 Schwab (Charles) Corp. 2,917,298
12,730 SLM Holding Corp. 531,477
12,500 SouthTrust Corp. 466,406
12,220 State Street Corp. 1,004,331
13,146 Summit Bancorp 512,694
24,228 SunTrust Banks, Inc. 1,508,193
</TABLE>
See Notes to Financial Statements.
10
<PAGE>
- --------------------------------------------------------------------------------
Large Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Finance (continued)
20,033 Synovus Financial Corp. $ 409,424
10,677 Torchmark Corp. 337,660
9,461 Transamerica Corp. 671,731
56,348 U.S. Bancorp 1,919,354
9,671 Union Planters Corp. 424,920
10,476 UNUM Corp. 498,265
15,716 Wachovia Corp. 1,275,943
44,979 Washington Mutual, Inc. 1,838,517
122,733 Wells Fargo & Co. 4,303,326
------------
131,837,678
------------
Consumer Cyclical - 11.20%
18,689 Albertson's, Inc. 1,015,046
5,336 American Greetings Corp., Class A 135,401
3,071 Armstrong World Industries, Inc. 138,771
11,604 AutoZone, Inc. * 352,471
6,669 Black & Decker Corp. 369,713
1,856 Briggs & Stratton Corp. 91,524
7,485 Brunswick Corp. 142,683
65,094 Cendant Corp. * 1,025,230
4,519 Centex Corp. 150,822
7,604 Circuit City Stores-Circuit City Group 582,657
18,925 Clear Channel Communications, Inc. * 1,269,158
28,038 Comcast Corp. Special, Class A 1,764,642
8,318 Consolidated Stores Corp. * 252,139
5,839 Cooper Tire & Rubber Co. 107,292
5,229 Crane Co. 126,476
12,523 Dana Corp. 475,874
10,570 Darden Restaurants, Inc. 218,006
33,378 Dayton-Hudson Corp. 2,223,809
6,154 Deluxe Corp. 179,235
8,422 Dillard's, Inc., Class A 213,708
155,474 Disney (Walt) Co. 4,839,128
14,068 Dollar General Corp. 478,312
10,583 Donnelley (R.R.) & Sons Co. 340,640
7,089 Dow Jones & Co., Inc. 334,512
12,934 Dun & Bradstreet Corp. 460,774
24,553 Eastman Kodak Co. 1,568,323
5,449 Eaton Corp. 389,603
2,565 Fleetwood Enterprises, Inc. 73,423
92,007 Ford Motor Co. 5,221,397
11,708 Fred Meyer, Inc. * 689,309
21,563 Gannett Co., Inc. 1,358,469
44,656 Gap, Inc. 3,005,907
13,557 Genuine Parts Co. 390,611
11,904 Goodyear Tire & Rubber Co. 592,968
2,871 Great Atlantic & Pacific Tea Co., Inc. 86,130
5,335 Harcourt General, Inc. 236,407
7,763 Harrah's Entertainment, Inc. * 147,982
14,934 Hasbro, Inc. 432,153
19,813 Hilton Hotels Corp. 278,620
111,742 Home Depot, Inc. 6,955,939
10,291 Ikon Office Solutions, Inc. 131,853
10,386 Interpublic Group of Cos., Inc. 808,810
2,778 Jostens, Inc. 59,033
3,004 Kaufman & Broad Home Corp. 67,778
<CAPTION>
Consumer Cyclical (continued)
Shares Value
------ -----
<S> <C> <C>
5,555 King World Productions, Inc. * $ 169,775
37,386 Kmart Corp. * 628,552
5,959 Knight-Ridder, Inc. 297,950
12,015 Kohl's Corp. * 851,563
19,504 Kroger Co. * 1,167,802
2,969 Longs Drug Stores Corp. 90,369
26,705 Lowe's Cos., Inc. 1,615,652
18,992 Marriott International, Inc., Class A 638,606
25,787 Masco Corp. 728,483
22,178 Mattel, Inc. 551,678
26,367 The May Department Stores Co. 1,031,609
6,985 Maytag Corp. 421,719
103,906 McDonald's Corp. 4,708,241
14,990 McGraw-Hill Cos., Inc. 816,955
4,010 Meridith Corp. 126,064
13,659 Mirage Resorts, Inc. * 290,254
6,668 Moore Corp., Ltd. 65,847
3,194 National Services Industries, Inc. 108,796
14,357 New York Times Co., Class A 409,174
21,314 Newell Rubbermaid, Inc. 1,012,415
11,294 Nordstrom, Inc. 461,642
12,836 Omnicom Group, Inc. 1,026,078
4,101 Owens-Corning 130,463
19,194 Penny (J.C.) Co., Inc. 777,357
3,800 Pep Boys-Manny, Moe & Jack 57,950
3,376 Polaroid Corp. 67,731
19,626 Rite Aid Corp. 490,650
21,253 Service Corp. International 302,855
13,145 Sherwin-Williams Co. 369,703
4,524 Snap-On, Inc. 131,196
7,604 Tandy Corp. 485,230
91,049 Time Warner, Inc. 6,470,170
6,569 Times Mirror Co., Class A 355,137
24,039 TJX Cos., Inc. 817,326
19,811 Toys `R' Us, Inc. * 372,694
9,235 Tribune Co. 604,315
11,599 Tricon Global Restaurants, Inc. * 814,830
48,873 Tyco International, Ltd. 3,506,638
167,285 Wal-Mart Stores, Inc. 15,421,586
75,582 Walgreen Co. 2,135,192
43,437 Waste Management, Inc. 1,927,517
9,643 Wendy's International, Inc. 274,223
5,748 Whirlpool Corp. 312,547
------------
92,827,272
------------
Utilities - 7.99%
13,359 AES Corp. * 497,623
20,848 ALLTEL Corp. 1,300,394
10,373 Ameren Corp. 375,373
14,485 American Electric Power Co., Inc. 574,873
83,696 Ameritech Corp. 4,843,906
11,300 Baltimore Gas & Electric Co. 286,737
117,903 Bell Atlantic Corp. 6,094,111
149,305 BellSouth Corp. 5,981,532
11,507 Carolina Power & Light Co. 435,108
16,119 Central & South West Corp. 377,789
</TABLE>
See Notes to Financial Statements.
11
<PAGE>
- --------------------------------------------------------------------------------
Large Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Utilities (continued)
7,000 Century Telephone Enterprises, Inc. $ 491,750
12,004 Cinergy Corp. 330,110
6,367 Columbia Energy Group 332,676
17,765 Consolidated Edison, Inc. 804,977
7,303 Consolidated Natural Gas Co. 355,565
14,894 Dominion Resources, Inc. 550,147
10,994 DTE Energy Co. 422,582
27,409 Duke Energy Corp. 1,497,217
26,803 Edison International 596,367
18,693 Entergy Corp. 514,057
17,977 FirstEnergy Corp. 502,232
13,768 FPL Group, Inc. 733,146
13,042 Frontier Corp. 676,554
9,763 GPU, Inc. 364,282
73,223 GTE Corp. 4,429,992
138,944 MCI WorldCom, Inc.* 12,305,228
8,428 New Century Energies, Inc. 287,079
21,673 NEXTEL Communications, Inc., Class A * 793,774
14,177 Niagara Mohawk Power Corp. * 190,503
3,607 NICOR, Inc. 129,627
11,492 Northern States Power Co. 266,471
2,364 ONEOK, Inc. 58,509
22,584 PacifiCorp 389,574
16,943 PECO Energy Co. 783,614
2,674 Peoples Energy Corp. 86,404
28,950 PG & E Corp. 899,259
11,501 PP & L Resources, Inc. 284,650
17,554 Public Service Enterprise Group, Inc. 670,343
148,602 SBC Communications, Inc. 7,002,869
52,991 Southern Co. 1,235,353
12,843 Tenneco, Inc. 358,801
21,269 Texas Utilities Co. (Holding Co.) 886,651
16,442 Unicom Corp. 601,161
38,091 U.S. West, Inc., Communications Group 2,097,386
27,198 Viacom Inc., Class B * 2,282,932
32,244 Williams Cos., Inc. 1,273,638
------------
66,252,926
------------
Capital Goods - 5.86%
20,846 American Stores Co. 687,918
6,582 Andrew Corp. * 81,041
71,894 Boeing Co. 2,453,383
11,555 Browning-Ferris Industries, Inc. 445,590
27,705 Caterpillar, Inc. 1,272,698
7,894 Cooper Industries, Inc. 336,482
2,889 Cummins Engine Co., Inc. 102,740
18,584 Deere & Co. 717,807
16,953 Dover Corp. 557,330
33,479 Emerson Electric Co. 1,772,295
2,675 FMC Corp. * 132,078
5,962 Fluor Corp 160,974
3,091 Foster Wheeler Corp. 37,478
9,656 General Dynamics Corp. 620,398
247,021 General Electric Co. 27,326,698
<CAPTION>
Capital Goods (continued)
Shares Value
------ -----
<S> <C> <C>
7,395 Grainger (W.W.), Inc. $ 318,447
3,587 Harnischfeger Industries, Inc. 20,401
18,988 Illinois Tool Works, Inc. 1,174,883
12,523 Ingersoll-Rand Co. 621,454
6,473 Johnson Controls, Inc. 403,753
29,780 Lockheed Martin Corp. 1,122,334
4,524 McDermott International, Inc. 114,514
2,966 Milacron, Inc. 46,715
606 NACCO Industries, Inc., Class A 44,882
5,131 Navistar International Corp. * 206,202
5,244 Northrop Grumman Corp. 313,984
5,954 PACCAR, Inc. 245,230
8,410 Parker-Hannifin Corp. 288,043
25,665 Raytheon Co., Class B 1,504,611
14,486 Rockwell International Corp. 614,750
17,870 Solectron Corp.* 867,812
12,422 Textron, Inc. 961,152
12,617 Thermo Electron Corp. * 171,118
4,729 Timken Co. 76,846
9,238 TRW, Inc. 420,329
17,351 United Technologies Corp. 2,349,976
------------
48,592,346
------------
Energy - 5.82%
6,879 Amerada Hess Corp. 346,100
9,140 Anadarko Petroleum Corp. 345,035
7,495 Apache Corp. 195,338
5,853 Ashland, Inc. 239,607
24,341 Atlantic Richfield Co. 1,776,893
24,142 Baker Hughes, Inc. 586,952
13,461 Burlington Resources, Inc. 537,599
49,706 Chevron Corp. 4,395,874
16,119 Coastal Corp. 531,927
1,737 Eastern Enterprises 63,183
25,048 Enron Corp. 1,609,334
185,042 Exxon Corp. 13,057,026
33,264 Halliburton Co. 1,280,664
3,809 Helmerich & Payne, Inc. 86,417
6,578 Kerr-McGee Corp. 215,841
59,363 Mobil Corp. 5,223,944
26,792 Occidental Petroleum Corp. 482,256
19,616 Phillips Petroleum Co. 926,856
22,471 Reliant Energy, Inc. 585,650
6,455 Rowan Cos., Inc. * 81,898
162,780 Royal Dutch Petroleum Co., ADR 8,464,560
41,285 Schlumberger, Ltd. 2,484,841
18,271 Sempra Energy 350,575
8,321 Sonat, Inc. 249,630
7,097 Sunoco, Inc. 255,935
40,673 Texaco, Inc. 2,308,193
19,101 Union Pacific Resources Group, Inc. 226,824
18,284 Unocal Corp. 673,080
23,307 USX-Marathon Group 640,942
------------
48,222,974
------------
</TABLE>
See Notes to Financial Statements.
