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<PAGE> 1
AON FUNDS
SEMI-ANNUAL REPORT
APRIL 30, 1997
UNAUDITED
[GRAPHIC]
<PAGE> 2
[AON FUNDS LOGO]
TABLE OF CONTENTS
Letter from the President Page 2
Asset Allocation Fund Commentary Pages 3 - 4
S&P 500 Index Fund Commentary Pages 5 - 6
REIT Index Fund Commentary Pages 7 - 8
International Equity Fund Commentary Pages 9 - 10
Government Securities Fund Commentary Pages 11 - 12
Financial Statements for the six months Pages 13 - 113
ended April 30, 1997 - Unaudited
Money Market Fund
Statement of Assets and Liabilities Page 13
Statement of Operations Page 14
Statement of Changes in Net Assets Page 15
Schedule of Investments Pages 16 - 21
Financial Highlights Pages 22 - 24
Government Securities Fund
Statement of Assets and Liabilities Page 25
Statement of Operations Page 26
Statement of Changes in Net Assets Page 27
Schedule of Investments Pages 28 - 29
Financial Highlights Page 30
Asset Allocation Fund
Statement of Assets and Liabilities Page 31
Statement of Operations Page 32
Statement of Changes in Net Assets Page 33
Schedule of Investments Pages 34 - 46
Financial Highlights Pages 47 - 48
S&P 500 Index Fund
Statement of Assets and Liabilities Page 49
Statement of Operations Page 50
Statement of Changes in Net Assets Page 51
Schedule of Investments Pages 52 - 76
Financial Highlights Page 77
International Equity Fund
Statement of Assets and Liabilities Page 78
Statement of Operations Page 79
Statement of Changes in Net Assets Page 80
Schedule of Investments Pages 81 - 92
Industry Diversification Pages 93 - 94
Financial Highlights Page 95
REIT Index Fund
Statement of Assets and Liabilities Page 96
Statement of Operations Page 97
Statement of Changes in Net Assets Page 98
Schedule of Investments Pages 99 - 103
Financial Highlights Page 104
Notes to the Financial Statements Pages 105 - 113
<PAGE> 3
[AON FUNDS LETTERHEAD]
1-800-AON-FNDS
TO AON FUNDS SHAREHOLDERS:
Economic growth has been positive in the U.S. and much of the world during the
last six months. Consumer price inflation has been subdued, and interest rates
have remained relatively stable. Stock market returns have been quite positive,
especially for larger capitalization issues.
Effective May 1, 1997 Aon Advisors, Inc., investment advisor to the Aon Funds,
waived a portion of its management fees until at least February 28, 1998. This
reduction benefits all shareholders.
Thank you for your support as a shareholder. If you have any questions or
comments, please call me at (312) 701-3300.
Sincerely yours,
Mike Conway
Michael A. Conway
President
2
<PAGE> 4
[AON FUNDS LOGO]
ASSET ALLOCATION FUND
Comparison of a $10,000 Investment
The following graph illustrates the growth of a $10,000 investment in the Asset
Allocation Fund and an investment in the Lipper Flexible Portfolio Index from
the inception of the Fund to April 30, 1997. The illustration assumes that all
dividends and distributions are reinvested:
[LINE GRAPH]
<TABLE>
<CAPTION>
Aon Asset Lipper Flexible
Allocation Fund Portfolio Index
<S> <C> <C>
03/03/94 10,000 10,000
10/31/94 10,184 9,958
10/31/95 12,926 11,618
10/31/96 14,356 13,325
04/30/97 15,281 14,117
</TABLE>
<TABLE>
<CAPTION>
March 3, 1994 to
COMPARISON OF RETURNS 6 months 1 Year 3 Year(2) April 30, 1997(3)
- --------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Asset Allocation Fund(1) 6.45% 10.85% 16.12% 52.81%
Lipper Flexible Portfoli Index(4) 5.94% 11.53% 13.21% 41.17%
</TABLE>
(1) Total return is calculated including reinvestment of all income and capital
gain distributions. Results represent past performance and do not indicate
future results. The value of an investment in the Asset Allocation Fund and
the return on investment will fluctuate, and redemption proceeds may be higher
or lower than an investor's original cost.
(2) Average annual total return.
(3) Cumulative total return.
(4) The Lipper Flexible Portfolio Index is an unmanaged index prepared by Lipper
Analytical Services which includes asset allocation funds.
3
<PAGE> 5
[AON FUNDS LOGO]
ASSET ALLOCATION FUND
Management Discussion of Fund Performance
The six month period ending April 30, 1997 was a favorable time period for
stocks. Most economic indicators signaled continued economic growth and
corporate profits were favorable. Investors continued to exhibit a strong
preference for large capitalization stocks, as the S&P 500 outperformed mid and
smaller capitalization indices by substantial margins.
The bond market was not as attractive in this time period. Yields on the 30
year Treasury began and ended the period in the range of 7%, with the
intervening period exhibiting some degree of price fluctuation. Bond yields
continue to reflect concern over the pace of economic growth and inflation.
The Federal Reserve raised interest rates by 0.25% in March, which adversely
impacted the stock market as investors became concerned over the prospect of
multiple rate increases. However, equity prices rebounded in April and May.
Throughout this period the Asset Allocation Fund has continued to favor
equities over bonds in our asset allocation. Our asset allocation strategy is
predicated on the belief that corporate profits, reflecting unit volume
increases, operating efficiencies, and capital management, continue to exhibit
reasonable growth prospects. This growth may continue to trouble bond market
investors.
For the six months ended April 30, 1997 the Fund returned 6.45%, including the
reinvestment of dividends. For the same period the Lipper Flexible Portfolio
Fund Index returned 5.94%. Sectors which contributed to the Fund's favorable
relative return included environmental services, media, drugs, and medical
supplies. We remain optimistic about the prospects for equities over the
balance of the year.
John G. Lagedrost
Portfolio Manager
4
<PAGE> 6
[AON FUNDS LOGO]
S&P 500 INDEX FUND
Comparison of a $10,000 Investment
The following graph illustrates the growth of a $10,000 investment in the S&P
500 Index Fund an investment in the S & P 500 index from the inception of the
Fund to April 30, 1997. The illustration assumes that all dividends and
distributions are reinvested:
[LINE GRAPH]
<TABLE>
<CAPTION>
S&P 500 S&P 500
Index Fund Index
<S> <C> <C>
September 3, 1996 10,000 10,000
October 31, 1996 10,786 10,809
April 30, 1997 12,346 12,400
</TABLE>
<TABLE>
<CAPTION>
COMPARISON OF RETURNS Six months to April 30, 1997
- ---------------------------------------------------------------------
<S> <C> <C>
Aon S&P 500 Index Fund (1) 14.47% 23.46%
S&P 500 Index (2) 14.72% 24.00%
</TABLE>
(1) Total return is calculated including reinvestment of all income and capital
gain distributions. Results represent past performance and do not indicate
future results. The value of an investment in the S&P 500 Index Fund and the
return on investment will fluctuate, and redemption proceeds may be higher or
lower than an investor's original cost.
(2) The S&P 500 Index is an unmanaged index generally considered to be
representative of stock market activity. This data is derived by Aon Funds and
includes reinvestment of all dividends and capital gains distributions.
5
<PAGE> 7
[AON FUNDS LOGO]
S&P 500 INDEX FUND
Management Discussion of Fund Performance
For the six months ended April 30, 1997, the Aon S & P 500 Index Fund returned
14.47% compared with a 14.72% return for the benchmark S & P 500 Index. Fund
operating expenses accounted for substantially all of the difference in
performance.
The S & P 500 Index weathered an increase in volatility during the past six
months before closing above the 800 level on April 30. The Federal Reserve
interest rate increase on March 25 signaled a turn in the interest rate cycle
and reversed a key component of the S & P 500's bull run during 1995 and 1996.
The frequency and magnitude of further Fed actions during 1997 and their impact
on corporate earnings later this year will in large part determine the
longevity of the current bull market.
The Aon S & P 500 Index Fund will continue to minimize expenses and replicate
the performance of the S & P 500 Index. We remain fully invested in the stock
market and are well-positioned to meet our objectives during the remainder of
1997.
John C. DeCaro, II
Portfolio Manager
6
<PAGE> 8
[AON FUNDS LOGO]
REIT INDEX FUND
Comparison of a $10,000 Investment
The following graph illustrates the growth of a $10,000 investment in the REIT
Index Fund and an investment in the Morgan Stanley REIT Index from the
inception of the Fund to April 30, 1997. The illustration assumes that all
dividends and distributions are reinvested:
[LINE GRAPH]
<TABLE>
<CAPTION>
Morgan Stanley REIT
REIT Index Index Fund
<S> <C> <C>
09/03/96 10,000 10,000
10/31/96 10,482 10,440
04/30/97 11,875 11,806
</TABLE>
<TABLE>
<CAPTION>
September 3, 1996
COMPARISON OF RETURNS Six months to April 30, 1997
- ---------------------------------------------------------
<S> <C> <C>
REIT Index Fund(1) 13.09% 18.06%
Morgan Stanley REIT Index(2) 13.29% 18.75%
</TABLE>
(1) Total return is calculated including reinvestment of all income and capital
gain distributions. Results represent past performance and do not indicate
future results. The value of an investment in the REIT Index Fund and the
return on investment will fluctuate, and redemption proceeds may be higher or
lower than an investor's original cost.
(2) The Morgan Stanley REIT Index is an unmanaged index generally considered to
be representative of REIT market activity. This data is derived by Aon Funds
and includes reinvestment of all dividends and capital gains distributions.
7
<PAGE> 9
[AON FUNDS LOGO]
REIT INDEX FUND
Management Discussion of Fund Performance
For the six months ended April 30, 1997, the Aon REIT Index Fund returned
13.09% compared with a 13.29% return for the Morgan Stanley REIT Index.
The REIT market continued the momentum from the fourth quarter of 1996, when
the Morgan Stanley REIT Index rose 20%, into March of 1997 before topping out.
A combination of rising interest rates and a resulting slowdown from the torrid
advance in late 1996 conspired to drive REIT prices lower toward the end of the
six month period ending April 30, 1997.
The Aon REIT Index Fund will continue to minimize expenses and replicate the
performance of the Morgan Stanley REIT Index. We remain fully invested in the
REIT market and are well-positioned to meet our objectives during the remainder
of 1997.
John C. DeCaro, II
Portfolio Manager
8
<PAGE> 10
[AONFUNDS LOGO]
INTERNATIONAL EQUITY FUND
Comparison of a $10,000 Investment
The following graph illustrates the growth of a $10,000 investment in the
International Equity Fund at the inception of the Fund and at certain
subsequent periods, compared to the growth of an investment in a comparative
index over the same periods. The illustration assumes that all dividends and
distributions are reinvested:
[LINE GRAPH]
<TABLE>
<CAPTION>
International MCSI
Equity Fund Non-U.S. Index
<S> <C> <C>
09/03/96 10,000 10,000
10/31/96 10,232 10,202
04/30/97 10,920 10,383
</TABLE>
<TABLE>
<CAPTION>
September 3, 1996
COMPARISON OF RETURNS Six months to April 30, 1997
- ---------------------------------------------------------
<S> <C> <C>
International Equity Fund (1) 6.72% 9.20%
MSCI Non-U.S. Index(2) 1.78% 3.83%
</TABLE>
(1) Total return is calculated including reinvestment of all income and capital
gain distributions. Results represent past performance and do not indicate
future results. The value of an investment in the International Equity Fund
and the return on investment will fluctuate, and redemption proceeds may be
higher or lower than an investor's original cost.
(2) The MSCI Non-U.S. Index is an unmanaged index generally considered to be
representative of International equity market activity. This data is derived
by Aon Funds and includes reinvestment of all dividends and capital gain
distributions.
9
<PAGE> 11
[AON FUNDS LOGO]
INTERNATIONAL EQUITY FUND
Management Discussion of Fund Performance
PERFORMANCE
For the six months ended April 30, the portfolio returned 6.72%. For the same
period, the Morgan Stanley Capital International Non-U.S. Equity (Free) Index
(MSCI Index) returned 1.78%. The portfolio's strong performance relative to the
MSCI Index was the result of successful security selection and currency
management.
Stock selection, especially in Japan, contributed to the performance of the
Fund relative to the MSCI Index. The strategy to underweight the Japanese banks
and emphasize the Japanese electrical and electronics stocks added handsomely
to performance.
Currency management had a significant positive impact on the Fund. Our
defensive strategy characterized by a large underweight of the Japanese yen and
minimal exposure to the deutschemark-related currencies contributed over half
of the positive performance relative to the MSCI Index.
The contribution from the market allocation strategy was flat for the six month
period. The decision to underweight the Japanese and Southeast Asian markets in
favor of the other non-U.S. equity markets added to performance. However, the
5% cash allocation in the Fund offset this positive contribution.
STRATEGY
With very few exceptions, non-U.S. equity markets are relatively expensive.
Given our valuation analyses and fundamental considerations, we are underweight
Japan by 3.0% and the other markets in the index by 2.0%. The Aon International
Equity Fund continues to hold a 5% strategic cash position reflecting this
view.
Most currencies are now close to fair value in relation to the U.S. dollar. The
deutschemark-bloc currencies and Japanese yen underweights were eliminated in
March, resulting in neutral weightings. The current strategy is underweight the
Australian and Hong Kong dollars and the British pound; these underweights are
offset by a hedge into the U.S. dollar.
Industry and stock selection favors European banks and European steel
companies, resource based industries and Japanese electrical and electronic
firms. The portfolio continues to maintain a large underweight in Japanese
banks, although it has been trimmed back over the last few months in response
to falling prices.
Brinson Partners, Inc. Aon Advisors, Inc.
Subadvisor Portfolio Manager
10
<PAGE> 12
[AON FUNDS LOGO]
GOVERNMENT SECURITIES FUND
Comparison of a $10,000 Investment
The following graph illustrates the growth of a $10,000 investment in the
Government Securities Fund and in the Lehman Brothers Government Index from the
inception of the Fund to April 30, 1997. The illustration assumes that all
dividends and distributions are reinvested.
[LINE GRAPH]
<TABLE>
<CAPTION>
Government Securities Lehman Brothers
Fund Government Index
<S> <C> <C>
09/03/96 10,000 10,000
10/31/96 10,279 10,365
04/30/97 10,370 10,502
</TABLE>
<TABLE>
<CAPTION>
September 3, 1996
COMPARISON OF RETURNS Six months to April 30, 1997
- ------------------------------------------------------------------------
<S> <C> <C>
Aon Government Securities Fund(1) 0.89% 3.70%
Lehman Brothers Government Index(2) 1.32% 5.02%
</TABLE>
(1)Total return is calculated including reinvestment of all income and capital
gain distributions. Results represent past performance and do not indicate
future results. The value of an investment in the Government Securities Fund
and the return on investment will fluctuate, and redemption proceeds may be
higher or lower than an investor's original cost.
(2)The Lehman Brothers Government Index is an unmanaged index generally
considered to be representative of bond market activity. This data is derived
by Aon Funds and includes reinvestment of all dividends and capital gain
distributions.
11
<PAGE> 13
[AON FUNDS LOGO]
GOVERNMENT SECURITIES FUND
Management Discussion of Fund Performance
U.S. Treasury yields increased during the six months ending April 30, 1997. The
rise in yields was essentially attributable to rapid gross domestic product
(GDP) growth. This rapid growth reignited inflation fears and prompted the
Federal Reserve to increase the Federal Funds Rate 0.25% in March. The higher
treasury yields caused prices to decline.
The total return of the Fund was 0.89%. The Lehman Government Bond Index
returned 1.32%. The relative underperformance is largely due to investment
expenses and a slightly longer duration in a period of rising rates.
We are currently forecasting lower interest rates. In anticipation, the Fund
intends to lock in current yields and capture capital gains by extending
duration. A longer duration may result in increased volatility but should
provide a greater total return over longer investment horizons. Other avenues
being explored to enhance performance include securities lending and increased
investment in higher yielding agency issues.
Frank Wren
Portfolio Manager
<PAGE> 14
STATEMENT OF ASSETS AND LIABILITIES
MONEY MARKET FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
ASSETS
Investments in securities at amortized cost
which approximates fair value $ 633,488,585
Interest receivable 71,234
Cash 28
---------------
Total Assets 633,559,847
LIABILITIES
Dividends payable 2,351,765
Accrued expenses payable 163,083
Investment advisory fees payable 128,838
---------------
Total Liabilities 2,643,686
---------------
NET ASSETS $ 630,916,161
===============
Net Asset Value Per Share $ 1.00
===============
</TABLE>
See accompanying notes to the financial statements. 13
<PAGE> 15
STATEMENT OF OPERATIONS
MONEY MARKET FUND
FOR THE SIX MONTHS ENDED APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest $ 12,348,936
---------------
Total Investment Income 12,348,936
EXPENSES
Investment advisory fees 680,843
Fund administration fees 113,474
Audit 79,384
Registration fees 28,987
Fund accounting fees 26,523
Trustees fees 16,215
Custodian fees 9,917
Legal fees 9,766
Transfer agent fees 2,945
Printing 2,235
Other 1,972
---------------
Total Expenses 972,261
Less: Fee Waiver 340,422
---------------
Net Expenses 631,839
---------------
NET INVESTMENT INCOME $ 11,717,097
===============
</TABLE>
See accompanying notes to the financial statements. 14
<PAGE> 16
STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET FUND
UNAUDITED
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 1997 OCTOBER 31, 1996
--------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income $ 11,717,097 $ 21,477,597
Net realized loss 0 0
Change in net unrealized appreciation 0 0
--------------- ---------------
Net increase in net assets from operations 11,717,097 21,477,597
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (11,717,097) (21,477,597)
Net realized gain 0 0
Distributions in excess of realized gain 0 0
--------------- ---------------
Total distributions (11,717,097) (21,477,597)
(11,717,097)
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares 2,803,770,522 4,625,262,667
Net asset value of shares issued upon
reinvestment of dividend 3,833,942 6,166,458
Cost of redemption of shares (2,571,792,557) (4,656,418,504)
--------------- ---------------
Increase in net assets from capital 235,811,907 (24,989,379)
transactions --------------- ---------------
Increase in net assets 235,811,907 (24,989,379)
Net assets at beginning of period 395,104,254 420,093,633
--------------- ---------------
Net assets at end of period $ 630,916,161 $ 395,104,254
=============== ===============
Undistributed net investment income $ 0 $ 0
=============== ===============
</TABLE>
See accompanying notes to the financial statements. 15
<PAGE> 17
SCHEDULE OF INVESTMENTS
MONEY MARKET FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE
OF PRINCIPAL
NET ASSETS AMOUNT VALUE
---------- --------- ------------
COMMERCIAL PAPER
<S> <C> <C> <C>
Auto & Truck 5.32%
Ford Motor Credit
5.55% due May 27, 1997 $ 5,000,000 $ 4,979,958
5.56% due June 4, 1997 10,000,000 9,947,489
5.61% due July 7, 1997 5,000,000 4,947,796
Preferred Receivables Funding Corp.
