<PAGE> 1
HOMESTEAD FUNDS
SEMI-ANNUAL REPORT
JUNE 30, 2000
[PHOTO]
- Daily Income
- Short-Term Government Securities
- Short-Term Bond
- Stock Index
- Value
- Small Company Stock
[HOMESTEAD FUNDS INC. LOGO]
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2
<PAGE> 3
[PHOTO]
TABLE OF CONTENTS
<TABLE>
<CAPTION>
PERFORMANCE EVALUATION
<S> <C>
Daily Income 5-6
Short-Term Government Securities 7-8
Short-Term Bond 9-10
Stock Index 11-12
Value 13-14
Small Company Stock 15-16
PORTFOLIO OF INVESTMENTS
Daily Income 18-22
Short-Term Government Securites 23-24
Short-Term Bond 25-33
Stock Index 34
Value 35-38
Small Company Stock 39-41
FINANCIAL STATEMENTS 42-47
FINANCIAL HIGHLIGHTS 48-53
NOTES TO FINANCIAL STATEMENTS 54-56
APPENDIX A - Equity 500 Index Portfolio i-xx
</TABLE>
3
<PAGE> 4
LETTER FROM THE INVESTMENT MANAGER
Dear Shareholder:
The US economy continued to expand in the first half of 2000, but growth was
less vigorous than in prior periods. In an effort to slow the pace of economic
expansion and keep inflation in check, the Federal Reserve began steering
interest rates higher last year. The Fed has intervened five times in the last
12 months, with three of those instances occurring in 2000. A March/April
sell-off of technology and dot-com stocks pushed most measures of broad stock
market performance lower for this reporting period.
As you'll read in the fund manager's commentary that follows this letter,
Homestead's Value and Small Company Stock Fund managers are still challenged by
investors' unwillingness to acknowledge value stocks. Value investing--an
investment discipline which seeks to identify companies selling at depressed
valuation levels but are poised for a comeback. These funds will continue to be
managed according to the principles of true value investing.
Of course, we realize that mutual fund investors want choices and the
opportunity to select different investment approaches. In October of 1999, we
added the Stock Index Fund, which is managed to track the Standard & Poor's 500
Stock Index. Plans are underway to introduce other new funds.
Shareholders will also see service enhancements. As we explained in a recent
letter, Homestead Funds has selected a new transfer agent and this change will
allow us to roll out a number of improvements, including the option to combine
your account mailings and receive less mail. In addition, we are planning for
the introduction of a Homestead Funds' website. Our goal is to provide you with
the investment options, educational materials and help you need to build your
fund portfolio and stay on course.
We appreciate the opportunity to help you meet your financial goals. Thank you
for investing with Homestead Funds.
Sincerely,
/s/ PETER R. MORRIS
Peter R. Morris
Director of Investments
August 18, 2000
4
<PAGE> 5
DAILY INCOME FUND
MARKET CONDITIONS
The Federal Reserve maintained its tight monetary policy and took steps to raise
rates throughout this reporting period. The Fed's target for the federal funds
rate, a key short-term market rate and the pace-setter for yields at the short
end of the yield curve, was notched up 100 basis points from its year-end '99
level to 6.5%.
By the end of the first half, there were tangible signs the Fed's tactics were
working to slow the economy. Rates backed off their May highs, with buyers
betting the Fed would continue to be successful in steering the economy to a
soft landing.
FUND PERFORMANCE AND STRATEGY
A rise in interest rates is good news for money market investors. The Fund's
seven-day compound annualized yield was 6.02% on June 30, compared to 5.37% at
the start of the period.
<TABLE>
<S> <C>
TOTAL RETURN Six Months Ended 6/30/00
------------------------
Daily Income Fund 2.71%
</TABLE>
Thinking that rates would move higher, we kept the Fund's maturity at the short
end of our already short 365-day maximum. This allowed us to reinvest quickly in
higher yielding securities.
At this point, the economy appears to be slowing. We expect few, if any,
additional moves by the Fed to raise rates in the near term. Accordingly, we
plan to gradually extend the Fund's average maturity, in an effort to lock in
yields at the current attractive levels.
5
<PAGE> 6
DAILY INCOME FUND
PORTFOLIO COMPOSITION
SECURITY DIVERSIFICATION
<TABLE>
<CAPTION>
on 12/31/99 on 6/30/00
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Commercial paper 56.3% 76.1%
-------------------------------------------------------------------------------------------------------------------------
Corporate bonds 34.4% 13.7%
-------------------------------------------------------------------------------------------------------------------------
U.S. Government obligations 5.4% 10.1%
-------------------------------------------------------------------------------------------------------------------------
Cash equivalents 3.9% .1%
-------------------------------------------------------------------------------------------------------------------------
Total 100% 100%
=========================================================================================================================
on 12/31/99 on 6/30/00
-------------------------------------------------------------------------------------------------------------------------
AVERAGE WEIGHTED MATURITY 55 days 36 days
-------------------------------------------------------------------------------------------------------------------------
YIELD
Annualized 7-day compound yield (quoted 6/30/00) 6.02%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS
periods ended 6/30/00
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (11/90)
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Daily Income Fund 5.2% 4.9% 4.5%
----------------------------------------------------------------------------------------------------
</TABLE>
Past performance is not predictive of future performance.
6
<PAGE> 7
SHORT-TERM GOVERNMENT SECURITIES FUND
MARKET CONDITIONS
The Federal Reserve's tighter monetary policy looks to have successfully
weakened the torrid pace of economic growth. GDP declined from an annualized
8.3% in the fourth quarter of '99, to an annualized 5.5% in the first quarter of
'00, and to an annualized 4.8% in the second quarter of '00. Unemployment
remains very low.
In the series of rate increases that began after the 1998
global financial crisis, the Fed pushed its target for the federal funds rate
175 basis points higher to 6.5%, its highest level since 1991. The Fed has
worked to slow economic growth and stave off any emerging inflationary
pressures, which were further jeopardized by the surge in crude oil prices.
Treasury yields peaked in May with two-year notes at 6.90% and five-year notes
at 6.80%. The timing of the yield spike coincided with the Fed's last tightening
and the market's fears that the federal funds rate would reach 7.0% or 7.5% by
year end.
Yields fell back a bit from these levels as new data showed a slowing economy,
making it less likely the Fed would raise rates again. Also, the large budget
surplus enabled the government to buy back long-term bonds. Tighter supply
conditions helped drive Treasury yields back to year-end '99 levels of about
6.35% for two-year notes and 6.20% for five-year notes.
FUND PERFORMANCE AND STRATEGY
Typically, longer term securities offer higher yields than
shorter term securities. The higher yield compensates investors for committing
their money for a greater time period. But for roughly half of this reporting
period, five-year Treasuries actually yielded less than two-year Treasuries,
resulting in a flattening of the Treasury yield curve.
The flat yield curve hurt your Fund's relative performance, as we did not
realize as much price appreciation from the decline in intermediate-term yields
as some of the funds in our peer group did. This Fund is managed to maintain a
weighted average portfolio maturity of three years or less, whereas our
benchmark index includes funds with maturities as long as 4.99 years. While our
portfolio does include securities with maturity dates beyond three years, we
have less overall exposure to longer term securities relative to the Index.
<TABLE>
<CAPTION>
TOTAL RETURNS Six Months Ended 6/30/00
------------------------
<S> <C>
Short-Term Government Securities Fund 2.58%
Merrill Lynch 1-4.99 Year U.S. Treasury Index 3.17%
</TABLE>
We think current interest rate levels reflect a best-case scenario: that the Fed
has successfully engineered a soft landing for the powerhouse economy and that
no further rate hikes will be needed. While the Fed may in fact be finished for
awhile, we are not sure rates won't move higher later this year. We note the
continued tight labor market, the fact that rates have fallen back some already
since May and--if the Republican ticket wins the election--the possibility of
hefty tax cuts and increased spending on defense. We remain cautious in our
outlook and would need new evidence to think any further decline in rates would
occur.
7
<PAGE> 8
SHORT-TERM GOVERNMENT SECURITIES FUND
PORTFOLIO COMPOSITION
SECURITY DIVERSIFICATION
<TABLE>
<CAPTION>
on 12/31/99 on 6/30/00
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
U.S. Treasuries 59.6% 53.4%
-------------------------------------------------------------------------------------------------------------------------
Government-guaranteed agencies 19.5% 25.3%
-------------------------------------------------------------------------------------------------------------------------
Mortgage-backed securities 16.0% 17.9%
-------------------------------------------------------------------------------------------------------------------------
Cash equivalents 4.9% 3.4%
-------------------------------------------------------------------------------------------------------------------------
Total 100% 100%
=========================================================================================================================
on 12/31/99 on 6/30/00
-------------------------------------------------------------------------------------------------------------------------
AVERAGE WEIGHTED MATURITY 2.83 years 2.95 years
-------------------------------------------------------------------------------------------------------------------------
YIELD
Annualized 30-day SEC yield (quoted 6/30/00) 5.86%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS
periods ended 6/30/00
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (5/95)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Short-Term Government Securities Fund 4.4% 4.9% 5.2%
-------------------------------------------------------------------------------------------------------------------------
Merrill Lynch 1-4.99 Year U.S. Treasury Index 4.8% 5.8% 6.2%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
PERFORMANCE COMPARISON
(OOO)
<TABLE>
<CAPTION>
May 95 Dec 95 Dec 96 Dec 97 Dec 98 Dec 99 June 00
<S> <C> <C> <C> <C> <C> <C> <C>
Homestead Short-Term
Government Securities Fund $10,000 $10,544 $11,014 $11,645 $12,286 $12,640 $12,966
Merrill Lynch
1-4.99 Year
U.S. Treasury Index $10,000 $10,757 $11,238 $12,037 $12,970 $13,234 $13,654
</TABLE>
Comparison of the change in value of a $10,000 investment in the Fund at
inception and the Merrill Lynch 1-4.99 Year U.S. Treasury Index. Past
performance is not predictive of future performance. The Short-Term Government
Securities Fund average annual total returns are net of any fee waivers and
reimbursements.
8
<PAGE> 9
SHORT-TERM BOND FUND
MARKET CONDITIONS
During the first half of 2000, economic growth slowed to a more modest level,
and interest rates trended higher on the urging of the Federal Reserve. The
Fed's Open Market Committee has met four times since the beginning of the year
and took action to raise rates in each of the first three sessions. The Fed left
rates unchanged at their last meeting on June 28, opting to wait and see whether
further tightening is needed.
Fears of higher inflation and a rising interest rate environment kept upward
pressure on interest rates into May of this year. Bond prices, which move in the
opposite direction of yields, declined. Late in this reporting period and after
new data suggested the economy was in fact slowing, buyers stepped in and yields
backed down from these levels.
In the Treasury market, tight supply kept a lid on Treasury yields relative to
other comparable maturity issues. Here, the budget surplus has allowed the
government to buy back select issues and created a scarcity of issues for
buyers.
FUND PERFORMANCE AND STRATEGY
An increase in interest income offset the corresponding decline in price,
allowing your Fund to post a positive total return. We closely tracked our
benchmark index.
<TABLE>
<CAPTION>
TOTAL RETURNS Six Months Ended 6/30/00
------------------------
<S> <C>
Short-Term Bond Fund 2.91%
Merrill Lynch 1-4.99 Year Govt./Corp. Index 2.98%
</TABLE>
During the period, we took advantage of the historically wide yield spreads that
emerged and purchased securities offering a yield advantage over Treasuries. As
required by the Fund's prospectus, these securities all have very high credit
quality ratings.
The Fed is likely finished for now, but looking ahead we see more evidence
pointing to further rate increases than decreases. Our cautious outlook is based
on rates having already backed off their highs in May, strong consumer
confidence and the possibility of a Republican victory, which could pump more
money back into the economy through tax cuts and defense spending. We expect to
maintain our defensive portfolio structure and continue to emphasize
non-Treasury issues that offer an incremental yield advantage.
9
<PAGE> 10
SHORT-TERM BOND FUND
PORTFOLIO COMPOSITION
SECURITY DIVERSIFICATION
<TABLE>
<CAPTION>
on 12/31/99 on 6/30/00
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Corporate bonds 42.9% 44.5%
-------------------------------------------------------------------------------------------------------------------------
Mortgage-backed securities 24.9% 24.5%
-------------------------------------------------------------------------------------------------------------------------
Asset-backed securities 19.5% 18.9%
-------------------------------------------------------------------------------------------------------------------------
U.S. Government obligations 11.5% 10.3%
-------------------------------------------------------------------------------------------------------------------------
Commercial paper 0.0% 1.7%
-------------------------------------------------------------------------------------------------------------------------
Cash equivalents 1.2% .1%
-------------------------------------------------------------------------------------------------------------------------
Total 100% 100%
=========================================================================================================================
on 12/31/99 on 6/30/00
-------------------------------------------------------------------------------------------------------------------------
AVERAGE WEIGHTED MATURITY 2.91 years 2.88 years
-------------------------------------------------------------------------------------------------------------------------
YIELD
Annualized 30-day SEC yield (quoted 6/30/00) 6.41%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS
periods ended 6/30/00
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (11/91)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Short-Term Bond Fund 4.8% 5.6% 5.8%
-------------------------------------------------------------------------------------------------------------------------
Merrill Lynch 1-4.99 Year Corp./Gov. Index 4.6% 5.8% 6.2%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
PERFORMANCE COMPARISON
(OOO)
<TABLE>
<CAPTION>
Nov 91 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98 Dec 99 June 00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Homestead Short-Term
Bond Fund $10,000 $10,842 $11,560 $11,570 $12,820 $13,482 $14,374 $15,294 $15,785 $16,245
Merrill Lynch
1-4.99 Year
Corp./Gov. Index $10,000 $11,007 $11,792 $11,727 $13,247 $13,858 $14,850 $15,990 $16,341 $16,829
</TABLE>
Comparison of the change in value of a $10,000 investment in the Fund at
inception and the Merrill Lynch 1-4.99 Year Corp./Gov. Index. Past performance
is not predictive of future performance. The Short-Term Bond Fund average annual
total returns are net of any fee waivers and reimbursements.
10
<PAGE> 11
STOCK INDEX FUND
THE ECONOMY
The Federal Reserve kept upward pressure on interest rates throughout the
six-month period ended June 30. This strategy looks to have effectively slowed
the economy. GDP slowed to an annualized 4.8% in the second quarter of '00, down
from an annualized 8.3% at year-end '99. The Fed's enemy--inflation--remained
tame, despite the very tight labor market and an increase in oil prices that
threatened to spill over and raise other prices at the consumer level.
MARKET CONDITIONS
A shake-out in the technology sector, touched off by weaker than expected
earnings preannouncements, sent the NASDAQ and other major market indices lower
for the six months ended June 30, 2000. Because of technology stocks' huge
advances in prior years, this sector makes up a large portion of the total
holdings for most broad market measures and sets the stage for index
performance.
FUND PERFORMANCE
The Standard & Poor's 500 Stock Index, the benchmark this Fund seeks to match,
turned in a -.42% return for this period. We tracked closely, with a -.81%
showing.
<TABLE>
<CAPTION>
TOTAL RETURNS Six Months Ended 6/30/00
------------------------
<S> <C>
Stock Index Fund -.81%
S&P 500 -.42%
</TABLE>
The market's best performers tended to come from the health care, energy and
utilities sectors. Large-cap technology stocks, which powered the S&P 500 in
'99, lost ground.
The S&P 500 is weighted by market capitalization (share price times number of
shares outstanding). This means that as more shares are issued and/or a
company's share price rises, the Index takes a bigger position. Because your
Fund is managed to move in lock step, you can expect your Fund's positions to be
adjusted accordingly.
You can see the effects of recent market events on the Fund's top holdings. At
year-end '99, Microsoft represented 4.8% of holdings and was our largest
position. This stock retreated in the first half of 2000, and, on June 30, it
was our fourth largest holding with a weighting of 3.3%. Again comparing
holdings at year-end 1999 to period-end June 30, 2000, the only new top five
holding was Pfizer, which replaced Exxon at the number five position.
11
<PAGE> 12
STOCK INDEX FUND
PORTFOLIO COMPOSITION
TOP HOLDINGS ON 6/30/00
<TABLE>
<CAPTION>
% of total
Industry market value
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
General Electric Co. Diversified Manufacturing 4.1%
-------------------------------------------------------------------------------------------------------------------------
Intel Corp. Microprocessors 3.5%
-------------------------------------------------------------------------------------------------------------------------
Cisco Systems, Inc. Networking Products 3.5%
-------------------------------------------------------------------------------------------------------------------------
Microsoft Corp. Application Software 3.3%
-------------------------------------------------------------------------------------------------------------------------
Pfizer, Inc. Pharmaceuticals 2.4%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
TOTAL RETURNS
period ended 6/30/00
<TABLE>
<CAPTION>
Since
Inception
(10/99)
-------------------------------------------------------------------------------------------------------------------------
<S> <C>
Stock Index Fund 8.8%
-------------------------------------------------------------------------------------------------------------------------
S&P 500 Index 9.2%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
PERFORMANCE COMPARISON
(OOO)
<TABLE>
<CAPTION>
Oct 99 Dec 99 June 00
<S> <C> <C> <C>
Homestead Stock
Index Fund $10,000 $10,965 $10,877
Standard & Poors 500
Index $10,000 $10,969 $10,923
</TABLE>
Comparison of the change in value of a $10,000 investment in the Fund at
inception and the S&P 500 Index. Past performance is not predictive of future
performance. The Stock Index Fund average annual total returns are net of any
fee waivers and reimbursements.
12
<PAGE> 13
VALUE FUND
THE ECONOMY
The economy continued to expand during the first half of 2000, but GDP grew at a
slightly slower pace than was reported at year-end '99. The labor markets
remained tight, with the unemployment rate reaching a 30-year low of 3.9% in
April. However, data released just after the close of this reporting period
showed an increase in claims for unemployment benefits, a sign that the economy
is beginning to slowdown.
Fearing a buildup of inflationary pressures, the Federal Reserve kept interest
rates on the upward course set in 1999. So far this year, the Federal Reserve
has adjusted its target for the federal funds rate three times, lifting this key
short-term market rate from 5.5% at the start of the reporting period to 6.5% at
the close.
MARKET CONDITIONS
Most stock market indices posted flat to negative results. The NASDAQ Composite
trended higher into March and cracked the 5,000 mark twice. This level did not
hold. The Index fell 38% from March through May before recovering 16% of its
value in June.
Technology stocks led the downward trend. As we've discussed with our
shareholders before, many of these stocks had reached ridiculously high prices
and a sell-off was to be expected. Disappointing earnings preannouncements were
a catalyst for their collapse.
FUND PERFORMANCE AND STRATEGY
Value stocks remained out of favor relative to their growth stock peers. Thus,
the Fund's return continued to lag the S&P 500 Stock Index's.
<TABLE>
<CAPTION>
TOTAL RETURNS Six Months Ended 6/30/00
------------------------
<S> <C>
Value Fund -5.11%
S&P 500 -.42%
</TABLE>
We are disappointed that the investment climate did not allow us to post
stronger returns, but we continue to have a great deal of confidence in the
Fund's holdings. Every company we own is profitable and was acquired at
compelling prices. The average price/earnings ratio for all of the stocks in the
Fund's portfolio is about 14, compared to almost 30 for the S&P 500. This means
that we are paying roughly half as much as Index investors are for the same
growth potential.
Value investors always need to be patient. It takes time for a company's
brighter horizons to become apparent and for the market to acknowledge the
stock's true value. This did not happen in 1999, as the market was dominated by
technology stocks. Investors were willing to pay any price for these issues--a
speculative way of investing that is exactly the opposite of a disciplined value
approach.
Now that even buyers of dot-com and Internet stocks are focusing on earnings, we
have hope that the speculative frenzy is coming to an end. The road back to
reason is likely to be volatile, but we are looking forward to investors'
concentrating again on true measures of value and setting reasonable
expectations for growth. Your patience should be rewarded.
13
<PAGE> 14
VALUE FUND
PORTFOLIO COMPOSITION
TOP HOLDINGS ON 6/30/00
<TABLE>
<CAPTION>
% of total
Industry market value
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Citigroup, Inc. Bank 3.6%
-------------------------------------------------------------------------------------------------------------------------
Bemis Company, Inc. Packaging/Containers 3.5%
-------------------------------------------------------------------------------------------------------------------------
Southwest Airlines Air Travel 3.5%
-------------------------------------------------------------------------------------------------------------------------
Avery Dennison Corp. Chemical 3.4%
-------------------------------------------------------------------------------------------------------------------------
Halliburton Energy - Oilfield Services 3.3%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS
periods ended 6/30/00
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (11/90)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Value Fund -20.3% 11.1% 12.8%
-------------------------------------------------------------------------------------------------------------------------
S&P 500 Index 7.3% 23.8% 19.9%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
PERFORMANCE COMPARISON
(OOO)
<TABLE>
<CAPTION>
Nov 90 Dec 91 Dec 92 Dec 93 Dec 94 Dec 95 Dec 96 Dec 97 Dec 98 Dec 99 June 00
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Homestead Value Fund $10,000 $11,784 $13,161 $15,639 $16,029 $21,444 $25,292 $32,044 $34,708 $33,595 $31,879
Standard & Poor's 500
Stock Index $10,000 $13,403 $14,423 $15,807 $16,079 $22,115 $27,189 $36,257 $46,618 $56,606 $56,186
</TABLE>
Comparison of the change in value of a $10,000 investment in the Fund at
inception and the S&P 500 Index. Past performance is not predictive of future
performance. The Value Fund average annual total returns are net of any fee
waivers and reimbursements.
14
<PAGE> 15
SMALL COMPANY STOCK FUND
MARKET CONDITIONS
For the past year and a half now, the Federal Reserve has sought to ratchet up
short-term interest rates and take some of the wind out of the economy's sails.
The target for the federal funds rate is now 6.5%, compared to 5.5% at the start
of the year. Rising interest rates did not keep the economy from expanding but
did slow its growth and helped put the brakes on the bull market for the first
half of 2000.
Stock market performance was well off its year-end '99 showing. Instead of beefy
gains, most gauges posted negative or flat returns for the six months ended June
30. The Russell 2000 followed the trend of most other broad market benchmarks
and began the year with a bumpy climb into March, fell off steeply through the
end of May and then regained about half of its ground in June.
