<TABLE>
<CAPTION>
TABLE OF CONTENTS
<S> <C>
President's Letter..................................................... 1
INDEX PLUS FUNDS:
Investment Review...................................................... 3
Portfolios of Investments:
Aetna Index Plus Bond Fund............................................ 12
Aetna Index Plus Large Cap Fund....................................... 14
Aetna Index Plus Mid Cap Fund......................................... 20
Aetna Index Plus Small Cap Fund....................................... 25
Statements of Assets and Liabilities................................... 32
Statements of Operations............................................... 34
Statements of Changes in Net Assets.................................... 36
Notes to Financial Statements.......................................... 44
Additional Information................................................. 49
Financial Highlights................................................... 50
</TABLE>
<PAGE>
PRESIDENT'S LETTER
Dear Fellow Shareholder,
Thank you for investing in the Aetna Series Fund, Inc. With nearly 9,000 mutual
funds available in today's market, we appreciate your confidence in us.
A brief review of the economy over the past six months lends some interesting
insights into the performance of financial markets. The U.S. economy grew at an
astonishing annualized rate of 7.3% in the fourth quarter of 1999 and 5.4% in
the first quarter of 2000, as measured by real Gross Domestic Product. The pace
of this wealth-induced growth, combined with other inflation concerns, has led
the Federal Reserve to raise the Federal Funds rate by 0.75% since November to
its current 6.00%, and the end is not yet in sight. Still, consumers remained
confident about the economy, and economic statistics continued to show strength.
Equity markets experienced significant volatility but ended positively despite
rising interest rates. Often extreme, this volatility plagued all facets of the
stock market during the first four months of 2000, but was most noticeable in
the technology sector. Domestic bonds produced positive returns despite interest
rate increases by the Federal Reserve, and short-term interest rates moved
higher than long-term interest rates.
The Fund and its advisor, Aeltus Investment Management, Inc., strive to
continuously improve its products and services. Here are some highlights of our
recent efforts:
o AETNA PRINCIPAL PROTECTION FUND II enjoyed a successful offering, as
investors committed nearly $130 million to the fund; AETNA PRINCIPAL
PROTECTION FUND III is in its offering period until May 30, 2000. These
innovative total-return funds offer investors downside protection - while
providing investors the opportunity for upside market potential.
o On December 22, 1999, Aeltus announced the acquisition of a minority equity
interest in ELIJAH ASSET MANAGEMENT, LLC (EAM), headquartered in San
Francisco. EAM is known as a skilled manager of specialized growth and
technology funds.
o AETNA TECHNOLOGY FUND was launched on March 1, 2000. Sub-advised by EAM,
this fund seeks long-term capital appreciation by investing primarily in
common stocks of companies in the technology sector.
o Your Board of Directors considered and agreed to submit to you a proposal
(proxy) to LIQUIDATE FOUR FUNDS: Aetna Mid Cap Fund, Aetna Real Estate
Securities Fund, Aetna High Yield Fund and Aetna Index Plus Bond Fund.
Proxy materials will be mailed to those of you in these funds on or about
May 30, 2000, with a proposed liquidation date on or before September 1,
2000.
o On March 31, five of our funds were recognized by Morningstar, Inc. with
four and five star ratings.
This is merely a sample of some of the ways we have set out to fulfill our
commitment to bringing you our best in products and services. Again, we very
much appreciate and value your continued confidence in our funds and in Aeltus.
Sincerely,
/s/ J. Scott Fox
J. Scott Fox
President
Aetna Series Fund, Inc.
A prospectus containing more complete information including charges and expenses
is available from your financial advisor, at www.aetnafunds.com, or by calling
800-238-6263, option 2. Read the prospectus carefully before investing.
1
<PAGE>
AETNA INDEX PLUS BOND FUND
Growth of $10,000
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Aetna Index Plus Lehman Brothers
Bond Fund (Class I) Aggregate Bond Index
<S> <C> <C>
Feb-98 10,000 10,000
10,075 10,089
10,277 10,293
Oct-98 10,549 10,649
10,717 10,818
10,651 10,554
10,465 10,384
Oct-99 10,612 10,538
10,525 10,453
Apr-00 10,769 10,775
</TABLE>
<TABLE>
<CAPTION>
------------------------------------------
Average Annual Total Returns
for the period ended April 30, 2000*
------------------------------------------
1 Year Inception
------------------------------------------
<S> <C> <C>
Class I 1.12% 3.37%
------------------------------------------
Class A:
POP (1) -2.08% 1.77%
NAV (2) 0.97% 3.17%
------------------------------------------
Class B:
w/CDSC (3) -4.68% 1.04%
NAV 0.09% 2.35%
------------------------------------------
Class C:
w/CDSC (4) -0.35% 2.56%
NAV 0.37% 2.56%
------------------------------------------
</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 1.48% total return,
net of fund expenses, for the six month period ended April 30, 2000. The
benchmark, Lehman Brothers Aggregate Bond Index(a), returned 1.42% for the same
period.
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUND?
With the economy growing at a torrid 7.3% pace in the fourth quarter of 1999 and
5.4% in the first quarter of 2000, combined with accelerating inflation
indicators, market consensus expects the Federal Reserve Bank (the Fed) to
continue increasing interest rates, thereby pushing up short-term yields. For
the six-month period, the yield on the two-year Treasury increased 90 basis
points while the yield on the five-year Treasury increased only 61 basis points.
The longer end of the yield curve contin-
See Definition of Terms. 3
<PAGE>
ues to be influenced by forecasts of reduced supply and Treasury buybacks, which
have driven down the yield on the 30-year bond by 19 basis points over the
period. (One basis point is equal to one hundredth of a percent, or 0.01%.)
Employment costs are increasing at the fastest rate in a decade and consumer
inflation indicators show signs of accelerating. Combining this with strong
economic growth, the increase in inflation has led to talk of a more aggressive
Fed.
Asset-backed securities and mortgage-backed securities were the only investment
grade sectors to outperform Treasuries, by a very modest 4 basis points and 2
basis points, respectively. A-rated corporate bonds underperformed Treasuries by
200 basis points, BBB-rated corporate bonds underperformed by 294 basis points,
agency bonds by 92 basis points, and collateral mortgage-backed securities by 47
basis points.
WHAT INVESTMENTS INFLUENCED THE FUND'S PERFORMANCE OVER THE PAST SIX MONTHS?
Our overweight position in investment grade corporate bonds brought down
returns, as corporates underperformed Treasuries. However, a concentration in
shorter maturity corporates had a positive impact, as shorter maturity
corporates handily outperformed longer maturity corporates, following the
inverted yield curve.
A conservative posture within the corporate sector, favoring higher quality
securities, paid off as lower quality corporates underperformed higher quality
issues.
WHAT IS YOUR OUTLOOK GOING FORWARD?
The Fed will meet in the middle of May and it is a virtual certainty that they
will raise rates again. Currently, the markets rate it a toss-up whether the
increase will be 25 or 50 basis points. The higher option may be the final
outcome should the economic data continue to show strong growth and rising
inflation.
With spreads still close to historical wides, we are comfortable overweighting
in totality across the higher quality sectors, mainly A- and above rated
corporates. While we still don't think we will get back to historical averages
any time soon due to credit concerns and other risk factors in the economy, we
do think the risk/reward tradeoff is favorable for higher quality credits.
Within the higher risk sectors (BBB-rated corporate bonds), we expect to stay
defensive, with only modest exposure.
<TABLE>
<CAPTION>
---------------------------------------
QUALITY RATINGS
---------------------------------------
<S> <C>
AAA 60.6%
AA 4.0%
A 24.6%
BBB 10.1%
N/R* 0.7%
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------
MATURITY DISTRIBUTION
---------------------------------------
<S> <C>
0 - 1 years 3.1%
1 - 5 years 28.2%
5 - 10 years 16.7%
10 - 20 years 10.9%
20 + years 41.1%
</TABLE>
*The Not Rated (N/R) indication is used by securities rating services (such as
Standard & Poor's or Moody's) and mercantile agencies (such as Dun & Bradstreet)
to show that a security or a company has not been rated. It has neither negative
nor positive implications.
The opinions expressed reflect those of the portfolio manager only through April
30, 2000. 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>
AETNA INDEX PLUS LARGE CAP FUND
Growth of $10,000
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Aetna Index Plus
Large Cap Fund
(Class I) S&P 500 Index
<S> <C> <C>
Dec-96 10,000 10,000
10,932 10,763
13,100 12,879
Oct-97 12,449 12,396
13,406 13,340
15,247 15,186
15,671 15,365
Oct-98 15,369 15,124
18,496 17,674
19,029 18,499
19,051 18,469
19,834 19,005
Oct-99 20,701 19,501
Apr-00 21,624 20,371
</TABLE>
[END PLOT POINTS]
AETNA INDEX PLUS MID CAP FUND
Growth of $10,000
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Aetna Index Plus
Mid Cap Fund S&P MidCap
(Class I) 400 Index
<S> <C> <C>
Feb-98 10,000 10,000
11,250 11,290
10,610 10,429
Oct-98 10,359 10,109
11,873 11,433
12,335 12,016
12,858 12,444
Oct-99 12,758 12,240
13,957 13,263
Apr-00 16,190 14,841
</TABLE>
[END PLOT POINTS
AETNA INDEX PLUS SMALL CAP FUND
Growth of $10,000
[LINE CHART PLOT POINTS]
<TABLE>
<CAPTION>
Aetna Index Plus
Small Cap Fund S&P SmallCap
(Class I) 600 Index
<S> <C> <C>
Feb-98 10,000 10,000
11,190 11,249
9,980 9,868
Oct-98 8,871 8,843
9,775 9,814
9,635 9,642
10,346 10,347
Oct-99 9,975 9,909
10,510 10,825
Apr-00 11,052 11,619
</TABLE>
[END PLOT POINTS]
See Definition of Terms. 5
<PAGE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------
Average Annual Total Returns
for the period ended April 30, 2000*
-------------------------------------------------------------------------------
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 13.64% 25.55% 31.24% 24.05% 14.73% 4.58%
-------------------------------------------------------------------------------
Class A:
POP (1) 9.91% 23.95% 26.99% 22.06% 10.92% 2.89%
NAV (2) 13.33% 25.07% 30.92% 23.74% 14.39% 4.30%
-------------------------------------------------------------------------------
Class B:
w/CDSC (3) 7.48% 23.79% 24.90% 21.73% 8.56% 2.17%
NAV 12.48% 24.31% 29.90% 22.77% 13.56% 3.47%
-------------------------------------------------------------------------------
Class C:
w/CDSC (4) 12.03% 24.62% 29.47% 23.12% 13.04% 3.75%
NAV 12.78% 24.62% 30.22% 23.12% 13.79% 3.75%
-------------------------------------------------------------------------------
</TABLE>
*Total Return is calculated including reinvestment of income and capital gain
distributions. For periods prior to the inception of Class A, the performance is
calculated by using the performance of Class I since its inception date
(12/10/96 for Index Plus Large Cap), and for periods prior to the inception of
Class B and Class C the performance of each class is calculated by using the
performance of Class I since its inception date (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, 2000:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------
FUND RETURN BENCHMARK INDEX
INDEX PLUS FUNDS CLASS I BENCHMARK INDEX RETURN
--------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Index Plus Large Cap 9.02% S&P 500 Index (b) 7.20%
Index Plus Mid Cap 26.90% S&P MidCap 400 Index (c) 21.26%
Index Plus Small Cap 10.81% S&P SmallCap 600 Index (d) 17.26%
</TABLE>
WHAT ECONOMIC OR FINANCIAL MARKET CONDITIONS IMPACTED THE FUNDS?
U.S. equities posted positive returns during the period. The Standard & Poor's
(S&P) 500 Index returned 7.20%, the S&P MidCap 400 Index returned 21.26% and the
S&P SmallCap 600 Index returned 17.26%. In November and December 1999, stock
markets rallied to new highs, propelled by technology shares as investors
overcame fears of Y2K-related problems.
As the new year began, optimism was replaced by fear of an economic slowdown
induced by the Federal Reserve's (the Fed) more restrictive monetary policy.
Fears culminated in a sharp correction at the beginning of April as investors
allocated away from the higher P/E, technology-based sectors of the market. (The
Price/Earnings multiple, or P/E, is calculated by dividing the price of one
share by the earnings per share generated by the firm. A measure of the
attractiveness of a particular security, the P/E ratio gives investors an idea
of how much they are paying for earning power.) Markets retraced much of the
early April correction by the end of the month on strong earnings reports and
continued economic growth.
By industry, electronic technology and industrial services were the top
performing sectors of the market. The poorest performing sectors were consumer
non-durables and transportation. The outperformance of growth stocks during the
period is consistent with anxieties regarding a possible cyclical slowdown. Data
through the first quarter of 2000, however, continued to show strong economic
growth. In fact, the economy has been so strong as to produce signs of inflation
and wage pressure, which suggests that the Fed will continue to raise short-term
interest rates. By the end of April there was some preliminary evidence that
investor and consumer confidence has been hurt by the markets' volatility and
the Fed's two rate increases in February and March.
6 See Definition of Terms.
<PAGE>
WHAT INVESTMENTS INFLUENCED THE FUNDS' PERFORMANCE OVER THE PAST SIX MONTHS?
Index Plus Large Cap Fund:
Index Plus Large Cap Fund outperformed the S&P 500 Index during the period. The
quantitative model used to manage this fund provided good discrimination between
those stocks with high relative returns and those with low relative returns. The
model's factors relating to equity analyst earnings estimates and price momentum
were particularly effective. The model's P/E factor, like other value factors,
performed poorly during the period. The average return of the 10% of stocks in
the S&P 500 Index with the lowest P/E was lower than the average return of the
10% of stocks with the highest P/E by 40%.
Within the S&P 500 Index, smaller stocks generally underperformed larger stocks.
On an equally weighted basis, the S&P 500 Index rose 5.2% while the Index's
market cap weighted return was 7.2% ("Market cap" - or market capitalization -
is the value of a company based on the market price of its stock. Market cap is
calculated by multiplying the number of shares outstanding by the current price
of a single share.)
The Fund benefited from the large number of well-ranked stocks in the technology
sector (this sector had the highest absolute return during the period), such as
Cisco (+87%), Texas Instruments (+82%) and Nortel (+81%). Conversely, there were
very few well-ranked stocks in the consumer non-durables sector; our underweight
position in that sector added to performance. in The Fund was hurt by poor model
security selection in the consumer services sector due to an underweight in
Disney (+65%).
Index Plus Mid Cap Fund:
Index Plus Mid Cap Fund outperformed the S&P MidCap 400 Index during the period.
The quantitative model used to manage this fund provided good discrimination
between stocks with high relative returns and those with low relative returns.
The model's factors relating to equity analyst earnings estimates and price
momentum were particularly effective. The model's P/E factor, like other value
factors, performed poorly during the quarter. The average return of the 10% of
stocks in the S&P MidCap 400 Index with the lowest P/E was lower than the
average return of the 10% of stocks with the highest P/E by 36%.
The Fund benefited from the large number of well-ranked stocks in the technology
and technology services sectors, as those sectors had absolute returns of 65%
and 69%, respectively. The Fund was overweight in Siebel Systems and Veritas
Software, both up 124%. Fund performance was hurt by poor model security
selection in the health technology sector due to an overweight in Visx (-75%)
and underweights in Sepracor (+121%) and Millennium Pharmaceuticals (+126%).
Index Plus Small Cap Fund:
Index Plus Small Cap Fund underperformed the S&P SmallCap 600 Index during the
period. The average return of the 10% of stocks in the S&P SmallCap 600 Index
with the highest stock rank was lower than the average return of the 10% of
stocks with the lowest stock rank by 25%. The model's factor relating to price
momentum was effective. However, both equity analyst earnings estimates and the
P/E factor used in the model performed poorly during the period. March was
especially detrimental with the model's price momentum factor also performing
negatively (only the P/E factor had a slightly positive return). On the
positive side, in April the model's stock ranks and factors performed well,
contributing to the outperformance of the Fund over the Index by 63 basis points
in that month.
Poor model security selection and bad timing in the health technology sector
hurt Fund performance. In particular, an overweight position in Incyte
Pharmaceuticals (-68% in March) contributed -1.7% to the Fund's
under-performance.
Our quantitative research indicates that we should be able to increase the
performance of the Fund by making some modifications to our model. We expect to
implement these modifications in June.
See Definition of Terms. 7
<PAGE>
WHAT IS YOUR OUTLOOK GOING FORWARD?
The two principal risks facing the market are (1) the Fed's restrictive monetary
policy, and (2) the sharp difference in valuations between high P/E stocks in
the technology sector and the rest of the market. The danger inherent in the
Fed's current policy is the possibility of a sharper economic slow down than is
currently anticipated. On the valuation front, there were signs early in the
second calendar quarter that investors were beginning to cut back on their
technology holdings. However, valuations in that sector remain substantially
higher than the relatively attractive valuations in the rest of the market.
Although we are keenly aware of these potential imbalances in the market, we
remain committed to the disciplined, quantitative process that has worked so
well for us over the past years. Our process is not based on macro-economic
forecasting. Instead, it is based on stock-specific factors used in a
multi-factor model to evaluate each stock on its own merit. Importantly, P/E is
one of the factors in our model; high P/Es cause a stock to rank poorly unless
it scores very highly on all of the other factors in our model.
INDEX PLUS LARGE CAP FUND:
<TABLE>
<CAPTION>
----------------------------------------------------------------------
% OF EQUITY % OF OVER/(UNDER)
SECTOR INVESTMENTS S&P 500 WEIGHTING
----------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 3.0% 2.3% 0.7%
Commercial Services 0.9% 1.2% (0.3)%
Consumer Discretionary 9.2% 11.1% (1.9)%
Consumer Non-Discretionary 3.7% 5.2% (1.5)%
Energy 7.9% 6.1% 1.8%
Finance 11.7% 12.8% (1.1)%
Healthcare 8.0% 10.4% (2.4)%
Manufacturing 9.8% 10.0% (0.2)%
Technology 37.8% 31.9% 5.9%
Utilities 8.0% 9.0% (1.0)%
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
-------------------------------------------
<S> <C>
Intel Corp. 4.9%
Cisco Systems, Inc. 4.5%
General Electric Co. 3.6%
Microsoft Corp. 3.4%
Exxon Mobil Corp. 3.1%
Oracle Corp. 2.6%
Citigroup, Inc. 1.8%
Wal-Mart Stores, Inc. 1.7%
Hewlett Packard Co. 1.6%
Texas Instruments, Inc. 1.5%
</TABLE>
8 See Definition of Terms.
<PAGE>
INDEX PLUS MID CAP FUND:
<TABLE>
<CAPTION>
------------------------------------------------------------------------
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR INVESTMENTS MIDCAP 400 WEIGHTING
------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 4.5% 4.9% (0.4)%
Commercial Services 4.8% 5.4% (0.6)%
Consumer Discretionary 13.0% 13.0% --
Consumer Non-Discretionary 2.4% 2.5% (0.1)%
Energy 10.6% 7.9% 2.7%
Finance 8.8% 11.5% (2.7)%
Healthcare 8.9% 11.1% (2.2)%
Manufacturing 9.1% 8.0% 1.1%
Technology 30.7% 25.8% 4.9%
Utilities 7.2% 9.9% (2.7)%
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
-------------------------------------------
<S> <C>
Siebel Systems, Inc. 4.2%
Maxim Integrated Products, Inc. 3.2%
Atmel Corp. 2.1%
MedImmune, Inc. 1.9%
Vitesse Semiconductor Corp. 1.5%
Dynegy, Inc. 1.3%
QLogic Corp. 1.3%
Vishay Intertechnology, Inc. 1.2%
Novellus Systems, Inc. 1.2%
Univision Communications, Inc. 1.1%
</TABLE>
INDEX PLUS SMALL CAP FUND:
<TABLE>
<CAPTION>
--------------------------------------------------------------------------
% OF EQUITY % OF S&P OVER/(UNDER)
SECTOR INVESTMENTS SMALLCAP 600 WEIGHTING
--------------------------------------------------------------------------
<S> <C> <C> <C>
Basic Materials 2.8% 3.7% (0.9)%
Commercial Services 7.6% 9.0% (1.4)%
Consumer Discretionary 13.1% 15.0% (1.9)%
Consumer Non-Discretionary 1.9% 2.4% (0.5)%
Energy 5.0% 5.8% (0.8)%
Finance 9.5% 10.7% (1.2)%
Healthcare 12.2% 11.5% 0.7%
Manufacturing 13.1% 11.3% 1.8%
Technology 33.4% 29.0% 4.4%
Utilities 1.4% 1.6% (0.2)%
</TABLE>
See Definition of Terms. 9
<PAGE>
INDEX PLUS SMALL CAP FUND (CONTINUED):
<TABLE>
<CAPTION>
------------------------------------------------
% OF NET
TOP TEN EQUITY HOLDINGS ASSETS
------------------------------------------------
<S> <C>
Mercury Interactive Corp. 2.7%
Burr-Brown Corp. 1.5%
KEMET Corp. 1.3%
Lattice Semiconductor Corp. 1.2%
International Rectifier Corp. 1.2%
C-Cube Microsystems, Inc. 1.0%
Digital Microwave Corp. 1.0%
Dallas Semiconductor Corp. 0.9%
CommScope, Inc. 0.9%
Cognex Corp. 0.9%
</TABLE>
The opinions expressed reflect those of the portfolio manager only through April
30, 2000. 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.