12
<PAGE>
- --------------------------------------------------------------------------------
Large Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
Basic Materials - 3.37%
2,144 Aeroquip-Vickers, Inc. $ 122,878
17,567 Air Products & Chemicals, Inc. 601,670
17,253 Alcan Aluminum, Ltd. 445,343
28,312 Alcoa, Inc. 1,166,101
42,615 AlliedSignal, Inc. 2,096,125
8,844 Avery-Dennison Corp. 508,530
2,355 Ball Corp. 110,538
28,352 Barrick Gold Corp. 483,756
3,996 Bemis Co., Inc. 124,126
9,871 Bethlehem Steel Corp. * 81,436
4,319 Boise Cascade Corp. 139,288
7,294 Champion International Corp. 299,510
9,453 Crown Cork & Seal Co., Inc. 270,001
7,088 Cyprus Amax Minerals Co. 85,942
17,047 Dow Chemical Co. 1,588,567
85,844 duPont (E.I.) deNemours & Co. 4,984,317
6,068 Eastman Chemical Co. 255,235
10,983 Engelhard Corp. 186,025
16,739 Fort James Corp. 530,417
13,639 Freeport-McMoran
Copper & Gold, Inc., Class B 148,324
7,084 Georgia-Pacific Co. 525,987
5,644 Goodrich (B.F.) Co. 193,660
4,509 Great Lakes Chemical Corp. 165,706
7,201 Hercules, Inc. 181,825
18,081 Homestake Mining Co. 155,949
12,620 Inco, Ltd., Class A 168,004
23,301 International Paper Co. 983,011
8,326 Louisiana-Pacific Corp. 155,072
7,913 Mead Corp. 243,325
3,285 Millipore Corp. 79,251
30,704 Minnesota Mining & Manufacturing Co. 2,172,308
45,644 Monsanto Co. 2,096,771
9,844 Morton International, Inc. 361,767
5,043 Nalco Chemical Co. 133,955
12,739 Newmont Mining Corp. 222,932
6,678 Nucor Corp. 294,249
11,810 Owens-Illinois, Inc.* 295,250
9,446 Pall Corp. 156,449
4,403 Phelps Dodge Corp. 216,848
2,168 Potlatch Corp. 73,577
13,464 PPG Industries, Inc. 690,030
12,004 Praxair, Inc. 432,894
6,052 Raychem Corp. 136,548
5,432 Reynolds Metals Co. 262,433
13,522 Rohm & Haas Co. 453,832
7,612 Sigma Aldrich Corp. 222,651
4,222 Temple-Inland, Inc. 264,931
5,227 Union Camp Corp. 350,862
10,253 Union Carbide Corp. 463,307
<CAPTION>
Basic Materials (continued)
Shares Value
------ -----
<S> <C> <C>
6,676 USX-U.S. Steel Group, Inc. $ 156,886
7,705 Westvaco Corp. 161,805
15,104 Weyerhaeuser Co. 838,272
8,421 Willamette Industries, Inc. 317,893
7,276 Worthington Industries, Inc. 85,493
------------
27,941,862
------------
Transportation - 1.50%
13,875 AMR Corp. * 812,555
35,940 Burlington Northern Santa Fe Corp. 1,181,527
5,645 Case Corp. 143,242
16,626 CSX Corp. 647,375
10,855 Delta Air Lines, Inc. 754,422
9,860 Ecolab, Inc. 350,030
11,183 FDX Corp. * 1,037,922
49,714 General Motors Corp. 4,318,904
25,058 Laidlaw, Inc. 145,650
28,756 Norfolk Southern Corp. 758,440
5,532 Ryder Systems, Inc. 152,821
25,461 Southwest Airlines Co. 770,195
6,669 US Airways Group, Inc. * 325,531
18,785 Union Pacific Corp. 1,003,823
------------
12,402,437
------------
Chemicals and Drugs - 0.08%
5,756 Grace (W.R.) & Co.* 69,791
5,535 Mallinckrodt, Inc. 147,369
23,426 Tenet Healthcare Corp. * 443,630
------------
660,790
------------
Metals and Mining - 0.07%
14,998 Allegheny Teledyne, Inc. 284,025
2,987 ASARCO, Inc. 41,071
17,458 Battle Mountain Gold Co. 48,009
18,996 Placer Dome, Inc. 212,518
------------
585,623
------------
Total Common Stocks 797,222,660
(Cost $419,363,706) ------------
</TABLE>
See Notes to Financial Statements.
13
<PAGE>
- --------------------------------------------------------------------------------
Large Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Par Value Value
--------- -----
<S> <C> <C>
U.S. GOVERNMENT OBLIGATION (A) - 0.24%
U.S. Treasury Bill (B) - 0.24%
$2,000,000 4.41%, 06/24/99 $ 1,979,740
------------
Total U.S. Government Obligation 1,979,740
------------
(Cost $1,979,420)
REPURCHASE AGREEMENT - 3.43%
28,479,000 Repurchase Agreement with:
State Street Bank
4.88%, 04/01/99, dated 03/31/99
Repurchase Price $28,482,860
(Collateralized by U.S. Treasury Bond
10.38%, Due 2012;
Total Par $21,380,000
Market Value $29,883,423) 28,479,000
------------
Total Repurchase Agreement 28,479,000
------------
(Cost $28,479,000)
Total Investments - 99.85% 827,681,400
------------
(Cost $449,822,126)
Net Other Assets and Liabilities - 0.15% 1,217,859
------------
Net Assets - 100.00% $828,899,259
============
</TABLE>
- -------------------------------------------
* Non-income producing security.
ADR American Depositary Receipt.
(A) Discount yield at time of purchase.
(B) Security has been deposited as initial margin on open futures contracts.
At March 31, 1999 the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of Contract Expiration Opening Current
Contracts Type Date Position Market Value
--------- ---- ---- -------- ------------
<S> <C> <C> <C> <C>
97 S&P 500 Jun-99 $31,479,970 $31,362,525
=========== ===========
</TABLE>
See Notes to Financial Statements.
14
<PAGE>
- --------------------------------------------------------------------------------
Small Company Index Fund
Portfolio of Investments
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
COMMON STOCKS - 96.89%
Consumer Staples - 20.44%
<S> <C> <C>
22,400 AAR Corp. $ 399,000
16,200 ADAC Laboratories * 220,725
25,900 Alliance Pharmaceutical Corp. * 71,225
21,700 Alpharma, Inc., Class A 851,725
7,100 Angelica Corp. 99,400
20,800 AnnTaylor Stores Corp. * 919,100
22,300 Apogee Enterprises, Inc. 264,812
24,200 Applebees International, Inc. 600,462
36,600 Aztar Corp. * 176,138
24,600 Ballard Medical Products 599,625
18,100 Barr Laboratories, Inc. * 552,050
19,600 Belden, Inc. 334,425
17,800 Bindley Western Industries 508,412
39,400 Bio-Technology General Corp. * 235,169
14,100 Books-A-Million, Inc. * 143,644
14,500 Canandaigua Brands, Inc., Class A * 730,437
20,200 Caraustar Industries, Inc. 464,600
42,600 Casey's General Stores, Inc. 628,350
22,200 Cato Corp., Class A 206,738
14,600 CEC Entertainment, Inc. * 523,775
7,700 Chemed Corp. 198,275
52,900 Chiquita Brands International, Inc. 538,919
19,700 Clarcor, Inc. 336,131
6,800 Coca-Cola Bottling Co. 375,700
20,600 Cone Mills Corp. * 100,425
12,100 Cooper Cos., Inc. * 186,037
19,600 Cor Therapeutics, Inc. * 194,775
47,500 Coventry Health Care, Inc. * 356,250
13,400 Cross (A.T.) Co., Class A 97,987
5,200 Damark International, Inc., Class A * 44,850
12,300 Datascope Corp. * 332,100
31,000 Delta & Pine Land Co. 953,250
19,600 Delta Woodside Industries, Inc. 94,325
11,100 Diagnostic Products Corp. 269,175
36,000 Dimon, Inc. 137,250
18,400 Dress Barn, Inc. * 255,300
38,000 Dura Pharmaceuticals, Inc. * 536,750
34,800 Earthgrains Co. 772,125
20,100 Enzo Biochem, Inc. * 188,437
31,000 Fleming Cos. 265,438
31,600 Foodmaker, Inc. * 805,800
9,600 Galey & Lord, Inc. * 42,600
16,600 G & K Services, Inc., Class A 766,713
28,500 Genesis Health Ventures, Inc. * 138,937
12,800 Gibson Greetings, Inc. * 93,600
25,000 Griffon Corp. * 171,875
18,900 Guilford Mills, Inc. 165,375
19,600 Gymboree Corp. * 175,175
6,900 Haggar Corp. 69,863
16,600 Hancock Fabrics, Inc. 104,787
14,300 Harman International Industries, Inc. 525,525
28,100 Hartmarx Corp. * 136,988
8,400 Hauser, Inc. * 22,050
16,200 IDEC Pharmaceuticals Corp. * 832,275
22,400 INCYTE Pharmaceuticals, Inc. * 449,400
<CAPTION>
Shares Value
------ -----
Consumer Staples (continued)
<S> <C> <C>
24,200 Invacare Corp. $ 588,362
7,300 J & J Snack Foods Corp. * 146,912
8,700 Johnston Industries, Inc. * 18,488
23,300 Jones Pharmaceuticals, Inc. 809,675
19,200 Kaman Corp., Class A 246,000
17,400 Kellwood Co. 383,887
43,200 Komag, Inc. * 189,000
13,900 Lechters, Inc. * 29,972
10,600 Lindsay Manufacturing Co. 210,675
31,500 Linens'N Things, Inc. * 1,429,313
31,000 Liposome Co., Inc. * 416,562
25,600 Magellan Health Services, Inc. * 107,200
57,400 Mariner Post-Acute Network, Inc. * 125,563
42,600 Medimmune, Inc. * 2,521,388
26,200 Medquist Inc.* 786,000
29,500 The Men's Wearhouse, Inc. * 851,812
19,700 Mentor Corp. 289,344
46,400 Mohawk Industries, Inc. * 1,392,000
9,200 Nash Finch Co. 77,050
5,900 National Presto Industries, Inc. 209,081
14,700 Nature's Sunshine Products, Inc. 161,700
30,100 Nautica Enterprises, Inc. * 340,506
54,800 NBTY, Inc. * 267,150
26,100 North American Vaccine, Inc. * 156,600
17,300 Noven Pharmaceuticals, Inc. * 80,012
37,800 Oakwood Homes Corp. 531,563
14,700 Oshkosh B'Gosh, Inc., Class A 260,006
26,400 Owens & Minor, Inc. 267,300
6,900 Oxford Industries, Inc. 168,187
20,000 PAREXEL International Corp. * 413,750
26,900 Patterson Dental Co. * 1,163,425
5,900 Penford Corp. 87,763
18,900 Pharmaceutical Product Development, Inc. * 634,331
22,000 Phillips-Van Heusen Corp. 152,625
61,600 PhyCor, Inc. * 292,600
78,700 Pier 1 Imports, Inc. 639,438
20,700 Polaris Industries, Inc. 657,225
10,900 Pope & Talbot, Inc. 69,487
8,646 Priority Healthcare Corp., Class A * 391,232
1,500 Priority Healthcare Corp., Class B * 67,875
7,100 Quaker Chemical Corp. 100,287
25,800 Ralcorp Holdings, Inc. * 490,200
28,850 Regis Corp. 768,131
36,300 Renal Care Group, Inc. * 712,388
25,600 Respironics, Inc. * 337,600
38,500 Richfood Holdings, Inc. 830,156
25,400 Roberts Pharmaceutical Corp. * 527,050
16,200 Royal Appliance Manufacturing Co. * 60,750
11,900 Ryland Group, Inc. 301,219
44,100 Safeskin Corp. * 327,994
12,800 Schweitzer-Mauduit International, Inc. 147,200
21,100 Shopko Stores, Inc. * 630,363
22,000 Sierra Health Services, Inc. * 286,000
30,400 Smithfield Foods, Inc. * 689,700
10,500 Standex International Corp. 229,688
37,600 Stride Rite Corp. 460,600
17,900 Sunrise Medical, Inc. * 111,875
</TABLE>
See Notes to Financial Statements.
