TABLE OF CONTENTS
President's Letter.....................................................1
INDEX PLUS FUNDS:
Investment Review......................................................3
Portfolios of Investments:
Aetna Index Plus Bond Fund............................................11
Aetna Index Plus Large Cap Fund.......................................13
Aetna Index Plus Mid Cap Fund.........................................19
Aetna Index Plus Small Cap Fund.......................................23
Statements of Assets and Liabilities...................................28
Statements of Operations...............................................30
Statements of Changes in Net Assets....................................32
Notes to Financial Statements..........................................40
Additional Information.................................................45
Financial Highlights...................................................46
<PAGE>
PRESIDENT'S LETTER
Dear Valued Shareholder,
Thank you for investing in the Aetna Series Funds. We are pleased to provide you
with this Semi-Annual Report on the funds you have chosen to help pursue your
investment goals. Please note that the format has been changed from two reports
that combined all of our different investment categories to five individual
reports: Capital Appreciation, Growth & Income, Income, Index Plus and
Generations. These reports will provide detailed information on the performance
of your funds.
The financial market environment has changed dramatically since you received the
last Aetna Series Fund Annual Report. At October 31, 1998, there prevailed an
atmosphere of deep anxiety as the immediately preceding 12-month period had been
marked by high market volatility, default on Russian debts and the collapse of a
prominent U.S. hedge fund. Confidence in the global economic outlook was shaken,
which culminated in a sharp sell-off in U.S. and global stock markets.
Today, those fears seem misplaced. With the U.S. economy contributing its
remarkable combination of robust growth and negligible inflation, the global
economic and financial picture is on the mend. U.S. and foreign stock markets
have rebounded, risk premiums are shrinking and capital is once again flowing to
emerging markets. Within the U.S., small- and mid-cap stocks have begun to
participate more meaningfully in the ongoing bull market as improvement in
corporate earnings has broadened out to more cyclically sensitive businesses.
Credit spreads have diminished for lower-rated debt securities and the REIT
sector has shown signs of improvement. The S&P 500 Index and the Dow Jones
Industrial Average ("the Dow") both finished 1998 with double-digit returns -
the fourth year in a row. The Dow, which has a more cyclical bias than the S&P
500 Index, managed to reach an unprecedented 10,000 by the end of March and
closed at 10,789 on April 30, 1999! Of course, there is no guaranty that the
markets will continue to reflect this trend.
I am pleased to report that at Aetna Series Fund, Inc. and Aeltus Investment
Management, Inc., we have continued to work to further improve our products and
services:
CLASS "B" SHARES WERE INTRODUCED on March 1. This new class of shares has a
back-end load contingent on redemption rather than a front-end load. It was
designed for the mid- to longer-term investor, making it particularly
attractive for investing in our enhanced index funds.
AETNA INDEX PLUS LARGE CAP FUND AND AETNA INDEX PLUS MID CAP FUND
outperformed their benchmarks for the one-year period ending April 30,
1999.
NEW SIMPLIFIED PROSPECTUSES were introduced on March 1. Plain English
wording and clear graphics make them truly "user-friendly." We recommend
that you keep them with your other Aetna Series Fund records.
COMPUTER SYSTEMS INITIATIVES, specifically year 2000 dating issues, have
remained a high priority. We have completed remediation and plan to
complete testing all of Aeltus' relevant computer systems by mid-1999. In
addition, on January 1, we successfully converted our operating systems to
accept the new Euro currency, the new standard monetary unit of the eleven
countries that comprise the European Monetary Union.
With more than $50 billion in assets under management, Aeltus Investment
Management, Inc., investment adviser to the Aetna Series Funds, continues to
rank among the largest of investment management firms. This kind of size and
market presence is important to you as an investor as it gives us the ability to
continue to bring you competitive product offerings as well as quality customer
service.
We appreciate the continued confidence you have placed in us and look forward to
an ongoing and mutually prosperous relationship.
Sincerely,
/s/ J. Scott Fox
- -----------------------
J. Scott Fox
President
Aetna Series Fund, Inc.
1
<PAGE>
<TABLE>
<CAPTION>
Aetna Index Plus Bond Fund
Growth of $10,000
Feb-98 Oct-98 Apr-99
<S> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Bond Fund (Class I) 10,000 10,075 10,277 10,549 10,717 10,651
Lehman Brothers Aggregate Bond Index 10,000 10,089 10,293 10,649 10,818 10,554
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------
Average Annual Total Returns
for the period ended April 30, 1999*
- ----------------------------------------
1 Year Inception
- ----------------------------------------
<S> <C> <C>
Class I 5.71% 5.24%
- ----------------------------------------
Class A:
POP (1) 2.31% 2.43%
NAV (2) 5.48% 4.99%
- ----------------------------------------
Class B:
w/CDSC (3) -0.31% 1.00%
NAV 4.69% 4.22%
- ----------------------------------------
Class C:
w/CDSC (4) 4.07% 3.78%
NAV 4.82% 4.38%
- ----------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For the period prior to the inception of Class B and Class C, the
performance is calculated by using the performance of Class I since its
inception date (02/04/98), adjusted for fees and expenses. Class I, Class A,
Class B and Class C shares participate in the same portfolio of securities. Past
performance is no guarantee of future results. Investment return and principal
of an investment will fluctuate so that an investor's shares, when redeemed, may
be worth more or less than the original cost.
AETNA INDEX PLUS BOND FUND
HOW DID THE FUND PERFORM DURING THE PERIOD?
The Aetna Index Plus Bond Fund Class I shares generated a 0.97% total return,
net of fund expenses, for the six month period ended April 30, 1999. The
benchmark, Lehman Brothers Aggregate Bond Index(a), returned 0.69% for the same
period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
The most significant factor influencing the performance of the Fund during this
period has been the recovery of the corporate bond sector. A stronger economic
environment, a neutral Federal Reserve policy and improved liquidity in the
corporate bond market caused bond prices to improve. The overall level of
corporate spreads remains wider than the very tight levels we saw in the summer
of 1998.
See Definition of Terms. 3
<PAGE>
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
The Fund's strategy incorporates a 25% overweight in corporate bonds. This
overweighting in corporate bonds, specifically Yankee's and BBB-rated securities
caused the Fund to outperform its benchmark, as these sectors experienced the
most dramatic spread tightening during the period.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The future course of U.S. interest rates will be heavily influenced by the rate
at which the Japanese and European economies recover. The Federal Reserve has
been willing to accommodate strong growth in the U.S. economy largely because of
the strong downward pressure on inflation arising from very weak economic growth
abroad. Weaker demand abroad not only has affected U.S. exports, it has also
caused foreign producers to become increasingly competitive within the U.S.
market. The pressure towards lower prices coming from overseas manufacturers has
been amplified by a strong U.S. dollar.
Improving global growth should support performance in the corporate, mortgage
pass-through and asset-backed sectors. While credit spreads have narrowed from
their peaks in late 1998, they are still above their long-term averages. These
historically favorable spread levels should continue to attract investors.
<TABLE>
<CAPTION>
QUALITY RATINGS
<S> <C>
AAA 57.7%
AA 1.7%
A 21.5%
BBB 17.5%
BB 1.6%
</TABLE>
<TABLE>
<CAPTION>
MATURITY DISTRIBUTION
<S> <C>
0 - 1 years 5.2%
1 - 5 years 27.7%
5 - 10 years 15.7%
10 - 20 years 14.7%
20 + years 36.7%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Fund are subject to change.
4 See Definition of Terms.
<PAGE>
<TABLE>
<CAPTION>
Aetna Index Plus Large Cap Fund
Growth of $10,000
Dec-95 Oct-97 Oct-98 Apr-99
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Large Card Fund (Class I) 10,000 10,932 13,100 12,449 13,406 15,247 15,671 15,369 18,496 19,029
S&P 500 Index 10,000 10,763 12,879 12,396 13,340 15,186 15,365 15,124 17,764 18,499
<CAPTION>
Aetna Index Plus Mid Cap Fund
Growth of $10,000
Feb-98 Oct-98 Apr-99
<S> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Mid Cap Fund (Class I) 10,000 11,250 10,610 10,359 11,873 12,335
S&P Midcap 400 Index 10,000 11,290 10,429 10,109 11,433 12,016
<CAPTION>
Aetna Index Plus Small Cap Fund
Growth of $10,000
Feb-98 Oct-98 Apr-99
<S> <C> <C> <C> <C> <C> <C>
Aetna Index Plus Small Cap Fund (Class I) 10,000 11,190 9,980 8,871 9,775 9,635
S&P Smallcap 600 Index 10,000 11,249 9,868 8,843 9,814 9,642
</TABLE>
See Definition of Terms. 5
<PAGE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Average Annual Total Returns
for the period ended April 30, 1999*
- --------------------------------------------------------------------------------
Index Plus Large Cap Index Plus Mid Cap Index Plus Small Cap
- --------------------------------------------------------------------------------
1 Year Inception 1 Year Inception 1 Year Inception
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Class I 24.80% 30.95% 9.65% 18.52% -13.90% -2.97%
- --------------------------------------------------------------------------------
Class A:
POP (1) 20.81% 28.72% 6.03% 15.34% -16.67% -5.57%
NAV (2) 24.55% 30.37% 9.31% 18.22% -14.09% -3.22%
- --------------------------------------------------------------------------------
Class B:
w/CDSC (3) 18.63% 28.79% 3.51% 14.16% -19.12% -7.15%
NAV 23.63% 29.67% 8.51% 17.29% -14.87% -4.03%
- --------------------------------------------------------------------------------
Class C:
w/CDSC (4) 23.17% 29.99% 8.10% 17.07% -15.22% -4.31%
NAV 23.92% 29.99% 8.85% 17.65% -14.58% -3.73%
- --------------------------------------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, Class B and Class
C, the performance of each class is calculated by using the performance of Class
I since its inception date (12/10/96 for Index Plus Large Cap, 02/03/98 for
Index Plus Mid Cap and Index Plus Small Cap), adjusted for fees and expenses
charged to the appropriate class. Class I, Class A, Class B and Class C shares
participate in the same portfolio of securities. Past performance is no
guarantee of future results. Investment return and principal of an investment
will fluctuate so that an investor's shares, when redeemed, may be worth more or
less than the original cost.
AETNA INDEX PLUS FUNDS
HOW DID THE FUNDS PERFORM DURING THE PERIOD?
The performance listed below for the Index Plus Funds (Index Plus Large Cap,
Index Plus Mid Cap and Index Plus Small Cap) and their respective benchmarks is
for the six month period ended April 30, 1999:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
FUND RETURN BENCHMARK INDEX
INDEX PLUS FUNDS CLASS I BENCHMARK INDEX RETURN
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Index Plus Large Cap 23.81% S&P 500 Index (b) 22.32%
Index Plus Mid Cap 19.07% S&P Midcap 400 Index (c) 18.86%
Index Plus Small Cap 8.62% S&P Smallcap 600 Index (d) 9.03%
</TABLE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUNDS?
Last year the perception of continued global malaise and deflation created an
unprecedented divergence between the returns of growth stocks relative to value
stocks. More generally, stocks that were perceived to have an earnings stream
that would not be hurt by a global slowdown were bid up to extreme levels. Some
examples of the big winners last year were internet and technology issues. The
losers were the stocks that needed pricing to grow earnings: the commodity
producers and other cyclicals. In late February signs of a budding recovery in
the Japanese economy caused investors to rethink their forecast of global
depression and deflation. This change triggered a boom in oil prices, the
strongest one-month performance in cyclical stocks ever and a resurgence of
small cap cyclically oriented companies relative to the fifty largest stocks in
terms of market capitalization (Nifty Fifty) (see chart). The change happened
very fast (even by the current market standards) and therefore is still viewed
with suspicion. However, the implications for the performance of the Funds can
not be understated.
6 See Definition of Terms.
<PAGE>
WHAT INVESTMENTS INFLUENCED THE FUNDS' PERFORMANCE OVER THE PAST SIX MONTHS?
During the past six months the Funds benefited from an overweight position in
the largest stocks in their respective indices. It should be noted, once again,
that these issues were not favored by the Funds because they were large per se,
but because they generally scored well on attributes such as low price to
earnings, relative performance and earnings momentum, all of which are important
determinants in predicting which stocks are likely to do well. However, in April
these stocks underperformed the rest of the market as investors sold them to buy
the once out of favor cyclicals.
RETURNS TO CYCLICALS HAVE OVERTAKEN THE NIFTY FIFTY
Morgan Stanley Indices; 10/1/98 = 1.0.
THIS IS A COMPARISON OF NIFTY FIFTY AND CYCLICAL STOCKS
FOR THE 10/1/98 TO 4/30/99 TIME PERIOD.
<PLOT POINTS TO COME?>
MARKET BECOMES MORE DEMOCRATIC AS SMALL CAPS RALLY
Ratio of S&P 600 Index to S&P 500 Index; 10/1/98 = 1.0.
THE TIME PERIOD IS 10/1/98 TO 4/30/99.
<PLOT POINTS TO COME?>
See Definition of Terms. 7
<PAGE>
WHAT IS YOUR OUTLOOK GOING FORWARD?
Although, some cyclicals have improving ranks in our quantitative models, the
largest more growth-oriented stocks in each Index continue to rank well. We
expect our quantitative rankings of the cyclical issues to continue to improve
as the higher economic growth forecast gets priced into the market.
INDEX PLUS LARGE CAP FUND:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------
% OF
COMMON % OF S&P OVER/(UNDER)
SECTOR STOCKS 500 WEIGHTING
- ---------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.1% 3.5% (0.4)%
Commercial Services 1.7% 1.9% (0.2)%
Consumer Discretionary 12.3% 12.1% 0.2%
Consumer Non-Discretionary 5.8% 7.9% (2.1)%
Energy 5.4% 6.9% (1.5)%
Finance 17.1% 16.4% 0.7%
Healthcare 10.6% 11.2% (0.6)%
Manufacturing 9.4% 10.0% (0.6)%
Technology 21.1% 19.5% 1.6%
Utilities 13.5% 10.6% 2.9%
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
- ----------------------------------------------------
<S> <C>
Microsoft Corp. 5.5%
General Electric Co. 2.9%
Wal-Mart Stores, Inc. 2.7%
International Business Machines Corp. 2.1%
Cisco Systems, Inc. 2.0%
America Online, Inc. 1.9%
Lucent Technologies, Inc. 1.8%
Citigroup Inc. 1.8%
Exxon Corp. 1.7%
Intel Corp. 1.7%
</TABLE>
INDEX PLUS MID CAP FUND:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------
% OF
COMMON % OF S&P OVER/(UNDER)
SECTOR STOCKS MIDCAP 400 WEIGHTING
- --------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 4.3% 6.5% (2.2)%
Commercial Services 5.2% 5.6% (0.4)%
Consumer Discretionary 14.5% 16.1% (1.6)%
Consumer Non-Discretionary 3.1% 3.1% --
Energy 5.2% 6.3% (1.1)%
Finance 19.0% 16.1% 2.9%
Healthcare 7.5% 9.1% (1.6)%
Manufacturing 13.0% 10.3% 2.7%
Technology 12.1% 16.9% (4.8)%
Utilities 16.1% 10.0% 6.1%
</TABLE>
8 See Definition of Terms.
<PAGE>
INDEX PLUS MID CAP FUND (CONTINUED):
<TABLE>
<CAPTION>
- ------------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
- ------------------------------------------------
<S> <C>
AFLAC, Inc. 2.5%
QUALCOMM Inc. 2.5%
E*Trade Group, Inc. 2.1%
Best Buy Co., Inc. 1.7%
Harley-Davidson, Inc. 1.5%
Lexmark International Group, Inc. 1.4%
Marshall & Ilsley Corp. 1.2%
Cintas Corp. 1.2%
Biogen, Inc. 1.2%
Altera Corp. 1.2%
</TABLE>
INDEX PLUS SMALL CAP FUND:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------
% OF
COMMON % OF S&P OVER/(UNDER)
SECTOR STOCKS SMALLCAP 600 WEIGHTING
- -----------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 4.1% 4.4% (0.3)%
Commercial Services 9.9% 9.5% 0.4%
Consumer Discretionary 22.4% 20.2% 2.2%
Consumer Non-Discretionary 2.5% 2.6% (0.1)%
Energy 6.3% 6.0% 0.3%
Finance 14.3% 14.7% (0.4)%
Healthcare 10.1% 10.1% --
Manufacturing 11.4% 13.1% (1.7)%
Technology 14.7% 16.5% (1.8)%
Utilities 4.3% 2.9% 1.4%
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
- ---------------------------------------------
<S> <C>
VISX, Inc. 2.5%
Sanmina Corp. 1.8%
Express Scripts, Inc. 1.5%
Valassis Communications, Inc. 1.4%
Gentex Corp. 1.3%
SEI Investments Co. 1.1%
Novellus Systems, Inc. 1.1%
Devry, Inc. 1.0%
Macromedia, Inc. 1.0%
Linens 'n Things, Inc. 0.9%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 1999. The manager's opinions are subject to change at any time based on
market and other conditions. The composition, industries and holdings of the
Funds are subject to change.
See Definition of Terms. 9
<PAGE>
DEFINITION OF INDICES
(1) On February 2, 1998, the Funds redesignated Adviser Class shares as Class A
shares. For periods prior to that date, Class A performance is calculated
by using the performance of Class I shares and deducting the Class A
front-end load and internal fees and expenses applicable to the Class A
shares. The maximum load for the Funds is 3.00%, excluding the Money Market
Fund. The POP (public offering price) returns reflect this maximum load.
(2) NAV (net asset value) returns are net of Fund expenses only and do not
reflect the deduction of a front-end load or contingent deferred sales
charges. This charge, if reflected, would reduce the performance results
shown.
(3) The Funds began offering Class B shares on March 1, 1999. For periods prior
to that date, Class B performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class B shares. Class B share returns with CDSC (contingent deferred
sales charge) reflect the deduction of a maximum CDSC, assuming full
redemption at the end of the period. The CDSC applies for all shares
redeemed prior to the end of the first six years of ownership. The CDSC
charges are as follows: Year 1 - 5%, Year 2 - 4%, Year 3 - 3%, Year 4 - 3%,
Year 5 - 2%, Year 6 - 1%.