10 See Definition of Terms.
<PAGE>
DEFINITION OF TERMS
(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.
The unmanaged indices described above are not available for individual
investment.
11
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS BOND
================================================================================
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -------------
<S> <C> <C>
LONG-TERM BONDS AND NOTES (98.4%)
CORPORATE BONDS (39.6%)
ABN AMRO Bank NV,7.55%,06/28/06 .......... $ 35,000 $ 34,650
Ahold Finance USA Inc.,6.88%,05/01/29 .... 50,000 41,945
AirTouch Communications,
Inc.,7.13%,07/15/01...................... 280,000 278,816
Amoco Canada,6.75%,09/01/23 .............. 100,000 89,174
Associates Corp. N.A.,5.80%,04/20/04 ..... 35,000 32,702
Associates Corp. N.A.,6.88%,11/15/08 ..... 200,000 187,310
AT&T Capital Corp.,6.75%,02/04/02 ........ 90,000 88,826
Baker Hughes, Inc.,6.00%,02/15/09 ........ 50,000 43,824
Bank of America Corp.,5.75%,03/01/04 ..... 30,000 28,131
Bombardier Capital Inc.,6.00%,01/15/02 ... 40,000 38,880
Bombardier Capital Inc.,7.30%,12/15/02 ... 20,000 19,700
Capco America Securitization
Corp.,5.86%,12/15/07..................... 89,080 82,898
Cia. Transporte Energia,8.63%,04/01/03 ++ 250,000 238,125
Citigroup Inc.,6.20%,03/15/09 ............ 15,000 13,660
Coastal Corp.,6.20%,05/15/04 ............. 75,000 70,653
DaimlerChrysler NA Holdings
Inc.,6.67%,09/25/01...................... 110,000 109,486
Diageo Capital Plc,7.25%,11/01/09 ........ 90,000 88,915
Dow Chemical Co.,7.38%,11/01/29 .......... 30,000 28,514
Duke Energy Corp.,6.00%,12/01/28 ......... 160,000 122,739
Duke Energy Corp.,7.88%,08/15/04 ......... 65,000 64,821
E.I. Du Pont De Nemours
Corp.,6.75%,10/15/04..................... 70,000 68,284
Edison International Inc.,6.88%,09/15/04 . 80,000 78,201
Federal Express Corp.,7.89%,09/23/08 ..... 198,266 192,576
Federated Department Stores,
Inc.,8.13%,10/15/02...................... 200,000 202,502
First Union Corp.,6.95%,11/01/04 ......... 75,000 73,099
Ford Motor Credit Corp.,7.50%,03/15/05 ... 250,000 247,275
General Electric Capital
Corp.,6.81%,11/03/03..................... 110,000 108,159
General Motors Acceptance
Corp.,7.75%,01/19/10..................... 30,000 29,627
GTE North, Inc.,5.65%,11/15/08 ........... 60,000 52,078
Hanson Overseas B.V.,7.38%,01/15/03 ...... 250,000 248,687
Hertz Corp.,7.00%,07/01/04 ............... 30,000 28,970
Household Finance Corp.,7.88%,03/01/07 ... 70,000 69,276
International Business Machines
Corp.,5.63%,04/12/04..................... 50,000 46,921
Lehman Brothers Holdings
Inc.,6.47%,07/21/00...................... 150,000 149,799
Lockheed Martin Corp.,7.25%,05/15/06 ..... 210,000 196,854
Lockheed Martin Corp.,7.95%,12/01/05 ..... 55,000 53,876
Lucent Technologies, Inc.,6.45%,03/15/29 . 50,000 43,255
MCI WorldCom, Inc.,6.95%,08/15/28 ........ 50,000 44,092
Mellon Bank NA,7.63%,09/15/07 ............ 35,000 34,597
Merrill Lynch & Co., Inc.,6.50%,04/01/01 . 250,000 248,292
Morgan Stanley Dean Witter &
Co.,7.13%,01/15/03....................... 65,000 64,286
Morgan Stanley Dean Witter &
Co.,5.63%,01/20/04....................... 35,000 32,818
Norsk Hydro A/S,7.75%,06/15/23 ........... 250,000 239,377
Nova Scotia,9.38%,07/15/02 ............... 30,000 31,119
Providian National Bank,6.75%,03/15/02 ... 250,000 243,107
Quebec Province Co.,5.75%,02/15/09 ....... 115,000 101,889
Sempra Energy,7.95%,03/01/10 ............. 40,000 40,330
Textron Financial Corp.,7.13%,12/09/04 ... 85,000 82,793
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -------------
<S> <C> <C>
CORPORATE BONDS (CONTINUED)
Tyco International Group SA,6.38%,06/15/05 $ 80,000 $ 74,417
U.S. West Communications Group,
7.20%,11/01/04 .......................... 110,000 107,755
United Technologies Corp.,6.50%,06/01/09 . 30,000 27,897
Vodafone Airtouch Plc,7.63%,02/15/05 ..... 65,000 64,756
-------------
5,030,733
-------------
NON-AGENCY MORTGAGE-BACKED SECURITIES (2.5%)
First NBC Credit Card Master Trust 1997-1
A, 6.15%,09/15/04 ....................... 250,000 243,827
Peco Energy Transition Trust
Co., 6.05%, 03/01/09..................... 80,000 74,000
-------------
317,827
-------------
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED
SECURITIES (38.2%)
Federal Home Loan Mortgage
Corp.,6.00%,02/01/29-07/01/29............ 191,487 173,503
Federal Home Loan Mortgage
Corp.,6.50%,06/01/28..................... 82,491 77,129
Federal Home Loan Mortgage
Corp.,6.88%,01/15/05..................... 300,000 295,686
Federal Home Loan Mortgage
Corp.,7.00%,05/01/28-10/01/29............ 189169 181,143
Federal Home Loan Mortgage Corp. -
Convertible Loan,9.50%,05/01/20 ......... 63,710 66,975
Federal Home Loan Mortgage Corp. -
Gold,6.50%,03/01/28...................... 375,796 351,723
Federal Home Loan Mortgage Corp. -
Gold,7.00%,03/01/28...................... 351,501 337,550
Federal Home Loan Mortgage Corp. - Gold -
Convertible Intermediate,6.00%,09/01/12 . 104,936 98,868
Federal Home Loan Mortgage Corp. - Gold -
Convertible Intermediate,6.50%,09/01/12 . 196,384 188,529
Federal Home Loan Mortgage Corp. - Gold -
Convertible Intermediate,7.00%,11/01/12 . 175,359 171,248
Federal National Mortgage
Association,6.00%,07/01/13-11/01/28...... 416,422 381,790
Federal National Mortgage
Association,6.50%,10/01/14-11/01/29...... 758,053 712,395
Federal National Mortgage
Association,7.00%,08/01/29............... 97,886 93,634
Federal National Mortgage
Association,7.13%,01/15/30............... 195,000 193,019
Federal National Mortgage
Association,7.50%,06/01/11-04/01/28...... 560,258 550,676
Government National Mortgage
Association,6.00%,10/15/28............... 78,839 71,595
Government National Mortgage
Association,6.50%,06/15/29-08/15/29...... 290,139 271,732
Government National Mortgage
Association,7.00%,08/15/25-05/15/28...... 352,222 339,289
Government National Mortgage
Association,7.50%,08/15/27............... 203,357 200,115
Government National Mortgage
Association,8.00%,11/15/29............... 99,645 99,831
-------------
4,856,430
-------------
</TABLE>
12 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT VALUE
------------ -------------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS (18.1%)
U.S. Treasury Bond,6.13%,08/15/07-11/15/27 $ 499,000 $ 488,742
U.S. Treasury Bond,6.50%,11/15/26 ........ 60,000 62,185
U.S. Treasury Bond,6.75%,08/15/26 ........ 155,000 165,559
U.S. Treasury Bond,7.25%,05/15/16 ........ 315,000 344,383
U.S. Treasury Bond,8.13%,05/15/21 ........ 510,000 618,615
U.S. Treasury Bond,11.75%,11/15/14 ....... 70,000 95,233
U.S. Treasury Note,6.50%,03/31/02 ........ 285,000 283,931
U.S. Treasury Note,8.75%,05/15/17 ........ 30,000 37,495
U.S. Treasury Note,10.75%,08/15/05 ....... 176,000 207,763
-------------
2,303,906
-------------
TOTAL LONG-TERM BONDS AND NOTES
(COST $13,019,105) 12,508,896
-------------
TOTAL INVESTMENTS (COST $13,019,105)(a) 12,508,896
OTHER ASSETS LESS LIABILITIES 205,234
-------------
TOTAL NET ASSETS $12,714,130
=============
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$13,043,042. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains............................. $ -
Unrealized losses............................ (534,146)
----------
Net unrealized loss......................... $(534,146)
==========
</TABLE>
++ 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.
Category percentages are based on net assets.
See Notes to Financial Statements. 13
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS LARGE CAP
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMON STOCKS (93.4%)
AIR TRANSPORT (0.2%)
AMR Corp. + ........................... 3,700 $ 126,031
Delta Air Lines, Inc. ................. 3,600 189,900
FedEx Corporation + ................... 8,960 337,680
Southwest Airlines Co. ................ 12,012 260,511
---------------
914,122
---------------
ALUMINUM (0.3%)
Alcan Aluminum Ltd. ................... 12,500 409,375
Alcoa Inc. ............................ 12,000 778,500
Reynolds Metals Co. ................... 3,300 219,450
---------------
1,407,325
---------------
AUTO PARTS AND HARDWARE (0.1%)
Black & Decker Corp. .................. 2,300 96,744
Briggs & Stratton Corp. ............... 700 26,862
Cooper Tire & Rubber Co. .............. 2,100 28,350
Genuine Parts Co. ..................... 5,100 133,875
Goodyear Tire & Rubber Co. (The) ...... 2,200 60,775
Snap-On, Inc. ......................... 1,300 34,369
Stanley Works (The) ................... 2,100 61,950
---------------
442,925
---------------
AUTOMOTIVE (1.5%)
Dana Corp. ............................ 4,600 139,725
Delphi Automotive Systems Corp. ....... 26,200 501,075
Eaton Corp. ........................... 1,900 159,600
Ford Motor Co. ........................ 32,000 1,750,000
General Motors Corp. + ................ 28,800 2,696,400
Harley-Davidson, Inc. ................. 8,600 342,387
Johnson Controls, Inc. ................ 3,200 202,600
TRW, Inc. ............................. 3,100 181,350
---------------
5,973,137
---------------
BANKS AND THRIFTS (3.4%)
Bank of America Corp. ................. 24,600 1,205,400
Bank of New York Co., Inc. ............ 21,200 870,525
BB&T Corp. ............................ 10,300 274,237
Chase Manhattan Corp. ................. 29,400 2,118,637
Comerica, Inc. ........................ 3,600 152,550
Fifth Third Bancorp ................... 8,575 541,297
First Union Corp. ..................... 27,800 886,125
Firstar Corp. ......................... 13,000 323,375
Fleet Boston Financial Corp. .......... 25,500 903,656
Golden West Financial Corp. ........... 4,200 143,325
Huntington Bancshares Inc. ............ 5,686 103,770
J.P. Morgan & Co. ..................... 7,600 975,650
Mellon Financial Corp. ................ 13,600 436,900
Northern Trust Corp. .................. 6,400 410,400
Old Kent Financial Corp. .............. 2,900 87,363
PNC Bank Corp. ........................ 9,700 423,162
SouthTrust Corp. ...................... 5,800 138,475
State Street Corp. .................... 4,700 455,312
Summit Bancorp ........................ 4,500 114,188
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
BANKS AND THRIFTS (CONTINUED)
Suntrust Banks, Inc. .................. 8,400 $ 426,300
Synovus Financial Corp. ............... 7,400 137,362
U.S. Bancorp .......................... 10,000 203,125
Union Planters Co. .................... 3,100 87,769
Wachovia Corp. ........................ 5,300 332,244
Wells Fargo & Co. ..................... 46,700 1,917,619
---------------
13,668,766
---------------
BIOTECH AND MEDICAL PRODUCTS (1.3%)
Alza Corp. + .......................... 1,400 61,688
Amgen, Inc. + ......................... 28,900 1,618,400
Bard (C.R.) Inc. ...................... 1,400 60,988
Bausch & Lomb, Inc. ................... 1,900 114,713
Becton, Dickinson & Co. ............... 7,200 184,500
Biogen, Inc. + ........................ 6,600 388,162
Biomet, Inc. .......................... 4,400 157,025
Guidant Corp. + ....................... 8,900 510,637
Mallinckrodt Inc. ..................... 1,800 48,375
Medtronic, Inc. + ..................... 33,800 1,755,487
Saint Jude Medical, Inc. + ............ 2,300 71,731
Watson Pharmaceuticals, Inc. + ........ 2,500 112,344
---------------
5,084,050
---------------
CHEMICALS (0.8%)
Dow Chemical Co. ...................... 7,600 858,800
Du Pont (E.I.) de Nemours ............. 35,600 1,688,775
Eastman Chemical Co. .................. 4,200 219,712
Rohm & Haas Co. ....................... 9,300 331,313
Union Carbide Corp. ................... 3,900 230,100
---------------
3,328,700
---------------
COMMERCIAL SERVICES (0.4%)
Deluxe Corp. .......................... 1,700 42,819
Interpublic Group Companies............ 7,300 299,300
Omnicom Group, Inc. ................... 5,200 473,525
Paychex, Inc. ......................... 7,100 373,637
RR Donnelley & Sons Co. ............... 3,700 78,625
Sabre Holdings Corporation ............ 2,673 93,388
Young And Rubicam, Inc. + ............. 1,800 100,238
---------------
1,461,532
---------------
COMPUTERS (6.1%)
Apple Computer, Inc. + ................ 7,600 942,875
Cabletron Systems, Inc. + ............ 4,900 112,087
Compaq Computer Corp. ................. 46,200 1,351,350
Dell Computer Corp. + ................. 72,400 3,629,050
Gateway, Inc. + ....................... 9,300 513,825
Hewlett Packard Co. ................... 46,900 6,331,500
International Business Machines Corp. . 50,600 5,648,225
NCR Corp. + ........................... 2,500 96,563
Sun Microsystems, Inc. + .............. 65,100 5,985,131
Unisys Corp. + ........................ 7,900 183,181
---------------
24,793,787
---------------
CONGLOMERATE AND AEROSPACE (4.3%)
Boeing Co. ............................ 23,200 920,750
</TABLE>
14 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
CONGLOMERATE AND AEROSPACE (CONTINUED)
General Dynamics Corp. ................ 5,000 $ 292,500
General Electric Co. .................. 93,000 14,624,250
Goodrich (B.F.) Co. ................... 3,200 102,000
Loews Corp. ........................... 2,800 154,350
National Service Industries, Inc. ..... 900 19,350
Northrop Grumman Corp. ................ 1,700 120,488
Perkin-Elmer Inc. + ................... 1,700 93,075
Textron, Inc. ......................... 4,000 247,750
United Technologies Corp. ............. 13,400 833,312
---------------
17,407,825
---------------
CONSUMER FINANCE (1.1%)
Capital One Financial Corp. ........... 5,300 231,875
Federal National Mortgage Association . 28,800 1,737,000
Freddie Mac Corp. ..................... 20,000 918,750
Household International, Inc. ......... 16,100 672,175
MBNA Corp. ............................ 28,300 751,719
Ryder System, Inc. .................... 1,600 35,500
SLM Holding Corp. ..................... 3,700 115,856
---------------
4,462,875
---------------
CONSUMER PRODUCTS (1.0%)
Alberto-Culver Co. .................... 200 4,725
Avon Products, Inc. ................... 6,300 261,450
Clorox Co. ............................ 6,300 231,525
Colgate-Palmolive Co. ................. 15,800 902,575
Gillette Co. .......................... 14,100 521,700
International Flavors & Fragrances,
Inc................................... 2,300 79,206
Kimberly-Clark Corp. .................. 18,500 1,074,156
Procter & Gamble Co. .................. 18,600 1,109,025
---------------
4,184,362
---------------
CONSUMER SERVICES (0.4%)
Cendant Corp. + ....................... 20,500 316,469
Darden Restaurants, Inc. .............. 4,300 79,281
H&R Block, Inc. ....................... 3,700 154,706
Harrah's Entertainment, Inc. + ........ 4,700 96,644
Marriott International, Inc. .......... 5,800 185,600
McDonald's Corp. ...................... 18,100 690,062
Mirage Resorts, Inc. + ................ 4,500 91,688
Tricon Global Restaurants, Inc. + ..... 2,000 68,250
Wendy's International, Inc. ........... 4,400 98,450
---------------
1,781,150
---------------
CONSUMER SPECIALTIES (0.0%)
Brunswick Corp. ....................... 2,600 49,887
Hasbro, Inc. .......................... 5,250 83,672
Jostens, Inc. ......................... 800 19,750
---------------
153,309
---------------
DATA AND IMAGING SERVICES (15.2%)
3Com Corp. + .......................... 4,600 181,413
Adobe Systems, Inc. ................... 5,200 628,875
America Online, Inc. + ................ 65,100 3,893,794
Autodesk, Inc. ........................ 1,700 65,238
Automatic Data Processing, Inc. ....... 17,900 963,244
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
DATA AND IMAGING SERVICES (CONTINUED)
BMC Software, Inc. + .................. 6,500 $ 304,281
Cisco Systems, Inc. + ................. 260,800 18,080,775
Citrix Systems, Inc. + ................ 6,600 403,012
Computer Associates International, Inc. 27,700 1,546,006
Computer Sciences Corp. + ............. 4,600 375,188
Compuware Corp. + ..................... 9,800 123,113
Eastman Kodak Co. ..................... 9,100 509,031
Electronic Data Systems Corp. ......... 12,500 859,375
EMC Corp. + ........................... 29,100 4,043,081
First Data Corp. ...................... 11,000 535,562
Microsoft Corp. + ..................... 195,200 13,615,200
Network Appliance, Inc. + ............. 10,800 798,525
Novell, Inc. + ........................ 8,300 162,888
Oracle Corp. + ........................ 133,000 10,631,687
Parametric Technology Co. + ........... 7,900 64,434
Peoplesoft, Inc. + .................... 7,300 101,744
Polaroid Corp. ........................ 1,200 24,225
Seagate Technology, Inc. + ............ 6,900 350,606
VERITAS Software Corp. + .............. 11,100 1,190,648
Yahoo! Inc. + ......................... 15,300 1,992,825
---------------
61,444,770
---------------
DISCRETIONARY RETAIL (5.2%)
AutoZone, Inc. + ...................... 3,800 87,163
Bed Bath & Beyond, Inc. + ............. 4,100 150,419
Best Buy Co., Inc. + .................. 7,200 581,400
Circuit City Stores, Inc. ............. 9,500 558,719
Costco Wholesale Corp. + .............. 15,800 854,187
Dillards, Inc. ........................ 2,900 40,419
Dollar General Corp. .................. 6,212 142,099
Federated Department Stores, Inc. + ... 9,200 312,800
Gap, Inc. ............................. 31,700 1,164,975
Home Depot, Inc. ...................... 108,300 6,071,569
Kmart Corp. + ......................... 13,500 109,687
Kohl's Corp. + ........................ 8,800 422,400
Lowe's Co., Inc. ...................... 10,900 539,550
May Department Stores Co. ............. 10,650 292,875
Nordstrom, Inc. ....................... 1,800 50,063
Office Depot, Inc. + .................. 8,800 92,950
Sears, Roebuck & Co. .................. 16,500 604,312
Staples, Inc. + ....................... 13,900 264,969
Tandy Corp. ........................... 5,000 285,000
Target Corporation .................... 12,400 825,375
The Limited, Inc. ..................... 10,500 474,469
TJX Companies, Inc. ................... 10,900 209,144
Wal-Mart Stores, Inc. ................. 126,900 7,027,087
---------------
21,161,631
---------------
DIVERSIFIED FINANCIAL SERVICES (2.4%)
American Express Co. .................. 12,500 1,875,781
Citigroup Inc. ........................ 125,000 7,429,687
Providian Financial Corp. ............. 3,800 334,638
---------------
9,640,106
---------------
</TABLE>
See Notes to Portfolio of Investments. 15
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
DRUGS (6.2%)
Abbott Laboratories ................... 43,700 $ 1,679,719
Allergan, Inc. ........................ 4,900 288,488
American Home Products Corp. .......... 18,600 1,045,088
Baxter International, Inc. ............ 8,000 521,000
Bristol-Myers Squibb Co. .............. 55,800 2,926,012
Eli Lilly & Co. ....................... 14,800 1,144,225
Johnson & Johnson ..................... 19,600 1,617,000
Merck & Co., Inc. ..................... 63,200 4,392,400
Pfizer, Inc. .......................... 105,500 4,444,187
Pharmacia Corporation ................. 37,717 1,883,493
Schering Plough ....................... 41,500 1,672,969
Warner Lambert Co. .................... 30,600 3,482,662
---------------
25,097,243
---------------
ELECTRIC UTILITIES (1.5%)
AES Corp. + ........................... 5,400 485,662
Ameren Corp. .......................... 3,400 124,738
American Electric Power Co. ........... 5,100 186,788
Carolina Power & Light Co. ............ 4,600 168,188
Central & South West Corp. ............ 5,900 127,956
Cinergy Corp. ......................... 4,200 112,350