The setback was blamed on disappointing earnings reports, especially among
Internet-related and technology issues. These stocks had risen to very high
levels. Investors finally exhibited common sense and sold when companies
announced they would fall short of analysts' expectations.
Because these companies generated such spectacular returns in prior periods,
they now hold larger positions in most broad stock market benchmarks. This makes
the S&P 500, the NASDAQ Composite, the Russell 2000 and other gauges more
sensitive to the vagaries of the technology sector.
FUND PERFORMANCE AND STRATEGY
Your Fund lagged its benchmark, the Russell 2000, due to our value orientation.
A growth strategy won out, but the correction that began in March was a healthy
sign. We see now that technology and Internet investors do have performance
standards, and they are willing to act when these are not met.
<TABLE>
<CAPTION>
TOTAL RETURNS Six Months Ended 6/30/00
------------------------
<S> <C>
Small Company Stock Fund -1.56%
Russell 2000 3.04%
</TABLE>
When you compare the price performance of the Small Company Stock Fund to that
of the Russell 2000's, you see that the Fund diverged in mid-January and did not
follow the market's February run-up or March/April sell-off. When tech stocks as
a group bounced back a bit in June, the Index was able to pull ahead of us for
the period.
We have a great deal of confidence in the Fund's holdings. We have acquired
stocks of solid companies at low prices, and we remain confident that the market
will eventually recognize our portfolio's true worth.
15
<PAGE> 16
SMALL COMPANY STOCK FUND
PORTFOLIO COMPOSITION
TOP HOLDINGS ON 6/30/00
<TABLE>
<CAPTION>
% of total
Industry market value
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
CBRL Group Restaurants 5.7%
-------------------------------------------------------------------------------------------------------------------------
CLARCOR, Inc. Manufacturing - Diverse 5.6%
-------------------------------------------------------------------------------------------------------------------------
J.M. Smucker "B" Food Processing 5.5%
-------------------------------------------------------------------------------------------------------------------------
Helmerich & Payne Energy - Oil Service 5.0%
-------------------------------------------------------------------------------------------------------------------------
Longs Drug Stores Retail - Drug Store 4.6%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
AVERAGE ANNUAL TOTAL RETURNS
periods ended 6/30/00
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/98)
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Small Company Stock Fund -15.4% -5.8%
-------------------------------------------------------------------------------------------------------------------------
Russell 2000 Index 14.5% 6.3%
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
PERFORMANCE COMPARISON
(OOO)
<TABLE>
<CAPTION>
Mar 98 Dec 98 Dec 99 June 00
<S> <C> <C> <C> <C>
Homestead Small
Company Stock Fund $10,000 $8,898 $8,849 $8,711
Russell 2000 Index $10,000 $9,080 $11,992 $11,507
</TABLE>
Comparison of the change in value of a $10,000 investment in the Fund at
inception and the Russell 2000 Index. Past performance is not predictive of
future performance. The Small Company Stock Fund average annual total returns
are net of any fee waivers and reimbursements.
16
<PAGE> 17
FINANCIALS
[PHOTO]
<PAGE> 18
DAILY INCOME FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
----------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER (76.1% OF PORTFOLIO)
<S> <C> <C> <C> <C>
A.I. Credit Corp. ...................................... 6.52 % 07/17/00 $1,000,000 $ 997,102
A.I. Credit Corp. ...................................... 6.53 08/10/00 950,000 943,107
American Express Credit Corp. .......................... 6.55 07/10/00 633,000 631,963
American Express Credit Corp. .......................... 6.57 08/11/00 100,000 99,252
American Express Credit Corp. .......................... 6.53 08/31/00 845,000 835,650
American Express Credit Corp. .......................... 6.59 09/13/00 575,000 567,211
American General Finance Corp. ......................... 6.58 07/20/00 210,000 209,271
American General Finance Corp. ......................... 6.55 07/31/00 620,000 616,616
American General Finance Corp. ......................... 6.54 08/22/00 630,000 624,049
Associates Corp. of N.A. ............................... 6.59 07/12/00 500,000 498,993
Associates Corp. of N.A. ............................... 6.60 07/12/00 305,000 304,385
Associates Corp. of N.A. ............................... 6.57 08/07/00 545,000 541,320
Campbell Soup Co. ...................................... 6.53 07/24/00 1,130,000 1,125,286
Campbell Soup Co. ...................................... 6.56 07/26/00 1,000,000 995,444
Campbell Soup Co. ...................................... 6.55 09/18/00 323,000 318,357
Campbell Soup Co. ...................................... 6.55 09/18/00 637,000 627,844
CIT Group, Inc. ........................................ 6.54 08/07/00 485,000 481,740
CIT Group, Inc. ........................................ 6.56 08/08/00 1,024,000 1,016,909
CIT Group, Inc. ........................................ 6.55 08/09/00 360,000 357,446
CIT Group, Inc. ........................................ 6.57 09/28/00 840,000 826,356
Citicorp ............................................... 6.55 07/11/00 1,000,000 998,181
Citicorp ............................................... 6.59 07/27/00 1,000,000 995,241
Coca-Cola Co. .......................................... 6.60 08/14/00 700,000 694,353
Coca-Cola Co. .......................................... 6.55 08/25/00 192,000 190,079
Coca-Cola Co. .......................................... 6.54 09/29/00 1,000,000 983,650
E.I. DuPont de Nemours & Co. ........................... 7.00 07/07/00 200,000 199,767
E.I. DuPont de Nemours & Co. ........................... 6.51 07/12/00 550,000 548,906
E.I. DuPont de Nemours & Co. ........................... 6.54 07/19/00 1,000,000 996,730
E.I. DuPont de Nemours & Co. ........................... 6.58 08/02/00 500,000 497,076
E.I. DuPont de Nemours & Co. ........................... 6.56 09/11/00 556,000 548,705
Exxon Mobil Australia Pty. Ltd. ........................ 6.65 07/03/00 500,000 499,815
Exxon Mobil Australia Pty. Ltd. ........................ 6.80 07/05/00 650,000 649,509
Exxon Mobil Australia Pty. Ltd. ........................ 6.80 07/07/00 1,029,000 1,027,834
Exxon Mobil Australia Pty. Ltd. ........................ 6.55 07/31/00 1,008,000 1,002,498
Ford Motor Credit Co. .................................. 6.54 07/10/00 325,000 324,469
Ford Motor Credit Co. .................................. 6.53 07/28/00 650,000 646,817
Ford Motor Credit Co. .................................. 6.59 08/03/00 1,190,000 1,182,811
General Electric Capital Corp. ......................... 6.60 07/18/00 600,000 598,130
General Electric Capital Corp. ......................... 6.55 07/24/00 990,000 985,857
General Electric Capital Corp. ......................... 6.62 07/31/00 200,000 198,897
General Electric Capital Corp. ......................... 6.60 08/02/00 270,000 268,416
General Electric Capital Corp. ......................... 6.60 09/01/00 400,000 395,453
</TABLE>
18
<PAGE> 19
DAILY INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
----------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER - CONTINUED
<S> <C> <C> <C> <C>
General Electric Capital Corp. ......................... 6.62 % 09/01/00 $ 150,000 $ 148,290
General Electric Capital Corp. ......................... 6.62 09/08/00 200,000 197,462
General Electric Capital Corp. ......................... 6.60 09/11/00 200,000 197,360
General Motors Acceptance Corp. ........................ 6.53 07/27/00 750,000 746,463
General Motors Acceptance Corp. ........................ 6.60 07/31/00 255,000 253,598
General Motors Acceptance Corp. ........................ 6.62 07/31/00 325,000 323,207
General Motors Acceptance Corp. ........................ 6.55 08/14/00 100,000 99,199
General Motors Acceptance Corp. ........................ 6.57 08/14/00 160,000 158,715
General Motors Acceptance Corp. ........................ 6.56 08/31/00 440,000 435,109
General Motors Acceptance Corp. ........................ 6.62 09/12/00 150,000 147,986
General Motors Acceptance Corp. ........................ 6.65 09/12/00 350,000 345,280
General Motors Acceptance Corp. ........................ 6.57 09/20/00 200,000 197,044
Household Finance Corp. ................................ 6.88 07/03/00 837,000 836,680
Household Finance Corp. ................................ 6.57 07/07/00 290,000 289,682
Household Finance Corp. ................................ 6.61 07/13/00 375,000 374,174
Household Finance Corp. ................................ 6.57 07/20/00 295,000 293,977
IBM Credit Corp. ....................................... 6.75 07/07/00 169,000 168,810
IBM Credit Corp. ....................................... 6.52 07/28/00 430,000 427,897
John Deere Capital Corp. ............................... 6.58 07/21/00 815,000 812,021
John Deere Capital Corp. ............................... 6.58 07/26/00 1,000,000 995,431
John Deere Capital Corp. ............................... 6.65 09/06/00 260,000 256,782
Merrill Lynch & Co., Inc. .............................. 6.56 07/12/00 600,000 598,797
Merrill Lynch & Co., Inc. .............................. 6.56 09/05/00 310,000 306,272
Merrill Lynch & Co., Inc. .............................. 6.57 09/20/00 630,000 620,687
Norwest Financial, Inc. ................................ 6.55 07/05/00 970,000 969,294
Norwest Financial, Inc. ................................ 6.56 07/06/00 900,000 899,180
Norwest Financial, Inc. ................................ 6.54 08/23/00 60,000 356,534
Norwest Financial, Inc. ................................ 6.54 08/30/00 1,000,000 989,100
Pacific Gas & Electric Co. ............................. 6.53 07/11/00 915,000 913,340
Prudential Funding Corp. ............................... 6.54 07/07/00 300,000 299,673
Prudential Funding Corp. ............................... 6.56 07/12/00 830,000 828,336
Prudential Funding Corp. ............................... 6.58 07/13/00 720,000 718,421
Prudential Funding Corp. ............................... 6.60 07/31/00 750,000 745,875
Prudential Funding Corp. ............................... 6.55 08/31/00 380,000 375,783
Schering-Plough Corp. .................................. 6.55 07/26/00 346,000 344,426
Texaco, Inc. . ......................................... 6.51 07/06/00 284,000 283,743
Texaco, Inc. . ......................................... 6.52 07/10/00 1,140,000 1,138,142
Texaco, Inc. . ......................................... 6.59 08/09/00 860,000 853,860
Transamerica Finance Corp. ............................. 6.52 07/07/00 218,000 217,763
Transamerica Finance Corp. ............................. 6.59 07/10/00 1,000,000 998,353
Transamerica Finance Corp. ............................. 6.66 07/25/00 105,000 104,534
Transamerica Finance Corp. ............................. 6.60 07/27/00 230,000 228,904
</TABLE>
19
<PAGE> 20
DAILY INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER - CONTINUED
<S> <C> <C> <C> <C>
Transamerica Finance Corp. ............................. 6.70 % 07/27/00 $ 170,000 $ 169,177
Transamerica Finance Corp. ............................. 6.56 08/03/00 900,000 894,588
Transamerica Finance Corp. ............................. 6.58 08/17/00 180,000 178,454
Transamerica Finance Corp. ............................. 6.59 09/06/00 400,000 395,094
Wal-Mart Stores, Inc. .................................. 6.54 08/14/00 1,000,000 992,007
Wal-Mart Stores, Inc. .................................. 6.52 08/29/00 1,000,000 989,314
Wal-Mart Stores, Inc. .................................. 6.57 09/26/00 1,200,000 1,180,947
-------------------------------------------------------------------------------------------------------------------------
Total Commercial Paper (Cost $52,347,260) ............................................... 52,347,260
-------------------------------------------------------------------------------------------------------------------------
CORPORATE NOTES (13.7% OF PORTFOLIO)
American Express Credit Corp. .......................... 6.50 08/01/00 897,000 896,970
American General Finance Corp. ......................... 6.13 09/15/00 365,000 364,866
American General Finance Corp. ......................... 6.35 09/19/00 100,000 99,968
Associates Corp. of N.A. ............................... 6.38 08/15/00 225,000 224,780
Associates Corp. of N.A. ............................... 6.25 09/15/00 160,000 159,814
Baltimore Gas & Electric Co. ........................... 5.50 07/15/00 200,000 199,888
CIT Group, Inc. ........................................ 5.80 07/20/00 175,000 174,940
Citicorp., Inc. ........................................ 6.60 08/01/00 300,000 300,118
Ford Motor Credit Co. .................................. 6.65 08/07/00 52,000 51,993
Ford Motor Credit Co. .................................. 6.85 08/15/00 455,000 454,955
Ford Motor Credit Co. .................................. 6.35 09/11/00 10,000 9,977
Ford Motor Credit Co. .................................. 6.15 09/12/00 90,000 89,841
Ford Motor Credit Co. .................................. 6.38 10/06/00 151,000 150,790
Ford Motor Credit Co. .................................. 7.02 10/10/00 25,000 24,994
Ford Motor Credit Co. .................................. 6.25 11/08/00 282,000 281,074
Ford Motor Credit Co. .................................. 6.06 11/22/00 25,000 24,900
General Electric Capital Corp. ......................... 6.00 09/13/00 55,000 54,899
General Electric Capital Corp. ......................... 5.85 11/14/00 57,000 56,805
General Motors Acceptance Corp. ........................ 6.90 07/05/00 7,000 7,000
General Motors Acceptance Corp. ........................ 7.50 07/24/00 250,000 250,167
General Motors Acceptance Corp. ........................ 6.90 09/13/00 75,000 75,038
General Motors Acceptance Corp. ........................ 6.38 09/19/00 15,000 14,976
General Motors Acceptance Corp. ........................ 5.33 10/20/00 25,000 24,889
General Motors Acceptance Corp. ........................ 6.13 11/21/00 15,000 14,944
IBM Credit Corp. ....................................... 6.20 08/28/00 50,000 49,960
John Deere Capital Corp. ............................... 5.73 07/13/00 100,000 99,983
John Deere Capital Corp. ............................... 6.20 07/14/00 400,000 399,920
John Deere Capital Corp. ............................... 6.15 08/01/00 500,000 499,955
John Deere Capital Corp. ............................... 5.22 10/19/00 130,000 129,488
Merrill Lynch & Co., Inc. .............................. 6.38 07/18/00 200,000 200,008
Merrill Lynch & Co., Inc. .............................. 6.25 07/25/00 100,000 99,996
Merrill Lynch & Co., Inc. .............................. 6.70 08/01/00 1,275,000 1,275,162
</TABLE>
20
<PAGE> 21
DAILY INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
CORPORATE NOTES - CONTINUED
<S> <C> <C> <C> <C>
Merrill Lynch & Co., Inc. .............................. 6.38 % 10/17/00 $ 110,000 $ 109,851
Pacific Gas & Electric Co. ............................. 6.75 12/01/00 150,000 150,000
Sara Lee Corp. ......................................... 5.70 07/14/00 2,295,000 2,294,587
Sara Lee Corp. ......................................... 5.75 07/14/00 100,000 99,955
-------------------------------------------------------------------------------------------------------------------------
Total Corporate Notes (Cost $9,417,454) ..................................................... 9,417,454
-------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (10.1% OF PORTFOLIO)
Federal Farm Credit Bank ............................... 5.92 07/03/00 550,000 549,974
Federal Farm Credit Bank ............................... 6.38 08/15/00 50,000 49,960
Federal Home Loan Bank ................................. 6.00 07/05/00 10,000 9,999
Federal Home Loan Bank ................................. 5.56 07/14/00 550,000 549,769
Federal Home Loan Bank ................................. 5.47 08/17/00 10,000 9,981
Federal Home Loan Bank ................................. 5.56 08/24/00 500,000 499,080
Federal Home Loan Bank ................................. 5.53 08/28/00 20,000 19,954
Federal Home Loan Bank ................................. 5.17 09/28/00 25,000 24,891
Federal Home Loan Bank ................................. 5.89 07/24/00 250,000 249,840
Federal Home Loan Bank ................................. 6.06 07/28/00 100,000 99,944
Federal Home Loan Bank ................................. 5.55 08/17/00 250,000 249,565
Federal Home Loan Bank ................................. 5.57 08/17/00 520,000 519,101
Federal Home Loan Bank ................................. 5.75 09/01/00 200,000 199,582
Federal Home Loan Bank ................................. 5.38 09/08/00 25,000 24,922
Federal Home Loan Bank ................................. 6.13 09/11/00 500,000 499,155
Federal Home Loan Bank ................................. 6.01 09/22/00 30,000 29,932
Federal Home Loan Bank ................................. 5.16 09/28/00 35,000 34,846
Federal Home Loan Bank ................................. 4.93 09/29/00 40,000 39,800
Federal Home Loan Mortgage Corp. ....................... 6.52 08/25/00 25,000 24,982
Federal Home Loan Mortgage Corp. ....................... 6.24 09/07/00 20,000 19,969
Federal Home Loan Mortgage Corp. ....................... 6.07 09/21/00 10,000 9,979
Federal National Mortgage Assn ......................... 6.09 07/11/00 10,000 9,998
Federal National Mortgage Assn ......................... 5.88 07/17/00 510,000 509,813
Federal National Mortgage Assn ......................... 5.56 07/24/00 348,000 347,730
Federal National Mortgage Assn ......................... 5.50 07/26/00 30,000 29,974
Federal National Mortgage Assn ......................... 6.32 08/03/00 125,000 124,930
Federal National Mortgage Assn ......................... 5.91 08/07/00 100,000 99,897
Federal National Mortgage Assn ......................... 5.62 08/09/00 950,000 948,822
Federal National Mortgage Assn ......................... 6.33 08/11/00 250,000 249,825
Federal National Mortgage Assn ......................... 6.36 08/16/00 200,000 199,852
Federal National Mortgage Assn ......................... 5.49 08/18/00 205,000 204,616
Federal National Mortgage Assn ......................... 6.09 08/21/00 5,000 4,994
Federal National Mortgage Assn ......................... 6.24 09/07/00 45,000 44,931
Federal National Mortgage Assn ......................... 9.20 09/11/00 275,000 276,122
Federal National Mortgage Assn ......................... 5.20 09/14/00 20,000 19,926
</TABLE>
21
<PAGE> 22
<TABLE>
DAILY INCOME FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS - CONTINUED
<S> <C> <C> <C> <C>
Federal National Mortgage Assn ................................. 6.11 % 09/20/00 $ 100,000 $ 99,807
Federal National Mortgage Assn ................................. 6.08 09/25/00 25,000 24,945
-------------------------------------------------------------------------------------------------------------------------
Total U.S. Government Agency Obligations (Cost $6,911,407) ..................................... 6,911,407
-------------------------------------------------------------------------------------------------------------------------
CORPORATE MASTER NOTE (0.1% OF PORTFOLIO)
Associates Corp. of North America .............................. 6.01 (a) 63,000 63,000
-------------------------------------------------------------------------------------------------------------------------
Total Corporate Master Note (Cost $63,000) ..................................................... 63,000
-------------------------------------------------------------------------------------------------------------------------
MONEY MARKET ACCOUNT
State Street Bank and Trust SSgA Fund .......................... 6.24 (b) 1,693
-------------------------------------------------------------------------------------------------------------------------
Total Money Market Account (Cost $1,693) ...................................................... 1,693
-------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES (COST $68,740,814) - 100% ........................................... $68,740,814
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) Variable coupon rate as of June 30, 2000.