15
<PAGE>
- --------------------------------------------------------------------------------
Small Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
Consumer Staples (continued)
<S> <C> <C>
8,900 Syncor International Corp. * $ 248,087
18,700 TCBY Enterprises, Inc. 112,200
23,100 TetraTech, Inc. * 486,544
9,300 Timberland Co., Class A * 586,481
23,700 Triarc Cos., Inc. * 413,269
19,700 United States Bioscience, Inc. * 214,238
26,500 Universal Health Services, Inc.,
Class B * 1,146,125
11,200 USA Detergents, Inc. * 70,000
20,500 Vertex Pharmaceuticals, Inc. * 517,625
33,900 Vicor Corp. * 423,750
24,500 VISX, Inc. * 2,635,281
12,700 WD-40 Co. 368,300
21,300 Whole Foods Market, Inc. * 732,188
45,000 Williams-Sonoma, Inc. * 1,271,250
------------
53,131,872
------------
Technology - 18.45%
62,800 Acxiom Corp. * 1,664,200
31,800 Advanced Tissue Sciences, Inc. * 68,569
22,200 Allen Telecom, Inc. * 134,588
10,300 Analogic Corp. 339,256
18,200 Analysts International Corp. 209,300
33,800 Anixter International, Inc. * 403,487
20,200 Aspen Technology, Inc. * 286,588
20,800 Auspex Systems, Inc. * 222,300
9,200 Biomatrix, Inc. 717,600
21,600 BISYS Group, Inc. * 1,215,000
22,000 BMC Industries, Inc. 97,625
15,390 BMC Software, Inc. * 570,392
15,800 BancTec, Inc. * 194,537
19,600 BE Aerospace, Inc. * 289,100
9,400 Benchmark Electronics, Inc. * 282,000
29,800 Burr-Brown Corp. * 700,300
10,200 C&D Technologies, Inc. 253,725
7,400 C-Cor Electronics, Inc. * 127,650
30,400 C-Cube Microsystems, Inc. * 602,300
15,600 CDI Corp. * 375,375
24,600 Cable Design Technologies * 270,600
12,200 California Microwave, Inc. * 131,150
14,800 Catalina Marketing Corp. * 1,270,950
5,800 Centigram Communications Corp. * 57,275
23,200 Cephalon, Inc. * 203,000
26,600 Cerner Corp. * 427,263
32,400 Cognex Corp. * 767,475
19,200 Coherent, Inc. * 264,000
16,800 Computer Task Group, Inc. 359,100
12,100 Customtracks Corp. * 181,500
16,700 Cygnus, Inc. * 125,250
22,800 Dallas Semiconductor Corp. 880,650
18,500 Dendrite International, Inc. * 412,781
13,100 Dialogic Corp. * 399,550
11,300 Digi International, Inc. * 76,275
9,200 Electro Scientific Industries, Inc. * 427,800
18,200 Exabyte Corp. * 86,450
12,400 FactSet Research Systems, Inc. 536,300
<CAPTION>
Shares Value
------ -----
Technology (continued)
<S> <C> <C>
11,300 Fair Isaac & Co., Inc. $ 418,806
25,700 FileNet Corp. * 179,900
71,150 FirstMerit Corp. 1,832,113
12,100 Flow International Corp. * 119,487
29,800 General Semiconductor, Inc. * 216,050
18,400 Gerber Scientific, Inc. 371,450
10,800 Hadco Corp. * 340,200
33,500 Harbinger Corp. * 226,125
8,500 Harmon Industries, Inc. 170,531
18,000 Helix Technology Corp. 276,750
20,900 HNC Software * 684,475
20,000 Hutchinson Technology * 497,500
24,200 Hyperion Solutions Corp. * 350,900
31,200 IDEXX Laboratories, Inc. * 746,850
40,700 Input/Output, Inc. * 256,919
21,400 Insituform Technologies, Inc., Class A * 374,500
42,400 Interface, Inc. 408,100
41,700 International Rectifier Corp. * 291,900
21,100 Inter-Tel, Inc. 328,369
22,200 InterVoice, Inc. * 244,200
13,000 Ionics, Inc. * 391,625
11,900 Itron, Inc. * 111,562
22,600 Kent Electronics Corp. * 224,587
10,100 Kronos, Inc. * 247,450
8,400 Landstar System, Inc. * 278,250
19,000 Lattice Semiconductor Corp. * 865,688
32,400 Macromedia, Inc. * 1,468,125
13,400 Marshall Industries * 180,900
12,700 Material Sciences Corp. * 80,963
12,000 Maxxim Medical, Inc. * 226,500
8,300 McWhorter Technologies, Inc. * 113,087
28,600 Mercury Interactive Corp. * 1,018,875
28,800 Methode Electronics, Inc., Class A 320,400
16,100 Micrel, Inc. * 806,006
16,300 MicroAge, Inc. * 87,612
13,000 MICROS Systems, Inc. * 429,000
15,100 Molecular Biosystems, Inc. * 40,581
5,100 Nashua Corp. * 58,650
25,200 National Computer Systems, Inc. 617,400
26,600 National Instruments Corp. * 758,100
17,300 Network Equipment Technologies, Inc. * 154,619
30,400 Novellus Systems, Inc. * 1,675,800
14,200 Oak Industries, Inc. * 450,850
23,900 Organogenesis, Inc. * 276,344
35,200 P-COM, Inc. * 268,400
38,700 Paxar Corp. * 287,831
31,200 PictureTel Corp. * 218,400
21,300 Pioneer Standard Electronics, Inc. 139,781
13,400 Plantronics, Inc. * 838,337
32,200 Platinum Software Corp. * 237,475
12,000 Plexus Corp. * 334,500
13,800 Progress Software Corp. * 470,925
15,100 Protein Design Laboratories, Inc. * 227,444
25,100 Regeneron Pharmaceuticals, Inc. * 166,288
16,700 Resound Corp. * 62,625
10,300 SPS Technologies, Inc. * 404,275
46,800 Sanmina Corp. * 2,983,500
</TABLE>
See Notes to Financial Statements.
16
<PAGE>
- --------------------------------------------------------------------------------
Small Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
Technology (continued)
<S> <C> <C>
7,600 Spacelabs Medical, Inc. * $ 127,775
13,000 Speedfam International, Inc. * 156,000
12,900 Standard Microsystems Corp. * 101,588
9,600 Steel Technologies, Inc. 75,600
25,200 Summit Technology, Inc. * 277,200
12,700 Symmetricom, Inc. * 80,169
38,500 System Software Associates, Inc. * 86,625
33,000 Technology Solutions Co. * 235,125
25,600 Unitrode Corp. * 363,200
37,000 VLSI Technology, Inc. * 716,875
20,800 Valence Technology, Inc. * 137,800
21,200 Vantive Corp. * 255,725
12,100 Volt Information Sciences, Inc. * 198,893
5,300 Watkins-Johnson Co. 119,913
9,200 Whittaker Corp. * 201,825
41,400 Whittman-Hart, Inc. * 890,100
17,200 X-Rite, Inc. 111,800
18,600 Xircom, Inc. * 467,325
34,200 Xylan Corp. * 1,258,988
25,300 Zebra Technologies Corp., Class A * 600,875
------------
47,952,542
------------
Consumer Cyclical - 18.44%
17,300 ABM Industries, Inc. 527,650
18,100 ADVO, Inc. * 349,556
7,500 Amcast Industrial Corp. 120,938
26,500 American Oncology Resources, Inc. * 238,500
9,800 Anchor Gaming * 428,750
33,800 Applied Magnetics Corp. * 141,537
22,300 Arctic Cat, Inc. 221,606
11,400 Ashworth, Inc. * 39,900
9,800 Au Bon Pain Co., Inc., Class A * 51,450
18,600 Authentic Fitness Corp. 287,138
19,800 Avid Technology, Inc. * 345,262
11,400 Baker (J.), Inc. 42,750
10,400 Bassett Furniture Industries, Inc. 230,100
7,700 Bell Industries, Inc. * 79,888
30,600 Bombay Co., Inc. * 122,400
187 Borg-Warner Automotive, Inc. 8,941
29,800 Bowne & Co., Inc. 348,288
29,800 Breed Technologies, Inc. * 106,163
42,400 Brightpoint, Inc. * 250,425
14,600 Brown Group, Inc. 192,537
10,300 Building Materials Holding Corp. * 104,287
6,000 Butler Manufacturing Co. 140,625
41,900 CKE Restaurants, Inc. 827,525
8,100 CPI Corp. 181,238
9,200 Carmike Cinemas, Inc., Class A * 166,175
20,300 Cash America International, Inc. 261,363
38,900 Champion Enterprises, Inc. * 753,687
16,100 The Cheesecake Factory, Inc. * 382,375
43,300 CIBER, Inc. * 830,819
13,500 Coachmen Industries, Inc. 398,250
11,300 Consolidated Graphics, Inc. * 652,575
21,200 Consolidated Products, Inc. * 372,325
10,400 Curative Health Services, Inc. * 119,600
<CAPTION>
Shares Value
------ -----
Consumer Cyclical (continued)
<S> <C> <C>
12,500 Cyrk International, Inc. * $ 94,531
14,900 Dames & Moore Group 166,694
56,100 DEVRY, Inc. * 1,626,900
13,400 Discount Auto Parts, Inc. * 288,100
9,200 Dixie Group, Inc. 65,550
17,700 ETEC Systems, Inc. * 521,044
23,600 Eagle Hardware & Garden, Inc. * 901,225
22,300 Ethan Allen Interiors, Inc. 926,844
27,200 Express Scripts, Inc., Class A * 2,337,500
20,900 Family Golf Centers, Inc. * 155,444
29,000 Fedders Corp. 146,813
16,800 Franklin Covey Co. * 151,200
6,200 GC Cos., Inc. * 194,913
40,200 General Communication, Class A * 183,412
26,900 Goody's Family Clothing, Inc. * 374,919
10,200 Gottschalks, Inc. * 70,125
16,300 Graco, Inc. 359,619
36,200 Ha-Lo Industries, Inc. * 445,713
15,400 Henry (Jack) & Associates, Inc. 565,950
20,900 Hollywood Park, Inc. * 215,531
9,500 Huffy Corp. 114,000
8,000 IHOP Corp. * 314,000
19,000 Immune Response Corp. * 167,437
12,000 Innovex, Inc. 160,500
9,900 Integrated Circuit Systems, Inc. * 178,819
42,800 Integrated Health Services, Inc. * 235,400
38,200 Interim Services, Inc. * 573,000
22,900 Jan Bell Marketing, Inc. * 97,325
15,400 Jo-Ann Stores Inc., Class A * 211,750
15,000 Juno Lighting, Inc. 336,562
25,200 Just For Feet, Inc. * 315,000
8,800 K-Swiss, Inc., Class A 222,200
13,400 K2, Inc. 105,525
1 LCA-Vision, Inc. * 4
9,700 LSB Industries, Inc. 26,675
42,700 La-Z-Boy, Inc. 811,300
24,500 Landry's Seafood Restaurants, Inc. * 156,953
14,000 Libbey, Inc. 434,000
7,400 Lillian Vernon Corp. 88,800
18,800 Luby's, Inc. 317,250
25,200 Marcus Corp. 302,400
37,900 MascoTech, Inc. 587,450
13,200 Merrill Corp. 176,550
13,400 Metro Networks, Inc. * 737,000
17,200 Michael Foods, Inc. 327,875
22,800 Michaels Stores, Inc. * 562,875
30,100 Midway Games, Inc. * 261,494
14,900 Myers Industries, Inc. 314,763
16,300 NCS Healthcare, Inc., Class A * 195,600
17,300 NFO Worldwide, Inc. * 173,000
27,400 National Data Corp. 1,150,800
20,700 Norrell Corp. 270,394
19,300 O'Reilly Automotive, Inc. * 863,675
38,600 Orthodontic Centers of America, Inc. * 607,950
17,100 Pacific Sunwear of California, Inc. * 594,225
8,400 Park Electrochemical Corp. 197,400
12,400 Pediatrix Medical Group, Inc. * 348,750
</TABLE>
See Notes to Financial Statements.
