GALAXY II FUNDS
GALAXY FUNDS
ANNUAL REPORT
MARCH 31, 2000
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
[GRAPHIC OMITTED]
GALAXY
FUNDS
<PAGE>
CHAIRMAN'S MESSAGE
Dear Galaxy Fund II Shareholder:
Enclosed is the Galaxy Fund II annual report for the fiscal year ended
March 31, 2000. The report includes a Market Overview that explains the
different economic and market factors influencing your investments during this
time. Following the Market Overview are individual reviews for each of the
Funds. Financial Statements and a list of portfolio holdings for each of the
Funds as of March 31, 2000 appear at the end of the report.
With a strong economic recovery abroad and low interest rates and inflation
at home, U.S. growth accelerated in the past year. This benefited firms in most
stock sectors, and the major market indices performed well by historic
standards. However, stock prices became increasingly volatile during the period.
Many individual stocks experienced deep corrections, while others rose to
unprecedented highs. Against the backdrop of robust growth, investors were aware
that attempts by the Federal Reserve (the "Fed") to keep inflation in check with
higher interest rates could result in slower growth down the road. At the same
time, increased interest in technology stocks and other "new economy" stocks
caused investors to abandon many "old economy" issues. Uncertainty about the
direction of interest rates and growth also increased volatility in the bond
market.
As veteran investors know, such volatility is part of the normal rise and
fall of market prices that tends to smooth out over time. By using broadly
diversified portfolios, such as those represented in the Galaxy Fund II Index
Funds, investors can reduce the impact of market volatility on their returns.
Because index funds also tend to buy and hold securities for longer periods of
time than actively managed portfolios, index funds may also help investors
minimize their capital gains.
You may also be able to stabilize returns by diversifying your investments
across a range of asset classes and market sectors. Because individual asset
classes and market sectors often move in different directions, such
diversification improves the chance that some part of your portfolio may perform
well during a given period. With several stock and bond investment choices, the
Galaxy Fund II portfolios can provide much of the diversification you need. Your
financial professional can help you choose a mix of funds that suits your
particular investment goals.
If you have any questions about the information in this report, please
contact the Galaxy Information Center toll-free at 1-877-BUY-GALAXY
(1-877-289-4252) or visit one of our investment professionals located at Fleet
Bank branches.
Sincerely,
/S/ SIGNATURE
Dwight E. Vicks, Jr.
Chairman of the Board of Trustees
MUTUAL FUNDS:
[BULLET] ARE NOT BANK DEPOSITS
[BULLET] ARE NOT FDIC INSURED
[BULLET] ARE NOT OBLIGATIONS OF
FLEET BANK
[BULLET] ARE NOT GUARANTEED
BY FLEET BANK
[BULLET] ARE SUBJECT TO INVESTMENT
RISK INCLUDING POSSIBLE LOSS OF
PRINCIPAL AMOUNT INVESTED
<PAGE>
MARKET OVERVIEW
MARKET OVERVIEW
BY FLEET INVESTMENT ADVISORS INC.
Although stock prices became increasingly volatile in the 12 months ended
March 31, 2000, the major market indices rose strongly as economies improved
both at home and abroad. With accelerating growth, however, the Fed became
increasingly concerned that inflation would rise. To keep inflation in check,
the Fed boosted short-term interest rates by 125 basis points (1.25%) during the
period. As bond yields rose in response, bond prices fell.
During the reporting period, the Standard & Poor's(REGISTRATION MARK) 500
Composite Stock Price Index (the "S&P(REGISTRATION MARK) 500 Index"), a
benchmark for large-company stocks, had a total return of 17.93%, the Standard &
Poor's(REGISTRATION MARK) Small Cap 600 Stock Price Index (the "S&P(REGISTRATION
MARK) 600 Index"), a benchmark for small-company stocks, had a total return of
30.70% and the Standard & Poor's(REGISTRATION MARK) Utilities Composite Stock
Index (the "S&P(REGISTRATION MARK) Utilities Index"), a benchmark of utility
stocks included in the S&P(REGISTRATION MARK) 500 Index, had a total return of
8.66%. Over the same period, the U. S. Treasury component of the Salomon Smith
Barney Broad Investment Grade Bond Index (the "Salomon Smith Barney U.S.
Treasury Index") returned 2.80%, and the Lehman Brothers Quality Intermediate
Municipal Bond Index, a benchmark for municipal bonds, had a total return of
1.00%.
GROWTH ACCELERATES
In the second quarter of 1999, when the reporting period began, Gross
Domestic Product ("GDP"), which measures the output of U.S. goods and services,
improved at an annualized rate of 1.9%. While that was lower than the rate of
4.3% for the first quarter, there were many signs that U.S. growth would remain
strong. Counting on continued growth, stock investors ventured beyond the
large-company shares that had led market gains for many months into shares of
smaller firms and "value-oriented" securities. Investors also favored stocks in
"cyclical" sectors because of their greater sensitivity to growth. As
bond investors waited for the Fed to stem future inflation with higher
interest rates, yields rose. Stock prices then retreated in the third quarter of
1999. As GDP growth accelerated to a rate of 5.5% and the U.S. dollar weakened
against foreign currencies, investors expected that after hiking interest rates
by 25 basis points (0.25%) in June and August, the Fed would continue raising
rates in months to come. Concerned that significantly slower growth would erode
earnings, investors returned to the greater earnings reliability of larger
firms. With a further increase in yields, bond prices continued to decline.
In the fourth quarter of 1999, as the growth rate of GDP growth accelerated
to 7.3%, the Fed raised interest rates another 25 basis points. Bond prices fell
further in response. The major stock indices rebounded, however, as inflation
remained under control and "momentum investing" drove technology stocks to
stratospheric highs. Despite two more rate hikes of 25 basis points each in the
first quarter of 2000, the estimated rate of GDP growth was 5.4% and stocks
continued to advance. Although investor interest again broadened into
lower-priced issues, technology shares remained the market leaders. As prices
for short-term bonds continued to slide, prices for long-term bonds began to
improve. In addition to moderate inflation, longer maturities benefited from a
federal budget surplus that helped reduce supplies of long-term Treasury bonds.
Given the positive economic climate, the strong gains by technology shares,
and the attractive valuations among stocks with small capitalizations, small-cap
shares outperformed for the year. Returns for large-company stock indices were
strong, by historical standards. Utility shares enjoyed a respectable
performance, but were held back as higher interest rates eroded the earnings of
utility firms.
Treasury bonds outperformed other taxable issues, due in large part to
their reduced supply. Municipal bonds underperformed for most of the period, as
the high-earning investors who can benefit most from the bonds' tax-free income
put larger portions of their savings in stocks.
"To keep inflation in check, the Fed boosted short-term interest rates by
125 basis points (1.25%) during the period. As bond yields rose in response,
bond prices fell."
1
<PAGE>
"IF HIGHER INTEREST RATES SLOW U.S. GROWTH LATER THIS YEAR, AS WE EXPECT,
INTEREST RATES MAY HEAD LOWER. THIS WOULD IMPROVE PRICES FOR FIXED-INCOME
ISSUES."
A POSITIVE OUTLOOK FOR STOCKS AND BONDS
As the reporting period ended, the prices for technology stocks had fallen
sharply from the record highs reached just a few weeks before. Having purchased
these stocks for their upward price momentum, without fully researching the
fundamentals of the issuing companies, many investors quickly sold the shares
when their prices eroded. With valuations that remain far higher than company
fundamentals would traditionally warrant, technology shares could remain
volatile in coming months and could even experience a deep correction.
The outlook for stocks in other sectors is brighter. Shares of most larger
companies have corrected by 20% or more and may now represent attractive
investment opportunities. The prices for small-company stocks outside the
"momentum" sectors are also appealing. If higher interest rates slow U.S. growth
later this year, as we expect, interest rates may head lower. This would improve
prices for fixed-income issues.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
YEARS ENDED MARCH 31, 2000 1 YEAR 3 YEARS 5 YEARS LIFE OF FUND
- -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Large Company Index Fund
(Inception date 10/1/90) 17.20% 26.82% 26.25% 20.31%
- -----------------------------------------------------------------------------------------------------
Small Company Index Fund
(Inception date 10/1/90) 30.52% 14.21% 16.39% 16.74%
- -----------------------------------------------------------------------------------------------------
Utility Index Fund
(Inception date 1/5/93) 7.52% 13.77% 14.04% 10.88%
- -----------------------------------------------------------------------------------------------------
U.S. Treasury Index Fund
(Inception date 6/4/91) 2.39% 6.76% 6.84% 7.11%
- -----------------------------------------------------------------------------------------------------
Municipal Bond Fund
(Inception date 4/15/93) -0.05% 4.42% 4.95% 4.76%
- -----------------------------------------------------------------------------------------------------
<FN>
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.
</FN>
</TABLE>
2
<PAGE>
PORTFOLIO REVIEWS
[GRAPHIC OMITTED]
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 HAD PREVIOUSLY MANAGED THESE FUNDS UNTIL MARCH OF 1996 AND
HAS MANAGED THE GALAXY EQUITY VALUE FUND SINCE APRIL 1992.
GALAXY FUND II
LARGE COMPANY INDEX FUND
BY G. JAY EVANS
PORTFOLIO MANAGER
The Galaxy Fund II Large Company Index Fund seeks to match, before the
deduction of operating expenses, the price and yield performance of
large-capitalization stocks as represented by the S&P(REGISTRATION MARK) 500
Index. By investing in publicly traded U.S. stocks according to their
representation in the S&P(REGISTRATION MARK) 500 Index, the Fund is also
structured to deliver the same volatility and risk as the Index.
For the 12 months ended March 31, 2000, the S&P(REGISTRATION MARK) 500
Index had a total return of 17.93%, and the Galaxy Fund II Large Company Index
Fund had a total return of 17.20% (after the deduction of operating expenses).
The Fund's 12-month performance represents a correlation coefficient of 99.994%.
The correlation coefficient measures the degree to which the Fund's performance
moved in line with its target index.
TECHNOLOGY DRIVES MARKET
Large-capitalization stocks offer greater liquidity and, often, market
dominance that investors prize during periods of competitive pricing and slower
demand. Many of these stocks are global competitors sensitive to foreign
investment, currency swings, and economic developments overseas. Generally,
these and other characteristics earn large-cap stocks higher valuations. During
periods of rising confidence and earnings acceleration, however, they may lose
leadership to companies with smaller capitalizations as investors seek higher
returns in the broader market.
Such was the case over the past 12 months. Although the returns for
large-cap shares far exceeded their historic averages, an improving economic
picture helped small- and mid-cap stocks outperform the large-cap sector. During
the first four months of the period, economic recovery overseas and strong
consumer spending at home encouraged investors to take advantage of the
attractive valuations that had become available in the small- and mid-cap
sectors. Although concerns about higher interest rates, inflation, and earnings
introduced uncertainties in the second half of 1999, the extraordinary gains by
technology shares helped small-cap and mid-cap shares outperform for the
reporting period as a whole.
MARKET MAY BROADEN
With Fed policy supporting the large-cap sector, large-cap stocks will
probably continue to sell at price-to-earnings premiums in the months to come.
Eventually, however, higher interest rates should slow economic growth. As rates
peak, investors may look for further opportunities in the small-cap sector.
Large-cap shares, which have dominated the Internet through brand-name
recognition, may also suffer as a more level playing field on the Internet opens
competitive opportunities for smaller firms.
GALAXY FUND II LARGE COMPANY INDEX FUND
DISTRIBUTION OF TOTAL NET ASSETS AS OF MARCH 31, 2000
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
U.S. GOVERNMENT OBLIGATIONS, REPURCHASE AGREEMENT AND NET OTHER ASSETS AND
LIABILITIES 1%
BASIC MATERIALS 2%
UTILITIES 8%
ENERGY 6%
TECHNOLOGY 35%
CONSUMER STAPLES 15%
CONSUMER CYCLICAL 12%
FINANCE 13%
INDUSTRIAL 8%
GALAXY FUND II LARGE COMPANY INDEX FUND
GROWTH OF $10,000 INVESTMENT*
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
S&P GALAXY LG CO
OCT 1, 90 10000 10000
3/92 14255 13539
3/93 15570 15526
3/94 16396 15683
3/95 19255 18048
3/96 25067 23787
3/97 31364 28383
3/98 44244 41806
3/99 53902 49395
3/00 61554 57893
GALAXY FUND II LARGE COMPANY INDEX FUND
S&P(REGISTRATION MARK) 500 INDEX
*SINCE INCEPTION ON 10/1/90. THE S&P(REGISTRATION MARK) 500 INDEX IS AN
UNMANAGED INDEX WHICH DOES NOT REFLECT MANAGEMENT FEES AND OTHER EXPENSES.
AN INVESTOR CANNOT INVEST IN THE INDEX.
3
<PAGE>
PORTFOLIO REVIEWS
GALAXY FUND II
SMALL COMPANY INDEX FUND
BY G. JAY EVANS
PORTFOLIO MANAGER
The Galaxy Fund II Small Company Index Fund seeks to match, before the
deduction of operating expenses, the price and yield performance of
smaller-capitalization stocks as represented by the S&P(REGISTRATION MARK) 600
Index. By investing in smaller-capitalization stocks according to their
representation in the S&P(REGISTRATION MARK) 600 Index, the Fund is also
structured to deliver the same volatility and risk as the Index.
For the 12 months ended March 31, 2000, the S&P(REGISTRATION MARK) 600
Index produced a total return of 30.70%. Over the same time, the Galaxy Fund II
Small Company Index Fund returned 30.52% (after the deduction of operating
expenses). The Fund's 12-month performance represents a correlation coefficient
of 99.954%. The correlation coefficient measures the degree to which the Fund's
performance moved in line with its target index.
IMPROVING ECONOMY FAVORS SMALL-CAP SECTOR
Smaller companies are generally more oriented towards the domestic economy
and are thought to be more flexible in responding to business opportunities.
Although they are usually less sensitive to macroeconomic developments,
small-cap shares generally attract investors when economic confidence is rising.
While the prices of small-cap stocks tend to be more volatile than the prices
for large-cap shares, that volatility can be offset by the potential for higher
returns in small-cap stocks.
Small-cap stocks outpaced large-cap shares during the 12-month period ended
March 31, 2000, as economic growth improved and investors recognized the
significant value that had become available in the small-cap sector. Although a
weaker dollar, soaring oil prices, and rising interest rates raised concerns
about inflation and market liquidity in the second half of 1999, the
unprecedented gains for technology shares in the last months of 1999 and the
first months of 2000 helped the small-cap sector outperform large-cap issues for
the period as a whole.
LOOKING AHEAD
The heightened volatility that small-cap shares experienced at the end of
the period may continue for some time to come. With recent gains for small-cap
shares concentrated in high-tech, Internet, e-commerce and biotech issues, and
rising interest rates set to slow economic growth, the future performance of
small-cap shares may depend increasingly on company innovations and a resilient
demand for technology. The sector may also benefit as investors continue to move
away from the high valuations for large-cap shares and the Internet introduces a
more competitive playing field for firms of all sizes.
GALAXY FUND II SMALL COMPANY INDEX FUND
DISTRIBUTION OF TOTAL NET ASSETS AS OF MARCH 31, 2000
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
U.S. GOVERNMENT OBLIGATION, REPURCHASE AGREEMENT AND NET OTHER ASSETS
AND LIABILITIES 3%
CONSUMER CYCLICAL 15%
CONSUMER STAPLES 15%
TECHNOLOGY 29%
UTILITIES 3%
INDUSTRIAL 19%
BASIC MATERIALS 3%
FINANCE 10%
ENERGY 3%
GALAXY FUND II SMALL COMPANY INDEX FUND
GROWTH OF $10,000 INVESTMENT*
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
S&P 600 GALAXY SMALL CO
OCT 1, 90 10000 10000
3/92 15684 15833
3/93 18487 18246
3/94 21158 18915
3/95 22435 20354
3/96 30442 26632
3/97 31586 29188
3/98 46353 41220
3/99 39727 33311
3/00 48201 43479
GALAXY FUND II SMALL COMPANY INDEX FUND
S&P(REGISTRATION MARK) 600 INDEX
* SINCE INCEPTION ON 10/1/90. THE S&P(REGISTRATION MARK) 600 INDEX IS AN
UNMANAGED INDEX WHICH DOES NOT REFLECT MANAGEMENT FEES AND OTHER EXPENSES.
AN INVESTOR CANNOT INVEST IN THE INDEX.
4
<PAGE>
PORTFOLIO REVIEWS
GALAXY FUND IIUTILITY 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 in the S&P(REGISTRATION MARK) Utilities Index. By investing in
utility stocks according to their representation in the S&P(REGISTRATION MARK)
Utilities Index, the Fund is structured to deliver the same volatility and risk
as the Index.
For the 12 months ended March 31, 2000, the S&P(REGISTRATION MARK)
Utilities Index produced a total return of 8.66%, and the Galaxy Fund II Utility
Index Fund had a total return of 7.52% (after the deduction of operating
expenses). This performance represents a correlation coefficient of 99.965%. The
correlation coefficient measures the degree to which the Fund's performance
moved in line with its target index.
RISING INTEREST RATES TAKE A TOLL
Utility stocks have historically offered defensive characteristics that are
desirable during periods of high market volatility. With strong yields,
utilities have also performed well when short-term interest rates declined prior
to economic expansions. Utility stocks will most likely remain defensive income
vehicles despite significant industry changes resulting from deregulation.
When interest rates rise, as they have in the past year, the earnings for
utility firms often suffer. At the same time, investors may prefer the income
opportunities offered by bonds. In the first half of the reporting period, the
effects of rising interest rates were offset by a brighter earnings picture for
stocks generally that encouraged investors to trade large-cap growth shares for
stocks with better valuations. When market volatility increased in the third
quarter of 1999, utilities benefited as investors looked for stocks with more
stable returns. By the fourth quarter of 1999, however, higher interest rates
had taken their toll, resulting in under performance for the 12-month reporting
period.
SEVERAL POSITIVES AHEAD
Utilities could benefit in coming months if higher interest rates slow
economic growth, as the Fed hopes, and interest rates peak. On the other hand,
if the economy remains overheated, requiring sharper rate hikes by the Fed,
investors may favor the relative stability and defensive characteristics that
utilities offer. In the meantime, individual stocks may benefit from attractive
energy-trading operations and favorable growth in non-traditional businesses.
GALAXY FUND II UTILITY INDEX FUND
DISTRIBUTION OF TOTAL NET ASSETS AS OF MARCH 31, 2000
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
REPURCHASE AGREEMENT AND NET OTHER ASSETS AND LIABILITIES 2%
ENERGY 32%
UTILITIES 66%
GALAXY FUND II UTILITY INDEX FUND
GROWTH OF $10,000 INVESTMENT*
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
SP utility galaxy utility
1/5/93 10000 10000
3/93 10852 10985
3/94 10762 10454
3/95 11683 10941
3/96 14330 13853
3/97 14567 14332
3/98 19780 19936
3/99 21618 19631
3/00 22400 21106
GALAXY FUND II UTILITY INDEX FUND
S&P(REGISTRATION MARK) UTILITIES INDEX
* SINCE INCEPTION ON 1/5/93. THE S&P(REGISTRATION MARK) UTILITES INDEX IS
AN UNMANAGED INDEX WHICH DOES NOT REFLECT MANAGEMENT FEES AND OTHER EXPENSES.