(b) One day yield at June 30, 2000.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
22
<PAGE> 23
SHORT-TERM GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSET BACKED SECURITIES (13.4% OF PORTFOLIO)
Government Export Trust 93-1 ......................................... 6.00 % 03/15/05 $ 395,833 $ 382,977
Guaranteed Export Certificates 93-C .................................. 5.20 10/15/04 981,200 931,551
Guaranteed Export Certificates 93-D .................................. 5.23 05/15/05 382,979 364,546
Guaranteed Export Certificates 95-B .................................. 6.13 06/15/04 141,176 139,004
Guaranteed Trade Trust 92-A .......................................... 7.02 09/01/04 243,750 242,894
Small Business Administration 92-10 A ................................ 6.70 01/01/02 24,535 24,420
Small Business Administration 92-10 C ................................ 7.15 09/01/02 13,380 13,213
Small Business Investment Companies 95-10 ............................ 6.88 09/10/05 866,313 836,978
Small Business Investment Companies 99-10 ............................ 6.24 03/01/09 1,000,000 956,170
-------------------------------------------------------------------------------------------------------------------------
Total Asset Backed Securities (Cost $4,007,490) ..................................................... 3,891,753
-------------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES (17.9% OF PORTFOLIO)
GNMA #1928 ........................................................... 7.00 11/20/09 76,371 74,915
GNMA #780336 ......................................................... 6.50 02/15/11 142,056 138,017
GNMA #8054 ........................................................... 7.13 10/20/22 192,462 191,771
GNMA #8215 ........................................................... 6.38 04/20/17 80,239 80,088
GNMA #8393 ........................................................... 6.75 08/20/18 86,621 86,459
GNMA #8423 ........................................................... 6.38 05/20/24 152,366 151,890
GNMA #8877 ........................................................... 6.38 05/20/26 113,011 112,658
GNMA 94-1 ............................................................ 7.63 08/16/23 99,000 96,340
GNMA 96-6 ............................................................ 6.50 10/16/08 64,011 63,796
GNMA 97-4 B .......................................................... 7.00 08/20/26 119,905 115,810
GNMA 97-4 N .......................................................... 7.50 02/16/27 4,091 4,073
GNMA 97-8 ............................................................ 7.00 05/16/23 500,000 493,843
GNMA 97-18 ........................................................... 6.90 02/20/23 215,518 212,609
GNMA 98-1 ............................................................ 7.00 05/20/25 146,463 144,466
GNMA 98-5 ............................................................ 6.75 02/20/25 361,292 355,082
GNMA 99-27 ........................................................... 7.50 08/16/27 977,204 967,911
Vendee Mortgage Trust 92-2 ........................................... 7.00 05/15/08 1,000,000 991,760
Vendee Mortgage Trust 93-3 ........................................... 5.75 06/15/13 201,549 200,604
Vendee Mortgage Trust 95-3 ........................................... 7.25 06/15/04 100,000 100,518
Vendee Mortgage Trust 97-1 ........................................... 7.50 09/15/17 421,050 421,837
Vendee Mortgage Trust 97-2 ........................................... 7.50 01/15/13 18,101 18,058
Vendee Mortgage Trust 99-2 ........................................... 6.50 04/15/14 202,081 200,201
-------------------------------------------------------------------------------------------------------------------------
Total Mortgage Backed Securities (Cost $5,276,498) .................................................. 5,222,706
-------------------------------------------------------------------------------------------------------------------------
U. S. GOVERNMENT AND AGENCY OBLIGATIONS (64.2% OF PORTFOLIO)
Banco Centroamericano Promissory Note ................................ 5.78 05/30/01 116,675 115,581
Interlake Steamship Co. .............................................. 5.45 07/15/01 222,000 220,948
Nafinsa Export/Import Trust (a) ...................................... 6.79 08/01/04 225,000 223,517
PEFCO Finance Corp. (a) .............................................. 5.31 11/15/03 1,000,000 949,910
Private Export Funding Corp. ......................................... 7.30 01/31/02 375,000 376,699
</TABLE>
23
<PAGE> 24
SHORT-TERM GOVERNMENT SECURITIES FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U. S. GOVERNMENT AND AGENCY OBLIGATIONS - CONTINUED
Private Export Funding Corp. ........................................ 5.48 % 09/15/03 $ 350,000 $ 339,185
Private Export Funding Corp. ........................................ 6.86 04/30/04 260,000 258,323
Private Export Funding Corp. ........................................ 8.35 01/31/01 270,000 272,279
Private Export Funding Corp. ........................................ 8.40 07/31/01 200,000 203,015
Private Export Funding Corp. ........................................ 5.65 03/15/03 102,000 99,852
Smith Enron Shipbuilding ............................................ 5.97 12/15/06 85,000 81,373
U.S. Department of Housing and Urban Development .................... 6.36 08/01/04 30,000 29,234
U.S. Treasury Note .................................................. 5.75 10/31/00 2,350,000 2,346,329
U.S. Treasury Note .................................................. 5.75 11/15/00 4,000,000 3,991,252
U.S. Treasury Note .................................................. 4.88 03/31/01 1,250,000 1,235,150
U.S. Treasury Note .................................................. 6.38 03/31/01 550,000 549,312
U.S. Treasury Note .................................................. 5.88 11/30/01 2,600,000 2,577,250
U.S. Treasury Note .................................................. 6.13 12/31/01 1,250,000 1,242,969
U.S. Treasury Note .................................................. 6.63 04/30/02 3,000,000 3,007,500
U.S. Treasury Note .................................................. 6.00 07/31/02 100,000 99,125
U.S. Treasury Note .................................................. 5.50 01/31/03 500,000 489,532
-------------------------------------------------------------------------------------------------------------------------
Total U.S. Government and Agency Obligations (Cost $18,913,187) ...................................... 18,708,335
-------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (1.1% OF PORTFOLIO)
Albany NY Industrial Development Authority .......................... 7.29 08/01/04 160,000 159,766
Fairfax County VA Redevelopment & Housing Authority ................. 7.29 08/01/04 155,000 155,020
-------------------------------------------------------------------------------------------------------------------------
Total Municipal Bonds (Cost $317,572) 314,786
-------------------------------------------------------------------------------------------------------------------------
MONEY MARKET ACCOUNT (3.4% OF PORTFOLIO)
Vanguard Money Market Reserves U.S. Treasury ........................ 5.76(b) 981,576
-------------------------------------------------------------------------------------------------------------------------
Total Money Market Account (Cost $981,576) 981,576
-------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES (COST $29,496,323) - 100% ................................................. $29,119,156
=========================================================================================================================
</TABLE>
(a) 144A security.
(b) One day yield at June 30, 2000.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
24
<PAGE> 25
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS (43.5% OF PORTFOLIO)
BASIC INDUSTRIES - 7.4%
Archer Daniels Midland Co. ......................................... 0.00 % (a) 05/01/02 $ 225,000 $ 198,001
Armstrong World Industries, Inc. ................................... 6.35 08/15/03 500,000 440,444
Caterpillar, Inc. .................................................. 7.98 01/14/02 800,000 805,801
Corning Glassworks, Inc. ........................................... 7.10 08/14/00 100,000 100,031
Corning, Inc. ...................................................... 8.25 03/15/02 250,000 253,347
Corning, Inc. ...................................................... 6.00 08/15/03 500,000 483,627
Dow Chemical Co. ................................................... 8.63 04/01/06 150,000 158,984
Eastman Kodak Co. .................................................. 9.38 03/15/03 250,000 260,220
Exxon Capital Corp. ................................................ 0.00 (a) 11/15/04 200,000 146,470
General Motors Corp. ............................................... 9.13 07/15/01 200,000 203,827
Honeywell International, Inc. ...................................... 0.00 (a) 08/15/00 1,798,000 1,784,821
Honeywell International, Inc. ...................................... 0.00 (a) 08/01/01 490,000 454,544
Honeywell International, Inc. ...................................... 9.88 06/01/02 150,000 157,264
McKesson Corp. ..................................................... 4.50 03/01/04 345,000 293,250
Monsanto Co. (b) ................................................... 5.38 12/01/01 500,000 486,587
Occidental Petroleum Corp. ......................................... 6.50 04/01/05 500,000 474,145
Occidental Petroleum Corp. ......................................... 6.75 11/15/02 1,000,000 979,630
PHH Corp. .......................................................... 7.02 11/09/01 1,250,000 1,244,774
Rohm & Haas Co. .................................................... 9.88 09/01/00 195,000 195,894
TRW Inc. ........................................................... 6.50 06/01/02 1,000,000 977,264
United Technologies Corp. .......................................... 6.40 09/15/01 500,000 497,116
Xerox Capital Corp. PLC ............................................ 5.75 05/15/02 500,000 484,745
-------------------------------------------------------------------------------------------------------------------------
Total Basic Industries ................................................................................. 11,080,786
-------------------------------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLE GOODS - 3.3%
Auto Parts
Cooper Tire & Rubber Co. ........................................... 7.25 12/16/02 1,000,000 990,337
Beverages
Anheuser-Busch Cos., Inc. .......................................... 6.90 10/01/02 1,717,000 1,695,366
Recreation
Walt Disney Co. (b) ................................................ 4.20 03/15/01 1,250,000 1,229,586
Retail
Sears Roebuck Acceptance Corp. ..................................... 8.17 01/14/02 100,000 100,781
Sears Roebuck Acceptance Corp. ..................................... 6.80 10/09/02 900,000 884,544
-------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Durable Goods ........................................................................ 4,900,614
-------------------------------------------------------------------------------------------------------------------------
CONSUMER SERVICES - 0.9%
Healthcare
American Hospital Supply Finance Corp. ............................. 0.00 (a) 08/15/00 1,330,000 1,318,329
-------------------------------------------------------------------------------------------------------------------------
Total Consumer Services ................................................................................. 1,318,329
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE> 26
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS - CONTINUED
FINANCE - 16.2%
Banks
Barclays N.A. Capital Corp. ......................................... 9.75 % 05/15/21 $ 306,000 $ 324,056
Capital One Bank .................................................... 7.00 04/30/01 200,000 199,533
CITICORP ............................................................ 6.50 09/16/01 75,000 74,178
First Chicago Corp. ................................................. 6.50 (c) 07/28/03 175,000 174,536
First Interstate Bancorp. ........................................... 10.83 03/19/01 725,000 741,729
National City Bank of Cleveland ..................................... 7.10 09/25/12 800,000 735,187
NationsBank Corp. ................................................... 6.83 11/10/05 1,000,000 971,356
NationsBank Corp. ................................................... 7.23 08/15/12 200,000 188,517
Financial Services
American Express Credit Corp. ....................................... 0.00 (a) 12/12/00 465,000 450,578
American Express Credit Corp., ...................................... 6.25 08/10/05 1,100,000 1,084,448
Associates Corp. of North America ................................... 6.00 06/15/01 1,995,000 1,966,029
AT&T Capital Corp. .................................................. 7.50 11/15/00 1,000,000 1,001,547
Beneficial Corp. .................................................... 9.50 03/08/01 450,000 457,207
CIT Group, Inc. ..................................................... 5.50 10/15/01 ,250,000 1,217,199
CIT Group, Inc. ..................................................... 7.38 03/15/03 500,000 493,471
CM International .................................................... 0.00 (a) 09/11/00 1,925,000 1,898,608
GATX Capital Corp. .................................................. 6.36 12/16/02 450,000 432,903
Geico Corp. ......................................................... 9.15 09/15/21 650,000 683,905
General Electric Capital Corp. ...................................... 5.50 11/01/01 153,000 149,786
General Motors Acceptance Corp. ..................................... 5.50 01/14/02 500,000 486,725
Household Finance Corp. ............................................. 6.08 03/08/06 390,000 369,736
Household Finance Corp. ............................................. 6.13 07/15/12 315,000 305,383
Litchfield Financial Corp. .......................................... 9.25 12/01/03 941,000 969,699
Norwest Financial Inc. .............................................. 5.50 03/19/01 1,000,000 988,001
Rollins Truck Leasing Corp. ......................................... 7.00 03/15/01 1,000,000 998,653
Ryder System, Inc. .................................................. 7.56 08/15/00 85,000 84,921
Transamerica Financial Corp. ........................................ 6.60 03/20/01 250,000 248,852
Transamerica Financial Corp. ........................................ 6.13 11/01/01 750,000 735,990
Xtra, Inc. .......................................................... 7.80 02/03/03 500,000 498,784
Insurance
Liberty Mutual Capital Corp. (b) .................................... 7.98 12/01/02 500,000 506,465
Liberty Mutual Capital Corp. (b) .................................... 8.10 01/14/05 1,250,000 1,254,125
St. Paul Co., Inc. .................................................. 6.40 08/18/03 500,000 482,358
Security & Commodity Brokers
Goldman Sachs Group ................................................. 5.90 01/15/03 1,000,000 960,967
Lehman Brothers, Inc. ............................................... 6.00 02/26/01 500,000 496,041
Merrill Lynch & Co. ................................................. 5.71 01/15/02 1,250,000 1,220,774
Salomon, Inc. ....................................................... 7.30 05/15/02 400,000 399,417
--------------------------------------------------------------------------------------------------------------------------
Total Finance .......................................................................................... 24,251,664
--------------------------------------------------------------------------------------------------------------------------
</TABLE>
26
<PAGE> 27
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS - CONTINUED
TRANSPORTATION - 5.7%
Railroad
Burlington Northern & Santa Fe Railway .............................. 5.51 % 05/01/01 $1,000,000 $ 984,794
Consolidated Rail Corp. ............................................. 6.89 07/01/00 100,000 100,000
CSX Corp. ........................................................... 9.50 08/01/00 500,000 500,547
CSX Corp. ........................................................... 5.45 04/15/01 1,250,000 1,231,739
Norfolk & Western Railway ........................................... 8.13 11/15/00 100,000 100,005
Norfolk Southern Corp. .............................................. 6.40 06/15/01 500,000 492,625
Norfolk Southern Corp. .............................................. 5.37 07/15/04 900,000 825,963
Union Pacific Co. ................................................... 9.95 11/01/00 291,000 293,347
Union Pacific Co. ................................................... 6.12 02/01/04 125,000 119,018
Union Pacific Railroad Co. .......................................... 7.06 05/15/03 1,400,000 1,362,858
Union Tank Car Co. .................................................. 6.00 03/15/02 1,500,000 1,473,880
Union Tank Car Co. .................................................. 6.63 10/03/04 1,000,000 979,650
--------------------------------------------------------------------------------------------------------------------------
Total Transportation .................................................................................... 8,464,426
--------------------------------------------------------------------------------------------------------------------------
UTILITIES - 10.0%
Electric & Gas
Cleveland Electric Illuminating Co. ................................. 7.63 08/01/02 100,000 99,708
Connecticut Light & Power Co. ....................................... 7.75 06/01/02 335,000 336,204
Connecticut Light & Power Co. ....................................... 7.88 10/01/24 230,000 229,999
Detroit Edison Co. .................................................. 5.93 (c) 08/15/34 1,000,000 994,458
DTE Capital Corp. (b) ............................................... 6.17 06/15/03 915,000 881,722
Duke Capital Corp. .................................................. 7.25 10/01/04 1,000,000 990,821
Duquesne Light Co. .................................................. 6.63 06/15/04 182,000 174,511
Energy Acquisition Corp. ............................................ 6.15 03/01/02 1,000,000 983,660
Florida Power and Light Co. ......................................... 6.63 02/01/03 200,000 196,360
Illinois Power Co. .................................................. 6.25 07/15/02 500,000 488,697
Michigan Consolidated Gas Co. ....................................... 5.75 05/01/01 651,000 645,493
National Fuel Gas Co. ............................................... 7.30 02/18/03 500,000 497,795
New Orleans Public Service Co. ...................................... 7.00 03/01/03 500,000 495,078
Niagara Mohawk Power Corp. .......................................... 5.88 09/01/02 1,000,000 961,790
Northern Illinois Gas Co. ........................................... 6.45 08/01/01 210,000 208,798
Northern Indiana Public Service Co. ................................. 7.50 04/01/02 858,000 861,097
Northern Indiana Public Service Co. ................................. 7.53 07/08/15 500,000 484,060
Pacific Gas & Electric Co. .......................................... 6.75 12/01/00 626,000 624,986
Potomac Electric Power Co. .......................................... 5.00 09/01/02 300,000 283,125
Potomac Electric Power Co. .......................................... 6.00 04/01/04 1,500,000 1,435,587
Telephone
NYNEX Corp. ......................................................... 9.55 05/01/10 145,324 153,623
Pacific Telephone & Telegraph Co. ................................... 6.00 11/01/02 676,000 657,305
Pacific Telephone & Telegraph Co. ................................... 6.50 07/01/03 1,414,000 1,380,802
</TABLE>
27
<PAGE> 28
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
--------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
CORPORATE BONDS - CONTINUED
Southwestern Bell Telephone Co. ....................................... 5.88 % 06/01/03 $ 500,000 $ 481,187
Southwestern Bell Telephone Co. ....................................... 5.75 09/01/04 500,000 468,300
--------------------------------------------------------------------------------------------------------------------------
Total Utilities ........................................................................................ 15,015,166
--------------------------------------------------------------------------------------------------------------------------
Total Corporate Bonds (Cost $66,176,353) ............................................................... 65,030,985
--------------------------------------------------------------------------------------------------------------------------
FOREIGN BONDS (0.2% OF PORTFOLIO)
Hydro-Quebec .......................................................... 6.50 07/16/03 100,000 97,452
Hydro-Quebec .......................................................... 6.27 01/03/26 80,000 78,136
Trans-Canada Pipelines ................................................ 6.77 04/30/01 150,000 148,970
--------------------------------------------------------------------------------------------------------------------------
Total Foreign Bonds (Cost $326,336) ....................................................................... 324,558
--------------------------------------------------------------------------------------------------------------------------
ASSET BACKED SECURITIES (18.9% OF PORTFOLIO)
American Express Master Trust 93-1 .................................... 5.38 07/15/01 570,000 568,073
Americredit Automobile Receivables Trust 98-B ......................... 6.06 12/12/02 500,000 495,185
Americredit Automobile Receivables Trust 99-A ......................... 5.88 12/05/05 1,850,000 1,807,820
Arcadia Automobile Receivables Trust 97-C ............................. 6.55 06/15/05 440,000 436,168
Arcadia Automobile Receivables Trust 98-B A3 .......................... 5.95 11/15/02 156,165 155,489
Arcadia Automobile Receivables Trust 98-B A4 .......................... 6.00 11/15/03 1,250,000 1,230,500
Arcadia Automobile Receivables Trust 99-A A5 .......................... 6.12 12/15/06 1,500,000 1,461,555
Auto Leasing Investors 97-A5 (b) ...................................... 6.08 02/13/04 725,000 702,344
Banc One Auto Grantor Trust 97-A ...................................... 6.27 11/20/03 90,948 90,470
Bank Boston Marine Trust 97-2 ......................................... 6.82 04/15/13 183,000 178,634
Capital Auto Receivables Asset Trust 99-1 ............................. 5.58 06/15/02 625,000 620,544
Centerior Energy Receivables Master Trust 96-1 ........................ 7.20 04/15/02 90,000 89,528
Champion Auto Trust 98-A .............................................. 6.11 10/15/02 289,760 288,854
Chase Manhattan CC Master Trust 96-3 .................................. 7.04 02/15/04 200,000 199,656
Chase Manhattan Grantor Trust 92-4 A1 ................................. 5.80 02/17/03 100,000 98,591
CIT RV Trust 94-A ..................................................... 4.90 07/15/09 60,495 59,683
Citibank Credit Card Master Trust 96-1 ................................ 0.00 (a) 02/07/03 340,000 325,795
Citibank Credit Card Master Trust 97-3 ................................ 6.84 02/10/04 800,000 794,568
Citibank Credit Card Master Trust 97-7 ................................ 6.35 08/15/02 110,000 109,901
Copelco Capital Funding Corp. 96-A .................................... 6.34 07/20/04 41,984 41,871
Copelco Capital Funding Corp. 97-A .................................... 6.47 04/20/05 300,000 298,632
CPS Auto Trust 96-1 ................................................... 6.40 08/15/01 370,273 369,232
CPS Auto Trust 97-2 ................................................... 6.65 10/15/02 66,857 66,619
CPS Auto Trust 98-1 ................................................... 6.00 08/15/03 1,268,991 1,251,085
CTB Auto Grantor Trust 97-A (b) ....................................... 6.50 09/15/03 39,514 39,347
Discover Card Trust 97-2 .............................................. 6.79 04/16/10 1,159,010 1,134,613
Discover Card Trust 99-2 .............................................. 5.90 10/15/04 1,500,000 1,468,200
Felco Funding II LLC 98-1 (b) ......................................... 5.98 09/15/01 187,018 186,624
First Bank Corporate Card Master Trust 97-1 ........................... 6.40 02/15/03 70,000 69,061
</TABLE>
28
<PAGE> 29
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
ASSET BACKED SECURITIES - CONTINUED
First Chicago Master Trust II 97-T .................................. 6.72 % (c) 10/15/02 $ 260,000 $ 260,081
First Merchants Auto Trust 96-C ..................................... 6.15 07/15/01 35,171 35,114
First Security Auto Grantor Trust 97-B .............................. 6.10 04/15/03 125,273 124,731
First Security Auto Grantor Trust 98-A .............................. 5.97 04/15/04 468,315 463,791
First Security Auto Grantor Trust 99-1 .............................. 5.58 06/15/03 440,000 436,603
Fleetwod Credit Corp. Trust 96-A .................................... 6.75 10/17/11 236,449 235,607
Ford Credit Auto Owner Trust 98-A ................................... 5.65 10/15/01 14,558 14,539
Franklin Auto Trust 98-1 ............................................ 5.65 01/17/06 1,000,000 984,670
Green Tree Lease Finance 97-1 ....................................... 6.17 09/20/05 193,538 193,092
Green Tree Lease Finance 98-1 ....................................... 5.60 07/20/02 452,284 449,009
Heller Equipment Asset Recievables Trust 97-1 ....................... 6.39 05/25/05 141,346 140,408
Honda Auto Receivables Grantor Trust 97-A ........................... 5.85 02/15/03 152,769 152,359
Honda Auto Receivables Grantor Trust 97-B ........................... 5.95 05/15/03 240,656 238,933
Household Affinity Credit Card Master Trust 93-2 .................... 5.60 05/15/02 41,667 41,557
Hyundai Auto Receivables Trust 98-A ................................. 6.05 07/15/04 191,419 189,733
John Deere Owner Trust 99-A ......................................... 5.94 10/15/02 2,500,000 2,465,050
Metlife Capital Equipment Loan Trust 97-A ........................... 6.85 05/20/08 2,800,000 2,776,088
Metris Master Trust 97-1 ............................................ 6.87 10/20/05 1,505,000 1,498,228
Navistar Financial Corp. Owner Trust 96-A ........................... 6.35 11/15/02 50,291 50,226
New Court Equipment Trust Securities 98-1 ........................... 5.24 12/20/02 288,674 285,248
Nissan Auto Receivables Grantor Trust 97-A .......................... 6.15 02/15/03 59,568 59,432
Olympic Automobile Receivables Trust 96-C ........................... 6.80 03/15/02 197,515 197,506
Onyx Acceptance Auto Trust Ser. 97-4 ................................ 6.30 05/15/04 66,801 66,326
Onyx Acceptance Grantor Trust 96-1 .................................. 5.40 05/15/01 9,606 9,606
Onyx Acceptance Grantor Trust 98-A .................................. 5.85 08/15/02 297,465 296,353
Pemex Finance LTD (b) ............................................... 6.13 11/15/03 466,667 451,122
PNC Student Loan Trust I 97-2 ....................................... 6.45 01/25/02 290,000 289,031
PNC Student Loan Trust I 97-C ....................................... 6.57 01/25/04 125,000 123,510
Railcar Trust 92-1 .................................................. 7.75 06/01/04 142,790 142,970
Sears Credit Account Master Trust 98-1 .............................. 5.80 08/15/05 450,000 446,117
Union Acceptance Corp. 98-D A3 ...................................... 5.75 06/09/03 94,403 93,758
Union Acceptance Corp. 98-D A4 ...................................... 5.81 03/08/04 450,000 440,334
--------------------------------------------------------------------------------------------------------------------------
Total Asset Backed Securities (Cost $28,648,543) ....................................................... 28,289,774
--------------------------------------------------------------------------------------------------------------------------
MORTGAGE BACKED SECURITIES (24.5% OF PORTFOLIO)
Aames Mortgage Trust 98-A ........................................... 6.84 (c) 03/15/28 270,829 268,207
Advanta Home Equity Loan Trust 92-3 ................................. 6.05 09/25/08 87,822 84,899
Advanta Home Equity Loan Trust 92-4 ................................. 7.20 11/25/08 46,748 45,843
Advanta Home Equity Loan Trust 93-2 ................................. 6.15 10/25/09 46,235 44,794
Advanta Mortgage Loan Trust 93-3 A1 ................................. 4.90 01/25/10 30,265 29,815
Advanta Mortgage Loan Trust 93-3 A3 ................................. 4.75 02/25/10 52,821 52,327
Advanta Mortgage Loan Trust 93-4 .................................... 5.70 03/25/25 168,344 162,153
</TABLE>
29
<PAGE> 30
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MORTGAGE BACKED SECURITIES - CONTINUED