5.29% due May 29,1997 13,750,000 13,693,426
------------
33,568,669
Banking - Foreign 5.42%
Canadian Imperial
5.31% due June 2, 1997 4,500,000 4,478,760
5.54% due June 10, 1997 10,000,000 9,938,444
International Lease Finance Corp.
5.35% due June 23, 1997 10,000,000 9,921,236
5.60% due July 15, 1997 5,000,000 4,941,667
5.65% due August 19, 1997 5,000,000 4,913,681
------------
34,193,788
Conglomerate 6.23%
AVCO Financial Services, Inc.
5.30% due May 28, 1997 5,500,000 5,478,138
5.63% due July 28, 1997 10,000,000 9,862,378
Gannett Inc.,
5.50% due May 2, 1997 9,000,000 8,998,625
Philip Morris
5.48% due May 5, 1997 15,000,000 14,990,867
------------
39,330,008
Chemical 2.39%
Nalco Chemical Co.
5.50% due May 27, 1997 15,125,000 15,064,920
</TABLE>
See accompanying notes to the financial statements. 16
<PAGE> 18
SCHEDULE OF INVESTMENTS
MONEY MARKET FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE
OF PRINCIPAL
NET ASSETS AMOUNT VALUE
---------- ----------- ------------
<S> <C> <C> <C>
Finance - Miscellaneous 15.60%
AIG Funding, Inc.
5.55% due May 1, 1997 $ 2,000,000 $ 2,000,000
American Express
5.45% due May 13, 1997 10,000,000 9,981,833
5.50% due May 28, 1997 10,000,000 9,958,750
Associates Corp. North America
5.50% due May 29, 1997 5,000,000 4,978,611
5.55% due June 2, 1997 5,000,000 4,975,333
5.59% due July 2, 1997 10,000,000 9,903,728
Beneficial Corp.
5.28% due June 12, 1997 10,000,000 9,935,133
5.58% due June 30, 1997 10,000,000 9,907,000
First of America Bank
5.13% due May 9, 1997 2,000,000 2,000,000
General Electric Capital
5.33% due May 5, 1997 8,600,000 8,594,907
5.35% due May 16, 1997 6,400,000 6,385,733
5.55% due June 11, 1997 5,000,000 4,968,396
Household Financial Corp.
5.54% due June 17, 1997 5,000,000 4,963,836
5.61% due July 21, 1997 10,000,000 9,873,775
------------
98,427,035
Finance - Service 9.53%
Goldman Sachs Group
5.48% due May 23, 1997 15,431,000 15,379,323
5.65% due July 21, 1997 5,000,000 4,936,438
Merrill Lynch and Co.
5.38% due May 27, 1997 10,000,000 9,961,144
5.65% due July 7, 1997 5,000,000 4,947,424
5.65% due July 21, 1997 5,000,000 4,936,438
</TABLE>
See accompanying notes to the financial statements. 17
<PAGE> 19
SCHEDULE OF INVESTMENTS
MONEY MARKET FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE
OF PRINCIPAL
NET ASSETS AMOUNT VALUE
---------- ----------- ------------
<S> <C> <C> <C>
Morgan Stanley Group
5.47% due May 6, 1997 $20,000,000 $ 19,984,806
------------
60,145,573
Food 4.51%
AVNET Inc.
5.50% due June 23, 1997 5,000,000 4,959,514
5.56% due June 23, 1997 3,700,000 3,669,713
5.63% due July 2, 1997 5,000,000 4,951,519
Sara Lee
5.53% due June 25, 1997 15,000,000 14,873,271
------------
28,454,017
Insurance 5.41%
First Chicago Financial Corp.
5.55% due May 14, 1997 1,173,000 1,170,649
Prudential Funding Corp.
5.50% due May 28, 1997 5,000,000 4,979,375
5.38% due August 8, 1997 15,000,000 14,778,075
SBC Corp.
5.55% due June 23, 1997 13,325,000 13,216,124
------------
34,144,223
Metal, Mining & Steel 2.37%
Minnesota Mining & MFG
5.50% due May 30, 1997 15,000,000 14,933,542
Miscellaneous 1.32%
Asset Securitization Corp.
5.50% due May 13, 1997 8,350,000 8,334,692
Oil & Gas 3.12%
Du Pont
5.63% due August 18, 1997 20,000,000 19,659,072
</TABLE>
See accompanying notes to the financial statements. 18
<PAGE> 20
SCHEDULE OF INVESTMENTS
MONEY MARKET FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE
OF PRINCIPAL
NET ASSETS AMOUNT VALUE
---------- ----------- ------------
<S> <C> <C> <C>
Printing & Publishing 1.58%
McGraw - Hill
5.50% due May 5, 1997 $10,000,000 $ 9,993,889
Technology 8.35%
IBM Credit
5.57% due June 13, 1997 20,000,000 19,866,939
Motorola Credit Co.
5.45% due May 12, 1997 7,333,000 7,320,789
Pitney - Bowes Credit
5.30% due June 6, 1997 12,000,000 11,936,400
Warner Lambert Co.
5.30% due June 2, 1997 13,600,000 13,535,929
------------
52,660,057
Telecommunication 2.20%
Ameritech Capital Funding Corp.
5.55% due June 27, 1997 14,000,000 13,876,975
Utility - Communication 2.38%
Bell South Telecommunications
5.48% due May 2, 1997 15,000,000 14,997,717
Utility - Electric 5.60%
Florida Power Corp.
5.49% due May 22, 1997 15,500,000 15,450,361
Pacific Gas & Electric
5.55% due June 17, 1997 20,000,000 19,855,082
------------
35,305,443
Total Commercial Paper 81.33% 513,089,620
</TABLE>
See accompanying notes to the financial statements. 19
<PAGE> 21
SCHEDULE OF INVESTMENTS
MONEY MARKET FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE
OF PRINCIPAL
NET ASSETS AMOUNT VALUE
---------- ----------- ------------
<S> <C> <C> <C>
U.S. Government Securities
Government Agency 2.38%
Federal Home Loan Bank
5.41% due May 1, 1997 $15,000,000 $ 15,000,000
Federal Home Loan Mortgage Corp. 8.27%
5.45% due May 15, 1997 15,000,000 14,968,208
5.28% due June 3, 1997 8,000,000 7,961,280
5.28% due June 3, 1997 5,000,000 4,975,800
5.29% due June 6, 1997 4,480,000 4,456,301
5.50% due June 27, 1997 10,000,000 9,912,917
5.50% due July 3, 1997 10,000,000 9,903,750
------------
52,178,256
Federal National Mortgage Association 3.04%
5.42% due May 9, 1997 9,240,000 9,228,871
5.41% due June 19, 1997 10,000,000 9,925,138
------------
19,154,009
------------
Total U.S. Government Securities 13.69% 86,332,265
Corporate Bond 4.25%
Asset Backed Securities
Asset Securitization Coop Corp.
5.65% due August 1, 1997 12,000,000 11,826,733
Corporate Asset Funding Co.
5.32% due May 15, 1997 15,000,000 14,968,967
------------
Total Corporate Bond 26,795,700
</TABLE>
See accompanying notes to the financial statements. 20
<PAGE> 22
SCHEDULE OF INVESTMENTS
MONEY MARKET FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE
OF PRINCIPAL
NET ASSETS AMOUNT VALUE
---------- ----------- ------------
<S> <C> <C> <C>
CERTIFICATES OF DEPOSIT 0.79%
Comerica Bank
5.25% due May 13, 1997 $ 5,000,000 $ 5,000,000
REPURCHASE AGREEMENT 0.36%
Harris Nesbit Thompson *
5.05% due May 1, 1997 2,271,000 2,271,000
------------
TOTAL INVESTMENTS 100.42% 633,488,585
------------
Liabilities, less cash and other assets -0.42% (2,572,424)
------------
TOTAL NET ASSETS 100.00% $630,916,161
============
</TABLE>
* Collateralized by U.S. Treasury Note (8.875% due February 15, 1999); held by
custodian.
See accompanying notes to the financial statements. 21
<PAGE> 23
FINANCIAL HIGHLIGHTS
MONEY MARKET FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
outstanding throughout the periods presented.
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED APRIL 30, OCTOBER 31,
1997 1996
--------------- -----------
<S> <C> <C>
Net asset value at beginning of period $ 1.00 $ 1.00
Income from investment operations:
Net investment income 0.03 0.05
Net realized and unrealized gain on securities 0.00 0.00
--------- --------
Total income from investment operations 0.03 0.05
--------- --------
Less distributions:
Dividends from net investment income 0.03 0.05
Distributions from capital gains 0.00 0.00
--------- --------
Total distributions 0.03 0.05
--------- --------
Net asset value at end of period $ 1.00 $ 1.00
========= ========
Total return 5.24%* 5.43%
Ratios and supplemental data:
Net assets at end of period (in thousands) $ 630,916 $393,097
Ratio of operating expenses to average
net assets ** 0.28%* 0.23%
Ratio of net investment income to average
net assets ** 5.16%* 5.30%
- --------------------------------------------------------------------------------
</TABLE>
* Annualized
** The Investment Advisor has agreed to waive a portion of its advisory fees.
Absent this agreement, the ratio of operating expenses to average net assets
and the ratio of net investment income to average net assets would have been
0.43% and 5.01% for the six months ended April 30, 1997 and 0.46% and 5.07% for
1996, respectively.
See accompanying notes to the financial statements. 22
<PAGE> 24
FINANCIAL HIGHLIGHTS (CONTINUED)
MONEY MARKET FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
outstanding throughout the periods presented.
<TABLE>
<CAPTION>
YEAR ENDED YEAR ENDED
OCTOBER 31, OCTOBER 31,
1995 1994
----------- -----------
<S> <C> <C>
Net asset value at beginning of period $ 1.00 $ 1.00
Income from investment operations:
Net investment income 0.06 0.04
Net realized and unrealized gain on securities * *
-------- --------
Total income from investment operations 0.06 0.04
Less distributions:
Dividends from net investment income 0.06 0.04
Distributions from capital gains * *
-------- --------
Total distributions 0.06 0.04
-------- --------
Net asset value at end of period $ 1.00 $ 1.00
======== ========
Total return 5.79% 3.73%
Ratios and supplemental data:
Net assets at end of period (in thousands) $420,094 $410,912
Ratio of operating expenses to average
net assets ** 0.14% 0.15%
Ratio of net investment income to average
net assets ** 5.79% 3.73%
</TABLE>
- --------------------------------------------------------------------------------
* Less than 1 cent per share
** The Investment Advisor has agreed to waive a portion of its advisory fees.
Absent this agreement, the ratio of operating expenses to average net assets
and the ratio of net investment income to average net assets would have been
0.39% and 5.54% for 1995 and 0.40% and 3.48% for 1994, respectively.
See accompanying notes to the financial statements. 23
<PAGE> 25
FINANCIAL HIGHLIGHTS (CONTINUED)
MONEY MARKET FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
outstanding throughout the periods presented.
<TABLE>
<CAPTION>
YEAR ENDED JANUARY 3
OCTOBER 31, TO OCTOBER 31,
1993 1992
----------- --------------
<S> <C> <C>
Net asset value at beginning of period $ 1.00 $ 1.00
Income from investment operations:
Net investment income 0.03 0.03
Net realized and unrealized gain on securities ** **
-------- --------
Total income from investment operations 0.03 0.03
Less distributions:
Dividends from net investment income 0.03 0.03
Distributions from capital gains ** **
-------- --------
Total distributions 0.03 0.03
-------- --------
Net asset value at end of period $ 1.00 $ 1.00
======== ========
Total return 3.10% 3.57%*
Ratios and supplemental data:
Net assets at end of period (in thousands) $412,068 $399,076
Ratio of operating expenses to average
net assets *** 0.17% 0.25%*
Ratio of net investment income to average
net assets *** 3.10% 3.57%*
</TABLE>
- --------------------------------------------------------------------------------
* Annualized
** Less than 1 cent per share
*** The Investment Advisor has agreed to waive a portion of its advisory fees.
Absent this agreement, the ratio of operating expenses to average net assets
and the ratio of net investment income to average net assets would have been
0.42% and 2.85% for 1993 and 0.50% and 3.32% for 1992, respectively.
See accompanying notes to the financial statements. 24
<PAGE> 26
STATEMENT OF ASSETS AND LIABILITIES
GOVERNMENT SECURITIES FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
ASSETS
Investments in securities at value (cost - $72,267,720) $ 71,440,169
Interest receivable 1,323,790
----------------
Total Assets 72,763,959
LIABILITIES
Dividends payable 337,253
Investment advisory fees payable 54,220
Accrued expenses payable 26,304
----------------
Total Liabilities 417,777
----------------
NET ASSETS $ 72,346,182
================
Net Asset Value Per Share $ 10.02
================
</TABLE>
See accompanying notes to the financial statements. 25
<PAGE> 27
STATEMENT OF OPERATIONS
GOVERNMENT SECURITIES FUND
FOR THE SIX MONTHS ENDED APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest $ 2,206,809
----------------
Total Investment Income 2,206,809
EXPENSES
Investment advisory fees 153,665
Registration fees 23,685
Fund accounting fees 18,733
Fund administration fees 17,074
Transfer agent fees 7,575
Audit fees 3,115
Custodian fees 2,691
Other 4,261
----------------
Total Expenses 230,799
----------------
Net Investment Income $ 1,976,010
----------------
NET REALIZED AND UNREALIZED LOSS ON INVESTMENTS
Net realized loss on sale of investments (318,029)
Change in net unrealized appreciation on investments (1,309,229)
----------------
Net realized and unrealized loss on investments (1,627,258)
----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 348,752
================
</TABLE>
See accompanying notes to the financial statements. 26
<PAGE> 28
STATEMENTS OF CHANGES IN NET ASSETS
GOVERNMENT SECURITIES FUND
UNAUDITED
<TABLE>
<CAPTION>
SIX MONTHS SEPTEMBER 3
ENDED THROUGH
APRIL 30, 1997 OCTOBER 31, 1996
------------------ ----------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income $ 1,976,010 $ 206,779
Net realized loss (318,029) (31,132)
Change in net unrealized appreciation (1,309,229) 481,678
------------- --------------
Net increase in net assets from operations 348,752 657,325
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (1,967,037) (204,378)
Net realized gain 0 0
Distributions in excess of realized gain 0 0
------------- ---------------
Total distributions (1,967,037) (204,378)
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares 34,347,707 40,000,000
Net asset value of shares issued upon
reinvestment of dividends 1,782,158 52,005
Cost of redemption of shares (2,670,350)
------------- ---------------
Increase in net assets from capital
transaction 33,459,515 40,052,005
------------- ---------------
Increase in net assets 31,841,230 40,504,952
Net assets at beginning of period 40,504,952 0
------------- ---------------
Net assets at end of period $ 72,346,182 $ 40,504,952
============= ===============
Undistributed net investment income $ 11,374 $ 2,401
============= ===============
</TABLE>
See accompanying notes to the financial statements. 27
<PAGE> 29
SCHEDULE OF INVESTMENTS
GOVERNMENT SECURITIES FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE
OF PRINCIPAL
NET ASSETS AMOUNT VALUE
-------------- -------------- -------------
<S> <C> <C> <C>
U.S. GOVERNMENT SECURITIES
Government Agency
Federal Home Loan Bank 2.65%
5.39% due June 2,1997 $ 840,000 $ 835,975
7.045% due August 21, 2002 1,085,000 1,077,603
------------
1,913,578
Federal Home Loan Mortgage Corp. 4.27%
5.45% due May 15, 1997 3,100,000 3,093,430
Federal National Mortgage Assciation 17.29%
5.27% due May 2, 1997 75,000 74,989
5.45% due May 2,1997 500,000 499,924
5.38% due May 7, 1997 225,000 224,798
7.125% due October 6, 2003 2,000,000 1,982,726
6.70% due November 10, 2005 10,000,000 9,724,418
------------
12,506,855
U.S. Government Notes
U.S. Treasury Notes 52.08%
6.875% due March 31, 2000 12,626,000 12,768,043
6.250% due August 31, 2000 20,034,000 19,902,535
5.625% due February 28, 2001 229,000 222,059
6.375% due March 31, 2001 457,000 454,287
6.500% due May 31, 2001 457,000 456,143
6.625% due July 31, 2001 457,000 458,000
6.500% due August 31, 2001 1,143,000 1,139,786
7.500% due May 15, 2002 686,000 713,011
6.250% due February 15, 2003 137,000 134,560
6.500% due August 15, 2005 229,000 225,494
5.875% due November 15, 2005 1,280,000 1,208,000
------------
37,681,918
</TABLE>
See accompanying notes to the financial statements. 28
<PAGE> 30
SCHEDULE OF INVESTMENTS
GOVERNMENT SECURITIES FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE
OF PRINCIPAL
NET ASSETS AMOUNT VALUE
-------------- -------------- -------------
<S> <C> <C> <C>
U.S. Treasury Bonds 22.38%
11.875% due November 15, 2003 $ 5,042,000 $ 6,411,220
7.250% due May 15, 2016 8,700,000 8,887,597
6.500% due November 15, 2026 950,000 891,218
-------------
16,190,035
-------------
Total U.S. Government Securities 98.67% 71,385,816
(cost - $72,213,367)
DEMAND NOTES
Utility-Electrical 0.08%
Wisconsin Electric
5.2962% due on demand
(cost - $54,353) 54,353 54,353
-------------
TOTAL INVESTMENTS 98.75% 71,440,169
Other assets, less liabilities 1.25% 906,013
-------------
TOTAL NET ASSETS 100.00% $ 72,346,182
=============
</TABLE>
See accompanying notes to the financial statements. 29
<PAGE> 31
FINANCIAL HIGHLIGHTS
GOVERNMENT SECURITIES FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
outstanding throughout the periods presented.