AN INVESTOR CANNOT INVEST IN THE INDEX.
5
<PAGE>
PORTFOLIO REVIEWS
[GRAPHIC OMITTED]
DAVID LINDSAY HAS MANAGED THE GALAXY FUND II U.S. TREASURY INDEX FUND SINCE
JULY 1994. HE HAS MANAGED FIXED-INCOME PORTFOLIOS FOR FLEET INVESTMENT ADVISORS
INC. SINCE 1986.
GALAXY FUND II U.S. TREASURY INDEX FUND
BY DAVID LINDSAY
PORTFOLIO MANAGER
The Galaxy Fund II U.S. Treasury Index Fund seeks to match, before the
deduction of operating expenses, the price and yield performance of U.S.
Treasury notes and bonds represented in the Salomon Smith Barney U.S. Treasury
Index, an unmanaged index of U.S. Treasury securities. The Fund attempts to meet
this objective by investing in U.S. Treasury notes and bonds according to their
representation in the Salomon Smith Barney U.S. Treasury Index.
For the 12 months ended March 31, 2000, the Salomon Smith Barney U.S.
Treasury Index posted a total return of 2.80%, and the Galaxy Fund II U.S.
Treasury Index Fund had a total return of 2.39% (after deduction of operating
expenses). This performance represents a correlation coefficient of 99.614%. The
correlation coefficient measures the degree to which the Fund's performance
since inception moved in line with its target index.
STRONG DEMAND, REDUCED SUPPLY FAVORS TREASURIES
Because Treasury bonds are highly liquid and backed by the full faith and
credit of the U.S. government, they usually appeal to investors during periods
of economic or market turbulence. With yields that are generally lower than
other taxable issues, Treasuries are frequently less attractive in positive
economic and market climates.
Treasuries outperformed during the second and third quarters of 1999, when
rising interest rates caused concern about future economic growth. Although
Treasuries then underperformed in the fourth quarter of 1999, as growth remained
strong and investors took advantage of attractive values in corporate issues, a
fall in interest rates and new concern about growth helped Treasuries outperform
in the first quarter of 2000.
Treasuries also benefited from a decline in supply as a federal budget
surplus reduced the need for new issues and encouraged the government to buy
back existing bonds. With lower supplies and strong demand, for most of the
12-month reporting period, Treasuries outperformed most other debt sectors.
FAVORABLE SUPPLY/DEMAND BALANCE COULD CONTINUE
We do not expect the yields for long-term Treasury bonds to return to the
levels they reached at the end of 1999 and the beginning of 2000. If continued
economic strength forces the Fed to raise interest rates further, short-term
issues will probably bear most of any additional increase in yields, while
intermediate and long-term issues should continue to benefit from moderate
inflation. In the meantime, Treasuries generally should continue to benefit from
both reduced supply and the likely slow down in U.S. economic growth the the Fed
has been engineering.
Galaxy Fund II U.S. Treasury Index Fund
Distribution of Total Net Assets as of March 31, 2000
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
REPURCHASE AGREEMENT AND NET OTHER ASSETS AND LIABILITIES 3%
U.S. TREASURY BONDS 34%
U.S. TREASURY NOTES 63%
GALAXY FUND II U.S. TREASURY INDEX FUND
GROWTH OF $10,000 INVESTMENT*
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
salomon bros galaxy treas
6/4/91 10000 10000
3/92 10932 10899
3/93 12474 12390
3/94 12810 12687
3/95 13362 13171
3/96 14764 14500
3/97 15388 15066
3/98 17264 16831
3/99 18419 17905
3/00 19099 18333
GALAXY FUND II U.S. TREASURY INDEX FUND
THE SALOMON SMITH BARNEY U.S. TREASURY INDEX
* SINCE INCEPTION ON 6/4/91. THE SALOMON SMITH BARNEY U.S. TREASURY INDEX
IS AN UNMANAGED INDEX WHICH DOES NOT REFLECT MANAGEMENT FEES AND OTHER EXPENSES.
AN INVESTOR CANNOT INVEST IN THE INDEX.
6
<PAGE>
PORTFOLIO REVIEWS
[GRAPHIC OMITTED]
GLENN MIGLIOZZI IS THE MANAGING DIRECTOR OF FIXED INCOME INVESTMENTS FOR
FLEET INVESTMENT ADVISORS INC. HE IS ALSO A MEMBER OF FLEET'S TAX-EXEMPT
INVESTMENT POLICY COMMITTEE, WHICH HAS MANAGED THE GALAXY FUND II MUNICIPAL BOND
FUND SINCE 1996.
GALAXY FUND II MUNICIPAL BOND FUND
BY GLENN MIGLIOZZI CFA
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 prudent
investment management and preservation of capital. Typically, the Fund invests
substantially all of its assets in debt securities issued by state, local, and
regional government agencies, and maintains an average maturity for its
investments of 7 to 12 years.
For the 12 months ended March 31, 2000, the Galaxy Fund II Municipal Bond
Fund earned a total return of -0.05% (after deduction of operating expenses).
During the same time, intermediate municipal bond funds tracked by Lipper
Analytical Services had an average total return of -0.46%, the Lehman Brothers
Seven-Year Municipal Bond Index had a total return of 0.59%, and the Lehman
Brothers Quality Intermediate Municipal Bond Index had a total return of 1.00%.
We have changed the Fund's market benchmark to the Lehman Brothers Quality
Intermediate Municipal Bond Index, which is comprised of those issues in the
Lehman Brothers Municipal Bond Index with maturities between 2 and 12 years and
rated A3 or better. We believe this Index more closely resembles the broad-based
mix of high-quality securities in the Fund than does the Lehman Brothers
Seven-Year Municipal Bond Index.
MUNICIPALS BECOME OVERSOLD
After the flight to quality in 1998, when economies deteriorated abroad,
improving economic conditions in 1999 encouraged many higher-earning investors
to abandon municipal bonds for stocks. With supplies of municipals still strong,
the sector underperformed, particularly late in 1999 when investors sold
municipals to pay taxes on stock gains. Municipals then outperformed early in
2000, as municipal supplies contracted and investors saw that the sector was
oversold.
With interest rates rising, the Galaxy Fund II Municipal Bond Fund
benefited from an emphasis on shorter maturities and the laddered maturity
structure that we used through most of 1999. At the same time, a
well-diversified portfolio with strong credit quality and liquidity helped to
stabilize Fund returns. In the final months of the period we took advantage of
attractive values in longer maturities, which subsequently provided strong price
appreciation as well as additional yield.
A FLIGHT TO SCARCITY
As increased stock volatility encourages investors to seek stability in
fixed-income issues, municipal bonds should continue to benefit from reduced
supplies and attractive yields. For investors in the 39.6% federal income tax
bracket, long-term municipals now offer an after-tax yield of about 9.10%.
As before, we plan to emphasize a broadly diversified portfolio of high
quality issues with premium coupons and good liquidity and take advantage of
opportunities to increase yield as they arise.
GALAXY FUND II MUNICIPAL BOND FUND
GEOGRAPHICAL DISTRIBUTION OF TOTAL NET ASSETS AS OF MARCH 31, 2000
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
CASH EQUIVALENTS AND NET OTHER ASSETS AND LIABILITIES 3%
NORTH CENTRAL 20%
MOUNTAIN 11%
PACIFIC 8%
SOUTH 25%
EAST 33%
GALAXY FUND II MUNICIPAL BOND FUND
GROWTH OF $10,000 INVESTMENT*
[GRAPHIC OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
LB INT BOND LEH 7 YEAR GALAXY MUNI
4/15/93 10000 10000 10000
3/94 10269 10235 10310
3/95 10933 10885 10857
3/96 11791 11762 11657
3/97 12325 12307 12141
3/98 13366 13419 13147
3/99 14141 14214 13831
3/00 14283 13960 13823
GALAXY FUND II MUNICIPAL BOND FUND
LEHMAN BROTHERS SEVEN-YEAR MUNICIPAL BOND INDEX
LEHMAN BROTHERS QUALITY INTERMEDIATE BOND INDEX
* SINCE INCEPTION ON 4/15/93. THE LEHMAN BROTHERS SEVEN-YEAR MUNICIPAL BOND
INDEX AND QUALITY INTERMEDIATE MUNICIPAL BOND INDEX ARE UNMANAGED INDICES WHICH
DO NOT REFLECT MANAGEMENT FEES AND OTHER EXPENSES.
AN INVESTOR CANNOT INVEST IN THESE INDICES.
7
<PAGE>
SHAREHOLDER INFORMATION
TRUSTEES
AND OFFICERS
Dwight E. Vicks, Jr.
CHAIRMAN AND TRUSTEE
John T. O'Neill
PRESIDENT, TREASURER
AND TRUSTEE
Louis DeThomasis,
F.S.C., Ph.D.
TRUSTEE
Donald B. Miller
TRUSTEE
James M. Seed
TRUSTEE
Bradford S. Wellman
TRUSTEE
Jylanne Dunne
VICE PRESIDENT AND
ASSISTANT TREASURER
William Greilich
VICE PRESIDENT
W. Bruce
McConnel, Esq.
SECRETARY
INVESTMENT ADVISOR
Fleet Investment
Advisors Inc.
75 State Street
Boston, MA
02109
DISTRIBUTOR
Provident Distributors, Inc.
3200 Horizon Drive
King of Prussia,
Pennsylvania 19406
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 Provident
Distributors, Inc. by calling toll-free 1-877-BUY-GALAXY (1-877-289-4252). This
report is submitted for the general information of shareholders of Galaxy Fund
II. It is not authorized for distribution to prospective investors unless
accompanied or preceded by an effective prospectus for each Fund of Galaxy Fund
II, which contains more information concerning the investment policies and
expenses of the Funds as well as other pertinent information. Read the
prospectus carefully before you invest.
SHARES OF THE FUNDS ARE NOT BANK DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED
OR ENDORSED BY, FLEETBOSTON FINANCIAL CORP. OR ANY OF ITS AFFILIATES, FLEET
INVESTMENT ADVISORS INC., OR ANY FLEET BANK. SHARES OF THE FUNDS ARE NOT
FEDERALLY INSURED BY, GUARANTEED BY, OBLIGATIONS OF OR OTHERWISE SUPPORTED BY
THE U.S. GOVERNMENT, THE FEDERAL DEPOSIT INSURANCE CORPORATION, THE FEDERAL
RESERVE BOARD OR ANY OTHER GOVERNMENTAL AGENCY. INVESTMENT RETURN AND PRINCIPAL
VALUE WILL VARY AS A RESULT OF MARKET CONDITIONS OR OTHER FACTORS SO THAT SHARES
OF THE FUNDS, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL COST.
AN INVESTMENT IN THE FUNDS INVOLVES INVESTMENT RISKS, INCLUDING THE POSSIBLE
LOSS OF PRINCIPAL AMOUNT INVESTED.
[GRAPHIC OMITTED]
This report was printed on recycled paper.
8
<PAGE>
LARGE COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
SHARES VALUE
------ -----
COMMON STOCKS - 98.84%
TECHNOLOGY - 35.30%
8,100 Adaptec, Inc.* ..................................... $ 312,863
23,500 ADC Telecommunications, Inc.* ...................... 1,266,063
9,500 Adobe Systems, Inc. ................................ 1,057,469
13,760 Advanced Micro Devices, Inc.* ...................... 785,180
182,270 America OnLine, Inc.* .............................. 12,257,658
82,612 Amgen, Inc.* ....................................... 5,070,312
26,200 Analog Devices, Inc.* .............................. 2,110,738
5,944 Andrew Corp.* ...................................... 135,969
12,528 Apple Computer, Inc. ............................... 1,701,459
61,506 Applied Materials, Inc.* ........................... 5,796,941
5,017 Autodesk, Inc. ..................................... 228,274
52,521 Automatic Data Processing, Inc. .................... 2,534,138
12,000 Biogen, Inc.* ...................................... 838,500
19,191 BMC Software, Inc.* ................................ 947,556
74,029 Boeing Co. ......................................... 2,808,475
9,155 Cabletron Systems, Inc.* ........................... 268,356
12,348 Ceridian Corp. ..................................... 236,927
558,328 Cisco Systems, Inc.* ............................... 43,165,734
12,600 Citrix Systems, Inc.* .............................. 834,750
133,397 Compaq Computer Corp. .............................. 3,551,695
42,120 Computer Associates International, Inc. ............ 2,492,978
13,932 Computer Sciences Corp.* ........................... 1,102,370
28,951 Compuware Corp.* ................................... 609,780
6,100 Comverse Technology, Inc.* ......................... 1,152,900
17,700 Conexant Systems, Inc.* ............................ 1,256,700
22,208 Corning, Inc. ...................................... 4,308,352
207,953 Dell Computer Corp.* ............................... 11,216,465
38,346 Electronic Data Systems Corp. ...................... 2,461,334
84,374 EMC Corp.* ......................................... 10,546,750
35,247 First Data Corp. ................................... 1,559,680
25,834 Gateway, Inc.* ..................................... 1,369,202
17,204 General Dynamics Corp. ............................. 855,899
65,529 Global Crossing, Ltd.* ............................. 2,682,593
9,189 Goodrich (B.F.) Co. ................................ 263,609
82,249 Hewlett-Packard Co. ................................ 10,903,133
25,563 IMS Health Inc. .................................... 432,973
268,979 Intel Corp. ........................................ 35,488,417
154,854 International Business Machines Corp. .............. 18,272,772
15,592 KLA-Tencorp Corp.* ................................. 1,313,626
10,000 Lexmark International Group, Inc., Class A* ........ 1,057,500
22,700 Linear Technology Corp. ............................ 1,248,500
35,848 Lockheed Martin Corp. .............................. 732,644
22,818 LSI Logic Corp.* ................................... 1,657,157
256,553 Lucent Technologies, Inc. .......................... 15,585,595
21,466 Micron Technology, Inc.* ........................... 2,704,716
419,689 Microsoft Corp.* ................................... 44,591,956
54,769 Monsanto Co. ....................................... 2,820,604
56,053 Motorola, Inc. ..................................... 7,980,546
14,255 National Semiconductor Corp.* ...................... 864,209
7,900 NCR Corp.* ......................................... 316,988
21,900 Network Appliance, Inc.* ........................... 1,812,225
30,235 Nextel Communications, Inc., Class A* .............. 4,482,339
110,874 Nortel Networks Corp. .............................. 13,970,124
5,879 Northrop Corp. ..................................... 311,220
25,652 Novell, Inc.* ...................................... 734,289
Shares Value
------ -----
TECHNOLOGY (CONTINUED)
228,948 Oracle Corp.* ............................ $17,872,253
21,666 Parametric Technology Corp.* ............. 456,340
21,220 PeopleSoft, Inc.* ........................ 424,400
22,173 Pitney Bowes, Inc. ....................... 990,856
56,900 QUALCOMM, Inc.* .......................... 8,495,881
27,224 Raytheon Co., Class B .................... 483,226
12,280 Scientific-Atlanta, Inc. ................. 779,013
18,866 Seagate Technology, Inc.* ................ 1,136,677
2,109 Shared Medical Systems Corp. ............. 109,404
14,446 Silicon Graphics, Inc.* .................. 152,586
71,660 Sprint PCS Group* ........................ 4,680,294
126,662 Sun Microsystems, Inc.* .................. 11,868,625
26,617 3Com Corp.* .............................. 1,480,571
34,152 Tellabs, Inc.* ........................... 2,151,042
13,600 Teradyne, Inc.* .......................... 1,118,600
65,064 Texas Instruments, Inc. .................. 10,410,240
25,215 Unisys Corp.* ............................ 642,983
42,686 United Technologies Corp. ................ 2,697,222
31,900 Veritas Software Corp. ................... 4,178,900
55,505 Xerox Corp. .............................. 1,443,130
25,700 Xilinx, Inc.* ............................ 2,128,281
42,100 Yahoo!, Inc.* ............................ 7,214,888
-----------
375,984,614
-----------
CONSUMER STAPLES - 14.51%
130,793 Abbott Laboratories ............................ 4,602,279
4,730 Alberto-Culver Co., Class B .................... 112,633
37,218 Albertson's, Inc. .............................. 1,153,758
11,046 Allergan, Inc. ................................. 552,300
8,060 ALZA Corp.* .................................... 302,754
5,873 American Greetings Corp., Class A .............. 107,182
105,595 American Home Products Corp. ................... 5,662,532
41,393 Anheuser-Busch Cos., Inc. ...................... 2,576,714
52,303 Archer-Daniels-Midland Co. ..................... 542,644
9,771 Avery Dennison Corp. ........................... 596,642
22,136 Avon Products, Inc. ............................ 643,327
4,312 Bard (C.R.), Inc. .............................. 166,820
4,719 Bausch & Lomb, Inc. ............................ 246,273
24,823 Baxter International, Inc. ..................... 1,556,092
20,689 Becton Dickinson & Co. ......................... 544,379
24,733 Bestfoods ...................................... 1,157,814
9,246 Biomet, Inc. ................................... 336,323
8,190 Block (H&R), Inc. .............................. 366,502
33,556 Boston Scientific Corp.* ....................... 715,162
164,043 Bristol-Myers Squibb Co. ....................... 9,473,483
5,882 Brown-Forman Corp., Class B .................... 320,201
37,053 Campbell Soup Co. .............................. 1,139,380
23,372 Cardinal Health, Inc. .......................... 1,072,190
56,763 Cendant Corp.* ................................. 1,050,115
20,036 Clorox Co. ..................................... 651,170
208,738 Coca-Cola Co. .................................. 9,797,640
35,548 Coca-Cola Enterprises, Inc. .................... 766,504
48,536 Colgate-Palmolive Co. .......................... 2,736,217
48,841 Columbia/HCA Healthcare Corp. .................. 1,236,288
45,326 ConAgra, Inc. .................................. 821,534
3,334 Coors (Adolph) Co., Class B .................... 159,407
SEE NOTES TO FINANCIAL STATEMENTS.