(4) The Funds began offering Class C shares on June 30, 1998. For periods prior
to that date, Class C performance is calculated using the performance of
Class I shares and deducting the internal fees and expenses applicable to
the Class C shares. Class C share returns for periods less than 18 months
reflect the deduction of the contingent deferred sales charge of 0.75%.
(a) The Lehman Brothers Aggregate Bond Index is an unmanaged index and is
composed of securities from Lehman Brothers Government/Corporate Bond
Index, Mortgage-Backed Securities Index and the Asset-Backed Securities
Index.
(b) The S&P 500 is the Standard & Poor's 500 Index. Performance is calculated
on a total return basis and dividends are reinvested, as reported by Frank
Russell Company.
(c) The Standard & Poor's Midcap 400 Index is an unmanaged index used to
measure stock market performance composed of companies with a weighted
average market value of $3.6 billion. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
(d) The Standard & Poor's (S&P) Smallcap 600 Index is an unmanaged index used
to measure stock market performance composed of companies with a weighted
average market value of $903 million. Performance is calculated on a total
return basis and dividends are reinvested, as reported by Frank Russell
Company.
These are unmanaged indices and are not available for individual investment.
10
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS BOND
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------------- --------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES ( 98.4% )
CORPORATE BONDS ( 40.0% )
Ahold Finance USA Inc.,6.88%,05/01/29 $ 50,000 $ 49,405
AirTouch Communications, Inc.,
7.13%,07/15/01 * .................... 280,000 286,810
AMR Corp.,9.75%,03/15/00 ............. 250,000 259,380
Associates Corp. N.A.,6.88%,11/15/08 . 200,000 206,106
Celulosa Arauco
Constitution,7.50%,09/15/17.......... 50,000 41,973
Chase Manhatten Corp.,7.13%,06/15/09 . 200,000 209,888
Cia. Transporte Energia,8.63%,04/01/03
++................................... 250,000 239,688
Federal Express,7.89%,09/23/08 ....... 224,472 231,736
Federated Department Stores, Inc.,
8.13%,10/15/02 ...................... 200,000 212,732
Ford Motor Credit Corp.,6.20%,03/12/01 250,000 252,605
General Motors Acceptance Corp.,
7.00%,08/15/01 ...................... 250,000 256,942
Hanson Overseas B.V.,7.38%,01/15/03 .. 250,000 261,377
Ikon Capital Resources,6.31%,12/10/01 250,000 242,945
Kern River Funding
Corp.,6.72%,09/30/01................. 250,000 254,027
Lehman Brothers Holdings
Inc.,6.47%,07/21/00.................. 250,000 251,768
Lockheed Martin Corp.,7.25%,05/15/06 . 210,000 219,406
Lucent Technologies,
Inc.,6.45%,03/15/29.................. 50,000 48,140
MCI WorldCom, Inc.,6.95%,08/15/28 .... 150,000 148,886
Merrill Lynch & Co.,
Inc.,6.50%,04/01/01.................. 250,000 253,797
Norfolk Southern Corp.,6.70%,05/01/00 250,000 252,517
Norsk Hydro A/S,7.75%,06/15/23 ....... 250,000 264,322
Nova Gas Transmission,7.25%,07/06/99 . 350,000 351,267
Orix Credit Alliance
Corp.,6.79%,04/16/01................. 80,000 79,666
Providian National Bank,6.75%,03/15/02 250,000 250,830
Puget Sound Energy,
Inc.,7.02%,12/01/27.................. 250,000 249,665
Royal Caribbean,8.25%,04/01/05 ....... 140,000 149,652
Salomon Smith Barney Holdings,
6.63%,11/15/03 ...................... 250,000 255,060
Sears Roebuck Acceptance Corp.,
6.37%,11/21/01 ...................... 300,000 303,486
----------
6,084,076
----------
FOREIGN AND SUPRANATIONALS ( 1.6% )
Panama (Republic of),7.88%,02/13/02 ++ 250,000 243,750
----------
NON-AGENCY MORTGAGE-BACKED SECURITIES ( 2.2% )
First NBC Credit Card Master Trust
1997-1 A,
6.15%,09/15/04 ...................... 250,000 254,219
Peco Energy Transition
Trust,6.05%,03/01/09................. 80,000 79,614
----------
333,833
----------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES ( 32.7% )
Federal Home Loan Mortgage Corp.,
6.50%,06/01/28 ...................... 92,341 91,821
Federal Home Loan Mortgage Corp.,
7.00%,05/01/28 ...................... 93,195 94,534
Federal Home Loan Mortgage Corp.,
7.50%,06/01/11 ...................... 145,877 150,571
Federal Home Loan Mortgage Corp. -
Convertible Loan,9.50%,05/01/20 ..... 91,622 97,889
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
--------------- --------------
<S> <C> <C>
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES (CONTINUED)
Federal Home Loan Mortgage Corp. -
Gold, 6.50%,03/01/28 ................ $ 477,798 $ 476,122
Federal Home Loan Mortgage Corp. -
Gold, 7.00%,03/01/28 ................ 541,087 548,863
Federal Home Loan Mortgage Corp. -
Gold - Convertible
Intermediate,6.00%,09/01/12 # ....... 144,186 143,014
Federal Home Loan Mortgage Corp. -
Gold - Convertible
Intermediate,6.50%,09/01/12.......... 237,651 239,805
Federal Home Loan Mortgage Corp. -
Gold - Convertible
Intermediate,7.00%,11/01/12.......... 209,075 214,133
Federal National Mortgage Association,
5.13%,02/13/04 ...................... 300,000 293,250
Federal National Mortgage Association,
6.00%,07/01/13 - 05/17/29 ........... 547,946 534,816
Federal National Mortgage Association,
6.50%,08/01/28 - 03/01/29............ 294,362 292,820
Federal National Mortgage Association,
7.50%,01/01/28 - 04/01/28 ........... 537,315 553,108
Government National Mortgage
Association, 6.00%,10/15/28 ......... 99,273 96,328
Government National Mortgage
Association, 7.00%,08/15/25 - 05/15/28 389,340 395,884
Government National Mortgage
Association, 7.50%,08/15/27 ......... 361,532 373,256
Government National Mortgage
Association, 9.50%,11/15/21 - 08/15/22 346,273 373,587
------------
4,969,801
------------
U.S. GOVERNMENT OBLIGATIONS ( 21.9% )
U.S. Treasury Bond,6.13%,08/15/07 .... 525,000 549,118
U.S. Treasury Bond,6.50%,11/15/26 .... 185,000 199,916
U.S. Treasury Bond,6.75%,08/15/26 .... 155,000 172,800
U.S. Treasury Bond,7.25%,05/15/16 .... 615,000 703,597
U.S. Treasury Bond,8.13%,05/15/21 .... 510,000 646,665
U.S. Treasury Bond,11.75%,11/15/14 ... 135,000 199,272
U.S. Treasury Note,10.75%,08/15/05 ... 381,000 487,977
U.S. Treasury Note,11.25%,02/15/15 ... 110,000 170,775
U.S. Treasury Strip,Zero
Coupon,08/15/05...................... 288,000 205,367
------------
3,335,487
------------
TOTAL LONG-TERM BONDS AND NOTES (COST $15,053,791) 14,966,947
------------
SHORT-TERM INVESTMENTS ( 1.2% )
Federal Home Loan Bank,4.80%,05/03/99 188,000 188,000
------------
TOTAL SHORT-TERM INVESTMENTS (COST $188,000) 188,000
------------
TOTAL INVESTMENTS (COST $15,241,791)(A) 15,154,947
OTHER ASSETS LESS LIABILITIES 61,990
------------
TOTAL NET ASSETS $15,216,937
============
</TABLE>
See Notes to Portfolio of Investments. 11
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS BOND (CONTINUED)
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes is identical.
Unrealized gains and losses, based on identified tax cost at April 30, 1999,
are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains............................. $ 31,188
Unrealized losses............................ (118,032)
-----------
Net unrealized loss......................... $ (86,844)
===========
</TABLE>
* Segregated securities for purchases of delayed delivery or when-issued
securities held at April 30, 1999.
++ Securities that may be resold to "qualified institutional buyers" under Rule
144A or securities offered pursuant to section 4(2) of the Securities Act of
1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Directors.
# When-issued or delayed delivery security.
<TABLE>
<CAPTION>
Information concerning restricted securities at April 30, 1999 is shown
below: ACQUISITION
DATE COST
---------------------- ---------------------
<S> <C> <C>
Cia. Transporte Energia ........ 04/02/98 $249,640
Panama (Republic of) ........... 05/01/98 250,477
--------
$500,117
========
</TABLE>
The market value of the total restricted securities above represent 3.18% of the
total net assets.
Category percentages are based on net assets.
12 See Notes to Financial Statements.
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
<S> <C> <C>
COMMON STOCKS (92.5%)
AIR TRANSPORT ( 0.5% )
AMR Corp. + ............................. 1,000 $ 69,813
Delta Air Lines, Inc. ................... 3,000 190,313
FDX Corp. Holding Co. + ................. 2,880 324,180
Southwest Airlines Co. .................. 6,175 201,073
US Airways Group, Inc. + ................ 700 38,106
-----------
823,485
-----------
ALUMINUM ( 0.3% )
Alcoa Inc. .............................. 7,600 473,100
-----------
AUTO PARTS AND HARDWARE ( 0.1% )
Black & Decker Corp. .................... 1,300 73,775
Briggs & Stratton Corp. ................. 100 6,594
Genuine Parts Co. ....................... 700 21,000
Goodyear Tire & Rubber Co. (The) ........ 2,100 120,094
Snap-On, Inc. ........................... 200 6,512
-----------
227,975
-----------
AUTOMOTIVE ( 1.7% )
Dana Corp. .............................. 1,100 51,837
Eaton Corp. ............................. 1,000 91,687
Ford Motor Co. .......................... 20,500 1,310,719
General Motors Corp. .................... 13,600 1,209,550
Johnson Controls, Inc. .................. 600 43,763
TRW, Inc. ............................... 500 20,969
-----------
2,728,525
-----------
BANKS AND THRIFTS ( 6.8% )
AmSouth Bancorporation .................. 1,700 80,856
Bank of America Corp. ................... 23,000 1,656,000
Bank of New York Co., Inc. .............. 10,100 404,000
Bank One Corp. .......................... 15,600 920,400
BankBoston Corp. ........................ 3,500 171,500
Bankers Trust New York Corp. ............ 700 63,044
BB&T Corp. .............................. 3,300 131,794
Chase Manhattan Corp. ................... 17,600 1,456,400
Comerica, Inc. .......................... 1,600 104,100
Fifth Third Bancorp ..................... 3,975 284,958
First Union Corp. ....................... 11,248 622,858
Firstar Corp. ........................... 11,900 357,744
Fleet Financial Group, Inc. ............ 10,300 443,544
Golden West Financial Corp. ............. 800 80,100
Huntington Bancshares Inc. .............. 1,660 58,826
J.P. Morgan & Co. ....................... 3,800 512,050
KeyCorp ................................. 4,800 148,500
Mellon Bank Corp. ....................... 3,600 267,525
Mercantile Bancorporation, Inc. ......... 1,700 96,900
National City Corp. ..................... 4,200 301,350
Northern Trust Corp. .................... 1,100 102,438
PNC Bank Corp. .......................... 2,900 167,837
Regions Financial Corp. ................. 1,300 49,075
Republic New York Corp. ................. 400 23,500
SouthTrust Corp. ........................ 1,700 67,734
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
<S> <C> <C>
BANKS AND THRIFTS (CONTINUED)
State Street Corp. ...................... 1,700 $ 148,750
Summit Bancorp. ......................... 1,000 42,375
Suntrust Banks, Inc. .................... 4,200 300,300
Synovus Financial Corp. ................. 1,800 39,825
U.S. Bancorp ............................ 8,978 332,747
Union Planters Co. ...................... 1,000 42,813
Wachovia Corp. .......................... 2,400 210,900
Washington Mutual, Inc. ................. 7,300 300,212
Wells Fargo & Co. ....................... 18,200 786,012
-----------
10,776,967
-----------
BIOTECH AND MEDICAL PRODUCTS ( 1.1% )
Alza Corp. + ............................ 600 20,138
Amgen, Inc. + ........................... 11,000 675,813
Bard (C.R.) Inc. ........................ 800 39,200
Bausch & Lomb, Inc. ..................... 500 37,500
Becton, Dickinson & Co. ................. 3,100 115,281
Biomet, Inc. ............................ 600 24,600
Boston Scientific Corp. + ............... 8,400 357,525
Guidant Corp. ........................... 4,700 252,331
Mallinckrodt Inc. ....................... 100 3,506
Medtronic, Inc. ......................... 1,500 107,906
Watson Pharmaceuticals, Inc. + .......... 1,300 52,650
-----------
1,686,450
-----------
CHEMICALS ( 1.5% )
Dow Chemical Co. ........................ 4,800 629,700
Du Pont (E.I.) de Nemours ............... 16,100 1,137,062
Eastman Chemical Co. .................... 200 11,138
Hercules, Inc. .......................... 500 18,906
Monsanto Co. ............................ 9,200 416,300
Rohm & Haas Co. ......................... 800 35,850
Union Carbide Corp. ..................... 1,600 83,000
-----------
2,331,956
-----------
COMMERCIAL SERVICES ( 0.2% )
Deluxe Corp. ............................ 100 3,463
Interpublic Group of Co., Inc. (The) .... 1,500 116,344
Omnicom Group, Inc. ..................... 1,800 130,500
Paychex, Inc. ........................... 1,400 71,487
RR Donnelley & Sons Co. ................. 800 28,300
-----------
350,094
-----------
COMPUTERS ( 4.4% )
Apple Computer, Inc. + .................. 1,800 82,800
Dell Computer Corp. + ................... 33,600 1,383,900
Gateway 2000, Inc. + .................... 2,000 132,375
Hewlett Packard Co. ..................... 13,700 1,080,587
International Business Machines Corp. ... 15,700 3,284,244
Sun Microsystems, Inc. + ................ 14,000 837,375
Unisys Corp. + .......................... 4,500 141,469
-----------
6,942,750
-----------
CONGLOMERATE AND AEROSPACE ( 4.0% )
Boeing Co. .............................. 12,400 503,750
Crane Co. ............................... 225 6,511
</TABLE>
See Notes to Portfolio Investments. 13
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
<S> <C> <C>
CONGLOMERATE AND AEROSPACE (CONTINUED)
General Dynamics Corp. .................. 2,300 $ 161,575
General Electric Co. .................... 44,100 4,652,550
Goodrich (B. F.) Co. .................... 100 3,975
Lockheed Martin Corp. ................... 2,100 90,431
Loews Corp. ............................. 1,700 124,418
National Service Industries, Inc. ....... 100 3,894
Northrop Grumman Corp. .................. 900 57,544
Raytheon Co. ............................ 3,100 217,775
Tenneco, Inc. ........................... 500 13,500
Textron, Inc. ........................... 1,600 147,400
United Technologies Corp. ............... 3,000 434,625
-----------
6,417,948
-----------
CONSUMER FINANCE ( 2.1% )
Associates First Capital Corp. .......... 9,600 425,400
Capital One Financial Corp. ............. 700 121,581
Countrywide Credit Industries, Inc. ..... 900 40,781
Federal Home Loan Mortgage Corp. ........ 14,100 884,775
Federal National Mortgage Association ... 16,900 1,198,844
Household International, Inc. ........... 5,900 296,844
MBNA Corp. .............................. 8,300 233,956
SLM Holding Corp. ....................... 1,800 76,838
-----------
3,279,019
-----------
CONSUMER PRODUCTS ( 2.0% )
Alberto-Culver Co. ...................... 200 4,975
American Greetings Corp. ................ 100 2,619
Avon Products, Inc. ..................... 2,600 141,213
Clorox Co. .............................. 1,300 149,987
Colgate-Palmolive Co. ................... 3,900 399,506
Gillette Co. ............................ 6,000 313,125
International Flavors & Fragrances, Inc. 700 27,650
Kimberly-Clark Corp. .................... 7,200 441,450
Procter & Gamble Co. .................... 17,500 1,641,719
-----------
3,122,244
-----------
CONSUMER SERVICES ( 1.1% )
Carnival Corp. .......................... 12,800 528,000
Cendant Corp. + ......................... 3,000 54,000
Darden Restaurants, Inc. ................ 900 20,081
H & R Block, Inc. ....................... 300 14,438
Marriott International, Inc. ............ 3,300 138,187
McDonald's Corp. ........................ 17,900 758,512
Tricon Global Restaurants, Inc. + ....... 3,040 195,700
Wendy's International, Inc. ............. 1,900 51,419
-----------
1,760,337
-----------
CONSUMER SPECIALTIES ( 0.1% )
Brunswick Corp. ......................... 200 4,800
Hasbro, Inc. ............................ 1,350 46,069
Mattel, Inc. ............................ 3,500 90,562
-----------
141,431
-----------
DATA AND IMAGING SERVICES ( 11.7% )
Adobe Systems, Inc. ..................... 500 31,688
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
<S> <C> <C>
DATA AND IMAGING SERVICES (CONTINUED)
America Online, Inc. .................... 21,000 $ 2,997,750
Automatic Data Processing, Inc. ......... 8,200 364,900
BMC Software, Inc. + .................... 3,400 146,412
Ceridian Corp. + ........................ 1,300 47,613
Cisco Systems, Inc. + ................... 28,300 3,227,969
Computer Associates International, Inc. . 5,900 251,856
Computer Sciences Corp. + ............... 2,300 136,994
Compuware Corp. + ....................... 4,800 117,000
Eastman Kodak Co. ....................... 4,300 320,887
Electronic Data Systems Corp. ........... 5,000 268,750
EMC Corp. + ............................. 10,500 1,143,844
First Data Corp. ........................ 4,600 195,212
Microsoft Corp. + ....................... 106,700 8,676,044
Novell, Inc. + .......................... 4,500 100,125
Oracle Corp. + .......................... 17,600 476,300
Seagate Technology, Inc. + .............. 3,300 91,987
-----------
18,595,331
-----------
DISCRETIONARY RETAIL ( 6.5% )
Circuit City Stores, Inc. ............... 1,800 110,700
Costco Companies, Inc. + ................ 4,200 339,938
Dayton Hudson Co. ....................... 9,200 619,275
Dillards, Inc. .......................... 300 8,306
Dollar General Corp. .................... 2,250 78,891
Federated Department Stores, Inc. + ..... 2,500 116,719
Fred Meyer, Inc. + ...................... 2,400 129,900
Gap, Inc. ............................... 11,900 792,094
Home Depot, Inc. ........................ 31,800 1,906,012
Kmart Corp. + ........................... 8,800 130,900
Kohl's Corp. + .......................... 2,900 192,669
Lowe's Co., Inc. ........................ 7,300 385,075
May Department Stores Co. ............... 4,350 173,184
Nordstrom, Inc. ......................... 1,700 59,819
Sears, Roebuck & Co. .................... 5,100 234,600