<TABLE>
<CAPTION>
SIX MONTHS SEPTEMBER 3
ENDED TO
APRIL 30, 1997 OCTOBER 31, 1996
----------------- ----------------
<S> <C> <C>
Net asset value at beginning of period $ 10.21 $ 10.00
Income from investment operations:
Net investment income 0.28 0.07
Net realized and unrealized (loss) gain on
securities (0.19) 0.21
----------- -----------
Total income from investment operations 0.09 0.28
Less distributions:
Dividends from net investment income 0.28 0.07
Distributions from capital gains 0.00 0.00
----------- -----------
Total distributions 0.28 0.07
----------- -----------
Net asset value at end of period $ 10.02 $ 10.21
=========== ===========
Total return (not annualized) 0.89% 2.79%
=========== ===========
Ratios and supplemental data:
Net assets at end of period (in thousands)* $ 72,346 $ 38,459
Ratio of operating expenses to average
net assets 0.67%* 0.89%*
Ratio of net investment income to average
net assets 5.76%* 5.59%*
Portfolio turnover rate 73% 4%
</TABLE>
- --------------------------------------------------------------------------------
* Annualized
See accompanying notes to the financial statements. 30
<PAGE> 32
STATEMENT OF ASSETS AND LIABILITIES
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
ASSETS
Investments in securities at value (cost - $113,828,392) $ 128,190,794
Interest receivable 373,059
Dividends receivable 73,991
----------------
Total Assets 128,637,844
LIABILITIES
Investment advisory fees payable 139,755
Accrued expenses payable 109,321
----------------
Total Liabilities 249,076
----------------
NET ASSETS $ 128,388,768
================
Net Asset Value Per Share $ 13.45
================
</TABLE>
See accompanying notes to the financial statements. 31
<PAGE> 33
STATEMENT OF OPERATIONS
ASSET ALLOCATION FUND
FOR THE SIX MONTHS ENDED APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
INVESTMENT INCOME
Interest $ 984,447
Dividends 607,508
----------------
Total Investment Income 1,591,955
EXPENSES
Investment advisory fees 390,893
Custodian fees 74,235
Fund administration fees 30,069
Fund accounting fees 28,053
Legal 6,908
Transfer agent fees 6,522
Other 2,583
----------------
Total Expenses 539,263
----------------
Net Investment Income $ 1,052,692
----------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on sale of investments 2,136,328
Change in net unrealized appreciation on investments 4,872,215
----------------
Net realized and unrealized gain on investments 7,008,543
----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 8,061,235
================
</TABLE>
See accompanying notes to the financial statements. 32
<PAGE> 34
STATEMENTS OF CHANGES IN NET ASSETS
ASSET ALLOCATION FUND
UNAUDITED
<TABLE>
<CAPTION>
SIX MONTHS
ENDED YEAR ENDED
APRIL 30, 1997 OCTOBER 31, 1996
---------------------------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income $ 1,052,692 $ 2,185,115
Net realized gain 2,136,328 2,255,386
Change in net unrealized appreciation 4,872,215 4,522,511
-------------- ------------
Net increase in net assets resulting from operations 8,061,235 8,963,012
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (889,541) (2,184,388)
Net realized gain (290,501) (2,070,780)
-------------- ------------
Total distributions (1,180,042) (4,255,168)
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares 53,691,803 18,179,173
3,740,490 1,694,654
Cost of redemption of shares (24,204,598) (10,077,026)
-------------- ------------
Increase in net assets from capital transactions 33,227,695 9,796,801
-------------- ------------
Increase in net assets 40,108,888 14,504,645
Net assets at beginning of period 88,279,880 73,775,235
-------------- ------------
Net assets at end of period $ 128,388,768 $ 88,279,880
============== ============
Undistributed net investment income $ 167,712 $ 4,561
============== ============
</TABLE>
See accompanying notes to the financial statements. 33
<PAGE> 35
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- -------------- ----------------
<S> <C> <C> <C>
COMMON STOCKS - BANKING & FINANCIAL SERVICE
Bank & Bank Holding Company 4.82%
Banc One Corp. 18,700 $ 792,413
Barnett Bank, Inc. 20,000 977,500
Chase Manhattan 7,450 690,056
Citicorp 11,819 1,331,115
Nations Bank Corp. 28,626 1,728,295
Texas Regional Bancshares 19,698 669,732
---------------
6,189,111
Financial Service 4.71%
Associates First Capital Corp. 15,758 807,598
Delta Financial Corp.* 38,827 524,165
Green Tree Financial Corp. 55,480 1,643,595
Household International 12,606 1,109,328
Moneygram Payment Systems* 40,013 390,127
Sirrom Capital Corp. 20,700 644,288
Student Loan Marketing Assn. 7,879 931,692
---------------
6,050,793
Insurance 1.20%
American International Group 11,968 1,537,888
Real Estate 5.72%
Cali Realty Corp. 18,122 534,599
Colonial Properties Trust 54,350 1,542,181
First Industrial Realty Trust 43,335 1,278,383
Health Care REIT, Inc. 36,375 877,547
Kilroy Realty* 3,750 88,125
MGI Properties, Inc. 18,700 388,025
Meditrust 32,074 1,170,701
Nationwide Health PPTYS, Inc. 26,958 539,160
Reckson Assoc Realty Corp. 7,500 173,438
</TABLE>
See accompanying notes to the financial statements. 34
<PAGE> 36
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- --------- ------------
<S> <C> <C> <C>
Spieker Properties, Inc. 21,416 $ 746,883
------------
7,339,042
------------
Total Common Stocks - Banking &
Financial Service 16.45% 21,116,834
COMMON STOCKS - BASIC MATERIALS
Chemical 1.37%
Dupont De Nemours & Co. 10,858 1,152,305
Polymer Group, Inc. * 47,274 602,744
------------
1,755,049
Metal & Mineral 0.38%
AK Steel Holding Corp. 13,534 490,608
Paper & Forest Products 1.47%
Fort Howard Corp. * 54,928 1,891,583
------------
Total Common Stocks - Basic
Materials 3.22% 4,137,240
COMMON STOCKS - CAPITAL GOODS
Aerospace & Defense 3.46%
Boeing 15,758 1,554,133
Decrane Airfcraft Holding, Inc.* 7,500 88,125
Sundstrand Corp. 23,637 1,152,304
Triumph Group, Inc. 22,949 582,331
United Technologies Corp. 14,021 1,060,338
------------
4,437,231
Building Supplies 0.66%
Watsco, Inc. 19,850 493,769
Watsco, Inc. B 14,830 359,628
------------
853,397
</TABLE>
See accompanying notes to the financial statements. 35
<PAGE> 37
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------------
<S> <C> <C> <C>
Electrical Equipment 1.09%
General Electric 12,606 $ 1,397,690
Engineering & Construction 1.35%
Interface, Inc. 77,251 1,728,491
Machinery - Agriculture &
Construction 2.05%
AGCO Corp. 31,516 815,477
Deere & Co. 39,395 1,812,170
-----------------
2,627,647
Machinery - Industrial 0.58%
Illinois Tool Works 8,182 747,630
Waste Management 4.13%
Allied Waste Industries, Inc. * 113,318 1,260,663
Newpark Resources, Inc. * 16,546 742,502
Philip Environmental Control * 143,800 2,264,850
USA Waste Services, Inc. * 31,516 1,032,149
-----------------
5,300,164
-----------------
Total Common Stocks - Capital Goods 13.32% 17,092,250
Common Stocks - Communication
Services
Arch Communications Group* 7,879 45,797
Clearnet Communications * 30,728 226,619
Echostar Communications * 29,625 448,078
Paging Network, Inc. * 74,779 521,116
Panamsat Corp. * 34,668 1,014,039
</TABLE>
See accompanying notes to the financial statements. 36
<PAGE> 38
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------------
<S> <C> <C> <C>
Vanguard Cellular Systems * 42,971 $ 424,339
-----------------
2,679,988
-----------------
Total Common Stocks -
Communication Services 2.09% 2,679,988
Common Stocks - Consumer Cyclical
Auto & Truck 0.43%
Harley Davidson 13,858 547,391
Printing & Publishing 1.84%
Harcourt General, Inc. 19,698 911,033
Scholastic Corp.* 29,300 732,500
Tribune Co. 16,388 719,024
-----------------
2,362,557
Retail - General 0.71%
Home Depot 15,758 913,964
-----------------
Total Common Stocks - Consumer
Cyclical 2.98% 3,823,912
Common Stocks - Consumer Staples
Communications & Media 5.54%
American Telecasting, Inc. * 39,395 51,706
Canwest Global Comm Corp. 61,456 821,974
Clear Channel Communications * 31,499 1,527,702
Cox Radio, Inc.* 31,516 638,199
Evergreen Media Corp. * 40,275 1,303,903
Outdoor Systems, Inc. * 17,728 491,952
Time Warner, Inc. 37,577 1,690,965
Universal Outdoor Holdings * 21,485 585,466
-----------------
7,111,867
</TABLE>
See accompanying notes to the financial statements. 37
<PAGE> 39
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ ------------------
<S> <C> <C> <C>
Container 0.38%
Bway Corp. * 23,637 $ 487,513
Cosmetic & Soap 0.75%
Colgate Palmolive Co. 8,667 962,037
Entertainment & Leisure 1.48%
Viacom, Inc. A * 6,912 184,032
Viacom, Inc. B * 14,490 387,608
Walt Disney Co. 16,182 1,326,924
-----------------
1,898,564
Food, Beverage & Tobacco 2.25%
Coca-Cola Enterprises 15,000 905,625
Panamerican Beverages 15,758 456,982
Pepsico, Inc. 43,819 1,528,188
-----------------
2,890,795
Retail - Food & Drugs 2.47%
Dominick's Supermarkets,
Inc. * 27,261 558,851
Kroger 82,184 2,260,060
Walgreen Co. 7,606 349,876
-----------------
3,168,787
-----------------
Total Common Stocks - Consumer
Staples 12.87% 16,519,563
COMMON STOCKS - ENERGY
Oil & Gas - Domestic 1.01%
Amoco Corp. 12,125 1,013,953
Enron Oil & Gas 15,100 281,238
-----------------
1,295,191
</TABLE>
See accompanying notes to the financial statements. 38
<PAGE> 40
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------- -----------------
<S> <C> <C> <C>
Oil & Gas International 0.53%
Mobil Corp. 3,324 $ 432,120
Royal Dutch Petroleum, Corp. ADR 1,364 245,861
-----------------
677,981
Oil & Gas Service 1.50%
Offshore Logistics, Inc.* 10,000 180,000
Transocean Offshore, Inc. 11,879 720,164
Petroleum Geo Services ADR * 26,789 1,031,377
-----------------
1,931,541
Total Common Stocks - Energy 3.04% 3,904,713
Common Stocks - Health Care
Drugs 4.14%
Lilly Eli & Co. 11,250 988,594
Merck & Co. 17,758 1,607,099
Pfizer, Inc. 19,182 1,841,472
Schering Plough Corp. 10,952 876,160
-----------------
5,313,325
Medical Products & Supplies 4.66%
Abbott Labs 24,061 1,467,721
Becton Dickenson Co. 25,758 1,184,868
Johnson & Johnson Co. 43,516 2,665,355
Nellcor Puritan Bennett, Inc. * 39,395 669,715
-----------------
5,987,659
-----------------
Total Common Stocks - Health Care 8.80% 11,300,984
COMMON STOCKS - MISCELLANEOUS
Professional Services 0.40%
Billing Information Concepts * 15,758 376,222
</TABLE>
See accompanying notes to the financial statements. 39
<PAGE> 41
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------------
<S> <C> <C> <C>
International Data Systems * 11,425 $ 137,100
----------------
Total Common Stocks - Miscellaneous 0.40% 513,322
----------------
COMMON STOCKS - TECHNOLOGY
Business - Service 1.07%
First Data 37,677 1,299,857
Itron, Inc.* 3,455 72,555
----------------
1,372,412
Computers 4.56%
Compaq Computers Corp. * 26,001 2,219,835
CISCO Systems, Inc.* 10,100 522,675
EMC Corp Massachusetts, Inc. * 28,364 1,031,741
Hewlett-Packard Co. 29,334 1,540,035
Sun Microsystems * 18,874 543,807
----------------
5,858,093
Office Equipment 0.80%
Xerox Corp. 16,800 1,033,200
Software 0.63%
Saville Systems Ireland ADR * 16,342 672,065
Sterling Commerce, Inc.* 5,400 139,725
----------------
811,790
Telecommunications 0.66%
Glenayre Technologies * 46,143 455,662
Powerwave Technologies, Inc.* 23,637 392,965
----------------
848,627
----------------
Total Common Stocks - Technology 7.72% 9,924,122
</TABLE>
See accompanying notes to the financial statements. 40
<PAGE> 42
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------------
<S> <C> <C> <C>
COMMON STOCKS - TRANSPORTATION
Miscellaneous 0.25%
Coach USA, Inc. * 12,500 $ 318,750
Trucking 0.60%
Heartland Express, Inc. * 15,758 340,767
Knight Transportation, Inc. * 19,698 428,432
-----------------
769,199
-----------------
Total Common Stocks - Transportation 0.85% 1,087,949
-----------------
Total Common Stocks
(cost - $77,541,609) 71.74% 92,100,877
U.S. GOVERNMENT SECURITIES
U.S. Government Agency
Federal National Mortgage Assn. 0.38%
5.45% due May 2, 1997 285,000 284,957
7.05% due December 10, 1998 145,000 146,601
5.45% due October 10, 2003 60,000 55,747
-----------------
487,305
Federal Home Loan Bank 5.96%
5.42% due May 29, 1997 5,065,000 5,043,648
5.39% due June 2, 1997 2,325,000 2,313,861
6.32% due December 4, 1997 290,000 290,572
-----------------
7,648,081
U.S. Government Notes
U.S. Treasury Notes 6.91%
6.00% due August 31, 1997 1,000,000 1,000,625
6.00% due May 31, 1998 1,843,000 1,841,848
5.625% due November 30, 1998 2,000,000 1,983,126
</TABLE>
See accompanying notes to the financial statements. 41
<PAGE> 43
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ----------------- ------------------
<S> <C> <C> <C>
7.125% due September 30, 1999 $ 661,000 $ 671,948
7.75% due January 31, 2000 1,508,000 1,557,482
6.50% due August 31, 2001 1,727,000 1,722,144
6.375% due August 15, 2002 100,000 99,094
----------------
8,876,267
----------------
Total U.S. Government Securities
(cost - $17,039,360) 13.25% 17,011,653
Corporate Bonds
Bank & Bank Holding Company 1.39%
Citicorp
7.125% due March 15, 2004 100,000 99,675
Huntington National
6.75% due June 15, 2003 100,000 98,184
Nationbank Corporation
7.50% due September 15, 2006 1,576,000 1,590,255
----------------
1,788,114
Communications & Media 1.83%
Airtouch Communications
7.00% due October 1, 2003 788,000 780,503
Tribune Company
6.875% due November 1, 2006 800,000 780,620
U.S. West Capital Funding
6.85% due January 15, 2002 800,000 791,794
----------------
2,352,917
Chemical 0.08%
Rhone-Poulenc
6.75% due October 15, 1999 100,000 99,950
</TABLE>
See accompanying notes to the financial statements. 42
<PAGE> 44
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ----------------- --------------
<S> <C> <C> <C>
Computer 0.57%
Oracle Corp.
6.72% due February 15, 2004 $ 750,000 $ 732,517
Consumer Durable 0.08%
Black & Decker
6.625% due November 15, 2000 100,000 99,169
Consumer Durable - Entertainment 0.22%
Brunswick Corporation
6.75% due December 15, 2006 300,000 287,611
Consumer Product 0.15%
Gillette Company
5.75% due October 15, 2005 100,000 92,113
Pep Boys Notes
6.625% due May 15, 2003 100,000 97,302
------------
189,415
Entertainment & Leisure 0.63%
Cobb Theatres
10.625% due March 1, 2003 788,000 803,760
Finance Company 1.39%
Chrysler Finance Corp.
6.95% due March 25, 2002 1,000,000 998,057
Cityscape Financial Corp.