9
<PAGE>
LARGE COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
CONSUMER STAPLES (CONTINUED)
6,311 Deluxe Corp. ................................... $ 167,241
10,446 Donnelley (R.R.) & Sons Co. .................... 218,713
13,357 Dun & Bradstreet Corp. ......................... 382,344
11,313 Ecolab, Inc. ................................... 415,046
11,982 Equifax, Inc. .................................. 302,545
14,084 Fortune Brands, Inc. ........................... 352,100
25,988 General Mills, Inc. ............................ 940,441
94,989 Gillette Co. ................................... 3,579,898
3,246 Great Atlantic & Pacific Tea Co., Inc. ......... 63,297
22,789 Guidant Corp. .................................. 1,340,278
30,570 HEALTHSOUTH Corp.* ............................. 170,046
31,324 Heinz (H.J.) Co. ............................... 1,092,424
12,062 Hershey Foods Corp. ............................ 588,022
14,161 Humana, Inc.* .................................. 103,552
8,926 International Flavors & Fragrances, Inc. ....... 312,968
115,612 Johnson & Johnson Co. .......................... 8,100,066
2,847 Jostens, Inc. .................................. 69,396
34,796 Kellogg Co. .................................... 891,647
49,734 Kimberly-Clark Corp. ........................... 2,785,104
68,732 Kroger Co.* .................................... 1,207,106
91,149 Lilly (Eli) & Co. .............................. 5,742,387
5,974 Mallinckrodt, Inc. ............................. 171,752
8,437 Manor Care, Inc.* .............................. 113,899
22,322 McKesson HBOC, Inc. ............................ 468,762
91,832 Medtronic, Inc. ................................ 4,723,608
195,616 Merck & Co., Inc. .............................. 12,152,644
34,382 Nabisco Group Holdings Corp. ................... 412,584
20,619 Paychex, Inc. .................................. 1,079,920
129,194 PepsiCo, Inc. .................................. 4,465,268
324,772 Pfizer, Inc. ................................... 11,874,476
42,702 Pharmacia & Upjohn, Inc. ....................... 2,530,093
207,415 Philip Morris Cos., Inc. ....................... 4,381,642
108,949 Procter & Gamble Co. ........................... 6,128,381
11,839 Quaker Oats Co. ................................ 717,739
9,100 Quintiles Transnational Corp.* ................. 155,269
26,753 Ralston Purina Group ........................... 732,363
42,920 Safeway, Inc.* ................................. 1,942,130
78,402 Sara Lee Corp. ................................. 1,411,236
126,923 Schering-Plough Corp. .......................... 4,664,420
36,466 Seagram Co., Ltd. .............................. 2,169,727
6,822 St. Jude Medical, Inc.* ........................ 176,093
12,581 SuperValu, Inc. ................................ 238,253
29,005 Sysco Corp. .................................... 1,035,116
26,633 Tenet Healthcare Corp.* ........................ 612,559
4,736 Tupperware Corp. ............................... 74,888
48,499 Unilever NV, New York Shares, ADR .............. 2,334,014
14,646 United Healthcare Corp. ........................ 873,268
12,923 UST, Inc. ...................................... 201,922
71,236 Warner-Lambert Co. ............................. 6,945,510
7,986 Watson Pharmaceuticals, Inc.* .................. 316,944
5,600 Wellpoint Health Networks, Inc.* ............... 391,300
12,075 Winn-Dixie Stores, Inc. ........................ 234,708
10,355 Wrigley (Wm.) Jr. Co. .......................... 795,393
-----------
154,516,761
-----------
SHARES VALUE
------ -----
FINANCE - 12.90%
11,868 Aetna, Inc. .................................... $ 660,899
22,000 AFLAC, Inc. .................................... 1,002,375
69,246 Allstate Corp. ................................. 1,648,920
36,793 American Express Co. ........................... 5,479,857
21,389 American General Corp. ......................... 1,200,458
132,312 American International Group, Inc. ............. 14,488,164
32,060 AmSouth Bancorp ................................ 478,896
23,658 AON Corp. ...................................... 762,971
66,160 Associates First Capital Corp. ................. 1,418,305
139,136 Bank of America Corp. .......................... 7,295,944
61,514 Bank of New York Co., Inc. ..................... 2,556,676
95,936 Bank One Corp. ................................. 3,297,800
28,094 BB&T Corp. ..................................... 788,388
9,577 Bear Stearns Cos., Inc. ........................ 436,951
16,877 Capital One Financial Corp. .................... 809,041
66,638 Chase Manhattan Corp. .......................... 5,810,001
16,134 Chubb Corp. .................................... 1,090,053
14,821 CIGNA Corp. .................................... 1,122,691
14,360 Cincinnati Financial Corp. ..................... 540,295
276,620 Citigroup, Inc. ................................ 16,407,024
12,814 Comerica, Inc. ................................. 536,586
27,144 Conseco, Inc. .................................. 310,460
9,343 Countrywide Credit Industries, Inc. ............ 254,597
82,506 Fannie Mae ..................................... 4,656,432
25,352 Fifth Third Bancorp ............................ 1,597,176
80,611 First Union Corp. .............................. 3,002,760
79,734 Firstar Corp. .................................. 1,828,899
76,384 FleetBoston Financial Corp. .................... 2,788,016
21,498 Franklin Resources, Inc. ....................... 718,839
55,688 Freddie Mac .................................... 2,460,714
13,393 Golden West Financial Corp. .................... 417,694
19,619 Hartford Financial Services Group, Inc. ........ 1,034,902
39,209 Household International, Inc. .................. 1,462,986
18,515 Huntington Bancshares, Inc. .................... 414,273
9,309 Jefferson-Pilot Corp. .......................... 619,630
36,897 KeyCorp ........................................ 701,043
9,953 Lehman Brothers Holdings, Inc. ................. 965,441
18,214 Lincoln National Corp. ......................... 610,169
9,159 Loews Corp. .................................... 457,950
24,722 Marsh & McLennan Cos., Inc. .................... 2,727,146
8,492 MBIA, Inc. ..................................... 442,115
68,875 MBNA Corp. ..................................... 1,756,313
41,948 Mellon Financial Corp. ......................... 1,237,466
30,210 Merrill Lynch & Co., Inc. ...................... 3,172,050
9,132 MGIC Investment Corp. .......................... 398,384
14,297 Morgan (J.P) & Co. ............................. 1,883,630
90,974 Morgan Stanley, Dean Witter & Co. .............. 7,420,067
49,994 National City Corp. ............................ 1,031,126
18,376 Northern Trust Corp. ........................... 1,241,529
10,000 Old Kent Financial Corp. ....................... 323,125
12,000 Paine Webber Group, Inc. ....................... 528,000
24,583 PNC Financial Services Group ................... 1,107,771
10,500 Price (T. Rowe) Associates, Inc. ............... 414,750
6,586 Progressive Corp. .............................. 500,948
12,066 Providian Financial Corp. ...................... 1,045,217
17,974 Regions Financial Corp. ........................ 410,032
11,242 Safeco Corp. ................................... 298,616
SEE NOTES TO FINANCIAL STATEMENTS.
10
<PAGE>
LARGE COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
FINANCE (CONTINUED)
67,366 Schwab (Charles) Corp. ..................... $3,827,231
13,454 SLM Holding Corp. .......................... 448,186
13,623 SouthTrust Corp. ........................... 346,535
20,735 St. Paul Cos., Inc. ........................ 707,582
12,934 State Street Corp. ......................... 1,252,981
14,486 Summit Bancorp ............................. 380,258
26,055 SunTrust Banks, Inc. ....................... 1,504,676
22,956 Synovus Financial Corp. .................... 433,295
11,351 Torchmark Corp. ............................ 262,492
62,473 U.S. Bancorp ............................... 1,366,597
11,540 Union Planters Corp. ....................... 355,576
21,556 UnumProvident Corp. ........................ 366,452
16,813 Wachovia Corp. ............................. 1,135,928
48,139 Washington Mutual Savings Bank ............. 1,275,684
137,148 Wells Fargo & Co. .......................... 5,614,496
-----------
137,350,530
-----------
CONSUMER CYCLICAL - 12.15%
11,932 AMR Corp.* ..................................... 380,332
11,697 AutoZone, Inc.* ................................ 324,592
15,300 Bed, Bath & Beyond Inc.* ....................... 602,437
17,500 Best Buy Co., Inc.* ............................ 1,505,000
8,265 Brunswick Corp. ................................ 156,518
50,986 Carnival Corp. ................................. 1,265,090
62,000 CBS Corp.* ..................................... 3,510,750
5,035 Centex Corp. ................................... 119,896
18,600 Circuit City Stores-Circuit City Group ......... 1,132,275
27,841 Clear Channel Communications, Inc.* ............ 1,922,769
79,322 Comcast Corp., Class A ......................... 3,440,592
8,932 Consolidated Stores Corp.* ..................... 101,601
6,387 Cooper Tire & Rubber Co. ....................... 80,237
37,040 Costco Wholesale Corp.* ........................ 1,946,915
33,351 CVS Corp. ...................................... 1,252,747
14,248 Dana Corp. ..................................... 401,615
10,939 Darden Restaurants, Inc. ....................... 194,851
47,741 Delphi Automotive Systems Corp. ................ 763,856
10,732 Delta Air Lines, Inc. .......................... 571,479
8,931 Dillards, Inc., Class A ........................ 146,803
173,595 Disney (Walt) Co. .............................. 7,182,493
23,317 Dollar General Corp. ........................... 626,644
7,573 Dow Jones & Co., Inc. .......................... 543,836
18,118 Federated Department Stores, Inc.* ............. 756,426
104,674 Ford Motor Co. ................................. 4,808,462
23,514 Gannett Co., Inc. .............................. 1,654,798
72,706 Gap, Inc. ...................................... 3,621,668
53,994 General Motors Corp. ........................... 4,471,378
15,109 Genuine Parts Co. .............................. 360,727
13,409 Goodyear Tire & Rubber Co. ..................... 312,597
7,581 Grainger (W.W.), Inc. .......................... 411,269
6,274 Harcourt General, Inc. ......................... 233,706
12,400 Harley-Davidson, Inc. .......................... 984,250
10,610 Harrah's Entertainment, Inc. ................... 196,948
15,318 Hasbro, Inc. ................................... 252,747
30,623 Hilton Hotels Corp. ............................ 237,328
189,687 Home Depot, Inc. ............................... 12,234,811
12,380 Ikon Office Solutions, Inc. .................... 76,601
23,516 Interpublic Group of Cos., Inc. ................ 1,111,131
SHARES VALUE
------ -----
CONSUMER CYCLICAL (CONTINUED)
3,998 Kaufman & Broad Home Corp. ................... $ 85,707
40,350 Kmart Corp.* ................................. 390,891
7,112 Knight-Ridder, Inc. .......................... 362,267
14,125 Kohl's Corp.* ................................ 1,447,812
16,200 Leggett & Platt, Inc. ........................ 348,300
18,904 Limited, Inc. ................................ 796,331
4,943 Liz Claiborne, Inc. .......................... 226,451
3,345 Longs Drug Stores, Inc. ...................... 76,099
33,631 Lowe's Cos., Inc. ............................ 1,963,210
20,667 Marriott International, Inc., Class A ........ 651,010
35,041 Mattel, Inc. ................................. 365,740
27,952 May Department Stores Co. .................... 796,632
7,461 Maytag Corp. ................................. 247,146
115,753 McDonald's Corp. ............................. 4,347,972
16,575 McGraw-Hill Cos., Inc. ....................... 754,162
49,691 MediaOne Group, Inc.* ........................ 4,024,971
4,312 Meredith Corp. ............................... 119,388
16,111 Mirage Resorts, Inc.* ........................ 312,151
5,360 Navistar International Corp.* ................ 215,070
14,114 New York Times Co., Class A .................. 606,020
23,063 Newell Rubbermaid, Inc. ...................... 572,251
22,715 NIKE, Inc., Class B .......................... 900,082
11,472 Nordstrom, Inc. .............................. 338,424
26,900 Office Depot, Inc.* .......................... 311,031
14,366 Omnicom Group, Inc. .......................... 1,342,323
6,607 Paccar, Inc. ................................. 330,350
21,909 Penny (J.C.) Co., Inc. ....................... 325,896
3,758 Pulte Corp. .................................. 78,448
4,633 Reebok International, Ltd.* .................. 42,855
21,232 Rite Aid Corp. ............................... 116,776
2,646 Russell Corp. ................................ 37,871
10,339 Sabre Group Holdings Corp. ................... 381,897
31,903 Sears, Roebuck & Co. ......................... 985,005
41,728 Southwest Airlines Co. ....................... 868,464
1,573 Springs Industries, Inc. ..................... 59,774
40,334 Staples, Inc.* ............................... 806,680
17,396 Tandy Corp. .................................. 882,847
38,940 Target Corp. ................................. 2,910,765
99,249 Time Warner, Inc. ............................ 9,924,900
4,925 Times Mirror Co., Class A .................... 457,717
28,171 TJX Cos., Inc. ............................... 625,044
20,202 Toys 'R' Us, Inc.* ........................... 299,242
19,834 Tribune Co. .................................. 725,181
13,497 Tricon Global Restaurants, Inc.* ............. 419,251
10,372 TRW, Inc. .................................... 606,762
5,740 U.S. Airways Group, Inc.* .................... 159,644
9,774 VF Corp. ..................................... 235,187
57,457 Viacom Inc., Class B* ........................ 3,030,857
82,335 Walgreen Co. ................................. 2,120,126
373,168 Wal-Mart Stores, Inc. ........................ 20,710,824
9,986 Wendy's International, Inc. .................. 201,592
6,297 Whirlpool Corp. .............................. 369,162
5,500 Young & Rubicam, Inc. ........................ 258,500
-----------
129,471,233
-----------
SEE NOTES TO FINANCIAL STATEMENTS.
11
<PAGE>
LARGE COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
UTILITIES - 7.94%
18,212 AES Corp.* ..................................... $1,434,195
26,186 ALLTEL Corp. ................................... 1,651,355
11,441 Ameren Corp. ................................... 353,956
16,259 American Electric Power Co., Inc. .............. 484,721
259,439 American Telephone & Telegraph Corp. ........... 14,593,444
128,339 Bell Atlantic Corp. ............................ 7,844,721
156,919 BellSouth Corp. ................................ 7,375,193
13,503 Carolina Power & Light Co. ..................... 438,004
17,935 Central & South West Corp. ..................... 306,016
11,570 CenturyTel, Inc. ............................... 429,536
13,514 Cinergy Corp. .................................. 290,551
9,550 CMS Energy Corp. ............................... 173,094
18,521 Consolidated Edison, Inc. ...................... 537,109
13,092 Constellation Energy Group, Inc. ............... 417,308
20,469 Dominion Resources, Inc. ....................... 786,777
12,078 DTE Energy Co. ................................. 350,262
30,817 Duke Energy Corp. .............................. 1,617,893
2,281 Eastern Enterprises ............................ 136,575
29,193 Edison International ........................... 483,509
19,975 Entergy Corp. .................................. 403,245
19,841 FirstEnergy Corp. .............................. 409,221
8,200 Florida Progress Corp. ......................... 376,175
15,422 FPL Group, Inc. ................................ 710,376
10,413 GPU, Inc. ...................................... 285,056
79,311 GTE Corp. ...................................... 5,631,081
238,895 MCI WorldCom, Inc.* ............................ 10,824,930
9,852 New Century Energies, Inc. ..................... 296,176
15,843 Niagara Mohawk Holdings, Inc.* ................. 213,881
4,000 NICOR, Inc. .................................... 131,750
13,390 Northern States Power Co. ...................... 266,126
2,626 Oneok, Inc. .................................... 65,650
15,481 PECO Energy Co. ................................ 570,862
2,943 Peoples Energy Corp. ........................... 80,749
32,398 PG & E Corp. ................................... 680,358
7,150 Pinnacle West Capital Corp. .................... 201,541
12,197 PPL Corp. ...................................... 255,375
18,490 Public Service Enterprise Group, Inc. .......... 547,766
25,127 Reliant Energy, Inc. ........................... 588,914
282,281 SBC Communications, Inc. ....................... 11,855,802
16,940 Sempra Energy .................................. 283,745
56,155 Southern Co. ................................... 1,221,371
73,742 Sprint Corp. ................................... 4,645,746
23,121 Texas Utilities Co. ............................ 686,405
41,375 U.S. West, Inc. ................................ 3,004,859
18,267 Unicom Corp. ................................... 666,746
-----------
84,608,125
-----------
INDUSTRIAL - 7.80%
15,400 Allied Waste Industries, Inc.* ................. 101,063
3,349 Armstrong World Industries, Inc. ............... 59,863
2,615 Ball Corp. ..................................... 90,381
4,598 Bemis Co., Inc. ................................ 169,551
7,241 Black & Decker Corp. ........................... 271,990
2,002 Briggs & Stratton Corp. ........................ 82,332
38,257 Burlington Northern Santa Fe Corp. ............. 846,436
30,607 Caterpillar, Inc. .............................. 1,207,064
SHARES VALUE
------ -----
INDUSTRIAL (CONTINUED)
8,096 Cooper Industries, Inc. ...................... $ 283,360
5,563 Crane Co. .................................... 131,078
10,692 Crown Cork & Seal Co., Inc. .................. 171,072
18,251 CSX Corp. .................................... 428,899
3,371 Cummins Engine Co., Inc. ..................... 126,623
12,729 Danaher Corp. ................................ 649,179
20,551 Deere & Co. .................................. 780,938
17,289 Dover Corp. .................................. 827,711
26,787 Eastman Kodak Co. ............................ 1,454,869
6,189 Eaton Corp. .................................. 482,742
39,434 Emerson Electric Co. ......................... 2,085,073
24,544 FedEx Corp.* ................................. 957,216
6,410 Fluor Corp. .................................. 198,710
2,640 FMC Corp. .................................... 149,160
265,230 General Electric Co. ......................... 41,160,381
69,166 Honeywell International, Inc. ................ 3,644,184
25,377 Illinois Tool Works, Inc. .................... 1,402,079
14,445 Ingersoll-Rand Co. ........................... 639,191
7,721 ITT Industries, Inc. ......................... 239,834
7,039 Johnson Controls, Inc. ....................... 380,546
8,914 Kansas City Southern Industries, Inc. ........ 766,047
37,500 Masco Corp. .................................. 768,750
5,100 McDermott International, Inc. ................ 46,856
3,100 Milacron, Inc. ............................... 44,756
3,771 Millipore Corp. .............................. 212,826
33,890 Minnesota Mining & Manufacturing Co. ......... 3,001,383
15,200 Molex, Inc. .................................. 893,000
700 NACCO Industries, Inc., Class A .............. 33,556
3,475 National Service Industries, Inc. ............ 73,192
32,198 Norfolk Southern Corp. ....................... 462,846
4,507 Owens Corning, Inc. .......................... 87,323
12,814 Owens-Illinois, Inc.* ........................ 216,236
13,976 Pactiv Corp.* ................................ 122,290
10,289 Pall Corp. ................................... 230,859
9,422 Parker-Hannifin Corp. ........................ 389,246
16,940 PE Corp. - PE Biosystems Group ............... 1,634,710
3,888 PerkinElmer, Inc. ............................ 258,552
3,762 Polaroid Corp. ............................... 89,348
15,208 PPG Industries, Inc. ......................... 795,569
16,057 Rockwell International Corp. ................. 671,383
5,372 Ryder Systems, Inc. .......................... 121,877
7,431 Sealed Air Corp.* ............................ 403,596
5,039 Snap-On, Inc. ................................ 131,959
46,524 Solectron Corp.* ............................. 1,863,868
7,752 Stanley Works ................................ 204,459
3,583 Tektronix, Inc. .............................. 200,648
12,832 Textron, Inc. ................................ 781,148
13,228 Thermo Electron Corp.* ....................... 269,521
4,712 Thomas & Betts Corp. ......................... 133,114
5,250 Timken Co. ................................... 85,313
141,172 Tyco International, Ltd. ..................... 7,040,954
20,469 Union Pacific Corp. .......................... 800,850
8,500 Vulcan Materials Co., Inc. ................... 389,406
50,608 Waste Management, Inc. ....................... 692,697
7,557 Worthington Industries, Inc. ................. 93,518
-----------
83,033,181
-----------
SEE NOTES TO FINANCIAL STATEMENTS.