Staples, Inc. + ......................... 8,750 262,500
Tandy Corp. ............................. 1,600 115,900
The Limited, Inc. ....................... 3,700 161,875
TJX Companies, Inc. ..................... 5,300 176,556
Toys "R" Us, Inc. + ..................... 2,900 63,075
Wal-Mart Stores, Inc. ................... 94,000 4,324,000
-----------
10,381,988
-----------
DIVERSIFIED FINANCIAL SERVICES ( 2.5% )
American Express Co. .................... 6,000 784,125
Citigroup Inc. .......................... 37,200 2,799,300
Providian Financial Corp. ............... 2,800 361,375
Transamerica Corp. ...................... 1,300 92,625
-----------
4,037,425
-----------
DRUGS ( 8.4% )
Abbott Laboratories ..................... 25,100 1,215,781
Allergan, Inc. .......................... 1,200 107,850
American Home Products Corp. ............ 17,600 1,073,600
Baxter International, Inc. .............. 3,800 239,400
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
<S> <C> <C>
DRUGS (CONTINUED)
Bristol-Myers Squibb Co. ................ 26,200 $ 1,665,337
Eli Lilly & Co. ......................... 13,300 979,212
Johnson & Johnson ....................... 16,500 1,608,750
Merck & Co., Inc. ....................... 31,200 2,191,800
Pfizer, Inc. ............................ 17,100 1,967,569
Pharmacia & Upjohn, Inc. ................ 6,000 336,000
Schering Plough ......................... 26,700 1,289,944
Warner Lambert Co. ...................... 10,100 686,169
-----------
13,361,412
-----------
ELECTRIC UTILITIES ( 1.5% )
AES Corp. + ............................. 1,200 60,000
Ameren Corp. ............................ 500 19,344
American Electric Power Co. ............. 2,600 107,737
Baltimore Gas & Electric Co. ............ 600 16,875
Carolina Power & Light Co. .............. 700 28,219
Central & South West Corp. .............. 1,200 29,775
Cinergy Corp. ........................... 600 17,888
Consolidated Edison, Inc. ............... 3,400 154,487
Dominion Resources, Inc. ................ 1,600 65,800
DTE Energy Co. .......................... 2,100 85,706
Duke Energy Corp. ....................... 4,813 269,528
Edison International .................... 4,900 120,050
Entergy Corp. ........................... 1,600 50,000
FirstEnergy Corp. ....................... 1,600 47,500
FPL Group, Inc. ......................... 1,200 67,650
GPU, Inc. ............................... 2,100 80,063
New Century Energies, Inc. .............. 500 17,500
Niagara Mohawk Holdings Inc. + .......... 800 10,700
Northern States Power Co. ............... 2,700 65,138
PacifiCorp .............................. 3,500 58,406
Peco Energy Co. ......................... 4,300 203,981
PG&E Corp. .............................. 5,700 177,056
PP & L Resources, Inc. .................. 1,200 33,525
Public Service Enterprise Group, Inc. ... 3,000 120,000
Reliant Energy Inc. ..................... 3,600 101,925
Southern Co. ............................ 9,400 254,387
Texas Utilities Co. ..................... 2,222 88,325
Unicom Corp. ............................ 1,700 65,981
-----------
2,417,546
-----------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 0.6% )
Perkin-Elmer Corp. ...................... 200 21,625
Pitney Bowes, Inc. ...................... 3,800 265,762
Rockwell International Corp. ............ 2,500 129,063
Xerox Corp. ............................. 8,900 522,875
-----------
939,325
-----------
ELECTRONIC MEDIA ( 1.6% )
CBS Corp. + ............................. 8,200 373,612
Clear Channel Communications, Inc. + .... 1,400 97,300
Comcast Corp. ........................... 3,600 236,475
King World Production, Inc. + ........... 200 7,050
Mediaone Group, Inc. + .................. 6,800 554,625
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
ELECTRONIC MEDIA (CONTINUED)
Time Warner, Inc. ....................... 15,000 $ 1,050,000
Viacom, Inc. + .......................... 5,800 237,075
-----------
2,556,137
-----------
FOOD AND BEVERAGE ( 2.6% )
Anheuser-Busch Co., Inc. ................ 9,900 723,937
Bestfoods ............................... 2,700 135,506
Brown-Forman Corp. + .................... 100 7,369
Campbell Soup Co. ....................... 5,300 217,300
Coca-Cola Co. ........................... 5,700 387,600
Coca-Cola Enterprises, Inc. ............. 1,100 37,950
Conagra, Inc. ........................... 5,100 126,862
Coors (Adolph) Co. ...................... 100 5,350
Fortune Brands, Inc. .................... 2,300 90,850
General Mills, Inc. ..................... 2,400 175,500
Heinz (H.J.) Co. ........................ 4,800 224,100
Hershey Foods Corp. ..................... 400 21,050
Kellogg Co. ............................. 3,800 140,600
PepsiCo, Inc. ........................... 17,600 650,100
Pioneer Hi-Bred International, Inc. ..... 2,300 85,963
Quaker Oats Co. ......................... 1,700 109,756
Ralston-Ralston Purina Group ............ 3,900 118,950
Sara Lee Corp. .......................... 12,100 269,225
Unilever NV ............................. 8,500 551,969
Wrigley (Wm.) Jr. Co. ................... 1,000 88,688
-----------
4,168,625
-----------
FOOD AND DRUG RETAIL ( 1.1% )
Albertson's, Inc. ....................... 3,200 164,800
American Stores Co. ..................... 3,900 123,094
CVS Corp. ............................... 4,800 228,600
Kroger Co. (The) + ...................... 4,400 238,975
Longs Drug Stores, Inc. ................. 100 3,438
Safeway, Inc. + ......................... 8,200 442,287
SUPERVALU, Inc. ......................... 1,000 20,875
Sysco Corp. ............................. 4,400 130,625
Walgreen Co. ............................ 13,900 373,563
Winn-Dixie Stores, Inc. ................. 900 32,231
-----------
1,758,488
-----------
FOREST PRODUCTS AND BUILDING MATERIALS ( 0.8% )
Armstrong World Industries, Inc. ........ 100 5,475
Bemis Co., Inc. ......................... 100 3,500
Champion International Corp. ............ 1,200 65,625
Crown Cork & Seal Co., Inc. ............. 400 13,000
Fort James Corp. ........................ 1,600 60,800
Georgia-Pacific Corp. ................... 1,900 175,750
International Paper Co. ................. 4,900 261,231
Louisiana-Pacific Corp. ................. 700 14,569
Masco Corp. ............................. 4,500 132,188
Mead Corp. .............................. 500 20,906
Owens Corning ........................... 100 3,563
Owens-Illinois, Inc. + .................. 400 11,600
Sealed Air Corp. + ...................... 900 54,731
</TABLE>
See Notes to Portfolio of Investments. 15
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
<S> <C> <C>
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
Temple-Inland Inc. ...................... 300 $ 20,700
Weyerhaeuser Co. ........................ 5,100 342,337
Willamette Industries, Inc. ............. 2,000 93,500
-----------
1,279,475
-----------
GAS UTILITIES ( 0.3% )
Coastal Corp. (The) ..................... 1,400 53,550
Columbia Energy Group ................... 550 26,434
Consolidated Natural Gas Co. ............ 600 35,700
Eastern Enterprises ..................... 100 3,594
Enron Corp. ............................. 4,700 353,675
NICOR, Inc. ............................. 100 3,638
ONEOK, Inc. ............................. 100 2,794
People's Energy Corp. ................... 100 3,737
Sempra Energy ........................... 850 17,637
Williams Co., Inc. (The) ................ 1,100 51,975
-----------
552,734
-----------
HEALTH SERVICES ( 0.4% )
Cardinal Health, Inc. ................... 2,900 173,456
Columbia/HCA Healthcare Corp. ........... 8,400 207,375
Humana, Inc. + .......................... 400 5,450
IMS Health, Inc. ........................ 2,600 78,000
McKesson HBOC, Inc. ..................... 2,806 98,210
United Healthcare Corp. ................. 1,500 84,188
-----------
646,679
-----------
HEAVY MACHINERY ( 0.1% )
Navistar International Corp. + .......... 200 10,463
PACCAR, Inc. ............................ 1,300 72,800
-----------
83,263
-----------
HOUSING AND FURNISHINGS ( 0.2% )
Centex Corp. ............................ 700 25,594
Fleetwood Enterprises, Inc. ............. 100 2,469
Kaufman & Broad Home Corp. .............. 100 2,431
Maytag Corp. ............................ 1,600 109,400
Newell Rubbermaid Inc. .................. 2,800 132,825
Pulte Corp. ............................. 200 4,525
Whirlpool Corp. ......................... 500 33,187
-----------
310,431
-----------
INDUSTRIAL SERVICES ( 0.3% )
Browning-Ferris Industries, Inc. ........ 2,100 83,737
Fluor Corp. ............................. 100 3,338
USA Waste Management, Inc. .............. 6,900 389,850
-----------
476,925
-----------
INSURANCE ( 2.6% )
Allstate Corp. (The) .................... 10,900 396,487
American General Corp. .................. 3,510 259,740
American International Group, Inc. ...... 16,399 1,925,858
Aon Corp. ............................... 1,850 126,725
CIGNA Corp. ............................. 2,400 209,250
Cincinnati Financial Corp. .............. 700 28,263
Conseco, Inc. ........................... 3,300 104,156
Hartford Financial Services Group, Inc. . 2,900 170,919
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
INSURANCE (CONTINUED)
Jefferson-Pilot Corp. ................... 1,550 $ 104,431
Lincoln National Corp. .................. 1,800 172,912
Marsh & McLennan Co., Inc. .............. 4,900 375,156
MBIA, Inc. .............................. 800 53,800
MGIC Investment Corp. ................... 700 33,994
Progressive Corp. ....................... 400 57,400
Provident Companies, Inc. ............... 500 19,688
Safeco Corp. ............................ 600 23,850
St. Paul Co., Inc. ...................... 1,712 49,113
Torchmark Corp. ......................... 400 13,675
UNUM Corp. .............................. 1,500 81,937
-----------
4,207,354
-----------
INVESTMENT SERVICES ( 1.8% )
Bear Stearns Co., Inc. (The) ............ 1,575 73,435
Charles Schwab Corp. .................... 7,200 790,200
Lehman Brothers Holdings Inc. ........... 2,400 133,350
Merrill Lynch & Co., Inc. ............... 7,600 637,925
Morgan Stanley Dean Witter & Co. ........ 11,900 1,180,331
-----------
2,815,241
-----------
MAJOR TELECOMMUNICATIONS ( 8.6% )
AirTouch Communications, Inc. + ......... 9,500 887,062
ALLTEL Corp. ............................ 5,100 343,931
Ameritech Corp. ......................... 22,900 1,567,219
AT&T Corp. .............................. 45,000 2,272,500
Bell Atlantic Corp. ..................... 20,500 1,181,312
BellSouth Corp. ......................... 40,500 1,812,375
Century Telephone Enterprises, Inc. ..... 2,550 102,638
Frontier Corp. .......................... 1,300 71,744
GTE Corp. ............................... 12,800 856,800
MCI Worldcom, Inc. + .................... 24,512 2,014,580
SBC Communications, Inc. ................ 26,400 1,478,400
Sprint Corp. ............................ 4,600 471,787
Sprint PCS + ............................ 5,400 228,825
U.S. WEST, Inc. ......................... 6,200 324,338
-----------
13,613,511
-----------
MISCELLANEOUS METALS ( 0.1% )
Barrick Gold Corp. ...................... 3,800 76,475
Placer Dome, Inc. ....................... 2,600 36,725
-----------
113,200
-----------
OIL ( 4.7% )
Amerada Hess Corp. ...................... 1,100 62,700
Ashland Oil, Inc. ....................... 100 4,225
Atlantic Richfield Co. .................. 4,200 352,537
Chevron Corp. ........................... 8,600 857,850
Exxon Corp. ............................. 32,700 2,716,144
Mobil Corp. ............................. 10,300 1,078,925
Occidental Petroleum Corp. .............. 4,700 94,881
Phillips Petroleum Co. .................. 3,000 151,875
Royal Dutch Petroleum Co. ............... 24,900 1,461,319
Texaco, Inc. ............................ 5,900 370,225
Unocal Corp. ............................ 2,900 120,531
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
<S> <C> <C>
OIL (CONTINUED)
USX-Marathon Group ...................... 5,600 $ 175,000
-----------
7,446,212
-----------
OIL SERVICES ( 0.0% )
McDermott International, Inc. ........... 200 5,800
-----------
PRINT MEDIA ( 0.4% )
Dow Jones & Co., Inc. ................... 200 10,900
Dun & Bradstreet Corp. .................. 700 25,725
Equifax, Inc. .......................... 800 28,750
Gannett Co., Inc. ....................... 2,900 205,356
Harcourt General, Inc. .................. 100 4,769
Knight-Ridder, Inc. ..................... 600 32,288
McGraw-Hill Co., Inc. ................... 2,900 160,225
Meredith Corp. .......................... 200 7,338
New York Times Co. ...................... 1,000 34,500
Times Mirror Co. ........................ 200 11,700
Tribune Co. ............................. 1,000 83,437
-----------
604,988
-----------
PRODUCER GOODS ( 2.2% )
Allegheny Teledyne, Inc. ................ 1,300 29,087
Allied Signal, Inc. ..................... 6,500 381,875
Avery Dennison Corp. .................... 1,800 122,850
Cooper Industries, Inc. ................. 400 19,350
Corning, Inc. ........................... 3,800 217,550
Danaher Corp. ........................... 1,200 79,725
Dover Corp. ............................. 2,300 84,956
Ecolab, Inc. ............................ 2,100 88,069
Emerson Electric Co. .................... 5,800 374,100
FMC Corp. + ............................. 100 6,500
Grainger (W.W.), Inc. ................... 1,300 65,244
Honeywell, Inc. ......................... 1,300 123,175
Illinois Tool Works, Inc. ............... 2,600 200,200
Ingersoll-Rand Co. ...................... 2,400 166,050
ITT Industries, Inc. .................... 1,400 50,400
Milacron, Inc. .......................... 100 2,300
Minnesota Mining and Manufacturing Co. .. 4,300 382,700
Parker-Hannifin Corp. ................... 350 16,428
PPG Industries, Inc. .................... 500 32,469
Raychem Corp. ........................... 200 5,288
Sherwin-Williams Co. .................... 700 21,787
Thomas & Betts Corp. .................... 100 4,200
Tyco International Ltd. ................. 12,800 1,039,968
-----------
3,514,271
-----------
SEMICONDUCTORS AND ELECTRONICS ( 6.0% )
Applied Materials, Inc. + ............... 7,400 396,825
Ascend Communications, Inc. + ........... 3,700 357,512
General Instrument Corp. + .............. 2,200 80,300
Intel Corp. ............................. 43,900 2,686,131
KLA Instruments Corp. + ................. 600 29,775
LSI Logic Corp. + ....................... 1,600 54,400
Lucent Technologies, Inc. ............... 48,000 2,886,000
Micron Technology, Inc. + ............... 4,700 174,488
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ ---------------
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Motorola, Inc. .......................... 13,000 $ 1,041,625
Nortel Networks Corp. ................... 8,180 557,774
Solectron Corp. + ....................... 4,300 208,550
Tellabs, Inc. + ......................... 3,600 394,425
Texas Instruments, Inc. ................. 6,700 684,237
-----------
9,552,042
-----------
SPECIALTY CHEMICALS ( 0.2% )
Air Products and Chemicals, Inc. ........ 3,300 155,100
Engelhard Corp. ......................... 700 13,431
Grace (W.R.) & Co. + .................... 100 1,594
Great Lakes Chemical Corp. .............. 300 14,344
Morton International, Inc. .............. 1,000 40,375
Praxair, Inc. ........................... 2,500 129,375
Sigma-Aldrich Corp. ..................... 200 6,500
-----------
360,719
-----------
STEEL ( 0.0% )
Nucor Corp. ............................. 600 35,213
USX-US Steel Group, Inc. ................ 200 6,050
-----------
41,263
-----------
SURFACE TRANSPORT ( 0.5% )
Burlington Northern Santa Fe Corp. ...... 5,100 186,788
CSX Corp. ............................... 2,600 128,050
Kansas City Southern Industries, Inc. ... 1,200 71,475
Norfolk Southern Corp. .................. 3,900 127,481
Union Pacific Corp. ..................... 4,100 246,000
-----------
759,794
-----------
TEXTILES AND APPAREL ( 0.1% )
Liz Claiborne, Inc. ..................... 200 6,613
Nike, Inc. .............................. 2,800 174,125
VF Corp. ................................ 1,000 51,500
-----------
232,238
-----------
TOBACCO ( 0.8% )
Philip Morris Co., Inc. ................. 32,100 1,125,506
RJR Nabisco Holdings Corp. .............. 2,700 69,525
UST, Inc. ............................... 1,100 30,663
-----------
1,225,694
-----------
TOTAL COMMON STOCKS (COST $127,035,543) 147,120,392
-----------
<CAPTION>
PRINCIPAL
AMOUNT
------------
SHORT-TERM INVESTMENTS ( 6.2% )
Federal Home Loan Bank,4.80%,05/03/99 ... $9,640,000 9,640,000
U.S. Treasury Bill,4.42%,08/19/99 @ ..... 100,000 98,659
U.S. Treasury Bill,4.55%,08/19/99 @ ..... 200,000 197,318
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $9,935,944) 9,935,977
-----------
TOTAL INVESTMENTS (COST $136,971,487)(A) 157,056,369
OTHER ASSETS LESS LIABILITIES 1,997,002
-----------
TOTAL NET ASSETS $159,053,371
============
</TABLE>
See Notes to Portfolio of Investments. 17
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
- --------------------------------------------------------------------------------
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$140,623,598. Unrealized gains and losses, based on identified tax cost at
April 30, 1999, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains.............................. $18,728,866
Unrealized losses............................. (2,296,095)
------------
Net unrealized gain.......................... $16,432,771
===========
</TABLE>
Information concerning open futures contracts at April 30, 1999 is shown below:
<TABLE>
<CAPTION>
NO. OF INITIAL EXPIRATION UNREALIZED
CONTRACTS VALUE DATE GAIN/(LOSS)
------------ ------------- ------------- ----------------
LONG CONTRACTS
- ----------------------
<S> <C> <C> <C> <C>
S&P 500 Index Futures. 20 $4,021,017 Jun 99 $ (11,625)
========== ===========
</TABLE>
+ Non-income producing security.