6.00% due May 1, 2006 823,000 554,496
Commercial Credit
6.00% due June 15, 2000 236,000 230,703
------------
1,783,256
</TABLE>
See accompanying notes to the financial statements. 43
<PAGE> 45
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ----------------- ---------------
<S> <C> <C> <C>
Financial Services 0.84%
Dean Witter Discover
6.875% due March 1, 2003 $ 100,000 $ 98,713
Merrill Lynch
7.00% due January 15, 2007 1,000,000 980,619
---------------
1,079,332
Food , Beverage & Tobacco 0.86%
Canandaigua Wine
8.75% due December 15, 200 100,000 101,500
Kroger
7.65% due April 15, 2007 1,000,000 1,008,938
----------------
1,110,438
Metal & Mineral 0.72%
Aluminum Co. of America
5.75% due February 1, 2001 100,000 96,604
Southdown, Inc.
10.00% due March 1, 2006 788,000 822,475
----------------
919,079
Paper & Forest Product 0.08%
International Paper Co.
7.50% due May 15, 2004 100,000 101,433
Railroad 0.12%
Union Pacific
7.00% due June 15, 2000 150,000 150,755
</TABLE>
See accompanying notes to the financial statements. 44
<PAGE> 46
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VAlUE
---------- --------------- --------------
<S> <C> <C> <C>
Telephone 0.09%
Bell Atlantic
5.37% due July 13, 1998 $ 120,000 $ 118,764
--------------
Total Corporate Bonds
(cost - $11,959,996) 9.05% 11,616,510
Commercial Paper
Finance - Miscellaneous 1.35%
Ford Motor Credit Corp.
5.3667% due May 5, 1997 895,000 895,000
5.5682% due May 5, 1997 335,000 335,000
5.5983% due June 9, 1997 500,000 500,000
--------------
1,730,000
Finance - Service 2.38%
Merrill Lynch and Co.
5.57% due June 2, 1997 920,000 915,445
5.57% due June 19, 1997 2,155,000 2,138,662
--------------
3,054,107
--------------
Total Commercial Paper
(cost - $4,784,107) 3.73% 4,784,107
CONVERTIBLE SECURITIES 2.05%
Merrill Lynch
7.25% Strypes 22,243 1,476,379
Microsoft Corp.
2.196% Conv Preferred 6,700 573,688
Morgan Stanley
7.0% "CSCO" Preferred 12,682 588,115
--------------
Total Convertible Securities (cost - $2,463,855) 2,638,182
</TABLE>
See accompanying notes to the financial statements. 45
<PAGE> 47
SCHEDULE OF INVESTMENTS
ASSET ALLOCATION FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ------------ ------------
<S> <C> <C> <C>
DEMAND NOTE
Utility - Electrical 0.03%
Wisconsin Electric Demand Note
5.2962% due on demand $ 39,465 $ 39,465
------------
TOTAL INVESTMENTS 99.85% 128,190,794
------------
Liabilities, less other assets 0.15% 197,974
------------
TOTAL NET ASSETS 100.00% $128,388,768
============
</TABLE>
* Non-income producing security.
See accompanying notes to the financial statements. 46
<PAGE> 48
FINANCIAL HIGHLIGHTS
ASSET ALLOCATION FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
outstanding throughout the periods presented.
<TABLE>
<CAPTION>
SIX MONTHS YEAR ENDED
ENDED OCTOBER 31,
APRIL 30, 1997 1996
--------------- ------------
<S> <C> <C>
Net asset value at beginning of period $12.75 $12.04
Income from investment operations:
Net investment income 0.11 0.31
Net realized and unrealized gain
on securities 0.71 1.01
--------- ---------
Total income from investment operations 0.82 1.32
Less distributions:
Dividends from net investment income 0.09 0.31
Distributions from capital gains 0.03 0.30
--------- ---------
Total distributions 0.12 0.61
--------- ---------
Net asset value at end of period $13.45 $12.75
========= =========
Total return 6.45% ** 11.06%
========= =========
Ratios and supplemental data:
Net assets at end of period (in thousands) $128,389 $86,229
Ratio of operating expenses to average
net assets 0.89% * 0.87%
Ratio of net investment income to average
net assets 1.75% * 2.48%
Portfolio turnover rate 43% 120%
Average commission rate paid per share $0.0595 $0.0585
</TABLE>
- --------------------------------------------------------------------------------
* Annualized
** Not annualized
See accompanying notes to the financial statements. 47
<PAGE> 49
FINANCIAL HIGHLIGHTS (CONTINUED)
ASSET ALLOCATION FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
outstanding throughout the periods presented.
<TABLE>
<CAPTION>
YEAR ENDED MARCH 3
OCTOBER 31, TO OCTOBER 31,
1995 1994
------------ ---------------
<S> <C> <C>
Net asset value at beginning of period $9.97 $ 10.00
Income from investment operations:
Net investment income 0.24 0.17
Net realized and unrealized gain on securities 2.41 0.01
----------- ---------------
Total income from investment operations 2.65 0.18
Less distributions:
Dividends from net investment income 0.24 0.16
Distributions from capital gains 0.34 0.05
----------- --------------
Total distributions 0.58 0.21
----------- --------------
Net asset value at end of period $12.04 $9.97
=========== ==============
Total return 26.92% 1.84% **
=========== ==============
Ratios and supplemental data:
Net assets at end of period (in thousands) $73,775 $10,189
Ratio of operating expenses to average 0.96% 1.25% *
net assets
Ratio of net investment income to average
net assets 2.73% 2.63% *
Portfolio turnover rate 95% 64%
Average commission rate paid per share - -
</TABLE>
- -------------------------------------------------------------------------------
* Annualized
** Not annualized
See accompanying notes to the financial statements. 48
<PAGE> 50
STATEMENT OF ASSETS AND LIABILITIES
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
ASSETS
Investments in securities at value (cost - $98,390,455) $ 107,501,908
Dividends receivable 124,205
Variation margin 28,500
Interest receivable 11,191
Cash 6,150
----------------
Total Assets 107,671,954
LIABILITIES
Investment advisory fees payable 51,701
Accrued expenses payable 48,724
----------------
Total Liabilities 100,425
----------------
NET ASSETS $ 107,571,529
================
Net Asset Value Per Share $ 12.31
================
</TABLE>
See accompanying notes to the financial statements. 49
<PAGE> 51
STATEMENT OF OPERATIONS
S&P 500 INDEX FUND
FOR THE SIX MONTHS ENDED APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends $ 743,031
Interest 141,210
----------------
Total Investment Income 884,241
EXPENSES
Investment advisory fees 120,917
Custodian fees 22,605
Fund accounting fees 24,887
Registration fees 21,833
Fund administration fees 21,156
Transfer agent fees 7,422
Audit fees 3,541
Legal 1,969
Other 2,813
----------------
Total Expenses 227,143
----------------
NET INVESTMENT INCOME $ 657,098
----------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
AND FUTURES CONTRACTS
Net realized gain on sale of investments 23,585
Net realized gain on closing of futures contracts 261,785
Change in net unrealized appreciation on investments 8,261,633
Change in net unrealized appreciation on futures contracts 61,290
----------------
Net realized and unrealized gain on investments
and futures contracts 8,608,293
----------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 9,265,391
================
See accompanying notes to the financial statements. 50
</TABLE>
<PAGE> 52
STATEMENTS OF CHANGES IN NET ASSETS
S&P 500 INDEX FUND
UNAUDITED
<TABLE>
<CAPTION>
SIX MONTHS SEPTEMBER 3
ENDED THROUGH
APRIL 30, 1997 OCTOBER 31, 1996
----------------- ------------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income $ 657,098 $ 38,900
Net realized gain 285,370 (30)
Change in net unrealized appreciation 8,322,923 849,820
------------- ----------------
Net increase in net assets from operations 9,265,391 888,690
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (144,531) (36,944)
Net realized gain 0 0
Distributions in excess of realized gain 0 0
------------- ----------------
Total distributions (144,531) (36,944)
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares 80,715,236 25,000,000
Net asset value of shares issued upon
reinvestment of dividends 181,475 0
Cost of redemption of shares (8,297,788) 0
------------- ----------------
Increase in net assets from capital transactions 72,598,923 25,000,000
------------- ----------------
Increase in net assets 81,719,783 25,851,746
Net assets at beginning of period 25,851,746 0
------------- ----------------
Net assets at end of period $ 107,571,529 $ 25,851,746
============= ================
Undistributed net investment income $ 514,523 $ 1,956
============= ================
</TABLE>
See accompanying notes to the financial statements. 51
<PAGE> 53
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
COMMON STOCKS - BANKING & FINANCIAL SERVICE
Bank & Bank Holding Company 6.85%
Banc One Corp. 6,998 $ 296,540
Bank of New York 6,265 247,468
Bankamerica Corp. 5,796 677,408
Bankboston Corporation 2,424 176,346
Bankers Trust of New York 1,316 107,090
Barnett Bank, Inc. 3,056 149,362
Chase Manhattan 7,071 654,951
Citicorp 7,343 827,005
Comerica, Inc. 1,893 110,741
Corestates Financial 3,633 183,921
Fifth Third Bancorp 1,686 125,818
First Bank System, Inc. 2,317 177,830
First Chicago NBD Corp. 5,052 284,175
First Union Corp. 4,417 371,028
Fleet Financial Group, Inc. 4,278 260,958
Mellon Bank 2,055 170,822
Morgan (J.P.) & Co., Inc. 3,002 305,829
Nations Bank Corp. 12,238 738,869
Norwest Corp. 6,003 299,400
PNC Financial Corp. 5,480 225,365
Republic New York Corp. 947 86,769
Sun Trust Banks, Inc. 3,633 184,375
U.S. Bancorp 2,424 138,471
Wachovia Corp. 2,686 157,131
Wells Fargo & Co. 1,559 415,863
----------
7,373,535
Finance Company 1.82%
Ahmanson H. F. & Co. 1,739 66,299
American Express Co. 7,689 506,513
</TABLE>
See accompanying notes to the financial statements. 52
<PAGE> 54
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINICIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------- ------------ ----------
<S> <C> <C> <C>
Beneficial Corp. 893 $ 57,152
Great Western Financial 2,263 95,046
Household International 1,578 138,864
Merrill Lynch 2,686 255,842
National City Corp. 3,633 177,109
Saloman, Inc. 1,686 84,300
Travelers Group, Inc. 10,323 571,636
----------
1,952,761
Financial Service 1.33%
Conseco, Inc. 2,600 107,575
Dean Witter Discover & Co. 5,264 201,348
Fannie Mae 17,640 725,445
Green Tree Financial Corp. 2,263 67,041
MBNA Corp. 5,449 179,817
Morgan Stanley Group, Inc. * 2,424 153,015
----------
1,434,241
Insurance 3.57%
Aetna Life and Casualty Co. 2,398 218,518
Allstate Corp. 7,112 465,836
American General Corp. 3,317 144,704
American International Group 7,635 981,098
Aon Corporation 1,739 115,644
CHUBB Group 2,794 161,354
Cigna Corp. 1,262 189,773
General RE Corp. 1,262 211,070
ITT Hartford Group * 1,947 145,052
Jefferson Pilot 1,095 63,236
Keycorp 3,687 192,185
Lincoln National Corp. 1,686 94,416
Marsh & McLennan Co. 1,108 133,514
MBIA Inc. 685 66,702
</TABLE>
See accompanying notes to the financial statements. 53
<PAGE> 55
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINICIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------- ------------ ------------
<S> <C> <C> <C>
MGIC Investment 947 $ 76,944
Providian Corp. 1,578 91,130
Safeco Corp. 2,001 80,040
St. Paul Companies 1,370 91,790
Torchmark Corp. 1,108 68,835
Transamerica Corp. 1,054 89,327
Unum Corp. 1,208 93,016
USF&G 1,947 l38,940
USLife Corp. 584 28,324
------------
3,841,448
Savings & Loan 0.41%
Fed Home Loan Mortgage Corp. * 11,792 375,870
Golden West Financial 947 61,555
------------
437,425
Total Common Stocks - Banking & Financial
Service 13.98% 15,039,410
COMMON STOCKS - CAPITAL GOODS
Conglomerate 0.24%
Tenneco, Inc. 2,740 109,258
Tyco International Ltd 2,424 147,864
-----------
257,122
Electrical Equipment 3.31%
AMP, Inc. 3,559 127,679
Emerson Electric Co. 7,266 368,750
General Electric 26,599 2,949,164
General Instrument Corp. * 2,263 52,898
Grainger WW, Inc. 820 61,808
-----------
3,560,299
Machinery - Agricultural 0.06%
Case Equipment 1,208 66,893
</TABLE>
See accompanying notes to the financial statements. 54
<PAGE> 56
SCHEDULE OF INVESTMENTS
S&p 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
-------------- ----------- -----------
<S> <C> <C> <C>
Machinery - Industrial 0.12%
Giddings & Lewis, Inc 577 $ 11,684
Harnischfeger 766 31,885
Thermo Electron Corp. 2,600 89,700
----------
133,269
Pollution Control 0.31%
Browning Ferris 3,425 97,184
WMX Technologies, Inc. 7,950 233,531
----------
330,715
Production 1.28%
Briggs & Stratton 450 22,106
Caterpillar, Inc. 3,056 271,984
Cincinnati Milacron, Inc. 631 12,778
Cooper Industries 1,739 79,994
Deere & Co. 4,110 189,060
Dover Co. 1,893 100,329
FMC Corp. * 631 42,356
Foster Wheeler Corp. 685 26,458
Illinois Tool Works 2,001 182,841
Ingersoll Rand Co. 1,739 85,428
Pall Corp. 1,893 43,776
Parker Hannifin 1,262 62,785
Raychem 685 44,183
Timken Co. 604 35,108
Westinghouse Electric 10,142 172,414
----------
1,371,600
Transportation Equipment 0.03%
Cummins Engine 631 35,415
----------
Total Common Stocks - Capital
Goods 5.35% 5,755,313
</TABLE>
See accompanying notes to the financial statements. 55
<PAGE> 57
SCHEDULE OF INVESTMENTS
S&P 400 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- ---------
<S> <C> <C> <C>
Common Stocks - Consumer Cyclical
Appliance 0.21%
Armstrong World Industries 631 $ 41,488
Black & Decker 1,370 45,895
Maytag Corp. 1,632 37,332
Snap On Tools, Inc. 1,001 38,539
Whirlpool Corp. 1,262 58,999
----------
222,253
Auto Part 0.06%
Autozone Inc. 2,600 63,700
Auto & Truck 2.05%
Aeroquip - Vickers, Inc. 450 18,169
Chrysler Corp. 11,133 333,990
Dana 1,632 52,020
Eaton Corp. 1,262 94,492
Echlin Corp. 1,001 32,658
Ford Motor Co. 19,064 662,474
General Motors Corp. 12,268 710,011
Genuine Parts Co. 2,920 94,535
ITT Industries, Inc. 1,947 49,162
Paccar, Inc. 631 44,091
TRW, Inc. 2,109 109,932
----------
2,201,534
Building Material 0.05%
Johnson Controls 1,370 52,574
Household Product 0.11%
Federated Department Stores * 3,371 114,614
</TABLE>
See accompanying notes to the financial statements. 56
<PAGE> 58
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- ----------
<S> <C> <C> <C>
Housing 0.10%
Costco Companies, Inc. * 3,509 $ 101,322
Kaufman & Broad Home Corp. 631 8,755
----------
110,077
Lodging 0.11%
HFS, Inc. * 2,001 118,559
Retail - General 3.62%
American Greetings Co. 1,262 40,384
American Stores Comp. 2,371 107,881
Charming Shoppes, Inc. * 1,686 9,958
Circuit City Stores, Inc. 1,632 64,668
Dayton Hudson Corp. 3,425 154,125
Dillard Dept. Stores * 1,793 55,359
Gap, Inc. 4,633 147,677
Giant Foods 1,001 32,282
Great Atlantic & Pacific 631 15,696
Home Depot 7,743 449,094
Jostens 631 15,065
Kroger * 4,002 110,055
Lowes Companies 2,740 104,120
May Dept. Stores 4,029 186,341
Mercantile Stores Co. 658 32,407
Nordstrom, Inc. 1,316 51,653
Penny JC Co. 3,933 187,801
Pep Boys - Manny, Mo, Jack 1,001 32,658
Rite Aid Corp. 1,970 90,620
Sears Roebuck & Co. 6,319 303,312
Supervalu, Inc. 1,054 32,279
Tandy Corp. 947 49,599
The Limited Ltd. 4,346 78,771
</TABLE>
See accompanying notes to the financial statements. 57
<PAGE> 59
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -------------
<TABLE>
<S> <C> <C> <C>
TJX Cos, Inc. 1,208 $ 57,078
Toys "R" Us, Inc. * 4,372 124,602
Wal-Mart Stores, Inc. 37,120 1,048,640
Walgreen Co. 4,002 184,092
Winn-Dixie Stores, Inc. 2,424 84,234
Woolworth Corp. * 2,109 45,344
------------
3,895,795
Textile & Apparel 0.50%
CVS Corp. 1,686 83,668
Liz Claiborne, Inc. 1,208 54,662
Nike 4,633 260,606
Reebok International Ltd. * 947 36,223
Russell Co. 631 17,510
Spring Industries 302 14,119
VF Corp. 1,027 74,072
------------
540,860
Tire & Rubber 0.18%
Cooper Tire & Rubber Co. 1,370 30,140
Goodrich BF Co. 893 35,608
Goodyear Tire & Rubber 2,478 130,405
------------
196,153
------------
Total Common Stocks - Consumer Cyclical 6.99% 7,516,119
COMMON STOCKS - CONSUMER NON-DURABLE
Apparel 0.05%
Fruit of The Loom, Inc. * 1,262 45,432
Stride Rite Corp. 766 10,533
------------
55,965
</TABLE>