Consolidated Edison, Inc. ............. 5,700 200,569
Constellation Energy Group ............ 6,200 204,987
Dominion Resources, Inc. .............. 7,684 345,780
DTE Energy Co. ........................ 4,500 146,813
Duke Energy Corp. ..................... 9,813 564,247
Edison International Inc. ............. 9,200 175,375
Entergy Corp. ......................... 6,100 155,169
FirstEnergy Corp. ..................... 5,700 144,994
Florida Progress Corp. ................ 3,700 181,300
FPL Group, Inc. ....................... 4,700 212,381
GPU, Inc. ............................. 4,000 112,250
New Century Energies, Inc. ............ 3,100 101,138
Northern States Power Co. ............. 4,200 91,613
Peco Energy Co. ....................... 5,100 212,606
PG&E Corp. ............................ 17,000 440,937
Pinnacle West Capital Corp. ........... 2,100 73,763
PPL Corporation ....................... 3,800 90,725
Public Service Enterprise Group, Inc. . 8,100 290,587
Reliant Energy Inc. ................... 10,400 276,900
Southern Co. .......................... 18,600 463,837
Texas Utilities Co. ................... 7,922 266,872
Unicom Corp. .......................... 7,700 306,075
---------------
6,264,600
---------------
ELECTRICAL MACHINERY AND INSTRUMENTS (0.5%)
Lexmark International Group, Inc. + ... 4,600 542,800
PE Corp-PE Biosystems Group ........... 7,300 438,000
Pitney Bowes, Inc. .................... 6,900 282,037
Rockwell International Corp. .......... 9,000 354,375
Tektronix, Inc. ....................... 1,300 75,238
Xerox Corp. ........................... 9,400 248,513
---------------
1,940,963
---------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
ELECTRONIC MEDIA (1.4%)
Comcast Corp. + ....................... 12,600 $ 504,788
Mediaone Group, Inc. + ................ 9,000 680,625
Time Warner, Inc. ..................... 17,000 1,528,937
Viacom, Inc. + ........................ 7,900 429,563
Walt Disney Co. (The) + ............... 56,600 2,451,487
---------------
5,595,400
---------------
FOOD AND BEVERAGE (2.0%)
Anheuser-Busch Co., Inc. .............. 12,200 860,862
Archer-Daniels-Midland Co. ............ 17,500 173,906
Bestfoods ............................. 7,300 366,825
Brown-Forman Corp. + .................. 1,100 60,019
Coca-Cola Co. ......................... 34,900 1,642,481
Coca-Cola Enterprises, Inc. ........... 12,300 262,144
Conagra, Inc. ......................... 14,100 266,138
Coors (Adolph) Co. .................... 800 40,800
Fortune Brands, Inc. .................. 4,100 102,500
General Mills, Inc. ................... 8,100 294,637
Heinz (H.J.) Co. ...................... 9,200 312,800
Hershey Foods Corp. ................... 2,900 131,588
Kellogg Co. ........................... 10,100 246,819
PepsiCo, Inc. ......................... 40,700 1,493,181
Quaker Oats Co. ....................... 3,600 234,675
Ralston-Ralston Purina Group .......... 8,300 146,806
Sara Lee Corp. ........................ 25,100 376,500
Seagram Co. Ltd. ...................... 6,100 329,400
Unilever NV ........................... 16,100 733,556
Wrigley (Wm.) Jr. Co. + ............... 2,300 166,463
---------------
8,242,100
---------------
FOOD AND DRUG RETAIL (0.7%)
Albertson's, Inc. ..................... 5,700 185,606
CVS Corp. ............................. 10,500 456,750
Kroger Co. (The) + .................... 11,800 219,038
Longs Drug Stores, Inc. ............... 100 2,325
Safeway, Inc. + ....................... 13,900 613,337
SUPERVALU, Inc. ....................... 3,800 78,613
Sysco Corp. ........................... 8,900 334,863
Walgreen Co. .......................... 29,700 835,312
---------------
2,725,844
---------------
FOREST PRODUCTS AND BUILDING MATERIALS (0.8%)
Ball Corp. ............................ 1,000 31,500
Bemis Co., Inc. ....................... 1,500 55,219
Boise Cascade Corp. ................... 2,100 68,381
Champion International Corp. .......... 5,500 361,625
Fort James Corp. ...................... 6,400 153,200
Georgia-Pacific Corp. ................. 5,500 202,125
International Paper Co. ............... 14,200 521,850
Louisiana-Pacific Corp. ............... 4,900 65,538
Masco Corp. ........................... 12,700 284,956
Mead Corp. ............................ 4,600 160,137
Owens-Illinois, Inc. + ................ 3,800 51,300
Pactiv Corp. + ........................ 4,900 40,119
</TABLE>
16 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
FOREST PRODUCTS AND BUILDING MATERIALS (CONTINUED)
Potlatch Corp. ........................ 800 $ 31,550
Sealed Air Corp. + .................... 3,000 166,875
Temple-Inland Inc. .................... 2,500 125,313
Vulcan Materials Co. .................. 3,000 131,438
Westvaco Corp. ........................ 4,500 138,937
Weyerhaeuser Co. ...................... 7,400 395,437
Willamette Industries, Inc. ........... 3,600 137,475
---------------
3,122,975
---------------
GAS UTILITIES (0.7%)
Coastal Corp. (The) ................... 5,800 291,087
Columbia Energy Group ................. 2,100 131,775
El Paso Energy Corp. .................. 5,500 233,750
Enron Corp. ........................... 20,400 1,421,625
NICOR, Inc. ........................... 1,200 40,650
People's Energy Corp. ................. 800 24,850
Sempra Energy ......................... 6,200 115,088
Williams Co., Inc. (The) .............. 12,900 481,331
---------------
2,740,156
---------------
HEALTH SERVICES (0.5%)
Cardinal Health, Inc. ................. 7,500 412,969
Columbia/HCA Healthcare Corp. ......... 16,000 455,000
HEALTHSOUTH Corp. + ................... 9,300 74,981
IMS Health, Inc. ...................... 8,200 139,912
Quintiles Transnational Corp. + ....... 3,100 44,369
Tenet Healthcare Corp. + .............. 11,200 285,600
UnitedHealth Group Incorporated ....... 6,100 406,794
Wellpoint Health Networks, Inc. + ..... 1,200 88,500
---------------
1,908,125
---------------
HEAVY MACHINERY (0.2%)
Caterpillar, Inc. ..................... 4,700 185,356
Cummins Engine Co., Inc. .............. 1,400 49,788
Deere & Co. ........................... 6,700 270,513
Navistar International Corp. + ........ 2,900 101,500
PACCAR, Inc. .......................... 2,900 137,931
---------------
745,088
---------------
HOUSING AND FURNISHINGS (0.1%)
Leggett & Platt, Inc. ................. 4,800 102,600
Pulte Corp. ........................... 1,500 32,250
Tupperware Corp. ...................... 1,300 24,538
Whirlpool Corp. ....................... 2,800 182,350
---------------
341,738
---------------
INDUSTRIAL SERVICES (0.0%)
Fluor Corp. ........................... 1,700 57,056
---------------
INSURANCE (2.2%)
AFLAC, Inc. ........................... 7,300 356,331
Allstate Corp. (The) .................. 10,900 257,513
American General Corp. ................ 7,210 403,760
American International Group, Inc. .... 43,900 4,815,281
Aon Corp. ............................. 3,600 97,425
Chubb Corp. ........................... 4,700 299,037
CIGNA Corp. ........................... 6,000 478,500
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
INSURANCE (CONTINUED)
Cincinnati Financial Corp. ............ 4,300 $ 173,344
Hartford Financial Services Group, Inc. 6,100 318,344
Jefferson-Pilot Corp. ................. 2,550 169,734
Lincoln National Corp. ................ 6,900 240,206
Marsh & McLennan Co., Inc. ............ 7,200 709,650
MBIA, Inc. ............................ 2,400 118,650
MGIC Investment Corp. ................. 4,000 191,250
St. Paul Co., Inc. .................... 6,112 217,740
Torchmark Corp. ....................... 3,500 87,719
---------------
8,934,484
---------------
INVESTMENT SERVICES (1.9%)
Bear Stearns Co., Inc. (The) .......... 5,100 218,663
Charles Schwab Corp. .................. 23,600 1,050,200
Franklin Resources, Inc. .............. 6,700 216,075
Lehman Brothers Holdings Inc. ......... 5,700 467,756
Merrill Lynch & Co., Inc. ............. 10,800 1,100,925
Morgan Stanley Dean Witter & Co. ...... 52,900 4,060,075
Paine Webber Group Inc. ............... 6,800 298,350
T. Rowe Price & Associates ............ 4,600 175,375
---------------
7,587,419
---------------
MAJOR TELECOMMUNICATIONS (5.9%)
ALLTEL Corp. .......................... 8,900 592,962
AT&T Corp. ............................ 91,100 4,253,231
Bell Atlantic Corp. ................... 43,700 2,589,225
BellSouth Corp. ....................... 53,100 2,585,306
CenturyTel, Inc. ...................... 3,850 94,325
GTE Corp. ............................. 27,100 1,836,025
MCI Worldcom, Inc. + .................. 80,550 3,659,991
Nextel Communications, Inc. + ......... 10,100 1,105,319
SBC Communications, Inc. .............. 96,900 4,245,431
Sprint Corp. .......................... 23,200 1,426,800
Sprint PCS + .......................... 12,200 671,000
U.S. WEST, Inc. ....................... 13,300 946,794
---------------
24,006,409
---------------
MISCELLANEOUS METALS (0.2%)
Barrick Gold Corp. .................... 12,600 211,838
Freeport-McMoRan Copper & Gold, Inc. + 4,000 38,500
Inco Ltd. + ........................... 9,200 143,750
Newmont Mining Corp. .................. 7,200 168,750
Placer Dome, Inc. ..................... 10,200 82,875
---------------
645,713
---------------
OIL (6.3%)
Amerada Hess Corp. .................... 4,000 254,500
Anadarko Petroleum Corp. .............. 5,700 247,594
Apache Corp. .......................... 5,100 247,031
Ashland Oil, Inc. ..................... 2,100 71,663
Burlington Resources, Inc. ............ 5,800 228,013
Chevron Corp. ......................... 30,500 2,596,312
Conoco Inc. ........................... 11,200 278,600
Exxon Mobil Corp. ..................... 162,000 12,585,375
Kerr-McGee Corp. ...................... 4,200 217,350
</TABLE>
See Notes to Portfolio of Investments. 17
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS LARGE CAP (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
OIL (CONTINUED)
Occidental Petroleum Corp. ............ 15,600 $ 334,425
Phillips Petroleum Co. ................ 12,000 569,250
Royal Dutch Petroleum Co. ............. 99,800 5,726,025
Sunoco Inc. ........................... 2,400 72,750
Texaco, Inc. .......................... 24,900 1,232,550
Union Pacific Resources Group Inc. .... 6,700 128,556
Unocal Corp. .......................... 11,300 365,131
USX-Marathon Group .................... 13,300 310,056
---------------
25,465,181
---------------
OIL SERVICES (0.4%)
Rowan Co., Inc. + ..................... 3,700 103,369
Schlumberger, Ltd. .................... 16,000 1,225,000
Tosco Corp. ........................... 6,600 211,612
Transocean Sedco Forex Inc. ........... 6,000 282,000
---------------
1,821,981
---------------
PRINT MEDIA (0.5%)
Dow Jones & Co., Inc. ................. 2,400 155,700
Dun & Bradstreet Corp. ................ 4,000 120,500
Equifax, Inc. ......................... 3,800 92,863
Gannett Co., Inc. ..................... 7,800 498,225
Harcourt General, Inc. ................ 1,400 52,325
Knight-Ridder, Inc. ................... 2,000 98,125
McGraw-Hill Co., Inc. ................. 5,200 273,000
Meredith Corp. ........................ 900 25,031
New York Times Co. .................... 6,200 255,362
Times Mirror Co. ...................... 1,200 117,075
Tribune Co. ........................... 6,300 244,913
---------------
1,933,119
---------------
PRODUCER GOODS (2.7%)
Allegheny Technologies Incorporated ... 3,200 77,400
Avery Dennison Corp. .................. 4,100 269,062
Cooper Industries, Inc. ............... 3,700 126,956
Corning, Inc. ......................... 9,700 1,915,750
Danaher Corp. ......................... 5,200 297,050
Dover Corp. ........................... 7,100 360,769
Ecolab, Inc. .......................... 4,000 156,250
Emerson Electric Co. .................. 12,300 674,962
FMC Corp. + ........................... 900 52,369
Grainger (W.W.), Inc. ................. 2,000 86,750
Honeywell International Inc. .......... 21,750 1,218,000
Ikon Office Solutions, Inc. ........... 4,100 24,088
Illinois Tool Works, Inc. ............. 8,600 550,937
Ingersoll-Rand Co. .................... 5,400 253,462
ITT Industries, Inc. .................. 1,400 44,188
Milacron, Inc. ........................ 800 14,600
Millipore Corp. ....................... 1,000 71,688
Minnesota Mining and Manufacturing Co. 11,600 1,003,400
Pall Corp. ............................ 3,100 69,169
Parker-Hannifin Corp. ................. 5,050 234,825
PPG Industries, Inc. .................. 5,400 293,625
Sherwin-Williams Co. .................. 6,300 156,712
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
PRODUCER GOODS (CONTINUED)
Thermo Electron Corp. + ............... 4,100 $ 79,438
Timken Co. ............................ 1,700 31,450
Tyco International Ltd. ............... 64,200 2,949,187
---------------
11,012,087
---------------
SEMICONDUCTORS AND ELECTRONICS (14.0%)
Adaptec, Inc. + ....................... 4,700 126,900
ADC Telecommunications, Inc. + ........ 13,800 838,350
Advanced Micro Devices Corp. + ........ 7,200 631,800
Analog Devices, Inc. + ................ 15,400 1,182,912
Andrew Corp. + ........................ 2,300 67,706
Applied Materials, Inc. + ............. 37,600 3,828,150
Comverse Technology, Inc. + ........... 6,600 588,638
Conexant Systems, Inc. + .............. 9,400 562,825
Intel Corp. ........................... 156,600 19,858,837
KLA Instruments Corp. + ............... 8,600 643,925
Linear Technology Corp. ............... 13,700 782,613
LSI Logic Corp. + ..................... 13,600 850,000
Lucent Technologies, Inc. ............. 89,900 5,590,656
Micron Technology, Inc. + ............. 6,900 960,825
Molex, Inc. ........................... 4,375 240,352
Motorola, Inc. ........................ 20,152 2,399,347
National Semiconductor Corp. + ........ 7,500 455,625
Nortel Networks Corp. ................. 39,700 4,496,025
QUALCOMM Inc. + ....................... 27,300 2,960,344
Scientific-Atlanta, Inc. .............. 7,400 481,463
Solectron Corp. + ..................... 16,000 749,000
Tellabs, Inc. + ....................... 5,700 312,431
Teradyne, Inc. + ...................... 7,700 847,000
Texas Instruments, Inc. ............... 38,000 6,189,250
Xilinx, Inc. + ........................ 14,600 1,069,450
---------------
56,714,424
---------------
SPECIALTY CHEMICALS (0.2%)
Air Products and Chemicals, Inc. ...... 7,200 223,650
Engelhard Corp. ....................... 3,900 68,494
Grace (W.R.) & Co. + .................. 2,400 31,200
Great Lakes Chemical Corp. ............ 1,600 43,100
Praxair, Inc. ......................... 5,000 222,187
Sigma-Aldrich Corp. ................... 3,500 102,813
---------------
691,444
---------------
STEEL (0.1%)
Nucor Corp. ........................... 3,900 167,700
USX-US Steel Group, Inc. .............. 4,600 115,288
Worthington Industries ................ 2,400 29,700
---------------
312,688
---------------
SURFACE TRANSPORT (0.2%)
Burlington Northern Santa Fe Corp. .... 11,800 284,675
Kansas City Southern Industries, Inc. . 4,900 352,187
Union Pacific Corp. ................... 6,500 273,813
---------------
910,675
---------------
TEXTILES AND APPAREL (0.1%)
Liz Claiborne, Inc. ................... 1,700 78,731
</TABLE>
18 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
TEXTILES AND APPAREL (CONTINUED)
Nike, Inc. ............................ 4,700 $ 204,156
Russell Corporation ................... 800 15,700
Springs Industries, Inc. .............. 300 12,319
VF Corp. .............................. 2,900 81,925
---------------
392,831
---------------
TOBACCO (0.4%)
Nabisco Group Holdings Corp. .......... 8,400 108,150
Philip Morris Co., Inc. ............... 65,300 1,428,438
UST, Inc. ............................. 3,800 57,000
---------------
1,593,588
---------------
TOTAL COMMON STOCKS
(COST $313,345,759) 378,113,703
---------------
PRINCIPAL
AMOUNT
-------------
SHORT-TERM INVESTMENTS (6.8%)
Federal Farm Credit Bank,5.88%,05/01/00 $17,617,000 17,617,000
Federal Home Loan
Mortgage,5.89%,05/16/00............... 10,000,000 9,975,458
---------------
TOTAL SHORT-TERM INVESTMENTS 27,592,458
(COST $27,592,458) ---------------
TOTAL INVESTMENTS (COST
$340,938,217)(a) 405,706,161
OTHER ASSETS LESS LIABILITIES (789,020)
---------------
TOTAL NET ASSETS $ 404,917,141
---------------
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$359,788,220. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains......................................... $ 63,483,911
Unrealized losses........................................ (17,565,970)
--------------
Net unrealized gain .................................... $ 45,917,941
==============
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Portfolio of Investments. 19
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS MID CAP
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
COMMON STOCKS (96.0%)
AIR TRANSPORT (0.4%)
Alaska Air Group, Inc. + ............... 100 $ 2,875
C.H. Robinson Worldwide, Inc. .......... 400 20,000
CNF Transportation, Inc. ............... 600 16,763
--------------
39,638
--------------
AUTO PARTS AND HARDWARE (0.2%)
Bandag, Inc. ........................... 200 4,775
Carlisle Co., Inc. ..................... 300 12,356
--------------
17,131
--------------
AUTOMOTIVE (0.8%)
Arvin Industries, Inc. ................. 300 6,525
Borg-Warner Automotive, Inc. ........... 400 16,725
Lear Corp. + ........................... 1,100 32,931
Meritor Automotive, Inc. ............... 900 13,500
Modine Manufacturing Co. ............... 300 6,619
Superior Industries International, Inc. 600 19,313
--------------
95,613
--------------
BANKS AND THRIFTS (4.3%)
Associated Banc-Corp. .................. 600 15,338
Astoria Financial Corp. ................ 600 16,538
CCB Financial Corp. .................... 400 15,825
Charter One Financial, Inc. ............ 2,502 50,822
City National Corp. .................... 500 18,406
Compass Bancshares Inc. ................ 1,100 20,350
Dime Bancorp, Inc. ..................... 1,400 26,250
First Security Corp. ................... 1,800 25,425
First Virginia Banks, Inc. ............. 500 18,250
FirstMerit Corp. ....................... 800 13,100
GreenPoint Financial Corp. ............. 1,100 20,487
Hibernia Corp. ......................... 2,600 27,625
Keystone Financial, Inc. ............... 200 3,000
Marshall & Ilsley Corp. ................ 1,200 55,725
Mercantile Bankshares Corp. ............ 700 19,950
National Commerce Bancorporation ....... 1,300 21,369
North Fork Bancorp, Inc. ............... 2,000 32,375
Pacific Century Financial Corp. ........ 500 10,281
Provident Financial Group, Inc. ........ 500 14,656
Sovereign Bancorp, Inc. ................ 900 6,188
TCF Financial Corp. .................... 800 18,700
Webster Financial Corp. ................ 200 4,275
WestAmerica Bancorp .................... 500 12,531
Wilmington Trust Corp. ................. 200 9,225
Zions Bancorporation ................... 400 16,600
--------------
493,291
--------------
BIOTECH AND MEDICAL PRODUCTS (6.7%)
Acuson Corp. + ......................... 400 4,925
Chiron Corp. + ......................... 2,100 95,025
DENTSPLY International, Inc. ........... 500 14,531
Edwards Lifesciences Corporation + ..... 700 10,500
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
BIOTECH AND MEDICAL PRODUCTS (CONTINUED)
Genzyme Corp. + ........................ 1,000 $ 48,813
Gilead Sciences, Inc. + ................ 400 21,675
Incyte Pharmaceuticals, Inc. + ......... 300 23,100
IVAX Corp. + ........................... 1,650 45,169