@ Security pledged to cover initial margin requirements on open futures
contracts at April 30, 1999.
Category percentages are based on net assets.
18 See Notes to Financial Statements.
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
<S> <C> <C>
COMMON STOCKS ( 88.9% )
AIR TRANSPORT ( 0.6% )
Airborne Freight Corp. ................. 600 $ 19,200
Alaska Air Group, Inc. + ............... 200 8,813
CNF Transportation, Inc. ............... 700 30,581
---------
58,594
---------
AUTO PARTS AND HARDWARE ( 0.1% )
Carlisle Co., Inc. ..................... 300 14,700
---------
AUTOMOTIVE ( 3.0% )
Arvin Industries, Inc. ................. 500 18,313
Borg-Warner Automotive, Inc. ........... 400 22,700
Federal-Mogul Corp. .................... 1,100 48,262
Harley-Davidson, Inc. .................. 2,600 155,025
Lear Corp. + ........................... 500 22,937
Meritor Automotive, Inc. ............... 1,200 25,425
Modine Manufacturing Co. ............... 300 9,375
Superior Industries International, Inc. 500 12,500
---------
314,537
---------
BANKS AND THRIFTS ( 8.0% )
Associated Banc-Corp. .................. 400 14,550
Astoria Financial Corp. ................ 1,000 50,125
CCB Financial Corp. .................... 300 17,325
Charter One Financial, Inc. ............ 1,545 48,281
City National Corp. .................... 400 15,450
Dime Bancorp, Inc. ..................... 2,100 48,431
First Security Corp. ................... 1,300 24,700
First Tennessee National Corp. ......... 2,400 103,500
First Virginia Banks, Inc. ............. 500 24,969
GreenPoint Financial Corp. ............. 1,600 56,000
Hibernia Corp. ......................... 900 11,981
Keystone Financial, Inc. ............... 500 16,063
Marshall & Ilsley Corp. ................ 1,800 126,000
Mercantile Bankshares Corp. ............ 500 18,500
North Fork Bancorp, Inc. ............... 1,000 22,500
Old Kent Financial Corp. ............... 1,970 93,082
Pacific Century Financial Corp. ........ 1,400 30,450
Provident Financial Group, Inc. ........ 300 12,563
Sovereign Bancorp, Inc. ................ 1,200 16,350
TCF Financial Corp. .................... 600 17,400
Wilmington Trust Corp. ................. 300 18,431
Zions Bancorporation ................... 700 46,681
---------
833,332
---------
BIOTECH AND MEDICAL PRODUCTS ( 4.1% )
Agouron Pharmaceuticals, Inc. + ........ 300 17,719
Biogen, Inc. + ......................... 1,300 123,581
Centocor, Inc. + ....................... 500 22,188
Chiron Corp. + ......................... 1,700 34,212
DENTSPLY International, Inc. ........... 500 13,094
Genzyme Corp. + ........................ 600 22,650
Hillenbrand Industries, Inc. ........... 500 23,469
IVAX Corp. + ........................... 1,800 23,625
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
Mylan Laboratories, Inc. ............... 1,100 $ 24,956
Steris Corp. + ......................... 1,300 23,075
Stryker Corp. .......................... 700 42,831
Sybron International Corp. + ........... 1,000 27,687
Watson Pharmaceuticals, Inc. + ......... 700 28,350
---------
427,437
---------
COMMERCIAL SERVICES ( 3.9% )
ACNielsen Corp. + ...................... 1,100 30,662
Cintas Corp. ........................... 1,800 123,750
Concord EFS, Inc. + .................... 2,100 70,087
Convergys Corp. ........................ 2,400 44,700
Kelly Services, Inc. ................... 200 5,063
Manpower, Inc. ......................... 600 13,575
NOVA Corp. + ........................... 500 13,000
Ogden Corp. ............................ 500 12,906
Robert Half International, Inc. + ...... 700 16,713
Snyder Communications, Inc. + .......... 500 14,688
Standard Register Co. .................. 500 15,250
Viad Corp. ............................. 1,400 46,287
---------
406,681
---------
COMPUTERS ( 0.4% )
NCR Corp. + ............................ 900 36,900
---------
CONGLOMERATE AND AEROSPACE ( 2.1% )
Cordant Technologies, Inc. ............. 300 13,838
GenCorp, Inc. .......................... 600 13,875
Gulfstream Aerospace Corp. + ........... 700 34,125
Lancaster Colony Corp. ................. 300 8,850
Litton Industries, Inc. + .............. 900 56,362
Newport News Shipbuilding, Inc. ........ 700 18,331
Pittston Brink's Group ................. 400 10,550
Sundstrand Corp. ....................... 900 64,575
---------
220,506
---------
CONSUMER FINANCE ( 0.7% )
Comdisco, Inc. ......................... 1,000 26,313
Finova Group, Inc. (The) ............... 400 19,325
GATX Corp. ............................. 800 27,500
---------
73,138
---------
CONSUMER PRODUCTS ( 0.3% )
Church & Dwight Co., Inc. .............. 200 8,563
Dial Corp. ............................. 800 27,200
---------
35,763
---------
CONSUMER SERVICES ( 2.4% )
Bob Evans Farms, Inc. .................. 600 10,988
Brinker International, Inc. + .......... 1,100 30,387
Buffets, Inc. + ........................ 400 4,000
Electronic Arts, Inc. + ................ 1,100 55,894
Outback Steakhouse, Inc. + ............. 1,250 44,766
Sotheby's Holdings, Inc. ............... 900 38,362
Starbucks Corp. + ...................... 1,200 44,325
Stewart Enterprises, Inc. .............. 800 15,900
---------
244,622
---------
</TABLE>
See Notes to Portfolio of Investments. 19
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
<S> <C> <C>
CONSUMER SPECIALTIES ( 0.1% )
International Game Technology .......... 800 $ 14,200
---------
DATA AND IMAGING SERVICES ( 4.3% )
Citrix Systems, Inc. + ................. 1,400 59,500
Fiserv, Inc. + ......................... 600 35,137
GTECH Holdings Corp. + ................. 700 18,244
Informix Corp. + ....................... 1,600 11,600
Intuit Inc. + .......................... 1,100 94,737
Legato Systems, Inc. + ................. 400 16,175
Policy Management Systems Corp. + ...... 700 22,006
Quantum Corp. + ........................ 1,300 23,238
Rational Software Corp. + .............. 1,400 41,475
Reynolds And Reynolds Co. (The) ........ 700 15,969
Siebel Systems, Inc. + ................. 600 23,063
Sterling Software, Inc. + .............. 1,200 24,825
Symantec Corp. + ....................... 600 11,925
Symbol Technologies, Inc. .............. 1,050 50,137
---------
448,031
---------
DISCRETIONARY RETAIL ( 5.9% )
Abercrombie & Fitch Co. + .............. 1,000 95,125
Bed Bath & Beyond, Inc. + .............. 1,200 42,825
Best Buy Co., Inc. + ................... 3,600 171,900
BJ's Wholesale Club, Inc. + ............ 1,400 37,187
Claire's Stores, Inc. .................. 900 29,813
Dollar Tree Stores, Inc. + ............. 1,100 40,150
Family Dollar Stores, Inc. ............. 1,300 31,362
Micro Warehouse, Inc. + ................ 600 10,163
Office Depot, Inc. + ................... 3,300 72,600
Ross Stores, Inc. ...................... 700 32,156
Saks Inc. + ............................ 1,100 31,144
Tiffany & Co. .......................... 200 16,800
---------
611,225
---------
DRUGS ( 0.3% )
Forest Laboratories, Inc. + ............ 600 26,700
---------
ELECTRIC UTILITIES ( 9.8% )
Allegheny Energy, Inc. ................. 2,300 78,344
American Water Works Co., Inc. ......... 1,100 31,281
Black Hills Corp. ...................... 150 3,394
CalEnergy Co., Inc ..................... 1,100 35,406
Cleco Corp. ............................ 200 6,175
CMS Energy Corp. ....................... 1,900 83,600
Conectiv, Inc. ......................... 1,450 34,709
DPL Inc. ............................... 2,700 48,262
Energy East Corp. ...................... 2,000 52,875
Florida Progress Corp. ................. 1,800 69,300
Hawaiian Electric Industries, Inc. ..... 600 21,338
Idacorp Inc. ........................... 400 12,600
Interstate Energy Corp. ................ 700 20,169
IPALCO Enterprises, Inc. .............. 1,600 36,900
Kansas City Power & Light Co. .......... 1,100 29,425
LG&E Energy Corp. ...................... 2,400 52,350
Minnesota Power, Inc. .................. 1,000 21,063
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
ELECTRIC UTILITIES (CONTINUED)
Montana Power Co. ...................... 1,000 $ 74,562
Nevada Power Co. ....................... 500 12,906
New England Electric System ............ 400 19,800
NiSource Inc. .......................... 2,200 61,050
OGE Energy Corp. ....................... 800 18,950
Pinnacle West Capital Corp. ............ 600 23,288
Potomac Electric Power Co. ............. 900 26,325
Public Service Co. of New Mexico ....... 600 10,725
Puget Sound Energy, Inc. ............... 1,400 34,562
Scana Corp. ............................ 800 18,800
Teco Energy, Inc. ...................... 1,000 21,313
UtiliCorp United Inc. .................. 1,500 36,656
Wisconsin Energy Corp. ................. 1,000 26,875
---------
1,023,003
---------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 1.9% )
Beckman Coulter Inc. ................... 200 9,638
Diebold, Inc. .......................... 500 12,031
Hon Industries, Inc. ................... 400 10,800
Lexmark International Group, Inc. + .... 1,200 148,200
SCI Systems, Inc. + .................... 500 19,031
---------
199,700
---------
ELECTRONIC MEDIA ( 0.4% )
TCA Cable TV, Inc. ..................... 800 39,850
---------
FOOD AND BEVERAGE ( 2.8% )
Dean Foods Co. ......................... 300 10,706
Flowers Industries, Inc. ............... 1,600 34,000
Hormel Foods Corp. ..................... 1,300 47,775
IBP, Inc. .............................. 1,400 28,350
Interstate Bakeries Corp. .............. 500 11,125
Lance, Inc. ............................ 200 2,775
McCormick & Co., Inc. .................. 1,300 39,406
Suiza Foods Corp. + .................... 300 11,269
Tyson Foods, Inc. ...................... 1,800 37,238
U.S. Foodservice + ..................... 900 37,856
Universal Foods Corp. .................. 600 12,600
Whitman Corp. .......................... 800 13,100
---------
286,200
---------
FOOD AND DRUG RETAIL ( 0.2% )
Hannaford Bros. Co. .................... 300 13,088
Ruddick Corp. .......................... 300 5,306
---------
18,394
---------
FOREST PRODUCTS AND BUILDING MATERIALS ( 3.0% )
American Standard Companies, Inc. + .... 1,300 59,475
Consolidated Papers, Inc. .............. 800 24,200
Georgia-Pacific Corp. .................. 600 15,450
Martin Marietta Materials, Inc. ........ 800 49,450
Rayoner, Inc. .......................... 300 13,687
Sonoco Products Co. .................... 770 19,876
Southdown, Inc. ........................ 700 44,844
USG Corp. .............................. 800 46,700
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
<S> <C> <C>
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
Vulcan Materials Co. ................... 900 $ 42,975
---------
316,657
---------
GAS UTILITIES ( 1.7% )
AGL Resources, Inc. .................... 900 16,369
El Paso Energy Corp. ................... 900 33,075
Indiana Energy, Inc. ................... 600 12,825
KeySpan Energy Corp. ................... 1,400 37,450
MCN Energy Group, Inc. ................. 700 13,956
National Fuel Gas Co. .................. 700 30,625
Questar Corp. .......................... 600 10,912
Washington Gas Light Co. ............... 700 16,494
---------
171,706
---------
HEALTH SERVICES ( 2.4% )
Bergen Brunswig Corp. .................. 1,600 30,400
Covance, Inc. + ........................ 400 8,775
Health Management Associates, Inc. + ... 2,100 32,812
Lincare Holdings Inc. + ................ 800 23,700
Omnicare, Inc. ......................... 600 14,438
PacifiCare Health Systems, Inc. + ...... 800 63,825
Quintiles Transnational Corp. + ........ 1,300 52,731
Trigon Healthcare, Inc. + .............. 700 22,225
---------
248,906
---------
HOUSING AND FURNISHINGS ( 1.2% )
Clayton Homes, Inc. .................... 1,000 11,125
Leggett & Platt, Inc. .................. 1,400 32,288
Mohawk Industries, Inc. + .............. 1,100 35,475
Shaw Industries, Inc. + ................ 2,600 47,125
---------
126,013
---------
INDUSTRIAL SERVICES ( 0.6% )
Allied Waste Industries, Inc. + ........ 2,000 35,375
Granite Construction, Inc. ............. 450 12,853
Jacobs Engineering Group, Inc. + ....... 300 11,831
---------
60,059
---------
INSURANCE ( 5.0% )
AFLAC, Inc. ............................ 4,800 260,400
AMBAC, Inc. ............................ 1,300 78,487
American Financial Group, Inc. ......... 400 14,525
Everest Reinsurance Holdings, Inc. ..... 500 15,156
HSB Group, Inc. ........................ 400 15,150
Old Republic International Corp. ....... 1,850 36,191
PMI Group, Inc. (The) .................. 600 33,488
Protective Life Corp. .................. 900 35,269
ReliaStar Financial Corp. .............. 800 29,400
---------
518,066
---------
INVESTMENT SERVICES ( 3.2% )
E*Trade Group, Inc. + ................. 1,900 219,450
Edwards (A.G.), Inc. .................. 600 21,000
Paine Webber Group Inc. ................ 1,300 61,018
T. Rowe Price & Associates ............. 900 33,919
---------
335,387
---------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
MAJOR TELECOMMUNICATIONS ( 0.1% )
AT&T Corp. ............................. 299 $ 15,101
---------
MISCELLANEOUS METALS ( 0.1% )
Minerals Technologies Inc. ............. 200 10,800
---------
OIL ( 0.2% )
Murphy Oil Corp. ....................... 400 18,775
Pennzoil-Quaker State Co. + ............ 400 5,175
---------
23,950
---------
OIL SERVICES ( 2.8% )
Global Marine Inc. + ................... 1,400 20,825
Nabors Industries, Inc. + .............. 1,700 34,956
Noble Drilling Corp. + ................. 2,000 39,250
Smith International, Inc. + ........... 800 35,900
Tosco Corp. ............................ 2,900 77,575
Transocean Offshore Inc. ............... 1,600 47,500
Weatherford International, Inc. ........ 900 30,488
---------
286,494
---------
OTHER TELECOMMUNICATIONS ( 0.5% )
Aliant Communications, Inc. ............ 200 8,850
Cincinnati Bell Inc. ................... 1,100 24,888
COMSAT Corp. ........................... 700 22,750
---------
56,488
---------
PRINT MEDIA ( 1.4% )
Lee Enterprises, Inc. .................. 400 11,450
Media General, Inc. + .................. 300 15,600
Sungard Data Systems, Inc. + ........... 1,900 60,681
Washington Post Co. .................... 100 57,400
---------
145,131
---------
PRODUCER GOODS ( 3.4% )
American Power Conversion Corp. + ...... 1,700 56,100
AMETEK, Inc. ........................... 300 6,844
Donaldson Co., Inc. .................... 500 11,187
Ferro Corp. ............................ 400 11,075
Fuller (H.B.) Co. ...................... 200 13,625
Hubbell, Inc. + ........................ 400 19,125
Kaydon Corp. ........................... 200 6,750
Nordson Corp. .......................... 300 18,075
Pentair, Inc. .......................... 700 32,900
Precision Castparts Corp. .............. 200 8,550
Premark International, Inc. ............ 1,100 40,494
RPM, Inc. .............................. 900 12,656
SPX Corp. + ............................ 300 19,594
Tecumseh Products Co. .................. 400 24,450
Teleflex, Inc. ......................... 300 13,069
Trinity Industries, Inc. ............... 800 27,850
Watts Industries, Inc. ................. 200 3,075
York International Corp. ............... 800 33,000
---------
358,419
---------
SEMICONDUCTORS AND ELECTRONICS ( 9.9% )
ADC Telecommunications, Inc. + ......... 1,200 57,375
Altera Corp. + ......................... 1,700 122,825
Analog Devices, Inc. + ................. 1,400 49,175
</TABLE>
See Notes to Portfolio of Investments. 21
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ --------------
<S> <C> <C>
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Avnet, Inc. ............................ 300 $ 12,731
Cadence Design Systems, Inc. + ......... 1,900 25,769
Comverse Technology, Inc. + ............ 600 38,475
Linear Technology Corp. ................ 1,200 68,250
Maxim Integrated Products, Inc. + ...... 1,000 56,000
Microchip Technology, Inc. + ........... 400 14,000
Molex, Inc. ............................ 1,200 38,700
QUALCOMM Inc. .......................... 1,300 260,000
Synopsys, Inc. + ....................... 1,100 51,838
Teradyne, Inc. + ....................... 1,400 66,062
Vitesse Semiconductor Corp. + .......... 1,300 60,206
Xilinx, Inc. + ......................... 2,400 109,500
-----------
1,030,906
-----------
SPECIALTY CHEMICALS ( 0.9% )
Albemarle Corp. ........................ 500 11,000
Cabot Corp. ............................ 500 13,500
Dexter Corp. ........................... 200 8,213
IMC Global, Inc. ....................... 900 22,500
Lubrizol Corp. (The) ................... 500 13,844
NCH Corp. .............................. 100 5,450
Solutia, Inc. .......................... 900 21,937
-----------
96,444
-----------
STEEL ( 0.3% )
AK Steel Holding Corp. ................. 900 23,400
Maxxam, Inc. + ......................... 100 5,731
-----------
29,131
-----------
SURFACE TRANSPORT ( 0.0% )
Arnold Industries, Inc. ................ 200 3,175
-----------
TEXTILES AND APPAREL ( 0.7% )
Jones Apparel Group, Inc. + ............ 900 29,700
Westpoint Stevens, Inc. + .............. 1,100 37,675
-----------
67,375
-----------
TOBACCO ( 0.2% )
Universal Corp. ........................ 600 15,263
-----------
TOTAL COMMON STOCKS (COST $8,171,401) 9,248,984
-----------
<CAPTION>
PRINCIPAL
AMOUNT
------------
SHORT-TERM INVESTMENTS ( 1.4% )
Federal Home Loan Bank,4.80%,05/03/99 .. $141,000 141,000
-----------
TOTAL SHORT-TERM INVESTMENTS (COST $141,000) 141,000
-----------
TOTAL INVESTMENTS (COST $8,312,401)(A) 9,389,984
OTHER ASSETS LESS LIABILITIES 1,011,083
-----------
TOTAL NET ASSETS $10,401,067
===========
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$8,523,897. Unrealized gains and losses, based on identified tax cost at
April 30, 1999, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains.............................. $1,510,714
Unrealized losses............................. (644,627)
-----------
Net unrealized gain.......................... $ 866,087
===========
</TABLE>
Category percentages are based on net assets.