See accompanying notes to the financial statements. 58
<PAGE> 60
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Business Service 1.34%
Autodesk, Inc. 766 $ 27,193
Automatic Data Processing, Inc. 4,687 212,087
Ceridian Corporation * 1,054 35,177
Cisco Systems, Inc. * 10,429 539,701
Computer Associates 5,896 306,592
Computer Sciences * 1,289 80,563
Deluxe Corp. 1,316 40,303
Dun & Bradstreet 2,740 67,473
H & R Block 1,686 54,374
Harland John H Co. 450 9,281
Moore Corp. * 1,632 32,844
National Service Inds. 739 31,130
----------
1,436,718
Communications & Media 1.29%
Andrew Corp. 1,536 38,016
Comcast Corp. 5,372 84,609
Dow Jones & Co. 1,578 63,909
Gannett Co., Inc. 2,344 204,514
Harcourt General, Inc. 1,208 55,870
Interpublic GRP Companies, Inc. 1,316 74,519
Knight Ridder, Inc. 1,578 61,345
New York Times 1,632 70,584
Tele Communications, Inc. * 10,583 146,178
Time Warner, Inc. 9,167 412,515
Times Mirror Co. 1,686 93,152
Tribune Co. 2,002 87,838
----------
1,393,049
</TABLE>
See accompanying notes to the financial statements. 59
<PAGE> 61
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Consumer Product 0.20%
Cognizant Corp. 2,740 $ 89,393
Newell Co. 2,605 91,175
Tupperware Corporation 1,001 33,283
----------
213,851
Cosmetic & Soap 2.54%
Alberto-Culver Co. 900 26,213
Avon Products, Inc. 2,109 129,967
Clorox 793 101,008
Colgate Palmolive Co. 2,371 263,181
Gillette Co. 8,812 749,020
Int'l Flavors & Fragrance 1,739 73,255
Procter & Gamble 11,060 1,390,795
----------
2,733,439
Drugs 8.44%
Abbott Labs 12,638 770,918
Allergan 1,054 28,195
Alza Corp. 1,370 40,073
Amer Home Products Corp. 10,267 680,189
Bard C.R., Inc. 947 30,067
Baxter International, Inc. 4,372 209,310
Becton Dickinson Co. 2,001 92,046
Bristol-Meyer/Squibb 16,116 1,055,598
Guidant Corp. 1,316 89,817
Humana, Inc. * 2,632 57,246
Johnson & Johnson Co. 21,489 1,316,201
Lilly Eli & Co. 8,797 773,036
Medtronic, Inc. 3,894 269,660
Merck & Co. 19,642 1,777,601
Pfizer, Inc. 10,375 996,000
Pharmacia & Upjohn, Inc. 8,261 244,732
</TABLE>
See accompanying notes to the financial statements. 60
<PAGE> 62
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Schering Plough Corp. 6,003 $ 480,240
St. Jude Medical 1,303 42,348
Tenet Healthcare Corp. * 4,925 128,050
-----------
9,081,327
Entertainment & Leisure 0.97%
Brunswick Corp. 1,632 46,104
Hasbro, Inc. 2,055 51,375
King World Productions, Inc. * 631 23,032
Mattel CS 4,388 122,316
McDonalds Corp. 11,322 607,142
Viacom, Inc. * 5,742 153,599
Wendys International 2,055 42,384
-----------
1,045,952
Food, Beverage, & Tobacco 7.42%
American Brands * 2,740 147,275
Archer-Daniels-Midland Co. 8,805 161,792
Campbell Soup 7,174 366,771
Coca-Cola Co. 39,607 2,519,995
Conagra, Inc. 3,948 227,504
CPC International, Inc. 2,317 191,442
Dardeen Restaurants 2,578 19,980
Fleming Companies, Inc. 631 10,254
General Mills 2,578 159,836
H J Heinz Co. 6,030 250,245
Hershey Foods 2,424 131,502
Kellogg Co. 3,371 235,127
Loews Corp. 1,893 173,919
Pepsico, Inc. 25,229 879,861
Philip Morris Co., Inc. 39,807 1,567,401
Pioneer Hi-Bred International 1,316 92,943
Quaker Oats 2,209 88,360
</TABLE>
See accompanying notes to the financial statements. 61
<PAGE> 63
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Ralston-Ralston Purina Group 1,686 $ 138,884
Sara Lee Corp. 7,797 327,474
Sysco Corp. 2,948 104,654
UST, Inc. 3,002 78,427
Wrigley WM JR Co. 1,893 110,267
-----------
7,983,913
Health Care 0.67%
Bausch & Lomb, Inc. 947 38,235
Beverly Enterprises 1,632 23,664
Biomet, Inc. 1,893 28,750
Corning Corporation 3,687 177,898
Manor Care 1,001 23,398
Warner-Lambert Co. 4,372 428,456
-----------
720,401
Health Care Service 0.72%
Boston Scientific Corp * 2,894 139,636
Columbia/HCA Healthcare Corp. 10,798 377,930
Healthsouth Corp. * 5,400 106,650
United Healthcare Corp. 3,002 145,972
-----------
770,188
Hospital Supply & Service 0.03%
US Surgical Corp. 1,001 34,284
Liquor 0.60%
Anheuser-Busch Companies, Inc. 8,004 343,172
Brown Foremann 1,054 53,227
Coors 631 14,434
Seagrams LTD * 6,057 231,680
-----------
642,513
</TABLE>
See accompanying notes to the financial statements. 62
<PAGE> 64
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Office Product 0.06%
Avery Dennison Co. 1,786 $ 65,636
Printing & Publishing 0.17%
Donnelley RR & Sons 2,424 83,022
McGraw Hill Cos, Inc. 1,632 83,028
Meredith Corp. 846 19,881
----------
185,931
Retail-Food and Drugs 0.24%
Albertson's, Inc. 4,083 134,739
K Mart * 7,797 106,234
Longs Drug Stores 684 17,271
----------
258,244
Travel & Recreation 1.20%
CUC International, Inc. * 6,403 135,263
Fleetwood Enterprises 577 15,218
Harrahs Entertainment, Inc. * 1,686 26,976
Hilton Hotels Corp. 3,902 105,354
Marriott International 2,055 113,539
Walt Disney Co. 10,959 898,638
----------
1,294,988
Total Common Stocks - Consumer
Non - Durable 25.94% 27,916,399
COMMON STOCKS - ENERGY
Energy Raw Material 0.44%
Baker Hughes, Inc. 2,317 79,937
Dresser Industries 2,948 88,072
Eastern Enterprises 342 11,585
Halliburton Co. 1,893 133,693
Louisiana Land & Exploration 564 28,200
</TABLE>
See accompanying notes to the financial statements. 63
<PAGE> 65
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
McDermott International 893 $ 16,521
Occidental Petroleum 5,264 116,466
-----------
474,474
Natural Gas 0.15%
Enron 4,056 152,607
Oneok, Inc. 450 13,388
-----------
165,995
Oil & Gas-Domestic 1.73%
Amerada Hess Corp. 1,478 71,868
Amoco Corp. 8,004 669,335
Ashland, Inc. 1,054 47,035
Atlantic Richfield 2,632 358,281
Burlington Resources, Inc. 2,001 84,792
Columbia Gas System, Inc. 974 60,266
Helmerich & Payne 383 18,288
Kerr-McGee Co. 766 46,247
Oryx Energy * 1,686 33,720
Pennzoil 739 36,396
Phillips Petroleum Co. 4,264 167,895
Santa Fe Energy Res. * 1,424 20,114
Sun Co. 1,262 34,547
Unocal Corp. 4,002 152,576
Western Atlas Inc. * 893 55,366
-----------
1,856,726
Oil & Gas-International 5.43%
Chevron Corp. 10,583 724,936
Exxon Corp. 40,130 2,272,361
Mobil Corp. 6,373 828,490
Royal Dutch Petroleum ADR * 8,689 1,566,192
Texaco 4,264 449,852
-----------
5,841,831
</TABLE>
See accompanying notes to the financial statements. 64
<PAGE> 66
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C>
Oil & Gas-Service 0.53%
Rowan Cos, Inc. * 1,370 $ 24,660
Schlumberger * 3,948 437,241
Union Pacific Resources Group 4,012 108,825
-----------
570,726
-----------
Total Common Stocks - Energy 8.28% 8,909,752
COMMON STOCKS - MANUFACTURING
Building & Housing 0.30%
Centex Corp. 423 15,228
Crane Co. 975 36,441
Fluor Corp. 1,370 75,350
Masco Co. 2,632 99,358
Owens Corning 793 32,117
Pulte Corp. 369 10,517
Stanley Works 1,424 55,358
-----------
324,369
Chemical 2.80%
Air Products & Chemicals, Inc. 1,739 124,773
Dow Chemical 3,948 335,087
DuPont De Nemours & Co. 9,059 961,386
Ecolab, Inc. 1,001 40,791
Grace WR & Co. 1,424 74,048
Great Lakes Chemical 1,001 42,417
Hercules 1,699 66,898
Millipore Corp. 712 26,878
Monsanto Co. 9,428 403,047
Morton International, Inc. * 2,317 97,024
Nalco Chemical Co. 1,054 37,944
PPG Industries 3,002 163,234
</TABLE>
See accompanying notes to the financial statements. 65
<PAGE> 67
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Praxair, Inc. 2,578 $ 133,089
Rohm & Haas Co. 1,054 87,746
Rubbermaid, Inc. 2,371 56,904
Safety Kleen 947 14,087
Sherwin Williams 2,740 82,885
Sigma-Aldrich Corp. 1,532 45,960
Union Carbide Corp. 2,055 102,493
Williams Cos 2,529 110,960
-----------
3,007,651
Computer 0.57%
Data General Corp. * 631 11,831
Dell Computer Corp. * 2,848 238,342
EMC Corp. Massachusetts 3,741 136,079
Seagate Technology, Inc. 4,071 186,757
Silicon Graphics, Inc. * 2,740 40,758
-----------
613,767
Consumer Durable 0.52%
Eastman Chemical Co. 1,262 64,362
Eastman Kodak 5,426 453,071
Polaroid Corp. 766 37,151
-----------
554,584
Container 0.16%
Ball Corp. 423 11,368
Bemis Co. 893 34,046
Crown Cork & Seal 2,055 112,511
Stone Container Corp. * 1,632 16,524
-----------
174,449
Diversified 0.59%
ITT Corp. 1,947 115,360
Unilever ADR * 2,632 516,530
-----------
631,890
</TABLE>
See accompanying notes to the financial statements. 66
<PAGE> 68
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Gold & Precious Metal 0.38%
Barrick Gold Corp. 5,742 $ 128,477
Battle Mountain Gold Co. * 3,633 20,890
Cyprus Amax Mineral Co. 1,578 35,308
Echo Bay Mines Ltd. * 2,263 12,305
Freeport McMoran Copper 3,109 90,550
Homestake Mining Co. 2,371 31,416
Placer Dome, Inc. * 3,894 63,764
Santa Fe Pacific Gold Corp. 2,094 30,887
-----------
413,597
Metal & Mineral 0.35%
Allegheny Teledyne, Inc. 2,721 72,447
Armco, Inc. 1,686 5,901
Bethlehem Steel 1,739 14,347
Inland Steel Industries 739 16,812
Nucor Corp. 1,370 68,158
USX-Marathon 4,633 127,987
USX-US Steel 1,370 40,073
Worthington Inds, Inc. 1,424 26,878
-----------
372,603
Miscellaneous 0.74%
3M Co. 6,742 586,554
Applied Materials, Inc. * 2,948 161,772
Mallincrokdt, Inc. 1,262 45,905
NACCO Industries 94 4,348
-----------
798,579
Non Ferrous Metal 0.63%
Alcan Aluminum Ltd. 3,633 123,068
Aluminum Co. of America 2,794 195,231
Asarco, Inc. 712 20,292
Englehard Corp. 2,344 49,224
</TABLE>
See accompanying notes to the financial statements. 67
<PAGE> 69
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Inco Ltd. * 2,686 $ 85,952
Newmont Mining Corp. 1,632 56,508
Phelps Dodge 1,054 80,895
Reynolds Metals 1,001 67,943
-----------
679,113
Paper & Forest Product 1.29%
Boise Cascade 739 24,572
Champion International 1,578 73,377
Georgia Pacific Co. 1,424 111,072
International Paper 4,800 202,800
James River of Virginia 1,370 40,929
Kimberly Clark 9,200 471,500
Louisiana-Pacific Co. 1,739 32,389
Mead Corp. 893 50,120
Potlatch Corp. 450 18,450
Temple Inland 947 52,559
Union Camp Corp. 1,054 51,251
Westvaco Corp. 1,659 46,452
Weyerhaeuser Co. 3,263 149,282
Willamette Industries 947 60,371
-----------
1,385,124
-----------
Total Common Stocks - Manufacturing 8.33% 8,955,726
COMMON STOCKS - SERVICE
Consumer 0.12%
Service Corp. International 3,741 128,129
Environmental Services 0.06%
Laidlaw, Inc. * 5,057 68,902
</TABLE>
See accompanying notes to the financial statements. 68
<PAGE> 70
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Distributor 0.05%
Ikon Office Solution 2,055 $ 55,228
Miscelleneous 0.05%
PP & L Resources, Inc. 2,632 51,653
-----------
Total Common Stocks - Service 0.28% 303,912
COMMON STOCKS - TECHNOLOGY
Aerospace Aircraft 1.81%
Allied Signal, Inc. 4,579 330,833
Boeing 5,784 570,447
General Dynamics Corp. 1,001 71,321
McDonnell-Douglas Corp. 3,425 203,359
Northrop Grumman Corp. 974 81,329
Rockwell International Corp. * 3,579 238,004
Textron, Inc. 1,316 146,570
United Technologies Corp. 4,002 302,651
-----------
1,944,514
Bio-Technology 0.24%
Amgen 4,318 254,222
Business - Mechanics & Software 2.91%
Amdahl Corp. 1,947 16,671
Apple Computer, Inc. 2,001 34,017
Compaq Computers Corp. * 4,372 373,260
Digital Equipment * 2,578 77,018
Honeywell 2,055 145,134
International Business Machines 8,482 1,363,482
Intergraph * 739 4,711
Oracle Systems * 10,769 428,068
</TABLE>
See accompanying notes to the financial statements. 69
<PAGE> 71
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Pitney Bowes, Inc. 2,371 $ 151,744
Sun Microsystems * 6,004 172,990
Tandem Computer, Inc. * 1,947 25,068
Unisys Corp. * 2,740 16,440
Xerox 5,264 323,736
-----------
3,132,339
Business - Service 0.25%
First Data 7,266 250,677
Shared Medical System 356 14,997
-----------
265,674
Electronic 3.98%
EG&G 739 13,949
General Signal Co. 739 29,006
Harris Corp. 631 53,951
Hewlett-Packard Co. 16,486 865,515
Intel Corp. 13,223 2,024,772
Motorola, Inc. 9,582 548,570
National Semiconductor * 2,263 56,575
Northern Telecom * 4,110 298,489
Perkin-Elmer Corp. 685 49,748
Tektronix, Inc. 604 32,692
Texas Instruments 3,056 272,748
Thomas & Betts Co. 831 37,707
-----------
4,283,722
Miscellaneous 0.07%
3 Com Corp. 2,686 77,894
Office Equipment 0.04%
Novell * 5,688 43,016
</TABLE>
See accompanying notes to the financial statements. 70
<PAGE> 72
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Semiconductor 0.27%
Advanced Micro Devices 2,209 $ 93,883
LSI Logic Corp. 2,055 78,604
Micron Technology, Inc. * 3,371 118,828
-----------
291,315
Software 2.30%
Bay Networks 3,002 53,286
Microsoft Corp. * 19,380 2,354,670
Parametric Tech Co. * 1,400 63,350
-----------
2,471,306
Telecom Equipment 0.43%
Lockheed Martin Corp 3,271 292,755
Raytheon Co. 3,794 165,513
-----------
458,268
Telecommunication 0.96%
Airtouch Communications 8,058 205,479
Cabletron Systems * 2,524 87,078
Lucent Technologies 10,295 608,692
Scientific - Atlanta Inc. 1,262 20,192
Tellabs, Inc. * 2,848 113,564
-----------
1,035,005
-----------
Total Common Stocks - Technology 13.26% 14,257,275
COMMON STOCKS - TRANSPORTATION
Air Transportation 0.42%
AMR Corp. 1,424 132,610
Delta Airlines 1,316 121,237
Federal Express * 1,893 101,985
Southwest Airlines Co. 2,317 63,718
</TABLE>
See accompanying notes to the financial statements. 71
<PAGE> 73
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ---------- -----------
<S> <C> <C> <C>
US Air Group, Inc. * 1,001 $ 32,407
-----------
451,957
Railroad 0.90%
Burlington Northern Santa Fe Co. 2,426 191,048
Conrail, Inc. 1,316 150,353
CSX Corp. 3,371 157,173
Norfolk Southern Co. 2,001 179,840
Union Pacific Corp. 3,948 251,685
Whitman Corp. 1,686 38,989
----------
969,088
Trucking 0.07%
Caliber System, Inc. 631 18,772
Navistar International * 1,262 14,198
Ryder System 1,316 40,961
----------
73,931
----------
Total Common Stocks - Transportation 1.39% 1,494,976
Common Stocks - Utility
Electric 0.79%
Cinenrgy Corp. 2,583 85,885
Consolidated Edison 3,741 103,813
Duke Power 3,317 145,533
Edison International 7,058 148,218
GPU, Inc. 1,947 62,791
Pacificorp 4,741 94,227
People's Energy Corp. 604 20,385
Texas Utilities Co. 3,633 122,614
Union Electric Co. 1,632 58,140
----------
841,606
</TABLE>
See accompanying notes to the financial statements. 72
<PAGE> 74
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -----------
<S> <C> <C> <C>
Energy 1.85%
American Electric Power Co. 3,002 $ 121,581
Baltimore Gas & Electric 2,371 60,461
Carolina Power & Light 2,424 82,416
Central & S/W Corp. 3,371 67,841
Coastal Corp. 1,686 80,085
Consolidated Natural Gas 1,578 79,492
Dominion Resources 2,894 99,481
DTE Energy Co. 2,317 61,980
Enserch 1,054 20,685
Entergy Corp. New 3,687 86,184
FPL Group, Inc. 2,948 131,555
Houston Industries 3,764 75,280
Niagara Mohawk Power * 2,317 19,695
Nicor 793 26,863
Noram Energy Corp. 2,263 33,096
Northern States Power 1,054 47,957
Ohio Edison 2,424 48,480
Pacific Enterprises 1,370 41,956
Panenergy Corp. 2,424 107,262
Peco Energy Co. 3,633 71,752
PG & E Corp. 6,688 160,512
Public Service Enterprises 3,948 95,246
Sonat, Inc. 1,370 78,261
Southern, Co. 10,898 222,047
Unicom Corp. 3,425 74,494
-----------
1,994,662
Telephone 5.77%
Alltell Corp. 3,056 96,264
American Telephone and Telegraph 26,130 875,355
Ameritech Corp. 8,897 543,829
</TABLE>
See accompanying notes to the financial statements. 73
<PAGE> 75
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ------------ ----------
<S> <C> <C> <C>
Bell Atlantic 7,058 $ 478,180
Bell South Corp. 16,063 714,804
DSC Communications Corp. * 1,893 38,570
Frontier Corp. 2,900 46,038
GTE Corp. 15,639 717,439
MCI Communications 11,060 421,663
Nynex Corp. 7,058 365,252
SBC Communications, Inc. 14,882 825,928
Sprint Corp. Common 6,950 304,931
US West, Inc. - Communication Group 7,689 270,076
US West Media Group Inc. * 10,167 175,381
WorldCom, Inc. * 13,865 332,718
-----------
6,206,428
-----------
Total Common Stocks - Utility 8.41% 9,042,696
-----------
Total Common Stocks 92.21% 99,191,578
(cost - $90,080,125)
COMMERCIAL PAPER
Finance - Service 0.77%
Merrill Lynch and Co.