MedImmune, Inc. + ...................... 1,400 223,912
Millennium Pharmaceuticals, Inc. + ..... 1,100 87,312
MiniMed Inc. + ......................... 600 73,763
Stryker Corp. .......................... 1,100 79,062
Sybron International Corp. + ........... 1,000 31,125
VISX, Inc. + ........................... 700 11,069
--------------
769,981
--------------
COMMERCIAL SERVICES (4.0%)
ACNielsen Corp. + ...................... 700 16,144
Banta Corp. ............................ 300 5,869
CheckFree Holdings Corporation + ....... 500 25,406
Cintas Corp. ........................... 1,800 71,325
Concord EFS, Inc. + .................... 1,950 43,631
Convergys Corp. + ...................... 1,600 70,400
Gartner Group, Inc. + .................. 900 9,731
Herman Miller, Inc. .................... 800 21,900
Kelly Services, Inc. ................... 500 11,781
Manpower, Inc. ......................... 700 24,719
Modis Professional Services + .......... 900 6,806
NCO Group, Inc. + ...................... 300 10,313
NOVA Corp. + ........................... 800 25,300
Ogden Corp. ............................ 500 4,906
Robert Half International, Inc. + ...... 800 48,900
Standard Register Co. .................. 500 6,531
Valassis Communications, Inc. + ........ 1,000 34,062
Viad Corp. ............................. 900 22,838
Wallace Computer Services, Inc. ........ 500 5,469
--------------
466,031
--------------
CONGLOMERATE AND AEROSPACE (1.1%)
Cordant Technologies, Inc. ............. 400 22,650
Lancaster Colony Corp. ................. 700 18,375
Litton Industries, Inc. + .............. 500 21,719
Newport News Shipbuilding, Inc. ........ 400 13,350
Pittston Brink's Group ................. 400 6,550
Titan Corporation (The) + .............. 1,000 42,937
--------------
125,581
--------------
CONSUMER FINANCE (0.9%)
Comdisco, Inc. ......................... 2,500 77,656
Finova Group, Inc. (The) ............... 400 5,125
GATX Corp. ............................. 600 21,450
--------------
104,231
--------------
CONSUMER PRODUCTS (0.2%)
Blyth Industries, Inc. + ............... 600 17,813
Church & Dwight Co., Inc. .............. 400 7,150
--------------
24,963
--------------
</TABLE>
20 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
CONSUMER SERVICES (2.5%)
Apollo Group, Inc. + ................... 300 $ 8,700
Bob Evans Farms, Inc. .................. 200 2,613
Brinker International, Inc. + .......... 1,000 31,875
Buffets, Inc. + ........................ 400 3,925
Devry, Inc. + .......................... 300 7,144
Electronic Arts, Inc. + ................ 800 48,400
Lone Star Steakhouse & Saloon, Inc. + .. 400 4,725
Mandaley Resort Group + ................ 400 7,550
Outback Steakhouse, Inc. + ............. 750 24,562
Papa John's International, Inc. + ...... 400 11,000
Park Place Entertainment Corp. + ....... 5,100 65,344
Sotheby's Holdings, Inc. ............... 1,000 16,562
Starbucks Corp. + ...................... 2,000 60,469
--------------
292,869
--------------
CONSUMER SPECIALTIES (0.3%)
Callaway Golf Co. ...................... 1,100 18,287
International Game Technology + ........ 700 17,063
--------------
35,350
--------------
DATA AND IMAGING SERVICES (11.4%)
Acxiom Corp. + ......................... 400 10,800
Affiliated Computer Services, Inc. + ... 600 19,875
CSG Systems International, Inc. + ...... 600 27,715
DST Systems, Inc. + .................... 600 44,513
Fiserv, Inc. + ......................... 1,300 59,719
GTECH Holdings Corp. + ................. 400 8,300
Informix Corp. + ....................... 3,400 37,400
Intuit Inc. + .......................... 800 28,750
Legato Systems, Inc. + ................. 800 10,350
Macromedia, Inc. + ..................... 500 43,500
Mentor Graphics Corp. + ................ 300 3,938
Network Associates, Inc. + ............. 2,200 55,962
NVIDIA Corp. + ......................... 400 35,650
QLogic Corp. + ......................... 1,500 150,469
Quantum Corp. .......................... 1,700 19,975
Rational Software Corp. + .............. 900 76,612
Reynolds And Reynolds Co. (The) ........ 700 16,625
Siebel Systems, Inc. + ................. 3,900 479,212
Sybase, Inc. + ......................... 1,300 26,244
Symantec Corp. + ....................... 1,200 74,925
Symbol Technologies, Inc. .............. 1,512 84,294
--------------
1,314,828
--------------
DISCRETIONARY RETAIL (4.6%)
Abercrombie & Fitch Co. + .............. 1,100 12,100
American Eagle Outfitters, Inc. + ...... 800 13,600
Barnes & Noble, Inc. + ................. 700 12,950
BJ's Wholesale Club, Inc. + ............ 1,000 35,437
Borders Group, Inc. + .................. 900 14,288
CDW Computer Centers, Inc. + ........... 900 93,600
Dollar Tree Stores, Inc. + ............. 900 52,087
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
DISCRETIONARY RETAIL (CONTINUED)
Family Dollar Stores, Inc. ............. 1,600 $ 30,500
Fastenal Co. ........................... 400 23,375
Land's End, Inc. + ..................... 600 25,387
Neiman Marcus Group, Inc. (The) + ...... 1,000 25,750
Officemax, Inc. + ...................... 1,300 7,313
Payless ShoeSource, Inc. + ............. 400 22,050
Ross Stores, Inc. ...................... 1,800 37,350
Tiffany & Co. .......................... 1,400 101,762
Williams-Sonoma, Inc. + ................ 500 17,313
--------------
524,862
--------------
DRUGS (0.5%)
Carter-Wallace, Inc. ................... 500 11,125
Forest Laboratories, Inc. + ............ 400 33,625
ICN Pharmaceuticals, Inc. .............. 400 10,075
Perrigo Co. + .......................... 800 4,550
--------------
59,375
--------------
ELECTRIC UTILITIES (7.6%)
Allegheny Energy, Inc. ................. 1,000 30,375
Alliant Energy Corp. ................... 900 27,000
American Water Works Co., Inc. ......... 1,000 22,687
Black Hills Corp. ...................... 150 3,441
Calpine Corp. + ........................ 1,300 118,950
Cleco Corp. ............................ 200 6,888
CMP Group Inc. ......................... 400 11,575
Conectiv, Inc. ......................... 950 16,863
DPL Inc. ............................... 1,600 37,200
DQE, Inc. .............................. 900 34,425
Dynegy Inc. ............................ 2,300 150,506
Energy East Corp. ...................... 1,100 22,962
Hawaiian Electric Industries, Inc. ..... 200 7,400
Idacorp Inc. ........................... 500 18,438
IPALCO Enterprises, Inc. .............. 1,000 20,437
Kansas City Power & Light Co. .......... 700 17,981
LG&E Energy Corp. ...................... 600 13,988
Minnesota Power, Inc. .................. 700 12,906
Montana Power Co. ...................... 500 22,031
NiSource Inc. .......................... 1,500 27,750
Northeast Utilities Corp. + ............ 1,300 27,950
NSTAR Corp.............................. 600 26,437
OGE Energy Corp. ....................... 700 13,869
Ohio Casualty Corp. .................... 700 11,638
Potomac Electric Power Co. ............. 1,200 28,125
Public Service Co. of New Mexico ....... 600 10,800
Puget Sound Energy, Inc. ............... 1,000 23,750
Scana Corp. ............................ 1,000 25,875
Sierra Pacific Resources Corp. ......... 700 10,588
Teco Energy, Inc. ...................... 1,100 24,062
UtiliCorp United Inc. .................. 1,100 21,175
Wisconsin Energy Corp. ................. 1,100 23,512
--------------
871,584
--------------
</TABLE>
See Notes to Portfolio of Investments. 21
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
ELECTRICAL MACHINERY AND INSTRUMENTS (2.9%)
Beckman Coulter Inc. ................... 300 $ 19,444
Diebold, Inc. .......................... 500 14,437
Harris Corp. ........................... 800 25,850
Hon Industries, Inc. ................... 800 19,950
Polycom, Inc. + ........................ 600 47,475
SCI Systems, Inc. + .................... 2,200 117,150
Sensormatic Electronics Corp. + ........ 900 15,019
Waters Corp. + ......................... 800 75,800
--------------
335,125
--------------
ELECTRONIC MEDIA (2.3%)
Chris-Craft Industries, Inc. + ......... 309 18,984
Hispanic Broadcasting Corp. + .......... 600 60,638
International Speedway Corp. ........... 500 21,500
Univision Communications, Inc. + ....... 1,200 131,100
Westwood One, Inc. + ................... 1,000 35,375
--------------
267,597
--------------
FOOD AND BEVERAGE (1.6%)
Dean Foods Co. ......................... 500 12,250
Dole Food Co., Inc. .................... 600 10,538
Dreyer's Grand Ice Cream, Inc. ......... 500 12,000
Hormel Foods Corp. ..................... 2,000 30,500
IBP, Inc. .............................. 1,800 29,700
Interstate Bakeries Corp. .............. 700 8,925
Lance, Inc. ............................ 200 2,125
McCormick & Co., Inc. .................. 1,000 31,187
Suiza Foods Corp. + .................... 400 15,575
The J.M. Smucker Co. ................... 300 4,800
Universal Foods Corp. .................. 600 9,863
Whitman Corp. .......................... 1,500 17,156
--------------
184,619
--------------
FOOD AND DRUG RETAIL (0.4%)
Express Scripts, Inc. + ................ 400 14,300
Hannaford Bros. Co. .................... 400 28,950
Ruddick Corp. .......................... 300 3,431
--------------
46,681
--------------
FOREST PRODUCTS AND BUILDING MATERIALS (2.4%)
American Standard Companies, Inc. + .... 1,000 41,000
Bowater, Inc. .......................... 700 38,500
Chesapeake Corp. ....................... 100 3,125
Consolidated Papers, Inc. .............. 900 34,087
Georgia-Pacific Corp. .................. 800 18,550
Glatfelter (P.H.) Co. .................. 500 5,375
Longview Fibre Company ................. 700 8,925
Martin Marietta Materials, Inc. ........ 500 26,500
Rayoner, Inc. .......................... 500 23,469
Sonoco Products Co. .................... 770 16,074
Southdown, Inc. ........................ 400 23,250
USG Corp. .............................. 700 29,225
Wausau-Mosinee Paper Corp. ............. 200 2,425
--------------
270,505
--------------
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
GAS UTILITIES (1.6%)
AGL Resources, Inc. .................... 600 $ 10,500
KeySpan Energy Corp. ................... 2,200 64,625
Kinder Morgan Inc. ..................... 1,100 33,344
MCN Energy Group, Inc. ................. 900 22,444
National Fuel Gas Co. .................. 500 23,719
Questar Corp. .......................... 600 11,287
Vectren Corp. .......................... 300 6,038
Washington Gas Light Co. ............... 500 12,812
--------------
184,769
--------------
HEALTH SERVICES (1.3%)
Apria Healthcare Group, Inc. + ......... 1,000 13,938
First Health Group Corp. + ............. 1,000 30,437
Foundation Health Systems, Inc. + ...... 1,400 14,087
Health Management Associates, Inc. + ... 1,100 17,531
Lincare Holdings Inc. + ................ 500 15,250
Oxford Health Plans, Inc. + ............ 1,000 19,000
PacifiCare Health Systems, Inc. + ...... 500 25,719
Trigon Healthcare, Inc. + .............. 500 17,969
--------------
153,931
--------------
HOUSING AND FURNISHINGS (0.5%)
Furniture Brands International, Inc. + 800 14,950
Mohawk Industries, Inc. + .............. 800 19,850
Shaw Industries, Inc. + ................ 1,300 20,556
--------------
55,356
--------------
INDUSTRIAL SERVICES (0.1%)
Granite Construction, Inc. ............. 450 10,688
Jacobs Engineering Group, Inc. + ....... 100 3,131
--------------
13,819
--------------
INSURANCE (2.0%)
Allmerica Financial Corp. .............. 800 43,300
AMBAC, Inc. ............................ 700 33,600
Everest Re Group, Ltd. ................. 500 14,625
Horace Mann Educators Corp. ............ 500 7,281
HSB Group, Inc. ........................ 200 5,800
Old Republic International Corp. ....... 50 713
PMI Group, Inc. (The) .................. 900 43,594
Protective Life Corp. .................. 700 16,669
ReliaStar Financial Corp. .............. 900 38,756
Unitrin, Inc. .......................... 600 20,250
--------------
224,588
--------------
INVESTMENT SERVICES (1.0%)
E*Trade Group, Inc. + ................. 1,300 27,950
Edwards (A.G.), Inc. ................... 900 33,863
Investment Technology Group, Inc. + .... 400 15,000
Legg Mason, Inc. ....................... 1,000 37,812
--------------
114,625
--------------
MISCELLANEOUS METALS (0.2%)
Minerals Technologies Inc. ............. 400 18,500
--------------
OIL (2.7%)
Devon Energy Corp. ..................... 1,300 62,644
</TABLE>
22 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
OIL (CONTINUED)
Lyondell Petrochemical Co. ............. 1,300 $ 23,887
Murphy Oil Corp. ....................... 800 47,200
Noble Affiliates, Inc. ................. 700 25,244
Ocean Energy, Inc. + ................... 2,900 37,519
Pioneer Natural Resources Company + .... 1,000 10,312
Santa Fe Snyder Corp. + ................ 3,100 28,481
Ultramar Diamond Shamrock Corp. ........ 1,800 44,550
Valero Energy Corp. .................... 1,200 34,800
--------------
314,637
--------------
OIL SERVICES (4.7%)
BJ Services Co. + ...................... 1,500 105,375
Ensco International, Inc. .............. 2,300 76,331
Global Marine Inc. + ................... 2,400 57,600
Helmerich & Payne, Inc. ................ 700 21,919
Nabors Industries, Inc. + .............. 1,600 63,100
Noble Drilling Corp. + ................. 2,200 87,862
Smith International, Inc. + ............ 700 53,200
Tidewater, Inc. ........................ 700 20,825
Varco International, Inc. + ........... 900 11,250
Weatherford International, Inc. ........ 1,200 48,750
--------------
546,212
--------------
OTHER TELECOMMUNICATIONS (0.7%)
COMSAT Corp. ........................... 500 12,219
Telephone & Data Systems, Inc. ......... 700 71,400
--------------
83,619
--------------
PRINT MEDIA (1.7%)
Belo Corp. ............................. 1,300 21,694
Harte-Hanks, Inc. ...................... 400 9,900
Houghton Mifflin Co. ................... 400 16,625
Lee Enterprises, Inc. .................. 400 9,075
Media General, Inc. + .................. 100 4,919
Reader's Digest Association, Inc. (The) 1,000 32,000
Scholastic Corp. + ..................... 200 9,337
Sungard Data Systems, Inc. + ........... 1,300 44,931
Washington Post Co. .................... 100 48,800
--------------
197,281
--------------
PRODUCER GOODS (4.0%)
Albany International Corp. + ........... 314 4,769
American Power Conversion Corp. + ...... 2,900 102,406
AMETEK, Inc. ........................... 300 6,169
Donaldson Co., Inc. .................... 500 11,625
Energizer Holdings, Inc. + ............. 1,100 18,769
Federal Signal Corp. ................... 100 2,031
Ferro Corp. ............................ 400 9,150
Flowserve Corp. ........................ 500 7,063
Fuller (H.B.) Co. ...................... 200 7,688
Grant Prideco, Inc. + .................. 1,200 23,100
Hanover Compressor Co. + ............... 300 17,475
Harsco Corp. ........................... 400 11,875
Hubbell, Inc. + ........................ 600 15,637
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
PRODUCER GOODS (CONTINUED)
Imation Corp. + ........................ 800 $ 22,450
Kaydon Corp. ........................... 200 4,675
Kennametal, Inc. ....................... 300 8,625
Mark IV Industries, Inc. ............... 600 12,712
Nordson Corp. .......................... 300 13,406
Pentair, Inc. .......................... 500 19,125
Precision Castparts Corp. .............. 300 12,525
RPM, Inc. .............................. 900 9,113
SPX Corp. + ............................ 600 65,925
Tecumseh Products Co. .................. 400 18,575
Teleflex, Inc. ......................... 400 13,825
Trinity Industries, Inc. ............... 400 8,900
UCAR International, Inc. + ............. 200 2,638
York International Corp. ............... 500 12,062
--------------
462,313
--------------
SEMICONDUCTORS AND ELECTRONICS (17.8%)
ADTRAN, Inc. + ......................... 700 47,294
ANTEC Corporation + .................... 400 21,500
Arrow Electronics, Inc. + .............. 1,900 83,244
Atmel Corp. + .......................... 5,000 244,687
Avnet, Inc. ............................ 400 31,450
Cirrus Logic, Inc. + ................... 900 14,738
Cypress Semiconductor Corp. + .......... 2,100 109,069
Integrated Electric Services Inc. + .... 1,800 86,512
Jabil Circuit, Inc. + .................. 2,100 85,969
L-3 Communications Holdings, Inc. + .... 300 15,975
Maxim Integrated Products, Inc. + ...... 5,700 369,431
Micrel, Inc. + ......................... 500 43,250
Microchip Technology, Inc. + ........... 1,550 96,197
Novellus Systems, Inc. + ............... 2,100 140,044
Powerwave Technologies, Inc. + ......... 200 41,612
Sanmina Corp. + ........................ 1,500 90,094
Sawtek, Inc. + ......................... 700 33,469
Synopsys, Inc. + ....................... 700 29,400
Tech Data Corp. + ...................... 900 37,744
Transwitch Corp. + ..................... 700 61,644
TriQuint Semiconductor, Inc. + ......... 600 61,687
Vishay Intertechnology, Inc. + ......... 1,700 142,587
Vitesse Semiconductor Corp. + .......... 2,500 170,156
--------------
2,057,753
--------------
SPECIALTY CHEMICALS (1.5%)
Airgas, Inc. + ......................... 800 4,700
Albemarle Corp. ........................ 500 10,469
Cabot Corp. ............................ 500 13,500
CK Witco Corp. ......................... 1,346 15,815
Cytec Industries Inc. + ................ 600 18,075
Dexter Corp. ........................... 200 10,975
Georgia Gulf Corp. ..................... 400 9,625
Hanna (M.A.) Co. ....................... 600 6,900
IMC Global, Inc. ....................... 1,000 15,438
</TABLE>
See Notes to Portfolio of Investments. 23
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS MID CAP (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------- ---------------
<S> <C> <C>
SPECIALTY CHEMICALS (CONTINUED)
Lubrizol Corp. (The) ................... 1,100 $ 28,187
Olin Corp. ............................. 700 12,425
Schulman (A.), Inc. .................... 400 5,150
Solutia, Inc. .......................... 1,100 14,988
Wellman, Inc. .......................... 400 8,550
--------------
174,797
--------------
STEEL (0.1%)
Carpenter Technology Corp. ............. 300 6,019
Ryerson Tull Inc. ...................... 300 3,712
--------------
9,731
--------------
SURFACE TRANSPORT (0.3%)
Alexander & Baldwin, Inc. .............. 500 10,500
Arnold Industries, Inc. ................ 200 2,338
Overseas Shipholding Group, Inc. ....... 400 10,475
Swift Transportation Co., Inc. + ....... 300 6,019
Wisconsin Central Transportation Co. + . 600 8,737
--------------
38,069
--------------
TEXTILES AND APPAREL (0.4%)
Jones Apparel Group, Inc. + ............ 1,250 37,109
Westpoint Stevens, Inc. + .............. 700 13,125
--------------
50,234
--------------
TOBACCO (0.3%)
R.J. Reynolds Tobacco Holdings, Inc. ... 1,400 29,050
Universal Corp. ........................ 300 5,663
--------------
34,713
--------------
TOTAL COMMON STOCKS (COST $9,467,442) 11,074,802
--------------
PRINCIPAL
AMOUNT
------------
SHORT-TERM INVESTMENTS (6.4%)
Federal Farm Credit Bank,5.88%,05/01/00 $736,000 736,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(COST $736,000) 736,000
--------------
TOTAL INVESTMENTS (COST $10,203,442)(a) 11,810,802
OTHER ASSETS LESS LIABILITIES (272,909)
--------------
TOTAL NET ASSETS $11,537,893
==============
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$10,594,408. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains........................ $ 2,223,570
Unrealized losses....................... (1,007,176)