12
<PAGE>
LARGE COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
ENERGY - 6.10%
7,956 Amerada Hess Corp. ........................... $ 514,156
11,275 Anadarko Petroleum Corp. ..................... 436,202
9,886 Apache Corp. ................................. 491,828
26,579 Atlantic Richfield Co. ....................... 2,259,215
26,581 Baker Hughes, Inc. ........................... 804,075
19,008 Burlington Resources, Inc. ................... 703,296
56,882 Chevron Corp. ................................ 5,258,030
18,435 Coastal Corp. ................................ 848,010
6,830 Columbia Energy Group ........................ 404,677
56,900 Conoco, Inc., Class B ........................ 1,458,062
19,400 El Paso Energy Corp. ......................... 783,275
56,390 Enron Corp. .................................. 4,222,201
281,847 Exxon Mobil Corp. ............................ 21,931,220
37,224 Halliburton Co. .............................. 1,526,184
8,147 Kerr-McGee Corp. ............................. 470,489
31,869 Occidental Petroleum Corp. ................... 661,282
21,714 Phillips Petroleum Co. ....................... 1,004,272
7,519 Rowan Cos., Inc.* ............................ 221,341
181,074 Royal Dutch Petroleum Co., ADR ............... 10,423,072
43,953 Schlumberger, Ltd. ........................... 3,362,405
7,780 Sunoco, Inc. ................................. 212,978
46,918 Texaco, Inc. ................................. 2,515,978
12,700 Tosco Corp. .................................. 386,556
17,135 Transocean Sedco Forex, Inc. ................. 879,240
22,692 Union Pacific Resources Group, Inc. .......... 329,034
20,956 Unocal Corp. ................................. 623,441
27,509 USX-Marathon Group, Inc. ..................... 716,953
35,981 Williams Cos., Inc. .......................... 1,580,915
-----------
65,028,387
-----------
BASIC MATERIALS - 2.14%
19,415 Air Products & Chemicals, Inc. ............... 552,114
18,498 Alcan Aluminum, Ltd. ......................... 626,620
30,630 Alcoa, Inc. .................................. 2,151,757
8,291 Allegheny Technologies, Inc. ................. 166,338
1,476 Arch Coal, Inc. .............................. 10,333
6,098 Ashland, Inc. ................................ 203,902
SHARES VALUE
------ -----
BASIC MATERIALS (CONTINUED)
32,882 Barrick Gold Corp. ........................... $ 515,836
11,025 Bethlehem Steel Corp.* ....................... 66,150
4,729 Boise Cascade Corp. .......................... 164,333
8,181 Champion International Corp. ................. 435,638
19,580 Dow Chemical Co. ............................. 2,232,120
88,525 du Pont (E.I.) deNemours & Co. ............... 4,680,759
6,723 Eastman Chemical Co. ......................... 305,897
10,763 Engelhard Corp. .............................. 162,790
18,370 Fort James Corp. ............................. 404,140
13,463 Freeport-McMoran Copper & Gold, Inc., Class B* 162,397
14,612 Georgia-Pacific Group ........................ 578,087
6,200 Grace (W.R.) & Co.* .......................... 78,662
5,025 Great Lakes Chemical Corp. ................... 170,850
9,398 Hercules, Inc. ............................... 151,543
21,148 Homestake Mining Co. ......................... 126,888
16,645 Inco, Ltd. ................................... 304,812
36,265 International Paper Co. ...................... 1,550,329
8,639 Louisiana-Pacific Corp. ...................... 119,866
8,712 Mead Corp. ................................... 304,375
14,066 Newmont Mining Corp. ......................... 315,606
7,349 Nucor Corp. .................................. 367,450
6,869 Phelps Dodge Corp. ........................... 326,277
26,985 Placer Dome, Inc. ............................ 219,253
2,525 Potlatch Corp. ............................... 108,575
13,813 Praxair, Inc. ................................ 574,966
5,358 Reynolds Metals Co. .......................... 358,316
19,177 Rohm & Haas Co. .............................. 855,774
13,681 Sherwin-Williams Co. ......................... 300,127
8,709 Sigma Aldrich Corp. .......................... 234,054
4,731 Temple-Inland, Inc. .......................... 235,663
11,713 Union Carbide Corp. .......................... 683,014
7,849 USX-U.S. Steel Group, Inc. ................... 196,225
8,701 Westvaco Corp. ............................... 290,396
20,493 Weyerhaeuser Co. ............................. 1,168,101
9,338 Willamette Industries, Inc. .................. 374,687
--------------
22,835,020
--------------
TOTAL COMMON STOCKS .......................... 1,052,827,851
--------------
(Cost $597,794,984)
SEE NOTES TO FINANCIAL STATEMENTS.
13
<PAGE>
LARGE COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
PAR VALUE VALUE
--------- -----
U.S. GOVERNMENT OBLIGATIONS (A) - 0.23%
U.S. TREASURY BILLS (B) - 0.23%
United States Treasury
$ 500,000 4.74%, 05/25/00.................. $ 496,445
2,000,000 4.88%, 06/22/00.................. 1,974,700
-------------
2,471,145
-------------
TOTAL U.S. GOVERNMENT OBLIGATIONS 2,471,145
-------------
(Cost $2,474,237)
REPURCHASE AGREEMENT - 1.85%
19,669,000 Repurchase Agreement with:
State Street Bank
6.05%, Due 04/03/2000, dated 03/31/2000
Repurchase Price $19,678,916
(Collateralized by U.S. Treasury Bill
Due 4/20/2000; Total Par $20,140,000
Market Value $20,064,475)........ 19,669,000
-------------
TOTAL REPURCHASE AGREEMENT ...... 19,669,000
-------------
(Cost $19,669,000)
TOTAL INVESTMENTS - 100.92%...................... 1,074,967,996
-------------
(Cost $619,938,221)
NET OTHER ASSETS AND LIABILITIES - (0.92)%....... (9,838,629)
--------------
NET ASSETS - 100.00%............................. $1,065,129,367
==============
- -------------------------------------------
* Non-income producing security.
ADR American Depositary Receipt.
(A) Discount yield at time of purchase.
(B) Securities have been deposited as initial margin on open futures contracts.
At March 31, 2000, the Fund's open futures contracts were as follows:
Number of Contract Expiration Opening Current
Contracts Type Date Position Market Value
--------- ------ ------ -------- ------------
34 S&P 500 Jun-00 $12,491,628 $12,880,050
=========== ===========
SEE NOTES TO FINANCIAL STATEMENTS.
14
<PAGE>
SMALL COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
SHARES VALUE
------ -----
COMMON STOCKS - 97.01%
TECHNOLOGY - 29.50%
18,600 AAR Corp. ...................................... $ 310,388
15,000 Actel Corp.* ................................... 535,313
23,200 Adaptive Broadband Corp.* ...................... 1,241,200
38,700 Advanced Tissue Sciences, Inc.* ................ 261,225
18,900 Allen Telecom, Inc.* ........................... 301,219
6,400 Alliant Techsystems, Inc.* ..................... 376,800
13,600 Alpha Industries, Inc.* ........................ 1,292,000
28,000 American Management Systems, Inc.* ............. 1,226,750
12,800 American Xtal Technology, Inc.* ................ 414,400
15,500 Analysts International Corp. ................... 153,063
24,700 Anixter International, Inc.* ................... 688,513
14,200 Apex, Inc.* .................................... 527,175
19,210 Applied Materials, Inc.* ....................... 1,810,580
33,300 Aspect Communications Corp.* ................... 1,234,181
17,300 Aspen Technology, Inc.* ........................ 698,488
18,800 Auspex Systems, Inc. ........................... 206,800
16,300 Avid Technology, Inc.* ......................... 291,363
9,600 BARRA, Inc.* ................................... 325,200
17,000 BE Aerospace, Inc.* ............................ 99,875
36,200 Bio-Technology General Corp.* .................. 561,100
18,900 BISYS Group, Inc.* ............................. 1,256,850
13,400 Black Box Corp.* ............................... 927,741
38,100 Burr-Brown Corp.* .............................. 2,071,688
21,900 C-COR.net Corp.* ............................... 1,073,100
4,100 Centigram Communications Corp.* ................ 77,900
23,000 Cerner Corp.* .................................. 621,000
20,200 ChoicePoint, Inc.* ............................. 754,975
40,500 CIBER, Inc.* ................................... 830,250
34,800 Commscope, Inc.* ............................... 1,587,750
14,300 Computer Task Group, Inc. ...................... 157,300
9,800 Concord Communications, Inc.* .................. 348,513
13,150 Cybex Computer Products Corp.* ................. 494,769
39,500 Dallas Semiconductor Corp. ..................... 1,387,438
26,800 Dendrite International, Inc.* .................. 561,125
10,300 Digi International, Inc.* ...................... 95,275
47,700 Digital Microwave Corp.* ....................... 1,615,838
13,600 Electroglas, Inc.* ............................. 465,800
29,400 eLoyalty Corp.* ................................ 701,925
17,200 Enzo Biochem, Inc. ............................. 1,212,600
27,900 Epicor Software Corp.* ......................... 237,150
15,600 Exabyte Corp.* ................................. 116,025
21,600 FactSet Research Systems, Inc. ................. 584,550
9,600 Fair, Isaac and Co., Inc. ...................... 373,200
22,200 FileNET Corp.* ................................. 660,450
28,600 GenCorp, Inc. .................................. 221,650
34,600 General Communication, Inc., Class A* .......... 185,975
25,200 General Semiconductor, Inc.* ................... 434,700
10,700 Great Plains Software, Inc.* ................... 571,113
26,500 Harbinger Corp.* ............................... 771,813
27,700 Henry (Jack) & Associates, Inc. ................ 1,021,438
16,800 HNC Software, Inc.* ............................ 1,210,650
16,900 Hutchinson Technology, Inc.* ................... 297,863
21,900 Hyperion Solutions Corp.* ...................... 711,750
SHARES VALUE
------ -----
TECHNOLOGY (CONTINUED)
29,000 IDEC Pharmaceuticals Corp.* .................... $2,849,250
31,300 InaCom Corp.* .................................. 86,075
19,500 INCYTE Pharmaceuticals, Inc.* .................. 1,696,500
19,300 Information Resources, Inc.* ................... 154,400
41,800 International Rectifier Corp.* ................. 1,593,625
17,700 Inter-Tel, Inc. ................................ 484,538
22,000 InterVoice-Brite, Inc.* ........................ 635,250
15,900 Kaman Corp., Class A ........................... 155,025
37,400 Komag, Inc.* ................................... 142,003
8,600 Kronos, Inc.* .................................. 254,775
32,800 Lattice Semiconductor Corp.* ................... 2,220,150
26,800 Liposome Co., Inc.* ............................ 468,163
98,300 MarchFirst, Inc.* .............................. 3,508,081
14,500 Mercury Computer Systems, Inc.* ................ 708,688
52,500 Mercury Interactive Corp.* ..................... 4,160,625
14,000 MicroAge, Inc.* ................................ 32,813
11,400 MICROS Systems, Inc.* .......................... 717,488
26,000 Midway Games, Inc.* ............................ 344,500
21,900 National Computer Systems, Inc. ................ 1,111,425
22,500 National Data Corp. ............................ 585,000
34,200 National Instruments Corp.* .................... 1,605,263
14,700 Network Equipment Technologies, Inc.* .......... 147,000
25,600 Orbital Sciences Corp.* ........................ 384,000
20,900 Organogenesis, Inc.* ........................... 252,106
49,300 P-COM, Inc.* ................................... 912,050
16,400 Photronics, Inc.* .............................. 579,125
27,700 PictureTel Corp.* .............................. 242,375
33,200 Pinnacle Systems, Inc.* ........................ 1,103,900
18,600 Pioneer Standard Electronics, Inc. ............. 292,950
11,100 Plantronics Inc.* .............................. 1,034,381
13,800 Powerwave Technologies, Inc.* .................. 1,725,000
23,900 Progress Software Corp.* ....................... 560,156
14,800 Project Software & Development, Inc.* .......... 836,200
12,800 Protein Design Labs, Inc.* ..................... 1,017,600
8,000 Proxim, Inc.* .................................. 957,500
9,300 QRS Corp.* ..................................... 699,825
11,200 RadiSys Corp.* ................................. 673,400
34,100 Read-Rite Corp.* ............................... 159,844
21,400 Regeneron Pharmaceuticals, Inc.* ............... 632,638
19,900 Remedy Corp.* .................................. 838,288
26,400 RSA Security, Inc.* ............................ 1,367,850
52,100 S3, Inc.* ...................................... 1,094,100
19,600 SAGA SYSTEMS, Inc.* ............................ 700,700
12,100 SEI Investments Co. ............................ 1,372,594
22,800 Silicon Valley Group, Inc.* .................... 627,000
10,300 SymmetriCom, Inc. * ............................ 108,794
44,300 TALK.com, Inc.* ................................ 708,800
18,500 Teledyne Technologies, Inc.* ................... 321,438
11,100 Telxon Corp. ................................... 194,944
12,600 THQ, Inc.* ..................................... 225,225
8,300 Three-Five Systems, Inc.* ...................... 498,000
14,600 Ultratech Stepper, Inc.* ....................... 208,050
21,300 Verity, Inc.* .................................. 867,975
20,300 Xircom, Inc.* .................................. 751,100
10,500 ZixIt Corp.* ................................... 764,531
----------
82,568,873
----------
SEE NOTES TO FINANCIAL STATEMENTS.
15
<PAGE>
SMALL COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
INDUSTRIAL 18.86%
6,100 Amcast Industrial Corp. .......................... $ 56,044
22,000 American Freightways Corp.* ...................... 328,625
8,800 Analogic Corp. ................................... 324,500
19,000 Apogee Enterprises, Inc. ......................... 75,406
14,200 Applied Industrial Technologies, Inc. ............ 227,200
26,700 Applied Power, Inc., Class A ..................... 760,950
25,000 AptarGroup, Inc. ................................. 667,188
13,500 Arkansas Best Corp.* ............................. 141,750
25,500 Artesyn Technologies, Inc.* ...................... 482,906
13,100 Astec Industries, Inc.* .......................... 347,969
14,700 Audiovox Corp.* .................................. 641,288
24,600 Baldor Electric Co. .............................. 444,338
13,000 Barnes Group, Inc. ............................... 188,500
16,700 Belden, Inc. ..................................... 459,250
11,100 Benchmark Electronics, Inc.* ..................... 410,700
18,700 BMC Industries, Inc. ............................. 106,356
15,500 Brady Corp., Class A ............................. 483,406
4,800 Butler Manufacturing Co. ......................... 117,300
8,900 C&D Technologies, Inc. ........................... 525,100
19,300 Cable Design Technologies Corp.* ................. 654,994
9,600 Castle (A.M.) & Co. .............................. 120,000
27,800 C-Cube Microsystems, Inc.* ....................... 2,024,188
20,700 Checkpoint Systems, Inc.* ........................ 173,363
16,400 Clarcor, Inc. .................................... 291,100
28,400 Cognex Corp.* .................................... 1,638,325
17,000 Coherent, Inc.* .................................. 884,000
13,600 Cohu, Inc. ....................................... 566,950
9,900 Commercial Metals Co. ............................ 273,488
11,600 Cross (A.T.) Co., Class A* ....................... 68,150
18,800 CTS Corp. ........................................ 1,071,600
11,200 CUNO, Inc.* ...................................... 303,800
15,100 Dionex Corp.* .................................... 497,356
26,400 Dycom Industries, Inc.* .......................... 1,287,000
19,700 EGL, Inc.* ....................................... 460,488
13,400 Elcor Corp. ...................................... 462,300
18,100 Electro Scientific Industries, Inc.* ............. 1,049,800
11,900 Esterline Technologies Corp.* .................... 154,700
34,500 Expeditors International of Washington, Inc. ..... 1,371,375
12,700 Florida Rock Industries .......................... 355,600
10,100 Flow International Corp.* ........................ 118,675
27,900 Foster Wheeler Corp. ............................. 188,325
25,100 Fritz Cos., Inc.* ................................ 254,138
11,200 Frozen Food Express Industries, Inc. ............. 37,800
10,300 Gardner Denver, Inc.* ............................ 193,769
50,200 Gentex Corp.* .................................... 1,860,538
15,200 Gerber Scientific, Inc. .......................... 293,550
14,000 Graco, Inc. ...................................... 406,000
20,400 Griffon Corp.* ................................... 159,375
9,300 Hadco Corp.* ..................................... 601,013
7,800 Harmon Industries, Inc. .......................... 141,375
20,500 Heartland Express, Inc.* ......................... 287,961
15,300 Helix Technology Corp. ........................... 918,956
9,000 Hilb, Rogal & Hamilton Co. ....................... 245,813
20,300 IDEX Corp. ....................................... 553,175
11,300 IMCO Recycling, Inc. ............................. 125,006
10,100 Innovex, Inc. .................................... 98,791
17,200 Insituform Technologies, Inc., Class A* .......... 526,750
SHARES VALUE
------ -----
INDUSTRIAL (CONTINUED)
5,800 Insteel Industries, Inc. ..................... $ 32,625
8,800 Intermagnetics General Corp.* ................ 149,600
17,400 Intermet Corp. ............................... 158,775
11,100 Ionics, Inc.* ................................ 283,744
10,200 Itron, Inc.* ................................. 70,763
30,400 JLG Industries, Inc. ......................... 277,400
17,400 Justin Industries, Inc. ...................... 313,200
29,700 KEMET Corp.* ................................. 1,878,525
19,300 Kent Electronics Corp.* ...................... 563,319
16,800 Kirby Corp.* ................................. 331,800
16,200 Kulicke & Soffa Industries, Inc.* . .......... 1,037,813
6,500 Landstar System, Inc.* ....................... 355,875
7,100 Lawson Products, Inc. ........................ 169,069
39,200 Lennox International, Inc. ................... 343,000
8,500 Lindsay Manufacturing Co. .................... 145,563
10,700 Lydall, Inc.* ................................ 93,625
8,400 M.S. Carriers, Inc.* ......................... 197,400
17,800 Manitowoc Co., Inc. .......................... 481,713
30,500 MascoTech, Inc. .............................. 358,375
24,600 Methode Electronics, Inc., Class A ........... 1,242,300
28,200 Micrel, Inc.* ................................ 2,707,200
35,800 Morrison Knudsen Corp.* ...................... 264,025
23,900 Mueller Industries, Inc.* .................... 725,963
13,700 Myers Industries, Inc. ....................... 164,400
14,400 Offshore Logistics, Inc.* .................... 199,800
7,200 Park Electrochemical Corp. ................... 176,400
32,000 Paxar Corp.* ................................. 308,000
9,800 Quanex Corp. ................................. 176,400
14,400 Regal Beloit Corp. ........................... 252,000
8,100 Republic Group, Inc. ......................... 87,075
7,500 Robbins & Myers, Inc. ........................ 177,188
38,800 Rollins Truck Leasing Corp. .................. 327,375
20,700 Roper Industries, Inc. ....................... 702,506
12,200 Scott Technologies, Inc.* .................... 230,275
8,200 Simpson Manufacturing Co., Inc.* ............. 323,900
24,500 SLI, Inc. .................................... 416,500
16,000 Smith (A.O.) Corp. ........................... 288,000
13,100 Specialty Equipment Cos., Inc.* .............. 271,825
20,200 Speedfam-IPEC, Inc.* ......................... 401,475
8,600 SPS Technologies, Inc.* ...................... 262,300
10,700 Standard Microsystems Corp.* ................. 155,819
8,700 Standex International Corp. .................. 134,850
8,900 Stone & Webster, Inc. ........................ 129,050
18,400 Sturm Ruger & Co., Inc. ...................... 161,000
11,100 Technitrol, Inc. ............................. 646,575
26,300 TetraTech, Inc.* ............................. 624,625
14,400 Texas Industries, Inc. ....................... 448,200
10,800 Thomas Industries, Inc. ...................... 202,500
25,500 Tredegar Corp. ............................... 686,906
15,400 Trimble Navigator, Ltd.* ..................... 396,550
13,900 Universal Forest Products, Inc. .............. 172,013
10,900 URS Corp.* ................................... 143,063
18,100 USFreightways Corp. .......................... 677,619
23,600 Valence Technology, Inc.* .................... 556,075
16,100 Valmont Industries, Inc. ..................... 277,725
28,200 Vicor Corp.* ................................. 507,600
18,100 Watts Industries Inc., Class A ............... 223,988
SEE NOTES TO FINANCIAL STATEMENTS.