17
<PAGE>
- --------------------------------------------------------------------------------
Small Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
Consumer Cyclical (continued)
<S> <C> <C>
19,700 Photronics, Inc. * $ 366,912
11,400 Pillowtex Corp. 161,738
25,900 Players International, Inc. * 161,875
19,000 Pre-Paid Legal Services, Inc. * 465,500
17,200 Primark Corp. * 365,500
42,300 Prime Hospitality Corp. * 420,356
9,500 Republic Group, Inc. 143,094
26,200 Ruby Tuesday, Inc. 455,225
11,700 Rural/Metro Corp. * 92,869
18,000 Russ Berrie & Co., Inc. 470,250
32,400 Ryan's Family Steakhouses, Inc. * 390,825
14,500 SEI Investments Co. 1,341,250
41,400 S3, Inc. * 310,500
13,500 St. John Knits, Inc. 356,062
18,900 Smith (A.O.) Corp. 359,100
20,000 Sola International, Inc. * 241,250
15,400 Sonic Corp. * 414,837
10,200 Spartan Motors, Inc. 59,925
25,700 The Sports Authority, Inc. * 187,931
10,500 Standard Motor Products, Inc. 217,219
24,000 Standard Pacific Corp. 309,000
36,700 Stein Mart, Inc. * 367,000
21,800 Sturm Ruger & Co., Inc. 218,000
26,300 Superior Services, Inc. * 521,069
6,400 Swiss Army Brands, Inc. * 61,000
17,200 TBC Corp. * 104,275
18,100 TCSI Corp. * 34,503
11,000 Taco Cabana, Class A * 96,938
12,800 Thomas Industries, Inc. 240,000
12,000 Thomas Nelson, Inc. 120,000
9,900 Thor Industries, Inc. 223,988
6,000 Three-Five Systems, Inc. * 51,750
29,900 Toll Brothers, Inc. * 541,938
10,400 Toro Co. 326,300
37,600 Tower Automotive, Inc. * 700,300
17,900 Trimble Navigation, Ltd. * 174,525
36,400 True North Communications, Inc. 1,023,750
17,100 Ultratech Stepper, Inc. * 241,537
11,000 U.S. Home Corp. * 358,875
10,300 Vital Signs, Inc. 185,400
7,000 Walbro Corp. * 63,000
8,100 Wall Data, Inc. * 116,437
20,000 Watsco, Inc. 292,500
23,200 Westwood One, Inc. * 661,200
18,500 Winnebago Industries, Inc. 259,000
35,500 Wolverine World Wide, Inc. 337,250
31,100 World Color Press, Inc. * 660,875
29,000 Zale Corp. * 991,437
------------
47,919,416
------------
Finance - 13.23%
34,800 American Bankers Insurance Group, Inc. 1,809,600
50,700 AmeriCredit Corp. * 665,437
36,500 AMRESCO, Inc. * 280,594
13,800 Anchor Bancorp Wisconsin, Inc. 212,175
19,000 BankNorth Group, Inc. 536,750
<CAPTION>
Shares Value
------ -----
Finance (continued)
<S> <C> <C>
25,800 Capital Re Corp. $ 445,050
18,100 Carolina First Corp. 398,200
22,500 Centura Banks, Inc. 1,309,219
18,400 CMAC Investment Corp. 717,600
22,285 Commerce Bancorp, Inc. 919,256
49,000 Commercial Federal Corp. 1,136,187
8,100 CompDent Corp. * 101,250
21,600 Cullen/Frost Bankers, Inc. 1,035,450
10,100 Dain Rauscher Corp. 343,400
16,140 Delphi Financial Group, Class A * 546,743
22,700 Downey Financial Corp. 415,694
29,000 Eaton Vance Corp. 583,625
30,300 Enhance Financial Services Group, Inc. 689,325
9,000 Executive Risk, Inc. 639,000
23,300 Fidelity National Financial, Inc. 349,500
48,600 First American Financial Corp. 768,487
24,200 FirstBancorp/Puerto Rico 582,313
23,500 First Midwest Bancorp, Inc. 893,000
56,600 Fremont General Corp. 1,078,937
29,900 Frontier Insurance Group, Inc. 355,063
14,000 Gallagher (Arthur J.) & Co. 644,000
35,000 HUBCO, Inc. 1,174,687
9,800 Hilb, Rogal & Hamilton Co. 165,987
7,800 JSB Financial, Inc. 390,975
19,000 Jefferies Group, Inc. 901,312
45,100 Legg Mason, Inc. 1,519,306
20,500 MAF Bancorp 456,125
14,900 MDC Holdings, Inc. 214,187
32,300 Mutual Risk Management, Ltd. 1,235,475
14,900 NAC Re Corp. 799,944
22,000 Orion Capital Corp. 687,500
20,900 Pioneer Group, Inc. 309,581
20,100 Premier Bancshares, Inc. 396,975
19,700 Provident Bankshares Corp. 514,663
17,300 Queens County Bancorp, Inc. 467,100
39,200 Raymond James Financial, Inc. 774,200
24,800 Riggs National Corp. 418,500
22,800 Selective Insurance Group, Inc. 401,850
16,700 Silicon Valley Bancshares * 345,481
1 Sovereign Bancorp, Inc. 12
33,600 St. Paul Bancorp, Inc. 727,650
1 SunTrust Banks, Inc. 31
29,000 Susquehanna Bancshares, Inc. 532,875
9,000 Trenwick Group, Inc. 253,125
21,700 Trustco Bank Corp. 542,500
34,800 United Bankshares, Inc. 796,050
34,600 UST Corp. 755,794
15,000 U.S. Trust Corp. 1,112,813
18,900 Whitney Holding Corp. 697,528
13,800 Zenith National Insurance Co. 335,512
------------
34,383,593
------------
Capital Goods - 6.22%
8,900 Alliant Techsystems, Inc. * 691,419
33,900 American Management Systems, Inc. * 1,156,837
31,200 Applied Power, Inc., Class A 850,200
</TABLE>
See Notes to Financial Statements.
18
<PAGE>
- --------------------------------------------------------------------------------
Small Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
Capital Goods (continued)
<S> <C> <C>
29,100 AptarGroup, Inc. $ 756,600
29,900 Baldor Electric Co. 601,738
30,000 Blount International, Inc., Class A 866,250
25,300 Checkpoint Systems, Inc. * 210,306
12,100 Commercial Metals Co. 242,000
39,900 Commscope, Inc. * 835,406
14,200 Daniel Industries, Inc. 216,550
49,900 Digital Microwave Corp. * 417,913
17,900 Dionex Corp. * 675,725
15,900 Electroglas, Inc. * 204,712
13,000 Gardner Denver, Inc.* 206,375
58,200 Gentex Corp. * 1,254,938
17,800 Global Industrial Technologies, Inc. * 186,900
25,100 Harland (John H.) Co. 324,731
10,800 Hologic, Inc. * 97,875
19,400 Hughes Supply, Inc. 441,350
13,400 IMCO Recycling, Inc. 172,525
35,700 JLG Industries, Inc. 486,413
31,700 KEMET Corp. * 364,550
18,900 Kulicke & Soffa Industries, Inc. * 477,225
14,000 Manitowoc Co., Inc. 586,250
29,800 Orbital Sciences Corp. * 843,712
16,900 Regal Beloit Corp. 305,256
8,900 Robbins & Myers, Inc. 153,525
25,300 Roper Industries, Inc. 604,038
14,500 Scott Technologies, Inc. * 251,938
10,200 SEACOR SMIT, Inc. * 548,887
14,800 Simpson Industries, Inc. 142,450
7,500 Skyline Corp. 208,125
10,300 Southern Energy Homes, Inc. * 55,363
10,500 Stone & Webster, Inc. 240,188
10,900 TETRA Technologies, Inc. * 73,575
17,000 Titan International, Inc. 130,687
20,300 Valmont Industries, Inc. 281,662
------------
16,164,194
------------
Basic Materials - 5.84%
22,000 AMCOL International Corp. 220,000
17,500 Applied Industrial Technologies, Inc. 194,687
15,300 Astec Industries, Inc. * 472,387
16,100 Barnes Group, Inc. 301,875
23,700 Birmingham Steel Corp. 93,319
18,200 Brady Corp., Class A 381,063
28,900 Buckeye Technologies, Inc. * 404,600
11,000 CTS Corp. 543,813
19,700 Cambrex Corp. 435,862
11,400 Castle (A.M.) & Co. 137,513
15,200 Chem First, Inc. 357,200
12,900 Commonwealth Industries, Inc. 116,100
28,900 Corn Products International, Inc. * 691,794
14,000 Esterline Technologies Corp. * 181,125
15,200 Florida Rock Industries 518,700
18,900 Geon Co. 429,975
24,900 Getchell Gold Corp. * 650,513
6,800 Insteel Industries, Inc. 38,250
10,100 Intermagnetics General Corp. * 83,325
<CAPTION>
Shares Value
------ -----
Basic Materials (continued)
<S> <C> <C>
20,800 Intermet Corp. $ 278,200
21,300 Justin Industries, Inc. 234,300
8,700 Lawson Products, Inc. 178,350
18,800 Lilly Industries, Inc., Class A 290,225
15,500 Lone Star Industries, Inc. 480,500
12,700 Lydall, Inc. * 105,569
20,300 MacDermid, Inc. 688,931
21,300 Mississippi Chemical Corp. 199,687
28,900 Mueller Industries, Inc. * 646,638
19,200 OM Group, Inc. 633,600
12,700 O'Sullivan Corp. 106,363
11,500 Quanex Corp. 178,250
15,000 Reliance Steel & Aluminum Co. 432,187
15,100 Scotts Co., Class A * 564,362
22,400 Shorewood Packaging Corp. * 439,600
28,350 Stillwater Mining Co. * 747,731
13,100 Technitrol, Inc. 302,119
13,000 Telxon Corp. 122,688
17,200 Texas Industries, Inc. 426,775
29,200 Tredegar Industries, Inc. 903,375
16,800 Universal Forest Products, Inc. 344,400
14,400 WHX Corp. * 113,400
11,300 Wolverine Tube, Inc. * 238,713
15,200 Wynn's International, Inc. 265,050
------------
15,173,114
------------
Utilities - 4.64%
7,300 American States Water Co. 177,025
9,000 Aquarion Co. 247,500
41,400 Aspect Telecommunications Corp. * 274,275
24,400 Atmos Energy Corp. 587,125
5,900 Bangor Hydro-Electric Co. * 74,856
8,900 Cascade Natural Gas Corp. 132,944
13,700 Central Hudson Gas & Electric Corp. 490,631
9,300 Central Vermont Public Service Corp. 93,581
11,000 CILCORP, Inc. 660,687
17,400 Commonwealth Energy System 669,900
8,300 Connecticut Energy Corp. 201,275
16,500 Eastern Utilities Associates 467,156
4,300 Green Mountain Power Corp. 41,656
14,400 New Jersey Resources Corp. 511,200
20,000 Northwest Natural Gas Co. 437,500
10,900 Orange & Rockland Utilities, Inc. 626,069
8,200 Pennsylvania Enterprises, Inc. 196,800
30,883 Philadelphia Suburban Corp. 700,662
24,800 Piedmont Natural Gas Co., Inc. 868,000
16,400 Public Service Co. of North Carolina 465,350
25,000 Sierra Pacific Resources 879,688
24,500 Southwest Gas Corp. 673,750
20,100 Southwestern Energy Co. 141,956
39,600 Tel-Save Holdings, Inc. * 413,325
10,700 TNP Enterprises, Inc. 307,625
11,600 United Illuminating Co. 486,475
30,300 United Water Resources, Inc. 628,725
30,200 WICOR, Inc. 611,550
------------
12,067,286
------------
</TABLE>
See Notes to Financial Statements.