Advanta Mortgage Loan Trust 94-1 A1 .................................. 6.30 % 07/25/25 $ 355,666 $ 345,419
Advanta Mortgage Loan Trust 94-1 A2 .................................. 6.30 07/25/25 433,720 423,753
American Business Financial Services 96-2 ............................ 7.53 02/15/28 268,170 263,719
Amresco Residential Securities Mortgage Loan Trust 96-3 .............. 7.55 02/25/23 58,115 57,901
Chase Mortgage Finance Corp. 93-G .................................... 7.00 04/25/01 12,449 12,382
Chase Mortgage Finance Corp. 93-N .................................... 6.75 11/25/24 232,727 228,438
Chase Mortgage Finance Corp. 94-B .................................... 6.75 02/25/25 217,735 215,595
Chase Mortgage Finance Corp. 94-L .................................... 7.50 11/25/10 250,000 247,793
Chase Mortgage Finance Corp. 98-S4 ................................... 6.90 08/25/28 691,099 608,374
Chemical Mortgage Acceptance Corp. 88-2 .............................. 7.61 (c) 05/25/18 180,682 181,220
Citibank N.A. 86-4 ................................................... 10.00 11/25/16 70,608 70,313
CITICORP Mortgage Securities, Inc. 88-11 ............................. 7.43 (c) 08/25/18 475,755 473,657
CITICORP Mortgage Securities, Inc. 88-17 ............................. 6.99 (c) 11/25/18 516,588 514,202
CITICORP Mortgage Securities, Inc. 92-16 ............................. 7.50 09/25/22 25,195 24,810
CITICORP Mortgage Securities, Inc. 97-3 .............................. 7.00 08/25/27 216,313 215,326
CITICORP Mortgage Securities, Inc. 98-6 .............................. 6.80 07/25/28 172,719 164,415
CITICORP Mortgage Trust 3 ............................................ 9.00 01/25/20 100,000 99,546
CMC Securities Corp. 92-D ............................................ 7.95 (c) 12/25/23 16,086 16,194
CMC Securities Corp. 93-E ............................................ 6.50 11/25/08 903,683 885,871
CMO Trust 15 ......................................................... 5.00 03/20/18 26,461 34,059
CMO Trust 17 ......................................................... 7.25 04/20/18 28,334 28,158
CMO Trust 27 ......................................................... 7.25 04/23/17 144,093 143,585
Contimortgage Home Equity Loan Trust 95-2 ............................ 8.10 08/15/25 891,000 895,375
Corestates Home Equity Trust 94-1 .................................... 6.65 05/15/09 194,056 192,220
Countrywide Funding Corp. 87-2 ....................................... 7.29 (c) 02/25/18 194,041 193,134
Countrywide Home Loans 97-1 .......................................... 7.50 03/25/27 1,573,179 1,567,469
CS First Boston Mortgage Securities Corp. 96-2 ....................... 6.62 02/25/18 79,896 79,209
DLJ Mortgage Acceptance Corp. 91-3 ................................... 7.17 (c) 02/20/21 602,308 600,553
Equivantage Home Equity Loan Trust 95-2 .............................. 6.85 05/25/22 202,601 201,106
Federal Deposit Insurance Credit Corp. 96-C1 ......................... 6.75 05/25/26 316,308 314,886
Federal National Mortgage Association 00-6 ........................... 8.00 01/25/30 738,644 733,544
Federal National Mortgage Association 99-8 ........................... 6.50 11/25/19 677,430 617,699
First Alliance Mortgage Loan Trust 94-1 .............................. 5.85 04/25/25 285,333 274,873
First Alliance Mortgage Loan Trust 94-3 .............................. 7.83 10/25/25 49,718 49,582
First Greensboro Home Equity Loan Trust 98-1 ......................... 6.55 12/25/29 857,932 830,126
First Plus Home Loan Trust 97-3 ...................................... 6.86 10/10/13 800,000 797,968
First Plus Home Loan Trust 97-3 ...................................... 7.22 11/10/20 1,000,000 985,510
First Plus Home Loan Trust 97-4 ...................................... 6.82 10/10/18 200,000 198,110
First Plus Home Loan Trust 98-1 ...................................... 6.04 10/10/13 170,066 169,626
First Plus Home Loan Trust 98-2 ...................................... 6.32 11/10/13 248,157 247,296
FHLMC 1574 ........................................................... 6.50 09/15/22 20,168 19,683
FHLMC 1662 ........................................................... 6.25 01/15/09 45,108 44,775
</TABLE>
30
<PAGE> 31
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MORTGAGE BACKED SECURITIES - CONTINUED
FHLMC 1663 ........................................................... 7.00 % 07/15/23 $ 25,153 $ 24,754
FHLMC 1714 ........................................................... 7.00 10/15/22 74,043 72,149
FHLMC 2035 ........................................................... 6.85 12/25/27 36,101 33,618
FHLMC 218209 ......................................................... 8.50 06/01/02 20,350 20,567
Fleetwood Credit Corp. Grantor Trust 93-A ............................ 6.00 01/15/08 124,371 121,306
FNMA REMIC 92-203 .................................................... 6.50 11/25/07 40,987 40,407
FNMA REMIC 93-140 .................................................... 7.00 07/25/12 53,854 53,136
FNMA REMIC 93-68 ..................................................... 6.00 05/25/08 50,721 47,097
FNMA REMIC 94-4 ...................................................... 6.50 12/25/06 44,442 44,201
Fremont Home Loan Owners Trust 99-2 .................................. 7.28 06/25/29 1,232,013 1,219,508
Fund America Investors Corp. 91-1 .................................... 7.95 10/20/21 353,738 354,105
GE Capital Mortgage Services, Inc. 94-1 .............................. 6.50 03/25/24 125,000 122,510
GE Capital Mortgage Services, Inc. 94-13 ............................. 6.50 04/25/24 599,028 592,726
GE Capital Mortgage Services, Inc. 97-4 .............................. 7.50 05/25/27 500,000 498,350
GE Capital Mortgage Services, Inc. 98-8 .............................. 6.20 04/25/28 1,000,000 946,510
GMBS Certificates 89-1 ............................................... 9.50 12/25/19 82,172 81,800
GNMA 97-18 ........................................................... 6.90 02/20/23 592,673 584,675
GNMA 99-27 ........................................................... 7.50 08/16/27 1,954,408 1,935,822
Green Tree Financial Corp. 95-7 ...................................... 6.70 11/15/26 20,026 20,018
Green Tree Financial Corp. 97-6 ...................................... 6.47 01/15/29 697,167 696,581
Green Tree Home Equity Loan Trust 98-C ............................... 6.03 07/15/29 36,262 36,232
Housing Securities Inc. 92-EA ........................................ 7.50 10/25/07 427,192 425,850
Housing Securities Inc. 94-1 ......................................... 7.50 03/25/09 127,969 126,903
Housing Securities Inc. 94-2 ......................................... 6.50 07/25/09 126,792 122,768
Independent National Mortgage Corp. 96-E ............................. 6.93 05/25/26 166,713 165,621
Master Financial Asset Securitization Trust 98-2 ..................... 6.34 10/20/12 922,281 915,179
Mego Mortgage Home Loan Trust 97-4 ................................... 6.77 09/25/23 454,074 449,959
Merrill Lynch Mortgage Investors, Inc. 94-A .......................... 6.36 (c) 02/15/09 87,142 84,849
Morgan Stanley Capital I 97-ALIC A1B ................................. 6.44 11/15/02 360,185 355,640
Morgan Stanley Capital I 97-ALIC A2 .................................. 5.99 03/15/05 301,827 290,970
Mortgage Obligation Structured Trust 93-1 ............................ 6.85 10/25/18 68,175 67,858
New Century Home Equity Loan Trust 97-NC6 ............................ 7.01 05/25/26 165,000 159,243
Nomura Asset Securities Corp. 94-4B .................................. 8.30 09/25/24 17,737 17,886
Norwest Asset Securities Corp. 97-10 ................................. 7.00 08/25/27 486,394 465,446
Norwest Asset Securities Corp. 98-2 .................................. 6.50 02/25/28 304,528 289,088
Oakwood Mortgage Investors, Inc. 96-B ................................ 7.10 10/15/26 464,252 462,822
Prudential Home Mortgage Securities 93-29 ............................ 6.75 08/25/08 6,842 6,813
Prudential Home Mortgage Securities 93-41 ............................ 6.00 10/25/00 1,588 1,581
Prudential Home Mortgage Securities 93-9 ............................. 7.05 03/25/08 114,904 114,461
Residential Accredit Loans, Inc. 98-QS1 .............................. 7.00 01/25/28 778,384 767,985
Residential Asset Securities Corp. 98-KS2 ............................ 6.24 02/25/17 210,840 208,870
Residential Asset Securities Corp. 99-KS1 ............................ 6.11 05/25/25 475,000 460,484
</TABLE>
31
<PAGE> 32
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
MORTGAGE BACKED SECURITIES - CONTINUED
Residential Funding Mortgage Securities I 93-S25 ..................... 6.50 % 07/25/08 $ 9,020 $ 8,973
Residential Funding Mortgage Securities I 97-S13 ..................... 7.25 09/25/27 44,357 44,168
Residential Funding Mortgage Securities I 99-S16 ..................... 6.75 01/25/13 487,934 469,636
Resolution Trust Corp. 92-2 .......................................... 7.92 (c) 08/25/21 113,065 112,547
Ryland Mortgage Securities Corp. 93-4 ................................ 7.50 08/25/24 58,658 58,556
Salomon Brothers Mortgage Securities 96-LB2 .......................... 7.25 10/25/26 19,411 19,320
Salomon Brothers Mortgage Securities 97-LB2 .......................... 6.82 12/25/27 165,000 160,329
Saxon Asset Securities Trust 98-2 .................................... 6.22 03/25/18 103,361 102,568
Securitized Asset Sales, Inc. 93-8 ................................... 7.78 (c) 12/26/23 99,030 97,931
Southern Pacific Secured Assets Corp. 98-1 ........................... 6.27 02/25/18 210,232 207,785
Southern Pacific Secured Assets Corp. 98-H1 .......................... 6.41 01/25/29 1,039,582 1,031,047
Structured Mortgage Asset Residential Trust 92-10A ................... 7.50 (c) 11/25/08 384,469 383,246
Structured Mortgage Asset Residential Trust 93-5 ..................... 6.57( c) 06/25/24 44,123 41,754
TMS Home Equity Trust 93-C ........................................... 5.75 10/15/22 51,725 50,590
TMS Home Equity Trust 93-D ........................................... 5.68 02/15/09 46,180 44,598
TMS Home Equity Trust 94-D ........................................... 8.93 06/15/22 393,000 396,293
TMS Home Equity Trust 96-B A10 ....................................... 6.97 (c) 10/15/27 145,381 144,817
TMS Home Equity Trust 96-B A7 ........................................ 7.55 02/15/20 288,356 287,647
TMS Home Equity Trust 96-C ........................................... 7.69 05/15/24 394,000 394,122
TMS Home Equity Trust 97-A ........................................... 7.24 05/15/28 263,000 259,334
TMS Home Equity Trust 97-C ........................................... 6.59 02/15/15 426,002 423,254
UCFC Home Equity Loan 95-A1 .......................................... 8.55 01/10/20 493,705 494,875
UCFC Home Equity Loan 96-C1 .......................................... 7.83 01/15/28 405,000 399,828
UCFC Home Equity Loan 98-A ........................................... 6.49 04/15/24 484,000 472,336
UCFC Home Equity Loan 98-B ........................................... 6.27 11/15/24 500,000 478,035
UCFC Home Equity Loan 98-C1 .......................................... 5.96 05/15/20 400,000 378,512
UCFC Manufactured Housing Contract 97-3 .............................. 6.36 02/15/11 75,959 75,221
UCFC Manufactured Housing Contract 98-2 .............................. 6.16 08/15/19 1,000,000 954,640
Vanderbilt Mortgage Finance 95-B ..................................... 6.68 05/07/06 10,330 10,317
Zions Home Refinance Loan Trust 93-1 ................................. 5.15 09/25/03 14,950 14,638
--------------------------------------------------------------------------------------------------------------------------
Total Mortgage Backed Securities (Cost $36,995,245) .................................................... 36,478,777
--------------------------------------------------------------------------------------------------------------------------
U.S. GOVERNMENT AND AGENCY OBLIGATIONS (10.3% OF PORTFOLIO)
Banco Centroamericano Promissory Note ................................ 5.78 05/30/01 398,165 394,431
Chattanooga Valley Corp. ............................................. 0.00 (a) 01/01/01 256,000 248,081
Chattanooga Valley Corp. ............................................. 0.00 (a) 07/01/01 204,000 190,634
Federal Farm Credit Bank ............................................. 5.90 08/06/01 1,000,000 990,263
Federal Home Loan Bank ............................................... 6.81 09/27/04 1,000,000 982,775
Federal Home Loan Bank ............................................... 7.75 02/22/05 500,000 499,060
Federal Home Loan Mortgage Corp. ..................................... 5.87 07/16/01 2,000,000 1,978,756
Federal Home Loan Mortgage Corp. ..................................... 6.00 01/12/04 1,250,000 1,205,685
Federal Home Loan Mortgage Corp. ..................................... 6.82 07/06/04 1,000,000 980,797
</TABLE>
32
<PAGE> 33
SHORT-TERM BOND FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
INTEREST MATURITY FACE
RATE DATE AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS - CONTINUED
Federal National Mortgage Assn ....................................... 5.95 % 03/13/02 $1,500,000 $ 1,476,445
Federal National Mortgage Assn ....................................... 6.20 07/07/03 1,250,000 1,214,450
Federal National Mortgage Assn ....................................... 6.00 03/01/04 500,000 481,557
Federal National Mortgage Assn ....................................... 6.07 05/05/04 1,750,000 1,685,766
Federal National Mortgage Assn ....................................... 6.40 06/14/04 115,000 111,868
Government Export Trust 93-1 ......................................... 6.00 03/15/05 277,083 268,084
Small Business Administration 92-10 .................................. 7.15 09/01/02 22,300 22,022
U.S. Treasury Note ................................................... 6.38 03/31/01 500,000 499,375
U.S. Treasury Note ................................................... 5.88 11/30/01 1,750,000 1,734,687
U.S. Treasury Note ................................................... 6.00 07/31/02 500,000 495,625
--------------------------------------------------------------------------------------------------------------------------
Total U.S. Government and Agency Obligations (Cost $15,720,240) ........................................ 15,460,361
--------------------------------------------------------------------------------------------------------------------------
MUNICIPAL BONDS (0.8% OF PORTFOLIO)
Westmoreland County, PA .............................................. 0.00 (a) 08/15/00 1,200,000 1,190,772
--------------------------------------------------------------------------------------------------------------------------
Total Municipal Bonds (Cost $1,190,625) ................................................................ 1,190,772
--------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER (1.7% OF PORTFOLIO)
American Express Credit Corp. ........................................ 6.88 07/03/00 2,500,000 2,499,044
--------------------------------------------------------------------------------------------------------------------------
Total Commercial Paper (Cost $2,499,044) ............................................................... 2,499,044
--------------------------------------------------------------------------------------------------------------------------
CORPORATE MASTER NOTE (0.1% OF PORTFOLIO)
Associates Corp. of North America .................................... 6.01 (c) 100,000 100,000
--------------------------------------------------------------------------------------------------------------------------
Total Corporate Master Note (Cost $100,000) ............................................................ 100,000
--------------------------------------------------------------------------------------------------------------------------
MONEY MARKET ACCOUNT
State Street Bank & Trust SSgA Fund .................................. 6.24 (d) ........................... 1,619
--------------------------------------------------------------------------------------------------------------------------
Total Money Market Account (Cost $1,619) ............................................................... 1,619
--------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES (COST $151,658,005) - 100% ................................................. $149,375,890
==========================================================================================================================
</TABLE>
(a) Zero coupon security, purchased at a discount.
(b) 144A security.
(c) Variable coupon rate as of June 30, 2000.
(d) One day yield at June 30, 2000.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
33
<PAGE> 34
STOCK INDEX FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
EQUITY 500 INDEX PORTFOLIO
<TABLE>
<CAPTION>
COST VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Common Stock - 98.4% ....................................... $4,923,424,736 $7,128,372,492
Short-Term Instruments - 2.1% 153,059,511 153,060,573
-------------------------------------------------------------------------------------------------------------------------
Total Investments in Securities - 100.5% .............. 5,076,484,247 7,281,433,065
-------------------------------------------------------------------------------------------------------------------------
Liabilities in Excess of Other Assets - (0.5%) .......................................... (37,447,720)
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS - 100.0% ................................................................ $7,243,985,345
-------------------------------------------------------------------------------------------------------------------------
STOCK INDEX FUND TOTAL INVESTMENTS IN
SECURITIES (0.352% OF PORTFOLIO) ........................... $27,312,894 $25,493,712
=========================================================================================================================
</TABLE>
The Stock Index Fund's ownership interest in the Equity 500 Index Portfolio as
of June 30, 2000, was 0.352%. Complete details relating to the investments of
the Equity 500 Index Portfolio, along with the Portfolio's unaudited financial
statements, can be found in Appendix A and should be considered an integral part
of these financial statements.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
34
<PAGE> 35
VALUE FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (97.7% OF PORTFOLIO)
BASIC INDUSTRIES - 8.7%
Aluminum
Alcan Aluminum Ltd............................................... 56,200 $ 1,742,200
Chemicals
Avery Dennison Corp.............................................. 162,600 10,914,525
Forest Products
Pope & Talbot, Inc............................................... 47,500 760,000
Packaging/Containers
Bemis Co., Inc................................................... 332,300 11,173,588
Pactiv Corp. (a) ................................................. 301,200 2,371,950
Paper
International Paper Co........................................... 46,400 1,383,300
-------------------------------------------------------------------------------------------------------------------------
Total Basic Industries ................................................................ 28,345,563
-------------------------------------------------------------------------------------------------------------------------
CAPITAL GOODS - 6.1%
Construction Supplies & Fixtures
Hughes Supply, Inc. ............................................ 356,800 7,046,800
Industrial Machinery
Applied Industrial Technologies, Inc. .......................... 361,700 5,922,837
Parker-Hannifin Corp. .......................................... 156,975 5,376,394
Manufacturing-Diverse
Honeywell International Inc. ................................... 40,000 1,347,500
-------------------------------------------------------------------------------------------------------------------------
Total Capital Goods ................................................................... 19,693,531
-------------------------------------------------------------------------------------------------------------------------
CONSUMER DURABLE GOODS - 9.6%
Auto Parts
Cooper Tire & Rubber Co. ....................................... 507,000 5,640,375
Genuine Parts Co. .............................................. 350,300 7,006,000
Tenneco Automotive, Inc. ....................................... 117,740 677,005
Household Appliances & Furnishings
Juno Lighting, Inc. (a) ........................................ 21,435 128,610
Maytag Corp. ................................................... 241,400 8,901,625
Housewares
Oneida Ltd. .................................................... 491,700 8,727,675
-------------------------------------------------------------------------------------------------------------------------
Total Consumer Durable Goods .......................................................... 31,081,290
-------------------------------------------------------------------------------------------------------------------------
CONSUMER NON-DURABLE GOODS - 21.3%
Drugs & Health Care
American Home Products Corp. ................................... 148,000 8,695,000
Pharmacia Corp. ................................................ 172,550 8,918,678
</TABLE>
35
<PAGE> 36
VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
SmithKline Beecham PLC ......................................... 86,000 $ 5,606,125
Food Processing
J.M. Smucker Co. (Class B) ...................................... 472,700 8,863,125
Photography
Eastman Kodak Co. ............................................... 104,500 6,217,750
Retail
Dillards Department Stores, Inc. ................................ 478,000 5,855,500
K Mart Corp. (a) ................................................ 755,700 5,148,206
Longs Drug Stores Corp. ......................................... 276,700 6,018,225
May Department Stores, Inc. ..................................... 256,250 6,150,000
Ruddick Corp. ................................................... 609,200 7,196,175
-------------------------------------------------------------------------------------------------------------------------
Total Consumer Non-Durable Goods ....................................................... 68,668,784
-------------------------------------------------------------------------------------------------------------------------
CONSUMER SERVICES - 4.9%
Restaurants
Brinker International, Inc. (a) ................................. 243,800 7,131,150
Wendy's International, Inc. ..................................... 495,200 8,820,750
-------------------------------------------------------------------------------------------------------------------------
Total Consumer Services ................................................................ 15,951,900
-------------------------------------------------------------------------------------------------------------------------
ENERGY - 12.6%
International Oil
BP Amoco PLC .................................................... 183,352 10,370,848
Chevron Corp. ................................................... 55,000 4,664,687
Texaco, Inc. .................................................... 108,400 5,772,300
Oil Well Services & Equipment
Baker Hughes, Inc. .............................................. 300,000 9,600,000
Halliburton Co. ................................................. 223,000 10,522,813
-------------------------------------------------------------------------------------------------------------------------
Total Energy ........................................................................... 40,930,648
-------------------------------------------------------------------------------------------------------------------------
FINANCE - 20.9%
Banks
Bank of America Corp. ........................................... 195,100 8,389,300
Bank One Corp. 329,180 8,743,844
BB&T Corp. ...................................................... 149,800 3,576,475
Chase Manhattan Corp. ........................................... 192,600 8,871,637
Citigroup, Inc. ................................................. 187,575 11,301,394
Commerce Bancshares, Inc. ....................................... 306,598 9,121,290
Insurance
Allstate Corp. 382,000 8,499,500
Chubb Corp. ..................................................... 111,000 6,826,500
Ohio Casualty Corp. ............................................. 230,400 2,448,000
-------------------------------------------------------------------------------------------------------------------------
Total Finance .......................................................................... 67,777,940
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
36
<PAGE> 37
VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
GENERAL BUSINESS - 3.4%
Business Services
Concord EFS, Inc. (a) ........................................... 70,000 $ 1,820,000
Commercial Printing
R.R. Donnelley & Sons Co. ....................................... 414,300 9,347,644
-------------------------------------------------------------------------------------------------------------------------
Total General Business ................................................................ 11,167,644
-------------------------------------------------------------------------------------------------------------------------
TECHNOLOGY - 1.8%
Computers & Business Equipment
Xerox Corp. ..................................................... 291,000 5,820,000
-------------------------------------------------------------------------------------------------------------------------
Total Technology ...................................................................... 5,820,000
-------------------------------------------------------------------------------------------------------------------------
TRANSPORTATION - 3.4%
Air Travel
Southwest Airlines Co. .......................................... 582,600 11,032,987
-------------------------------------------------------------------------------------------------------------------------
Total Transportation .................................................................. 11,032,987
-------------------------------------------------------------------------------------------------------------------------
UTILITIES - 5.0%
Gas & Pipeline
Questar Corp. ................................................... 516,600 10,009,125
Telephone
BellSouth Corp. ................................................. 147,000 6,265,875
-------------------------------------------------------------------------------------------------------------------------
Total Utilities ....................................................................... 16,275,000
-------------------------------------------------------------------------------------------------------------------------
Total Common Stock (Cost $276,819,327) ................................................ 316,745,287
-------------------------------------------------------------------------------------------------------------------------
</TABLE>
37
<PAGE> 38
VALUE FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES/
FACE AMOUNT VALUE
<S> <C> <C>
-------------------------------------------------------------------------------------------------------------------------
PREFERRED STOCKS (0.3% OF PORTFOLIO)
K Mart Corp., 7.75% Convertible Preferred ...................... 25,200 shs. $ 918,225
-------------------------------------------------------------------------------------------------------------------------
Total Preferred Stocks (Cost $1,281,750) ............................................. 918,225
-------------------------------------------------------------------------------------------------------------------------
COMMERCIAL PAPER (2.0% OF PORTFOLIO)
Household Finance Corp., 6.88%, due 07/03/00 ................... $6,483,000 6,480,522
-------------------------------------------------------------------------------------------------------------------------
Total Commercial Paper (Cost $6,480,522) ............................................. 6,480,522
-------------------------------------------------------------------------------------------------------------------------
MONEY MARKET ACCOUNT
State Street Bank and Trust SSgA Fund, 6.24% (b) ......................................... 3,859
-------------------------------------------------------------------------------------------------------------------------
Total Money Market Account (Cost $3,859) ............................................. 3,859
-------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES (COST $284,585,458) - 100% ................................ $324,147,893
=========================================================================================================================
</TABLE>
(a) Non-income producing.