16
<PAGE>
SMALL COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
INDUSTRIAL (CONTINUED)
32,500 Werner Enterprises, Inc. ..................... $ 552,500
8,700 Wolverine Tube, Inc.* ........................ 111,469
14,500 X-Rite, Inc. ................................. 146,813
17,000 Yellow Corp.* ................................ 313,438
21,400 Zebra Technologies Corp., Class A* ........... 1,070,000
----------
52,793,832
----------
CONSUMER STAPLES - 14.94%
13,600 Aaron Rents, Inc. .............................. 204,850
15,300 ABM Industries, Inc. ........................... 359,550
14,100 ADAC Laboratories* ............................. 193,875
14,700 Advance Paradigm, Inc.* ........................ 174,562
7,000 Agribrands International, Inc.* ................ 275,187
32,100 Alliance Pharmaceutical Corp.* ................. 479,494
20,200 Alpharma, Inc., Class A ........................ 742,350
12,500 American Italian Pasta Co., Class A* ........... 307,812
15,700 Barr Laboratories, Inc.* ....................... 659,400
13,400 Beringer Wine Estates Holdings, Inc.* .......... 480,725
26,400 Billing Concepts Corp.* ........................ 185,625
23,100 Bindley Western Industries ..................... 313,294
15,700 Biomatrix, Inc.* ............................... 400,350
25,300 Bowne & Co., Inc. .............................. 325,737
12,400 Canandaigua Brands, Inc., Class A* ............. 632,400
13,000 CDI Corp.* ..................................... 247,000
25,200 Central Parking Corp. .......................... 504,000
22,200 Cephalon, Inc.* ................................ 832,500
7,100 Chemed Corp. ................................... 213,000
45,100 Chiquita Brands International, Inc. ............ 214,225
6,000 Coca-Cola Bottling Co. ......................... 317,625
10,500 CONMED Corp.* .................................. 263,156
9,700 Consolidated Graphics, Inc. * .................. 124,281
9,600 Cooper Cos., Inc. .............................. 309,000
17,200 Cor Therapeutics, Inc.* ........................ 1,133,856
25,500 Corn Products International, Inc. .............. 613,594
40,500 Coventry Health Care, Inc.* .................... 344,250
6,200 CPI Corp. ...................................... 144,537
6,900 Curative Health Services, Inc.* ................ 41,400
17,000 Cygnus, Inc.* .................................. 246,500
10,300 Datascope Corp. ................................ 327,025
13,100 DBT Online, Inc.* .............................. 243,169
26,500 Delta & Pine Land Co. .......................... 523,375
9,400 Diagnostic Products Corp. ...................... 229,712
30,400 DiMon, Inc. .................................... 72,200
30,300 Dura Pharmaceuticals, Inc.* .................... 373,069
29,000 Earthgrains Co. ................................ 431,375
9,900 F.Y.I., Inc.* .................................. 268,537
26,600 Fleming Cos .................................... 400,662
21,900 Fossil, Inc.* .................................. 513,281
13,800 Franklin Covey Co.* ............................ 100,050
13,100 Hanger Orthopedic Group, Inc.* ................. 69,594
20,700 Harland (John H.) Co. .......................... 279,450
10,500 Hologic, Inc.* ................................. 83,344
22,100 Hooper Holmes, Inc. ............................ 758,306
25,000 IDEXX Laboratories, Inc.* ...................... 582,812
17,800 Immune Response Corp.* ......................... 204,700
7,900 Insurance Auto Auctions, Inc.* ................. 133,312
SHARES VALUE
------ -----
CONSUMER STAPLES CONTINUED)
43,500 Interim Services, Inc.* .......................... $ 807,469
20,500 Invacare Corp. ................................... 562,469
6,200 J & J Snack Foods Corp.* ......................... 123,225
44,550 Jones Pharma, Inc. ............................... 1,353,206
29,300 Labor Ready, Inc.* ............................... 289,337
17,300 Laser Vision Centers, Inc.* ...................... 120,019
12,900 Lason, Inc.* ..................................... 85,059
21,900 Magellan Health Services, Inc.* .................. 105,394
14,400 MAXIMUS, Inc.* ................................... 439,200
20,000 Medicis Pharmaceutical Corp., Class A* ........... 800,000
24,600 Medquist, Inc.* .................................. 668,812
16,600 Mentor Corp. ..................................... 448,200
13,900 Michael Foods, Inc. .............................. 291,900
11,300 Midas, Inc. ...................................... 271,200
7,800 Nash Finch Co. ................................... 63,375
4,000 Nashua Corp.* .................................... 33,500
11,800 Nature's Sunshine Products, Inc. ................. 94,400
45,300 NBTY, Inc.* ...................................... 620,044
9,300 New England Business Service, Inc. ............... 160,425
15,300 NFO Worldwide, Inc.* ............................. 336,600
22,500 North American Vaccine, Inc.* .................... 60,469
14,700 Noven Pharmaceuticals, Inc.* ..................... 160,781
32,900 Orthodontic Centers of America, Inc.* ............ 616,875
9,700 Osteotech, Inc.* ................................. 129,737
17,000 PAREXEL International Corp.* ..................... 160,437
23,100 Patterson Dental Co.* ............................ 883,575
10,700 Pediatrix Medical Group, Inc.* ................... 77,575
9,700 Performance Food Group Co.* ...................... 212,187
16,900 Pharmaceutical Product Development, Inc.* ........ 286,244
11,900 Plexus Corp.* .................................... 792,837
15,400 Pre-Paid Legal Services, Inc.* ................... 457,187
13,700 Primark Corp.* ................................... 330,512
15,000 Priority Healthcare Corp., Class B* .............. 753,750
33,300 Profit Recovery Group International, Inc.* ....... 616,050
20,900 Ralcorp Holdings, Inc.* .......................... 303,050
30,600 Renal Care Group, Inc.* .......................... 663,637
10,300 ResMed, Inc.* .................................... 735,162
20,000 Respironics, Inc.* ............................... 287,500
9,900 Rural/Metro Corp.* ............................... 11,756
14,100 Russ Berrie & Co., Inc. .......................... 260,850
19,100 Scotts Co., Class A* ............................. 802,200
18,400 Sierra Health Services, Inc.* .................... 90,850
38,600 Smithfield Foods, Inc.* .......................... 772,000
17,100 Sola International, Inc.* ........................ 104,737
6,500 Spacelabs Medical, Inc.* ......................... 103,594
20,100 StaffMark, Inc.* ................................. 159,544
32,000 Summit Technology, Inc.* ......................... 292,000
15,200 Sunrise Medical, Inc.* ........................... 95,000
5,400 Swiss Army Brands, Inc.* ......................... 26,325
8,100 Syncor International Corp.* ...................... 267,300
13,900 Techne Corp.* .................................... 959,100
12,800 The Hain Food Group, Inc.* ....................... 362,400
15,200 The Kroll-O'Gara Co.* ............................ 166,250
20,200 Theragenics Corp.* ............................... 270,175
58,800 U.S. Oncology, Inc.* ............................. 264,600
12,500 United Natural Foods, Inc.* ...................... 187,500
21,000 Universal Health Services, Inc., Class B* ........ 1,029,000
SEE NOTES TO FINANCIAL STATEMENTS.
17
<PAGE>
SMALL COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
CONSUMER STAPLES (CONTINUED)
21,100 Varian Medical Systems, Inc.* ................ $ 962,687
17,600 Vertex Pharmaceuticals, Inc.* ................ 823,900
8,400 Vital Signs, Inc. ............................ 192,675
10,300 Volt Information Sciences, Inc.* ............. 370,156
12,000 Wesley Jessen VisionCare, Inc.* .............. 431,250
17,800 Whole Foods Market, Inc.* .................... 737,587
----------
41,822,943
----------
CONSUMER CYCLICAL - 14.72%
22,833 99 Cents Only Stores* ............................ 896,195
11,300 Action Performance Cos., Inc.* ................... 150,431
14,000 ADVO, Inc.* ...................................... 350,000
19,900 Ames Department Stores, Inc.* .................... 488,794
8,200 Anchor Gaming* ................................... 311,087
5,900 Angelica Corp. ................................... 58,631
21,600 AnnTaylor Stores Corp.* .......................... 496,800
18,600 Applebee's International, Inc. ................... 523,125
17,100 Arctic Cat, Inc. ................................. 175,275
9,600 Ashworth, Inc.* .................................. 41,400
12,700 Atlantic Coast Airlines Holdings, Inc.* .......... 328,612
10,300 Aviation Sales Co.* .............................. 65,019
29,900 Aztar Corp.* ..................................... 284,050
9,600 Baker (J.), Inc. ................................. 67,200
8,400 Bassett Furniture Industries, Inc. ............... 117,600
12,400 Books-A-Million, Inc.* ........................... 74,400
36,500 Brightpoint, Inc.* ............................... 447,125
12,500 Brown Shoe Co., Inc. ............................. 150,000
8,700 Building Materials Holding Corp.* . .............. 78,844
7,800 Carmike Cinemas, Inc., Class A* .................. 42,412
36,100 Casey's General Stores, Inc. ..................... 392,587
17,400 Cash America International, Inc. ................. 216,412
12,500 Catalina Marketing Corp.* ........................ 1,265,625
18,100 Cato Corp., Class A .............................. 212,675
18,600 CEC Entertainment, Inc.* ......................... 504,525
32,600 Champion Enterprises, Inc.* ...................... 187,450
34,600 CKE Restaurants, Inc. ............................ 220,575
10,800 Coachmen Industries, Inc. ........................ 149,175
17,400 Cone Mills Corp.* ................................ 75,037
20,100 Consolidated Products, Inc.* ..................... 189,694
36,800 Copart, Inc.* .................................... 644,000
14,000 Cost Plus, Inc.* ................................. 473,375
10,800 Cyrk International, Inc.* ........................ 95,175
42,300 D.R. Horton, Inc. ................................ 552,544
3,800 Damark International, Inc., Class A* ............. 144,875
11,900 Department 56, Inc.* ............................. 176,269
11,400 Discount Auto Parts, Inc.* ....................... 101,887
13,200 Dress Barn, Inc.* ................................ 254,100
9,200 Enesco Group, Inc. ............................... 64,975
28,000 Ethan Allen Interiors, Inc. ...................... 700,000
24,600 Fedders Corp. .................................... 136,837
22,400 Fleetwood Enterprises, Inc. ...................... 330,400
14,300 Footstar, Inc.* .................................. 403,975
14,100 G & K Services, Inc., Class A .................... 275,611
5,300 GC Cos., Inc.* ................................... 184,175
22,700 Goody's Family Clothing, Inc.* ................... 137,619
SHARES VALUE
------ -----
CONSUMER CYCLICAL (CONTINUED)
8,600 Gottschalks, Inc.* ............................... $ 45,150
14,500 Group 1 Automotive, Inc.* ........................ 168,562
13,100 Guilford Mills, Inc. ............................. 100,706
4,700 Haggar Corp. ..................................... 64,625
33,300 Ha-Lo Industries, Inc.* .......................... 262,237
13,000 Hancock Fabrics, Inc. ............................ 37,375
11,800 Harman International Industries, Inc. ............ 708,000
20,100 Hartmarx Corp.* .................................. 55,275
7,000 Huffy Corp. ...................................... 30,625
16,100 Hughes Supply, Inc. .............................. 249,550
13,800 IHOP Corp.* ...................................... 193,200
17,700 Insight Enterprises, Inc.* ....................... 644,944
36,000 Interface, Inc. .................................. 153,000
26,200 Jack in the Box, Inc.* ........................... 558,387
12,900 JAKKS Pacific, Inc.* ............................. 278,156
15,400 Jan Bell Marketing, Inc.* ........................ 44,275
12,200 Jo-Ann Stores, Inc., Class A* .................... 102,175
12,200 K2, Inc.* ........................................ 96,837
19,100 Kellwood Co. ..................................... 335,444
7,400 K-Swiss, Inc., Class A ........................... 109,612
17,000 Landry's Seafood Restaurants, Inc.* .............. 108,375
42,000 La-Z-Boy, Inc. ................................... 645,750
11,000 Libbey, Inc. ..................................... 301,125
6,100 Lillian Vernon Corp. ............................. 57,950
27,000 Linens 'N Things, Inc.* .......................... 924,750
15,400 Luby's, Inc. ..................................... 145,337
15,300 MDC Holdings, Inc. ............................... 274,444
23,400 Mesa Air Group, Inc.* ............................ 146,250
21,200 Michaels Stores, Inc.* ........................... 863,900
9,700 Midwest Express Holdings, Inc.* .................. 248,562
12,900 Monaco Coach Corp.* .............................. 245,100
5,000 National Presto Industries, Inc. ................. 163,125
23,700 Nautica Enterprises, Inc. ........................ 278,475
32,300 Oakwood Homes Corp. .............................. 123,144
34,700 O'Reilly Automotive, Inc.* ....................... 492,306
8,800 Oshkosh B'Gosh, Inc., Class A .................... 158,400
22,400 Owens & Minor, Inc. .............................. 238,000
5,200 Oxford Industries, Inc. .......................... 94,250
21,500 Pacific Sunwear of California, Inc.* ............. 827,750
8,300 Panera Bread Co.* ................................ 62,250
18,700 Phillips-Van Heusen Corp. ........................ 143,756
65,000 Pier 1 Imports, Inc. ............................. 666,250
9,800 Pillowtex Corp. .................................. 39,200
17,900 Pinnacle Entertainment, Inc.* .................... 363,594
16,700 Polaris Industries, Inc. ......................... 503,087
33,500 Prime Hospitality Corp.* ......................... 242,875
15,300 Quiksilver, Inc.* ................................ 268,706
27,900 Regis Corp. ...................................... 413,269
11,800 Royal Appliance Manufacturing Co.* ............... 58,262
21,200 Ruby Tuesday, Inc. ............................... 371,000
24,800 Ryan's Family Steakhouses, Inc.* ................. 237,150
9,800 Ryland Group, Inc. ............................... 183,750
7,700 Salton, Inc.* .................................... 333,987
20,800 Shopko Stores, Inc.* ............................. 369,200
12,300 Simpson Industries, Inc. ......................... 120,694
6,000 Skyline Corp. .................................... 130,125
16,900 SkyWest, Inc. .................................... 661,212
SEE NOTES TO FINANCIAL STATEMENTS.
18
<PAGE>
SMALL COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
CONSUMER CYCLICAL (CONTINUED)
49,000 Snyder Communications, Inc.* ................. $1,102,500
12,500 Sonic Corp.* ................................. 340,625
8,600 Spartan Motors, Inc. ......................... 35,475
8,900 Standard Motor Products, Inc. ................ 132,387
20,200 Standard Pacific Corp. ....................... 202,000
30,400 Stein Mart, Inc.* ............................ 250,800
30,500 Stride Rite Corp. ............................ 245,906
9,000 Taco Cabana, Class A* ........................ 53,437
14,500 TBC Corp.* ................................... 73,406
15,700 TCBY Enterprises, Inc. ....................... 90,275
23,000 Tenneco Automotive, Inc. ..................... 182,562
24,800 The Bombay Company, Inc.* .................... 82,150
13,800 The Cheesecake Factory, Inc.* ................ 574,425
8,000 The Dixie Group, Inc. ........................ 35,500
16,600 The Gymboree Corp.* .......................... 68,475
20,400 The Marcus Corp. ............................. 263,925
28,700 The Men's Wearhouse, Inc.* ................... 850,237
21,900 The Sports Authority, Inc.* .................. 56,119
9,400 The Wet Seal, Inc., Class A* ................. 148,050
9,700 Thomas Nelson, Inc. .......................... 76,994
8,300 Thor Industries, Inc. ........................ 201,794
14,300 Timberland Co., Class A* ..................... 729,300
14,200 Titan International, Inc. .................... 102,062
24,900 Toll Brothers, Inc.* ......................... 498,000
8,700 Toro Co. ..................................... 260,456
32,100 Tower Automotive, Inc.* ...................... 525,637
33,000 True North Communications, Inc. .............. 1,297,312
9,400 U.S. Home Corp.* ............................. 357,200
23,300 United Stationers, Inc.* ..................... 831,519
15,700 Wabash National Corp. ........................ 218,819
19,900 Watsco, Inc. ................................. 207,706
15,500 Windmere-Durable Holdings, Inc.* ............. 228,625
14,900 Winnebago Industries, Inc. ................... 269,131
28,300 Wolverine World Wide, Inc. ................... 311,300
12,800 Wynn's International, Inc. ................... 176,800
24,000 Zale Corp.* .................................. 1,132,500
----------
41,193,476
----------
FINANCE - 9.75%
51,200 AmeriCredit Corp.* ............................. 835,200
17,000 Anchor Bancorp Wisconsin, Inc. ................. 269,875
16,000 BankNorth Group, Inc. .......................... 429,000
9,000 Blanche (E.W.) Holdings, Inc. .................. 180,000
17,600 Carolina First Corp. ........................... 231,000
27,000 Centura Banks, Inc. ............................ 1,236,937
19,400 Chittenden Corp. ............................... 575,937
20,200 Commerce Bancorp, Inc. ......................... 747,400
39,400 Commercial Federal Corp. ....................... 655,025
34,200 Community First Bankshares, Inc. ............... 547,200
36,300 Cullen/Frost Bankers, Inc. ..................... 959,681
8,500 Dain Rauscher Corp. ............................ 560,469
14,100 Delphi Financial Group, Inc., Class A* ......... 428,287
19,300 Downey Financial Corp. ......................... 410,125
24,100 Eaton Vance Corp. .............................. 1,034,794
SHARES VALUE
------ -----
FINANCE (CONTINUED)
26,100 Enhance Financial Services Group, Inc. ......... $ 368,662
46,000 Fidelity National Financial, Inc. .............. 635,375
44,700 First American Financial Corp. ................. 634,181
28,100 First Midwest Bancorp, Inc. .................... 681,425
19,500 FirstBancorp/Puerto Rico ....................... 343,688
48,000 Fremont General Corp. .......................... 285,000
23,700 Frontier Insurance Group, Inc. ................. 23,700
25,100 Gallagher (Arthur J.) & Co. .................... 815,750
34,500 Hudson United Bancorp .......................... 748,219
10,000 Investors Financial Services Corp. ............. 588,750
16,400 Jefferies Group, Inc. .......................... 375,150
16,500 MAF Bancorp, Inc. .............................. 267,094
20,000 Morgan Keegan, Inc. ............................ 350,000
29,900 Mutual Risk Management, Ltd. ................... 598,000
11,600 National Discount Brokers Group, Inc.* ......... 572,750
18,100 Pioneer Group Inc.* ............................ 420,825
17,500 Provident Bankshares Corp. ..................... 275,625
14,500 Queens County Bancorp, Inc. .................... 261,906
25,400 Radian Group, Inc. ............................. 1,209,675
31,500 Raymond James Financial, Inc. .................. 653,625
19,400 Riggs National Corp. ........................... 236,438
6,800 RLI Corp. ...................................... 227,800
8,300 SCPIE Holdings, Inc. ........................... 254,188
18,800 Selective Insurance Group, Inc. ................ 320,775
15,300 Silicon Valley Bancshares* ..................... 1,099,688
19,100 Southwest Bancorp of Texas, Inc.* . ............ 371,256
27,100 Staten Island Bancorp, Inc. .................... 464,088
25,300 Susquehanna Bancshares, Inc. ................... 349,456
12,700 Trenwick Group, Inc. ........................... 179,388
16,200 Triarc Cos., Inc.* ............................. 324,000
36,700 Trustco Bank Corp. ............................. 428,931
12,800 U.S. Trust Corp. ............................... 2,419,200
29,200 United Bankshares, Inc. ........................ 642,400
15,500 Whitney Holding Corp. .......................... 505,688
11,800 Zenith National Insurance Corp. ................ 261,813
----------
27,295,439
----------
ENERGY - 3.60%
9,400 Atwood Oceanics, Inc.* ....................... 623,337
22,300 Barrett Resources Corp.* ..................... 664,819
17,200 Cabot Oil & Gas Corp., Class A ............... 310,675
10,600 Cal Dive International, Inc.* ................ 537,950
33,400 Cross Timbers Oil Co. ........................ 436,287
11,800 Dril-Quip, Inc.* ............................. 556,075
27,300 Friede Goldman Halter, Inc.* ................. 187,687
12,900 HS Resources, Inc.* .......................... 272,512
34,700 Input/Output, Inc.* .......................... 212,537
28,500 Newfield Exploration Co.* .................... 1,004,625
15,600 Oceaneering International, Inc.* ............. 292,500
12,300 Plains Resources, Inc.* ...................... 153,750
27,500 Pogo Producing Co. ........................... 785,469
41,300 Pride International, Inc.* ................... 942,156
14,600 Remington Oil & Gas Corp.* ................... 61,137
7,700 SEACOR Smit, Inc.* ........................... 464,887
SEE NOTES TO FINANCIAL STATEMENTS.