22 See Notes to Portfolio of Investments.
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
COMMON STOCKS ( 98.1% )
AIR TRANSPORT ( 0.9% )
Air Express International Corp. .......... 800 $ 17,500
Expeditors International of Washington,
Inc...................................... 400 24,250
SkyWest, Inc. ............................ 1,100 28,600
----------
70,350
----------
AUTO PARTS AND HARDWARE ( 1.0% )
Barnes Group, Inc. ....................... 800 16,850
CLARCOR, Inc. ............................ 600 11,250
Standard Motor Products, Inc. ............ 600 13,950
TBC Corp. + .............................. 1,100 8,525
Toro Co. ................................. 500 17,406
WD-40 Co. ................................ 300 8,025
Wynn's International, Inc. ............... 300 5,025
----------
81,031
----------
AUTOMOTIVE ( 1.7% )
Gentex Corp. + ........................... 3,500 105,219
Mascotech Inc. ........................... 900 15,637
Simpson Industries, Inc. ................. 900 9,225
----------
130,081
----------
BANKS AND THRIFTS ( 7.8% )
Anchor Bancorp Wisconsin, Inc. ........... 600 11,025
Banknorth Group, Inc. .................... 500 13,219
Carolina First Corp. ..................... 600 16,200
Centura Banks, Inc. ...................... 500 29,781
Commerce Bancorp, Inc. ................... 967 42,669
Commercial Federal Corp. ................. 1,100 26,675
Cullen/Frost Bankers, Inc. ............... 1,000 53,937
Downey Financial Corp. ................... 435 8,700
First Bancorp ............................ 600 15,488
First Midwest Bancorp, Inc. .............. 400 15,975
FirstMerit Corp. ......................... 1,700 47,281
HUBCO, Inc. .............................. 1,615 57,131
JSB Financial, Inc. ...................... 200 9,863
MAF Bancorp, Inc. ........................ 900 20,025
Premier Bancshares Corp. ................. 600 11,775
Provident Bankshares Corp. ............... 525 13,059
Queens County Bancorp, Inc. .............. 850 29,856
Riggs National Corp. ..................... 1,100 18,562
State Paul Bancorp, Inc. ................. 600 14,550
Susquehanna Bancshares, Inc. ............. 600 11,100
TrustCo Bank Corp. NY .................... 1,060 28,355
U.S. Trust Corp. ......................... 700 63,962
United Bankshares, Inc. .................. 800 21,600
UST Corp. ................................ 600 14,513
Whitney Holdings Corp. ................... 400 16,200
----------
611,501
----------
BIOTECH AND MEDICAL PRODUCTS ( 5.5% )
ADAC Laboratories + ...................... 700 5,075
Alpharma, Inc. ++ ........................ 900 26,550
Ballard Medical Products ................. 500 11,937
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
Barr Laboratories, Inc. + ................ 1,000 $ 30,062
Biomatrix, Inc. + ........................ 800 26,350
Curative Health Services, Inc. + ......... 500 2,813
Datascope Corp. + ........................ 600 17,062
IDEC Pharmaceuticals Corp. + ............. 800 40,600
IDEXX Laboratories, Inc. + ............... 800 18,100
Invacare Corp. ........................... 500 11,562
Liposome Co., Inc. + ..................... 1,500 18,750
Maxxim Medical, Inc. + ................... 600 9,563
Resound Corp. + .......................... 1,000 5,000
Vertex Pharmaceutical, Inc. + ............ 500 10,563
VISX, Inc. + ............................. 1,500 193,125
Vital Signs, Inc. ........................ 300 6,300
----------
433,412
----------
COMMERCIAL SERVICES ( 4.4% )
ABM Industries, Inc. ..................... 500 15,187
ADVO, Inc. + ............................. 900 17,775
Angelica Corp. ........................... 200 3,275
Catalina Marketing Corp. + ............... 300 25,631
Central Parking Corp. .................... 600 19,012
Consolidated Graphics, Inc. + ............ 200 8,525
Dendrite International, Inc. + ........... 800 20,700
Fair Isaac & Co., Inc. ................... 600 20,400
G & K Services, Inc. .................... 300 14,025
HA-LO Industries, Inc. + ................. 1,500 17,625
Interim Services, Inc. + ................. 800 13,900
Lason, Inc. + ............................ 500 19,781
Merrill Corp. ............................ 300 4,463
NFO Worldwide, Inc. + .................... 300 3,394
True North Communications, Inc. .......... 800 21,600
Valassis Communications, Inc. + .......... 1,900 106,400
World Color Press, Inc. + ................ 700 17,894
----------
349,587
----------
CONGLOMERATE AND AEROSPACE ( 1.1% )
Alliant Techsystems Inc. + ............... 400 32,750
Anixter International, Inc. + ............ 700 11,025
Kaman Corp. .............................. 700 9,188
Orbital Sciences Corp. + ................. 600 12,637
Triarc Co., Inc. + ....................... 600 11,888
Whittaker Corp. + ........................ 500 12,000
----------
89,488
----------
CONSUMER FINANCE ( 0.7% )
Americredit Corp. + ...................... 2,000 33,125
Rollins Truck Leasing Corp. .............. 2,100 21,788
-------------
54,913
-------------
CONSUMER SERVICES ( 4.1% )
Applebee's International, Inc. ........... 1,200 30,975
CEC Entertainment, Inc. + ................ 700 26,250
Cheesecake Factory, Inc. (The) + ......... 700 19,600
CKE Restaurants, Inc. .................... 880 14,410
Consolidated Products, Inc. + ............ 500 9,031
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
CONSUMER SERVICES (CONTINUED)
Devry, Inc. + ............................ 3,000 $ 79,125
Foodmaker, Inc. + ........................ 1,700 41,013
IHOP Corp. + ............................. 200 9,150
Luby's Cafeterias, Inc. .................. 400 6,700
Marcus Corp. ............................. 300 3,731
Pre-Paid Legal Services, Inc. + .......... 400 11,400
Ruby Tuesday, Inc. ....................... 800 14,600
Ryan's Family Steak Houses, Inc. + ....... 800 9,900
Scotts Co. (The) + ....................... 900 37,013
Sonic Corp. + ............................ 450 12,656
----------
325,554
----------
CONSUMER SPECIALTIES ( 1.1% )
Arctic Cat, Inc. ......................... 1,000 8,625
Huffy Corp. .............................. 300 3,994
Polaris Industries, Inc. ................. 900 33,919
Russ Berrie & Co., Inc. .................. 400 10,875
Sturm, Ruger & Co., Inc. ................. 700 7,437
Thor Industries, Inc. .................... 300 9,075
Winnebago Industries, Inc. ............... 900 12,881
----------
86,806
----------
DATA AND IMAGING SERVICES ( 7.1% )
Acxiom Corp. + ........................... 1,300 32,825
American Management Systems, Inc. + ...... 2,100 72,187
Avid Technology, Inc. + .................. 400 6,500
BISYS Group, Inc. (The) + ............... 1,000 50,750
Ciber, Inc. + ............................ 900 16,987
Computer Task Group, Inc. ................ 400 7,450
CustomTracks Corp. + ..................... 600 22,350
Gerber Scientific, Inc. .................. 400 7,525
Harmon Industries, Inc. .................. 450 9,900
Henry (Jack) & Associates, Inc. .......... 600 19,800
InterVoice, Inc. + ....................... 1,000 9,969
Kronos, Inc. + ........................... 550 18,700
Macromedia, Inc. + ....................... 1,900 78,731
Mercury Interactive Corp. + .............. 1,200 33,825
National Computer Systems, Inc. .......... 1,000 28,000
National Data Corp. ...................... 600 27,675
National Instruments Corp. + ............. 600 20,400
Platinum Software Corp. + ................ 900 6,413
Progress Software Corp. + ................ 650 14,788
Whittman-Hart, Inc. + .................... 2,000 56,500
Xircom, Inc. + ........................... 800 18,000
----------
559,275
----------
DISCRETIONARY RETAIL ( 5.9% )
Ann Taylor Stores Corp. + ................ 900 42,750
Building Materials Holding Corp. + ....... 300 3,825
Cash America International, Inc. ......... 400 5,100
Cato Corp. (The) ......................... 1,100 12,375
CPI Corp. ................................ 400 10,625
Discount Auto Parts, Inc. + .............. 400 9,125
Hancock Fabrics, Inc. .................... 800 5,050
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
DISCRETIONARY RETAIL (CONTINUED)
Insight Enterprises, Inc. + .............. 1,050 $ 28,350
Linens 'n Things, Inc. + ................. 1,600 73,200
Men's Wearhouse, Inc. + .................. 1,350 36,956
New England Business Service, Inc. ....... 700 19,119
O'Reilly Automotive, Inc. + .............. 800 36,600
Pacific Sunwear of California, Inc. + .... 700 25,966
Pier 1 Imports, Inc. ..................... 1,700 12,538
Regis Corp. .............................. 1,200 30,750
Shopko Stores, Inc. + .................... 1,000 34,312
Williams-Sonoma, Inc. + .................. 1,000 29,000
Zale Corp. + ............................. 1,300 49,156
----------
464,797
----------
DRUGS ( 0.6% )
Dura Pharmaceuticals, Inc. + ............. 900 10,800
Jones Medical Industries, Inc. ........... 500 16,063
Roberts Pharmaceutical Corp. + ........... 1,100 18,700
----------
45,563
----------
ELECTRIC UTILITIES ( 3.3% )
American States Water Co. ................ 200 5,088
Aquarion Co. ............................. 300 7,781
Central Hudson Gas & Electric Co. ........ 700 25,987
Cilcorp, Inc. ............................ 300 18,150
Commonwealth Energy System Co. ........... 800 32,450
Eastern Utilities Association ............ 500 14,313
Orange & Rockland Utilities, Inc. ....... 500 29,094
Philadelphia Suburban Water Corp. ........ 1,286 29,015
Sierra Pacific Resources ................. 1,200 42,750
TNP Enterprises, Inc. .................... 600 18,750
United Illuminating Co. .................. 500 19,687
United Water Resources, Inc. ............. 700 14,569
----------
257,634
----------
ELECTRICAL MACHINERY AND INSTRUMENTS ( 1.2% )
Dionex Corp. + ........................... 1,000 41,000
Micros Systems, Inc. + ................... 500 14,750
Security Dynamics Technologies, Inc. + ... 1,000 21,750
Technitrol, Inc. ......................... 300 8,775
Varian Medical Systems, Inc. ............. 600 10,313
----------
96,588
----------
ELECTRONIC MEDIA ( 0.7% )
Metro Networks, Inc. + ................... 800 36,000
Westwood One, Inc. + ..................... 600 20,550
----------
56,550
----------
FOOD AND BEVERAGE ( 2.4% )
Canandiagua Brands, Inc. + ............... 600 30,900
Chiquita Brands International, Inc. ...... 1,300 13,000
Coca-Cola Bottling Co. ................... 200 11,000
Corn Products International, Inc. ........ 700 20,212
Delta & Pine Land Co. .................... 700 23,800
Earthgrains Co. (The) .................... 1,700 36,019
J & J Snack Foods Corp. + ................ 300 6,525
Natures Sunshine Products, Inc. .......... 300 3,206
</TABLE>
24 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
FOOD AND BEVERAGE (CONTINUED)
Ralcorp Holdings, Inc. + ................. 600 $ 11,025
Smithfields Foods, Inc. + ................ 1,400 33,075
----------
188,762
----------
FOOD AND DRUG RETAIL ( 2.2% )
Casey's General Stores, Inc. ............. 1,800 23,850
Express Scripts, Inc. + .................. 1,600 117,800
Nash-Finch Co. ........................... 600 5,700
Richfood Holdings, Inc. .................. 800 10,000
Whole Foods Market, Inc. + ............... 500 19,500
----------
176,850
----------
FOREST PRODUCTS AND BUILDING MATERIALS ( 2.2% )
AptarGroup, Inc. ......................... 800 22,400
Caraustar Industries, Inc. ............... 600 15,300
Florida Rock Industries, Inc. ............ 400 13,750
Lone Star Industries, Inc. ............... 800 28,550
Myers Industries, Inc. ................... 700 15,837
Republic Group, Inc. ..................... 300 5,250
Shorewood Packaging Corp. + .............. 750 14,813
Simpson Manufacturing Co., Inc. + ........ 500 23,125
TJ International, Inc. ................... 400 11,100
Universal Forest Products, Inc. .......... 600 11,944
Watsco, Inc. ............................. 750 14,719
----------
176,788
----------
GAS UTILITIES ( 3.1% )
Atmos Energy Corp. ....................... 1,100 27,775
Connecticut Energy Corp. ................. 200 7,475
Energen Corp. ............................ 1,200 20,700
New Jersey Resources Corp. ............... 800 29,500
Northwest Natural Gas Co. ................ 1,100 24,819
Pennsylvania Enterprises, Inc. .......... 200 5,100
Piedmont Natural Gas, Inc. ............... 1,100 35,062
Public Service Co. of North Carolina ..... 700 19,819
Southwest Gas Corp. ...................... 1,200 34,275
Wicor, Inc. .............................. 1,500 35,437
----------
239,962
----------
HEALTH SERVICES ( 3.8% )
American Oncology Resources, Inc. + ...... 1,300 11,619
Bindley Western Industries, Inc. ......... 700 21,613
MedQuist, Inc. + ......................... 1,600 54,800
Orthodontic Centers of America, Inc. + ... 900 11,138
Owens & Minor, Inc. ...................... 1,200 11,850
PAREXEL International Corp. + ............ 500 12,031
Patterson Dental Co. + ................... 1,600 57,700
Pediatrix Medical Group, Inc. + .......... 400 7,575
Pharmaceutical Product Development, Inc. + 800 23,300
Priority Healthcare Corp. + .............. 313 15,865
Renal Care Group, Inc. + ................. 1,350 28,181
Sierra Health Services, Inc. + ........... 600 7,500
Syncor International Corp. + ............. 400 11,400
Universal Health Services, Inc. + ........ 500 25,906
----------
300,478
----------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
HEAVY MACHINERY ( 1.0% )
Astec Industries, Inc. + ................. 400 $ 15,500
JLG Industries, Inc. ..................... 1,500 24,094
Manitowoc Co., Inc. (The) ................ 1,050 40,031
----------
79,625
----------
HOUSING AND FURNISHINGS ( 3.4% )
Bassett Furniture Industries, Inc. ....... 200 4,800
Champion Enterprises, Inc. + ............. 1,800 33,412
D.R. Horton, Inc. ........................ 2,075 40,073
Dixie Group, Inc. ........................ 500 4,438
Ethan Allen Interiors, Inc. .............. 500 25,344
Harman International Industries .......... 400 18,375
La-Z-Boy, Inc. ........................... 1,800 35,437
MDC Holdings, Inc. ....................... 700 13,737
National Presto Industries, Inc. ......... 100 3,494
Oakwood Homes Corp. ...................... 900 12,488
Ryland Group, Inc. ....................... 700 18,375
Skyline Corp. ............................ 200 5,863
Southern Energy Hampshire + .............. 400 1,875
Standard Pacific Corp. ................... 1,100 15,194
Toll Brothers, Inc. + .................... 1,200 25,650
U.S. Home Corp. + ........................ 200 6,850
----------
265,405
----------
INDUSTRIAL SERVICES ( 1.5% )
Butler Manufacturing Co. ................. 100 2,969
Dames & Moore Group ...................... 400 4,700
Dycom Industries, Inc. + ................. 850 38,834
Insituform Technologies, Inc. + .......... 1,000 19,063
Morrison Knudsen Corp. + ................. 1,000 10,875
Service Experts, Inc. + .................. 600 9,713
Superior Services, Inc. + ................ 600 11,025
Tetra Tech, Inc. + ....................... 1,000 24,187
----------
121,366
----------
INSURANCE ( 4.3% )