19
<PAGE>
- --------------------------------------------------------------------------------
Small Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
Transportation - 2.93%
<S> <C> <C>
27,300 Air Express International Corp. $ 412,913
25,600 American Freightways Corp. * 329,600
15,800 Arkansas Best Corp. * 107,637
29,900 Central Parking Corp. 1,031,550
19,900 Expeditors International of
Washington, Inc. 1,074,600
29,300 Fritz Cos., Inc. * 201,438
13,500 Frozen Food Express Industries, Inc. 86,062
24,300 Heartland Express, Inc. * 369,056
9,200 Insurance Auto Auctions, Inc. * 111,550
16,900 Kirby Corp. * 320,044
9,900 M.S. Carriers, Inc. * 261,731
15,700 Pittston BAX Group 108,919
7,500 Railtex, Inc. * 85,313
47,500 Rollins Truck Leasing Corp. 448,281
19,700 Skywest, Inc. 568,837
13,000 Standard Products Co. 211,250
21,300 USFreightways Corp. 700,237
18,600 Wabash National Corp. 216,225
38,300 Werner Enterprises, Inc. 603,225
20,800 Yellow Corp. * 361,400
------------
7,609,868
------------
Energy - 2.90%
25,800 Barrett Resources Corp. * 646,612
24,000 Benton Oil & Gas Co. * 87,000
20,100 Cabot Oil & Gas Corp., Class A 290,194
37,000 Cross Timbers Oil Co. 261,312
26,200 Devon Energy Corp. 722,138
23,700 Energen Corp. 354,019
15,000 HS Resources, Inc. * 131,250
23,700 KCS Energy, Inc. 31,106
32,600 Newfield Exploration Co. * 737,575
18,200 Oceaneering International, Inc. * 275,275
17,300 Offshore Logistics, Inc. * 201,113
13,600 Plains Resources, Inc. * 204,000
32,500 Pogo Producing Co. 422,500
17,100 Pool Energy Services Co. * 261,844
40,700 Pride International, Inc. * 335,775
16,500 Remington Oil & Gas Corp. * 47,438
82,700 Santa Fe Energy Resources, Inc. * 604,744
19,000 Seitel, Inc. * 264,812
26,900 Snyder Oil Corp. 398,456
8,800 St. Mary Land & Exploration Co. 152,900
12,200 Stone Energy Corp. * 390,400
36,100 Tuboscope Vetco International Corp. * 324,900
42,900 Vintage Petroleum, Inc. 386,100
------------
7,531,463
------------
<CAPTION>
Shares Value
------ -----
Business Services - 1.36%
<S> <C> <C>
29,400 Billing Concepts Corp. * $ 349,125
36,960 InaCom Corp. * 286,440
20,100 Insight Enterprises, Inc. * 497,475
16,700 The Kroll-O'Gara Co. * 452,988
12,400 Lason, Inc. * 697,500
11,600 New England Business Service, Inc. 332,775
24,306 Quintiles Transnational Corp. * 917,535
------------
3,533,838
------------
Building and Construction - 0.99%
52,500 D.R. Horton, Inc. 879,375
17,700 Dycom Industries, Inc. * 769,950
43,200 Morrison Knudsen Corp. * 429,300
14,100 Service Experts * 190,350
12,800 TJ International, Inc. 308,800
------------
2,577,775
------------
Durable Goods - 0.77%
23,400 Halter Marine Group, Inc. * 136,012
39,400 Read-Rite Corp. * 259,794
30,900 Valassis Communications, Inc. * 1,599,075
------------
1,994,881
------------
Consumer Products - 0.24%
19,800 Footstar, Inc. * 633,600
------------
Aerospace - Airlines - 0.23%
10,300 Aviation Sales Co. * 458,350
22,900 Mesa Air Group, Inc. * 143,125
------------
601,475
------------
Metals and Mining - 0.21%
13,200 Brush Wellman, Inc. 191,400
17,700 Coeur d'Alene Mines Corp. * 73,012
44,600 HECLA Mining Co. * 122,650
16,800 RTI International Metals, Inc. * 157,500
------------
544,562
------------
Total Common Stocks 251,819,479
(Cost $272,028,044) ------------
</TABLE>
See Notes to Financial Statements.
20
<PAGE>
- --------------------------------------------------------------------------------
Small Company Index Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Par Value Value
--------- -----
<S> <C> <C>
U.S. GOVERNMENT OBLIGATION (A) - 0.57%
U.S. Treasury Bill (B) - 0.57%
$1,500,000 4.41%, 06/24/99 $ 1,484,805
------------
Total U.S. Government Obligation 1,484,805
------------
(Cost $1,484,565)
REPURCHASE AGREEMENT - 2.35%
6,113,000 Repurchase Agreement with:
State Street Bank
4.88%, 04/01/99, dated 03/31/99
Repurchase Price $6,113,829
(Collateralized by U.S. Treasury Bond
8.50%, Due 2020;
Total Par $4,730,000
Market Value $6,286,555) 6,113,000
------------
Total Repurchase Agreement 6,113,000
------------
(Cost $6,113,000)
Total Investments - 99.81% 259,417,284
------------
(Cost $279,625,609)
Net Other Assets and Liabilities - 0.19% 485,934
------------
Net Assets - 100.00% $259,903,218
============
</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 March 31, 1999 the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
Number of Contract Expiration Opening Current
Contracts Type Date Position Market Value
--------- ---- ---- -------- ------------
<S> <C> <C> <C> <C>
27 Midcap 400 Jun-99 $5,024,520 $4,972,050
17 Russell 2000 Jun-99 3,422,270 3,387,250
----------- -----------
$8,446,790 $8,359,300
=========== ===========
</TABLE>
See Notes to Financial Statements.
21
<PAGE>
- --------------------------------------------------------------------------------
Utility Index Fund
Portfolio of Investments
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
COMMON STOCKS - 99.04%
Utilities - 83.42%
<S> <C> <C>
35,600 AES Corp.* $ 1,326,100
27,100 Ameren Corp. 980,681
37,800 American Electric Power Co., Inc. 1,500,187
29,500 Baltimore Gas & Electric Co. 748,562
29,900 Carolina Power & Light Co. 1,130,594
42,000 Central & South West Corp. 984,375
31,300 Cinergy Corp. 860,750
16,500 Columbia Energy Group 862,125
46,000 Consolidated Edison, Inc. 2,084,375
18,900 Consolidated Natural Gas Co. 920,194
28,600 DTE Energy Co. 1,099,312
38,600 Dominion Resources, Inc. 1,425,787
71,400 Duke Energy Corp. 3,900,225
69,600 Edison International 1,548,600
48,700 Entergy Corp. 1,339,250
35,700 FPL Group, Inc. 1,901,025
25,300 GPU, Inc. 944,006
22,600 New Century Energies, Inc. 769,812
37,000 Niagara Mohawk Power Corp.* 497,188
9,400 NICOR, Inc. 337,813
30,100 Northern States Power Co. 697,944
6,200 Oneok, Inc. 153,450
58,700 PacifiCorp 1,012,575
44,200 PECO Energy Co. 2,044,250
7,000 Peoples Energy Corp. 226,188
75,500 PG & E Corp. 2,345,219
29,900 PP & L Resources, Inc. 740,025
45,000 Public Service Enterprise Group, Inc. 1,718,438
56,100 Reliant Energy, Inc. 1,462,106
137,600 Southern Co. 3,207,800
55,700 Texas Utilities Co. 2,321,994
42,900 Unicom Corp. 1,568,531
84,400 Williams Cos., Inc. 3,333,800
------------
45,993,281
------------
<CAPTION>
Shares Value
------ -----
Energy - 15.62%
<S> <C> <C>
42,000 Coastal Corp. $ 1,386,000
4,400 Eastern Enterprises 160,050
65,300 Enron Corp. 4,195,525
46,800 FirstEnergy Corp. 1,307,475
47,400 Sempra Energy 909,488
21,700 Sonat, Inc. 651,000
------------
8,609,538
------------
Total Common Stocks 54,602,819
------------
(Cost $46,987,020)
Par Value
- ---------
REPURCHASE AGREEMENT - 0.66%
$ 364,000 Repurchase Agreement with:
State Street Bank
4.88%, 04/01/99, dated 3/31/99
Repurchase Price $364,049
(Collateralized by U.S. Treasury Bond
8.50%, Due 2020; Total Par $285,000
Market Value $378,839) 364,000
------------
Total Repurchase Agreement 364,000
------------
(Cost $364,000)
Total Investments - 99.70% 54,966,819
------------
(Cost $47,351,020)
Net Other Assets and Liabilities - 0.30% 163,915
------------
Net Assets - 100.00% $55,130,734
============
</TABLE>
- ----------------------------------------
* Non-income producing security.
See Notes to Financial Statements.
22
<PAGE>
- --------------------------------------------------------------------------------
U.S. Treasury Index Fund
Portfolio of Investments
March 31, 1999
<TABLE>
<CAPTION>
Par Value Value
--------- -----
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS - 97.26%
U.S. Treasury Notes - 66.97%
$4,650,000 5.50%, 04/15/00 $ 4,677,760
4,500,000 6.25%, 05/31/00 4,566,060
8,753,000 8.75%, 08/15/00 9,188,024
7,050,000 6.25%, 08/31/00 7,170,273
11,150,000 5.63%, 11/30/00 11,260,831
4,000,000 5.00%, 02/28/01 4,000,520
14,700,000 6.50%, 05/31/01 15,145,704
7,050,000 7.50%, 11/15/01 7,463,200
1,000,000 6.25%, 02/28/02 1,030,980
1,500,000 7.50%, 05/15/02 1,600,770
21,600,000 6.25%, 08/31/02 22,333,752
8,900,000 5.50%, 02/28/03 8,999,235
4,250,000 5.38%, 06/30/03 4,279,240
4,150,000 7.25%, 05/15/04 4,523,998
4,000,000 7.25%, 08/15/04 4,370,120
2,500,000 7.88%, 11/15/04 2,810,500
3,550,000 5.88%, 11/15/05 3,652,489
9,350,000 7.00%, 07/15/06 10,234,791
5,350,000 6.50%, 10/15/06 5,703,528
2,500,000 5.63%, 05/15/08 2,545,325
------------
135,557,100
------------
U.S. Treasury Bonds - 30.29%
800,000 10.75%, 08/15/05 1,028,184
1,200,000 12.00%, 08/15/13 1,747,464
3,730,000 11.75%, 11/15/14 5,524,354
9,100,000 7.50%, 11/15/16 10,692,136
3,064,000 8.88%, 08/15/17 4,082,045
3,221,000 8.50%, 02/15/20 4,213,712
2,000,000 7.88%, 02/15/21 2,478,780
5,900,000 8.13%, 08/15/21 7,509,874
10,500,000 7.50%, 11/15/24 12,720,435
10,900,000 6.13%, 11/15/27 11,328,587
------------
61,325,571
------------
Total U.S. Government Obligations 196,882,671
(Cost $196,439,393) ------------
<CAPTION>
Par Value Value
--------- -----
<S> <C> <C>
REPURCHASE AGREEMENT - 3.05%
$6,174,000 Repurchase Agreement with:
State Street Bank & Trust
4.88%, 04/01/99, dated 3/31/99
Repurchase Price $6,174,837
(Collateralized by U.S. Treasury Bond
8.75%, Due 2017;
Total Par $4,670,000
Market Value $6,298,663) $6,174,000
------------
Total Repurchase Agreement 6,174,000
------------
(Cost $6,174,000)
Total Investments - 100.31% 203,056,671
------------
(Cost $202,613,393)
Net Other Assets and Liabilities - (0.31)% (637,070)
------------
Net Assets - 100.00% $202,419,601
============
</TABLE>
See Notes to Financial Statements.