19
<PAGE>
SMALL COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
SHARES VALUE
------ -----
ENERGY (CONTINUED)
16,600 Seitel, Inc.* ................................ $ 131,762
7,600 St. Mary Land & Exploration Co. .............. 227,050
12,500 Stone Energy Corp.* .......................... 615,625
30,500 Tuboscope Vetco International Corp.* ......... 518,500
42,700 Vintage Petroleum, Inc. ...................... 859,337
10,600 WD-40 Co. .................................... 222,600
----------
10,081,277
----------
UTILITIES - 2.89%
6,100 American States Water Co. ...................... 181,475
21,600 Atmos Energy Corp. ............................. 353,700
5,000 Bangor Hydro-Electric Co. ...................... 86,563
7,500 Cascade Natural Gas Corp. ...................... 120,938
7,900 Central Vermont Public Service Corp. ........... 82,456
11,500 CH Energy Group, Inc. .......................... 349,313
14,000 Eastern Utilities Associates ................... 439,250
20,600 Energen Corp. .................................. 328,313
3,700 Green Mountain Power Corp. ..................... 24,744
12,900 Laclede Gas Co. ................................ 258,000
12,200 New Jersey Resources Corp. ..................... 521,550
17,100 Northwest Natural Gas Co. ...................... 333,450
15,800 NorthWestern Corp. ............................. 325,875
28,000 Philadelphia Suburban Corp. .................... 507,500
21,400 Piedmont Natural Gas Co., Inc. ................. 557,738
32,800 Southern Union Co.* ............................ 592,450
21,100 Southwest Gas Corp. ............................ 402,219
17,100 Southwestern Energy Co. ........................ 113,288
9,200 TNP Enterprises, Inc. .......................... 403,075
9,700 United Illuminating Co. ........................ 380,725
26,600 United Water Resources, Inc. ................... 924,350
25,900 WICOR, Inc. .................................... 802,900
---------
8,089,872
---------
SHARES VALUE
------ -----
BASIC MATERIALS - 2.75%
18,300 AMCOL International Corp. .................... $ 281,362
20,800 Birmingham Steel Corp. ....................... 106,600
11,200 Brush Wellman, Inc. .......................... 197,400
24,000 Buckeye Technologies, Inc.* .................. 423,000
16,800 Cambrex Corp. ................................ 730,800
17,400 Caraustar Industries, Inc. ................... 245,775
12,500 ChemFirst, Inc. .............................. 242,969
20,000 Coeur d'Alene Mines Corp.* ................... 58,750
11,400 Commonwealth Industries, Inc. ................ 103,312
8,500 Deltic Timber Corp. .......................... 201,344
16,200 Geon Co. ..................................... 348,300
15,900 Lilly Industries, Inc., Class A .............. 196,762
21,300 MacDermid, Inc. .............................. 564,450
10,500 Material Sciences Corp.* ..................... 141,750
6,800 McWhorter Technologies, Inc.* ................ 81,600
17,900 Mississippi Chemical Corp. ................... 121,944
16,300 OM Group, Inc. ............................... 741,650
28,600 Omnova Solutions, Inc. ....................... 160,875
5,100 Penford Corp. ................................ 92,437
10,200 Pope & Talbot, Inc. .......................... 187,425
6,100 Quaker Chemical Corp. ........................ 103,700
19,000 Reliance Steel & Aluminum Co. ................ 425,125
14,300 RTI International Metals, Inc.* .............. 126,019
10,800 Schweitzer-Maudit International, Inc. ........ 139,725
32,800 Steel Dynamics, Inc.* ........................ 379,250
7,500 Steel Technologies, Inc. ..................... 59,531
25,900 Stillwater Mining Co.* ....................... 1,036,000
9,300 TETRA Technologies, Inc.* .................... 124,387
9,900 WHX Corp.* ................................... 68,062
------------
7,690,304
------------
TOTAL COMMON STOCKS .......................... 271,536,016
------------
(Cost $242,507,166)
SEE NOTES TO FINANCIAL STATEMENTS.
20
<PAGE>
SMALL COMPANY INDEX FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
PAR VALUE VALUE
--------- -----
U.S. GOVERNMENT OBLIGATION (A) - 0.53%
U.S. TREASURY BILL (B) - 0.53%
$1,500,000 United States Treasury
4.88%, 06/22/00.................. $ 1,481,025
-------------
TOTAL U.S. GOVERNMENT OBLIGATION 1,481,025
-------------
(Cost $1,483,344)
REPURCHASE AGREEMENT - 2.36%
6,605,000 Repurchase Agreement with:
State Street Bank
6.05%, Due 04/03/2000, dated 03/31/2000
Repurchase Price $6,608,330
(Collateralized by U.S. Treasury Bill
Due 4/20/2000; Total Par $6,765,000
Market Value $6,739,631)......... 6,605,000
-------------
TOTAL REPURCHASE AGREEMENT ...... 6,605,000
-------------
(Cost $6,605,000)
TOTAL INVESTMENTS - 99.90%....................... 279,622,041
-------------
(Cost $250,595,510)
NET OTHER ASSETS AND LIABILITIES - 0.10%......... 291,619
-------------
NET ASSETS - 100.00%............................. $ 279,913,660
=============
- ------------------------------------------------
* 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, 2000, the Fund's open futures contracts were as follows:
Number of Contract Expiration Opening Current
Contracts Type Date Position Market Value
--------- ---- ---- -------- ------------
10 Midcap 400 Jun-00 $2,427,250 $2,526,750
21 Russell 2000 Jun-00 6,391,485 5,726,175
----------- -----------
$8,818,735 $8,252,925
========== ==========
SEE NOTES TO FINANCIAL STATEMENTS.
21
<PAGE>
UTILITY INDEX FUND
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
SHARES VALUE
------ -----
COMMON STOCKS - 98.65%
UTILITIES - 66.34%
34,500 AES Corp.* ..................................... $2,716,875
23,000 Ameren Corp. ................................... 711,562
32,500 American Electric Power Co., Inc. .............. 968,906
26,700 Carolina Power & Light Co. ..................... 866,081
35,600 Central & South West Corp. ..................... 607,425
26,600 Cinergy Corp. .................................. 571,900
19,400 CMS Energy Corp. ............................... 351,625
37,000 Consolidated Edison, Inc. ...................... 1,073,000
25,000 Constellation Energy Group, Inc. ............... 796,875
40,760 Dominion Resource, Inc. ........................ 1,566,713
24,300 DTE Energy Co. ................................. 704,700
61,200 Duke Energy Corp. .............................. 3,213,000
4,500 Eastern Enterprises ............................ 269,438
58,100 Edison International ........................... 962,281
41,300 Entergy Corp. .................................. 833,744
39,000 FirstEnergy Corp. .............................. 804,375
16,400 Florida Progress Corp. ......................... 752,350
30,000 FPL Group, Inc. ................................ 1,381,875
20,600 GPU, Inc. ...................................... 563,925
19,300 New Century Energies, Inc. ..................... 580,206
31,300 Niagara Mohawk Holdings, Inc.* ................. 422,550
7,900 NICOR, Inc. .................................... 260,206
25,900 Northern States Power Co. ...................... 514,763
5,300 Oneok, Inc. .................................... 132,500
31,100 PECO Energy Co. ................................ 1,146,813
5,900 Peoples Energy Corp. ........................... 161,881
64,200 PG&E Corp. ..................................... 1,348,200
14,200 Pinnacle West Capital Corp. .................... 400,263
24,000 PPL Corp. ...................................... 502,500
36,600 Public Service Enterprise Group, Inc. .......... 1,084,275
49,500 Reliant Energy, Inc. ........................... 1,160,156
34,200 Sempra Energy .................................. 572,850
112,600 Southern Co. ................................... 2,449,050
46,200 Texas Utilities Co. ............................ 1,371,563
36,400 Unicom Corp. ................................... 1,328,600
----------
33,153,026
----------
SHARES VALUE
------ -----
ENERGY - 32.31%
35,700 Coastal Corp. .......................... $ 1,642,200
13,600 Columbia Energy Group .................. 805,800
38,200 El Paso Energy Corp. ................... 1,542,325
119,700 Enron Corp. ............................ 8,962,537
72,700 Williams Cos., Inc. .................... 3,194,256
-----------
16,147,118
-----------
TOTAL COMMON STOCKS .................... 49,300,144
-----------
(Cost $42,307,216)
PAR VALUE
REPURCHASE AGREEMENT - 1.20%
$ 602,000 Repurchase Agreement with:
State Street Bank
6.05%, Due 04/03/2000, dated 03/31/2000
Repurchase Price $602,304
(Collateralized by U.S. Treasury Bill
Due 4/20/2000; Total Par $620,000
Market Value $617,675)............. 602,000
-----------
TOTAL REPURCHASE AGREEMENT ........ 602,000
-----------
(Cost $602,000)
TOTAL INVESTMENTS - 99.85%........................ 49,902,144
-----------
(Cost $42,909,216)
NET OTHER ASSETS AND LIABILITIES - 0.15%.......... 75,259
-----------
NET ASSETS - 100.00%.............................. $49,977,403
===========
- -----------------------------------------
* Non-income producing security.
SEE NOTES TO FINANCIAL STATEMENTS.
22
<PAGE>
U.S. TREASURY INDEX FUND
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
PAR VALUE VALUE
--------- -----
U.S. GOVERNMENT OBLIGATIONS - 97.53%
U.S. TREASURY NOTES - 63.30%
$ 14,700,000 6.50%, 05/31/01 .................... $ 14,706,321
8,000,000 5.88%, 10/31/01 .................... 7,926,960
1,600,000 7.50%, 11/15/01 .................... 1,624,224
11,750,000 6.38%, 01/31/02 .................... 11,721,683
4,450,000 6.38%, 08/15/02 .................... 4,441,367
13,050,000 6.25%, 08/31/02 .................... 12,985,924
2,400,000 5.50%, 02/28/03 .................... 2,339,640
4,350,000 5.75%, 08/15/03 .................... 4,263,827
6,575,000 7.25%, 05/15/04 .................... 6,778,496
9,200,000 7.25%, 08/15/04 .................... 9,503,508
6,275,000 7.00%, 07/15/06 .................... 6,489,291
5,400,000 6.50%, 10/15/06 .................... 5,451,192
13,815,000 5.63%, 05/15/08 .................... 13,287,681
------------
101,520,114
------------
U.S. TREASURY BONDS - 34.23%
250,000 12.38%, 05/15/04 ........................... 302,655
800,000 10.75%, 08/15/05 ........................... 955,480
5,200,000 12.00%, 08/15/13 ........................... 7,034,872
7,350,000 7.50%, 11/15/16 ............................ 8,323,360
2,130,000 8.75%, 05/15/17 ............................ 2,689,807
1,739,000 8.88%, 08/15/17 ............................ 2,222,685
2,821,000 8.50%, 02/15/20 ............................ 3,556,040
2,000,000 7.88%, 02/15/21 ............................ 2,394,280
4,900,000 8.13%, 08/15/21 ............................ 6,021,512
12,050,000 7.50%, 11/15/24 ............................ 14,132,602
7,200,000 6.13%, 11/15/27 ............................ 7,271,424
-----------
54,904,717
-----------
TOTAL U.S. GOVERNMENT OBLIGATIONS .......... 156,424,831
-----------
(Cost $159,279,089)
PAR VALUE VALUE
--------- -----
REPURCHASE AGREEMENT - 0.82%
$1,315,000 Repurchase Agreement with:
State Street Bank
6.05%, Due 04/03/2000, dated 03/31/2000
Repurchase Price $1,315,663
(Collateralized by U.S. Treasury Bill
Due 4/20/2000; Total Par $1,350,000
Market Value $1,344,938)........... $ 1,315,000
------------
TOTAL REPURCHASE AGREEMENT ........ 1,315,000
------------
(Cost $1,315,000)
TOTAL INVESTMENTS - 98.35%........................ 157,739,831
------------
(Cost $160,594,089)
NET OTHER ASSETS AND LIABILITIES - 1.65%.......... 2,649,131
------------
NET ASSETS - 100.00%.............................. $160,388,962
============
SEE NOTES TO FINANCIAL STATEMENTS.
23
<PAGE>
MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS
MARCH 31, 2000
PAR VALUE VALUE
--------- -----
MUNICIPAL BONDS - 97.05%
ALABAMA - 1.46%
$ 400,000 Auburn University Athletics
5.20%, 04/01/04
Insured: MBIA...................... $ 405,500
-----------
ARIZONA - 3.81%
250,000 Maricopa County School District 1
Elementary Project of 1998, Series A
6.00%, 07/01/11
Insured: FSA....................... 266,875
750,000 Maricopa County School District 4, GO
Mesa University, Series A,
Prerefunded 07/01/05
5.65%, 07/01/11
Insured: FGIC...................... 790,312
-----------
1,057,187
-----------
COLORADO - 1.86%
500,000 Jefferson County School District
Number R-001, GO
5.50%, 12/15/06
Insured: MBIA...................... 515,625
-----------
FLORIDA - 5.66%
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..................... 1,041,250
540,000 Tampa Bay Water Utility
Systems Revenue, Series B
5.13%, 10/01/13
Insured: FGIC...................... 531,225
-----------
1,572,475
-----------
ILLINOIS - 3.78%
500,000 Illinois State Sales Tax Revenue
Series V
6.00%, 06/15/08.................... 528,750
500,000 Kane County Community School District
Number 304, Geneva, GO
6.00%, 06/01/04
Insured: FGIC...................... 520,625
-----------
1,049,375
-----------
MARYLAND - 6.37%
250,000 Maryland State, Community Development
Administration, Department of Housing and
Community Development, Residential
Series B
5.55%, 09/01/25.................... 250,312
PAR VALUE VALUE
--------- -----
MARYLAND (CONTINUED)
$ 500,000 Maryland State, GO
State and Local Facilities Loan
Second Series
5.25%, 06/15/06.................... $ 510,625
1,000,000 Maryland State, GO
State and Local Facilities Loan
Second Series
5.00%, 07/15/07.................... 1,006,250
-----------
1,767,187
-----------
MASSACHUSETTS - 8.91%
750,000 Massachusetts Bay Transportation
Authority General Transportation System
Revenue, Series A
5.50%, 03/01/14
Insured: MBIA...................... 763,125
500,000 Massachusetts Bay Transportation
Authority General Transportation System
Revenue, Series C
5.25%, 03/01/07.................... 506,875
500,000 Massachusetts State Construction Loan
Series B, GO
5.00%, 05/01/19.................... 450,000
250,000 Massachusetts State Federal Highway
Grant Anticipation Note, Series A
5.25%, 12/15/12.................... 250,000
500,000 Springfield, Series B, GO
5.05%, 01/15/04
Insured: MBIA...................... 504,375
-----------
2,474,375
-----------
MICHIGAN - 2.57%
750,000 Michigan State Building Authority Revenue
Facilities Program, Series II
5.05%, 10/15/14.................... 714,375
-----------
MINNESOTA - 1.89%
500,000 University of Minnesota, Series A
5.75%, 07/01/13.................... 524,375
-----------
MISSOURI - 3.76%
1,000,000 Sikeston Electric Revenue
6.00%, 06/01/04
Insured: MBIA...................... 1,045,000
-----------
NEVADA - 6.97%
750,000 Clark County School District, GO
5.50%, 06/15/12
Insured: FSA....................... 767,813
635,000 Clark County School District, Series A
6.00%, 06/15/16
Insured: MBIA...................... 656,431
SEE NOTES TO FINANCIAL STATEMENTS.