--------------
Net unrealized gain.................... $ 1,216,394
==============
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
24 See Notes to Financial Statements.
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
COMMON STOCKS (96.7%)
AIR TRANSPORT (1.0%)
Circle International Group, Inc. ......... 300 $ 7,969
EGL, Inc. + .............................. 300 6,881
Expeditors International of Washington,
Inc...................................... 1,000 42,750
Fritz Companies, Inc. + .................. 700 6,738
Mesa Air Group, Inc. + ................... 300 1,950
SkyWest, Inc. ............................ 500 21,062
-------------
87,350
-------------
AUTO PARTS AND HARDWARE (0.7%)
Audiovox Corp. + ......................... 700 24,019
Barnes Group, Inc. ....................... 400 6,775
CLARCOR, Inc. ............................ 600 10,800
Standard Motor Products, Inc. ............ 200 2,238
TBC Corp. + .............................. 500 2,750
Toro Co. ................................. 300 9,225
WD-40 Co. ................................ 200 3,987
Wynn's International, Inc. ............... 300 4,162
-------------
63,956
-------------
AUTOMOTIVE (0.8%)
Gentex Corp. + ........................... 1,400 45,150
Mascotech Inc. ........................... 900 10,406
Monaco Coach Corp. + ..................... 500 8,188
Simpson Industries, Inc. ................. 400 4,125
-------------
67,869
-------------
BANKS AND THRIFTS (4.6%)
Anchor Bancorp Wisconsin, Inc. ........... 200 3,150
Banknorth Group, Inc. .................... 500 11,938
Centura Banks, Inc. ...................... 400 16,536
Chittenden Corp. ......................... 600 15,937
Commerce Bancorp, Inc. ................... 605 24,011
Commercial Federal Corp. ................. 500 7,781
Community First Bankshares, Inc. ......... 900 15,188
Cullen/Frost Bankers, Inc. ............... 1,000 24,687
Downey Financial Corp. ................... 735 21,958
First Bancorp ............................ 600 10,613
First Midwest Bancorp, Inc. .............. 800 19,900
Hudson United Bancorp .................... 948 21,389
MAF Bancorp, Inc. ........................ 500 9,375
Provident Bankshares Corp. ............... 551 8,234
Queens County Bancorp, Inc. .............. 450 9,141
Silicon Valley Bancshares + .............. 700 43,225
Southwest Bancorporation of Texas, Inc. + 600 11,738
Staten Island Bancorp, Inc. .............. 800 13,750
Susquehanna Bancshares, Inc. ............. 700 9,669
TrustCo Bank Corp. NY .................... 1,020 12,176
U.S. Trust Corp. + ....................... 400 61,550
United Bankshares, Inc. .................. 400 8,725
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
BANKS AND THRIFTS (CONTINUED)
Whitney Holdings Corp. ................... 500 $ 17,437
-------------
398,108
-------------
BIOTECH AND MEDICAL PRODUCTS (7.9%)
ADAC Laboratories + ...................... 400 6,000
Advanced Tissue Sciences, Inc. + ......... 1,000 5,750
Alpharma, Inc. ........................... 600 23,175
Barr Laboratories, Inc. + ................ 500 21,594
Bio-Technology General Corp. + ........... 1,300 18,281
Biomatrix, Inc. + ........................ 400 7,625
Cephalon, Inc. + ......................... 1,100 61,875
CONMED Corp. + ........................... 300 7,837
Cooper Companies, Inc. ................... 400 13,450
COR Therapeutics, Inc. + ................. 500 38,094
Curative Health Services, Inc. + ......... 300 1,791
Cygnus, Inc. + ........................... 500 6,250
Datascope Corp. + ........................ 500 16,562
Diagnostic Products Corp. ................ 300 9,206
Enzo Biochem, Inc. + ..................... 800 32,400
Hanger Orthopedic Group, Inc. + .......... 400 2,000
Hologic, Inc. + .......................... 300 2,344
IDEC Pharmaceuticals Corp. + ............. 1,100 70,400
IDEXX Laboratories, Inc. + ............... 700 18,375
Immune Response Corporation (The) + ...... 500 4,188
Invacare Corp. ........................... 600 16,050
Liposome Co., Inc. + ..................... 800 14,000
Mentor Corp. ............................. 800 14,150
Noven Pharmaceuticals, Inc. + ............ 600 7,050
Organogenesis Inc. + ..................... 600 6,863
Osteotech, Inc. + ........................ 300 2,138
Protein Design Labs, Inc. + .............. 600 60,900
Regeneron Pharmaceuticals + .............. 900 25,706
ResMed Inc. + ............................ 900 30,600
Respironics, Inc. + ...................... 600 9,750
Spacelabs Medical, Inc. + ................ 200 2,375
Summit Technology, Inc. + ................ 400 3,550
Sunrise Medical Inc. + ................... 500 2,625
Techne Corporation + ..................... 700 49,787
Vertex Pharmaceutical, Inc. + ............ 900 47,025
Vital Signs, Inc. ........................ 300 6,000
Wesley Jessen VisionCare, Inc. + ......... 400 15,750
-------------
681,516
-------------
COMMERCIAL SERVICES (3.6%)
ABM Industries, Inc. ..................... 400 10,100
ADVO, Inc. + ............................. 700 21,000
Angelica Corp. ........................... 200 1,325
Bowne & Co., Inc. ........................ 700 8,050
Catalina Marketing Corp. + ............... 400 40,500
CDI Corp. + .............................. 300 6,750
Consolidated Graphics, Inc. + ............ 300 3,544
Copart, Inc. + ........................... 1,100 18,975
</TABLE>
See Notes to Portfolio of Investments. 25
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
COMMERCIAL SERVICES (CONTINUED)
Cyrk International, Inc. + ............... 300 $ 2,644
Dendrite International, Inc. + ........... 800 18,300
Fair Isaac & Co., Inc. ................... 300 12,694
Franklin Covey Co. + ..................... 300 2,738
G&K Services, Inc. ...................... 200 4,900
HA-LO Industries, Inc. + ................. 900 6,581
Harland (John H.) Co. .................... 600 9,225
Insurance Auto Autions, Inc. + ........... 300 4,987
Interim Services, Inc. + ................. 1,200 20,550
Maximus, Inc. + .......................... 400 9,425
Profit Recovery Group International, Inc.
(The) + ................................. 400 7,025
Snyder Communications, Inc. + ............ 1,400 33,250
Staffmark, Inc. + ........................ 600 3,937
StarTek, Inc. + .......................... 300 15,412
True North Communications, Inc. .......... 900 37,069
Volt Information Sciences, Inc. + ........ 300 10,369
-------------
309,350
-------------
COMPUTERS (0.1%)
RadiSys Corporation + .................... 300 12,413
-------------
CONGLOMERATE AND AEROSPACE (1.2%)
AAR Corp. ................................ 600 9,037
Alliant Techsystems, Inc. + .............. 200 13,925
Anixter International, Inc. + ............ 800 26,950
BE Aerospace, Inc. + ..................... 600 4,425
GenCorp, Inc. ............................ 1,200 12,075
Kaman Corp. .............................. 500 5,313
Kroll O' Gara Co. (The) + ................ 400 3,075
Orbital Sciences Corp. + ................. 300 3,788
Teledyne Technologies Incorporated + ..... 500 8,750
Tenneco Automotive Inc. .................. 700 6,212
Triarc Co., Inc. + ....................... 500 10,312
-------------
103,862
-------------
CONSUMER FINANCE (0.5%)
Aaron Rents, Inc. ........................ 400 5,800
Americredit Corp. + ...................... 1,500 28,031
Rollins Truck Leasing Corp. .............. 900 8,944
-------------
42,775
-------------
CONSUMER SERVICES (2.5%)
Anchor Gaming + .......................... 300 12,075
Applebee's International, Inc. ........... 900 32,794
Aztar Corp. + ............................ 1,200 14,325
CEC Entertainment, Inc. + ................ 550 16,500
Cheesecake Factory, Inc. (The) + ......... 400 16,375
Consolidated Products, Inc. + ............ 250 2,281
GC Companies, Inc. + ..................... 100 3,250
IHOP Corp. + ............................. 400 6,500
Jack in the Box Inc. + ................... 800 19,600
Landry's Seafood Restaurants, Inc. + ..... 500 4,313
Marcus Corp. ............................. 300 3,206
Panera Bread Co. + ....................... 200 1,613
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
CONSUMER SERVICES (CONTINUED)
Pinnacle Entertainment, Inc. + ........... 500 $ 10,031
Pre-Paid Legal Services, Inc. + .......... 400 12,800
Prime Hospitality Corp. + ................ 900 8,325
Ruby Tuesday, Inc. ....................... 600 12,562
Ryan's Family Steak Houses, Inc. + ....... 800 7,825
Scotts Co. (The) + ....................... 500 18,062
Sonic Corp. + ............................ 450 12,516
-------------
214,953
-------------
CONSUMER SPECIALTIES (1.1%)
Arctic Cat, Inc. ......................... 600 6,037
Coachmen Industries, Inc. ................ 200 3,088
Fossil, Inc. + ........................... 800 16,600
JAKKS Pacific, Inc. + .................... 400 7,350
K2 Inc. + ................................ 300 2,138
Midway Games, Inc. + ..................... 800 5,300
Polaris Industries, Inc. ................. 500 15,312
Russ Berrie & Co., Inc. .................. 400 7,450
Sola International, Inc. + ............... 200 900
Sturm, Ruger & Co., Inc. ................. 600 6,000
Thor Industries, Inc. .................... 300 8,081
THQ, Inc. + .............................. 350 5,425
Winnebago Industries, Inc. ............... 600 10,200
-------------
93,881
-------------
DATA AND IMAGING SERVICES (13.2%)
American Management Systems, Inc. + ...... 800 29,600
Analysts International Corp. ............. 400 4,450
Apex Inc. + .............................. 700 20,694
Aspen Technology, Inc. + ................. 700 24,762
Auspex Systems, Inc. + ................... 500 3,813
Avid Technology, Inc. + .................. 400 5,500
BISYS Group, Inc. (The) + ............... 500 31,281
Black Box Corp. + ........................ 500 38,469
Ciber, Inc. + ............................ 1,200 21,675
Computer Task Group, Inc. ................ 400 3,400
DBT Online, Inc. + ....................... 400 7,875
Digi International, Inc. + ............... 200 1,088
eLoyalty Corporation + ................... 800 13,150
Epicor Software Corporation + ............ 700 2,800
Exabyte Corporation + .................... 400 1,900
F.Y.I. Incorporated + .................... 400 10,725
FileNET Corp. + .......................... 1,100 32,312
Gerber Scientific, Inc. .................. 200 2,775
Great Plains Software, Inc. + ............ 300 12,694
Harbinger Corp. + ........................ 1,000 18,875
Henry (Jack) & Associates, Inc. .......... 800 31,600
HNC Software Inc. + ...................... 400 19,800
Hyperion Solutions Corp. + ............... 800 24,262
InterVoice, Inc. + ....................... 900 14,344
Itron, Inc. + ............................ 300 1,725
Kronos, Inc. + ........................... 250 8,031
</TABLE>
26 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
DATA AND IMAGING SERVICES (CONTINUED)
MarchFirst, Inc. + ....................... 2,800 $ 59,675
Mercury Computer Systems, Inc. + ......... 600 23,063
Mercury Interactive Corp. + .............. 2,600 234,000
National Computer Systems, Inc. .......... 1,100 56,581
National Data Corp. ...................... 600 16,650
National Instruments Corp. + ............. 1,300 63,375
Network Equipment Technology Inc. + ...... 200 1,650
Pinnacle Systems, Inc. + ................. 1,000 24,000
Progress Software Corp. + ................ 900 18,000
Project Software & Development, Inc. + .. 700 21,350
Proxim, Inc. + ........................... 400 30,775
QRS Corp. + .............................. 300 9,900
Remedy Corp. + ........................... 1,000 53,125
SAGA SYSTEMS, Inc. + ..................... 700 13,038
SEI Investments Co. ...................... 400 47,750
Standard Microsystems Corporation + ...... 400 5,200
Verity, Inc. + ........................... 1,000 32,437
X-Rite, Inc. ............................. 500 5,719
Xircom, Inc. + ........................... 600 23,662
Zixit Corp. + ............................ 300 11,081
-------------
1,138,631
-------------
DISCRETIONARY RETAIL (3.3%)
99 Cents Only Stores + ................... 666 25,058
Ames Department Stores, Inc. + ........... 300 5,381
Bombay Company, Inc. + ................... 300 1,088
Books-A-Million, Inc. + .................. 200 813
Building Materials Holding Corp. + ....... 300 3,000
Cash America International, Inc. ......... 200 1,800
Cato Corp. (The) ......................... 600 6,338
Cost Plus, Inc. + ........................ 400 12,225
CPI Corp. ................................ 200 4,775
Damark International, Inc. + ............. 200 5,200
Dress Barn, Inc. + ....................... 400 7,850
Footstar, Inc. + ......................... 200 7,437
Goody's Family Clothing, Inc. + .......... 300 1,950
Gottschalks Inc. + ....................... 300 1,781
Group 1 Automotive, Inc. + ............... 400 4,750
Hancock Fabrics, Inc. .................... 300 1,181
Insight Enterprises, Inc. + .............. 550 22,997
J. Baker, Inc. ........................... 400 2,600
Jo-Ann Stores, Inc. + .................... 400 3,725
Lillian Vernon Corp. ..................... 100 950
Linens 'n Things, Inc. + ................. 400 12,350
Men's Wearhouse, Inc. + .................. 750 16,078
Michaels Stores, Inc. + .................. 600 23,662
Midas, Inc. .............................. 100 2,531
New England Business Service, Inc. ....... 300 4,950
O'Reilly Automotive, Inc. + .............. 400 5,400
Pacific Sunwear of California, Inc. + .... 650 22,141
Pier 1 Imports, Inc. ..................... 1,900 21,612
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
DISCRETIONARY RETAIL (CONTINUED)
Regis Corp. .............................. 800 $ 9,350
Shopko Stores, Inc. + .................... 600 10,725
The Pep Boys - Manny, Moe & Jack ......... 1,000 6,313
Zale Corp. + ............................. 700 28,875
-------------
284,886
-------------
DRUGS (1.4%)
Alliance Pharmaceutical Corp. + .......... 900 7,144
Dura Pharmaceuticals, Inc. + ............. 900 11,700
Jones Medical Industries, Inc. ........... 2,225 64,108
Medicis Pharmaceutical Corp. + ........... 700 30,625
North American Vaccine, Inc. + .......... 500 1,875
Theragenics Corp. + ...................... 600 5,962
-------------
121,414
-------------
ELECTRIC UTILITIES (1.1%)
American States Water Co. ................ 200 6,025
Bangor Hydro-Electric Co. ................ 200 3,300
Central Vermont Public Service Corp. ..... 300 3,263
CH Energy Group, Inc. .................... 400 13,175
Green Mountain Power Corp. ............... 200 1,500
Northwestern Corp. ....................... 500 11,500
Philadelphia Suburban Water Corp. ........ 786 18,864
United Illuminating Co. .................. 300 13,800
United Water Resources, Inc. ............. 700 24,325
-------------
95,752
-------------
ELECTRICAL MACHINERY AND INSTRUMENTS (2.9%)
Analogic Corp. ........................... 300 12,206
Checkpoint Systems, Inc. + ............... 500 4,469
Coherent, Inc. + ......................... 800 46,250
Dionex Corp. + ........................... 400 14,550
Micros Systems, Inc. + ................... 400 16,100
Nashua Corp. + ........................... 100 800
RSA Security Inc. + ...................... 1,000 58,687
Technitrol, Inc. ......................... 500 34,000
Trimble Navigation Ltd. + ................ 600 16,575
Varian Medical Systems, Inc. + ........... 1,100 44,000
-------------
247,637
-------------
FOOD AND BEVERAGE (1.8%)
Agribrands International, Ltd + .......... 200 7,487
American Italian Pasta Co. + ............. 300 7,425
Beringer Wine Estates Holdings, Inc. + ... 400 14,450
Canandiagua Brands, Inc. + ............... 400 20,150
Coca-Cola Bottling Co. ................... 200 10,200
Corn Products International, Inc. ........ 300 7,200
Delta & Pine Land Co. .................... 700 14,700
Hain Food Group, Inc. (The) + ............ 500 13,406
J&J Snack Foods Corp. + .................. 200 3,188
Michael Foods, Inc. ...................... 400 8,575
Natures Sunshine Products, Inc. .......... 300 2,550
NBTY, Inc. + ............................. 2,200 39,050
</TABLE>
See Notes to Portfolio of Investments. 27
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
FOOD AND BEVERAGE (CONTINUED)
Ralcorp Holdings, Inc. + ................. 300 $ 4,144
-------------
152,525
-------------
FOOD AND DRUG RETAIL (0.6%)
Casey's General Stores, Inc. ............. 400 4,675
Fleming Companies, Inc. .................. 800 13,150
Nash-Finch Co. ........................... 200 1,475
Performance Food Group Company + ......... 300 7,913
Whole Foods Market, Inc. + ............... 500 21,281
-------------
48,494
-------------
FOREST PRODUCTS AND BUILDING MATERIALS (1.3%)
AptarGroup, Inc. ......................... 700 19,950
Deltic Timber Corporation ................ 100 2,200
Elcor Corp. .............................. 400 12,725
Florida Rock Industries, Inc. ............ 400 12,950
Lennox International Inc. ................ 1,202 10,142
Myers Industries, Inc. ................... 470 6,580
Pope & Talbot, Inc. ...................... 500 10,594
Simpson Manufacturing Co., Inc. + ........ 300 13,575
Texas Industries, Inc. ................... 500 16,312
Universal Forest Products, Inc. .......... 400 5,400
Watsco, Inc. ............................. 50 644
-------------
111,072
-------------
GAS UTILITIES (0.9%)
Cascade Natural Gas Corp. ................ 300 4,838
Energen Corp. ............................ 600 10,987
Laclede Gas Co. .......................... 200 3,925
New Jersey Resources Corp. ............... 400 16,100
Northwest Natural Gas Co. ................ 500 11,000
Piedmont Natural Gas, Inc. ............... 600 16,950
Southwest Gas Corp. ...................... 300 5,719
Southwestern Energy Co. .................. 500 4,250
-------------
73,769
-------------
HEALTH SERVICES (2.5%)
Advance Paradigm, Inc. + ................. 400 5,000
Bindley Western Industries, Inc. ......... 633 11,038
Cerner Corp. + ........................... 700 15,444
Coventry Health Care, Inc. + ............. 1,200 12,750
Laser Vision Centers, Inc. + ............. 200 813
Magellan Health Services, Inc. + ......... 800 3,000
MedQuist, Inc. + ......................... 600 21,262
Orthodontic Centers of America, Inc. + ... 900 19,069
Owens & Minor, Inc. ...................... 600 7,200
Patterson Dental Co. + ................... 700 33,687
Pharmaceutical Product Development, Inc. + 200 3,362
Priority Healthcare Corp. + .............. 569 31,508
Renal Care Group, Inc. + ................. 50 1,116
Sierra Health Services, Inc. + ........... 200 713
Syncor International Corp. + ............. 300 12,375