5.52% due May 16, 1997 830,000 828,091
Finance - Miscellaneous 5.99%
Ford Motor Credit Corp.
5.6018% due June 9, 1997 525,000 525,000
5.6522% due July 7, 1997 275,000 275,000
5.6781% due July 7, 1997 125,000 125,000
5.6772% due July 7, 1997 460,000 460,000
5.7449% due September 5, 1997 300,000 300,000
</TABLE>
See accompanying notes to the financial statements. 74
<PAGE> 76
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- -------------
<S> <C> <C> <C>
General Electric Capital Service
5.5931% due June 5, 1997 $ 500,000 $ 500,000
5.6795% due July 1, 1997 1,230,000 1,230,000
5.7771% due September 5, 1997 750,000 750,000
Merrill Lynch and Co.
5.39% due June 20, 1997 240,000 238,203
5.27% due June 20,1997 560,000 555,901
5.37% due June 20, 1997 1,500,000 1,488,813
-------------
6,447,917
Total Commercial Paper 6.76% 7,276,008
(cost - $7,276,008)
U.S. GOVERNMENT SECURITIES
U.S. Government Agency 0.52%
Federal Home Loan Mortgage Corp
5.47% due July 21, 1997 565,000 558,046
U.S. Treasury Bills 0.37%
5.11% due May 8, 1997 300,000 299,710
5.11% due July 3, 1997 100,000 99,106
-------------
398,816
-------------
Total U.S. Government Securities 0.89% 956,862
(cost - $956,862)
</TABLE>
See accompanying notes to the financial statements. 75
<PAGE> 77
SCHEDULE OF INVESTMENTS
S&P 500 INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
------------ ----------- ------------
<S> <C> <C> <C>
DEMAND NOTE
Utility - Electrical 0.06%
Wisconsin Electric Demand Note
5.2962% due on demand $ 77,460 $ 77,460
-------------
TOTAL INVESTMENTS 99.94% 107,501,908
Cash and other assets, less liabilities 0.06% 69,621
-------------
TOTAL NET ASSETS 100.00% $ 107,571,529
=============
</TABLE>
* Non-income producing security
See accompanying notes to the financial statements. 76
<PAGE> 78
FINANCIAL HIGHLIGHTS
S&P 500 INDEX FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
outstanding throughout the periods presented.
<TABLE>
<CAPTION>
SIX MONTHS SEPTEMBER 3
ENDED TO
APRIL 30, 1997 OCTOBER 31, 1996
-------------- ----------------
<S> <C> <C>
Net asset value at beginning of period $ 10.77 $ 10.00
Income from investment operations:
Net investment income 0.08 0.02
Net realized and unrealized gain on securities 1.48 0.77
-------------- ----------------
Total income from investment operations 1.56 0.79
Less distributions:
Dividends from net investment income 0.02 0.02
Distributions from capital gains 0.00 0.00
-------------- ----------------
Total distributions 0.02 0.02
-------------- ----------------
Net asset value at end of period $ 12.31 $ 10.77
============== ================
Total return (not annualized) 14.47% 7.86%
============== ================
Ratios and supplemental data:
Net assets at end of period (in thousands) $ 107,572 $ 23,698
Ratio of operating expenses to average
net assets 0.53%* 0.71%**
Ratio of net investment income to average
net assets 1.55%* 1.60%**
Portfolio turnover rate 2% 0%
Average commission rate paid per share $ 0.0520 $ 0.0338
- --------------------------------------------------------------------------------------
</TABLE>
* Annualized.
** Absent an expense waiver by the investment advisor the ratio of operating
expenses to average net assets and the ratio of net investment income to average
net assets would be 1.26% and 1.05% for the period September 3 to October 31,
1996, respectively. Annualized.
See accompanying notes to the financial statements. 77
<PAGE> 79
STATEMENT OF ASSETS AND LIABILITIES
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
ASSETS
Investments in securities at value (cost - $37,465,848) $ 38,567,368
Cash 235,045
Receivable for securities sold 145,589
Dividends receivable 144,421
Foreign currency at value (cost - $132,479) 131,892
------------
Total Assets 39,224,315
LIABILITIES
Payable for securities purchased 291,417
Net unrealized depreciation on forward currency contracts 75,974
Investment advisory fees payable 57,907
Accrued expenses payable 33,763
------------
Total Liabilities 459,061
------------
NET ASSETS $ 38,765,254
============
NET ASSET VALUE PER SHARE $ 10.87
============
</TABLE>
See accompanying notes to the financial statements. 78
<PAGE> 80
STATEMENT OF OPERATIONS
INTERNATIONAL EQUITY FUND
FOR THE SIX MONTHS ENDED APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends (net of $47,321 for foreign taxes withheld) $ 285,453
Interest 59,583
------------
Total Investment Income 345,036
EXPENSES
Investment advisory fees 163,199
Fund accounting fees 26,477
Registration fees 17,502
Fund administration fees 8,718
Transfer agent fees 7,363
Custodian fees 11,722
Audit fees 3,192
Other 3,843
------------
Total Expenses 242,016
------------
NET INVESTMENT INCOME $ 103,020
------------
NET REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS,
FOREIGN CURRENCIES, AND FORWARD CONTRACTS
Net realized gain on sale of investments and foreign
currency transactions 230,188
Net realized gain on forward currency contracts 978,682
Change in net unrealized appreciation on investments
and foreign currency 959,603
Change in net unrealized appreciation on forward contracts (111,742)
------------
Net realized and unrealized gain (loss) on investments,
foreign currencies, and forward contracts 2,056,731
------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 2,159,751
============
</TABLE>
See accompanying notes to the financial statements. 79
<PAGE> 81
STATEMENTS OF CHANGES IN NET ASSETS
INTERNATIONAL EQUITY FUND
UNAUDITED
<TABLE>
<CAPTION>
SIX MONTHS SEPTEMBER 3
ENDED THROUGH
APRIL 30, 1997 OCTOBER 31, 1996
-------------- -----------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income $ 103,020 $ 48,954
Net realized gain 1,208,870 29,295
Change in net unrealized appreciation 847,861 178,205
------------- ------------
Net increase in net assets from
operations 2,159,751 256,454
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (54,416) (48,954)
Net realized gain 0 0
Distributions in excess of net
investment income 0 (30,542)
------------- ------------
Total distributions (54,416) (79,496)
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares 13,752,399 25,000,000
Net asset value of shares issued upon
reinvestment of dividends 133,913 0
Cost of redemption of shares (2,403,351) 0
------------- ------------
Increase in net assets from capital
transactions 11,482,961 25,000,000
------------- ------------
Increase in net assets 13,588,296 25,176,958
Net assets at beginning of period 25,176,958 0
------------- ------------
Net assets at end of period $ 38,765,254 $ 25,176,958
============= ============
Undistributed net investment income $ 47,338 $ (1,266)
============= ============
</TABLE>
See accompanying notes to the financial statements. 80
<PAGE> 82
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
COMMON STOCKS - FOREIGN
Australia 5.07%
Amcor Limited 12,000 $ 79,127
Boral Limited 19,000 56,137
Brambles Industries Ltd 3,000 54,402
Broken Hill Proprietary Co 29,500 416,894
CRA Limited 11,000 164,394
CSR Limited Ord 14,000 51,869
David Jones Limited 48,000 63,031
Lend Lease Corp Ltd 4,000 76,725
M.I.M. Holdings Ltd 41,521 54,199
National Australia Bank Lts 18,000 246,919
News Corporation Ltd 38,000 175,540
News Corporation Ltd Pref 9,000 34,400
Pacific Dunlop 23,000 62,203
Qantas Airways Limited 25,494 53,106
Santos Limited 11,000 42,990
Santos Limited Rights 2,000 195
Westpac Bank 33,000 178,237
WMC Limited 17,000 100,987
Woolworths Ltd 18,000 53,183
-----------
1,964,538
Belgium 3.26%
Delhaize-Le Lion 1,200 60,302
Electrabel Cap 900 204,591
Fortis Ag 975 174,146
Fortis Ag - Strip Vvpr 75 13
Generale de Banquenpv 200 83,007
Groupe Bruxelles Lambert 600 88,186
Kredietbank Npv 300 116,951
Petrofina Sa 500 178,121
</TABLE>
See accompanying notes to the financial statements. 81
<PAGE> 83
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
Soc Gen De Belgique Put/Wts 200 $ 2,105
Societe Generale Belgique 900 80,123
Sovay et Cie Npv 148 88,667
Tractabel Inv Intl Npv 200 85,666
Union Miniere Npv * 1,264 102,797
-----------
1,264,675
Canada 2.65%
Alcan Aluminum Ltd 2,500 84,782
Bank of Montreal 2,000 72,548
Barrick Gold Corp 1,000 22,215
BCE Inc 1,300 60,829
Candadian Natl Railway Co 1,100 42,105
Canadian Pacific Ltd 5,200 127,424
Hudson Bay Co 1,500 30,479
Imperial Oil Ltd 1,900 87,000
Macmillan Bloedel Ltd 3,400 46,462
Moore Corp Ltd 1,400 28,397
Noranda 2,300 48,544
Northern Telecom Ltd 900 65,422
Nova Corp 2,300 19,582
Royal Bank of Canada 2,300 91,905
Seagram Co Ltd 2,000 76,626
Thomson Corp 3,200 66,624
Trans Canada Pipeline 3,100 56,668
-----------
1,027,612
Finland 0.78%
Merita Ltd 10,600 34,426
Nokia Ab - A 2,200 137,151
Outokumpu 1,800 34,245
Pohjola Insurance 400 11,377
Rauma Oy 78 1,603
</TABLE>
See accompanying notes to the financial statements. 82
<PAGE> 84
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
Sampo Insurance Co 200 $ 18,064
Upm-Kymmene Oym 2,800 64,032
-----------
300,898
France 7.42%
Accor Sa 700 100,388
Alcatel-Alsthom 1,200 133,439
Axa Uap 2200 135,361
Banque Nationale De Paris 4,300 183,453
Cie De Suez 1,900 92,194
Clf - Dexia France 1,300 120,280
Colas 400 55,103
Compagnie Bancaire Sa 707 93,275
Compagnie De Saint-Gobain 1,300 174,183
Compagnie Generale Des Eaux 1,300 181,088
Gruope Danone 800 116,511
Lafarge 1,100 72,148
Lvmh Moet Hennessy 400 97,663
Lyonnaise Des Eaux Dumez 1,200 108,561
Michelin (Cgde) 2,300 128,510
Pechiney Sa 2,400 89,645
Peugeot Sa 1,300 129,413
Rhone-Poulenc 4,700 158,079
Seita 2,600 92,571
Soc Natl Elf Aquit 1,600 155,165
Societe Generale 1,400 156,878
Total Sa 1,800 149,271
Unisor Sacilor 10,100 152,632
-----------
2,875,811
Hong Kong 1.21%
Cheung Kong (Hldgs) 6,000 52,669
China Light & Power 8,000 36,042
</TABLE>
See accompanying notes to the financial statements. 83
<PAGE> 85
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
Guoco Group Ltd 6,000 $ 28,503
Hang Seng Bank 4,300 48,431
Hong Kong Telecomm 18,400 31,591
Hutchison Whampoa Ltd 11,000 81,650
Jardine Matheson 4,400 24,200
New World Development 7,000 40,392
Sun Hung Kai Properties 4,000 43,374
Swire Pacific 6,000 46,279
Wharf Holdings 9,000 34,041
-----------
467,172
Italy 3.63%
Assicurazioni Generali 8,000 133,888
Credito Italiano ITL 47,000 65,893
Danieli Risp (Savings) 11,000 39,582
Edison Spa 9,000 47,737
Ente Nazionale Idrocarburi 50,000 253,815
Fiat Spa-Priv 48,900 84,839
Ina - Istitut Naz Assicur 41,000 54,966
Istituto Mobiliare Italinao 9,900 76,679
Italgas (Soc Ital) 12,000 41,043
Mediobanca 4,000 25,025
Montedison 161,300 105,625
Rinascente 10,000 53,333
Rinascente Savings (Risp) 9,000 23,238
Sai (Soc Assic) Di Risp 6,000 18,488
Telecom Italia Mobile Di Risp 100,300 185,440
Telecom Italia-RNC 91,700 197,662
-----------
1,407,253
</TABLE>
See accompanying notes to the financial statements. 84
<PAGE> 86
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
Japan 25.70%
Fujitsu Ltd 10,000 $ 104,011
Amada Co 17,000 127,122
Asahi Glass Co Ltd 22,000 199,354
Canon Inc 15,000 355,764
Cannon Sales Co Inc 6,000 124,340
Citizen Watch Co 16,000 115,105
Dai Nippon Printing Co Ltd 17,000 306,753
Daiichi Pharm Co 12,000 192,893
Daikin Industries 17,000 133,551
Daiwa House 9,000 100,701
Denso Corporation 9,000 204,948
Fancun Co 6,900 235,419
Hitachi 36,000 326,215
Honda Motor Co 5,000 155,228
Inax 22,000 136,601
Isetan 6,000 66,189
Ito-Yokado Co Ltd 7,000 335,907
Kaneka Corp 18,000 95,737
Keio Teito Electric Railway 19,000 82,342
Kinki Nippon Railway 20,000 110,945
Kirin Brewery Co Ltd 20,000 173,351
Kokuyo 6,000 130,486
Kuraray Co Ltd 22,000 194,153
Kyocera Corp 1st Sec 2,000 119,770
Maeda Road Const 4,000 29,627
Marui Co. 9,000 148,215
Matsushita Electric Indl Co 27,000 431,881
Mitsubishi Paper 21,000 66,850
Ngk Insulators 1st Section 30,000 264,755
Nintendo 1,700 124,309
</TABLE>
See accompanying notes to the financial statements. 85
<PAGE> 87
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
Nippon Meat Packer 11,000 $ 109,211
Nippon Steel Co 1st Sec 14,000 39,934
Okumura 17,000 91,088
Osaka Gas 33,000 79,048
Sankyo Co Ltd 13,000 348,278
Sanwa Bank 10,000 107,163
Secom 4,000 237,964
Seino Transportation 11,000 99,677
Sekisui House Ltd 1st Sec 35,000 311,638
Shinmaywa Inds 18,000 113,608
Sony Corp 4,200 305,791
Sumitomo Bank 20,000 228,508
Sumitomo Electric 16,000 216,847
Sumitomo Trust and Bkg 10,000 82,736
Takeda Chemical 11,000 253,959
TDK Corp 3,000 216,295
The Bank of Tokyo-Mitsubishi 21,000 332,598
Tokio Marine & Fire 17,000 166,102
Tokyo Elec Pwr First Sec 5,000 88,645
Tokyo Steel Mfg 14,000 150,028
Tonen Corp 14,000 131,274
Toray Industries Inc 74,000 460,641
Toshiba Corp 1st Sec 43,000 241,242
Toyo Suisan Kaisha 9,000 73,044
Toyota Motor Corporation 5,000 144,985
Yamazaki Baking Co Ltd 9,000 138,996
-----------
9,961,822
Netherlands 5.52%
Abn-Amro Holdings 2,600 178,707
Akzo Nobel 300 38,653
DSM 600 59,750
</TABLE>
See accompanying notes to the financial statements. 86
<PAGE> 88
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- --------- -----------
<S> <C> <C> <C>
Elsevier 5,500 $ 88,085
ING Groep 7,100 278,809
KLM 3,500 103,485
Koninklijke Hoogovens 1,100 50,254
KPN 5,500 195,369
Philips Electronics 3,300 172,275
Royal Dutch Petrol 3,600 643,455
Unilever 1,400 272,295
Vendex Intl 1,204 57,168
-----------
2,138,305
New Zealand 3.23%
Brierley Investments Ltd 244,000 214,886
Carter Holt Harvey Ltd 76,000 168,647
Fletcher Challenge Building 25,000 70,212
Fletcher Challenge Energy 28,000 81,355
Fletcher Challenge Paper 50,000 110,952
Fletcher Forestry Shares 50,000 68,998
Telecom Corp of New Zealand 120,000 538,393
-----------
1,253,443
Singapore/Malaysia 2.44%
City Developments 4,000 32,358
Dbs Land 9,000 29,122
Dev Bank 6,000 71,353
Hotel Properties 16,000 25,444
Hume Industries BHD 7,000 37,371
Keppel Corporation 3,750 16,335
Kuala Lumpur Kepon Berhad 16,000 41,435
Land & General Bhd 22,000 29,976
Malaysia Int Shipping (MR) 9,000 20,259
Nestle (Malaysia) BHD 2,000 15,618
Overseas Chinese Bank 9,000 105,163
</TABLE>
See accompanying notes to the financial statements. 87
<PAGE> 89
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
Public Bank BHD-Foreign Mkt 16,000 $ 26,518
Resorts World Berhad 8,000 29,482
Sime Darby Malay Regd 15,000 46,315
Singapore Int'l Airlines, Regd 8,000 70,800
Singapore Press Hds 5,000 92,649
Singapore Telecom 31,000 52,298
Telekom Malaysia 5,000 35,060
Tenaga Nasional BHD 18,000 83,188
UTD Overseas Bank 7,000 65,822
YTL Corp BHD 5,000 20,319
YTL Power Intl 500 677
-----------
947,562
Spain 2.20%
Acerinox Sa 200 29,245
Banco Bilbao Vizcaya Sa 1,200 80,835
Banco Central Hispanoamericano 1,500 45,696
Banco Popular Espanol 300 63,666
Banco Santander 1,000 75,304
Emp Nac Electricid 1,900 132,932
Fomento De Construcciones Y Ct 400 38,994
Gas Natural Sdg-E Sa 200 42,512
Iberdrola 6,200 70,033
Mapfre 500 26,185
Repsol Sa 1,900 79,733
Telefonica De Espana Ord 4,400 112,805
Vallehermoso Sa 1,100 27,109
Viscofan Envolturas 1,500 28,855
-----------
853,904
Switzerland 1.86%
Abb Ag 35 42,401
Alusuisse - Lonza 30 25,451
</TABLE>
See accompanying notes to the financial statements. 88
<PAGE> 90
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
Ciba Spezialitaten 145 $ 12,498
Credit Suisse Group 400 45,065
Nestle Sa 119 144,567
Navartis - Reg Shs 145 191,111
Roche Holding Ag0 Regd 15 126,744
Schw Ruckversicherungs 30 34,735
Ubs (Schw Bankgesellsch) Br 40 37,871
Zurich Versicherungs 180 59,127
-----------
719,570
United Kingdom 20.47%