24
<PAGE>
MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
PAR VALUE VALUE
--------- -----
NEVADA (CONTINUED)
$ 500,000 Las Vegas Valley
Water District Revenue, GO
5.40%, 09/01/04
Insured: AMBAC..................... $ 511,250
-----------
1,935,494
-----------
NEW JERSEY - 5.00%
750,000 New Jersey Health Care Facilities
Financing Authority, Dover General
Hospital and Medical Center
5.60%, 07/01/02
Insured: MBIA...................... 763,125
600,000 New Jersey State Transportation Authority
Transportation System Revenue, Series A
5.63%, 06/15/12.................... 625,500
-----------
1,388,625
-----------
NEW YORK - 13.15%
750,000 Long Island Power Authority
New York Electric Systems Revenue
Series A
5.50%, 12/01/12
Insured: FSA....................... 771,563
1,000,000 Long Island Power Authority
New York Electric Systems Revenue,
Subordinated, Series 6 (A)
4.00%, 05/01/33.................... 1,000,000
500,000 Nassau County IDA
Civic Facility Revenue
Hofstra University Project
5.25%, 07/01/08
Insured: MBIA...................... 507,500
500,000 New York State Dormitory Authority
Revenue, City University System
Consolidated, Series A
5.50%, 07/01/02.................... 506,875
500,000 New York State Environmental
Facilities Corp., PCR, State Water
Revolving Fund, NYC Municipal Water
5.75%, 06/15/09.................... 525,000
325,000 New York State Medical Care Facilities
Finance Agency Revenue,
Prerefunded 02/15/01
7.50%, 08/15/07.................... 340,366
-----------
3,651,304
-----------
OHIO - 4.53%
750,000 Cleveland Waterworks Revenue,
First Mortgage, Series G
5.50%, 01/01/13
Insured: MBIA...................... 765,938
PAR VALUE VALUE
--------- -----
OHIO (CONTINUED)
$ 500,000 Franklin County Convention Facilities
Authority Tax and Lease Revenue
Anticipation Bonds
5.00%, 12/01/11
Insured: MBIA...................... $ 491,875
-----------
1,257,813
-----------
OKLAHOMA - 2.73%
750,000 Oklahoma State Capital Improvement
Authority, Highway Capital
Improvement Revenue
5.00%, 06/01/05
Insured: MBIA...................... 757,500
-----------
TENNESSEE - 1.77%
500,000 Tennessee State, Series A
5.00%, 05/01/12.................... 491,250
-----------
TEXAS - 5.25%
500,000 Carrollton Farmers Branch
Independent School District, GO
5.10%, 02/15/04.................... 503,750
500,000 Judson Independent School District, GO
5.00%, 02/01/17
Insured: PSF....................... 458,750
500,000 Lower Colorado River Authority Revenue,
Junior Lien, Fifth Supplimental Series
5.38%, 01/01/16.................... 493,750
-----------
1,456,250
-----------
UTAH - 1.81%
500,000 Utah State, Series A, GO
5.00%, 07/01/05.................... 503,125
-----------
VIRGINIA - 4.61%
500,000 University of Virginia
University Revenue, Series A
5.13%, 06/01/10.................... 498,750
750,000 Virginia State Transportation Board
Transportation Contract Revenue
Route 28 Project
6.00%, 04/01/10.................... 781,875
-----------
1,280,625
-----------
WASHINGTON - 3.69%
750,000 Seattle Municipal Light &
Power Revenue
Series B
5.75%, 08/01/07.................... 770,625
250,000 Seattle Water System Revenue
5.38%, 08/01/09.................... 255,000
-----------
1,025,625
-----------
SEE NOTES TO FINANCIAL STATEMENTS.
25
<PAGE>
MUNICIPAL BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
MARCH 31, 2000
PAR VALUE VALUE
--------- -----
WEST VIRGINIA - 2.91%
$ 500,000 West Virginia School Building Authority
Refunding, Capital Improvement
5.30%, 07/01/09
Insured: AMBAC..................... $ 505,000
300,000 West Virginia State Housing
Development Fund, Housing Finance
Series A
5.55%, 11/01/10.................... 303,750
-----------
808,750
-----------
WISCONSIN - 4.56%
750,000 Milwaukee Corporate Purpose
Series A, GO, Prerefunded 06/15/01
5.50%, 06/15/08.................... 757,500
500,000 Wisconsin State Petroleum Inspection
Fee Revenue, Series A
5.50%, 07/01/03.................... 510,000
-----------
1,267,500
-----------
TOTAL MUNICIPAL BONDS ............. 26,949,335
-----------
(Cost $27,017,191)
SHARES VALUE
------ -----
INVESTMENT COMPANIES - 1.73%
135,017 Dreyfus Tax-Exempt Cash Management Fund $ 135,017
345,122 Federated Tax-Exempt Money Market Fund 345,122
-----------
Total Investment Companies ........ 480,139
-----------
(Cost $480,139)
TOTAL INVESTMENTS - 98.78%........................ 27,429,474
-----------
(Cost $27,497,330)
NET OTHER ASSETS AND LIABILITIES - 1.22%.......... 339,587
-----------
NET ASSETS - 100.00%.............................. $27,769,061
-----------
- -----------------------------------
(A) Variable rate security.Interest rate is rate in effect at March 31, 2000.
AMBAC American Municipal Bond Assurance Corp.
FGIC Financial Guaranty Insurance Corp.
FSA Financial Security Assurance Corp.
GO General Obligation
IDA Industrial Development Authority
MBIA Municipal Bond Insurance Association
PCR Pollution Control Revenue
PSF Permanent School Fund Guaranteed
SEE NOTES TO FINANCIAL STATEMENTS.
26
<PAGE>
This page left blank intentionally.
27
<PAGE>
GALAXY FUND II
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2000
<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 ......................... $ 600,269,221 $ 243,990,510 $ 42,307,216 $ 159,279,089 $ 27,497,330
Repurchase agreement ........................ 19,669,000 6,605,000 602,000 1,315,000 -
Net unrealized appreciation (depreciation) .. 455,029,775 29,026,531 6,992,928 (2,854,258) (67,856)
--------------- --------------- --------------- --------------- ---------------
Total investments at value ............... 1,074,967,996 279,622,041 49,902,144 157,739,831 27,429,474
Cash .......................................... 4,456 609 366 798 6
Receivable for investments sold ............... 10,879,270 - - 3,588,845 -
Receivable for shares sold .................... 1,290,218 337,501 63,333 90,046 2,388
Receivable for daily variation margin
on futures contracts ........................ 93,500 208,705 - - -
Interest and dividend receivables ............. 919,847 113,822 119,340 2,665,028 393,725
--------------- --------------- --------------- --------------- ---------------
Total Assets ................................ 1,088,155,287 280,282,678 50,085,183 164,084,548 27,825,593
--------------- --------------- --------------- --------------- ---------------
LIABILITIES:
Payable for investments purchased ............. 21,209,230 - - 3,000,000 -
Payable for shares repurchased ............... 1,415,485 268,512 91,233 424,016 -
Distributions payable ......................... - - - 215,480 43,047
Advisory fee payable (Note 4) ................. 86,336 24,741 4,133 13,605 5,619
Sub-account services fee payable (Note 4)...... 55,861 1,544 15 1,671 -
Administration fee payable (Note 4) ........... 259,008 74,221 12,399 40,814 7,866
--------------- --------------- --------------- --------------- ---------------
Total Liabilities ........................... 23,025,920 369,018 107,780 3,695,586 56,532
--------------- --------------- --------------- --------------- ---------------
NET ASSETS: .................................... $ 1,065,129,367 $ 279,913,660 $ 49,977,403 $ 160,388,962 $ 27,769,061
=============== =============== =============== =============== ===============
NET ASSETS consist of:
Par value (Note 3) ............................ $ 25,276 $ 15,619 $ 3,752 $ 15,827 $ 2,740
Paid-in capital in excess of par value ........ 550,613,339 240,995,185 41,763,955 170,628,179 28,561,916
Undistributed net investment income ........... 1,847,977 322,564 52,479 129 163
Accumulated net realized gain (loss) on
investments sold and futures contracts ...... 57,224,518 10,119,571 1,164,289 (7,400,915) (727,902)
Unrealized appreciation (depreciation) of
investments and futures contracts ........... 455,418,197 28,460,721 6,992,928 (2,854,258) (67,856)
--------------- --------------- --------------- --------------- ---------------
TOTAL NET ASSETS ............................... $ 1,065,129,367 $ 279,913,660 $ 49,977,403 $ 160,388,962 $ 27,769,061
=============== =============== =============== =============== ===============
Shares of beneficial interest outstanding ...... 25,276,074 15,619,331 3,751,995 15,827,179 2,740,198
NET ASSET VALUE,
offering and redemption price per share
(Net Assets / Shares Outstanding) ............. $ 42.14 $ 17.92 $ 13.32 $ 10.13 $ 10.13
=============== =============== =============== =============== ===============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
28
<PAGE>
GALAXY FUND II
STATEMENTS OF OPERATIONS
MARCH 31, 2000
<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)...................... $ 1,202,852 $ 539,800 $ 16,600 $ 11,445,920 $ 1,107,850
Dividends (Note 2)..................... 11,615,908 1,966,806 2,191,310 - 21,727
------------- ------------- ------------- ------------- -------------
Total investment income.............. 12,818,760 2,506,606 2,207,910 11,445,920 1,129,577
------------- ------------- ------------- ------------- -------------
EXPENSES:
Investment advisory fee (Note 4)....... 953,726 268,924 55,225 180,420 57,980
Sub-account services fee (Note 4)...... 665,617 19,408 102 19,084 -
Administration fee (Note 4)............ 2,861,179 806,772 165,674 541,259 81,172
Trustees' fee (Note 4)................. 25,648 6,866 1,425 4,715 580
------------- ------------- ------------- ------------- -------------
Total expenses before reimbursement.. 4,506,170 1,101,970 222,426 745,478 139,732
------------- ------------- ------------- ------------- -------------
Less: reimbursement by
sub-administrator (Note 4)......... (25,648) (6,866) (1,425) (4,715) (580)
------------- ------------- ------------- ------------- -------------
Total expenses net of reimbursement.. 4,480,522 1,095,104 221,001 740,763 139,152
------------- ------------- ------------- ------------- -------------
NET INVESTMENT INCOME..................... 8,338,238 1,411,502 1,986,909 10,705,157 990,425
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS AND FUTURES
CONTRACTS (Note 2):
Net realized gain (loss) on
investments sold 65,694,504 18,630,353 2,659,064 (3,829,905) (70,731)
Net realized gain on futures contracts. 25,197 2,872,420 - - -
Net change in unrealized appreciation
(depreciation) on investments
and futures contracts................ 77,676,368 48,756,536 (622,871) (3,297,536) (874,456)
------------- ------------- ------------- ------------- -------------
NET REALIZED AND UNREALIZED
GAIN (LOSS) ON INVESTMENTS
AND FUTURES CONTRACTS....................... 143,396,069 70,259,309 2,036,193 (7,127,441) (945,187)
------------- ------------- ------------- ------------- -------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS................. $ 151,734,307 $ 71,670,811 $ 4,023,102 $ 3,577,716 $ 45,238
============= ============= ============= ============= =============
</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,
2000 1999 2000 1999
------------- ------------- ------------- --------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING OF PERIOD...................... $ 828,899,259 $ 626,739,815 $ 259,903,218 $ 399,161,589
------------- ------------- ------------- --------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income............................... 8,338,238 7,652,332 1,411,502 1,781,411
Net realized gain (loss) on investments sold
and futures contracts............................. 65,719,701 9,491,737 21,502,773 26,122,840
Net change in unrealized appreciation
(depreciation) of investments and futures contracts 77,676,368 103,150,294 48,756,536 (101,734,129)
------------- ------------- ------------- --------------
Net increase (decrease) in net assets
resulting from operations....................... 151,734,307 120,294,363 71,670,811 (73,829,878)
------------- ------------- ------------- --------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income............................... (8,354,459) (7,495,542) (1,459,959) (1,496,765)
Net realized gain on investments and futures contract (16,900,167) (8,218,686) (23,979,469) (25,318,420)
------------- ------------- ------------- --------------
Total Dividends................................... (25,254,626) (15,714,228) (25,439,428) (26,815,185)
------------- ------------- ------------- --------------
SHARE TRANSACTIONS:
Net proceeds from sales of shares................... 327,152,595 270,792,138 82,604,808 172,983,187
Issued to shareholders in reinvestment
of dividends...................................... 23,077,462 14,297,984 24,188,523 25,680,426
Cost of shares repurchased.......................... (240,479,630) (187,510,813) (133,014,272) (237,276,921)
------------- ------------- ------------- --------------
Net increase (decrease)
in net assets from share transactions ........ 109,750,427 97,579,309 (26,220,941) (38,613,308)
------------- ------------- ------------- --------------
Net increase (decrease) in net assets............. 236,230,108 202,159,444 20,010,442 (139,258,371)
------------- ------------- ------------- --------------
NET ASSETS AT END OF PERIOD (INCLUDING LINE A)......... $1,065,129,367 $ 828,899,259 $ 279,913,660 $ 259,903,218
============== ============= ============= =============
(A) Undistributed net investment income............. $ 1,847,977 $ 1,864,198 $ 322,564 $ 371,021
============= ============= ============= =============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold................................................ 8,395,202 8,069,826 4,907,412 9,167,908
Issued to shareholders in reinvestment
of dividends...................................... 579,464 420,937 1,544,562 1,645,232
Repurchased......................................... (6,162,753) (5,660,093) (7,903,618) (12,997,298)
-------------- ------------- ------------- --------------
Net increase (decrease) in shares outstanding..... 2,811,913 2,830,670 (1,451,644) (2,184,158)
============== ============= ============= ==============
</TABLE>
<TABLE>
<CAPTION>
UTILITY INDEX FUND U.S. TREASURY INDEX FUND
------------------------------ -------------------------------
YEARS ENDED MARCH 31, YEARS ENDED MARCH 31,
2000 1999 2000 1999
------------- ------------- -------------- -------------
<S> <C> <C> <C> <C>
NET ASSETS AT BEGINNING OF PERIOD...................... $ 55,130,734 $ 55,864,298 $ 202,419,601 $ 118,367,938
------------- ------------- -------------- -------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income............................... 1,986,909 2,106,127 10,705,157 9,184,219
Net realized gain (loss) on investments sold
and futures contracts............................. 2,659,064 1,091,382 (3,829,905) 1,324,345
Net change in unrealized appreciation
(depreciation) of investments and futures contracts (622,871) (4,268,548) (3,297,536) (2,789,656)
------------- ------------- -------------- -------------
Net increase (decrease) in net assets
resulting from operations....................... 4,023,102 (1,071,039) 3,577,716 7,718,908
------------- ------------- -------------- -------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income............................... (2,020,360) (2,020,197) (11,323,274) (9,184,219)
Net realized gain on investments and futures contract (1,735,894) (576,213) -- --
------------- ------------- -------------- -------------
Total Dividends................................... (3,756,254) (2,596,410) (11,323,274) (9,184,219)
------------- ------------- -------------- -------------
SHARE TRANSACTIONS:
Net proceeds from sales of shares................... 6,583,290 8,778,290 60,899,508 140,419,018
Issued to shareholders in reinvestment
of dividends...................................... 3,466,744 2,378,235 8,610,845 7,082,284
Cost of shares repurchased.......................... (15,470,213) (8,222,640) (103,795,434) (61,984,328)
------------- ------------- -------------- -------------
Net increase (decrease)
in net assets from share transactions ........ (5,420,179) 2,933,885 (34,285,081) 85,516,974
------------- ------------- -------------- -------------
Net increase (decrease) in net assets............. (5,153,331) (733,564) (42,030,639) 84,051,663
------------- ------------- -------------- -------------
NET ASSETS AT END OF PERIOD (INCLUDING LINE A)......... $ 49,977,403 $ 55,130,734 $ 160,388,962 $ 202,419,601
============= ============= ============= =============
(A) Undistributed net investment income............. $ 52,479 $ 85,930 $ 129 $ 567,625
============= ============= ============= =============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold................................................ 466,071 607,668 5,959,352 13,043,471
Issued to shareholders in reinvestment
of dividends...................................... 272,072 164,843 848,178 659,482
Repurchased......................................... (1,117,031) (580,292) (10,187,373) (5,763,875)
-------------- ------------- -------------- -------------
Net increase (decrease) in shares outstanding..... (378,888) 192,219 (3,379,843) 7,939,078
============== ============= ============= =============
</TABLE>
<TABLE>
<CAPTION>
MUNICIPAL BOND FUND
-------------------------------
YEARS ENDED MARCH 31,
2000 1999
-------------- -------------
<S> <C> <C>
NET ASSETS AT BEGINNING OF PERIOD...................... $ 21,606,862 $ 18,146,608
-------------- -------------
INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS:
Net investment income............................... 990,425 806,140
Net realized gain (loss) on investments sold
and futures contracts............................. (70,731) 205,546
Net change in unrealized appreciation
(depreciation) of investments and futures contracts (874,456) (85,148)
-------------- -------------
Net increase (decrease) in net assets
resulting from operations....................... 45,238 926,538
-------------- -------------
DIVIDENDS TO SHAREHOLDERS FROM:
Net investment income............................... (1,014,596) (806,140)
Net realized gain on investments and futures contract -- --
-------------- -------------
Total Dividends................................... (1,014,596) (806,140)
-------------- -------------
SHARE TRANSACTIONS:
Net proceeds from sales of shares................... 16,508,893 7,052,544
Issued to shareholders in reinvestment
of dividends...................................... 738,954 673,733
Cost of shares repurchased.......................... (10,116,290) (4,386,421)
-------------- -------------
Net increase (decrease)
in net assets from share transactions ........ 7,131,557 3,339,856
-------------- -------------
Net increase (decrease) in net assets............. 6,162,199 3,460,254
-------------- -------------
NET ASSETS AT END OF PERIOD (INCLUDING LINE A)......... $ 27,769,061 $ 21,606,862
============== =============
(A) Undistributed net investment income............. $ 163 $ 22,997
============== =============
OTHER INFORMATION:
SHARE TRANSACTIONS:
Sold................................................ 1,615,439 668,030
Issued to shareholders in reinvestment
of dividends...................................... 71,848 63,633
Repurchased......................................... (987,859) (417,603)
-------------- -------------
Net increase (decrease) in shares outstanding..... 699,428 314,060
============== =============
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
30-31
<PAGE>
LARGE COMPANY INDEX FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
Years ended March 31,
----------------------------------------------------------------------------
2000 1999 1998 1997 1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period............. $ 36.90 $ 31.92 $ 23.09 $ 20.06 $ 15.76
------------ ------------ ------------ ------------ ------------
Income from Investment Operations:
Net investment income(1)...................... 0.32 0.35 0.40 0.43 0.38
Net realized and unrealized gain
on investments and futures contracts........ 5.93 5.38 10.23 3.41 4.57
------------ ------------ ------------ ------------ ------------
Total from Investment Operations.......... 6.25 5.73 10.63 3.84 4.95
------------ ------------ ------------ ------------ ------------
Less Dividends:
Dividends from net investment income.......... (0.33) (0.36) (0.44) (0.38) (0.31)
Dividends from net realized capital gains..... (0.68) (0.39) (1.36) (0.43) (0.34)
------------ ------------ ------------ ------------ ------------
Total Dividends........................... (1.01) (0.75) (1.80) (0.81) (0.65)
------------ ------------ ------------ ------------ ------------
Net increase in net asset value.................. 5.24 4.98 8.83 3.03 4.30
------------ ------------ ------------ ------------ ------------
Net Asset Value, End of period................... $ 42.14 $ 36.90 $ 31.92 $ 23.09 $ 20.06
============ ============ ============ ============ ============
Total Return..................................... 17.20% 18.15% 47.29% 19.32% 31.80%
Ratios/Supplemental Data:
Net assets, End of period (in 000's)............. $ 1,065,129 $ 828,899 $ 626,740 $ 421,652 $ 240,689
Ratios to average net assets:
Net investment income including
reimbursement............................... 0.88% 1.11% 1.44% 2.19% 2.11%
Operating expenses including
reimbursement............................... 0.47% 0.47% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement............................... 0.47% 0.47% 0.40% 0.40% 0.41%
Portfolio turnover rate.......................... 12% 3% 3% 11% 5%
<FN>
- ------------------------------------
(1) Net investment income per share before reimbursement of certain expenses
by the sub-administrator for the years ended March 31, 2000, 1999, 1998,
1997 and 1996 was $0.32, $0.35, $0.40, $0.43 and $0.38, respectively.