U.S. Oncology, Inc. + .................... 700 2,406
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
HEALTH SERVICES (CONTINUED)
Universal Health Services, Inc. + ........ 600 $ 32,850
-------------
213,593
-------------
HEAVY MACHINERY (0.6%)
Astec Industries, Inc. + ................. 400 10,050
Gardner Denver Machinery, Inc. + ......... 300 5,231
JLG Industries, Inc. ..................... 800 7,600
Lindsay Manufacturing Co. ................ 300 5,363
Manitowoc Co., Inc. (The) ................ 550 18,253
Wabash National Corp. .................... 500 7,281
-------------
53,778
-------------
HOUSING AND FURNISHINGS (2.2%)
Champion Enterprises, Inc. + ............. 300 2,119
D.R. Horton, Inc. ........................ 1,575 20,377
Dixie Group, Inc. + ...................... 100 413
Enesco Group, Inc. ....................... 200 900
Ethan Allen Interiors, Inc. .............. 750 20,016
Fedders Corp. ............................ 700 4,112
Fleetwood Enterprises, Inc. .............. 300 4,387
Harman International Industries .......... 400 26,150
Interface, Inc. .......................... 500 1,813
La-Z-Boy, Inc. ........................... 1,200 18,825
Libbey Inc. .............................. 300 9,150
MDC Holdings, Inc. ....................... 600 11,437
National Presto Industries, Inc. ......... 100 3,450
Royal Appliance Mfg. Co. + ............... 300 1,538
Ryland Group, Inc. ....................... 300 6,037
Salton, Inc. + ........................... 400 17,175
Skyline Corp. ............................ 200 4,075
Standard Pacific Corp. ................... 600 6,037
Toll Brothers, Inc. + .................... 700 15,181
U.S. Home Corp. + ........................ 300 10,744
Windmere-Durable Holdings, Inc. + ........ 500 8,031
-------------
191,967
-------------
INDUSTRIAL SERVICES (1.5%)
Butler Manufacturing Co. ................. 200 4,713
Dycom Industries, Inc. + ................. 1,025 53,300
Foster Wheeler Corp. ..................... 700 6,431
Insituform Technologies, Inc. + .......... 900 30,206
Morrison Knudsen Corp. + ................. 1,000 9,188
Tetra Technologies Inc. + ................ 100 1,425
Tetra Technologies Inc. + ................ 950 22,384
URS Corp. + .............................. 300 3,825
-------------
131,472
-------------
INSURANCE (2.4%)
ChoicePoint Inc. + ....................... 600 22,800
Delphi Financial Group, Inc. + ........... 448 12,908
E.W. Blanch Holdings, Inc. ............... 200 4,450
Fidelity National Financial, Inc. ........ 1,300 19,175
First American Financial Corp. ........... 1,200 18,525
Gallagher (Arthur J.) & Co. .............. 800 29,800
</TABLE>
28 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
INSURANCE (CONTINUED)
Hilb, Rogal and Hamilton Co. ............. 300 $ 8,494
Hooper Holmes, Inc. ...................... 2,200 38,225
Radian Group Inc. ........................ 700 35,656
RLI Corp. ................................ 200 6,425
SCPIE Holdings Inc. ...................... 200 5,912
Selective Insurance Group, Inc. .......... 200 3,788
-------------
206,158
-------------
INVESTMENT SERVICES (1.6%)
Dain Rauscher Corp. ...................... 300 18,581
Eaton Vance Corp. ........................ 900 38,081
Investors Financial Services Corp. ....... 300 24,487
Jefferies Group, Inc. .................... 500 11,031
Morgan Keegan, Inc. ...................... 600 9,563
National Discount Brokers Group, Inc. + .. 300 8,756
Pioneer Group, Inc. + .................... 500 14,000
Raymond James Financial, Inc. ............ 900 18,113
-------------
142,612
-------------
MAJOR TELECOMMUNICATIONS (0.5%)
Aspect Communications Corporation + ...... 1,300 46,150
-------------
MISCELLANEOUS METALS (0.5%)
Amcol International Corp. ................ 500 8,187
Brush Wellman, Inc. ...................... 400 7,400
IMCO Recycling, Inc. ..................... 300 3,094
Stillwater Mining Co. + .................. 800 22,400
-------------
41,081
-------------
OIL (2.5%)
Barrett Resources Corp. + ................ 600 19,050
Cabot Oil & Gas Corp. .................... 500 9,281
Cross Timbers Oil Co. .................... 1,300 18,769
HS Resources, Inc. + ..................... 400 9,675
Louis Dreyfus Natural Gas Corp. + ........ 800 22,400
Newfield Exploration Co. + ............... 1,000 40,625
Plains Resources Inc. + .................. 400 5,675
Pogo Producing Co. ....................... 1,000 25,625
Remington Oil & Gas Corporation + ........ 400 1,750
St. Mary Land & Exploration Co. .......... 300 10,125
Stone Energy Corp. + ..................... 400 18,900
Vintage Petroleum, Inc. + ................ 1,600 31,800
-------------
213,675
-------------
OIL SERVICES (1.5%)
Atwood Oceanics, Inc. + .................. 400 24,250
Cal Dive International, Inc. + ........... 300 14,925
Dril-Quip, Inc. + ........................ 200 8,125
Oceaneering International, Inc. + ........ 500 8,625
Offshore Logistics, Inc. + ............... 400 4,850
Pride International, Inc. + .............. 1,200 27,150
SEACOR SMIT Holdings + ................... 200 12,250
Seitel, Inc. + ........................... 400 2,500
Tuboscope Inc. + ......................... 900 15,637
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
OIL SERVICES (CONTINUED)
Veritas DGC, Inc. + ...................... 500 $ 12,000
-------------
130,312
-------------
OTHER TELECOMMUNICATIONS (0.4%)
General Communication, Inc. + ............ 900 4,500
P-Com, Inc. + ............................ 1,400 15,138
Symmetricom, Inc. + ...................... 400 4,750
TALK.com Inc. + .......................... 1,300 12,675
-------------
37,063
-------------
PRINT MEDIA (0.5%)
BARRA, Inc. + ............................ 300 12,638
Factset Research Systems, Inc. + ......... 1,100 31,625
Thomas Nelson, Inc. ...................... 300 2,100
-------------
46,363
-------------
PRODUCER GOODS (7.1%)
Amcast Industrial Corp. .................. 200 1,738
Applied Industrial Technologies, Inc. .... 400 6,950
Applied Power, Inc. ...................... 800 22,900
Baldor Electric Co. ...................... 700 12,994
Belden, Inc. ............................. 500 14,844
BMC Industries, Inc. ..................... 500 2,500
Brady (W.H.) Co. ......................... 500 14,687
Buckeye Technologies, Inc. + ............. 1,000 19,125
C&D Technologies, Inc. ................... 400 25,775
Cable Design Technologies, Inc. + ........ 800 27,400
Castle (A.M.) & Co. ...................... 200 2,450
Commercial Metals Co. .................... 500 14,687
Commonwealth Industries, Inc. ............ 200 1,500
CommScope, Inc. + ........................ 1,700 80,750
CUNO Incorporated + ...................... 300 8,137
Flow International Corporation + ......... 300 3,375
Graco, Inc. .............................. 400 13,550
Griffon Corp. + .......................... 500 3,375
Hughes Supply, Inc. ...................... 400 6,100
Idex Corp. ............................... 600 18,750
Intermagnetics General Corp. + ........... 300 3,656
Intermet Corp. ........................... 500 3,688
Ionics, Inc. + ........................... 200 4,700
Lawson Products, Inc. .................... 200 4,825
Material Sciences Corp. + ................ 300 3,188
McWhorter Technologies, Inc. + ........... 200 3,025
Mueller Industries, Inc. + ............... 900 29,644
Omnova Solutions Inc. .................... 900 5,400
Paxar Corp. + ............................ 900 9,169
Regal-Beloit Corp. ....................... 400 7,225
Reliance Steel & Aluminum Co. ............ 600 13,800
Robbins & Myers, Inc. .................... 300 7,313
Roper Industries, Inc. ................... 600 18,900
RTI International Metals, Inc. + ......... 400 4,225
Scott Technologies, Inc. + ............... 400 7,800
SLI, Inc. + .............................. 700 9,975
</TABLE>
See Notes to Portfolio of Investments. 29
<PAGE>
INDEX PLUS FUNDS
PORTFOLIO OF INVESTMENTS - APRIL 30, 2000 (UNAUDITED)
INDEX PLUS SMALL CAP (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
PRODUCER GOODS (CONTINUED)
Smith (A.O.) Corp. ....................... 500 $ 10,281
Specialty Equipment Companies, Inc. + .... 400 8,250
SPS Technologies, Inc. + ................. 300 9,412
Standex International Corp. .............. 300 4,931
Steel Technologies, Inc. ................. 100 806
Thomas Industries, Inc. .................. 300 6,038
Tower Automotive, Inc. + ................. 900 14,062
Tredegar Industries, Inc. ................ 700 18,069
United Stationers, Inc. + ................ 900 30,037
Valence Technology, Inc. + ............... 700 10,806
Valmont Industries, Inc. ................. 400 7,950
Watts Industries, Inc. ................... 500 6,688
Wolverine Tube, Inc. + ................... 300 4,500
Zebra Technologies, Inc. + ............... 800 45,600
-------------
615,550
-------------
SEMICONDUCTORS AND ELECTRONICS (18.8%)
Actel Corporation + ...................... 600 22,088
Adaptive Broadband Corp. + ............... 700 22,750
Allen Telecom Inc. + ..................... 500 8,875
Alpha Industries, Inc. + ................. 1,400 72,800
American Xtal Technology, Inc. + ......... 400 9,756
Artesyn Technologies, Inc. + ............. 700 16,975
Benchmark Electronics, Inc. + ............ 300 12,056
Brightpoint, Inc. + ...................... 1,400 16,538
Burr-Brown Corp. + ....................... 1,900 129,437
C-COR.net Corp. + ........................ 1,100 43,037
C-Cube Microsystems, Inc. + .............. 1,400 89,950
Centigram Communications Corp. + ......... 200 3,088
Cognex Corp. + ........................... 1,400 79,625
Cohu, Inc. .............................. 700 26,644
CTS Corp. ................................ 700 44,144
Cybex Computer Products Corp. + .......... 600 16,425
Dallas Semiconductor Corp. ............... 1,900 81,581
Digital Microwave Corp. + ................ 2,400 88,650
Electro Scientific Industries, Inc. + .... 900 56,756
Electroglas, Inc. + ...................... 600 23,250
Esterline Technologies Corp. + ........... 500 6,125
General Semiconductor Corp. + ............ 700 14,000
Hadco Corp. + ............................ 300 24,694
Harmon Industries, Inc. .................. 250 4,375
Helix Technology Corp. ................... 700 35,744
InaCom Corp. + ........................... 900 1,406
Innovex, Inc. ............................ 300 2,625
Inter-Tel, Inc. .......................... 500 10,125
International Rectifier Corp. + .......... 2,100 103,162
KEMET Corp. + ............................ 1,500 111,750
Kent Electronics Corp. + ................. 700 20,431
Komag, Incorporated + .................... 1,000 2,938
Kulicke & Soffa Industries, Inc. + ....... 800 62,650
Lattice Semiconductor Corp. + ............ 1,600 107,800
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
SEMICONDUCTORS AND ELECTRONICS (CONTINUED)
Methode Electronics, Inc. ................ 700 29,170
Park Electrochemical Corp. ............... 200 5,125
Phototronics, Inc. + ..................... 500 16,656
Pioneer Standard Electronics Corp. ....... 700 10,719
Plantronics, Inc. + ...................... 300 26,550
Plexus Corp. + ........................... 600 45,975
Read-Rite Corporation + .................. 800 2,400
S3 Inc. + ................................ 1,500 21,094
Silicon Valley Group, Inc. + ............. 1,100 31,350
Speesfam International Inc. + ............ 600 9,488
Three-Five Systems, Inc. + ............... 366 31,842
Vicor Corp. + ............................ 800 20,800
-------------
1,623,419
-------------
SPECIALTY CHEMICALS (0.9%)
Cambrex Corp. ............................ 500 20,500
Chemed Corp. ............................. 200 5,975
ChemFirst Inc. ........................... 400 7,750
Geon Co. (The) ........................... 500 10,937
Mississippi Chemical Corporation ......... 200 1,538
OM Group, Inc. ........................... 500 23,000
Penford Corp. ............................ 100 1,688
Quaker Chemical Corp. .................... 200 3,362
-------------
74,750
-------------
STEEL (0.2%)
Birmingham Steel Corporation ............. 300 1,275
Quanex Corp. ............................. 300 4,913
Steel Dynamics, Inc. + ................... 900 10,237
-------------
16,425
-------------
SURFACE TRANSPORT (1.3%)
American Freightways Corp. + ............. 600 11,175
Arkansas Best Corp. + .................... 600 7,762
Heartland Express, Inc. + ................ 600 10,125
Kirby Corp. + ............................ 500 10,344
Landstar Systems, Inc. + ................. 300 17,175
M.S. Carriers, Inc. + .................... 300 7,125
U.S. Freightways Corp. ................... 600 27,975
Werner Enterprises, Inc. ................. 425 7,969
Yellow Corp. + ........................... 500 9,531
-------------
109,181
-------------
TEXTILES AND APPAREL (1.2%)
Ashworth, Inc. + ......................... 200 975
Brown Shoe Co., Inc. ..................... 400 4,100
Guilford Mills, Inc. ..................... 300 2,475
Haggar Corp. ............................. 100 1,306
Hartmarx Corp. + ......................... 600 1,500
Justin Industries, Inc. .................. 700 12,775
Kellwood Co. ............................. 500 8,562
Nautica Enterprises, Inc. + .............. 800 9,000
Oshkosh B'Gosh, Inc. ..................... 300 4,838
Oxford Industries, Inc. .................. 200 3,400
</TABLE>
30 See Notes to Portfolio of Investments.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
NUMBER OF MARKET
SHARES VALUE
------------ -------------
<S> <C> <C>
TEXTILES AND APPAREL (CONTINUED)
Phillips-Van Heusen Corp. ................ 500 $ 4,219
Quiksilver, Inc. + ....................... 400 7,550
Stride Rite Corp. ........................ 400 3,375
Timberland Co. (The) + ................... 400 27,750
Wolverine World Wide, Inc. ............... 1,100 13,200
-------------
105,025
-------------
TOBACCO (0.0%)
Schweitzer-Mauduit International, Inc. ... 300 4,369
-------------
TOTAL COMMON STOCKS (COST $7,017,979) 8,353,156
-------------
PRINCIPAL
AMOUNT
------------
SHORT-TERM INVESTMENTS (3.2%)
Federal Farm Credit Bank, 5.88%, 05/01/00 $ 275,000 275,000
-------------
TOTAL SHORT-TERM INVESTMENTS
(COST $275,000) 275,000
-------------
TOTAL INVESTMENTS (COST $7,292,979)(a) 8,628,156
-------------
OTHER ASSETS LESS LIABILITIES 12,644
-------------
TOTAL NET ASSETS $8,640,800
=============
</TABLE>
NOTES TO PORTFOLIO OF INVESTMENTS
(a) The cost of investments for federal income tax purposes amounts to
$7,438,065. Unrealized gains and losses, based on identified tax cost at
April 30, 2000, are as follows:
<TABLE>
<S> <C>
Unrealized gains............................. $1,973,298
Unrealized losses............................ (783,207)
-------------
Net unrealized gain......................... $1,190,091
=============
</TABLE>
+ Non-income producing security.
Category percentages are based on net assets.
See Notes to Financial Statements. 31
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
APRIL 30, 2000 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
<S> <C>
ASSETS:
Investments, at market value ..........................................
Cash ..................................................................
Receivable for:
Dividends and interest ...............................................
Investments sold .....................................................
Fund shares sold .....................................................
Reimbursement from Investment Adviser ................................
Prepaid expenses ......................................................
Deferred organizational expenses ......................................
Total assets ...................................................
LIABILITIES:
Payable for:
Dividends to shareholders ............................................
Investments purchased ................................................
Fund shares redeemed .................................................
Other liabilities .....................................................
Total liabilities ..............................................
NET ASSETS ......................................................
NET ASSETS REPRESENTED BY:
Paid-in capital .......................................................
Net unrealized gain (loss) on investments .............................
Undistributed (distributions in excess of) net investment income ......
Accumulated net realized gain (loss) on investments ...................
NET ASSETS ......................................................
Cost of investments ...................................................
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) .....................................
</TABLE>
32 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>
$12,508,896 $405,706,161 $11,810,802 $8,628,156
87,516 657 268 964
183,668 246,956 7,298 3,632
-- 485,811 10,400 22,050
-- 1,937,871 42,230 4,262
4,018 -- 4,940 4,925
97 1,086 60 51
-- 2,608 -- --
----------- ------------ ----------- ----------
12,784,195 408,381,150 11,875,998 8,664,040
----------- ------------ ----------- ----------
52,805 -- -- --
-- 2,815,657 309,294 --
350 328,529 2,525 --
16,910 319,823 26,286 23,240
----------- ------------ ----------- ----------
70,065 3,464,009 338,105 23,240
----------- ------------ ----------- ----------
$12,714,130 $404,917,141 $11,537,893 $8,640,800
=========== ============ =========== ==========
$13,482,224 $350,962,069 $ 8,732,201 $7,696,060
(510,209) 64,767,944 1,607,360 1,335,177
29,928 225,895 (36) (9,933)
(287,813) (11,038,767) 1,198,368 (380,504)
----------- ------------ ----------- ----------
$12,714,130 $404,917,141 $11,537,893 $8,640,800
=========== ============ =========== ==========
$13,019,105 $340,938,217 $10,203,442 $7,292,979
1,222,670 8,808,977 275,334 443,131
$11,616,041 $167,132,755 $ 3,813,848 $4,878,259
$ 9.50 $ 18.97 $ 13.85 $ 11.01
61,744 8,646,262 438,375 265,738
$ 587,131 $162,905,041 $ 6,054,113 $2,915,622
$ 9.51 $ 18.84 $ 13.81 $ 10.97
$ 9.80 $ 19.42 $ 14.24 $ 11.31
24,349 1,527,030 50,666 24,507
$ 231,046 $ 28,773,445 $ 697,858 $ 266,887
$ 9.49 $ 18.84 $ 13.77 $ 10.89
29,485 2,449,838 70,771 53,246
$ 279,912 $ 46,105,900 $ 972,074 $ 580,032
$ 9.49 $ 18.82 $ 13.74 $ 10.89
</TABLE>
See Notes to Financial Statements. 33
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF OPERATIONS
SIX MONTH PERIOD ENDED APRIL 30, 2000 (UNAUDITED)
================================================================================
<TABLE>
<CAPTION>
<S> <C>
INVESTMENT INCOME:
Dividends ..............................................................