(b) One day yield at June 30, 2000.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
38
<PAGE> 39
SMALL COMPANY STOCK FUND
PORTFOLIO OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
-----------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (93.9% OF PORTFOLIO)
BASIC INDUSTRIES - 2.1%
Packaging/Containers
Pactiv Corp. (a) ........................ 25,000 $ 196,875
-----------------------------------------------------------------------------
Total Basic Industries .............................. 196,875
-----------------------------------------------------------------------------
CAPITAL GOODS - 26.5%
Construction Supplies & Fixtures
Hughes Supply, Inc. ..................... 18,200 359,450
Industrial Machinery
Applied Industrial Technologies, Inc. ... 17,200 281,650
Flowserve Corp. (a) ..................... 12,500 189,062
Manitowoc Co., Inc. ..................... 8,000 214,000
Regal-Beloit Corp. ...................... 18,000 286,875
Manufacturing-Diverse
CLARCOR, Inc. ........................... 25,100 498,862
Lydall, Inc. (a) ........................ 36,900 392,062
Standex International Corp. ............. 19,500 312,000
-----------------------------------------------------------------------------
Total Capital Goods ................................. 2,533,961
-----------------------------------------------------------------------------
CONSUMER DURABLE GOODS - 6.8%
Auto Parts
Cooper Tire & Rubber Co. ................ 25,800 287,025
Household Appliances & Furnishings
Juno Lighting, Inc. (a) ................. 886 5,316
Housewares
Oneida Ltd. ............................. 19,900 353,225
-----------------------------------------------------------------------------
Total Consumer Durable Goods ........................ 645,566
-----------------------------------------------------------------------------
CONSUMER NON-DURABLE GOODS - 24.4%
Cosmetics & Toiletries
Alberto Culver Co. (Class A) ............ 15,000 393,750
Food Processing
J.M. Smucker Co. (Class B) .............. 26,500 496,875
Retail
Charming Shoppes, Inc. (a) .............. 62,000 315,812
Claire's Stores, Inc. ................... 17,500 336,875
Longs Drug Stores, Corp. ................ 18,900 411,075
Ruddick Corp. ........................... 31,400 370,913
-----------------------------------------------------------------------------
Total Consumer Non-Durable Goods .................... 2,325,300
-----------------------------------------------------------------------------
</TABLE>
39
<PAGE> 40
SMALL COMPANY STOCK FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
----------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
CONSUMER SERVICES - 5.3%
Restaurants
CBRL Group, Inc. (a) ......................... 34,500 $ 506,719
----------------------------------------------------------------------------------
Total Consumer Services .................................. 506,719
----------------------------------------------------------------------------------
ENERGY - 4.7%
Oil Well Services & Equipment
Helmerich & Payne, Inc. ...................... 12,700 450,850
----------------------------------------------------------------------------------
Total Energy ............................................. 450,850
----------------------------------------------------------------------------------
FINANCE - 9.5%
Banks
UMB Financial Corp. .......................... 11,330 371,765
Valley National Bancorp ...................... 10,500 256,594
Insurance
Ohio Casualty Corp. .......................... 26,200 278,375
----------------------------------------------------------------------------------
Total Finance ............................................ 906,734
----------------------------------------------------------------------------------
GENERAL BUSINESS - 6.9%
Commercial Printing
Banta Corp. .................................. 20,500 388,219
Linen Supply
Superior Uniform Group, Inc. ................. 31,400 272,787
----------------------------------------------------------------------------------
Total General Business ................................... 661,006
----------------------------------------------------------------------------------
TRANSPORTATION - 3.9%
Railroad
Wisconsin Central Transportation Corp. (a) ... 28,500 370,500
----------------------------------------------------------------------------------
Total Transportation ..................................... 370,500
----------------------------------------------------------------------------------
UTILITIES - 3.8%
Gas & Pipeline
Questar Corp. ................................ 18,700 362,313
----------------------------------------------------------------------------------
Total Utilities .......................................... 362,313
----------------------------------------------------------------------------------
Total Common Stock (Cost $10,642,953) .................... 8,959,824
----------------------------------------------------------------------------------
</TABLE>
40
<PAGE> 41
SMALL COMPANY STOCK FUND
PORTFOLIO OF INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
FACE AMOUNT VALUE
---------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMERCIAL PAPER (6.1% OF PORTFOLIO)
American Express Credit Corp., 6.88%, due 07/03/00 ........... $ 482,000 $ 481,816
Household Finance Corp., 6.88%, due 07/03/00 ................. 100,000 99,962
---------------------------------------------------------------------------------------------------
Total Commercial Paper (Cost $581,778) ........................................ 581,778
---------------------------------------------------------------------------------------------------
MONEY MARKET ACCOUNT
State Street Bank & Trust SSgA Fund, 6.24% (b) ..................................... 1,267
---------------------------------------------------------------------------------------------------
Total Money Market Account (Cost $1,267) ...................................... 1,267
---------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS IN SECURITIES (COST $11,225,998) - 100% .......................... $9,542,869
===================================================================================================
</TABLE>
(a) Non-income producing.
(b) One day yield at June 30, 2000.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
41
<PAGE> 42
STATEMENTS OF ASSETS & LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHORT-TERM
DAILY INCOME GOVERNMENT SHORT-TERM
FUND SECURITIES FUND BOND FUND
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments in securities, at value (cost: $68,740,814;
$29,496,323; $151,658,005) ......................................... $68,740,814 $ 29,119,156 $ 149,375,890
Receivables
Investment securities sold ......................................... -- 124,615 --
Dividends and interest ............................................. 346,867 301,136 1,584,157
Capital shares sold ................................................ 27,398 230 3,122
Prepaid expenses ...................................................... 16,136 17,448 23,391
Accrued expenses ...................................................... -- -- --
-----------------------------------------------------------------------------------------------------------------------------------
Total assets .......................................................... 69,131,215 29,562,585 150,986,560
-----------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables
Investment securities purchased .................................... 1,017,879 -- 454,743
Accrued expenses ................................................... 30,738 12,356 63,276
Due to RE Advisers ................................................. 29,718 18,083 58,082
Capital shares redeemed ............................................ 18,303 -- 15,593
Dividends .......................................................... 13,738 5,950 41,111
-----------------------------------------------------------------------------------------------------------------------------------
Total liabilities ..................................................... 1,110,376 36,389 632,805
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS ............................................................ $68,020,839 $ 29,526,196 $ 150,353,755
===================================================================================================================================
NET ASSETS CONSIST OF:
Unrealized appreciation (depreciation) of investments ................. $ -- $ (377,167) $ (2,282,115)
Undistributed net income .............................................. -- -- --
Undistributed net realized gain (loss) from investments
and futures transactions ........................................... -- (2,962) (28,543)
Paid-in-capital applicable to outstanding shares of 68,020,839 of
Daily Income Fund, 5,900,999 of Short-Term Government Securities
Fund, and 29,518,357 of Short-Term Bond Fund ....................... 68,020,839 29,906,325 152,664,413
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS ............................................................ $68,020,839 $ 29,526,196 $ 150,353,755
===================================================================================================================================
NET ASSET VALUE PER SHARE ............................................. $ 1.00 $ 5.00 $ 5.09
===================================================================================================================================
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
42
<PAGE> 43
STATEMENTS OF ASSETS & LIABILITIES
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL
STOCK INDEX VALUE COMPANY
FUND FUND STOCK FUND
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments in securities, at value (cost: $27,312,894;
$284,585,458; $11,225,998) ...................................... $ 25,493,712 $324,147,893 $ 9,542,869
Receivables
Investment securities sold ...................................... -- -- --
Dividends and interest .......................................... -- 594,129 12,914
Capital shares sold ............................................. 5,111 114,265 2,008
Prepaid expenses ................................................... 8,434 35,862 15,091
Accrued expenses ................................................... -- 15,931 --
---------------------------------------------------------------------------------------------------------------------------------
Total assets ....................................................... 25,507,257 324,908,080 9,572,882
---------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payables
Investment securities purchased ................................. -- 1,372,000 --
Accrued expenses ................................................ 9,716 -- 13,111
Due to RE Advisers .............................................. 5,551 166,899 3,942
Capital shares redeemed ......................................... 1,395 77,389 961
Dividends ....................................................... 701 68,145 --
---------------------------------------------------------------------------------------------------------------------------------
Total liabilities .................................................. 17,363 1,684,433 18,014
---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS ......................................................... $ 25,489,894 $323,223,647 $ 9,554,868
=================================================================================================================================
NET ASSETS CONSIST OF:
Unrealized appreciation (depreciation) of investments .............. $ (1,819,182) $ 39,562,435 $ (1,683,129)
Undistributed net income ........................................... -- -- 46,392
Undistributed net realized gain (loss) from investments
and futures transactions ........................................ 2,448,604 13,604,047 24,859
Paid-in-capital applicable to outstanding shares of 2,350,100 of
Stock Index Fund, 14,610,624 of Value Fund, and 1,166,960
of Small Company Stock Fund ..................................... 24,860,472 270,057,165 11,166,746
---------------------------------------------------------------------------------------------------------------------------------
NET ASSETS ......................................................... $ 25,489,894 $323,223,647 $ 9,554,868
=================================================================================================================================
NET ASSET VALUE PER SHARE .......................................... $ 10.85 $ 22.12 $ 8.19
=================================================================================================================================
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
43
<PAGE> 44
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHORT-TERM
DAILY INCOME GOVERNMENT SHORT-TERM
FUND SECURITIES FUND BOND FUND
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest .............................................. $ 2,084,981 $ 908,746 $ 5,160,469
Dividends ............................................. -- -- --
------------------------------------------------------------------------------------------------------------------
Total income ............................................. 2,084,981 908,746 5,160,469
------------------------------------------------------------------------------------------------------------------
Expenses
Management fees ....................................... 168,836 69,748 475,266
Custodian and accounting fees ......................... 41,719 12,448 94,922
Shareholder servicing ................................. 35,108 20,240 49,660
Communication ......................................... 8,018 3,390 13,161
Registration expense .................................. 13,214 15,142 19,532
Legal and audit fees .................................. 6,812 3,812 12,573
Printing .............................................. 3,443 1,488 7,366
Insurance ............................................. 2,231 1,239 6,197
Other expenses ........................................ 1,497 830 3,835
Directors fees ........................................ 885 417 2,059
Administration fees ................................... -- -- --
------------------------------------------------------------------------------------------------------------------
Total expenses ........................................... 281,763 128,754 684,571
------------------------------------------------------------------------------------------------------------------
Less fees waived and expenses
reimbursed by RE Advisers ............................. (12,349) (12,622) (91,471)
------------------------------------------------------------------------------------------------------------------
Net expenses ............................................. 269,414 116,132 593,100
------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME .................................... 1,815,567 792,614 4,567,369
------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments .................. -- (2,962) (28,543)
Net change in unrealized appreciation (depreciation) ..... -- 32,685 (8,308)
------------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS ........................... -- 29,723 (36,851)
------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS .... $ 1,815,567 $ 822,337 $ 4,530,518
==================================================================================================================
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
44
<PAGE> 45
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SMALL
STOCK INDEX VALUE COMPANY
FUND FUND STOCK FUND
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Interest ............................................. $ -- $ 308,043 $ 14,279
Dividends ............................................ 125,193 4,139,173 104,353
-------------------------------------------------------------------------------------------------------------------
Total income ............................................ 125,193 4,447,216 118,632
-------------------------------------------------------------------------------------------------------------------
Expenses
Management fees ...................................... 5,057 1,030,617 41,036
Custodian and accounting fees ........................ 214 120,741 10,303
Shareholder servicing ................................ 3,532 164,060 22,618
Communication ........................................ 4,901 54,111 5,013
Registration expense ................................. 5,873 5,297 12,652
Legal and audit fees ................................. 4,021 21,409 2,814
Printing ............................................. 2,716 13,364 627
Insurance ............................................ 524 11,814 496
Other expenses ....................................... 125 8,177 390
Directors fees ....................................... 321 3,830 83
Administration fees .................................. 25,487 -- --
-------------------------------------------------------------------------------------------------------------------
Total expenses .......................................... 52,771 1,433,420 96,032
-------------------------------------------------------------------------------------------------------------------
Less fees waived and expenses
reimbursed by RE Advisers ............................ -- -- (23,792)
-------------------------------------------------------------------------------------------------------------------
Net expenses ............................................ 52,771 1,433,420 72,240
-------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME ................................... 72,422 3,013,796 46,392
-------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on investments ................. 2,451,591 13,604,047 24,859
Net change in unrealized appreciation (depreciation) .... (2,181,039) (37,895,276) (284,574)
-------------------------------------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS .......................... 270,552 (24,291,229) (259,715)
-------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS ... $ 342,974 $(21,277,433) $(213,323)
===================================================================================================================
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
45
<PAGE> 46
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
SHORT-TERM
GOVERNMENT SHORT-TERM
DAILY INCOME FUND SECURITIES FUND BOND FUND
------------------------------------------------------------------------------------------------------------------------------------
Six Months Six Months Six Months
Ended Year Ended Ended Year Ended Ended Year Ended
June 30, 2000 December 31, June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999 (Unaudited) 1999 (Unaudited) 1999
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ............... $ 1,815,567 $ 2,877,124 $ 792,614 $ 1,436,046 $ 4,567,369 $ 9,043,927
Net realized gain (loss)
on investments ................... -- -- (2,962) 7,990 (28,543) 41,847
Net change in unrealized
appreciation (depreciation) ...... -- -- 32,685 (569,413) (8,308) (3,686,363)
------------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net
assets from operations ........... 1,815,567 2,877,124 822,337 874,623 4,530,518 5,399,411
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ............... (1,815,567) (2,877,124) (792,614) (1,436,046) (4,567,369) (9,043,927)
Net realized gain
on investments ................... -- -- -- (7,990) -- (41,847)
------------------------------------------------------------------------------------------------------------------------------------
Total distributions
to shareholders .................. (1,815,567) (2,877,124) (792,614) (1,444,036) (4,567,369) (9,085,774)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS, NET ..... 4,286,853 5,156,838 (4,963,022) 11,098,783 (21,303,040) 29,029,639
------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS .................... 4,286,853 5,156,838 (4,933,299) 10,529,370 (21,339,891) 25,343,276
NET ASSETS
Beginning of year ................... 63,733,986 58,577,148 34,459,495 23,930,125 171,693,646 146,350,370
------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD ....................... $ 68,020,839 $ 63,733,986 $ 29,526,196 $ 34,459,495 $ 150,353,755 $ 171,693,646
====================================================================================================================================
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
46
<PAGE> 47
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
STOCK INDEX SMALL COMPANY
FUND VALUE FUND STOCK FUND
------------------------------------------------------------------------------------------------------------------------------------
Six Months Six Months Six Months
Ended Period Ended Ended Year Ended Ended Year Ended
June 30, 2000 December 31, June 30, 2000 December 31, June 30, 2000 December 31,
(Unaudited) 1999* (Unaudited) 1999 (Unaudited) 1999
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
OPERATIONS
Net investment income ............... $ 72,422 $ 4,138 $ 3,013,796 $ 6,666,832 $ 46,392 $ 64,109
Net realized gain (loss)
on investments ................... 2,451,591 (2,987) 13,604,047 27,761,410 24,859 520,344
Net change in unrealized
appreciation (depreciation) ...... (2,181,039) 361,857 (37,895,276) (48,332,822) (284,574) (856,439)
------------------------------------------------------------------------------------------------------------------------------------
Increase (decrease) in net
assets from operations ........... 342,974 363,008 (21,277,433) (13,904,580) (213,323) (271,986)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income ............... (72,422) (4,138) (3,013,796) (6,666,832) -- (64,109)
Net realized gain
on investments ................... -- -- -- (27,761,410) -- (518,635)
------------------------------------------------------------------------------------------------------------------------------------
Total distributions
to shareholders .................. (72,422) (4,138) (3,013,796) (34,428,242) -- (582,744)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS, NET ..... 16,907,881 7,952,591 (58,787,219) 5,632,971 (868,901) 3,929,793
------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS .................... 17,178,433 8,311,461 (83,078,448) (42,699,851) (1,082,224) 3,075,063
NET ASSETS
Beginning of year ................... 8,311,461 -- 406,302,095 449,001,946 10,637,092 7,562,029
------------------------------------------------------------------------------------------------------------------------------------
END OF PERIOD ....................... $ 25,489,894 $ 8,311,461 $ 323,223,647 $ 406,302,095 $ 9,554,868 $ 10,637,092
====================================================================================================================================
</TABLE>
* For the period beginning October 28, 1999 (inception date) to December 31,
1999.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
47
<PAGE> 48
DAILY INCOME FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED DECEMBER 31,
ENDED JUNE 30, 2000 --------------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR ................ $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
------------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
Net investment income (a) ...................... 0.03 0.04 0.05 0.05 0.05 0.05
------------------------------------------------------------------------------------------------------------------------------------
Total from investment operations ............... 0.03 0.04 0.05 0.05 0.05 0.05
------------------------------------------------------------------------------------------------------------------------------------
Distributions
Net investment income .......................... (0.03) (0.04) (0.05) (0.05) (0.05) (0.05)
------------------------------------------------------------------------------------------------------------------------------------
Total distributions ............................ (0.03) (0.04) (0.05) (0.05) (0.05) (0.05)
------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD .................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
====================================================================================================================================
TOTAL RETURN ...................................... 2.71%(b) 4.56% 4.91% 4.92% 4.81% 5.38%
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (thousands) ............. $ 68,021 $ 63,734 $ 58,577 $ 53,033 $ 57,871 $ 52,699
Ratio of gross expenses before voluntary expense
limitation to average net assets ............... 0.83%(c) 0.84% 0.87% 0.83% 0.81% 0.87%
Ratio of net investment income to
average net assets (a) ......................... 5.36%(c) 4.47% 4.80% 4.80% 4.71% 5.25%
Ratio of expenses to average net assets (a) ....... 0.80%(c) 0.80% 0.80% 0.80% 0.76% 0.75%
</TABLE>
----------
(a) Excludes excess investment management fees and other expenses in accordance
with the Expense Limitation Agreement with RE Advisers.
(b) Aggregate total return for the period.
(c) Annualized.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
48
<PAGE> 49
SHORT-TERM GOVERNMENT SECURITIES FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
MAY 1, 1995
SIX MONTHS YEAR ENDED DECEMBER 31, (INCEPTION DATE)
ENDED JUNE 30, 2000 --------------------------------------------- TO DECEMBER 31,
(UNAUDITED) 1999 1998 1997 1996 1995
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR ................ $ 5.00 $ 5.09 $ 5.07 $ 5.05 $ 5.09 $ 5.00
------------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
Net investment income (a) ...................... 0.13 0.23 0.25 0.26 0.26 0.18
Net realized and unrealized gain (loss)
on investments ............................... 0.00 (0.09) 0.02 0.02 (0.04) 0.09
------------------------------------------------------------------------------------------------------------------------------------
Total from investment operations ............... 0.13 0.14 0.27 0.28 0.22 0.27
------------------------------------------------------------------------------------------------------------------------------------
Distributions
Net investment income .......................... (0.13) (0.23) (0.25) (0.26) (0.26) (0.18)
------------------------------------------------------------------------------------------------------------------------------------
Total distributions ............................ (0.13) (0.23) (0.25) (0.26) (0.26) (0.18)
------------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD .................... $ 5.00 $ 5.00 $ 5.09 $ 5.07 $ 5.05 $ 5.09
====================================================================================================================================
TOTAL RETURN ...................................... 2.58%(b) 2.88% 5.51% 5.73% 4.46% 5.44%(b)
====================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (thousands) ............. $ 29,526 $ 34,459 $ 23,930 $ 16,187 $ 7,692 $ 2,658
Ratio of gross expenses before voluntary expense
limitation to average net assets ............... 0.83%(c) 0.86% 1.03% 1.27% 2.30% 6.21%(c)
Ratio of net investment income to
average net assets (a) ......................... 5.10%(c) 4.63% 5.00% 5.19% 5.16% 5.18%(c)
Ratio of expenses to average net assets (a) ....... 0.75%(c) 0.75% 0.75% 0.75% 0.75% 0.75%(c)
Portfolio turnover rate ........................... 18%(c) 9% 57% 12% 21% 11%(c)
</TABLE>
----------
(a) Excludes excess investment management fees and other expenses in accordance
with the Expense Limitation Agreement with RE Advisers.
(b) Aggregate total return for the period.