23
<PAGE>
- --------------------------------------------------------------------------------
Municipal Bond Fund
Portfolio of Investments
March 31, 1999
<TABLE>
<CAPTION>
Par Value Value
--------- -----
<S> <C> <C>
MUNICIPAL BONDS - 96.64%
Alabama - 1.95%
$ 400,000 Auburn University Athletics
5.20%, 04/01/04
Insured: MBIA $ 422,500
------------
Arizona - 1.31%
250,000 Maricopa County School District 1
Elementary Project of 1998, Series A
6.00%, 07/01/11
Insured: FSA 284,062
------------
California - 1.19%
250,000 California State, GO
5.10%, 10/01/00 256,838
------------
Colorado - 2.53%
500,000 Jefferson County School District
Number R-001, GO
5.50%, 12/15/06
Insured: MBIA 545,625
------------
Connecticut - 2.01%
400,000 Connecticut State Special Tax
Obligation Revenue, Transportation
Infrastructure, Series B
5.50%, 11/01/13
Insured: FSA 435,000
------------
Florida - 7.64%
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 1,090,000
540,000 Tampa Bay Water Utility
Systems Revenue, Series B
5.13%, 10/01/13
Insured: FGIC 560,250
------------
1,650,250
------------
Illinois - 5.10%
500,000 Illinois State Sales Tax Revenue
Series V
6.00%, 06/15/08 554,375
500,000 Kane County Community School District
Number 304, Geneva GO
6.00%, 06/01/04
Insured: FGIC 546,875
------------
1,101,250
------------
<CAPTION>
Par Value Value
--------- -----
<S> <C> <C>
Maryland - 4.90%
$1,000,000 Maryland State, GO
State and Local Facilities Loan
Second Series
5.00%, 07/15/07 $ 1,060,000
------------
Massachusetts - 3.66%
250,000 Massachusetts State Federal Highway
Grant Anticipation Note, Series A
5.25%, 12/15/12 266,250
500,000 Springfield, Series B, GO
5.05%, 01/15/04
Insured: MBIA 524,375
------------
790,625
------------
Michigan - 3.50%
750,000 Michigan State Building Authority Revenue
Facilities Program, Series II
5.05%, 10/15/14 755,625
------------
Missouri - 5.07%
1,000,000 Sikeston Electric Revenue
6.00%, 06/01/04
Insured: MBIA 1,096,250
------------
Nevada - 2.44%
500,000 Las Vegas Valley
Water District Revenue, GO
5.40%, 09/01/04
Insured: AMBAC 526,875
------------
New Jersey - 3.67%
750,000 New Jersey Health Care Facilities
Financing Authority, Dover General
Hospital and Medical Center
5.60%, 07/01/02
Insured: MBIA 792,187
------------
New York - 11.29%
750,000 Long Island Power Authority
New York Electric Systems Revenue
Series A
5.50%, 12/01/12
Insured: FSA 820,312
500,000 Nassau County IDA
Civic Facility Revenue
Hofstra University Project
5.25%, 07/01/08
Insured: MBIA 535,625
</TABLE>
See Notes to Financial Statements.
24
<PAGE>
- --------------------------------------------------------------------------------
Municipal Bond Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Par Value Value
--------- -----
<S> <C> <C>
New York (continued)
$ 500,000 New York State Dormitory Authority
Revenue, City University System
Consolidated, Series A
5.50%, 07/01/02 $ 524,375
500,000 New York State Environmental
Facilities Corp., PCR, State Water
Revolving Fund, NYC Municipal Water
5.75%, 06/15/09 559,375
------------
2,439,687
------------
Ohio - 2.40%
500,000 Franklin County Convention Facilities
Authority Tax and Lease Revenue
Anticipation Bonds
5.00%, 12/01/11
Insured: MBIA 518,125
------------
Oklahoma - 3.67%
750,000 Oklahoma State Capital Improvement
Authority, Highway Capital
Improvement Revenue
5.00%, 06/01/05
Insured: MBIA 793,125
------------
South Carolina - 3.70%
800,000 South Carolina Jobs Economic
Development Authority, Revenue
St. Francis Hospital
3.10%, 07/01/22 (A)
LOC: Chase Manhattan Bank 800,000
------------
Tennessee - 4.89%
1,000,000 Metropolitan Government, Nashville
and Davidson County Water and Sewer
Revenue, Series B
5.25%, 01/01/13
Insured: FGIC 1,057,500
------------
Texas - 6.58%
500,000 Carrollton Farmers Branch
Independent School District, GO
5.10%, 02/15/04 521,250
500,000 Judson Independent School District, GO
5.00%, 02/01/17
Insured: PSF 500,000
300,000 Lone Star Airport Improvement
Authority, Multiple Mode, Series A-4
3.10%, 12/01/14 (A)
LOC: Royal Bank of Canada 300,000
<CAPTION>
Par Value Value
--------- -----
<S> <C> <C>
Texas (continued)
$ 100,000 North Central Health Facility
Development Corp., Revenue
Presbyterian Medical Center, Series D
3.10%, 12/01/15 (A)
Insured: MBIA
SPA: NationsBank of Texas $ 100,000
------------
1,421,250
------------
Virginia - 6.16%
500,000 University of Virginia
University Revenue, Series A
5.13%, 06/01/10 525,000
750,000 Virginia State Transportation Board
Transportation Contract Revenue
Route 28 Project
6.00%, 04/01/10 805,313
------------
1,330,313
------------
Washington - 4.94%
750,000 Seattle Municipal Light &
Power Revenue, Series B
5.75%, 08/01/07 797,813
250,000 Seattle Water System Revenue
5.38%, 08/01/09 269,688
------------
1,067,501
------------
West Virginia - 3.94%
500,000 West Virginia School Building Authority
Refunding, Capital Improvement
5.30%, 07/01/09
Insured: AMBAC 536,250
300,000 West Virginia State Housing
Development Fund, Housing Finance
Series A
5.55%, 11/01/10 314,250
------------
850,500
------------
Wisconsin - 4.10%
850,000 Milwaukee Corporate Purpose
Series A, GO, Prerefunded 06/15/01
5.50%, 06/15/08 885,062
------------
Total Municipal Bonds 20,880,150
(Cost $20,073,550) ------------
</TABLE>
See Notes to Financial Statements.
25
<PAGE>
- --------------------------------------------------------------------------------
Municipal Bond Fund
Portfolio of Investments (continued)
March 31, 1999
<TABLE>
<CAPTION>
Shares Value
------ -----
<S> <C> <C>
INVESTMENT COMPANY - 2.93%
633,157 Federated Tax-Exempt Obligations Fund $ 633,157
------------
Total Investment Company 633,157
------------
(Cost $633,157)
Total Investments - 99.57% 21,513,307
------------
(Cost $20,706,707)
Net Other Assets and Liabilities - 0.43% 93,555
------------
Net Assets - 100.00% $21,606,862
============
</TABLE>
- ---------------------------------------------
(A) Variable rate bond. Rate shown reflects rate in effect at March 31, 1999.
AMBAC American Municipal Bond Assurance Corp.
FGIC Financial Guaranty Insurance Corp.
FSA Financial Security Assurance Corp.
GO General Obligation
IDA Industrial Development Authority
LOC Letter of Credit
MBIA Municipal Bond Insurance Association
PCR Pollution Control Revenue
PSF Permanent School Fund Guaranteed
SPA Stand-by Purchase Agreement
See Notes to Financial Statements.
26
<PAGE>
This page left blank intentionally.
<PAGE>
- --------------------------------------------------------------------------------
Galaxy Fund II
Statements of Assets and Liabilities
March 31, 1999
<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.................... $ 421,343,126 $ 273,512,609 $ 46,987,020 $ 196,439,393 $ 20,706,707
Repurchase agreement................... 28,479,000 6,113,000 364,000 6,174,000 --
Net unrealized appreciation
(depreciation) ....................... 377,859,274 (20,208,325) 7,615,799 443,278 806,600
------------- -------------- ------------- -------------- -------------
Total investments at value........... 827,681,400 259,417,284 54,966,819 203,056,671 21,513,307
Cash................................... 91,055 -- 539 327 2,246
Receivable for investments sold........ 1,248,559 2,985,727 -- -- --
Receivable for shares sold............. 1,744,536 42,940 79,352 1,140,693 566,302
Interest and dividend receivables...... 853,881 139,519 155,328 3,157,398 308,766
------------- -------------- ------------- -------------- -------------
Total Assets......................... 831,619,431 262,585,470 55,202,038 207,355,089 22,390,621
------------- -------------- ------------- -------------- -------------
LIABILITIES:
Payable for investments purchased........ 82,225 2,195,323 -- 4,287,120 758,096
Payable for shares repurchased........... 1,800,925 336,545 51,860 387,531 1,000
Payable for daily variation margin
on futures contracts................... 549,080 39,920 -- -- --
Due to custodian......................... -- 22,866 -- -- --
Distributions payable.................... -- -- -- 192,814 14,115
Advisory fee payable (Note 4)............ 69,747 22,502 4,869 16,916 4,401
Sub-account services fee payable (Note 4) 9,506 -- 16 548 --
Administration fee payable (Note 4)...... 208,689 65,096 14,559 50,559 6,147
------------- -------------- ------------- -------------- -------------
Total Liabilities.................... 2,720,172 2,682,252 71,304 4,935,488 783,759
------------- -------------- ------------- -------------- -------------
NET ASSETS:................................. $ 828,899,259 $ 259,903,218 $ 55,130,734 $ 202,419,601 $ 21,606,862
============= ============== ============= ============== =============
NET ASSETS consist of:
Par value (Note 3)....................... $ 22,464 $ 17,071 $ 4,131 $ 19,207 $ 2,041
Paid-in capital in excess of par value... 440,865,784 267,214,674 47,183,755 204,909,880 21,431,058
Undistributed net
investment income...................... 1,864,198 371,021 85,930 567,625 22,997
Accumulated net realized gain (loss) on
investments sold and futures contracts. 8,404,984 12,596,267 241,119 (3,520,389) (655,834)
Unrealized appreciation (depreciation) of
investments and futures contracts...... 377,741,829 (20,295,815) 7,615,799 443,278 806,600
------------- -------------- ------------- -------------- -------------
TOTAL NET ASSETS............................ $ 828,899,259 $ 259,903,218 $ 55,130,734 $ 202,419,601 $ 21,606,862
============= ============== ============= ============== =============
Shares of beneficial interest outstanding... 22,464,161 17,070,975 4,130,883 19,207,022 2,040,770
NET ASSET VALUE,
offering and redemption price per share
(Net Assets / Shares Outstanding)........ $ 36.90 $ 15.22 $ 13.35 $ 10.54 $ 10.59
============= ============== ============= ============== =============
</TABLE>
See Notes to Financial Statements.