Interest ...............................................................
Foreign taxes withheld on dividends ....................................
Total investment income ...........................................
INVESTMENT EXPENSES:
Investment advisory fees ...............................................
Administrative services fees ...........................................
Distribution plan fees - Class A .......................................
Distribution plan fees - Class B .......................................
Distribution plan fees - Class C .......................................
Shareholder services fees - Class B ....................................
Shareholder services fees - Class C ....................................
Organizational expenses ................................................
Printing and postage fees ..............................................
Custody fees ...........................................................
Transfer agent fees ....................................................
Audit fees .............................................................
Directors' fees ........................................................
Registration fees ......................................................
Miscellaneous expenses .................................................
Expenses before reimbursement and waiver from Investment Adviser .......
Expense reimbursement and waiver from Investment Adviser ...............
Net investment expenses ...........................................
Net investment income (loss) ...........................................
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain (loss) on:
Investments ...........................................................
Futures contracts .....................................................
Net realized gain (loss) on investments ...........................
Net change in unrealized gain or loss on:
Investments ...........................................................
Futures contracts .....................................................
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 ...................
</TABLE>
34 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>
$ -- $ 1,691,464 $ 50,936 $ 28,595
471,569 452,784 7,781 3,904
--------- ----------- ---------- --------
471,569 2,144,248 58,717 32,499
-- (2,462) -- (7)
--------- ----------- ---------- --------
471,569 2,141,786 58,717 32,492
--------- ----------- ---------- --------
24,576 771,168 23,465 20,244
7,022 171,371 5,215 4,499
1,756 158,321 5,689 3,547
1,116 87,318 2,105 1,032
710 100,106 1,815 1,511
372 29,106 702 344
355 50,053 907 756
-- 797 -- --
2,457 10,013 1,859 1,883
4,060 15,276 14,019 11,183
12,788 103,256 14,747 15,023
10,767 12,026 10,251 10,239
229 4,903 184 149
3,835 31,359 3,791 3,975
507 9,850 368 316
--------- ----------- ---------- --------
70,550 1,554,923 85,117 74,701
(23,919) -- (34,695) (33,663)
--------- ----------- ---------- --------
46,631 1,554,923 50,422 41,038
--------- ----------- ---------- --------
424,938 586,863 8,295 (8,546)
--------- ----------- ---------- --------
(201,090) (5,559,009) 1,340,949 104,215
-- 159,738 (27,594) 1,814
--------- ----------- ---------- --------
(201,090) (5,399,271) 1,313,355 106,029
--------- ----------- ---------- --------
(21,435) 30,788,271 1,098,143 837,277
-- (223,159) -- --
--------- ----------- ---------- --------
(21,435) 30,565,112 1,098,143 837,277
--------- ----------- ---------- --------
(222,525) 25,165,841 2,411,498 943,306
--------- ----------- ---------- --------
$ 202,413 $25,752,704 $2,419,793 $934,760
========= =========== ========== ========
</TABLE>
See Notes to Financial Statements. 35
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS BOND
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 424,938 $ 828,995
Net realized loss on investments........... (201,090) (86,722)
Net change in unrealized gain or loss on
investments............................... (21,435) (648,317)
----------- -----------
Net increase in net assets resulting from
operations................................ 202,413 93,956
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............... (373,784) (744,930)
From net realized gains.................. -- (37,966)
Class A:
From net investment income............... (40,380) (39,680)
From net realized gains.................. -- (860)
Class B:
From net investment income............... (7,669) (8,071)
Class C:
From net investment income................ (7,638) (9,934)
From net realized gains................... -- (530)
----------- -----------
Decrease in net assets from distributions
to shareholders.......................... (429,471) (841,971)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................. 1,000 168,879
Net asset value of shares issued upon
reinvestment of distributions............ 1,029 2,545
Payments for shares redeemed.............. (1,523,750) (1,087,208)
Class A:
Proceeds from shares sold................. 117,584 1,403,133
Net asset value of shares issued upon
reinvestment of distributions............ 18,414 23,245
Payments for shares redeemed.............. (1,053,068) (158,957)
Class B:
Proceeds from shares sold................. 3,894 480,036
Net asset value of shares issued upon
reinvestment of distributions............ 5,884 3,487
Payments for shares redeemed.............. (100,942) (149,126)
Class C:
Proceeds from shares sold................. 89,458 160,344
Net asset value of shares issued upon
reinvestment of distributions............ 5,575 5,989
Payments for shares redeemed.............. (40,404) (44,246)
----------- -----------
Net increase (decrease) in net assets from
fund share transactions................... (2,475,326) 808,121
----------- -----------
Net change in net assets................... (2,702,384) 60,106
NET ASSETS:
Beginning of period........................ 15,416,514 15,356,408
----------- -----------
End of period.............................. $12,714,130 $15,416,514
=========== ===========
End of period net assets includes
undistributed net investment income....... $ 29,928 $ 34,461
=========== ===========
</TABLE>
36 See Notes to Financial Statements.
<PAGE>
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS BOND
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................... 105 16,676
Number of shares issued upon reinvestment
of distributions........................ 108 256
Number of shares redeemed................ (160,866) (109,206)
----------- -----------
Net decrease.............................. (160,653) (92,274)
=========== ===========
Class A:
Number of shares sold.................... 12,297 143,678
Number of shares issued upon reinvestment
of distributions........................ 1,930 2,374
Number of shares redeemed................ (109,778) (16,373)
----------- -----------
Net increase (decrease)................... (95,551) 129,679
=========== ===========
Class B:
Number of shares sold.................... 405 49,103
Number of shares issued upon reinvestment
of distributions........................ 618 361
Number of shares redeemed................ (10,610) (15,528)
----------- -----------
Net increase (decrease)................... (9,587) 33,936
=========== ===========
Class C:
Number of shares sold.................... 9,290 16,019
Number of shares issued upon reinvestment
of distributions........................ 585 610
Number of shares redeemed................ (4,198) (4,496)
----------- -----------
Net increase.............................. 5,677 12,133
=========== ===========
</TABLE>
See Notes to Financial Statements. 37
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 586,863 $ 733,693
Net realized loss on investments........... (5,399,271) (4,864,872)
Net change in unrealized gain or loss on
investments............................... 30,565,112 29,829,138
------------ ------------
Net increase in net assets resulting from
operations................................ 25,752,704 25,697,959
------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............... (684,783) (217,266)
From net realized gains on investments... -- (616,050)
Class A:
From net investment income............... (328,600) (36,703)
From net realized gains on investments... -- (138,693)
Class C:
From net investment income............... (4,054) (8,165)
From net realized gains on investments... -- (30,913)
------------ ------------
Decrease in net assets from distributions
to shareholders.......................... (1,017,437) (1,047,790)
------------ ------------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................ 49,887,551 123,564,191
Net asset value of shares issued upon
reinvestment of distributions........... 683,738 832,206
Payments for shares redeemed............. (36,460,116) (31,063,653)
Class A:
Proceeds from shares sold................ 82,390,341 76,328,975
Net asset value of shares issued upon
reinvestment of distributions........... 317,610 174,888
Payments for shares redeemed............. (10,119,418) (6,767,588)
Class B:
Proceeds from shares sold................ 11,246,650 17,206,409
Payments for shares redeemed............. (1,496,777) (421,110)
Class C:
Proceeds from shares sold................ 16,683,026 31,854,025
Net asset value of shares issued upon
reinvestment of distributions........... 3,404 22,714
Payments for shares redeemed............. (7,064,577) (1,272,815)
------------ ------------
Net increase in net assets from fund share
transactions............................. 106,071,432 210,458,242
------------ ------------
Net change in net assets................... 130,806,699 235,108,411
NET ASSETS:
Beginning of period........................ 274,110,442 39,002,031
------------ ------------
End of period.............................. $404,917,141 $274,110,442
============ ============
End of period net assets includes
undistributed net investment income....... $ 225,895 $ 656,469
============ ============
</TABLE>
38 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
INDEX PLUS LARGE CAP
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold..................... 2,653,462 7,611,866
Number of shares issued upon reinvestment
of distributions......................... 37,506 53,313
Number of shares redeemed................. (1,968,947) (1,877,284)
------------ ------------
Net increase.............................. 722,021 5,787,895
============ ============
Class A:
Number of shares sold..................... 4,460,383 4,646,032
Number of shares issued upon reinvestment
of distributions......................... 17,528 11,254
Number of shares redeemed................. (549,650) (408,016)
------------ ------------
Net increase.............................. 3,928,261 4,249,270
============ ============
Class B:
Number of shares sold..................... 606,991 1,026,548
Number of shares redeemed................. (80,970) (25,539)
------------ ------------
Net increase.............................. 526,021 1,001,009
============ ============
Class C:
Number of shares sold..................... 902,831 1,939,788
Number of shares issued upon reinvestment
of distributions......................... 188 1,459
Number of shares redeemed................. (383,008) (77,634)
------------ ------------
Net increase.............................. 520,011 1,863,613
============ ============
</TABLE>
See Notes to Financial Statements. 39
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS MID CAP
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income ..................... $ 8,295 $ 43,231
Net realized gain on investments........... 1,313,355 1,588,978
Net change in unrealized gain or loss on
investments............................... 1,098,143 152,005
----------- -----------
Net increase in net assets resulting from
operations................................ 2,419,793 1,784,214
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income................ (33,860) (35,512)
From net realized gains on investments.... (942,732) --
Class A:
From net investment income................ (12,792) (951)
From net realized gains on investments.... (503,197) --
Class B:
From net realized gains on investments.... (65,596) --
Class C:
From net investment income................ (150) (580)
From net realized gains on investments.... (80,996) --
----------- -----------
Decrease in net assets from distributions
to shareholders........................... (1,639,323) (37,043)
----------- -----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................ 20,247 124,107
Net asset value of shares issued upon
reinvestment of distributions........... 20,254 356
Payments for shares redeemed............. (3,125,342) (1,848,210)
Class A:
Proceeds from shares sold................ 2,094,545 3,195,101
Net asset value of shares issued upon
reinvestment of distributions........... 496,267 555
Payments for shares redeemed............. (512,199) (194,298)
Class B:
Proceeds from shares sold................ 152,418 550,809
Net asset value of shares issued upon
reinvestment of distributions........... 58,588 --
Payments for shares redeemed............. (20,831) (116,936)
Class C:
Proceeds from shares sold................ 318,322 516,053
Net asset value of shares issued upon
reinvestment of distributions........... 68,245 304
Payments for shares redeemed............. (15,804) (137,307)
----------- -----------
Net increase (decrease) in net assets from
fund share transactions.................. (445,290) 2,090,534
----------- -----------
Net change in net assets................... 335,180 3,837,705
NET ASSETS:
Beginning of period........................ 11,202,713 7,365,008
----------- -----------
End of period.............................. $11,537,893 $11,202,713
=========== ===========
End of period net assets includes
undistributed (distributions in excess of)
net investment income..................... $ (36) $ 38,471
=========== ===========
</TABLE>
40 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
INDEX PLUS MID CAP
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................... 1,613 10,664
Number of shares issued upon reinvestment
of distributions........................ 1,795 30
Number of shares redeemed................ (264,105) (149,958)
----------- -----------
Net decrease.............................. (260,697) (139,264)
=========== ===========
Class A:
Number of shares sold.................... 163,288 260,944
Number of shares issued upon reinvestment
of distributions........................ 44,074 48
Number of shares redeemed................ (40,217) (15,743)
----------- -----------
Net increase.............................. 167,145 245,249
=========== ===========
Class B:
Number of shares sold.................... 11,822 44,836
Number of shares issued upon reinvestment
of distributions........................ 5,203 --
Number of shares redeemed................ (1,684) (9,511)
----------- -----------
Net increase.............................. 15,341 35,325
=========== ===========
Class C:
Number of shares sold.................... 24,919 43,093
Number of shares issued upon reinvestment
of distributions........................ 6,083 --
Number of shares redeemed................ (1,254) (11,786)
----------- -----------
Net increase.............................. 29,748 31,307
=========== ===========
</TABLE>
See Notes to Financial Statements. 41
<PAGE>
INDEX PLUS FUNDS
STATEMENTS OF CHANGES IN NET ASSETS (CONTINUED)
================================================================================
<TABLE>
<CAPTION>
INDEX PLUS SMALL CAP
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
FROM OPERATIONS:
Net investment income (loss) .............. $ (8,546) $ 9,883
Net realized gain (loss) on investments.... 106,029 (167,307)
Net change in unrealized gain or loss on
investments............................... 837,277 995,209
----------- ----------
Net increase in net assets resulting from
operations............................... 934,760 837,785
----------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
Class I:
From net investment income............... (8,308) (15,585)
Class A:
From net investment income............... -- (800)
Class C:
From net investment income............... -- (9)
----------- ----------
Decrease in net assets from distributions
to shareholders.......................... (8,308) (16,394)
----------- ----------
FROM FUND SHARE TRANSACTIONS:
Class I:
Proceeds from shares sold................ 7,451 126,685
Net asset value of shares issued upon
reinvestment of distributions........... 208 212
Payments for shares redeemed............. (1,587,135) (798,957)
Class A:
Proceeds from shares sold................ 1,166,211 2,285,453
Net asset value of shares issued upon
reinvestment of distributions........... -- 645
Payments for shares redeemed............. (875,876) (371,781)
Class B:
Proceeds from shares sold................ 120,285 299,701
Payments for shares redeemed............. (76,223) (114,572)
Class C:
Proceeds from shares sold................ 142,464 518,898
Net asset value of shares issued upon
reinvestment of distributions........... -- 5
Payments for shares redeemed............. (214,886) (102,098)
----------- ----------
Net increase (decrease) in net assets from
fund share transactions.................. (1,317,501) 1,844,191
----------- ----------
Net change in net assets................... (391,049) 2,665,582
NET ASSETS:
Beginning of period........................ 9,031,849 6,366,267
----------- ----------
End of period.............................. $ 8,640,800 $9,031,849
=========== ==========
End of period net assets includes
undistributed (distributions in excess of)
net investment income..................... $ (9,933) $ 6,921
=========== ==========
</TABLE>
42 See Notes to Financial Statements.
<PAGE>
<TABLE>
<CAPTION>
INDEX PLUS SMALL CAP
--------------------------------
SIX MONTH
PERIOD ENDED
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
SHARE TRANSACTIONS:
Class I:
Number of shares sold.................... 698 13,243
Number of shares issued upon reinvestment
of distributions........................ 20 22
Number of shares redeemed................ (150,437) (81,146)
----------- ----------
Net decrease.............................. (149,719) (67,881)
=========== ==========
Class A:
Number of shares sold.................... 108,707 235,936
Number of shares issued upon reinvestment
of distributions........................ -- 67
Number of shares redeemed................ (79,667) (38,716)
----------- ----------
Net increase.............................. 29,040 197,287
=========== ==========
Class B:
Number of shares sold.................... 11,289 31,286
Number of shares redeemed................ (6,360) (11,708)
----------- ----------
Net increase.............................. 4,929 19,578
=========== ==========
Class C:
Number of shares sold.................... 13,205 53,101
Number of shares issued upon reinvestment
of distributions........................ -- 1
Number of shares redeemed................ (19,562) (11,056)
----------- ----------
Net increase (decrease)................... (6,357) 42,046
=========== ==========
</TABLE>
See Notes to Financial Statements. 43
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS
APRIL 30, 2000 (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).
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. 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, while maintaining a market level of
risk.
44
<PAGE>
===============================================================================
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).
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. Actual results could differ from these estimates.
A. VALUATION OF INVESTMENTS
Exchange traded equity investments are stated at market values based upon prices
furnished by external pricing sources as reported on national securities
exchanges. Over-the-counter securities are stated at the last sale price, or if
there has been no sale that day, at the mean of the bid and asked prices. Fixed
income securities, with the exception of high yield securities, maturing in more
than sixty days for which market quotations are readily available are valued at
the mean of the last bid and asked price. High yield securities are priced at
bid by external pricing sources or brokers making a market in the security.
Short-term investments maturing in sixty days or less 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 or Directors (Board).
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 their 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.
45
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
===============================================================================
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. 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.
D. FEDERAL INCOME TAXES
Each Fund has met the requirements to be taxed as a regulated investment company
for the fiscal year ended October 31, 1999, 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
(Code). Furthermore, 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
Code. Thus, the financial statements contain no provision for federal income
taxes.
E. 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 repurchases of
certain securities sold at a loss. 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 Code.
F. LINE OF CREDIT
Certain series of the Company (including the Funds), certain portfolios of Aetna
Variable Portfolios, Inc., Aetna Generation Portfolios, Inc., Aetna Balanced VP,
Inc., Aetna Variable Fund, Aetna Income Shares and certain series of Aetna GET
Fund, collectively Aetna Mutual Funds, have entered into a revolving credit
facility, of up to $300,000,000, with a syndicate of banks led by Citibank, N.A.
For its services as Agent, Citibank, N.A. received an agent fee of $200,000. In
addition, the revolving credit facility requires the payment of an annual
commitment fee of 0.09% based on the average daily unutilized amount of the
credit facility. Each of the participating series will pay its pro rata share of
both the agent fee and commitment fee. Generally, borrowings under the facility
accrue interest at the Federal Funds Rate plus a specified margin. Repayments
generally must be made within 30 days after the date of a revolving credit
advance. The revolving credit facility became effective on November 30, 1999. No
borrowings from the line of credit have been made as of April 30, 2000.
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.
46
<PAGE>
================================================================================
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 an investment advisory fee expressed as a percentage of
each Fund's average daily net assets. As each Fund's net assets exceed
predetermined thresholds, lower advisory fees apply. Below are the Funds'
investment advisory fee ranges and the annual effective rates before waivers as
of April 30, 2000:
<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>
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 Class I shareholders of the Funds 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, 1999 through April 30, 2000, Aeltus
paid ALIAC $193,755.
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 ACI at an annual rate of 0.25% of the average daily net assets of
Class A , 0.75% of the average daily net assets of Class B and 0.50% of the
average daily net assets for Class C shares of each Fund. Amounts paid by the
Funds are used to pay expenses incurred by ACI 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 in connection with Class A, Class B and Class C shares and service fees
incurred in connection with Class B and Class C shares.
4. REIMBURSEMENT AND WAIVER FROM INVESTMENT ADVISER
Aeltus is contractually obligated through December 31, 2000 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. Actual expenses for the period ended
April 30, 2000 were at or below contractual limits. Actual expense ratios are
included in the Financial Highlights.