(c) Annualized.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
49
<PAGE> 50
SHORT-TERM BOND FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED DECEMBER 31,
ENDED JUNE 30, 2000 ------------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR ................ $ 5.09 $ 5.21 $ 5.18 $ 5.15 $ 5.19 $ 4.95
----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
Net investment income (a) ...................... 0.15 0.28 0.29 0.30 0.29 0.28
Net realized and unrealized gain (loss)
on investments ............................... 0.00 (0.12) 0.03 0.03 (0.04) 0.24
----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations ............... 0.15 0.16 0.32 0.33 0.25 0.52
----------------------------------------------------------------------------------------------------------------------------------
Distributions
Net investment income .......................... (0.15) (0.28) (0.29) (0.30) (0.29) (0.28)
----------------------------------------------------------------------------------------------------------------------------------
Total distributions ............................ (0.15) (0.28) (0.29) (0.30) (0.29) (0.28)
----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD .................... $ 5.09 $ 5.09 $ 5.21 $ 5.18 $ 5.15 $ 5.19
==================================================================================================================================
TOTAL RETURN ...................................... 2.91%(b) 3.21% 6.40% 6.62% 5.16% 10.81%
==================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (thousands) ............. $150,354 $171,694 $146,350 $108,898 $81,470 $62,125
Ratio of gross expenses before voluntary expense
limitation to average net assets ............... 0.86%(c) 0.83% 0.84% 0.87% 0.76% 0.86%
Ratio of net investment income to
average net assets (a) ......................... 5.75%(c) 5.48% 5.53% 5.75% 5.72% 5.49%
Ratio of expenses to average net assets (a) ....... 0.75%(c) 0.75% 0.75% 0.75% 0.75% 0.75%
Portfolio turnover rate ........................... 16%(c) 37% 62% 55% 49% 35%
</TABLE>
----------
(a) Excludes excess investment management fees and other expenses in accordance
with the Expense Limitation Agreement with RE Advisers.
(b) Aggregate total return for the period.
(c) Annualized.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
50
<PAGE> 51
VALUE FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED DECEMBER 31,
ENDED JUNE 30, 2000 -------------------------------------------------------------
(UNAUDITED) 1999 1998 1997 1996 1995
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR ................ $ 23.53 $ 26.50 $ 25.50 $ 20.99 $ 18.44 $ 14.50
-----------------------------------------------------------------------------------------------------------------------------------
Income from investment operations
Net investment income (a) ...................... 0.21 0.41 0.40 0.37 0.39 0.41
Net realized and unrealized gain
on investments ............................... (1.41) (1.23) 1.72 5.22 2.91 4.47
-----------------------------------------------------------------------------------------------------------------------------------
Total from investment operations ............... (1.20) (0.82) 2.12 5.59 3.30 4.88
-----------------------------------------------------------------------------------------------------------------------------------
Distributions
Net investment income .......................... (0.21) (0.41) (0.40) (0.37) (0.39) (0.41)
Net realized gain .............................. -- (1.74) (0.72) (0.71) (0.36) (0.53)
-----------------------------------------------------------------------------------------------------------------------------------
Total distributions ............................ (0.21) (2.15) (1.12) (1.08) (0.75) (0.94)
-----------------------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD .................... $ 22.12 $ 23.53 $ 26.50 $ 25.50 $ 20.99 $ 18.44
===================================================================================================================================
TOTAL RETURN ...................................... (5.11)%(b) (3.21)% 8.31% 26.70% 17.94% 33.78%
===================================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (thousands) ............. $323,224 $406,302 $449,002 $378,621 $238,550 $147,506
Ratio of gross expenses before voluntary expense
limitation to average net assets ............... N/A N/A N/A N/A N/A N/A
Ratio of net investment income to
average net assets (a) ......................... 1.71%(c) 1.47% 1.52% 1.59% 2.08% 2.50%
Ratio of expenses to average net assets (a) ....... 0.81%(c) 0.74% 0.72% 0.79% 0.73% 0.84%
Portfolio turnover rate ........................... 10%(c) 17% 10% 6% 5% 10%
</TABLE>
----------
(a) Excludes excess investment management fees and other expenses in accordance
with the Expense Limitation Agreement with RE Advisers.
(b) Aggregate total return for the period.
(c) Annualized.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
51
<PAGE> 52
STOCK INDEX FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD
<TABLE>
<CAPTION>
OCTOBER 28, 1999
SIX MONTHS (INCEPTION DATE)
ENDED JUNE 30, 2000 TO DECEMBER 31,
(UNAUDITED) 1999
-----------------------------------------------------------------------------------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR ................ $ 10.96 $ 10.00
-----------------------------------------------------------------------------------------------
Income from investment operations
Net investment income (a) ...................... 0.03 0.01
Net realized and unrealized gain
on investments .............................. (0.11) 0.96
-----------------------------------------------------------------------------------------------
Total from investment operations ............... (0.08) 0.97
-----------------------------------------------------------------------------------------------
Distributions
Net investment income .......................... (0.03) (0.01)
Net realized gain .............................. 0.00 0.00
Total distributions ............................ (0.03) (0.01)
-----------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD .................... $ 10.85 $ 10.96
===============================================================================================
TOTAL RETURN ...................................... (0.81)%(b) 9.65%(b)
===============================================================================================
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (thousands) ............. $ 25,490 $ 8,311
Ratio of gross expenses before voluntary expense
limitation to average net assets ............... N/A N/A
Ratio of net investment income to
average net assets (a) ......................... 0.71%(c) 0.54%(c)
Ratio of expenses to average net assets (a) ....... 0.52%(c) 0.72%(c)
Portfolio turnover rate ........................... N/A N/A
</TABLE>
----------
(a) Excludes excess administrative fees and other expenses in accordance with
the Expense Limitation Agreement with RE Advisers.
(b) Aggregate total return for the period.
(c) Annualized.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
52
<PAGE> 53
SMALL COMPANY STOCK FUND
FINANCIAL HIGHLIGHTS
FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
<TABLE>
<CAPTION>
MARCH 4, 1998
SIX MONTHS YEAR ENDED (INCEPTION DATE)
ENDED JUNE 30, 2000 DECEMBER 31, TO DECEMBER 31,
(UNAUDITED) 1999 1998
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR ................ $8.32 $8.85 $10.00
---------------------------------------------------------------------------------------------------------------------
Income from investment operations
Net investment income (a) ...................... 0.04 0.05 0.05
Net realized and unrealized gain (loss)
on investments .............................. (0.17) (0.10) (1.15)
---------------------------------------------------------------------------------------------------------------------
Total from investment operations ............... (0.13) (0.05) (1.10)
---------------------------------------------------------------------------------------------------------------------
Distributions
Net investment income .......................... -- (0.05) (0.05)
Net realized gain .............................. -- (0.43) --
---------------------------------------------------------------------------------------------------------------------
Total distributions ............................ 0.00 (0.48) (0.05)
---------------------------------------------------------------------------------------------------------------------
NET ASSET VALUE, END OF PERIOD .................... $8.19 $8.32 $8.85
=====================================================================================================================
TOTAL RETURN ...................................... (1.56)%(b) (0.55)% (11.02)%(b)
=====================================================================================================================
RATIOS/SUPPLEMENTAL DATA
Net assets, end of period (thousands) ............. $9,555 $10,637 $7,562
Ratio of gross expenses before voluntary expense
limitation to average net assets ............... 1.98%(c) 2.02% 3.11%(c)
Ratio of net investment income to
average net assets (a) ......................... 0.96%(c) 0.65% 1.04%(c)
Ratio of expenses to average net assets (a) ....... 1.50%(c) 1.50% 1.50%(c)
Portfolio turnover rate ........................... 11%(c) 23% 20%(c)
</TABLE>
----------
(a) Excludes excess investment management fees and other expenses in accordance
with the Expense Limitation Agreement with RE Advisers.
(b) Aggregate total return for the period.
(c) Annualized.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
53
<PAGE> 54
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION
Homestead Funds, Inc. (Homestead Funds) is a Maryland corporation registered
with the Securities and Exchange Commission under the Investment Company Act of
1940 (the Act) as a no-load, open-end diversified management investment company.
Homestead Funds (the Fund) currently consists of six funds: Daily Income Fund,
Short-Term Government Securities Fund, Short-Term Bond Fund, Stock Index Fund,
Value Fund, and Small Company Stock Fund. The Stock Index Fund commenced
operations on October 28, 1999.
Each Fund is a separate investment portfolio with distinct investment
objectives, investment programs, policies and restrictions. The investment
objectives of the Fund as well as the nature and risks of the investment
activities of each Fund are set forth more fully in the Homestead Funds'
Prospectus and Statement of Additional Information.
The Stock Index Fund seeks to achieve its investment objective by investing
substantially all of its assets in the Equity 500 Index Portfolio (the
Portfolio), which is registered under the Act as an open-end management
investment company advised by Bankers Trust Company and is designed to replicate
the broad diversification and returns of the S&P 500 Index. At June 30, 2000,
the Stock Index Fund's investment was 0.352% of the Portfolio. The financial
statements of the Portfolio are contained in Appendix A of this report and
should be read in conjunction with the Stock Index Fund's financial statements.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Security valuation: The Daily Income Fund values all money market instruments on
an amortized cost basis, which approximates market value. Under the amortized
cost method, discounts and premiums on securities purchased are amortized over
the life of the respective securities.
The Short-Term Government Securities Fund, the Short-Term Bond Fund, the Value
Fund and the Small Company Stock Fund value investments in common stocks,
preferred stocks, and convertible preferred stocks traded on national securities
exchanges and certain over-the-counter securities at the last quoted sale price
at the close of the New York Stock Exchange. Short-term debt instruments with a
remaining maturity of more than 60 days, intermediate and long-term bonds,
convertible bonds, and other debt securities are generally valued at market
prices furnished by an independent pricing service. Over-the-counter issues not
quoted on the NASDAQ system, other equity securities and debt instruments for
which a sale price is not available are valued at the mean of the closing bid
and asked prices, or the last available sale price may be used for
exchange-traded debt securities. Securities with a maturity of 60 days or less
are valued on an amortized cost basis, which approximates market value.
The Stock Index Fund records its investment in the Portfolio at value, which
reflects its proportionate interest in the net assets of the Portfolio.
Valuation of the securities held by the Portfolio is discussed in the notes to
the Portfolio's financial statements included in Appendix A of this report.
Distributions to shareholders: Dividends to shareholders are recorded on the
ex-dividend date. Income dividends for the Daily Income Fund, the Short-Term
Government Securities Fund and the Short-Term Bond Fund are declared daily and
paid monthly. Income dividends for the Stock Index Fund are declared and paid
quarterly. Income dividends for the Value Fund are declared and paid
semi-annually. Income dividends for the Small Company Stock Fund are declared
and paid annually. Capital gains dividends, if any, are declared and paid at the
end of each fiscal year.
Use of estimates in the preparation of financial statements: The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts of assets and liabilities and disclosure of contingent assets and
liabilities at the date of the financial statements and the reported amounts of
revenues and expenses during the reporting period. Actual results could differ
from those estimates.
Other: The financial statements reflect all adjustments, which are of a normal
recurring nature, and which, in the opinion of management, are necessary to a
fair statement of results for the six months ended June 30, 2000. Dividend
income is recorded on the ex-dividend date. Interest income and expenses are
recorded on the accrual basis. Investment transactions are recorded on the trade
date. Realized gains and losses from investment transactions are reported on the
identified cost basis.
The Stock Index Fund records its pro rata share of the Portfolio's income,
expenses, and realized and unrealized gains and losses in addition to the fund's
own expenses which are accrued daily.
3. FEDERAL INCOME TAXES
The Homestead Funds comply with the provisions of Subchapter M of the Internal
Revenue Code that are applicable to regulated investment companies and
distribute all of their taxable income to their shareholders. Therefore, no
provision for federal income or excise tax is required.
At June 30, 2000, the aggregate costs of investments for the Daily Income Fund,
the Short-Term Government Securities Fund, the Short-Term Bond Fund, the Stock
Index Fund, the Value Fund and the Small Company Stock
54
<PAGE> 55
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
Fund for federal income tax is the same as for financial reporting purposes.
At June 30, 2000, the Stock Index Fund has a capital loss carryforward of
$2,987, which expires on December 31, 2007.
At June 30, 2000, net unrealized appreciation (depreciation) consisted of the
following:
<TABLE>
<CAPTION>
Net
Gross Gross Unrealized
Unrealized Unrealized Appreciation
Appreciation Depreciation (Depreciation)
------------ ------------ --------------
<S> <C> <C> <C>
Short-Term
Government
Securities Fund $ 19,877 $ 397,044 ($ 377,167)
Short-Term
Bond Fund $ 115,235 $ 2,397,350 ($ 2,282,115)
Stock Index Fund $ 318,582 $ 2,137,764 ($ 1,819,182)
Value Fund $80,847,775 $41,285,340 $ 39,562,435
Small Company
Stock Fund $ 369,302 $ 2,052,431 ($ 1,683,129)
</TABLE>
4. INVESTMENT TRANSACTIONS
Purchases and proceeds from sales of securities, other than short-term and U.S.
Government securities, for the six months ended June 30, 2000, were as follows:
<TABLE>
<CAPTION>
Proceeds
Purchases from Sales
----------- -----------
<S> <C> <C>
Short-Term
Government
Securities Fund $ 1,697,790 $ 1,657,182
Short-Term
Bond Fund $12,003,179 $27,887,040
Value Fund $16,600,500 $61,069,463
Small Company
Stock Fund $ 521,738 $ 1,505,762
</TABLE>
Purchases and proceeds from sales of long-term U.S. Government securities, for
the six months ended June 30, 2000, were as follows:
<TABLE>
<CAPTION>
Proceeds
Purchases from sales
---------- ----------
<S> <C> <C>
Short-Term
Government
Securities Fund $1,195,531 $5,683,636
Short-Term
Bond Fund $ -- $3,089,372
</TABLE>
5. INVESTMENT MANAGER
The investment management agreements between Homestead Funds, with respect to
each Fund, and RE Advisers Corporation (Manager), an indirect, wholly-owned
subsidiary of National Rural Electric Cooperative Association (NRECA), provide
for an annual investment management fee, computed daily and paid monthly, based
on each Fund's average daily net assets. The annualized management fee rates
are: with respect to the Daily Income Fund, .50% of average daily net assets;
with respect to the Short-Term Government Securities Fund, .45% of average daily
net assets; with respect to the Short-Term Bond Fund, .60% of average daily net
assets; with respect to the Value Fund, .65% of average daily net assets up to
$200 million, .50% of average daily net assets up to the next $200 million, .40%
of average daily net assets in excess of $400 million; with respect to the Small
Company Stock Fund, .85% of average daily net assets up to $200 million and .75%
of average daily net assets in excess of $200 million.
With respect to the Stock Index Fund, an Administrative Services Agreement with
the manager has been contracted. Pursuant to this agreement, RE Advisers
Corporation receives a fee of 0.25% of the Fund's average daily net assets.
Under a Third Party Feeder Agreement between the Stock Index Fund, the Manager
and Bankers Trust, Bankers Trust receives a fee of 0.055% of the Stock Index
Fund's average daily net assets.
The Manager has agreed, as part of the Expense Limitation Agreements entered
into with Homestead Funds, with respect to each Fund, to waive its management
fee and/or reimburse for all Fund operating expenses, excluding certain
non-recurring expenses, which in any year exceed .80% of the average daily net
assets of the Daily Income Fund, .75% of the average daily net assets of the
Short-Term Government Securities Fund and the Short-Term Bond Fund, .75% of the
average daily net assets of the Stock Index Fund, 1.25% of the average daily net
assets of the Value Fund and 1.50% of the average daily net assets of the Small
Company Stock Fund.
Pursuant to the Expense Limitation Agreements, management fees waived for the
six months ended June 30, 2000, amounted to $12,349 for the Daily Income Fund,
$12,622 for the Short-Term Government Securities Fund, $91,471 for the
Short-Term Bond Fund and $23,792 for the Small Company Stock Fund.
At June 30, 2000, certain officers and directors of the Homestead Funds, and
NRECA and its affiliates owned 5% of the Small Company Stock Fund shares
outstanding, 4% of the Daily Income Fund shares outstanding, 3% of the Stock
Index Fund shares outstanding, and less than 1% of the Short-Term Bond Fund,
Short-term Government Securities Fund, and Value Funds shares outstanding.
55
<PAGE> 56
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
6. CAPITAL SHARE TRANSACTIONS
As of June 30, 2000, 300 million shares of $.01 par value capital shares are
authorized for the Daily Income Fund, 200 million shares for the Short-Term Bond
Fund and the Value Fund, and 100 million shares for the Short-Term Government
Securites Fund, the Stock Index Fund and the SmallCompany Stock Fund.
Tranactions in capital shares were as follows:
<TABLE>
<CAPTION>
SHARES ISSUED TOTAL TOTAL NET
SHARES IN REINVESTMENT SHARES SHARES INCREASE
SOLD OF DIVIDENDS ISSUED REDEEMED (DECREASE)
------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C>
PERIOD ENDED JUNE 30, 2000
In Dollars
Daily Income Fund ..................... $35,083,192 $1,401,854 $36,485,046 ($32,198,193) $4,286,853
Short-Term Government Securities Fund . $3,926,803 $743,143 $4,669,946 ($9,632,968) ($4,963,022)
Short-Term Bond Fund .................. $16,175,834 $4,229,749 $20,405,583 ($41,708,623) ($21,303,040)
Stock Index Fund ...................... $22,715,803 $71,348 $22,787,151 ($5,879,270) $16,907,881
Value Fund ............................ $32,645,024 $2,945,713 $35,590,737 ($94,377,956) ($58,787,219)
Small Company Stock Fund .............. $2,009,000 - $2,009,000 ($2,877,901) ($868,901)
In Shares
Daily Income Fund ..................... 35,083,192 1,401,854 36,485,046 (32,198,193) 4,286,853
Short-Term Government Securities Fund . 788,105 149,079 937,184 (1,932,462) (995,278)
Short-Term Bond Fund .................. 3,187,057 833,467 4,020,524 (8,214,661) (4,194,137)
Stock Index Fund ...................... 2,133,397 6,520 2,139,917 (548,359) 1,591,558
Value Fund ............................ 1,443,311 133,170 1,576,481 (4,236,206) (2,659,725)
Small Company Stock Fund .............. 254,493 - 254,493 (365,590) (111,097)
YEAR ENDED DECEMBER 31, 1999
In Dollars
Daily Income Fund ..................... $98,168,759 $2,725,187 $100,893,946 ($95,737,108) $5,156,838
Short-Term Government Securities Fund . $17,447,442 $1,356,069 $18,803,511 ($7,704,728) $11,098,783
Short-Term Bond Fund .................. $71,000,149 $8,483,858 $79,484,007 ($50,454,368) $29,029,639
Stock Index Fund * .................... $8,029,448 $3,936 $8,033,384 ($80,793) $7,952,591
Value Fund ............................ $149,227,975 $33,774,869 $183,002,844 ($177,369,873) $5,632,971
Small Company Stock Fund .............. $6,185,800 $574,045 $6,759,845 ($2,830,052) $3,929,793
In Shares
Daily Income Fund ..................... 98,168,759 2,725,187 100,893,946 (95,737,108) 5,156,838
Short-Term Government Securities Fund . 3,456,514 269,455 3,725,969 (1,530,213) 2,195,756
Short-Term Bond Fund .................. 13,754,138 1,649,586 15,403,724 (9,796,530) 5,607,194
Stock Index Fund * .................... 765,672 359 766,031 (7,489) 758,542
Value Fund ............................ 5,410,019 1,405,465 6,815,484 (6,486,098) 329,386
Small Company Stock Fund .............. 671,623 68,995 740,618 (317,218) 423,400
</TABLE>
----------------
* For the period beginning October 28, 1999 (commencement of operations) to
December 31, 1999.
56
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THIS PAGE INTENTIONALLY LEFT BLANK.