28
<PAGE>
Galaxy Fund II
Statements of Operations
For the year ended March 31, 1999
<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)........................ $ 1,371,883 $ 451,901 $ 18,505 $ 9,835,407 $ 918,248
Dividends (Note 2)....................... 9,511,672 2,619,432 2,314,146 -- --
------------- -------------- ------------- -------------- -------------
Total investment income................ 10,883,555 3,071,333 2,332,651 9,835,407 918,248
------------- -------------- ------------- -------------- -------------
EXPENSES:
Investment advisory fee (Note 4)......... 691,409 320,032 56,600 158,811 46,712
Sub-account services fee (Note 4)........ 465,587 9,795 124 15,943 --
Administration fee (Note 4).............. 2,074,227 960,095 169,800 476,434 65,396
Trustees' fee (Note 4)................... 14,963 6,910 1,224 3,441 404
------------- -------------- ------------- -------------- -------------
Total expenses before reimbursement.... 3,246,186 1,296,832 227,748 654,629 112,512
------------- -------------- ------------- -------------- -------------
Less: reimbursement by
sub-administrator (Note 4)........... (14,963) (6,910) (1,224) (3,441) (404)
------------- -------------- ------------- -------------- -------------
Total expenses net of reimbursement.... 3,231,223 1,289,922 226,524 651,188 112,108
------------- -------------- ------------- -------------- -------------
NET INVESTMENT INCOME....................... 7,652,332 1,781,411 2,106,127 9,184,219 806,140
------------- -------------- ------------- -------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS (Note 2):
Net realized gain on investments sold.... 9,259,600 28,454,160 1,091,382 1,324,345 205,546
Net realized gain (loss) on
futures contracts ...................... 232,137 (2,331,320) -- -- --
Net change in unrealized appreciation
(depreciation) on investments
and futures contracts.................. 103,150,294 (101,734,129) (4,268,548) (2,789,656) (85,148)
------------- -------------- ------------- -------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS.................. 112,642,031 (75,611,289) (3,177,166) (1,465,311) 120,398
------------- -------------- ------------- -------------- -------------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS............ $ 120,294,363 $ (73,829,878) $ (1,071,039) $ 7,718,908 $ 926,538
============= ============== ============= ============== =============
</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
------------------------------- -------------------------------
Years ended March 31, Years ended March 31,
1999 1998 1999 1998
------------- -------------- -------------- -------------
<S> <C> <C> <C> <C>
NET ASSETS at beginning of period......................... $ 626,739,815 $ 421,651,872 $ 399,161,589 $ 309,473,671
------------- -------------- -------------- -------------
Increase (Decrease) in net assets resulting from operations:
Net investment income.................................. 7,652,332 7,524,790 1,781,411 3,545,135
Net realized gain on investments sold
and futures contracts................................ 9,491,737 8,934,766 26,122,840 123,203,202
Net change in unrealized appreciation
(depreciation) of investments and futures contracts.. 103,150,294 183,848,113 (101,734,129) (3,093,193)
------------- -------------- -------------- -------------
Net increase (decrease) in net assets
resulting from operations.......................... 120,294,363 200,307,669 (73,829,878) 123,655,144
------------- -------------- -------------- -------------
Dividends to shareholders from:
Net investment income.................................. (7,495,542) (8,106,897) (1,496,765) (4,299,224)
Net realized gain on investments....................... (8,218,686) (24,866,874) (25,318,420) (125,397,558)
Return of capital...................................... -- -- -- --
------------- -------------- -------------- -------------
Total Dividends...................................... (15,714,228) (32,973,771) (26,815,185) (129,696,782)
------------- -------------- -------------- -------------
Share transactions:
Net proceeds from sales of shares...................... 270,792,138 125,916,092 172,983,187 154,300,377
Issued to shareholders in reinvestment
of dividends......................................... 14,297,984 30,476,182 25,680,426 124,421,641
Cost of shares repurchased............................. (187,510,813) (118,638,229) (237,276,921) (182,992,462)
------------- -------------- -------------- -------------
Net increase (decrease) in net assets from
share transactions 97,579,309 37,754,045 (38,613,308) 95,729,556
------------- -------------- -------------- -------------
Net increase (decrease) in net assets................ 202,159,444 205,087,943 (139,258,371) 89,687,918
------------- -------------- -------------- -------------
NET ASSETS at end of period (including line A)............ $ 828,899,259 $ 626,739,815 $ 259,903,218 $ 399,161,589
============= ============== ============== =============
(A) Accumulated undistributed
net investment income............................ $ 1,864,198 $ 1,707,408 $ 371,021 $ 86,375
============= ============== ============== =============
OTHER INFORMATION:
Share transactions:
Sold................................................... 8,069,826 4,489,641 9,167,908 6,733,472
Issued to shareholders in reinvestment
of dividends......................................... 420,937 1,105,389 1,645,232 6,874,116
Repurchased............................................ (5,660,093) (4,220,133) (12,997,298) (8,022,886)
------------- -------------- -------------- -------------
Net increase (decrease) in shares outstanding........ 2,830,670 1,374,897 (2,184,158) 5,584,702
============= ============== ============== =============
</TABLE>
See Notes to Financial Statements.
30
<PAGE>
<TABLE>
<CAPTION>
Utility Index Fund U.S. Treasury Index Fund Municipal Bond Fund
----------------------------------- ----------------------------------- -----------------------------------
Years ended March 31, Years ended March 31, Years ended March 31,
1999 1998 1999 1998 1999 1998
------------- -------------- -------------- ------------- ------------- --------------
<S> <C> <C> <C> <C> <C>
$ 55,864,298 $ 45,582,419 $ 118,367,938 $ 111,312,677 $ 18,146,608 $ 19,921,203
------------- -------------- -------------- ------------- ------------- --------------
2,106,127 2,075,208 9,184,219 6,960,733 806,140 869,063
1,091,382 2,929,533 1,324,345 784,427 205,546 133,115
(4,268,548) 11,329,523 (2,789,656) 4,886,494 (85,148) 552,377
------------- -------------- -------------- ------------- ------------- --------------
(1,071,039) 16,334,264 7,718,908 12,631,654 926,538 1,554,555
------------- -------------- -------------- ------------- ------------- --------------
(2,020,197) (2,264,013) (9,184,219) (6,965,049) (806,140) (869,844)
(576,213) (3,048,725) -- -- -- --
-- (269,715) -- -- -- --
------------- -------------- -------------- ------------- ------------- --------------
(2,596,410) (5,582,453) (9,184,219) (6,965,049) (806,140) (869,844)
------------- -------------- -------------- ------------- ------------- --------------
8,778,290 5,123,255 140,419,018 23,508,142 7,052,544 1,759,683
2,378,235 5,236,180 7,082,284 5,296,251 673,733 762,023
(8,222,640) (10,829,367) (61,984,328) (27,415,737) (4,386,421) (4,981,012)
------------- -------------- -------------- ------------- ------------- --------------
2,933,885 (469,932) 85,516,974 1,388,656 3,339,856 (2,459,306)
------------- -------------- -------------- ------------- ------------- --------------
(733,564) 10,281,879 84,051,663 7,055,261 3,460,254 (1,774,595)
------------- -------------- -------------- ------------- ------------- --------------
$ 55,130,734 $ 55,864,298 $ 202,419,601 $ 118,367,938 $ 21,606,862 $ 18,146,608
============= ============== ============== ============= ============= ==============
$ 85,930 $ -- $ 567,625 $ 441,464 $ 22,997 $ 21,436
============= ============== ============== ============= ============= ==============
607,668 391,273 13,043,471 2,296,503 668,030 168,434
164,843 406,414 659,482 469,557 63,633 73,153
(580,292) (849,745) (5,763,875) (2,645,907) (417,603) (476,829)
------------- -------------- -------------- ------------- ------------- --------------
192,219 (52,058) 7,939,078 120,153 314,060 (235,242)
============= ============== ============== ============= ============= ==============
</TABLE>
31
<PAGE>
- --------------------------------------------------------------------------------
Large Company Index Fund
Financial Highlights
For a Share outstanding throughout each period
<TABLE>
<CAPTION>
Years ended March 31,
----------------------------------------------------------------
1999 1998 1997 1996 1995
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period ....... $ 31.92 $ 23.09 $ 20.06 $ 15.76 $ 14.36
--------- --------- --------- --------- ---------
Income from Investment Operations:
Net investment income(1) ................ 0.35 0.40 0.43 0.38 0.37
Net realized and unrealized gain
on investments and futures contracts .. 5.38 10.23 3.41 4.57 1.73
--------- --------- --------- --------- ---------
Total from Investment Operations .... 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 ............ 4.98 8.83 3.03 4.30 1.40
--------- --------- --------- --------- ---------
Net Asset Value, End of period ............. $ 36.90 $ 31.92 $ 23.09 $ 20.06 $ 15.76
========= ========= ========= ========= =========
Total Return ............................... 18.15% 47.29% 19.32% 31.80% 15.07%
Ratios/Supplemental Data:
Net assets, End of period (in 000's) ....... $ 828,899 $ 626,740 $ 421,652 $ 240,689 $ 147,597
Ratios to average net assets:
Net investment income including
reimbursement ......................... 1.11% 1.44% 2.19% 2.11% 2.48%
Operating expenses including
reimbursement ......................... 0.47% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement ......................... 0.47% 0.40% 0.40% 0.41% 0.41%
Portfolio turnover rate .................... 3% 3% 11% 5% 7%
</TABLE>
- ---------------------------------------------------------------
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the years ended March 31, 1999, 1998, 1997, 1996
and 1995 was $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>
Years ended March 31,
--------------------------------------------------------------
1999 1998* 1997 1996 1995
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period.............. $ 20.73 $ 22.64 $ 22.30 $ 17.62 $ 17.49
-------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income(1)....................... 0.10 0.27 0.38 0.32 0.32
Net realized and unrealized gain (loss)
on investments and futures contracts......... (4.04) 7.64 1.76 5.07 0.91
-------- -------- -------- -------- --------
Total from Investment Operations........... (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........ (5.51) (1.91) 0.34 4.68 0.13
-------- -------- -------- -------- --------
Net Asset Value, End of period.................... $ 15.22 $ 20.73 $ 22.64 $ 22.30 $ 17.62
======== ======== ======== ======== ========
Total Return...................................... (19.19)% 41.22% 9.60% 30.85% 7.60%
Ratios/Supplemental Data:
Net assets, End of period (in 000's).............. $259,903 $399,162 $309,474 $291,724 $235,295
Ratios to average net assets:
Net investment income including
reimbursement................................ 0.56% 0.97% 1.59% 1.52% 1.72%
Operating expenses including
reimbursement................................ 0.40% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement................................ 0.41% 0.40% 0.40% 0.41% 0.40%
Portfolio turnover rate........................... 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.
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the years ended March 31, 1999, 1998, 1997, 1996
and 1995 was $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>
Years ended March 31,
--------------------------------------------------------------
1999 1998* 1997 1996 1995
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period...................... $ 14.18 $ 11.42 $ 12.03 $ 9.88 $ 9.99
------- ------- ------- ------- -------
Income from Investment Operations:
Net investment income(1)............................... 0.53 0.54 0.49 0.44 0.47
Net realized and unrealized gain (loss) on investments. (0.71) 3.71 (0.09) 2.15 (0.03)
------- ------- ------- ------- -------
Total from Investment Operations................... (0.18) 4.25 0.40 2.59 0.44
------- ------- ------- ------- -------
Less Dividends:
Dividends from net investment income................... (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.................................... (0.65) (1.49) (1.01) (0.44) (0.55)
------- ------- ------- ------- -------
Net increase (decrease) in net asset value................ (0.83) 2.76 (0.61) 2.15 (0.11)
------- ------- ------- ------- -------
Net Asset Value, End of period............................ $ 13.35 $ 14.18 $ 11.42 $ 12.03 $ 9.88
======= ======= ======= ======= =======
Total Return.............................................. (1.53)% 39.07% 3.46% 26.61% 4.67%
Ratios/Supplemental Data:
Net assets, End of period (in 000's)...................... $55,131 $55,864 $45,582 $56,383 $52,831
Ratios to average net assets:
Net investment income including
reimbursement........................................ 3.72% 4.24% 3.96% 3.79% 4.62%
Operating expenses including
reimbursement........................................ 0.40% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement........................................ 0.40% 0.40% 0.40% 0.41% 0.41%
Portfolio turnover rate................................... 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.