American Bankers Insurance Group ......... 700 36,706
CMAC Investment Corp. .................... 400 18,350
Delphi Financial Group, Inc. + ........... 720 22,410
Enhance Financial Services Group, Inc. .. 600 12,412
Executive Risk, Inc. ..................... 200 14,350
Fidelity National Financial, Inc. ........ 990 18,067
First American Financial Corp. ........... 2,200 39,325
Fremont General Corp. .................... 1,200 24,000
Gallagher (Arthur J.) & Co. .............. 800 38,000
Hilb Rogal & Hamilton Co. ................ 300 5,588
Mutual Risk Management Ltd. .............. 800 31,100
NAC Re Corp. ............................. 600 32,700
Orion Capital Corp. ...................... 500 14,719
Selective Insurance Group, Inc. .......... 500 9,688
Trenwick Group, Inc. .................... 300 8,400
Zenith National Insurance ................ 400 9,500
----------
335,315
----------
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 1999 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
INVESTMENT SERVICES ( 1.3% )
Eaton Vance Corp. ........................ 1,200 $ 27,375
Investment Technology Group, Inc. ........ 400 13,850
Jefferies Group, Inc. .................... 400 9,150
Legg Mason, Inc. ......................... 900 31,388
Raymond James Financial, Inc. ............ 900 19,406
----------
101,169
----------
MISCELLANEOUS METALS ( 0.9% )
Amcol International Corp. ................ 700 8,575
Getchell Gold Corp. + .................... 700 23,888
IMCO Recycling, Inc. ..................... 300 5,100
Stillwater Mining Co. + .................. 1,200 33,975
----------
71,538
----------
OIL ( 2.5% )
Barrett Resources Corp. + ................ 1,100 33,412
Cabot Oil & Gas Corp. .................... 900 15,750
Devon Energy Corp. ....................... 1,200 39,900
Newfield Exploration Co. + ............... 2,200 59,125
Santa Fe Energy Resources, Inc. + ....... 2,000 18,000
Snyder Oil Corp. ......................... 1,600 29,100
----------
195,287
----------
OIL SERVICES ( 0.6% )
Oceaneering International, Inc. + ........ 400 6,600
Pool Energy Services Co. + ............... 800 14,350
SEACOR SMIT Holdings + ................... 200 10,588
Seitel, Inc. + ........................... 400 6,950
Tuboscope Inc. + ......................... 900 12,262
----------
50,750
----------
PRINT MEDIA ( 1.4% )
Factset Research Systems, Inc. + ......... 450 20,981
SEI Investments Co. ...................... 900 85,500
----------
106,481
----------
PRODUCER GOODS ( 6.2% )
Amcast Industrial Corp. .................. 200 3,350
Applied Power, Inc. ...................... 600 18,937
Aviation Sales Co. + ..................... 600 24,000
Baldor Electric Co. ...................... 600 11,587
Blount, Inc. + ........................... 600 16,725
Brady (W.H.) Co. ......................... 400 10,350
Buckeye Technologies, Inc. + ............. 600 8,700
Cable Design Technologies, Inc. + ........ 500 7,438
Commercial Metals Co. .................... 300 7,069
CommScope, Inc. + ........................ 1,800 43,875
Graco, Inc. .............................. 400 12,600
Hughes Supply, Inc. ...................... 900 20,925
Intermet Corp. ........................... 500 7,375
Juno Lighting, Inc. ...................... 500 11,375
Lilly Industries, Inc. .................. 600 10,500
MacDermid, Inc. .......................... 500 20,969
McWhorter Technologies, Inc. + ........... 200 2,963
Mueller Industries, Inc. + ............... 1,200 37,800
O'Sullivan Corp. + ....................... 600 5,400
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
PRODUCER GOODS (CONTINUED)
Oak Industries, Inc. + ................... 300 $ 12,525
Regal-Beloit Corp. ....................... 500 10,812
Reliance Steel & Aluminum Co. ............ 400 14,575
Roper Industries, Inc. ................... 700 19,950
Scott Technologies, Inc. + ............... 700 12,994
Smith (A.O.) Corp. ....................... 300 7,575
SPS Technologies, Inc. + ................. 200 8,725
Standex International Corp. .............. 500 12,281
Steel Technologies, Inc. ................. 300 2,700
Thomas Industries, Inc. .................. 600 11,925
Tower Automotive, Inc. + ................. 1,100 25,300
Tredegar Industries, Inc. ................ 1,400 37,362
Valmont Industries ....................... 700 11,725
Zebra Technologies, Inc. + ............... 500 16,625
----------
487,012
----------
SEMICONDUCTORS AND ELECTRONICS ( 9.0% )
Bell Industries, Inc. + .................. 300 3,225
Benchmark Electronics, Inc. + ............ 400 13,450
Burr-Brown Corp. + ....................... 600 15,900
C-Cube Microsystems, Inc. + .............. 1,300 29,412
Cognex Corp. + ........................... 800 23,200
CTS Corp. ................................ 700 37,362
Dallas Semiconductor Corp. ............... 1,300 55,250
Dialogic Corp. + ......................... 400 11,175
Electro Scientific Industries, Inc. + .... 500 19,063
Etec Systems, Inc. + ..................... 400 12,350
Hadco Corp. + ............................ 700 18,375
Hutchinson Technology Inc. + ............. 1,100 24,269
Inter-Tel, Inc. .......................... 400 5,550
Kulicke & Soffa Industries, Inc. + ....... 900 20,588
Lattice Semiconductor Corp. + ............ 1,100 44,962
Methode Electronics, Inc. ................ 600 8,925
Micrel, Inc. + ........................... 700 41,212
Novellus Systems, Inc. + ................. 1,800 85,050
Phototronics, Inc. + ..................... 500 11,969
Plantronics, Inc. + ...................... 800 54,000
Plexus Corp. + ........................... 300 10,013
Sanmina Corp. + .......................... 2,100 139,387
Unitrode Corp. + ......................... 600 10,613
Vicor Corp. + ............................ 800 11,250
----------
706,550
----------
SPECIALTY CHEMICALS ( 1.1% )
Cambrex Corp. ............................ 600 15,375
Chemed Corp. ............................. 200 5,963
ChemFirst Inc. ........................... 500 11,938
Geon Co. (The) ........................... 900 27,562
OM Group, Inc. ........................... 500 18,187
Penford Corp. ............................ 100 1,306
Quaker Chemical Corp. .................... 300 4,744
----------
85,075
----------
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
SURFACE TRANSPORT ( 2.1% )
American Freightways Corp. + ............. 1,300 $ 22,344
Frozen Food Express Industries, Inc. ..... 600 3,919
Heartland Express, Inc. + ................ 500 6,969
Kirby Corp. + ............................ 400 7,600
Landstar Systems, Inc. + ................. 300 11,681
M.S. Carriers, Inc. + .................... 400 12,750
U.S. Freightways Corp. ................... 1,100 41,250
Werner Enterprises, Inc. ................. 2,325 44,756
Yellow Corp. + ........................... 1,000 17,750
----------
169,019
----------
TEXTILES AND APPAREL ( 1.9% )
Authentic Fitness Corp. .................. 900 15,525
Brown Group, Inc. ........................ 700 11,419
Justin Industries, Inc. .................. 600 8,100
K-Swiss Inc. ............................. 400 16,800
Kellwood Co. ............................. 500 12,875
Oshkosh B'Gosh, Inc. ..................... 800 15,850
Oxford Industries, Inc. .................. 400 10,575
Quiksilver, Inc. + ....................... 750 19,922
Stride Rite Corp. ........................ 1,800 21,037
Timberland Co. (The) + ................... 200 13,850
----------
145,953
----------
TOBACCO ( 0.1% )
Schweitzer-Mauduit International, Inc. ... 400 6,625
----------
TOTAL COMMON STOCKS (COST $7,272,710) 7,723,140
-----------
<CAPTION>
PRINCIPAL
AMOUNT
------------
SHORT-TERM INVESTMENTS ( 1.8% )
Federal Home Loan Bank,4.80%,05/03/99 .... $146,000 146,000
----------
TOTAL SHORT-TERM INVESTMENTS (COST $146,000) 146,000
----------
TOTAL INVESTMENTS (COST $7,418,710)(A) 7,869,140
OTHER ASSETS LESS LIABILITIES 7,223
----------
TOTAL NET ASSETS $7,876,363
==========
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$7,629,628. Unrealized gains and losses, based on identified tax cost at
April 30, 1999, are as follows:
<TABLE>
<CAPTION>
<S> <C>
Unrealized gains.............................. $ 999,187
Unrealized losses............................. (759,675)
---------
Net unrealized gain.......................... $ 239,512
=========
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Portfolio of Investments. 27
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
ASSETS:
Investments, at market value ..........................................
Cash ..................................................................
Receivable for:
Dividends and interest ...............................................
Investments sold .....................................................
Fund shares sold .....................................................
Variation margin .....................................................
Reimbursement from Investment Adviser ................................
Prepaid expenses ......................................................
Deferred organizational expenses ......................................
Total assets .....................................................
LIABILITIES:
Payable for:
Dividends to shareholders ............................................
Investments purchased ................................................
Fund shares redeemed .................................................
Variation margin .....................................................
Other liabilities .....................................................
Total liabilities ................................................
NET ASSETS ...........................................................
NET ASSETS REPRESENTED BY:
Paid-in capital .......................................................
Net unrealized gain on investments ....................................
Undistributed net investment income ...................................
Accumulated net realized gain (loss) on investments ...................
NET ASSETS ...........................................................
CAPITAL SHARES, $.001 PAR VALUE:
Class I:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value, offering and redemption price per share (net assets
divided by shares outstanding) .......................................
Class A:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value and redemption price per share (net assets divided by
shares outstanding) ..................................................
Offering Price (net asset value divided by 1 minus maximum sales load)
Class B:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value, offering and redemption price per share (net assets
divided by shares outstanding) .......................................
Class C:
Outstanding ..........................................................
Net Assets ...........................................................
Net Asset Value, offering and redemption price per share (net assets
divided by shares outstanding) .......................................
Cost of investments ...................................................
28 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS BOND INDEX PLUS LARGE CAP INDEX PLUS MID CAP INDEX PLUS SMALL CAP
---------------- -------------------- ------------------ ----------------------
<S> <C> <C> <C> <C>
$15,154,947 $157,056,369 $ 9,389,984 $7,869,140
546 475 712 751
215,598 109,178 10,153 5,114
-- 1,004,587 -- --
5,000 3,466,511 1,001,777 5,249
11,111 -- 13,368 12,004
149 244 95 96
-- 4,203 -- --
----------- ------------ ----------- ----------
15,387,351 161,641,567 10,416,089 7,892,354
----------- ------------ ----------- ----------
61,835 -- -- --
97,923 2,402,239 -- --
-- 33,036 1,000 3,000
-- 33,000 -- --
10,656 119,921 14,022 12,991
----------- ------------ ----------- ----------
170,414 2,588,196 15,022 15,991
----------- ------------ ----------- ----------
$15,216,937 $159,053,371 $10,401,067 $7,876,363
=========== ============ =========== ==========
$15,293,170 $140,569,104 $ 8,726,630 $8,113,367
(86,844) 20,073,257 1,077,583 450,430
17,700 147,419 16,805 3,038
(7,089) (1,736,409) 580,049 (690,472)
----------- ------------ ----------- ----------
$15,216,937 $159,053,371 $10,401,067 $7,876,363
=========== ============ =========== ==========
1,427,740 6,205,371 667,781 617,583
$14,206,169 $104,077,892 $ 8,201,042 $5,935,533
$ 9.95 $ 16.77 $ 12.28 $ 9.61
64,352 1,993,819 150,243 149,750
$ 640,363 $ 33,249,669 $ 1,842,179 $1,436,086
$ 9.95 $ 16.68 $ 12.26 $ 9.59
$ 10.26 $ 17.20 $ 12.64 $ 9.89
16,264 297,409 12,865 12,901
$ 161,760 $ 4,980,442 $ 157,742 $ 123,718
$ 9.95 $ 16.75 $ 12.26 $ 9.59
20,981 1,003,555 16,371 39,817
$ 208,645 $ 16,745,368 $ 200,104 $ 381,026
$ 9.94 $ 16.69 $ 12.22 $ 9.57
$15,241,791 $136,971,487 $ 8,312,401 $7,418,710
</TABLE>
See Notes to Financial Statements. 29
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED APRIL 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
INVESTMENT INCOME:
Dividends .............................................................
Interest ..............................................................
Foreign taxes withheld on dividends ...................................
Total investment income ..........................................
INVESTMENT EXPENSES:
Investment advisory fee ...............................................
Administrative services fees ..........................................
Distribution Plan and shareholder services fees .......................
Organizational expenses ...............................................
Printing and postage fees .............................................
Custody fees ..........................................................
Transfer agent fees ...................................................
Audit fees ............................................................
Directors' fees .......................................................
Registration fees .....................................................
Miscellaneous .........................................................
Expenses before reimbursement and waiver from Investment Adviser ......
Expense reimbursement and waiver from Investment Adviser ..............
Net expenses .....................................................
Net investment income .................................................
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ..........................................................
Futures ..............................................................
Net realized gain (loss) on investments ..........................
Net change in unrealized gain or loss on:
Investments ..........................................................
Futures ..............................................................
Net change in unrealized gain or loss on investments .............
Net realized and change in unrealized gain or loss on investments .....
Net increase in net assets resulting from operations ..................