<PAGE> 58
APPENDIX A
EQUITY 500 INDEX PORTFOLIO
TABLE OF CONTENTS
ii. Schedule of Portfolio Investments
xv. Statement of Assets and Liabilities
xvi. Statement of Operations
xvii. Statements of Changes in Net Assets
xviii. Financial Highlights
xix. Notes to Financial Statements
i
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS (98.4% OF NET ASSETS)
3Com Corp. (a) ................................................ 196,505 $ 11,323,601
Abbott Laboratories ........................................... 871,006 38,814,205
Adaptec, Inc. (a) ............................................. 59,216 1,347,164
ADC Telecommunications, Inc. (a) .............................. 169,919 14,251,956
Adobe Systems, Inc. ........................................... 70,090 9,111,700
Adolph Coors Co. - Class B .................................... 20,818 1,259,489
Advanced Micro Devices, Inc. (a) .............................. 83,341 6,438,092
AES Corp. (a) ................................................. 258,282 11,784,116
Aetna, Inc. ................................................... 80,969 5,197,198
Aflac, Inc. ................................................... 150,684 6,922,046
Agilent Technologies (a) ...................................... 256,065 18,884,794
Air Products and Chemicals, Inc. .............................. 129,942 4,003,838
Alberto-Culver Co. - Class B .................................. 32,025 978,764
Albertson's, Inc. ............................................. 247,048 8,214,346
Alcan Aluminium Ltd. .......................................... 123,929 3,841,799
Alcoa, Inc. ................................................... 488,392 14,163,368
Allegheny Technologies ........................................ 57,678 1,038,204
Allergan, Inc. ................................................ 74,938 5,582,881
Allied Waste Industries, Inc. (a) ............................. 95,669 956,690
Allstate Corp. ................................................ 421,779 9,384,583
Alltel Corp. .................................................. 179,979 11,147,449
Altera Corp. (a) .............................................. 112,800 11,498,550
ALZA Corp. (a) ................................................ 57,850 3,420,381
Amerada Hess Corp. ............................................ 52,862 3,264,228
Ameren Corp. .................................................. 71,679 2,419,166
America Online, Inc. (a) ...................................... 1,310,906 69,150,291
American Electric Power Co. (a) ............................... 193,318 5,727,046
American Express Co. .......................................... 757,320 39,475,305
American General Corp. ........................................ 140,044 8,542,684
American Greetings Corp. - Class A ............................ 43,077 818,463
American Home Products Corp. .................................. 739,011 43,416,896
American International Group, Inc. ............................ 875,888 102,916,840
American Power Conversion Corp. (a) ........................... 95,400 3,893,512
Amgen, Inc. (a) ............................................... 578,021 40,605,975
AMR Corp. (a) ................................................. 83,807 2,215,648
Amsouth Bancorp ............................................... 219,143 3,451,502
Anadarko Petroleum Corp. ...................................... 72,119 3,556,368
Analog Devices, Inc. (a) ...................................... 197,222 14,988,872
Andrew Corp. (a) .............................................. 52,910 1,775,792
Anheuser Busch Cos., Inc. ..................................... 255,875 19,110,664
AON Corp. ..................................................... 146,820 4,560,596
Apache Corp. .................................................. 67,465 3,967,785
Apple Computer, Inc. (a) ...................................... 183,194 9,594,786
</TABLE>
ii
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
Applied Materials, Inc. (a) ................................... 463,982 $ 42,048,369
Archer-Daniels-Midland Co. .................................... 340,637 3,342,501
Armstrong Holdings ............................................ 23,346 357,486
Ashland, Inc. ................................................. 40,281 1,412,353
Associates First Capital Corp. - Class A ...................... 410,788 9,165,707
AT&T Corp. .................................................... 1,795,922 56,796,033
Autodesk, Inc. ................................................ 34,662 1,202,338
Automatic Data Processing, Inc. ............................... 357,270 19,136,274
Autozone, Inc. (a) ............................................ 79,388 1,746,536
Avery Dennison Corp. .......................................... 63,889 4,288,549
Avon Products, Inc. ........................................... 137,543 6,120,663
Baker Hughes, Inc. ............................................ 188,254 6,024,128
Ball Corp. .................................................... 15,877 511,041
Bank of America Corp. ......................................... 938,793 40,368,099
Bank of New York Co., Inc. .................................... 416,400 19,362,600
Bank One Corp. ................................................ 648,820 17,234,281
Barrick Gold Corp. ............................................ 224,106 4,075,928
Bausch & Lomb, Inc. ........................................... 34,058 2,635,238
Baxter International, Inc. .................................... 164,948 11,597,906
BB&T Corp. .................................................... 195,415 4,665,533
Bear Stearns Cos., Inc. ....................................... 64,384 2,679,984
Becton, Dickinson & Co. ....................................... 142,484 4,087,510
Bed, Bath & Beyond, Inc. (a) .................................. 80,170 2,906,162
Bell Atlantic Corp. (a) ....................................... 879,005 44,664,442
BellSouth Corp. ............................................... 1,065,531 45,418,259
Bemis Co., Inc. ............................................... 26,944 905,992
Best Buy, Inc. (a) ............................................ 115,836 7,326,627
Bestfoods ..................................................... 159,396 11,038,173
Bethlehem Steel Corp. (a) ..................................... 75,283 268,196
Biogen, Inc. (a) .............................................. 84,812 5,470,374
Biomet, Inc. .................................................. 63,910 2,456,541
Black & Decker Corp. .......................................... 48,925 1,923,364
BMC Software, Inc. (a) ........................................ 137,387 5,012,479
Boeing Co. .................................................... 491,453 20,548,879
Boise Cascade Corp. ........................................... 32,436 839,281
Boston Scientific Corp. (a) ................................... 237,089 5,201,140
Briggs & Stratton Corp. ....................................... 13,176 451,278
Bristol-Myers Squibb Co. ...................................... 1,123,136 65,422,672
Broadcom Corp. - Class A (a) .................................. 120,000 26,272,500
Brown-Forman Corp. - Class B .................................. 25,298 1,359,767
Brunswick Corp. ............................................... 50,216 831,702
Burlington Northern Santa Fe Corp. ............................ 242,597 5,564,569
Burlington Resources, Inc. .................................... 120,425 4,606,256
</TABLE>
iii
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
C P & L Energy ................................................ 74,378 $ 2,375,447
C.R. Bard, Inc. ............................................... 28,986 1,394,951
Cabletron Systems, Inc. (a) ................................... 103,435 2,611,734
Campbell Soup Co. ............................................. 239,297 6,969,525
Capital One Financial Corp. ................................... 107,603 4,801,784
Cardinal Health, Inc. ......................................... 158,539 11,731,886
Carnival Corp. - Class A ...................................... 342,413 6,677,053
Caterpillar, Inc. ............................................. 200,712 6,799,119
Cendant Corp. (a) ............................................. 399,406 5,591,684
Centex Corp. (a) .............................................. 34,221 804,193
Centurytel, Inc. .............................................. 80,169 2,304,859
Ceridian Corp. (a) ............................................ 82,393 1,982,582
Charles Schwab Corp. .......................................... 755,010 25,387,211
Charter One Financial, Inc. ................................... 118,700 2,730,100
Chase Manhattan Corp. ......................................... 700,086 32,247,711
Chevron Corp. ................................................. 370,939 31,460,264
Chubb Corp. ................................................... 96,689 5,946,373
CIGNA Corp. ................................................... 95,456 8,925,136
Cincinnati Financial Corp. .................................... 88,268 2,774,925
Cinergy Corp. ................................................. 94,369 2,400,511
Circuit City Stores, Inc. ..................................... 115,320 3,827,182
Cisco Systems, Inc. (a) ....................................... 3,955,648 251,430,876
Citigroup ..................................................... 1,901,058 114,538,744
Citrix Systems, Inc. (a) ...................................... 122,330 2,316,624
Clear Channel Communications, Inc. (a) ........................ 191,179 14,338,425
Clorox Co. .................................................... 134,271 6,017,019
CMS Energy .................................................... 62,772 1,388,830
Coastal Corp. ................................................. 122,002 7,426,872
Coca-Cola Co. ................................................. 1,398,103 80,303,541
Coca-Cola Enterprises, Inc. ................................... 245,233 4,000,363
Colgate-Palmolive Co. ......................................... 330,277 19,775,335
Columbia Energy Group ......................................... 45,733 3,001,228
Comcast Corp. - Special Class A (a) ........................... 508,458 20,592,549
Comerica, Inc. ................................................ 87,697 3,935,403
Compaq Computer Corp. ......................................... 959,909 24,537,674
Computer Associates International, Inc. ....................... 330,471 16,915,984
Computer Sciences Corp. (a) ................................... 94,950 7,091,578
Compuware Corp. (a) ........................................... 202,958 2,105,689
Comverse Technology (a) ....................................... 86,122 8,009,346
ConAgra, Inc. ................................................. 288,537 5,500,237
Conexant Systems (a) .......................................... 119,900 5,830,137
Conoco, Inc. - Class B ........................................ 356,702 8,761,493
Conseco, Inc. ................................................. 184,500 1,798,875
</TABLE>
iv
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
Consolidated Edison, Inc. ..................................... 126,736 $ 3,754,554
Consolidated Stores Corp. (a) ................................. 63,351 760,212
Constellation Energy Group, Inc. .............................. 75,134 2,446,551
Convergys Corp. (a) ........................................... 84,700 4,393,812
Cooper Industries, Inc. ....................................... 57,832 1,883,154
Cooper Tire & Rubber Co. ...................................... 45,660 507,967
Corning, Inc. ................................................. 158,822 42,862,087
Costco Wholesale Corp. (a) .................................... 251,705 8,306,265
Countrywide Credit Industries, Inc. ........................... 63,361 1,920,630
Crane Co. ..................................................... 36,617 890,251
Crown Cork & Seal Co., Inc. ................................... 90,446 1,356,690
CSX Corp. ..................................................... 125,521 2,659,476
Cummins Engine Co., Inc. ...................................... 27,803 757,632
CVS Corp. ..................................................... 222,184 8,887,360
Dana Corp. .................................................... 90,717 1,922,066
Danaher Corp. ................................................. 80,080 3,958,955
Darden Restaurants, Inc. ...................................... 74,654 1,213,127
Deere & Co. ................................................... 133,475 4,938,575
Dell Computer Corp. (a) ....................................... 1,453,350 71,668,322
Delphi Automotive Systems ..................................... 318,938 4,644,535
Delta Air Lines, Inc. ......................................... 73,039 3,693,034
Deluxe Corp. .................................................. 43,490 1,024,733
Dillard Department Stores, Inc. - Class A ..................... 58,534 717,041
Dollar General Corp. .......................................... 187,486 3,655,977
Dominion Resources, Inc. ...................................... 134,617 5,771,704
Dover Corp. ................................................... 115,237 4,674,301
Dow Chemical Co. .............................................. 372,807 11,254,111
Dow Jones & Co., Inc. ......................................... 49,036 3,591,887
DTE Energy Co. ................................................ 80,967 2,474,554
Du Pont (E.I.) de Nemours & Co. ............................... 592,965 25,942,219
Duke Power Co. ................................................ 206,885 11,663,142
Dun & Bradstreet Corp. ........................................ 91,434 2,617,298
Eastern Enterprises ........................................... 14,652 923,076
Eastman Chemical Co. .......................................... 50,300 2,401,825
Eastman Kodak Co. ............................................. 178,212 10,603,614
Eaton Corp. ................................................... 43,982 2,946,794
Ecolab, Inc. .................................................. 73,428 2,868,281
Edison International, Inc. .................................... 193,084 3,958,222
El Paso Energy Corp. .......................................... 128,540 6,547,506
Electronic Data Systems Corp. ................................. 284,418 11,732,242
Eli Lilly & Co. ............................................... 628,982 62,819,577
EMC Corp. (a) ................................................. 1,229,740 94,613,121
Emerson Electric Co. .......................................... 246,970 14,910,814
</TABLE>
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
Engelhard Corp. ............................................... 71,421 $ 1,218,621
Enron Corp. ................................................... 403,847 26,048,131
Entergy Corp. ................................................. 134,112 3,646,170
Equifax, Inc. ................................................. 76,876 2,017,995
Exxon Mobil Corp. ............................................. 1,985,363 155,850,995
Fannie Mae .................................................... 570,689 29,782,832
Federated Department Stores, Inc. (a) ......................... 119,255 4,024,856
Fedex Corp. (a) ............................................... 170,726 6,487,588
Fifth Third Bancorp ........................................... 174,724 11,051,293
First Data Corp. .............................................. 237,707 11,796,210
First Union Corp. ............................................. 558,808 13,865,423
Firstar Corp. ................................................. 560,374 11,802,877
FirstEnergy Corp. ............................................. 129,033 3,016,146
Fleet Boston Financial Corp. .................................. 510,532 17,358,088
Florida Progress Corp. ........................................ 53,100 2,489,062
Fluor Corp. ................................................... 43,490 1,375,371
FMC Corp. (a) ................................................. 17,575 1,019,350
Ford Motor Co. ................................................ 683,364 29,384,652
Fort James Corp. .............................................. 122,666 2,836,651
Fortune Brands, Inc. .......................................... 93,442 2,155,006
FPL Group, Inc. ............................................... 100,924 4,995,738
Franklin Resources, Inc. ...................................... 142,247 4,320,753
Freddie Mac ................................................... 389,746 15,784,713
Freeport-McMoRan Copper & Gold, Inc. - Class B (a) ............ 67,666 625,910
Gannett Co., Inc. ............................................. 150,928 9,027,381
Gap, Inc. ..................................................... 479,922 14,997,562
Gateway Inc. (a) .............................................. 179,389 10,180,326
General Dynamics Corp. ........................................ 113,563 5,933,667
General Electric Co. .......................................... 5,589,127 296,223,731
General Mills, Inc. ........................................... 170,376 6,516,882
General Motors Corp. .......................................... 303,042 17,595,376
Genuine Parts Co. ............................................. 99,650 1,993,000
Georgia-Pacific Corp. ......................................... 96,799 2,540,974
Gillette Co. .................................................. 591,285 20,658,020
Global Crossing Ltd. (a) ...................................... 510,370 13,429,111
Golden West Financial Corp. ................................... 94,009 3,836,742
Goodrich (B.F.) Co. ........................................... 56,401 1,921,159
Goodyear Tire & Rubber Co. .................................... 88,573 1,771,460
GPU, Inc. ..................................................... 68,803 1,861,981
Great Atlantic & Pacific Tea Co., Inc. ........................ 20,881 347,147
Great Lakes Chemical Corp. .................................... 32,530 1,024,695
GTE Corp. ..................................................... 549,894 34,230,901
Guidant Corp. (a) ............................................. 174,252 8,625,474
</TABLE>
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
H & R Block, Inc. ............................................. 57,534 $ 1,862,663
H.J. Heinz Co. ................................................ 205,385 8,985,594
Halliburton Co. ............................................... 251,861 11,884,691
Harcourt General, Inc. ........................................ 43,229 2,350,577
Harley-Davidson, Inc. ......................................... 170,632 6,569,332
Harrah's Entertainment, Inc. (a) .............................. 71,139 1,489,473
Hartford Financial Services Group, Inc. ....................... 123,849 6,927,803
Hasbro, Inc. .................................................. 109,470 1,648,892
HCA Healthcare Co. ............................................ 319,016 9,690,111
HEALTHSOUTH Corp. (a) ......................................... 218,473 1,570,275
Hercules, Inc. ................................................ 60,147 845,817
Hershey Foods Corp. ........................................... 76,958 3,732,463
Hewlett-Packard Co. ........................................... 569,391 71,102,701
Hilton Hotels Corp. ........................................... 204,943 1,921,341
Home Depot, Inc. .............................................. 1,319,456 65,890,334
Homestake Mining Co. .......................................... 126,503 869,708
Honeywell International, Inc. ................................. 450,710 15,183,293
Household International, Inc. ................................. 267,100 11,101,344
Humana, Inc. (a) .............................................. 94,682 461,575
Huntington Bancshares, Inc. ................................... 127,713 2,019,462
Huttig Building Products, Inc. (a) ............................ 2 8
Illinois Tool Works, Inc. ..................................... 169,816 9,679,512
IMS Health, Inc. .............................................. 175,012 3,150,216
Inco, Ltd. (a) ................................................ 98,148 1,509,025
Ingersoll-Rand Co. ............................................ 92,312 3,715,558
Intel Corp. ................................................... 1,906,165 254,830,433
International Business Machines Corp. ......................... 1,008,007 110,439,767
International Flavors & Fragrances, Inc. ...................... 59,815 1,805,665
International Paper Co. ....................................... 274,349 8,179,030
Interpublic Group of Cos., Inc. ............................... 159,163 6,844,009
ITT Industries ................................................ 50,281 1,527,285
J.C. Penney Co., Inc. ......................................... 148,110 2,730,778
Jefferson-Pilot Corp. ......................................... 57,492 3,244,705
Johnson & Johnson ............................................. 788,360 80,314,175
Johnson Controls, Inc. ........................................ 44,502 2,283,509
Kansas City Southern Industries ............................... 62,850 5,574,009
Kaufman & Broad Home Corp. .................................... 27,739 549,579
Kellogg Co. ................................................... 227,265 6,761,134
Kerr-McGee Corp. .............................................. 52,314 3,083,256
KeyCorp. ...................................................... 246,722 4,348,475
Kimberly Clark Corp. .......................................... 314,323 18,034,282
KLA/Tencor Corp. (a) .......................................... 104,333 6,110,001
Kmart Corp. (a) ............................................... 275,414 1,876,258
</TABLE>
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EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
Knight-Ridder, Inc. ........................................... 49,668 $ 2,641,717
Kohls Corp. (a) ............................................... 184,528 10,264,370
Kroger Co. (a) ................................................ 472,029 10,414,140
Leggett & Platt, Inc. ......................................... 110,600 1,824,900
Lehman Brothers, Inc. ......................................... 68,289 6,457,579
Lexmark International Group, Inc. - Class A (a) ............... 72,420 4,870,245
Limited, Inc. ................................................. 236,832 5,121,492
Lincoln National Corp. ........................................ 110,716 3,999,616
Linear Technology Corp. ....................................... 181,700 11,617,444
Liz Claiborne, Inc. ........................................... 39,344 1,386,876
Lockheed Martin Corp. ......................................... 219,223 5,439,471
Loews Corp. ................................................... 56,632 3,397,920
Longs Drug Stores, Inc. ....................................... 22,586 491,246
Louisiana-Pacific Corp. ....................................... 63,392 689,388
Lowe's Cos., Inc. ............................................. 216,745 8,900,092
LSI Logic Corp. (a) ........................................... 166,812 9,028,700
Lucent Technologies, Inc. ..................................... 1,851,883 109,724,068
Mallinckrodt Group, Inc. ...................................... 41,785 1,815,036
Manor Care, Inc. (a) .......................................... 58,220 407,540
Marriott International ........................................ 139,893 5,044,891
Marsh and McLennan Cos., Inc. ................................. 151,073 15,777,686
Masco Corp. ................................................... 253,943 4,586,845
Mattel, Inc. .................................................. 235,579 3,106,698
Maxim Integrated Products, Inc. (a) ........................... 157,900 10,727,331
May Department Stores Co. ..................................... 188,608 4,526,592
Maytag Corp. .................................................. 49,756 1,834,753
MBIA, Inc. .................................................... 54,006 2,602,414
MBNA Corp. .................................................... 455,003 12,341,956
McDermott International, Inc. ................................. 37,330 328,971
McDonald's Corp. .............................................. 766,043 25,231,541
McGraw-Hill, Inc. ............................................. 112,459 6,072,786
McKesson HBOC, Inc. ........................................... 157,720 3,302,263
Mead Corp. .................................................... 55,820 1,409,455
MediaOne Group (a) ............................................ 346,221 23,123,668
Medimmune Inc. (a) ............................................ 124,700 9,227,800
Medtronic, Inc. ............................................... 676,677 33,706,973
Mellon Financial Corp. ........................................ 278,220 10,137,641
Merck & Co., Inc. ............................................. 1,302,515 99,805,212
Mercury Interactive Corp. (a) ................................. 39,700 3,840,975
Meredith Corp. ................................................ 31,782 1,072,643
Merrill Lynch & Co., Inc. ..................................... 210,086 24,159,890
MGIC Investment Corp. ......................................... 66,131 3,008,961
Micron Technology, Inc. (a) ................................... 316,798 27,898,024
</TABLE>
viii
<PAGE> 66
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
Microsoft Corp. (a) ........................................... 2,978,519 $238,281,520
Millipore Corp. ............................................... 25,176 1,897,641
Minnesota Mining & Manufacturing Co. .......................... 226,013 18,646,073
Molex, Inc. ................................................... 110,498 5,317,716
Morgan Stanley Dean Witter Discover & Co. ..................... 641,103 53,371,825
Morgan, (J.P.) & Co., Inc. .................................... 91,965 10,127,646
Motorola, Inc. ................................................ 1,204,548 35,007,176
Nabisco Group Holdings ........................................ 180,329 4,677,283
National City Corp. ........................................... 356,312 6,079,574
National Semiconductor Corp. (a) .............................. 97,225 5,517,519
National Service Industries, Inc. ............................. 23,892 465,894
Navistar International Corp. (a) .............................. 36,217 1,124,991
NCR Corp. (a) ................................................. 54,393 2,117,927
Network Appliance, Inc. (a) ................................... 177,416 14,281,988
New Century Energies, Inc. .................................... 60,071 1,802,130
New York Times Co. - Class A .................................. 97,966 3,869,657
Newell Rubbermaid, Inc. ....................................... 160,245 4,126,309
Newmont Mining Corp. .......................................... 97,393 2,106,124
Nextel Communications, Inc. - Class A (a) ..................... 439,360 26,883,340
Niagara Mohawk Power Corp. (a) ................................ 127,105 1,771,526
NICOR, Inc. ................................................... 26,461 863,290
Nike, Inc. .................................................... 157,489 6,270,031
Nordstrom, Inc. ............................................... 77,922 1,879,868
Norfolk Southern Corp. ........................................ 213,203 3,171,395
Nortel Networks Corp. ......................................... 1,689,028 115,276,161
Northern States Power Co. ..................................... 65,419 1,320,646
Northern Trust Corp. .......................................... 125,907 8,191,824
Northrop Grumman Corp. ........................................ 39,562 2,620,983
Novell, Inc. (a) .............................................. 183,949 1,701,528
Novellus Systems, Inc. (a) .................................... 65,101 3,682,275
Nucor Corp. ................................................... 54,749 1,816,982
Occidental Petroleum Corp. .................................... 209,111 4,404,400
Office Depot, Inc. (a) ........................................ 187,041 1,169,006
Old Kent Financial Corp. ...................................... 77,574 2,075,105
Omnicom Group, Inc. ........................................... 100,623 8,961,736
Oneok, Inc. ................................................... 16,020 415,519
Oracle Corp. (a) .............................................. 1,616,366 135,875,767
Owens Corning ................................................. 31,773 293,900
Owens-Illinois, Inc. (a) ...................................... 82,512 964,359
Paccar, Inc. .................................................. 43,399 1,722,398
Pactiv Corp. (a) .............................................. 100,032 787,752
Paine Webber Group, Inc. ...................................... 80,981 3,684,636
Pall Corp. .................................................... 68,970 1,275,945
</TABLE>
ix
<PAGE> 67
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
Parametric Technology Corp. (a) ............................... 154,897 $ 1,703,867
Parker-Hannifin Corp. ......................................... 63,370 2,170,423
Paychex, Inc. ................................................. 210,381 8,836,002
PE Corp. - PE Biosystems Group ................................ 116,640 7,683,660
PECO Energy ................................................... 104,041 4,194,153
People's Energy Corp. ......................................... 19,200 621,600
Peoplesoft, Inc. (a) .......................................... 151,094 2,530,825
PepsiCo, Inc. ................................................. 823,624 36,599,792
Perkin Elmer, Inc. ............................................ 26,313 1,739,947
Pfizer, Inc. .................................................. 3,579,682 171,824,736
PG&E Corp. .................................................... 231,869 5,709,774
Pharmacia Corp. ............................................... 708,252 36,607,775
Phelps Dodge Corp. ............................................ 42,295 1,572,845