47
<PAGE>
INDEX PLUS FUNDS
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
APRIL 30, 2000 (UNAUDITED)
===============================================================================
5. PURCHASES AND SALES OF INVESTMENT SECURITIES
Purchases and sales of investment securities, excluding short-term investments,
for the period ended April 30, 2000 were:
<TABLE>
<CAPTION>
COST OF PURCHASES PROCEEDS FROM SALES
----------------- -------------------
<S> <C> <C>
Index Plus Bond $5,256,436 $7,268,807
Index Plus Large Cap 288,251,450 191,211,349
Index Plus Mid Cap 7,984,186 10,791,501
Index Plus Small Cap 5,589,430 6,975,375
</TABLE>
6. CAPITAL LOSS CARRYFORWARDS
It is the policy of each of the Funds to reduce future distributions of realized
gains to shareholders to the extent of capital loss carryforwards. Such capital
loss carryforwards may be used to offset future capital gains until their
respective expiration dates. As of April 30, 2000, the following capital loss
carryforwards had been incurred:
<TABLE>
<CAPTION>
YEAR OF EXPIRATION
TOTAL CAPITAL LOSS --------------------
CARRYFORWARD 2006 2007
------------ ----- ----
<S> <C> <C> <C>
Index Plus Bond $80,699 $ -- $ 80,699
Index Plus Large Cap 2,432,377 -- 2,432,377
Index Plus Small Cap 436,149 246,235 189,914
</TABLE>
7. AUTHORIZED CAPITAL SHARES
The Company is authorized to issue a total of 14.8 billion shares. Of those 14.8
billion shares, each of the Funds have been allocated 100 million shares each of
Class I, Class A, Class B and Class C. As of April 30, 2000, 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 1,219,775 -- -- 7,814
Index Plus Large Cap 3,805,509 -- -- --
Index Plus Mid Cap 261,857 10,000 -- --
Index Plus Small Cap 434,443 10,000 -- --
</TABLE>
48
<PAGE>
INDEX PLUS FUNDS
ADDITIONAL INFORMATION
APRIL 30, 2000 (UNAUDITED)
================================================================================
FUND CLOSURE
On March 1, 2000, the Board of Directors considered and agreed to submit to
shareholders a proposal by Aeltus to liquidate Aetna Index Plus Bond Fund. The
Fund was closed to new direct investors on March 6, 2000 and to new retirement
plan investors on May 15, 2000. If approved by shareholders at the July 28, 2000
meeting, the liquidation will occur on or about September 1, 2000.
49
<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 YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 9.65 $ 10.14 $ 10.00
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.29 0.54+ 0.40+
Net realized and change in
unrealized gain or loss
on investments .......... (0.15) (0.51) 0.14
------- ------- -------
Total income from
investment operations . 0.14 0.03 0.54
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.29) (0.52) (0.40)
------- ------- -------
Total distributions .... (0.29) (0.52) (0.40)
------- ------- -------
Net asset value, end of
period.................... $ 9.50 $ 9.65 $ 10.14
======= ======= =======
Total return .............. 1.48% 0.61% 5.48%
Net assets, end of period
(000's)................... $11,616 $13,342 $14,958
Ratio of net investment
expenses to average net
assets.................... 0.60%(1) 0.60% 0.60%(1)
Ratio of net investment
income to average net
assets.................... 6.10%(1) 5.49% 5.39%(1)
Ratio of expenses before
reimbursement and
waiver to average net
assets.................... 0.94%(1) 1.23% 1.42%(1)
Portfolio turnover rate ... 38.59% 32.66% 20.86%
</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 BOND
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 4, 1998
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OPERATIONS)
CLASS A (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 9.65 $10.14 $10.00
------ ------ ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.32 0.52+ 0.38+
Net realized and change in
unrealized gain or loss on
investments.............. (0.18) (0.51) 0.14
------ ------ ------
Total income from
investment operations . 0.14 0.01 0.52
------ ------ ------
LESS DISTRIBUTIONS:
From net investment income (0.28) (0.50) (0.38)
------ ------ ------
Total distributions .... (0.28) (0.50) (0.38)
------ ------ ------
Net asset value, end of
period.................... $ 9.51 $ 9.65 $10.14
====== ====== ======
Total return .............. 1.46% 0.37% 5.29%
Net assets, end of period
(000's)................... $ 587 $1,518 $ 280
Ratio of net investment
expenses to average net
assets.................... 0.85%(1) 0.85% 0.85%(1)
Ratio of net investment
income to average net
assets.................... 5.85%(1) 5.24% 5.14%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.19%(1) 1.48% 1.67%(1)
Portfolio turnover rate ... 38.59% 32.66% 20.86%
</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 BOND
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH MARCH 1, 1999
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 2000 PUBLIC OFFERING)
CLASS B (UNAUDITED) TO OCTOBER 31, 1999
---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 9.64 $ 9.93
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. 0.27 0.30+
Net realized and change in unrealized
gain or loss on investments .......... (0.17) (0.30)
------ ------
Total income from investment
operations.......................... 0.10 --
------ ------
LESS DISTRIBUTIONS:
From net investment income ............ (0.25) (0.29)
------ ------
Total distributions ................. (0.25) (0.29)
------ ------
Net asset value, end of period ......... $ 9.49 $ 9.64
====== ======
Total return ........................... 1.01% (0.01)%
Net assets, end of period (000's) ...... $ 231 $ 327
Ratio of net investment expenses to
average net assets .................... 1.60%(1) 1.60%(1)
Ratio of net investment income to
average net assets .................... 5.10%(1) 4.49%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 1.94%(1) 2.23%(1)
Portfolio turnover rate ................ 38.59% 32.66%
</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 BOND
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, PUBLIC OFFERING)
CLASS C (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 9.64 $10.13 $10.01
------ ------ ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.25 0.47+ 0.16+
Net realized and change in
unrealized gain or loss on
investments.............. (0.15) (0.51) 0.11
------ ------ ------
Total income from
investment operations . 0.10 (0.04) 0.27
------ ------ ------
LESS DISTRIBUTIONS:
From net investment income (0.25) (0.45) (0.15)
------ ------ ------
Total distributions .... (0.25) (0.45) (0.15)
------ ------ ------
Net asset value, end of
period.................... $ 9.49 $ 9.64 $10.13
====== ====== ======
Total return .............. 1.10% (0.13)% 2.75%
Net assets, end of period
(000's)................... $ 280 $ 229 $ 118
Ratio of net investment
expenses to average net
assets.................... 1.35%(1) 1.35% 1.35%(1)
Ratio of net investment
income to average net
assets.................... 5.35%(1) 4.74% 4.64%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.69%(1) 1.98% 2.17%(1)
Portfolio turnover rate ... 38.59% 32.66% 20.86%
</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 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 YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1999 1998 TO OCTOBER 31, 1997
---------------------- -------------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period . $ 17.48 $ 13.78 $ 12.43 $ 10.00
-------- -------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.04 0.11+ 0.13+ 0.12+
Net realized and
change in unrealized
gain or loss on
investments......... 1.53 3.86 2.57 2.33
-------- -------- ------- -------
Total income from
investment
operations........ 1.57 3.97 2.70 2.45
-------- -------- ------- -------
LESS DISTRIBUTIONS:
From net investment
income.............. (0.08) (0.07) (0.13) (0.02)
From net realized
gains on investments -- (0.20) (1.22) --
-------- -------- ------- -------
Total distributions (0.08) (0.27) (1.35) (0.02)
-------- -------- ------- -------
Net asset value, end
of period ........... $ 18.97 $ 17.48 $ 13.78 $ 12.43
======== ======== ======= =======
Total return ......... 9.02% 29.05% 23.46% 24.49%
Net assets, end of
period (000's) ...... $167,133 $141,377 $31,671 $10,876
Ratio of net
investment expenses
to average net assets 0.66%(1) 0.70% 0.70% 0.70%(1)
Ratio of net
investment income to
average net assets .. 0.59%(1) 0.67% 0.96% 1.15%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... -- 0.75% 1.17% 1.95%(1)
Portfolio turnover
rate................. 56.26% 72.14% 124.16% 82.31%
</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 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 YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, OCTOBER 31, PUBLIC OFFERING)
CLASS A (UNAUDITED) 1999 1998 TO OCTOBER 31, 1997
---------------------- -------------- ----------- ----------- -------------------
<S> <C> <C> <C> <C>
Net asset value,
beginning of period . $ 17.36 $ 13.70 $ 12.36 $10.57
-------- ------- ------- ------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income 0.04 0.07+ 0.09+ 0.02+
Net realized and
change in unrealized
gain or loss on
investments.......... 1.50 3.84 2.56 1.77
-------- ------- ------- ------
Total income from
investment
operations........ 1.54 3.91 2.65 1.79
-------- ------- ------- ------
LESS DISTRIBUTIONS:
From net investment
income.............. (0.06) (0.05) (0.09) --
From net realized
gains on investments -- (0.20) (1.22) --
-------- ------- ------- ------
Total distributions (0.06) (0.25) (1.31) --
-------- ------- ------- ------
Net asset value, end
of period ........... $ 18.84 $ 17.36 $ 13.70 $12.36
======== ======= ======= ======
Total return ......... 8.90% 28.78% 23.09% 16.93%
Net assets, end of
period (000's) ...... $162,905 $81,908 $ 6,422 $1,833
Ratio of net
investment expenses
to average net assets 0.91%(1) 0.95% 0.99% 1.45%(1)
Ratio of net
investment income to
average net assets .. 0.34%(1) 0.42% 0.67% 0.16%(1)
Ratio of expenses
before reimbursement
and waiver to average
net assets .......... -- 1.00% 1.46% 2.98%(1)
Portfolio turnover
rate................. 56.26% 72.14% 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. 55
<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 MARCH 1, 1999
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 2000 PUBLIC OFFERING)
CLASS B (UNAUDITED) TO OCTOBER 31, 1999
---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 17.37 $ 15.68
------- -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. (0.02) (0.04)+
Net realized and change in unrealized
gain or loss on investments .......... 1.49 1.73
------- -------
Total income from investment
operations.......................... 1.47 1.69
------- -------
Net asset value, end of period ......... $ 18.84 $ 17.37
======= =======
Total return ........................... 8.46% 10.78%
Net assets, end of period (000's) ...... $28,773 $17,386
Ratio of net investment expenses to
average net assets .................... 1.66%(1) 1.70%(1)
Ratio of net investment income to
average net assets .................... (0.41)%(1) (0.32)%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... -- 1.75%(1)
Portfolio turnover rate ................ 56.26% 72.14%
</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 LARGE CAP
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, PUBLIC OFFERING)
CLASS C (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 17.33 $ 13.74 $ 14.17
------- ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... (0.01) (0.01)+ 0.01+
Net realized and change in
unrealized gain or loss on
investments.............. 1.52 3.85 (0.44)
------- ------- -------
Total income from
investment operations . 1.51 3.84 (0.43)
------- ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.02) (0.05) --
From net realized gains on
investmets............... -- (0.20) --
------- ------- -------
Total distributions .... (0.02) (0.25) --
------- ------- -------
Net asset value, end of
period.................... $ 18.82 $ 17.33 $ 13.74
======= ======= =======
Total return .............. 8.61% 28.17% (3.04)%
Net assets, end of period
(000's)................... $46,106 $33,439 $ 910
Ratio of net investment
expenses to average net
assets.................... 1.41%(1) 1.45% 1.43%(1)
Ratio of net investment
income to average net
assets.................... (0.16)%(1) (0.07)% 0.23%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... -- 1.50% 1.90%(1)
Portfolio turnover rate ... 56.26% 72.14% 124.16%
</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 MID CAP
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $12.70 $ 10.36 $ 10.00
------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... -- 0.07+ 0.04+
Net realized and change in
unrealized gain or loss on
investments.............. 2.99 2.32 0.32
------ ------- -------
Total income from
investment operations . 2.99 2.39 0.36
------ ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.06) (0.05) --
From net realized gains on
investments.............. (1.78) -- --
------ ------- -------
Total distributions .... (1.84) (0.05) --
------ ------- -------
Net asset value, end of
period.................... $13.85 $ 12.70 $ 10.36
====== ======= =======
Total return .............. 26.90% 23.14% 3.60%
Net assets, end of period
(000's)................... $3,814 $ 6,806 $ 6,996
Ratio of net investment
expenses to average net
assets.................... 0.75%(1) 0.75% 0.75%(1)
Ratio of net investment
income to average net
assets.................... 0.37%(1) 0.55% 0.57%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.41%(1) 1.78% 2.51%(1)
Portfolio turnover rate ... 77.22% 130.93% 129.87%
</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 MID CAP
================================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH FEBRUARY 3, 1998
PERIOD ENDED YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OPERATIONS)
CLASS A (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $12.66 $ 10.34 $ 10.00
------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... 0.03 0.04+ 0.02+
Net realized and change in
unrealized gain or loss on
investments.............. 2.95 2.32 0.32
------ ------- -------
Total income from
investment operations . 2.98 2.36 0.34
------ ------- -------
LESS DISTRIBUTIONS:
From net investment income (0.05) (0.04) --
From net realized gains on
investments.............. (1.78) -- --
------ ------- -------
Total distributions .... (1.83) (0.04) --
------ ------- -------
Net asset value, end of
period.................... $13.81 $ 12.66 $ 10.34
====== ======= =======
Total return .............. 26.79% 22.81% 3.40%
Net assets, end of period
(000's)................... $6,054 $ 3,434 $ 269
Ratio of net investment
expenses to average net
assets.................... 1.00%(1) 1.00% 1.00%(1)
Ratio of net investment
income to average net
assets.................... 0.12%(1) 0.30% 0.32%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.66%(1) 2.03% 2.76%(1)
Portfolio turnover rate ... 77.22% 130.93% 129.87%
</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 MID CAP
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH MARCH 1, 1999
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 2000 PUBLIC OFFERING)
CLASS B (UNAUDITED) TO OCTOBER 31, 1999
---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $12.61 $ 11.23
------ -------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. (0.03) (0.04)+
Net realized and change in unrealized
gain or loss on investments .......... 2.95 1.42
------ -------
Total income from investment
operations.......................... 2.92 1.38
------ -------
LESS DISTRIBUTIONS:
From net realized gains on investments (1.76) --
------ -------
Total distributions ................. (1.76) --
------ -------
Net asset value, end of period ......... $13.77 $ 12.61
====== =======
Total return ........................... 26.29% 12.29%
Net assets, end of period (000's) ...... $ 698 $ 446
Ratio of net investment expenses to
average net assets .................... 1.75%(1) 1.75%(1)
Ratio of net investment income to
average net assets .................... (0.63)%(1) (0.45)%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.41%(1) 2.78%(1)
Portfolio turnover rate ................ 77.22% 130.93%
</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 MID CAP
===============================================================================
Selected data for a fund share outstanding throughout each period:
<TABLE>
<CAPTION>
PERIOD FROM
SIX MONTH JUNE 30, 1998
PERIOD ENDED YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, PUBLIC OFFERING)
CLASS C (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $12.59 $ 10.33 $ 10.92
------ ------- -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... (0.03) (0.02)+ (0.01)+
Net realized and change in
unrealized gain or loss on
investments.............. 2.96 2.31 (0.58)
------ ------- -------
Total income from
investment operations . 2.93 2.29 (0.59)
------ ------- -------
LESS DISTRIBUTIONS:
From net investment income -- (0.03) --
From net realized gains... (1.78) -- --
------ ------- -------
Total distributions .... (1.78) (0.03) --
------ ------- -------
Net asset value, end of
period.................... $13.74 $ 12.59 $ 10.33
====== ======= =======
Total return .............. 26.50% 22.19% (5.40)%
Net assets, end of period
(000's)................... $ 972 $ 516 $ 100
Ratio of net investment
expenses to average net
assets.................... 1.50%(1) 1.50% 1.50%(1)
Ratio of net investment
income to average net
assets.................... (0.38)%(1) (0.20)% (0.18)%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 2.16%(1) 2.53% 3.26%(1)
Portfolio turnover rate ... 77.22% 130.93% 129.87%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 61
<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 YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OPERATIONS)
CLASS I (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 9.95 $ 8.87 $ 10.00
------ ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... (0.01) 0.02+ 0.02+
Net realized and change in
unrealized gain or loss on
investments.............. 1.08 1.08 (1.15)
------ ------ -------
Total income from
investment operations . 1.07 1.10 (1.13)
------ ------ -------
LESS DISTRIBUTIONS:
From net investment income (0.01) (0.02) --
------ ------ -------
Total distributions .... (0.01) (0.02) --
------ ------ -------
Net asset value, end of
period.................... $11.01 $ 9.95 $ 8.87
====== ====== =======
Total return .............. 10.81% 12.46% (11.30)%
Net assets, end of period
(000's)................... $4,878 $5,902 $ 5,862
Ratio of net investment
expenses to average net
assets.................... 0.75%(1) 0.75% 0.75%(1)
Ratio of net investment
income to average net
assets.................... (0.03)%(1) 0.22% 0.25%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.50%(1) 2.03% 2.63%(1)
Portfolio turnover rate ... 63.32% 85.28% 100.41%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
62 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 YEAR ENDED (COMMENCEMENT OF
APRIL 30, 2000 OCTOBER 31, OPERATIONS)
CLASS A (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 9.92 $ 8.86 $ 10.00
------ ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... (0.02) -- + -- +
Net realized and change in
unrealized gain or loss on
investments.............. 1.07 1.07 (1.14)
------ ------ -------
Total income from
investment operations . 1.05 1.07 (1.14)
------ ------ -------
LESS DISTRIBUTIONS:
From net investment income -- (0.01) --
------ ------ -------
Total distributions .... -- (0.01) --
------ ------ -------
Net asset value, end of
period.................... 10.97 $ 9.92 $ 8.86
====== ====== =======
Total return .............. 10.58% 12.13% (11.40)%
Net assets, end of period
(000's)................... $2,916 $2,348 $ 349
Ratio of net investment
expenses to average net
assets.................... 1.00%(1) 1.00% 1.00%(1)
Ratio of net investment
income to average net
assets.................... (0.28)%(1) (0.02)% 0.00%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 1.75%(1) 2.28% 2.88%(1)
Portfolio turnover rate ... 63.32% 85.28% 100.41%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 63
<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 MARCH 1, 1999
PERIOD ENDED (DATE OF INITIAL
APRIL 30, 2000 PUBLIC OFFERING)
CLASS B (UNAUDITED) TO OCTOBER 31, 1999
---------------------------------------- -------------- -------------------
<S> <C> <C>
Net asset value, beginning of period ... $ 9.88 $ 8.91
------ ------
INCOME FROM INVESTMENT OPERATIONS:
Net investment income ................. (0.02) (0.05)+
Net realized and change in unrealized
gain or loss on investments .......... 1.03 1.02
------ ------
Total income from investment
operations.......................... 1.01 0.97
------ ------
Net asset value, end of period ......... $10.89 $ 9.88
====== ======
Total return ........................... 10.22% 10.89%
Net assets, end of period (000's) ...... $ 267 $ 193
Ratio of net investment expenses to
average net assets .................... 1.75%(1) 1.75%(1)
Ratio of net investment income to
average net assets .................... (1.03)%(1) (0.77)%(1)
Ratio of expenses before reimbursement
and waiver to average net assets ...... 2.50%(1) 3.03%(1)
Portfolio turnover rate ................ 63.32% 85.28%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
64 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 YEAR ENDED (DATE OF INITIAL
APRIL 30, 2000 OCTOBER 31, PUBLIC OFFERING)
CLASS C (UNAUDITED) 1999 TO OCTOBER 31, 1998
--------------------------- -------------- ----------- -------------------
<S> <C> <C> <C>
Net asset value, beginning
of period ................ $ 9.87 $ 8.84 $ 10.62
------ ------ -------
INCOME FROM INVESTMENT
OPERATIONS:
Net investment income .... (0.02) (0.05)+ (0.02)+
Net realized and change in
unrealized gain or loss on
investments.............. 1.04 1.08 (1.76)
------ ------ -------
Total income from
investment operations . 1.02 1.03 (1.78)
------ ------ -------
Net asset value, end of
period.................... $10.89 $ 9.87 $ 8.84
====== ====== =======
Total return .............. 10.33% 11.66% (16.76)%
Net assets, end of period
(000's)................... $ 580 $ 589 $ 155
Ratio of net investment
expenses to average net
assets.................... 1.50%(1) 1.50% 1.50%(1)
Ratio of net investment
income to average net
assets.................... (0.78)%(1) (0.52)% (0.50)%(1)
Ratio of expenses before
reimbursement and waiver
to average net assets .... 2.25%(1) 2.78% 3.38%(1)
Portfolio turnover rate ... 63.32% 85.28% 100.41%
</TABLE>
(1) Annualized.
+ Per share data calculated using weighted average number of shares outstanding
throughout the period.
See Notes to Financial Statements. 65