30 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
INDEX PLUS BOND INDEX PLUS LARGE CAP INDEX PLUS MID CAP INDEX PLUS SMALL CAP
------------------ --------------------- -------------------- ----------------------
<S> <C> <C> <C> <C>
$ -- $ 467,959 $ 51,260 $ 31,118
452,941 117,347 3,083 3,988
--------- ----------- ---------- ---------
452,941 585,306 54,343 35,106
-- (386) -- (5)
--------- ----------- ---------- ---------
452,941 584,920 54,343 35,101
--------- ----------- ---------- ---------
26,688 202,112 18,773 16,043
7,625 44,914 4,172 3,565
1,523 48,217 1,535 2,403
-- 797 -- --
974 5,147 862 858
2,720 19,336 7,494 6,875
11,999 26,160 9,793 9,437
11,229 11,918 9,797 9,769
120 811 59 43
25,293 31,266 25,519 25,814
749 962 322 263
--------- ----------- ---------- ---------
88,920 391,640 78,326 75,070
(41,634) (29,116) (45,548) (45,969)
--------- ----------- ---------- ---------
47,286 362,524 32,778 29,101
--------- ----------- ---------- ---------
405,655 222,396 21,565 6,000
--------- ----------- ---------- ---------
(7,128) (886,548) 691,493 (371,246)
-- (72,989) -- --
--------- ----------- ---------- ---------
(7,128) (959,537) 691,493 (371,246)
--------- ----------- ---------- ---------
(246,387) 15,711,188 720,371 947,739
-- (11,625) -- --
--------- ----------- ---------- ---------
(246,387) 15,699,563 720,371 947,739
--------- ----------- ---------- ---------
(253,515) 14,740,026 1,411,864 576,493
--------- ----------- ---------- ---------
$ 152,140 $14,962,422 $1,433,429 $ 582,493
========= =========== ========== =========
</TABLE>
See Notes to Financial Statements. 31
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS BOND
-----------------------------------
PERIOD FROM
SIX MONTH FEBRUARY 4, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
(UNAUDITED) TO OCTOBER 31, 1998
-------------- -------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income................... $ 405,655 $ 606,227
Net realized gain (loss) on investments. (7,128) 39,395
Net change in unrealized gain or loss on
investments............................ (246,387) 159,543
----------- -----------
Net increase in net assets resulting
from operations........................ 152,140 805,165
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............. (378,726) (589,116)
From net realized gains................ (37,966) --
Class A:
From net investment income............. (11,712) (7,400)
From net realized gains................ (860) --
Class B:
From net investment income............. (991) --
Class C:
From net investment income............. (4,567) (1,670)
From net realized gains................ (530) --
----------- -----------
Decrease in net assets from
distributions to shareholders.......... (435,352) (598,186)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold.............. 167,879 14,938,009
Net asset value of shares issued upon
reinvestment of distributions......... 1,632 358
Payments for shares redeemed........... (651,912) (183,308)
Class A:
Proceeds from shares sold.............. 386,273 279,721
Net asset value of shares issued upon
reinvestment of distributions......... 8,282 545
Payments for shares redeemed........... (24,285) (3,027)
Class B:
Proceeds from shares sold.............. 161,860 --
Class C:
Proceeds from shares sold.............. 113,545 117,060
Net asset value of shares issued upon
reinvestment of distributions......... 2,467 71
Payments for shares redeemed........... (22,000) --
----------- -----------
Net increase in net assets from fund
share transactions..................... 143,741 15,149,429
----------- -----------
Net change in net assets................ (139,471) 15,356,408
NET ASSETS:
Beginning of period..................... 15,356,408 --
----------- -----------
End of period........................... $15,216,937 $15,356,408
=========== ===========
End of period net assets includes
undistributed net investment income.... $ 17,700 $ 8,041
=========== ===========
</TABLE>
32 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS BOND
-----------------------------------
PERIOD FROM
SIX MONTH FEBRUARY 4, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
(UNAUDITED) TO OCTOBER 31, 1998
-------------- -------------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................. 16,572 1,493,797
Number of shares issued upon
reinvestment of distributions......... 162 36
Number of shares redeemed.............. (64,591) (18,236)
----------- -----------
Net increase (decrease)................ (47,857) 1,475,597
=========== ===========
Class A:
Number of shares sold.................. 38,324 27,862
Number of shares issued upon
reinvestment of distributions......... 828 54
Number of shares redeemed.............. (2,416) (300)
----------- -----------
Net increase........................... 36,736 27,616
=========== ===========
Class B:
Number of shares sold.................. 16,264 --
----------- -----------
Net increase........................... 16,264 --
=========== ===========
Class C:
Number of shares sold.................. 11,235 11,674
Number of shares issued upon
reinvestment of distributions......... 246 1
Number of shares redeemed.............. (2,175) --
----------- -----------
Net increase........................... 9,306 11,675
=========== ===========
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income...................... $ 222,396 $ 207,682
Net realized gain (loss) on investments.... (959,537) 21,985
Net change in unrealized gain or loss on
investments............................... 15,699,563 3,065,126
------------ ------------
Net increase in net assets resulting from
operations................................ 14,962,422 3,294,793
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (217,266) (110,122)
From net realized gains on investments.... (616,050) (1,021,541)
Class A:
From net investment income................ (36,703) (14,875)
From net realized gains on investments.... (138,693) (203,799)
Class C:
From net investment income................ (8,166) --
From net realized gains on investments.... (30,913) --
------------ ------------
Decrease in net assets from distributions
to shareholders........................... (1,047,791) (1,350,337)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 68,211,177 30,131,731
Net asset value of shares issued upon
reinvestment of distributions............ 832,206 903,430
Payments for shares redeemed.............. (7,126,680) (11,798,341)
Class A:
Proceeds from shares sold................. 25,268,852 4,645,148
Net asset value of shares issued upon
reinvestment of distributions............ 174,888 215,511
Payments for shares redeemed.............. (1,230,786) (619,211)
Class B:
Proceeds from shares sold................. 5,052,770 --
Payments for shares redeemed.............. (108,408) --
Class C:
Proceeds from shares sold................. 15,437,228 869,798
Net asset value of shares issued upon
reinvestment of distributions............ 22,714 --
Payments for shares redeemed.............. (397,252) (234)
------------ ------------
Net increase in net assets from fund share
transactions.............................. 106,136,709 24,347,832
------------ ------------
Net change in net assets................... 120,051,340 26,292,288
NET ASSETS:
Beginning of period........................ 39,002,031 12,709,743
------------ ------------
End of period.............................. $159,053,371 $ 39,002,031
============ ============
End of period net assets includes
undistributed net investment income....... $ 147,419 $ 187,158
============ ============
</TABLE>
34 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 1999 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1998
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 4,304,244 2,243,924
Number of shares issued upon reinvestment
of distributions......................... 53,312 76,110
Number of shares redeemed................. (451,246) (896,262)
------------ ------------
Net increase.............................. 3,906,310 1,423,772
============ ============
Class A:
Number of shares sold..................... 1,591,272 349,075
Number of shares issued upon reinvestment
of distributions......................... 11,254 18,217
Number of shares redeemed................. (77,438) (46,866)
------------ ------------
Net increase.............................. 1,525,088 320,426
============ ============
Class B:
Number of shares sold..................... 303,847 --
Number of shares redeemed................. (6,438) --
------------ ------------
Net increase.............................. 297,409 --
============ ============
Class C:
Number of shares sold..................... 960,679 66,231
Number of shares issued upon reinvestment
of distributions......................... 1,459 --
Number of shares redeemed................. (24,797) (17)
------------ ------------
Net increase.............................. 937,341 66,214
============ ============
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS MID CAP
-----------------------------------
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
(UNAUDITED) TO OCTOBER 31, 1998
-------------- -------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income................... $ 21,565 $ 32,283
Net realized gain (loss) on investments. 691,493 (111,444)
Net change in unrealized gain or loss on
investments............................ 720,371 357,212
----------- ----------
Net increase in net assets resulting
from operations........................ 1,433,429 278,051
----------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............. (35,512) --
Class A:
From net investment income............. (951) --
Class C:
From net investment income............. (580) --
----------- ----------
Decrease in net assets from
distributions to shareholders.......... (37,043) --
----------- ----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold.............. 77,656 7,433,721
Net asset value of shares issued upon
reinvestment of distributions......... 356 --
Payments for shares redeemed........... (163,312) (728,294)
Class A:
Proceeds from shares sold.............. 1,537,334 336,925
Net asset value of shares issued upon
reinvestment of distributions......... 555 --
Payments for shares redeemed........... (35,836) (60,728)
Class B:
Proceeds from shares sold.............. 145,659 --
Class C:
Proceeds from shares sold.............. 181,350 105,352
Net asset value of shares issued upon
reinvestment of distributions......... 304 --
Payments for shares redeemed........... (104,393) (19)
----------- ----------
Net increase in net assets from fund
share transactions..................... 1,639,673 7,086,957
----------- ----------
Net change in net assets................ 3,036,059 7,365,008
NET ASSETS:
Beginning of period..................... 7,365,008 --
----------- ----------
End of period........................... $10,401,067 $7,365,008
=========== ==========
End of period net assets includes
undistributed net investment income.... $ 16,805 $ 32,283
=========== ==========
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS MID CAP
-----------------------------------
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
(UNAUDITED) TO OCTOBER 31, 1998
-------------- -------------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................. 6,896 743,122
Number of shares issued upon
reinvestment of distributions......... 30 --
Number of shares redeemed.............. (14,440) (67,827)
----------- ----------
Net increase (decrease)................ (7,514) 675,295
=========== ==========
Class A:
Number of shares sold.................. 127,271 32,119
Number of shares issued upon
reinvestment of distributions......... 48 --
Number of shares redeemed.............. (3,057) (6,138)
----------- ----------
Net increase........................... 124,262 25,981
=========== ==========
Class B:
Number of shares sold.................. 12,865 --
----------- ----------
Net increase........................... 12,865 --
=========== ==========
Class C:
Number of shares sold.................. 15,812 9,718
Number of shares redeemed.............. (9,157) (2)
----------- ----------
Net increase........................... 6,655 9,716
=========== ==========
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS SMALL CAP
-----------------------------------
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
(UNAUDITED) TO OCTOBER 31, 1998
-------------- -------------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income................... $ 6,000 $ 13,432
Net realized loss on investments........ (371,246) (319,226)
Net change in unrealized gain or loss on
investments............................ 947,739 (497,309)
---------- ----------
Net increase (decrease) in net assets
resulting from operations.............. 582,493 (803,103)
---------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............. (15,585) --
Class A:
From net investment income............. (800) --
Class C:
From net investment income............. (9) --
---------- ----------
Decrease in net assets from
distributions to shareholders.......... (16,394) --
---------- ----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold.............. 82,974 7,448,240
Net asset value of shares issued upon
reinvestment of distributions......... 212 --
Payments for shares redeemed........... (503,981) (840,268)
Class A:
Proceeds from shares sold.............. 1,273,750 398,453
Net asset value of shares issued upon
reinvestment of distributions......... 645 --
Payments for shares redeemed........... (241,891) (6,624)
Class B:
Proceeds from shares sold.............. 115,300 --
Class C:
Proceeds from shares sold.............. 304,074 169,584
Payments for shares redeemed........... (87,086) (15)
---------- ----------
Net increase in net assets from fund
share transactions..................... 943,997 7,169,370
---------- ----------
Net change in net assets................ 1,510,096 6,366,267
NET ASSETS:
Beginning of period..................... 6,366,267 --
---------- ----------
End of period........................... $7,876,363 $6,366,267
========== ==========
End of period net assets includes
undistributed net investment income.... $ 3,038 $ 13,432
========== ==========
</TABLE>
38 See Notes to Financial Statements.
<PAGE>
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
INDEX PLUS SMALL CAP
-----------------------------------
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
(UNAUDITED) TO OCTOBER 31, 1998
-------------- -------------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................. 8,865 744,586
Number of shares issued upon
reinvestment of distributions......... 22 --
Number of shares redeemed.............. (52,035) (83,855)
---------- ----------
Net increase (decrease)................ (43,148) 660,731
========== ==========
Class A:
Number of shares sold.................. 135,945 40,146
Number of shares issued upon
reinvestment of distributions......... 67 --
Number of shares redeemed.............. (25,673) (735)
---------- ----------
Net increase........................... 110,339 39,411
========== ==========
Class B:
Number of shares sold.................. 12,901 --
---------- ----------
Net increase........................... 12,901 --
========== ==========
Class C:
Number of shares sold.................. 31,779 17,559
Number of shares redeemed.............. (9,519) (2)
---------- ----------
Net increase........................... 22,260 17,557
========== ==========
</TABLE>
See Notes to Financial Statements. 39
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
1. ORGANIZATION
Aetna Series Fund, Inc. (Company) is registered under the Investment Company Act
of 1940 (the Act) as an open-end management investment company. It was
incorporated under the laws of Maryland on June 17, 1991. The Articles of
Incorporation permit the Company to offer separate funds, each of which has its
own investment objective, policies and restrictions.
This report covers four funds (each a Fund; collectively, the Funds) Aetna Index
Plus Bond Fund (Index Plus Bond), Aetna Index Plus Large Cap Fund (Index Plus
Large Cap), Aetna Index Plus Mid Cap Fund (Index Plus Mid Cap) and Aetna Index
Plus Small Cap Fund (Index Plus Small Cap).
Shares of each Fund are available to all investors including employers and
employees who utilize the Funds as investment options under retirement plans.
The Funds are authorized to offer four classes of shares, Class I, Class A,
Class B and Class C. Class I is offered principally to institutions.
Shareholders not eligible to purchase Class I shares can purchase shares in any
other Class of the Funds. Information regarding sales charges and fees pursuant
to Rule 12b-1 of the Act are as follows:
CLASS I: No sales charges or distribution fees.
CLASS A: Generally subject to a front-end sales charge; distribution fees of
0.25% (of average net assets of the class per year.)
CLASS B: No front-end sales charge; contingent deferred sales charge (CDSC)
applies if you sell your shares within six years of purchase;
distribution fees of 0.75%; service fees of 0.25%; automatic
conversion to Class A shares after eight years.
CLASS C: No front-end sales charge; CDSC on redemptions made within 18 months
of purchase; distribution fees of 0.50%; service fees of 0.25%.
Shares in each Class were first made available to the public on the following
dates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- --------
<S> <C> <C> <C> <C>
INDEX PLUS BOND February 4, 1998 February 4, 1998 March 1, 1999 June 30, 1998
INDEX PLUS LARGE CAP December 10, 1996 February 3, 1997 March 1, 1999 June 30, 1998
INDEX PLUS MID CAP February 3, 1998 February 3, 1998 March 1, 1999 June 30, 1998
INDEX PLUS SMALL CAP February 3, 1998 February 3, 1998 March 1, 1999 June 30, 1998
</TABLE>
The following is each Fund's investment objective:
INDEX PLUS BOND seeks maximum total return, consistent with preservation of
capital, primarily through investment in a diversified portfolio of
fixed-income securities, which will be chosen to substantially replicate the
characteristics of the Lehman Brothers Aggregate Bond Index, an unmanaged
index comprised of approximately 6,900 securities.
INDEX PLUS LARGE CAP seeks to outperform the total return performance of the
Standard and Poor's 500 Composite Index, while maintaining a market level of
risk.
INDEX PLUS MID CAP seeks to outperform the total return performance of the
Standard and Poor's Midcap 400 Index, while maintaining a market level of
risk.
INDEX PLUS SMALL CAP seeks to outperform the total return performance of the
Standard and Poor's Smallcap 600 Index, a stock market index comprised of 600
common stocks selected by S&P, while maintaining a market level of risk.
Aeltus Investment Management, Inc. (Aeltus) serves as the Investment Adviser to
each Fund. Aeltus Capital, Inc. (ACI) is each Fund's principal underwriter.
Aeltus and ACI are indirect wholly-owned subsidiaries of Aetna Inc. (Aetna).
40
<PAGE>
-------------------------------------------------------------------------------
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The accompanying financial statements of the Funds have been prepared in
accordance with generally accepted accounting principles. The preparation of
financial statements in conformity with generally accepted accounting principles
requires management to make estimates and assumptions that affect amounts
reported therein. Although actual results could differ from these estimates, any
such differences are expected to be immaterial to the net assets of the Funds.
A. VALUATION OF INVESTMENTS
Investments are stated at market values based upon prices furnished by external
pricing sources as reported on national securities exchanges or, for
over-the-counter securities, at the mean of the bid and asked prices. Short-term
investments maturing in more than sixty days for which market quotations are
readily available are valued at current market value. Short-term investments
maturing in less than sixty days are valued at amortized cost, which when
combined with accrued interest, approximates market value. Securities and fixed
income investments for which market quotations are not considered to be readily
available are valued using methods approved by the Board of Directors.
B. FUTURES CONTRACTS
A futures contract is an agreement between two parties to buy and sell a
specific amount of a commodity, security or financial instrument, including an
index of stocks, at a set price on a future date. The Funds invest in financial
futures contracts as a hedge against its existing portfolio securities, to
manage the risk of changes in interest rates, equity prices, currency exchange
rates or in anticipation of future purchases and sales of portfolio securities.
Upon entering into a futures contract, the Funds are required to deposit with a
broker an amount (initial margin) equal to a percentage of the purchase price
indicated by the futures contract. Subsequent deposits (variation margin) are
received or paid each day by the Funds equal to the daily fluctuations in the
market value of the contract. These amounts are recorded by the Funds as
unrealized gains or losses. When a contract is closed, the Funds record a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Generally,
futures contracts held by the Funds are closed prior to expiration.
The risks associated with financial futures may arise from an imperfect
correlation between the change in market value of the securities held by the
Funds and the price of the contracts. Risks may also arise from an illiquid
secondary market or from the inability of counterparties to meet the terms of
the contracts.
Realized and unrealized gains or losses on financial futures are reflected in
the accompanying financial statements. The amounts at risk under such futures
may exceed the amounts reflected in the financial statements. For federal income
tax purposes, any futures contracts which remain open at year end are
marked-to-market and the resultant net gain or loss is reported to shareholders
as federal taxable income.
C. ILLIQUID AND RESTRICTED SECURITIES
Illiquid securities are securities that are not readily marketable. Disposing of
illiquid investments may involve time-consuming negotiation and legal expenses,
and it may be difficult or impossible for the Funds to sell them promptly at an
acceptable price. Restricted securities are those sold under Rule 144A of the
Securities Act of 1933 (1933 Act) or are securities offered pursuant to Section
4(2) of the 1933 Act, and are subject to legal or contractual restrictions on
resale and may not be publicly sold without registration under the 1933 Act. In
the absence of market quotations, the securities are valued based upon their
fair value determined under procedures approved by the Board of Directors. The
Funds will not pay the costs of disposition of restricted securities other than
ordinary brokerage fees, if any. Illiquid and restricted securities are valued
using market quotations when readily available. As of April 30, 1999, the Funds
did not hold any securities deemed to be illiquid.
41
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
D. DELAYED DELIVERY TRANSACTIONS
The Funds may purchase or sell securities on a when-issued or forward commitment
basis. The price of the underlying securities and date when the securities will
be delivered and paid for are fixed at the time the transaction is negotiated.
The market value of the securities purchased or sold are identified in the
Funds' Portfolio of Investments. Losses may arise due to changes in the market
value of the securities or from the inability of counterparties to meet the
terms of the contract.
E. FEDERAL INCOME TAXES
Each Fund has met the requirements to be taxed as a regulated investment company
for the year-ended October 31, 1998 and intends to meet the requirements for the
current year. As such, each Fund is relieved of federal income taxes by
distributing all of its net taxable investment income and capital gains, if any,
in compliance with the applicable provisions of the Internal Revenue Code.
Futhermore, by distributing substantially all of its net taxable investment
income and capital gains during the calendar year, each Fund will avoid federal
excise taxes in accordance with the applicable provisions of the Internal
Revenue Code. Thus, the financial statements contain no provision for federal
taxes.
F. DISTRIBUTIONS
Distributions are recorded on the ex-dividend date. Income and capital gain
distributions are determined in accordance with income tax regulations which may
differ from generally accepted accounting principles. These differences are
primarily due to differing treatments for futures contracts and certain losses
deferred due to transactions characterized as "wash sales" by federal tax
regulations. In addition, distributions of realized gains from sales of
securities held one year or less are taxable to shareholders at ordinary income
tax rates rather than preferred capital gain tax rates in accordance with the
applicable provisions of the Internal Revenue Code.
G. OTHER
Investment transactions are accounted for on the day following trade date,
except same day settlements which are accounted for on the trade date. Interest
income is recorded on an accrual basis. Discounts and premiums on securities
purchased are accreted or amortized, respectively, using an effective yield
method over the life of the security. Dividend income and stock splits are
recorded on the ex-dividend date. Realized gains and losses from investment
transactions are determined on an identified cost basis.
H. DEFERRED ORGANIZATIONAL COSTS
Index Plus Large Cap paid organizational expenses in connection with its
start-up and initial registration. Organizational expenses are being amortized
over 60 months on a straight-line basis beginning with the commencement of
operations. If any or all of the shares representing initial capital of Index
Plus Large Cap are redeemed by any holder thereof prior to the end of the
amortization period, the proceeds will be reduced by the unamortized
organizational expense balance in the same proportion as the number of shares
redeemed bears to the number of initial shares outstanding immediately preceding
the redemption.