Philip Morris Cos. ............................................ 1,309,236 34,776,581
Phillips Petroleum Co. ........................................ 141,138 7,153,932
Pinnacle West Capital Corp. ................................... 48,045 1,627,524
Pitney Bowes, Inc. ............................................ 150,276 6,011,040
Placer Dome, Inc. ............................................. 165,830 1,585,749
PNC Bank Corp. ................................................ 166,431 7,801,453
Polaroid Corp. ................................................ 24,963 450,894
Potlatch Corp. . . ........................................... 15,619 517,379
PPG Industries, Inc. .......................................... 98,450 4,362,566
PPL Corp. ..................................................... 70,992 1,557,387
Praxair, Inc. ................................................. 90,062 3,371,696
Procter & Gamble Co. .......................................... 745,693 42,690,924
Progressive Corporation of Ohio ............................... 39,448 2,919,152
Providian Financial Corp. ..................................... 79,675 7,170,750
Public Service Enterprise Group ............................... 122,784 4,251,396
Pulte Corp. ................................................... 25,108 542,961
Quaker Oats Co. ............................................... 74,929 5,629,041
Qualcomm, Inc. (a) ............................................ 417,788 25,067,280
Quintiles Transnational Corp. (a) ............................. 72,068 1,017,961
Qwest Communications International, Inc. (a) .................. 15,052 747,896
R.R. Donnelley & Sons Co. ..................................... 72,667 1,639,549
Radioshack Corp. .............................................. 109,619 5,193,200
Ralston Purina Group .......................................... 171,658 3,422,431
Raytheon Co. - Class B ........................................ 192,893 3,713,190
Reebok International Ltd. (a) ................................. 29,758 474,268
Regions Financial Corp. ....................................... 122,161 2,427,950
Reliant Energy ................................................ 145,196 4,292,357
Rite Aid Corp. ................................................ 153,057 1,004,437
Rockwell International Corp. .................................. 111,499 3,512,219
Rohm & Haas Co. ............................................... 129,983 4,484,414
</TABLE>
x
<PAGE> 68
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
Rowan Cos., Inc. (a) .......................................... 47,276 $ 1,436,009
Royal Dutch Petroleum Co. ..................................... 1,212,939 74,671,557
Russell Corp. ................................................. 19,646 392,920
Ryder Systems, Inc. ........................................... 38,979 738,165
Sabre Group Holdings, Inc. .................................... 68,960 1,965,360
Safeco Corp.. ................................................. 72,432 1,439,586
Safeway, Inc. (a) ............................................. 281,173 12,687,932
Sanmina Corp. (a) ............................................. 72,900 6,232,950
Sapient Corp. (a) ............................................. 32,700 3,496,856
Sara Lee Corp. ................................................ 492,555 9,512,468
SBC Communications, Inc. ...................................... 1,931,765 83,548,836
Schering-Plough Corp. ......................................... 831,316 41,981,458
Schlumberger Ltd. ............................................. 314,302 23,454,787
Scientific-Atlanta, Inc. ...................................... 89,116 6,639,142
Seagate Technology, Inc. (a) .................................. 122,249 6,723,695
Seagram Co. Ltd. .............................................. 245,303 14,227,574
Sealed Air Corp. (a) .......................................... 47,345 2,479,694
Sears, Roebuck & Co. .......................................... 200,049 6,526,599
Sempra Energy ................................................. 138,396 2,352,732
Shared Medical Systems ........................................ 17,384 1,267,946
Sherwin-Williams Co. .......................................... 97,650 2,068,959
Siebel Systems, Inc. (a) ...................................... 115,700 18,924,181
Sigma Aldrich Corp. ........................................... 58,611 1,714,372
SLM Holding Corp. ............................................. 91,748 3,434,816
Snap-On Tools Corp. ........................................... 33,332 887,465
Solectron Corp. (a) ........................................... 334,986 14,027,539
Southern Co. .................................................. 367,400 8,565,013
Southtrust Corp. .............................................. 99,984 2,262,138
Southwest Airlines Co. ........................................ 285,555 5,407,698
Springs Industries, Inc. - Class A ............................ 6,077 195,603
Sprint Corp. .................................................. 493,014 25,143,714
Sprint PCS (a) ................................................ 515,393 30,665,884
St. Jude Medical, Inc. (a) .................................... 47,631 2,185,072
St. Paul Cos., Inc. ........................................... 120,154 4,100,255
Stanley Works ................................................. 49,794 1,182,608
Staples, Inc. (a) ............................................. 266,592 4,098,852
Starbucks Corp. (a) ........................................... 100,800 3,849,300
State Street Corp. ............................................ 90,452 9,593,565
Summit Bancorp ................................................ 100,812 2,482,496
Sun Microsystems, Inc. (a) .................................... 894,387 81,333,318
Sunoco, Inc. .................................................. 53,113 1,563,514
Suntrust Banks, Inc. .......................................... 171,263 7,824,578
SuperValu, Inc. ............................................... 83,909 1,599,515
</TABLE>
xi
<PAGE> 69
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
Synovus Financial Corp. ....................................... 156,590 $ 2,759,899
Sysco Corp. ................................................... 189,462 7,981,087
T. Rowe Price Associates, Inc. ................................ 67,887 2,885,198
Target Corp. .................................................. 248,111 14,390,438
Tektronix, Inc. ............................................... 26,199 1,938,726
Tellabs, Inc. (a) ............................................. 227,589 15,575,622
Temple Inland, Inc. ........................................... 31,050 1,304,100
Tenet Healthcare Corp. ........................................ 176,578 4,767,606
Teradyne, Inc. (a) ............................................ 96,497 7,092,530
Texaco, Inc. .................................................. 314,175 16,729,819
Texas Instruments, Inc. ....................................... 926,358 63,629,215
Textron, Inc. ................................................. 83,912 4,557,471
Thermo Electron Corp. (a) ..................................... 89,545 1,886,042
Thomas & Betts Corp. .......................................... 37,736 721,701
Tiffany & Co. ................................................. 34,100 2,301,750
Time Warner, Inc. ............................................. 734,771 55,842,596
Times Mirror Co. - Class A .................................... 32,700 2,963,438
Timken Co. .................................................... 33,548 624,832
TJX Cos., Inc. ................................................ 177,279 3,323,981
Torchmark Corp. ............................................... 74,504 1,839,318
Tosco Corp. ................................................... 81,486 2,307,072
Toys 'R' Us, Inc. (a) ......................................... 138,115 2,011,300
Transocean Sedco .............................................. 116,142 6,206,338
Tribune Co. ................................................... 133,460 5,274,707
Tricon Global Restaurants, Inc. (a) ........................... 86,324 2,438,653
TRW, Inc. ..................................................... 65,667 2,848,306
Tupperware Corp. .............................................. 33,231 731,082
TXU Corp. ..................................................... 149,653 4,414,764
Tyco International Ltd. ....................................... 957,517 45,362,368
U.S. Bancorp .................................................. 426,201 8,204,369
U.S. West, Inc. ............................................... 295,513 25,340,240
Unicom Corp. .................................................. 100,711 3,896,257
Unilever NV ................................................... 322,974 13,887,882
Union Carbide Corp. ........................................... 75,897 3,756,902
Union Pacific Corp. ........................................... 139,560 5,189,888
Union Pacific Resources Group, Inc. ........................... 153,275 3,372,050
Union Planters Corp. .......................................... 78,574 2,195,161
Unisys Corp. (a) .............................................. 174,861 2,546,413
United Technologies Corp. ..................................... 268,674 15,818,182
Unitedhealth Group, Inc. ...................................... 96,091 8,239,803
Unocal Corp. .................................................. 133,824 4,432,920
Unumprovident Corp. ........................................... 135,912 2,726,735
US Airways Group, Inc. (a) .................................... 40,406 1,575,834
</TABLE>
xii
<PAGE> 70
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES VALUE
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
COMMON STOCKS - CONTINUED
UST, Inc. ..................................................... 92,004 $ 1,351,309
USX - U.S. Steel Group ........................................ 49,537 919,531
USX Marathon Group ............................................ 177,930 4,459,371
V.F. Corp. .................................................... 65,111 1,550,456
Veritas Software Corp. (a) .................................... 223,300 25,236,389
Viacom, Inc. - Class B (a) .................................... 877,806 59,855,397
Visteon Corp. ................................................. 89,475 1,084,883
Vulcan Materials Co. .......................................... 56,708 2,420,723
W.R. Grace & Co. (a) .......................................... 40,741 493,985
W.W. Grainger, Inc. ........................................... 52,610 1,621,046
Wachovia Corp. ................................................ 114,236 6,197,303
Wal-Mart Stores, Inc. ......................................... 2,544,723 146,639,663
Walgreen Co. .................................................. 570,324 18,357,304
Walt Disney Co. ............................................... 1,197,872 46,492,407
Washington Mutual, Inc. ....................................... 310,224 8,957,718
Waste Management, Inc. ........................................ 365,375 6,942,125
Watson Pharmaceuticals (a) .................................... 55,191 2,966,516
Wellpoint Health Networks, Inc. (a) ........................... 35,959 2,604,780
Wells Fargo Co. ............................................... 912,626 35,364,258
Wendy's International, Inc. ................................... 71,649 1,276,248
Westvaco Corp. ................................................ 53,569 1,329,181
Weyerhaeuser Co. .............................................. 135,051 5,807,193
Whirlpool Corp. ............................................... 41,942 1,955,546
Willamette Industries, Inc. ................................... 60,554 1,650,097
Williams Cos., Inc. ........................................... 245,907 10,251,248
Winn Dixie Stores, Inc. ....................................... 65,185 932,960
Wm. Wrigley, Jr. Co. .......................................... 64,764 5,193,263
Worldcom, Inc. (a) ............................................ 1,623,131 74,461,135
Worthington Industries, Inc. .................................. 47,942 503,391
Xerox Corp. ................................................... 376,376 7,809,802
Xilinx, Inc. (a) .............................................. 181,299 14,968,499
Yahoo!, Inc. (a) .............................................. 305,545 37,849,387
Young & Rubicam ............................................... 41,584 2,378,085
------------------------------------------------------------------------------------------------------------
TOTAL COMMON STOCK (COST $4,923,424,736) ...................................................$7,128,372,492
============================================================================================================
</TABLE>
xiii
<PAGE> 71
EQUITY 500 INDEX PORTFOLIO
SCHEDULE OF PORTFOLIO INVESTMENTS (CONTINUED)
JUNE 30, 2000
(UNAUDITED)
<TABLE>
<CAPTION>
SHARES/
PRINCIPAL AMOUNT VALUE
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
SHORT TERM INSTRUMENTS (2.1% OF NET ASSETS)
MUTUAL FUNDS - 2.0%
Institutional Cash Management Fund ............................ 141,630,208 $141,630,208
-------------------------------------------------------------------------------------------------------------------------
Total Mutual Funds .......................................................................141,630,208
-------------------------------------------------------------------------------------------------------------------------
U.S. TREASURY BILLS - 0.1%
U.S. Treasury Bill, 5.61%, 9/7/00 (b) ......................... $ 11,550,000 11,430,365
-------------------------------------------------------------------------------------------------------------------------
Total U.S. Treasury Bills .................................................................11,430,365
-------------------------------------------------------------------------------------------------------------------------
Total Short Term Instruments (Cost $153,059,511) .........................................153,060,573
-------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENTS (COST $5,076,484,247) - 100.5% ...........................................$7,281,433,065
=========================================================================================================================
Liabilities in Excess of Other Assets - (0.5%) ................................................(37,447,720)
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS - 100.0% ........................................................................$7,243,985,345
=========================================================================================================================
</TABLE>
(a) Non-income producing security.
(b) Held as collateral for futures contracts.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
xiv
<PAGE> 72
EQUITY 500 INDEX PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
<TABLE>
<CAPTION>
AS OF
JUNE 30, 2000
-------------------------------------------------------------------------------------------------------------------------
<S> <C>
ASSETS
Investments at Value (Cost of $5,076,484,247) ........................................ $7,281,433,065
Cash ................................................................................. 3,087,847
Receivable for Shares of Beneficial Interest Subscribed .............................. 3,163,942
Receivable for Securities Sold ....................................................... 11,239,840
Variation Margin Receivable .......................................................... 1,206,852
Dividends and Interest Receivable .................................................... 6,355,111
Other Assets ......................................................................... 100,566
-------------------------------------------------------------------------------------------------------------------------
Total Assets .................................................................... 7,306,587,223
-------------------------------------------------------------------------------------------------------------------------
LIABILITIES
Payable for Securities Purchased ..................................................... 3,749,598
Payable for Shares of Beneficial Interest Redeemed ................................... 58,556,607
Due to Bankers Trust ................................................................. 295,673
-------------------------------------------------------------------------------------------------------------------------
Total Liabilities ............................................................... 62,601,878
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS ............................................................................... $7,243,985,345
=========================================================================================================================
COMPOSITION OF NET ASSETS
Paid-in Capital ...................................................................... $5,039,932,426
Net Unrealized Appreciation on
Investments and Futures Contracts .................................................. 2,204,052,919
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS ............................................................................... $7,243,985,345
=========================================================================================================================
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
xv
<PAGE> 73
EQUITY 500 INDEX PORTFOLIO
STATEMENT OF OPERATIONS
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED
JUNE 30, 2000
-------------------------------------------------------------------------------------------------------------------------
<S> <C>
INVESTMENT INCOME
Dividends (net of foreign withholding tax of $335,264) ............................. $ 46,366,945
Interest ........................................................................... 337,405
-------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME .............................................................. 46,704,350
-------------------------------------------------------------------------------------------------------------------------
EXPENSES
Advisory Fees ...................................................................... 2,348,749
Administration and Services Fees ................................................... 98,084
Professional Fees .................................................................. 17,252
Trustees Fees ...................................................................... 1,622
Miscellaneous ...................................................................... 819
-------------------------------------------------------------------------------------------------------------------------
Total Expenses ....................................................................... 2,466,526
-------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME ................................................................ 44,237,824
=========================================================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) ON
INVESTMENTS AND FUTURES CONTRACTS
Net Realized Gain from Investment Transactions ....................................... 828,725,066
Net Realized Loss from Futures Transactions .......................................... (9,545,343)
Net Change in Unrealized Appreciation/Depreciation
on Investments and Futures Contracts ............................................... (944,339,124)
-------------------------------------------------------------------------------------------------------------------------
Net Realized and Unrealized Loss on
Investments and Futures Contracts .................................................. (125,159,401)
-------------------------------------------------------------------------------------------------------------------------
NET DECREASE IN NET ASSETS FROM OPERATIONS ........................................... $(80,921,577)
=========================================================================================================================
</TABLE>
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
xvi
<PAGE> 74
EQUITY 500 INDEX PORTFOLIO
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE YEAR ENDED
JUNE 30, 2000(a) DECEMBER 31, 1999
-----------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS FROM
OPERATIONS
Net Investment income .........................................$ 44,237,824 $ 92,907,589
Net Realized Gain (Loss) from
Investment and Futures Transactions ......................... 819,179,723 (26,748,772)
Net Change in Unrealized Appreciation/Depreciation on
Investments and Futures Contracts ........................... (944,339,124) 1,245,281,501
-------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets from Operations ....... (80,921,577) 1,311,440,318
-------------------------------------------------------------------------------------------------------------------------
CAPITAL TRANSACTIONS
Proceeds from Capital Invested ................................ 2,113,458,132 4,399,103,297
Value of Capital Withdrawn ....................................(2,953,648,092) (2,745,951,143)
Net Increase (Decrease) in Net Assets
from Capital Transactions ................................... (840,189,960) 1,653,152,154
TOTAL INCREASE (DECREASE) IN NET ASSETS ....................... (921,111,537) 2,964,592,472
-------------------------------------------------------------------------------------------------------------------------
NET ASSETS
Beginning of Period ........................................... 8,165,096,882 5,200,504,410
-------------------------------------------------------------------------------------------------------------------------
END OF PERIOD .................................................$7,243,985,345 $8,165,096,882
=========================================================================================================================
</TABLE>
(a) Unaudited.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
xvii
<PAGE> 75
EQUITY 500 INDEX PORTFOLIO
FINANCIAL HIGHLIGHTS
Contained below are selected supplemental data and ratios to average net assets
for the periods indicated for the Equity 500 Index Portfolio.
<TABLE>
<CAPTION>
FOR THE FOR THE YEARS ENDED DECEMBER 31,
SIX MONTHS ENDED -------------------------------------------------------------------
JUNE 30, 2000 (a) 1999 1998 1997 1996 1995
-----------------------------------------------------------------------------------------------------------------------------------
SUPPLEMENTAL DATA AND RATIOS:
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net Assets, End of Period (000s omitted)... $7,243,985 $8,165,097 $5,200,504 $2,803,086 $1,925,224 $1,080,736
-----------------------------------------------------------------------------------------------------------------------------------
Ratios to Average Net Assets:
Net Investment Income................... 1.18%(b) 1.35% 1.50% 1.76% 2.20% 2.52%
Expenses After Waivers.................. 0.065%(b)(c) 0.08% 0.08%(d) 0.08% 0.10% 0.10%
Expenses Before Waivers................. 0.065%(b)(c) 0.08% 0.10% 0.15% 0.15% 0.15%
Portfolio Turnover Rate.................... 11% 13% 4% 19% 15% 6%
</TABLE>
-------------------------------------------------------------------------------
(a) Unaudited.
(b) Annualized.
(c) Effective March 15, 2000, Bankers Trust contractually agreed to limit the
annual operating expenses for the portfolio to 0.05% of the portfolio's
average daily net assets.
(d) Effective May 6, 1998, Bankers Trust contractually agreed to limit its fees
from the portfolio to the lesser of 0.005% or the amount that brings the
total annual operating expenses up to 0.08% of the portfolio's average daily
net assets.
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THESE FINANCIAL STATEMENTS.
xviii
<PAGE> 76
EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS
JUNE 30, 2000
NOTE 1. ORGANIZATION AND SIGNIFICANT
ACCOUNTING POLICIES
A. Organization
The Equity 500 Index Portfolio (the "Portfolio") is registered under the
Investment Company Act of 1940 (the "Act"), as amended, as an open-end
management investment company. The Portfolio was organized on December 11, 1991
as an unincorporated trust under the laws of New York and began operations on
December 31, 1992. The Declaration of Trust permits the Board of Trustees (the
"Trustees") to issue beneficial interests in the Portfolio.
B. Valuation of Securities
The Portfolio's investments are valued each business day by an independent
pricing service approved by the Trustees. Securities traded on national
exchanges or traded in the NASDAQ National Market System are valued at the last
sales prices reported at the close of business each day. Over-the-counter
securities not included in the NASDAQ National Market System and listed
securities for which no sale was reported are valued at the mean of the bid and
asked prices. Short-term obligations with remaining maturities of 60 days or
less are valued at amortized cost that, with accrued interest, approximates
value. Securities for which quotations are not available are stated at fair
value as determined by the Trustees.
C. Security Transactions and Interest Income
Security transactions are accounted for on a trade date basis. Dividend income
is recorded on the ex-dividend date. Interest income is recorded on the accrual
basis and includes amortization of premium and accretion of discount on
investments. Expenses are recorded as incurred. Realized gains and losses from
securities transactions are recorded on the identified cost basis.
All of the net investment income and realized and unrealized gains and losses
from the securities transactions of the Portfolio are allocated pro rata among
the investors in the Portfolio at the time of such determination.
D. Futures Contracts
The Portfolio may enter into financial futures contracts, which are contracts to
buy a standard quantity of securities at a specified price on a future date. The
Portfolio is required to deposit either cash or securities in an amount equal to
a certain percentage of the contract amount. Variation margin payments are made
or received by the Portfolio each day, depending on the daily fluctuations in
the value of the underlying security, and are recorded for financial statement
purposes as unrealized gains or losses by the Portfolio.
Futures contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded.
E. Federal Income Taxes
The Portfolio is considered a partnership under the Internal Revenue Code.
Therefore, no federal income tax provision is required.
F. Other
The preparation of financial statements in conformity with accounting principles
generally accepted in the United States requires management to make estimates
and assumptions that affect the reported amounts in the financial statements.
Actual results could differ from those estimates.
NOTE 2. FEES AND TRANSACTIONS
WITH AFFILIATES
The Portfolio has entered into an Administration and Services Agreement with
Bankers Trust Company ("Bankers Trust"), an indirect wholly owned subsidiary of
Deutsche Bank AG. The agreement provides for the Portfolio to pay Bankers Trust
a fee, accrued daily and paid monthly, computed as a percentage of the average
daily net asets of the Portfolio. Effective March 15, 2000, Bankers Trust agreed
to limit the annual operating expenses of the Portfolio to .05% under the
agreement. Under this agreement, the investment advisory fee and the
administration and services fee have been reduced to .05% and .08%, respectively
of the Portfolio's average daily net assets.
The Portfolio may invest in the Institutional Cash Management Fund (the "Cash
Management Fund"), an open-end management investment company managed by Bankers
Trust. The Cash Management Fund is offered as a cash management option to the
Portfolio and other accounts managed by Bankers Trust. Distributions from the
Cash Management Fund to the Portfolio for the six months ended June 30, 2000,
amounted to $4,482,789 and are included in dividend income.
At June 30, 2000, the Portfolio was a participant with other affiliated entities
in a revolving credit facility in the amount of $200,000,000, which expires
April 27, 2001. A commitment fee on the average daily amount of the available
commitment is payable on a quarterly basis and apportioned among all
participants based on net assets. No amounts were drawn down or outstanding for
this fund under the credit facility for the six months ended June 30, 2000.
xix
<PAGE> 77
EQUITY 500 INDEX PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
NOTE 3. PURCHASES AND SALES
OF INVESTMENT SECURITIES
The aggregate cost of purchases and proceeds from sales of investments, other
than short-term obligations, for the six months ended June 30, 2000, were
$831,032,886 and $1,545,748,872, respectively.
For federal income tax purposes, the tax basis of investments held at
June 30, 2000, was $5,076,484,247. The aggregate gross unrealized appreciation
was $2,591,087,303, and the aggregate gross unrealized depreciation was
$386,138,485 for all investments as of June 30, 2000.
NOTE 4. FUTURES CONTRACTS
A summary of obligations under these financial instruments at June 30, 2000 is
as follows:
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------
Type of Unrealized
Future Expiration Contracts Position Market Value Depreciation
-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
S&P 500
Index September
Futures 2000 165 Long $60,559,125 $(895,899)
-----------------------------------------------------------------------------------
</TABLE>
At June 30, 2000, the Portfolio segregated securities with a value of
approximately $11,430,365 to cover margin requirements on open futures
contracts.
xx
<PAGE> 78
Homestead Funds, Inc.
c/o PFPC, Inc.
P.O. Box 8987
Wilmington, DE 19899
1-800-258-3030
This report is authorized for distribution to shareholders and others who have
received a copy of the prospectus.
Distributor: RE Investment Corporation