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the years ended March 31, 1999, 1998, 1997, 1996
and 1995 was $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>
Years ended March 31,
--------------------------------------------------------------
1999 1998 1997 1996 1995
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period..................... $ 10.50 $ 9.99 $ 10.24 $ 9.91 $ 10.38
-------- -------- -------- -------- --------
Income from Investment Operations:
Net investment income(1).............................. 0.61 0.63 0.64 0.66 0.65
Net realized and unrealized gain (loss) on investments 0.05 0.51 (0.25) 0.33 (0.29)
-------- -------- -------- -------- --------
Total from Investment Operations.................. 0.66 1.14 0.39 0.99 0.36
-------- -------- -------- -------- --------
Less Dividends:
Dividends from net investment income.................. (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................................... (0.62) (0.63) (0.64) (0.66) (0.83)
-------- -------- -------- -------- --------
Net increase (decrease) in net asset value............... 0.04 0.51 (0.25) 0.33 (0.47)
-------- -------- -------- -------- --------
Net Asset Value, End of period........................... $ 10.54 $ 10.50 $ 9.99 $ 10.24 $ 9.91
======== ======== ======== ======== ========
Total Return............................................. 6.38% 11.72% 3.91% 10.09% 3.81%
Ratios/Supplemental Data:
Net assets, End of period (in 000's)..................... $202,420 $118,368 $111,313 $124,944 $104,251
Ratios to average net assets:
Net investment income including
reimbursement....................................... 5.77% 6.12% 6.31% 6.35% 6.43%
Operating expenses including
reimbursement....................................... 0.41% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement....................................... 0.41% 0.40% 0.40% 0.41% 0.41%
Portfolio turnover rate.................................. 70% 79% 39% 35% 50%
</TABLE>
- -----------------------------------------------------
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the years ended March 31, 1999, 1998, 1997, 1996
and 1995 was $0.61, $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>
Years ended March 31,
--------------------------------------------------------------
1999 1998 1997 1996 1995
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period...................... $ 10.51 $ 10.15 $ 10.20 $ 9.94 $ 9.89
------- ------- ------- ------- -------
Income from Investment Operations:
Net investment income(1)............................... 0.46 0.47 0.47 0.46 0.46
Net realized and unrealized gain (loss) on investments. 0.08 0.36 (0.05) 0.26 0.05
------- ------- ------- ------- -------
Total from Investment Operations................... 0.54 0.83 0.42 0.72 0.51
------- ------- ------- ------- -------
Less Dividends:
Dividends from net investment income................... (0.46) (0.47) (0.47) (0.46) (0.46)
Dividends from net realized capital gains.............. -- -- -- -- --
------- ------- ------- ------- -------
Total Dividends.................................... (0.46) (0.47) (0.47) (0.46) (0.46)
------- ------- ------- ------- -------
Net increase (decrease) in net asset value................ 0.08 0.36 (0.05) 0.26 0.05
------- ------- ------- ------- -------
Net Asset Value, End of period............................ $ 10.59 $ 10.51 $ 10.15 $ 10.20 $ 9.94
======= ======= ======= ======= =======
Total Return.............................................. 5.20% 8.29% 4.15% 7.36% 5.34%
Ratios/Supplemental Data:
Net assets, End of period (in 000's)...................... $21,607 $18,147 $19,921 $22,478 $24,560
Ratios to average net assets:
Net investment income including
reimbursement........................................ 4.31% 4.49% 4.57% 4.54% 4.72%
Operating expenses including
reimbursement........................................ 0.60% 0.60% 0.60% 0.60% 0.60%
Operating expenses excluding
reimbursement........................................ 0.60% 0.60% 0.60% 0.61% 0.63%
Portfolio turnover rate................................... 43% 28% 7% 2% 47%
</TABLE>
- ------------------------------------------------------------
(1) Net investment income per share before reimbursement of certain expenses by
the sub-administrator for the years ended March 31, 1999, 1998, 1997, 1996
and 1995 was $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
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
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 (continued)
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 underlying 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 Fleet Financial Group, Inc., 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 March
5, 1998, 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 $40,000 per annum plus certain other fees for attending or participating
in meetings as well as reimbursement for expenses incurred in attending
meetings. Prior to March 5, 1998, each Trustee was entitled to receive for
services as a Trustee of the Trust, Galaxy and VIP an aggregate fee of $29,000
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,
nonqualified 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 (continued)
5. Securities Transactions:
The cost of purchases and the proceeds from sales of securities (excluding
short-term investments and futures contracts) for the year ended March 31, 1999
for each Fund were as follows:
<TABLE>
<CAPTION>
U.S. Government Other Investment
Securities Securities
---------------------------- ---------------------------
Purchases Sales Purchases Sales
----------- ----------- ------------ -----------
<S> <C> <C> <C> <C>
Large Company Index........... $ -- $ -- $ 96,940,320 $ 19,430,507
Small Company Index........... -- -- 67,656,035 129,368,674
Utility Index................. -- -- 6,890,141 4,472,846
U.S. Treasury Index........... 192,694,375 108,685,591 -- --
Municipal Bond................ -- -- 10,679,564 7,960,951
</TABLE>
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 March 31, 1999 for each Fund were as follows:
<TABLE>
<CAPTION>
Cost Appreciation (Depreciation) Net
----------------------------------------------------------------------
<S> <C> <C> <C> <C>
Large Company Index $ 450,110,339 $ 395,627,902 $ (18,056,841) $377,571,061
Small Company Index 279,772,165 46,015,317 (66,370,198) (20,354,881)
Utility Index 47,385,247 9,690,858 (2,109,286) 7,581,572
U.S. Treasury Index 202,722,159 3,406,724 (3,072,212) 334,512
Municipal Bond 20,706,707 826,297 (19,697) 806,600
</TABLE>
During the fiscal year ended March 31, 1999, the Large Company Index Fund, the
Small Company Index Fund and the Utility Index Fund made distributions from
long-term capital gains of $7,407,507, $14,079,854 and $528,798, respectively.
At March 31, 1999, the following Funds had capital loss carryforwards:
<TABLE>
<CAPTION>
Capital loss Expiration
Carryforward Date
------------ ---------
<S> <C> <C>
U.S. Treasury Index...... $ 2,863,608 2003
548,015 2004
Municipal Bond........... 452,493 2003
203,341 2004
</TABLE>
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 (continued)
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.
8. Change of Accountants (unaudited):
On January 13, 1999, the Trust dismissed PricewaterhouseCoopers LLP ("PwC") as
the Trust's independent auditors for fiscal years beginning on or after such
date by action of the Trust's Board of Trustees upon the recommendation of a
Special Committee of the Board. Following this dismissal, on March 3, 1999, PwC
resigned as the Trust's independent auditors for the fiscal year ending March
31, 1999. PwC's reports on the Trust's financial statements for the fiscal years
ended March 31, 1998 and March 31, 1997 contained no adverse opinion or
disclaimer of opinion nor were they qualified or modified as to uncertainty,
audit scope or accounting principles. During the Trust's fiscal years ended
March 31, 1998 and March 31, 1997 and the interim period commencing April 1,
1998 and ending March 3, 1999, (i) there were no disagreements with PwC on any
matter of accounting principles or practices, financial statement disclosure or
auditing scope or procedure, which disagreements, if not resolved to the
satisfaction of PwC, would have caused it to make reference to the subject
matter of the disagreements in connection with its reports on the financial
statements for such years, and (ii) there were no "reportable events" of the
kind described in Item 304(a)(1)(v) of Regulation S-K under the Securities
Exchange Act of 1934, as amended.
On January 13, 1999, the Trust by action of its Board of Trustees upon the
recommendation of a Special Committee of the Board engaged Ernst & Young LLP
("E&Y") as the independent auditors to audit the Trust's financial statements
for the fiscal year ending March 31, 2000. Following PwC's March 3, 1999
resignation as the Trust's independent auditors for the fiscal year ending March
31, 1999, on March 4, 1999, the Trust by action of its Board of Trustees engaged
E&Y as the independent auditors to audit the Trust's financial statements for
the fiscal year ending March 31, 1999. During the Trust's fiscal years ended
March 31, 1998 and March 31, 1997 and the interim period commencing April 1,
1998 and ending March 3, 1999, neither the Trust nor anyone on its behalf has
consulted E&Y on items which (i) concerned the application of accounting
principles to a specified transaction, either completed or proposed, or the type
of audit opinion that might be rendered on the Trust's financial statements or
(ii) concerned the subject of a disagreement (as defined in paragraph (a)(1)(iv)
of Item 304 of Regulation S-K) or reportable events (as described in paragraph
(a)(1)(v) of said Item 304).
9. Special Meeting of Shareholders-Utility Index Fund (unaudited):
A Special Meeting of Shareholders (the "Meeting") of the Trust's Utility Index
Fund (the "Fund") was held on December 11, 1998. At the Meeting, shareholders of
the Fund approved a change in the Fund's sub-classification from diversified to
non-diversified and the elimination of related investment limitations. The
results of the vote (by shares) were as follows:
<TABLE>
<CAPTION>
For Against Abstain
--- ------- -------
<S> <C> <C>
1,873,443.978 162,713.430 98,344.251
</TABLE>
40
<PAGE>
Report of Ernst & Young LLP, Independent Auditors
To the Shareholders and Board of Trustees of
Galaxy Fund II:
We have audited the accompanying statements of assets and liabilities, including
the portfolios of investments, of Galaxy Fund II (comprising, respectively, the
Large Company Index Fund, Small Company Index Fund, Utility Index Fund, U.S.
Treasury Index Fund and Municipal Bond Fund) as of March 31, 1999, and the
related statements of operations, the changes in net assets, and the financial
highlights for the year then ended. These financial statements and financial
highlights are the responsibility of the Trust's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audit. The statements of changes in net assets for the year ended
March 31, 1998 and the financial highlights for the four years then ended were
audited by other auditors whose report dated May 8, 1998, expressed an
unqualified opinion on those statements and financial highlights.
We conducted our audit in accordance with generally accepted auditing standards.
Those standards require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements and financial highlights are
free of material misstatement. An audit includes examining, on a test basis,
evidence supporting the amounts and disclosures in financial statements and
financial highlights. Our procedures included confirmation of securities owned
as of March 31, 1999 by correspondence with the custodian and brokers or other
appropriate auditing procedures where replies from brokers were not received. An
audit also includes assessing the accounting principles used and significant
estimates made by management, as well as evaluating the overall financial
statement presentation. We believe that our audit provides a reasonable basis
for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting Galaxy Fund II at March 31, 1999, the
results of their operations, changes in their net assets and their financial
highlights for the year then ended, in conformity with generally accepted
accounting principles.
/s/ Ernst & Young LLP
Boston, Massachusetts
May 7, 1999
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<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.
4400 Computer Drive
Westborough,
Massachusetts 01581
ADMINISTRATOR
Fleet National Bank
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 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, Fleet Financial Group, Inc. 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.
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<PAGE>
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