Abbey National Ord 10,000 139,138
Bank Of Scotland Ord 14,000 84,051
Bass Plc 6,000 77,544
Bat Industries 35,000 295,881
Bg Plc 69,000 200,407
Booker Plc 8,000 40,695
British Energy 71,000 150,918
British Petroleum Ord 32,243 370,408
British Steel Plc 80,000 184,976
British Telecommunciations 59,000 433,194
Centrica Plc 69,000 63,537
Charter Plc 9,054 121,421
Coats Viyella Plc 40,000 85,349
Fki Plc 33,000 97,453
General Electric Co 69,000 410,891
Glaxo Holdings Ord 25,000 492,256
Grand Metropolitanord 33,000 276,296
Guinness Ord 36,000 297,909
Hanson Plc 18,750 90,815
Hillsdown Holdings 49,000 144,306
House of Fraser Plc 54,000 150,707
</TABLE>
See accompanying notes to the financial statements. 89
<PAGE> 91
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
Hsbc Holdings Ord 11,000 $ 289,147
Imperial Chemical Inds Ord 4,000 45,498
Inchcape 17,000 75,581
Jefferson Smurfit Group Plc 41,000 100,123
Legal & General Group Plc 24,500 164,580
Lloyds TSB Group Plc 42,000 384,361
Marks & Spencer Plc 28,000 222,621
Mirror Group Plc 23,000 78,185
National Westminster Bank Plc 10,000 118,450
Northern Foods Ord 29,000 98,581
Peninsular & Orient Steam Nav 19,000 185,131
Reckitt & Colman Plc 4,800 65,229
Redland Plc 9,000 51,112
Reuters Holdings Ord 11,000 113,249
RJB Mining Plc 24,000 165,505
Royal Sun Alliance 16,000 126,822
Rtz Corp Reg 11,000 174,649
Sainsbury (J) Plc 22,000 118,336
Scottish Hydro-electric Plc 12,000 76,717
Sears Ord 67,000 83,710
Sedgwick Group Plc 45,000 91,271
Smithkline Beecham Plc 13,000 209,145
Tesco 19,000 110,061
Thames Water Plc 13,000 142,910
Unilever Ord 6,000 157,960
Vodafone Group Ord 18,000 80,465
Williams Holding Plc 25,000 134,879
Yorshire Water Plc 10,800 63,525
-----------
7,935,955
</TABLE>
See accompanying notes to the financial statements. 90
<PAGE> 92
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ -----------
<S> <C> <C> <C>
West Germany 9.59%
Allianz Ag Rldg Reg 1400 $ 271,646
Basf Ag 4,790 183,726
Bayer Ag 6,490 258,151
Bayerische Motoren Werke Ag 270 219,534
Commerzbank Ag 5,160 139,156
Daimler Benz Ag 2,720 201,055
Daimler Benz Ag Rights 2,720 236
Deutsche Bank Ag 4,690 247,546
Deutsche Telekom Ag 7,850 170,086
Henkel KGAA - Vorzug 1,730 93,710
Hochtief Ag 1,600 60,243
Hoechst Ag 2,500 98,099
Man Ag 290 83,065
Mannesmann Ag 470 184,888
Metro Ag 1,500 146,218
Muenchener Rueckver Ag-reg 70 168,768
Preussag Ag 550 141,973
Rwe Ag 3,570 148,023
Schering Ag 2,240 214,730
Siemens Ag 1,370 74,249
Thyssen Ag 860 187,727
Veba Ag 4,120 213,772
Volkswagen Ag 330 209,247
-----------
3,715,848
-----------
Total Common Stocks - Foreign 95.03% 36,834,368
(cost - $35,732,848)
</TABLE>
See accompanying notes to the financial statements. 91
<PAGE> 93
SCHEDULE OF INVESTMENTS
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
---------- ------------ ------------
<S> <C> <C> <C>
Commercial Paper
Finance - Miscellaneous 4.47%
New York Times
5.65% due May 1, 1997 $ 1,733,000 $ 1,733,000
(cost - $1,733,000) ------------
TOTAL INVESTMENTS 99.50% 38,567,368
Cash, foreign currency and other assets,
less liabilities 0.50% 197,886
------------
TOTAL NET ASSETS 100.00% $ 38,765,254
============
</TABLE>
* Non-income producing security.
See accompanying notes to the financial statements. 92
<PAGE> 94
INDUSTRY DIVERSIFICATION
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
AS A PERCENTAGE OF NET ASSETS
<TABLE>
<S> <C>
Non - U.S. Equities
Wholesale and international trade 0.31
Appliances and household durable 2.35
Automobiles 2.95
Banking 11.43
Beverages and tobacco 1.66
Broadcasting and publishing 1.39
Building materials and components 1.68
Business and public services 4.22
Chemicals 4.61
Construction and housing 1.82
Data processing and reproduction 1.19
Electrical and electronics 3.94
Electronic components 1.47
Energy sources 7.11
Financial services 1.32
Food and household products 4.16
Forest products and paper 1.82
Gold mines 0.06
Health and personal care 5.29
Industrial components 2.10
Insurance 4.28
Leisure and tourism 0.60
Machinery and engineering 1.51
Merchandising 4.45
Metals - non ferrous 2.20
Metals - steel 2.05
Miscellaneous materials and commodit 0.69
Multi-industry 4.52
Real estate 0.86
Recreation and other consumer goods 0.87
Telecommunications 5.41
Textiles and apparel 0.22
</TABLE>
See accompanying notes to the financial statements. 93
<PAGE> 95
INDUSTRY DIVERSIFICATION
INTERNATIONAL EQUITY FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
Transportation - airlines 0.59
Transportation - road and rail 0.86
Transportation - shipping 0.54
Utilities - electrical and gas 4.50
-------
95.03
Commercial Paper
Finance - Miscellaneous 4.47
-------
Total Investments 99.50 %
Cash, foreign currency and other assets, less liabilities 0.50
-------
TOTAL NET ASSETS 100.00 %
=======
</TABLE>
See accompanying notes to the financial statements. 94
<PAGE> 96
FINANCIAL HIGHLIGHTS
INTERNATIONAL EQUITY FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
outstanding throughout the periods presented.
<TABLE>
<CAPTION>
SIX MONTHS SEPTEMBER 3
ENDED TO
APRIL 30, 1997 OCTOBER 31, 1996
-------------- ----------------
<S> <C> <C>
Net asset value at beginning of period $10.20 $10.00
Income from investment operations:
Net investment income 0.03 0.02
Net realized and unrealized gain
on securities 0.66 0.21
------ ------
Total income from investment operations 0.69 0.23
Less distributions:
Dividends from net investment income 0.02 0.03
Distributions from capital gains 0.00 0.00
------ ------
Total distributions 0.02 0.03
------ ------
Net asset value at end of period $10.87 $10.20
====== ======
Total return (not annualized) 6.72% 2.32%
====== ======
Ratios and supplemental data:
Net assets at end of period (in thousands) $38,765 $23,137
Ratio of operating expenses to average
net asset 1.38% * 1.46% *
Ratio of net investment income to average
net asset 0.62% * 1.52% *
Portfolio turnover rate 17% 0%
Average commission rate paid per share $0.0238 $0.0264
</TABLE>
- -------------------------------------------------------------------------------
* Annualized
See accompanying notes to the financial statements. 95
<PAGE> 97
STATEMENT OF ASSETS AND LIABILITIES
REIT INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
ASSETS
Investments in securities at value (cost - $51,311,292) $ 54,708,374
Dividends receivable 106,549
Interest receivable 576
-------------
Total Assets 54,815,499
LIABILITIES
Investment advisory fees payable 56,924
Accrued expenses payable 23,975
Other payable 5,940
-------------
Total Liabilities 86,839
-------------
NET ASSETS $ 54,728,660
=============
Net Asset Value Per Share $ 11.66
=============
</TABLE>
See accompanying notes to the financial statements. 96
<PAGE> 98
STATEMENT OF OPERATIONS
REIT INDEX FUND
FOR THE SIX MONTHS ENDED APRIL 30, 1997
UNAUDITED
<TABLE>
<S> <C>
INVESTMENT INCOME
Dividends $ 1,601,125
Interest 15,016
-------------
Total Investment Income 1,616,141
EXPENSES
Investment advisory fees 147,550
Registration fees 25,725
Fund accounting fees 16,125
Fund administration fees 12,296
Transfer agent fees 7,441
Custodian fees 2,969
Audit fees 1,904
Legal fees 1,154
Other 2,098
-------------
Total Expenses 217,262
-------------
NET INVESTMENT INCOME $ 1,398,879
-------------
NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS
Net realized gain on sale of investments 375,321
Change in net unrealized appreciation on investments 2,942,746
-------------
Net realized and unrealized gain on investments 3,318,067
-------------
NET INCREASE IN NET ASSETS FROM OPERATIONS $ 4,716,946
=============
</TABLE>
See accompanying notes to the financial statements. 97
<PAGE> 99
STATEMENTS OF CHANGES IN NET ASSETS
REIT INDEX FUND
UNAUDITED
<TABLE>
<CAPTION>
SIX MONTHS SEPTEMBER 3
ENDED THROUGH
APRIL 30, 1997 OCTOBER 31, 1996
-------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS FROM OPERATIONS
Net investment income $ 1,398,879 $ 135,725
Net realized gain 375,321 0
Change in net unrealized appreciation 2,942,746 454,336
-------------- ---------------
Net increase in net assets from
operations 4,716,946 590,061
DISTRIBUTIONS TO SHAREHOLDERS FROM:
Net investment income (642,941) 0
Net realized gain 0 0
Distributions in excess of realized gain 0 0
-------------- ---------------
Total distributions (642,941) 0
CAPITAL SHARE TRANSACTIONS
Proceeds from sale of shares 32,219,573 25,100,000
Net asset value of shares issued upon
reinvestment of dividend 642,875 0
Cost of redemption of shares (7,897,854) 0
-------------- ---------------
Increase in net assets from capital
transactions 24,964,594 25,100,000
-------------- ---------------
Increase in net assets 29,038,599 25,690,061
Net assets at beginning of period 25,690,061 0
-------------- ---------------
Net assets at end of period $ 54,728,660 $ 25,690,061
=============== ===============
Undistributed net investment income $ 891,663 $ 135,725
=============== ===============
</TABLE>
See accompanying notes to the financial statements. 98
<PAGE> 100
SCHEDULE OF INVESTMENTS
REIT INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
----------- --------- -----
<S> <C> <C> <C>
Common Stocks - Real Estate Investment Trusts (REITs)
Apartments 23.12%
Ambassador Apartments, Inc 7,100 $ 173,063
AMLI Residential Prop 11,500 254,438
Apartment Investment & Mgmt Co 13,600 377,400
Associated Estates Realty 11,800 259,600
Avalon Properties, Inc 25,700 677,838
Bay Apartments Communities 15,700 525,950
Berkshire Realty Co 19,600 210,700
BRE Properties 25,500 599,250
Camden Property Trust 20,244 551,649
Columbus Realty Trust 10,100 213,363
Equity Residential Properties Trust 39,700 1,736,875
Essex Property Trust Inc 9,000 263,250
Evans Withycombe Residential 14,300 282,425
Gables Residential Trust 14,900 368,775
Irvine Apartment Community 15,200 406,600
Merry Land & Investment Co 29,500 604,750
MGI Properties Inc 8,900 184,675
Mid-America Apartment Comm 10,300 266,513
Oasis Residential Inc 12,600 280,350
Post Properties Inc 17,000 658,750
Security Capital Pacific 58,800 1,337,700
Smith, Charles E. Residential 10,200 276,675
Summit Properties Inc 17,800 351,550
Town & Country Trust 12,100 183,013
United Dominion Realty Trust 66,700 917,125
Walden Residential Props Inc 13,400 294,800
Wellsford Residential Prop 13,300 394,013
----------
12,651,090
</TABLE>
See accompanying notes to the financial statements. 99
<PAGE> 101
SCHEDULE OF INVESTMENTS
REIT INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
----------- --------- -----
<S> <C> <C> <C>
Diversified 2.88%
Colonial Properties Trust 14,800 $ 419,950
EastGroup Properties 9,800 173,950
Glenborough Realty Trust Inc 10,200 201,450
Pacific Gulf Properties 9,300 196,463
Penn Real Estate Invest Trust 6,700 149,075
Washington REIT 24,600 436,650
-----------
1,577,538
Factory Outlet 1.67%
Chelsea GCA Realty Inc 10,000 351,250
Horizon Group Inc 18,100 233,038
Mills Corp 13,100 329,138
-----------
913,426
Hotel 9.03%
American Gen Hospitality 11,200 275,800
Equity Inns Inc 20,300 274,050
Felcor Suite Hotels 20,500 735,438
Hospitality Properties Trust 20,800 642,200
Innkeepers USA Trust 17,300 242,200
Jameson Inns Inc 7,400 89,725
Patriot American Hospitality 33,400 718,100
RFS Hotel Investors Inc 18,900 340,200
Sunstone Hotel Investors Inc 14,000 187,250
Starwood Lodging Trust 33,300 1,282,050
Winston Hotels 12,200 155,550
-----------
4,942,563
Manufactured Homes 2.38%
Chateau Properties Inc 19,500 509,438
Manufactured Home Communities 19,300 405,300
Sun Communities Inc 12,100 387,200
-----------
1,301,938
</TABLE>
See accompanying notes to the financial statements. 100
<PAGE> 102
SCHEDULE OF INVESTMENTS
REIT INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
----------- --------- ----------
<S> <C> <C> <C>
Office Property 17.92%
Beacon Office Property 37,000 $ 1,142,375
Brandywine Realty Trust 7,200 135,900
Cali Realty Corp 28,100 828,950
Carramerica Realty Corp 37,700 1,050,888
Cousins Properties Inc 22,500 576,563
Crescent Real Estate 55,900 1,467,375
Duke Realty Investments Inc 24,300 893,025
Highwoods Properties Inc 27,500 855,938
Koger Equity Inc 16,200 253,125
Liberty Property Trust 30,400 733,400
Reckson Assoc Realty Corp 26,500 612,813
Spieker Properties Inc. 36,000 1,255,500
-----------
9,805,852
Regional Mall 10.11%
CBL & Associates Properties 18,500 437,063
Crown American Realty 21,400 163,175
General Growth Industries 23,800 758,625
JP Realty Inc 13,200 334,950
Lexington Corp Prop 7,300 92,163
Macerich Co 19,900 517,400
Prime Retail Inc 12,200 147,925
Simon Debartlolo Group Inc 77,500 2,218,438
Taubman Centers Inc 39,200 494,900
Urban Shopping Centers Inc 13,100 370,075
-----------
5,534,714
Shopping Center 15.00%
Alexander Haagen Properties 9,300 125,550
Bradley Real Estate Inc. 16,800 321,300
Burnham Pacific Properties Inc 13,200 165,000
Developers Diversified 19,400 715,375
</TABLE>
See accompanying notes to the financial statements. 101
<PAGE> 103
SCHEDULE OF INVESTMENTS
REIT INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
----------- --------- ------------
<S> <C> <C> <C>
Federal Realty Investment Trust 30,100 775,075
Glimcher Realty Trust 16,900 $ 302,088
IRT Property Co. 24,500 278,688
JDN Realty Corp 12,000 336,000
Kimco Realty Corp 27,800 865,275
Kranzco Realty Trust 8,000 126,000
Mark Centers Trust 6,600 67,650
New Plan Realty Trust 45,300 985,275
Price Reit Inc, The 8,300 313,325
Ramco-Gershenson Properties 5,500 94,875
Regency Realty Corp 9,400 244,400
Saul Centers Inc 9,400 146,875
Vornado Realty Trust 20,600 1,310,675
Weingarten Realty Inv 20,400 869,550
Western Invt Real Estate Trust 13,300 167,913
-----------
8,210,889
Storage 7.08%
Public Storage Inc 76,400 2,053,250
Shurgard Storage Centers 21,200 556,500
Sorvan Self Storage Inc 8,300 234,475
Storage Trust Realty 10,000 240,000
Storage USA 21,100 790,125
-----------
3,874,350
Triple Net Lease 4.50%
Commercial Net Lease Realty 17,000 248,625
Excel Realty Trust Inc 14,200 344,350
Franchise Finance Corp of America 31,100 750,288
National Golf Properties 9,600 296,400
Realty Income Corp 17,800 440,550
Trinet Corporate Realty Trust 11,400 380,475
-----------
2,460,688
</TABLE>
See accompanying notes to the financial statements. 102
<PAGE> 104
SCHEDULE OF INVESTMENTS
REIT INDEX FUND
APRIL 30, 1997
UNAUDITED
<TABLE>
<CAPTION>
PERCENTAGE PRINCIPAL
OF AMOUNT OR
NET ASSETS SHARES VALUE
----------- --------- -------------
<S> <C> <C> <C>
Warehouse / Industrial 6.13%
Bedford Property Investors 8,500 $ 149,813
Centerpoint Properties Corp 14,700 442,838
First Industrial Realty Trust 23,200 684,400
Meridian Industrial Trust 10,500 215,250
Security Capital Industrial 75,600 1,521,450
Weeks Corp 10,900 341,975
-----------
3,355,726
Total Common Stocks - Real Estate -----------
Investment Trusts (cost- $51,231,692) 99.82% 54,628,774
DEMAND NOTE
Technology
Pitney Bowes Demand Note
5.2450% due on demand $ 71,318 71,318
Utility - Electrical
Wisconsin Electric Demand Note
5.2962% due on demand 8,282 8,282
-----------
Total Demand Notes (cost - $79,600) 0.14% 79,600
-----------
TOTAL INVESTMENTS 99.96% 54,708,374
Other assets, less liabilities 0.04% 20,286
-----------
TOTAL NET ASSETS 100.00% $54,728,660
===========
</TABLE>
See accompanying notes to the financial statements. 103
<PAGE> 105
FINANCIAL HIGHLIGHTS
REIT INDEX FUND
UNAUDITED
The table below sets forth financial data for one share of capital stock
throughout the periods presented.