3. INVESTMENT ADVISORY, SHAREHOLDER SERVICES AND DISTRIBUTION FEES
Each Fund pays Aeltus a monthly advisory fee expressed as a percentage of the
average daily net assets of each Fund. As each Fund's net assets exceed
predetermined thresholds, lower advisory fees are applied. Below are the Funds'
annual investment advisory fee ranges and the annual effective rates before
waivers as of April 30, 1999:
<TABLE>
<CAPTION>
FEE EFFECTIVE
RANGE RATE
----- ---------
<S> <C> <C>
Index Plus Bond 0.35%-0.275% 0.35%
Index Plus Large Cap 0.45%-0.375% 0.45%
Index Plus Mid Cap 0.45%-0.375% 0.45%
Index Plus Small Cap 0.45%-0.375% 0.45%
</TABLE>
42
<PAGE>
- --------------------------------------------------------------------------------
The Company and Aeltus have entered into an Administrative Services Agreement
under which Aeltus acts as administrator and provides certain administrative and
shareholder services and is responsible for the supervision of other service
providers for each Fund. Each Fund pays Aeltus an administrative services fee at
an annual rate of 0.10% of its average daily net assets.
Aeltus has entered into a Service Agreement with Aetna Life Insurance and
Annuity Company (ALIAC) under which ALIAC will provide various administrative
and shareholder services to certain shareholders that purchased their shares
through ALIAC. In exchange for these services, Aeltus pays ALIAC a fee of up to
0.225% of the average daily assets associated with these shares. For the period
November 1, 1998 through April 30, 1999, Aeltus paid ALIAC $104,057.
The Company has adopted a Shareholder Services Plan for the Class B and Class C
shares. Under the Shareholder Services Plan, ACI is paid a service fee at an
annual rate of 0.25% of the average daily net assets of Class B and Class C
shares. This fee is used as compensation for expenses incurred in servicing
shareholders' accounts.
The Company has adopted a Distribution Plan pursuant to Rule 12b-1 under the Act
for the Class A, Class B and Class C shares. The Distribution Plan provides for
payments to the principal underwriter at an annual rate of 0.25% of the average
daily net assets of Class A of each Fund and 0.50% of the average daily net
assets of Class B and Class C shares of each Fund. Amounts paid by the Funds are
used to pay expenses incurred by the principal underwriter in promoting the sale
of Class A, Class B and Class C shares. The Distribution Plan may be terminated
as to each class of shares upon a majority vote of the Company's independent
directors.
Presently, the Funds' class-specific expenses are limited to distribution fees
incurred by Class A, Class B and Class C shares and service fees incurred by
Class B and Class C shares.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 1999 to reimburse each
Fund for some or all of its operating expenses or to waive fees in order to
maintain a certain expense ratio. Reimbursement and waiver arrangements will
increase a Fund's yield and total return.
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended April 30, 1999 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Index Plus Bond $2,341,135 $1,348,746
Index Plus Large Cap 134,304,038 39,300,722
Index Plus Mid Cap 5,024,649 4,483,945
Index Plus Small Cap 4,218,876 3,235,364
</TABLE>
6. CAPITAL LOSS CARRYFORWARDS
As of April 30, 1999, Index Plus Small Cap and Index Plus Mid Cap incurred
capital loss carryforwards of $246,235 and $24,662, respectively. These capital
loss carryforwards may be used to offset future capital gains until October 31,
2006, at which time the carryforwards will expire. It is the policy of each of
the Funds to reduce future distributions of realized gains to shareholders to
the extent of unexpired capital loss carryforwards.
43
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
7. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 12.6 billion shares. Of those 12.6
billion shares, the following have been designated to the Funds described in
this report as follows: all of the Funds, have been designated 100 million
shares each of Class I, Class A, Class B and Class C shares. As of April 30,
1999, the following shares of the Funds were owned by ALIAC and its affiliates:
<TABLE>
<CAPTION>
CLASS I CLASS A CLASS B CLASS C
------- ------- ------- -------
<S> <C> <C> <C> <C>
Index Plus Bond 1,419,957 10,000 10,070 7,814
Index Plus Large Cap 2,523,972 -- -- --
Index Plus Mid Cap 658,577 10,000 8,905 --
Index Plus Small Cap 605,185 10,000 11,223 --
</TABLE>
44
<PAGE>
INDEX PLUS FUNDS
ADDITIONAL INFORMATION
APRIL 30, 1999 (UNAUDITED)
- --------------------------------------------------------------------------------
YEAR 2000
The Funds receive services from a number of providers which rely on the
effective functioning of their respective systems and the systems of others to
perform those services. It is generally recognized that certain systems in use
today may not be able to perform their intended functions adequately after 1999
because of the inability of computer systems and software to distinguish the
year 2000 from the year 1900. Aeltus is taking steps that it believes are
reasonably designed to address this potential "Year 2000" problem and to obtain
satisfactory information that comparable steps are being taken by each of the
Funds' other major service providers. There can be no assurance, however, that
these steps will be sufficient to avoid any adverse impact on the Funds from
this problem.
45
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS
INDEX PLUS BOND
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 4, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
CLASS I (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 10.14 $ 10.00
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.27 0.40
Net realized and change in unrealized
gain or loss on investments ........... (0.20) 0.14
------- -------
Total from investment operations .... 0.07 0.54
------- -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.26) (0.40)
------- -------
Total distributions ................. (0.26) (0.40)
------- -------
Net asset value, end of period ......... $ 9.95 $ 10.14
======= =======
Total return ........................... 0.97% 5.48%
Net assets, end of period (000's) ...... $14,206 $14,958
Ratio of net expenses to average net
assets................................. 0.60%(1) 0.60%(1)
Ratio of net investment income to
average net assets .................... 5.34%(1) 5.39%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 1.15%(1) 1.42%(1)
Portfolio turnover rate ................ 9.02% 20.86%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
46 See Notes to Financial Statements.
<PAGE>
INDEX PLUS BOND
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 4, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
CLASS A (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $10.14 $10.00
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.26 0.38
Net realized and change in unrealized
gain or loss on investments ........... (0.20) 0.14
------ ------
Total from investment operations .... 0.06 0.52
------ ------
LESS DISTRIBUTIONS:
From net investment income ............ (0.25) (0.38)
------ ------
Total distributions ................. (0.25) (0.38)
------ ------
Net asset value, end of period ......... $ 9.95 $10.14
====== ======
Total return ........................... 0.85% 5.29%
Net assets, end of period (000's) ...... $ 640 $ 280
Ratio of net expenses to average net
assets................................. 0.85%(1) 0.85%(1)
Ratio of net investment income to
average net assets .................... 5.09%(1) 5.14%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 1.40%(1) 1.67%(1)
Portfolio turnover rate ................ 9.02% 20.86%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 47
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS BOND
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $ 9.93
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... 0.07
Net realized and change in unrealized gain or loss on
investments.............................................. 0.02
------
Total from investment operations ...................... 0.09
------
LESS DISTRIBUTIONS:
From net investment income .............................. (0.07)
------
Total distributions ................................... (0.07)
------
Net asset value, end of period ........................... $ 9.95
======
Total return ............................................. 0.91%
Net assets, end of period (000's) ........................ $ 162
Ratio of net expenses to average net assets .............. 1.60%(1)
Ratio of net investment income to average net assets ..... 4.34%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 2.14%(1)
Portfolio turnover rate .................................. 9.02%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
48 See Notes to Financial Statements.
<PAGE>
INDEX PLUS BOND
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $10.13 $10.01
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.23 0.16
Net realized and change in unrealized
gain or loss on investments ........... (0.19) 0.11
------ ------
Total from investment operations .... 0.04 0.27
------ ------
LESS DISTRIBUTIONS:
From net investment income ............ (0.23) (0.15)
------ ------
Total distributions ................. (0.23) (0.15)
------ ------
Net asset value, end of period ......... $ 9.94 $10.13
====== ======
Total return ........................... 0.60% 2.75%
Net assets, end of period (000's) ...... $ 209 $ 118
Ratio of net expenses to average net
assets................................. 1.35%(1) 1.35%(1)
Ratio of net investment income to
average net assets .................... 4.59%(1) 4.64%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 1.90%(1) 2.17%(1)
Portfolio turnover rate ................ 9.02% 20.86%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 49
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH DECEMBER 10, 1996
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 1999 OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1998 TO OCTOBER 31, 1997
- --------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 13.78 $ 12.43 $ 10.00
-------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.05 0.13 0.12
Net realized and change in
unrealized gain or loss on
investments............... 3.21 2.57 2.33
-------- ------- -------
Total from investment
operations............. 3.26 2.70 2.45
-------- ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.07) (0.13) (0.02)
From net realized gains on
investments............... (0.20) (1.22) --
-------- ------- -------
Total distributions .... (0.27) (1.35) (0.02)
-------- ------- -------
Net asset value, end of
period.................... $ 16.77 $ 13.78 $ 12.43
======== ======= =======
Total return .............. 23.81% 23.46% 24.49%
Net assets, end of period
(000's)................... $104,078 $31,671 $10,876
Ratio of net expenses to
average net assets ....... 0.70%(1) 0.70% 0.70%(1)
Ratio of net investment
income to average net
assets.................... 0.60%(1) 0.96% 1.15%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 0.76%(1) 1.17% 1.95%(1)
Portfolio turnover rate ... 41.79% 124.16% 82.31%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
50 See Notes to Financial Statements.
<PAGE>
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 3, 1997
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 1999 OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1998 TO OCTOBER 31, 1997
- --------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 13.70 $ 12.36 $10.57
------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.03 0.09 0.02
Net realized and change in
unrealized gain or loss on
investments............... 3.20 2.56 1.77
------- ------- ------
Total from investment
operations............. 3.23 2.65 1.79
------- ------- ------
LESS DISTRIBUTIONS:
From net investment income (0.05) (0.09) --
From net realized gains on
investments............... (0.20) (1.22) --
------- ------- ------
Total distributions .... (0.25) (1.31) --
------- ------- ------
Net asset value, end of
period.................... $ 16.68 $ 13.70 $12.36
======= ======= ======
Total return .............. 23.73% 23.09% 16.93%
Net assets, end of period
(000's)................... $33,250 $ 6,422 $1,833
Ratio of net expenses to
average net assets ....... 0.95%(1) 0.99% 1.45%(1)
Ratio of net investment
income to average net
assets.................... 0.35%(1) 0.67% 0.16%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.01%(1) 1.46% 2.98%(1)
Portfolio turnover rate ... 41.79% 124.16% 82.31%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 51
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $15.68
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... (0.01)
Net realized and change in unrealized gain or loss on
investments.............................................. 1.08
------
Total from investment operations ...................... 1.07
------
Net asset value, end of period ........................... $16.75
======
Total return ............................................. 6.82%
Net assets, end of period (000's) ........................ $4,980
Ratio of net expenses to average net assets .............. 1.67%(1)
Ratio of net investment income to average net assets ..... (0.37)%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 1.73%(1)
Portfolio turnover rate .................................. 41.79%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
52 See Notes to Financial Statements.
<PAGE>
INDEX PLUS LARGE CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 13.74 $ 14.17
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. (0.01) 0.01
Net realized and change in unrealized
gain or loss on investments ........... 3.21 (0.44)
------- -------
Total from investment operations .... 3.20 (0.43)
------- -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.05) --
From net realized gains on investments (0.20) --
------- -------
Total distributions ................. (0.25) --
------- -------
Net asset value, end of period ......... $ 16.69 $ 13.74
======= =======
Total return ........................... 23.44% (3.04)%
Net assets, end of period (000's) ...... $16,745 $ 910
Ratio of net expenses to average net
assets................................. 1.44% (1) 1.43%(1)
Ratio of net investment income to
average net assets .................... (0.14)%(1) 0.23%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 1.50% (1) 1.90%(1)
Portfolio turnover rate ................ 41.79% 124.16%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 53
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
CLASS I (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $10.36 $ 10.00
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.03 0.04
Net realized and change in unrealized
gain or loss on investments ........... 1.94 0.32
------ -------
Total from investment operations .... 1.97 0.36
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.05) --
------ -------
Total distributions ................. (0.05) --
------ -------
Net asset value, end of period ......... $12.28 $ 10.36
====== =======
Total return ........................... 19.07% 3.60%
Net assets, end of period (000's) ...... $8,201 $ 6,996
Ratio of net expenses to average net
assets................................. 0.75%(1) 0.75%(1)
Ratio of net investment income to
average net assets .................... 0.55%(1) 0.57%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 1.84%(1) 2.51%(1)
Portfolio turnover rate ................ 53.27% 129.87%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
54 See Notes to Financial Statements.
<PAGE>
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
CLASS A (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $10.34 $ 10.00
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.02 0.02
Net realized and change in unrealized
gain or loss on investments ........... 1.94 0.32
------ -------
Total from investment operations .... 1.96 0.34
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.04) --
------ -------
Total distributions ................. (0.04) --
------ -------
Net asset value, end of period ......... $12.26 $ 10.34
====== =======
Total return ........................... 18.93% 3.40%
Net assets, end of period (000's) ...... $1,842 $ 269
Ratio of net expenses to average net
assets................................. 1.00%(1) 1.00%(1)
Ratio of net investment income to
average net assets .................... 0.30%(1) 0.32%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.09%(1) 2.76%(1)
Portfolio turnover rate ................ 53.27% 129.87%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 55
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $11.23
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... (0.01)
Net realized and change in unrealized gain or loss on
investments.............................................. 1.04
------
Total from investment operations ...................... 1.03
------
Net asset value, end of period ........................... $12.26
======
Total return ............................................. 9.17%
Net assets, end of period (000's) ........................ $ 158
Ratio of net expenses to average net assets .............. 1.74%(1)
Ratio of net investment income to average net assets ..... (0.44)%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 2.83%(1)
Portfolio turnover rate .................................. 53.27%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
56 See Notes to Financial Statements.
<PAGE>
INDEX PLUS MID CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $10.33 $ 10.92
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. (0.01) (0.01)
Net realized and change in unrealized
gain or loss on investments ........... 1.93 (0.58)
------ -------
Total from investment operations .... 1.92 (0.59)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.03) --
------ -------
Total distributions ................. (0.03) --
------ -------
Net asset value, end of period ......... $12.22 $ 10.33
====== =======
Total return ........................... 18.70% (5.40)%
Net assets, end of period (000's) ...... $ 200 $ 100
Ratio of net expenses to average net
assets................................. 1.48%(1) 1.50%(1)
Ratio of net investment income to
average net assets .................... (0.18)%(1) (0.18)%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.57%(1) 3.26%(1)
Portfolio turnover rate ................ 53.27% 129.87%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 57
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
CLASS I (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 8.87 $ 10.00
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.01 0.02
Net realized and change in unrealized
gain or loss on investments ........... 0.75 (1.15)
------ -------
Total from investment operations .... 0.76 (1.13)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.02) --
------ -------
Total distributions ................. (0.02) --
------ -------
Net asset value, end of period ......... $ 9.61 $ 8.87
====== =======
Total return ........................... 8.62% (11.30)%
Net assets, end of period (000's) ...... $5,936 $ 5,862
Ratio of net expenses to average net
assets................................. 0.75%(1) 0.75%(1)
Ratio of net investment income to
average net assets .................... 0.24%(1) 0.25%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.04%(1) 2.63%(1)
Portfolio turnover rate ................ 45.77% 100.41%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
58 See Notes to Financial Statements.
<PAGE>
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED (COMMENCEMENT OF
APRIL 30, 1999 OPERATIONS)
CLASS A (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 8.86 $ 10.00
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net realized and change in unrealized
gain or loss on investments ........... 0.74 (1.14)
------ -------
Total from investment operations .... 0.74 (1.14)
------ -------
LESS DISTRIBUTIONS:
From net investment income ............ (0.01) --
------ -------
Total distributions ................. (0.01) --
------ -------
Net asset value, end of period ......... $ 9.59 $ 8.86
====== =======
Total return ........................... 8.40% (11.40)%
Net assets, end of period (000's) ...... $1,436 $ 349
Ratio of net expenses to average net
assets................................. 1.00% (1) 1.00%(1)
Ratio of net investment income to
average net assets .................... (0.01)%(1) 0.00%
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.29% (1) 2.88%(1)
Portfolio turnover rate ................ 45.77% 100.41%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 59
<PAGE>
INDEX PLUS FUNDS
FINANCIAL HIGHLIGHTS (CONTINUED)
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
MARCH 1, 1999
(DATE OF INITIAL
PUBLIC OFFERING)
TO APRIL 30, 1999
CLASS B (UNAUDITED)
- ---------------------------------------------------------- -----------------
<S> <C>
Net asset value, beginning of period ..................... $ 8.91
------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................................... (0.01)
Net realized and change in unrealized gain or loss on
investments.............................................. 0.69
------
Total from investment operations ...................... 0.68
------
Net asset value, end of period ........................... $ 9.59
======
Total return ............................................. 7.63%
Net assets, end of period (000's) ........................ $ 124
Ratio of net expenses to average net assets .............. 1.74% (1)
Ratio of net investment income to average net assets ..... (0.76)%(1)
Ratio of expenses before reimbursement and waiver to
average net assets ...................................... 3.03% (1)
Portfolio turnover rate .................................. 45.77%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
60 See Notes to Financial Statements.
<PAGE>
INDEX PLUS SMALL CAP
- --------------------------------------------------------------------------------
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 1999 PUBLIC OFFERING)
CLASS C (UNAUDITED) TO OCTOBER 31, 1998
- ---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 8.84 $ 10.62
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. (0.02) (0.02)
Net realized and change in unrealized
gain or loss on investments ........... 0.75 (1.76)
------ -------
Total from investment operations .... 0.73 (1.78)
------ -------
Net asset value, end of period ......... $ 9.57 $ 8.84
====== =======
Total return ........................... 8.26% (16.76)%
Net assets, end of period (000's) ...... $ 381 $ 155
Ratio of net expenses to average net
assets................................. 1.50% (1) 1.50% (1)
Ratio of net investment income to
average net assets .................... (0.51)%(1) (0.50)%(1)
Ratio of net expense before
reimbursement and waiver to average net
assets................................. 2.79% (1) 3.38% (1)
Portfolio turnover rate ................ 45.77% 100.41%
</TABLE>
(1) Annualized.
Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 61