</FN>
</TABLE>
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,
---------------------------------------------------------------------------
2000 1999 1998* 1997 1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period............. $ 15.22 $ 20.73 $ 22.64 $ 22.30 $ 17.62
------------ ------------ ----------- ------------ ------------
Income from Investment Operations:
Net investment income(1)...................... 0.09 0.10 0.27 0.38 0.32
Net realized and unrealized gain (loss)
on investments and futures contracts........ 4.31 (4.04) 7.64 1.76 5.07
------------ ------------ ----------- ------------ ------------
Total from Investment Operations.......... 4.40 (3.94) 7.91 2.14 5.39
------------ ------------ ----------- ------------ ------------
Less Dividends:
Dividends from net investment income.......... (0.09) (0.09) (0.33) (0.34) (0.38)
Dividends from net realized capital gains..... (1.61) (1.48) (9.49) (1.46) (0.33)
------------ ------------ ----------- ------------ ------------
Total Dividends........................... (1.70) (1.57) (9.82) (1.80) (0.71)
------------ ------------ ----------- ------------ ------------
Net increase (decrease) in net asset value....... 2.70 (5.51) (1.91) 0.34 4.68
------------ ------------ ----------- ------------ ------------
Net Asset Value, End of period................... $ 17.92 $ 15.22 $ 20.73 $ 22.64 $ 22.30
============ ============ =========== ============ ============
Total Return..................................... 30.52% (19.19)% 41.22% 9.60% 30.85%
Ratios/Supplemental Data:
Net assets, End of period (in 000's)............. $ 279,914 $ 259,903 $ 399,162 $ 309,474 $ 291,724
Ratios to average net assets:
Net investment income including
reimbursement............................... 0.53% 0.56% 0.97% 1.59% 1.52%
Operating expenses including
reimbursement............................... 0.41% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement............................... 0.41% 0.41% 0.40% 0.40% 0.41%
Portfolio turnover rate.......................... 36% 22% 99% 8% 14%
<FN>
- ---------------------------------------
* 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, 2000, 1999, 1998,
1997 and 1996 was $0.09, $0.10, $0.27, $0.38 and $0.31, respectively.
</FN>
</TABLE>
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,
------------------------------------------------------------------------------
2000 1999 1998* 1997 1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period............. $ 13.35 $ 14.18 $ 11.42 $ 12.03 $ 9.88
------------ ----------- ----------- ------------ -----------
Income from Investment Operations:
Net investment income(1)...................... 0.50 0.53 0.54 0.49 0.44
Net realized and unrealized gain
(loss) on investments)...................... 0.43 (0.71) 3.71 (0.09) 2.15
------------ ----------- ----------- ------------ -----------
Total from Investment Operations.......... 0.93 (0.18) 4.25 0.40 2.59
------------ ----------- ----------- ------------ -----------
Less Dividends:
Dividends from net investment income.......... (0.51) (0.51) (0.60) (0.46) (0.44)
Dividends from net realized capital gains..... (0.45) (0.14) (0.82) (0.55) --
Return of capital............................. -- -- (0.07) -- --
------------ ----------- ----------- ------------ -----------
Total Dividends........................... (0.96) (0.65) (1.49) (1.01) (0.44)
------------ ----------- ----------- ------------ -----------
Net increase (decrease) in net asset value....... (0.03) (0.83) 2.76 (0.61) 2.15
------------ ----------- ----------- ------------ -----------
Net Asset Value, End of period................... $ 13.32 $ 13.35 $ 14.18 $ 11.42 $ 12.03
============ =========== =========== =========== ===========
Total Return..................................... 7.52% (1.53)% 39.07% 3.46% 26.61%
Ratios/Supplemental Data:
Net assets, End of period (in 000's)............. $ 49,977 $ 55,131 $ 55,864 $ 45,582 $ 56,383
Ratios to average net assets:
Net investment income including
reimbursement............................... 3.61% 3.72% 4.24% 3.96% 3.79%
Operating expenses including
reimbursement............................... 0.40% 0.40% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement............................... 0.40% 0.40% 0.40% 0.40% 0.41%
Portfolio turnover rate.......................... 19% 8% 72% 170% 12%
<FN>
- ------------------------------------------
* 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, 2000, 1999, 1998,
1997 and 1996 was $0.50, $0.53, $0.54, $0.49 and $0.44, respectively.
</FN>
</TABLE>
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,
------------------------------------------------------------------------------
2000 1999 1998 1997 1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period............. $ 10.54 $ 10.50 $ 9.99 $ 10.24 $ 9.91
------------ ------------ ----------- ------------ ------------
Income from Investment Operations:
Net investment income(1)...................... 0.61 0.61 0.63 0.64 0.66
Net realized and unrealized
gain (loss) on investments ........ (0.38) 0.05 0.51 (0.25) 0.33
------------ ------------ ----------- ------------ ------------
Total from Investment Operations.......... 0.23 0.66 1.14 0.39 0.99
------------ ------------ ----------- ------------ ------------
Less Dividends:
Dividends from net investment income.......... (0.64) (0.62) (0.63) (0.64) (0.65)
Dividends in excess of net
investment income........................... -- -- -- -- (0.01)
------------ ------------ ----------- ------------ ------------
Total Dividends........................... (0.64) (0.62) (0.63) (0.64) (0.66)
------------ ------------ ----------- ------------ ------------
Net increase (decrease) in net asset value....... (0.41) 0.04 0.51 (0.25) 0.33
------------ ------------ ----------- ------------ ------------
Net Asset Value, End of period................... $ 10.13 $ 10.54 $ 10.50 $ 9.99 $ 10.24
============ ============ =========== ============ ============
Total Return..................................... 2.39% 6.38% 11.72% 3.91% 10.09%
Ratios/Supplemental Data:
Net assets, End of period (in 000's)............. $ 160,389 $ 202,420 $ 118,368 $ 111,313 $ 124,944
Ratios to average net assets:
Net investment income including
reimbursement............................... 5.95% 5.77% 6.12% 6.31% 6.35%
Operating expenses including
reimbursement............................... 0.41% 0.41% 0.40% 0.40% 0.40%
Operating expenses excluding
reimbursement............................... 0.41% 0.41% 0.40% 0.40% 0.41%
Portfolio turnover rate.......................... 56% 70% 79% 39% 35%
<FN>
- ----------------------------------------
(1) Net investment income per share before reimbursement of certain expenses
by the sub-administrator for the years ended March 31, 2000, 1999, 1998,
1997 and 1996 was $0.61, $0.61, $0.63, $0.64 and $0.66, respectively.
</FN>
</TABLE>
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,
------------------------------------------------------------------------------
2000 1999 1998 1997 1996
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of period............. $ 10.59 $ 10.51 $ 10.15 $ 10.20 $ 9.94
------------ ------------ ----------- ------------ ------------
Income from Investment Operations:
Net investment income(1)...................... 0.44 0.46 0.47 0.47 0.46
Net realized and unrealized
gain (loss) on investments ........ (0.45) 0.08 0.36 (0.05) 0.26
------------ ------------ ----------- ------------ ------------
Total from Investment Operations.......... (0.01) 0.54 0.83 0.42 0.72
------------ ------------ ----------- ------------ ------------
Less Dividends:
Dividends from net investment income.......... (0.45) (0.46) (0.47) (0.47) (0.46)
------------ ------------ ----------- ------------ ------------
Total Dividends........................... (0.45) (0.46) (0.47) (0.47) (0.46)
------------ ------------ ----------- ------------ ------------
Net increase (decrease) in net asset value....... (0.46) 0.08 0.36 (0.05) 0.26
------------ ------------ ----------- ------------ ------------
Net Asset Value, End of period................... $ 10.13 $ 10.59 $ 10.51 $ 10.15 $ 10.20
============ ============ =========== ============ ============
Total Return..................................... (0.05)% 5.20% 8.29% 4.15% 7.36%
Ratios/Supplemental Data:
Net assets, End of period (in 000's)............. $ 27,769 $ 21,607 $ 18,147 $ 19,921 $ 22,478
Ratios to average net assets:
Net investment income including
reimbursement............................... 4.28% 4.31% 4.49% 4.57% 4.54%
Operating expenses including
reimbursement............................... 0.60% 0.60% 0.60% 0.60% 0.60%
Operating expenses excluding
reimbursement............................... 0.60% 0.60% 0.60% 0.60% 0.61%
Portfolio turnover rate.......................... 38% 43% 28% 7% 2%
<FN>
- --------------------------------------------
(1) Net investment income per share before reimbursement of certain expenses
by the sub-administrator for the years ended March 31, 2000, 1999, 1998,
1997 and 1996 was $0.44, $0.46, $0.47, $0.47 and $0.46, respectively.
</FN>
</TABLE>
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
management investment company. As of the date of this report, the Trust offered
five managed investment portfolios. The accompanying financial statements and
financial highlights are those of the Large Company Index Fund, the Small
Company Index Fund, the Utility Index Fund, the U.S. Treasury Index Fund, and
the Municipal Bond Fund (individually a "Fund," collectively the "Funds").
2. SIGNIFICANT ACCOUNTING POLICIES:
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of income and expenses during the
reporting period. Actual results could differ from those estimates. The
following is a summary of significant accounting policies in conformity with
generally accepted accounting principles consistently followed by the Trust in
the preparation of its financial statements.
PORTFOLIO VALUATION: Listed investment securities are valued by an independent
pricing service approved by the Trust's Board of Trustees at the last quoted
sale price on the principal exchange where such securities are traded. Unlisted
securities or listed securities for which last sales prices are not available
are valued at the closing bid price in the principal market where such
securities trade. U.S. Government securities (other than short-term investments)
are valued at the mean of the quoted bid and asked prices in the
over-the-counter market. Debt securities of U.S. issuers (other than U.S.
Government securities and short-term securities), including municipal
securities, are valued at the mean between the quoted bid price and the asked
price. Short-term obligations that mature in 60 days or less are valued at
amortized cost, which approximates market value. Futures contracts are valued at
the settlement price established each day by the board of trade or exchange on
which they are traded.
Investments for which market quotations are not readily available are valued
based on fair value as determined in good faith under consistently applied
procedures established by and under the general supervision of the Board of
Trustees.
FUTURES CONTRACTS: Each Fund, except the U.S. Treasury Index Fund, may enter
into futures contracts for the delayed delivery of securities at a fixed price
at some future date or the change in the value of a specified financial index
over a predetermined time period. Cash or securities are deposited with brokers
in order to establish and maintain a position. Subsequent payments made or
received by the fund based on the daily change in the market value of the
position are recorded as unrealized gains or losses until the contract is closed
out, at which time the gains or losses are realized.
SECURITY TRANSACTIONS AND INVESTMENT INCOME: Security transactions are accounted
for on a trade date basis. Net realized gains or losses on sales of securities
are determined on the identified cost method. Interest income and expenses are
recorded on the accrual basis. Dividends are recorded on the ex-dividend date.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS: Dividends from net investment
income are declared daily and paid monthly for the U.S. Treasury Index Fund and
the Municipal Bond Fund, declared and paid quarterly for the Utility Index Fund
and declared and paid annually for the Small Company Index Fund and the Large
Company Index Fund. Net realized capital gains, if any, are distributed at least
annually. Income dividends and capital gain dividends are determined in
accordance with income tax regulations which may differ from generally accepted
accounting principles.
FEDERAL INCOME TAXES: The Trust treats each Fund as a separate entity for
federal income tax purposes. Each Fund intends to qualify each year as a
"regulated investment company" under Subchapter M of the Internal Revenue Code.
By so qualifying, each Fund will not be subject to federal income taxes to the
extent that it distributes substantially all of its taxable or tax-exempt
income, if any, for its tax year ending March 31. In addition, by distributing
in each calendar year substantially all of its net investment income, capital
gains, and certain other amounts, if any, each Fund will not be subject to a
federal excise tax. Therefore, no federal tax provision is recorded.
REPURCHASE AGREEMENTS: Each Fund may engage in repurchase agreement transactions
with institutions that the Trust's investment advisor has determined are
creditworthy. 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 obtain those securities in the
event of a counterparty default. The value of the col-
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS
lateral 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 a $0.001 par value per share. The
Trust's shares are classified into five series.
4. INVESTMENT ADVISORY, ADMINISTRATION AND DISTRIBUTION AGREEMENTS:
The Trust and Fleet Investment Advisors Inc. (the "Investment Advisor"), an
indirect wholly-owned subsidiary of FleetBoston Financial Corporation, 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 FleetBoston Financial Corporation, 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 PFPC Inc.
(formerly known as First Data Investor Services Group, Inc.), a member of the
PNCFinancial Services Group (formerly known as PNCBank Corp.), under which
PFPCInc. provides administrative, accounting and transfer agent services to the
Trust. The Administrator bears the fees of PFPC Inc. for serving in this
capacity. Prior to December 1, 1999, the services described above were provided
by First Data Investor Services Group, Inc., a wholly-owned subsidiary of First
Data Corp. On that date, PFPC Trust Co., a wholly-owned subsidiary of
PFPCWorldwide, Inc., and an indirect wholly-owned subsidiary of PNC Bank Corp.,
acquired all of the outstanding stock of First Data Investor Services Group,
Inc. As part of that transaction, PFPC Inc., also an indirect wholly-owned
subsidiary of PNCBank Corp., was merged into First Data Investor Services Group,
Inc., which then changed its name to PFPC Inc.
Provident Distributors, Inc. ("the Distributor") acts as the exclusive
distributor of the Trust's shares. Prior to December 1, 1999, First Data
Distributors, Inc., a wholly-owned subsidiary of First Data Investor Services
Group, Inc., acted as the exclusive distributor of the Trust's shares.
The Trust and PFPC Inc. 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 PFPCInc. for the Sub-Account Services and in connection therewith the Funds
pay PFPC Inc. 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 PFPC Inc. Such officers receive no
compensation from the Trust for serving in their respective roles. No officer,
director or employee of the Investment Advisor serves as an officer, Trustee or
employee of the Trust. Effective May 28, 1999, each Trustee is entitled to
receive for services as a Trustee of the Trust, The Galaxy Fund ("Galaxy") and
The Galaxy VIP Fund ("VIP") an aggregate fee of $45,000 per annum plus certain
other fees for attending or participating in meetings as well as reimbursement
for expenses incurred in attending meetings. Prior to May 28, 1999, each Trustee
was entitled to receive for services as a Trustee of the Trust, Galaxy and VIP
an aggregate fee of $40,000 per annum plus certain other fees for attending or
participating in meetings as well as reimbursement for expenses incurred in
attending meetings. The Chairman of the Boards of Trustees and the President and
Treasurer of the Trust, Galaxy and VIP are also entitled to additional fees for
their services in these capacities. These fees are allocated among the funds of
the Trust, Galaxy and VIP based on their relative net assets.
38
<PAGE>
NOTES TO FINANCIAL STATEMENTS
Each Trustee is eligible to participate in The Galaxy Fund/The Galaxy VIP
Fund/Galaxy Fund II Deferred Compensation Plan (the "Plan"), an unfunded,
non-qualified deferred compensation plan. The Plan allows each Trustee to defer
receipt of all or a percentage of fees that would otherwise be payable for
services performed.
PFPC Inc. voluntarily agreed to reimburse the Funds for Trustees' fees.
PFPCInc., at its discretion, may revise or discontinue the voluntary expense
reimbursement at any time.
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, 2000 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........... $ -- $ -- $223,350,113 $110,613,339
Small Company Index........... -- -- 91,958,708 140,111,139
Utility Index................. -- -- 10,186,527 17,525,395
U.S. Treasury Index........... 98,709,896 132,040,295 -- --
Municipal Bond................ -- -- 16,439,410 9,373,910
</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, 2000 for each Fund were as follows:
<TABLE>
<CAPTION>
COST APPRECIATION (DEPRECIATION) NET
---------------------------------------------------------------------
<S> <C> <C> <C> <C>
Large Company Index $ 621,443,474 $ 503,689,821 $ (50,165,299) $453,524,522
Small Company Index 254,602,463 71,772,782 (46,753,204) 25,019,578
Utility Index 43,594,227 10,482,677 (4,174,760) 6,307,917
U.S. Treasury Index 160,951,080 1,636,930 (4,848,179) (3,211,249)
Municipal Bond 27,497,330 381,718 (449,574) (67,856)
</TABLE>
During the fiscal year ended March 31, 2000, the Large Company Index Fund, the
Small Company Index Fund and the Utility Index Fund made distributions from
long-term capital gains of $15,149,394, $20,211,543 and $1,725,851, repectively.
At March 31, 2000, the following Funds had capital loss carryforwards:
CAPITAL LOSS EXPIRATION
CARRYFORWARD DATE
------------- ---------
U.S. Treasury Index...... $ 2,863,608 2003
548,015 2004
1,821,144 2008
Municipal Bond........... 452,493 2003
203,341 2004
72,068 2008
39
<PAGE>
NOTES TO FINANCIAL STATEMENTS
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.
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. LINE OF CREDIT:
Each Fund and other affiliated funds participate in a $150 million unsecured
line of credit pursuant to a credit agreement dated as of December 29, 1999.
Borrowings may be made under the credit agreement only for temporary or
emergency purposes, such as repurchase or redemption of shares of the Funds.
Interest is charged to each Fund based on its borrowings. In addition, a
commitment fee based on the average daily unused portion of the line of credit
is computed daily and paid quarterly at an annual rate of 10%, and allocated
among the Funds based on average daily net assets. For the period ended March
31, 2000, no borrowings have been made by the Funds against the line of credit.
9. DIVIDENDS RECEIVED DEDUCTIONS (UNAUDITED):
Of the ordinary income (including short-term capital gain) distributions made by
the Large Company Index Fund, the Small Company Index Fund and the Utility Index
Fund during the fiscal year ended March 31, 2000, were 100%, 30.20% and 100%,
respectively, qualify for the dividends received deduction available to
corporate shareholders.
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, 2000, and the
related statements of operations for the year then ended and the statements of
changes in net assets and the financial highlights for each of the two years in
the period then ended. These financial statements and financial highlights are
the responsibility of Galaxy Fund II's management. Our responsibility is to
express an opinion on these financial statements and financial highlights based
on our audits. The financial highlights for each of the three years in the
period ended March 31, 1998 were audited by other auditors whose report dated
May 8, 1998, expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with auditing standards generally accepted
in the United States. 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, 2000 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
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting Galaxy Fund II at March 31, 2000, the
results of their operations for the year then ended, and the changes in their
net assets and financial highlights for each of the two years in the period then
ended, in conformity with accounting principles generally accepted in the United
States.
[SIGNATURE]
Ernst & Young LLP
Boston, Massachusetts
May 8, 2000
/S/ SIGNATURE
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GALAXY
FUND
P.O. BOX 6520
PROVIDENCE, RI 02940-6520
ANGALII (6/00)