<TABLE>
<CAPTION>
SIX MONTHS SEPTEMBER 3
ENDED TO
APRIL 30, 1997 OCTOBER 31, 1996
------------------ ------------------
<S> <C> <C>
Net asset value at beginning of period $ 10.44 $ 10.00
Income from investment operations:
Net investment income ** 0.31 0.10
Net realized and unrealized gain on securities 1.06 0.34
-------- ---------
Total income from investment operations 1.37 0.44
Less distributions:
Dividends from net investment income 0.15 0.00
Distributions from capital gains * 0.00
-------- ---------
Total distributions 0.15 0.00
-------- ---------
Net asset value at end of period $ 11.66 $ 10.44
======== =========
Total return (not annualized) 13.09% 4.40%
======== =========
Ratios and supplemental data:
Net assets at end of period (in thousands) $ 54,729 $ 24,124
Ratio of operating expenses to average
net assets 0.87%** 1.20%**
Ratio of net investment income to average
net assets 5.67%** 5.97%**
Portfolio turnover rate 26% 0%
Average commission rate paid per share $ 0.0375 $ 0.0270
</TABLE>
- --------------------------------------------------------------------------------
* less than $0.01 per share.
** Annualized
See accompanying notes to the financial statements. 104
<PAGE> 106
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
1. DESCRIPTION OF ENTITY
Aon Funds (the "Trust"), a Delaware business trust organized on May 16, 1996,
is registered under the Investment Company Act of 1940, as an open-end,
diversified management investment company. The Trust consists of six Funds:
the Money Market Fund, the Government Securities Fund, the Asset Allocation
Fund, the S&P 500 Index Fund, the International Equity Fund, and the REIT Index
Fund. For the period September 3, 1996 to February 28, 1997, the Funds operated
with two share classes: Class Y, a no-load institutional class, and Class C, a
no-load retail class. On February 28, 1997, Class C shares were exchanged for
Class Y shares in proportion to their relative net asset value in a non-taxable
transaction. There are an unlimited number of shares authorized with no par
value.
The Trust was reorganized on September 3, 1996, prior to this date the Trust
conducted business as Aon Asset Management Fund, Inc. Prior to the
reorganization, Aon Asset Management Fund, Inc. consisted of two Funds: the
Money Market Fund, and the Flexible Asset Allocation Fund. Upon
reorganization, the shares of each existing Fund were designated Class Y shares
and the Flexible Asset Allocation Fund was renamed the Asset Allocation Fund.
The Money Market Fund of the Trust is designated as a "Money Market Fund", and
must adhere to the guidelines governing such funds as described in Rule 2a-7
under the Investment Company Act of 1940. Pursuant to that rule, the Money
Market Fund seeks to maintain a constant net asset value of $1.00 per share on
a daily basis.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies followed by the
Funds used in the preparation of their financial statements.
a) Security Valuation - Securities for which quotations are readily available
are valued at the last reported sales price on the exchange or market on
which they are principally traded, or lacking any sales, at the last
available bid price on the exchange or market on which they are principally
traded. Securities for which market quotations are not available are stated
at fair value as determined in good faith under procedures established by the
Board of Trustees. Fixed income / debt securities are valued by a pricing
service that utilizes computerized pricing models which derive evaluated bid
prices. Stock index futures are valued daily at the last reported sales
price on the New York Stock Exchange. Forward contracts are valued daily
using quoted forward exchange rates. The investments held by the Money Market
Fund and other debt instruments that mature in 60 days or less are stated at
amortized cost, which approximates fair value.
105
<PAGE> 107
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
b) Investment Transactions and Income - Security transactions are accounted
for on the trade date (the date the order to buy or sell is executed).
Interest income, which includes amortization of premiums and discounts, is
recorded on the accrual basis and dividend income is reported on the
ex-dividend date. Realized gains and losses on investments are determined
based on an identified cost basis.
c) Foreign Currency Translation - Investment securities and other assets and
liabilities denominated in foreign currencies are translated into U.S.
dollars using the last reported exchange rate on the London Stock Exchange on
the day of the valuation. Purchases and sales of portfolio securities,
commitments under forward foreign currency contracts, and income receipts are
translated into U.S. dollars using the last reported exchange rate on the
London Stock Exchange on the day of each transaction. Realized and
unrealized foreign exchange gains or losses on investments are included as a
component of net realized and unrealized gain or loss on the statement of
operations.
d) Distributions to Shareholders - Distributions of net investment income and
capital gains are determined in accordance with income tax regulations, which
may differ from generally accepted accounting principals. These differences
are primarily due to differing treatments for foreign currency transactions.
Dividends are declared daily and paid monthly for the Money Market Fund,
declared and paid monthly for the Government Securities Fund, declared and
paid quarterly for the Asset Allocation Fund, and declared and paid annually
for the REIT Index Fund, the International Equity Fund, and the S&P 500 Index
Fund.
e) Use of Estimates - The preparation of financial statements in conformity
with generally accepted accounting principals requires management to make
estimates and assumptions that affect the amounts reported in the financial
statements and accompanying notes. Actual results may differ from those
estimates.
3. INCOME TAXES
Each Fund intends to qualify as a "regulated investment company" under the
provision of Sub-chapter M of the Internal Revenue Code of 1986, as amended,
and thereby, under the provisions of the income tax laws available to regulated
investment companies, be relieved of substantially all income taxes.
Therefore, no provision has been made for Federal or State income taxes. The
Government Securities Fund and the S&P 500 Index Fund had capital loss
carryovers of $31,132 and $30, respectively, available for federal income tax
purposes to be applied against future capital gains, if any. If not applied,
they will expire in the year 2004.
106
<PAGE> 108
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
4. INVESTMENT ADVISORY FEE AND OTHER TRANSACTIONS WITH AFFILIATES
Under the terms of investment advisory agreement with Aon Advisors, Inc. (the
"Investment Advisor"), a subsidiary of Aon Corporation, investment advisory
fees will be accrued daily and paid monthly at the following annual rates,
stated as a percentage of average daily net assets:
Money Market Fund .30%
Government Securities Fund .45% of the first $100 million;
.40% of the next $100 million;
.35% of the next $100 million;
.30% of the next $100 million;
and .25% of amounts in excess of $400 million
Asset Allocation Fund .65% of the first $250 million;
.55% of the next $250 million;
and .45% of amounts in excess of $500 million
S&P 500 Index Fund .30%
International Equity Fund .95% of the first $100 million;
.90% of the next $100 million;
and .85% of amounts in excess of $200 million
REIT Index Fund .60% of the first $100 million;
.55% of the next $100 million;
and .50% of amounts in excess of $200 million
The Investment Advisor has voluntarily agreed to waive 0.15% of the investment
advisory fee for the Money Market Fund for a net effective annual rate of 0.15%
until April 30, 1997. Effective May 1, 1997, the Investment Advisor has
voluntarily agreed to waive sufficient investment advisory fees to result in a
net effective annual rate of .10% of the average daily net assets of the Money
Market Fund, The Government Securities Fund, The S&P 500 Index Fund, and the
REIT Index Fund, .25% of the average daily net assets of the Asset Allocation
Fund, and between .55% and .60% of the average daily net assets of the
International Equity Fund until at least February 28, 1998.
107
<PAGE> 109
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
The Investment Advisor has also agreed to waive its fees and reimburse each
Fund to the extent total annualized expenses exceed the following amounts,
stated as a percentage of average daily net assets:
Money Market Fund 1.00%
Government Securities Fund 1.50% of the first $30 million;
and 1.25% in excess of $30 million
Asset Allocation Fund 1.25%
S&P 500 Index Fund .75%
International Equity Fund 1.75% of the first $30 million;
and 1.50% in excess of $30 million
REIT Index Fund 1.50% of the first $30 million;
and 1.25% in excess of $30 million
To assist in the administration of the Trust, the Trust has entered into an
administration agreement with Aon Securities Corporation, an affiliate of Aon
Corporation, to provide certain administrative services for the Trust. Under
this agreement, the Trust pays Aon Securities Corporation an annual fee of
0.05% of the average daily net assets of each Fund.
Certain officers and trustees of the Trust are also officers and directors of
the Investment Advisor and Aon Securities Corporation. These officers and
trustees serve without direct compensation from the Trust. During the period
ended April 30, 1997, the Trust incurred expenses totaling $17,422 for
compensation of unaffiliated trustees.
<TABLE>
<CAPTION>
5. COMPOSITION OF NET ASSETS GOVERNMENT ASSET S&P 500
SECURITIES ALLOCATION INDEX
At April 30, 1997, net FUND FUND
assets consisted of: ------------ ----------- -----------
<S> <C> <C> <C>
Paid in capital 73,511,520 111,874,450 97,598,923
Accumulated net realized gain (loss) (349,161) 1,984,204 285,340
Net unrealized appreciation (827,551) 14,362,402 9,172,743
Undistributed net investment income 11,374 167,712 514,523
------------ ----------- -----------
Net Assets 72,346,182 128,388,768 107,571,529
============ =========== ===========
</TABLE>
108
<PAGE> 110
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
International
Equity REIT Index
Fund Fund
------------- ------------
Paid in capital 36,482,961 50,064,594
Accumulated net realized gain 1,208,889 375,321
Net unrealized appreciation 1,026,066 3,397,082
Undistributed net investment income 47,338 891,663
------------- ------------
Net Assets 38,765,254 54,728,660
============= ============
6. CAPITAL SHARE TRANSACTIONS
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
MONEY MARKET FUND GOVERNMENT SECURITIES FUND
SHARES AMOUNT SHARES AMOUNT
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Balance at
October 31, 1995 420,093,633 $ 420,093,633 0 $ 0
Shares sold 4,625,262,667 4,625,262,667 3,960,650 40,000,000
Dividend
reinvestments 6,166,458 6,166,458 5,150 52,005
-------------- -------------- -------------- --------------
Total issued 4,631,429,125 4,631,429,125 3,965,800 40,052,005
Shares redeemed (4,656,418,504) (4,656,418,504) 0 0
-------------- -------------- -------------- --------------
Net change in
shares (24,989,379) (24,989,379) 3,965,800 40,052,005
-------------- -------------- -------------- --------------
Balance at
October 31, 1996 395,104,254 $ 395,104,254 3,965,800 $ 40,052,005
============== ============== ============== ==============
Shares sold 2,803,770,523 2,803,770,523 3,345,995 34,347,707
Dividend
reinvestments 3,833,941 3,833,941 176,109 1,782,158
-------------- -------------- -------------- --------------
Total issued 2,807,604,464 2,807,604,464 3,522,104 36,129,865
Shares redeemed (2,571,792,557) (2,571,792,557) (264,520) (2,670,350
-------------- -------------- -------------- --------------
Net change in
shares 235,811,907 235,811,907 3,257,584 33,459,515
-------------- -------------- -------------- --------------
Balance at
April 30, 1997 630,916,161 $ 630,916,161 7,223,384 $ 73,511,520
============== ============== ============== ==============
</TABLE>
109
<PAGE> 111
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
<TABLE>
<CAPTION>
Asset Allocation Fund S&P 500 Index Fund
Shares Amount Shares Amount
------ ------ ------ ------
<S> <C> <C> <C> <C>
Balance at
October 31, 1995 6,126,827 $ 68,849,955 0 $ 0
Shares sold 1,463,541 18,179,173 2,400,153 25,000,000
Dividend
reinvestments 134,937 1,694,654 0 0
--------- ------------- --------- -----------
Total issued 1,598,478 19,873,827 2,400,153 25,000,000
Shares redeemed (800,783) (10,077,026) 0 0
--------- ------------- --------- -----------
Net change in
shares 797,695 9,796,801 2,400,153 25,000,000
--------- ------------- --------- -----------
Balance at
October 31, 1996 6,924,522 $ 78,646,756 2,400,153 $25,000,000
========= ============= ========= ===========
Shares sold 4,138,238 53,691,802 7,018,332 80,715,236
Dividend
reinvestments 290,522 3,740,490 16,186 181,475
--------- ------------- --------- -----------
Total issued 4,428,760 57,432,292 7,034,518 80,896,711
Shares redeemed (1,807,059) (24,204,598) (696,032) (8,297,788)
--------- ------------- --------- -----------
Net change in
shares 2,621,701 33,227,694 6,338,486 72,598,923
--------- ------------- --------- -----------
Balance at
April 30, 1997 9,546,223 $ 111,874,450 8,738,639 $97,598,923
========= ============= ========= ===========
</TABLE>
<TABLE>
<CAPTION>
International Equity Fund REIT Index Fund
Shares Amount Shares Amount
------ ------ ------ ------
<S> <C> <C> <C> <C>
Balance at
October 31, 1995 0 $ 0 0 0
Shares sold 2,468,934 25,000,000 2,459,830 25,100,000
Dividend
reinvestments 0 0 0 0
--------- ------------ --------- ----------
Total issued 2,468,934 25,000,000 2,459,830 25,100,000
Shares redeemed 0 0 0 0
--------- ------------ --------- ----------
Net change in shares 2,468,934 25,000,000 2,459,830 25,100,000
--------- ------------ --------- ----------
Balance at
October 31, 1996 2,468,934 $ 25,000,000 2,459,830 25,100,000
========= ============ ========= ==========
</TABLE>
110
<PAGE> 112
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
<TABLE>
<S> <C> <C> <C> <C>
Shares sold 1,308,238 13,752,399 2,853,573 32,219,572
Dividend reinvestments 12,903 133,913 53,439 642,875
--------- ---------- --------- ----------
Total issued 1,321,141 13,886,312 2,907,012 32,862,447
Shares redeemed (223,613) (2,403,351) (671,204) (7,897,853)
--------- ---------- --------- ----------
Net change in shares 1,097,528 11,482,961 2,235,808 24,964,594
--------- ---------- --------- ----------
Balance at April 30, 1997 3,566,462 $36,482,961 4,695,638 $50,064,594
========= =========== ========= ===========
</TABLE>
7.INVESTMENTS
Investment transactions for the period ended April 30, 1997, including
maturities and excluding short-term investments, were as follows:
<TABLE>
<CAPTION>
PROCEEDS
PURCHASES FROM SALES
--------- ---------
<S> <C> <C>
Government Securities Fund $ 75,242,282 46,783,817
Asset Allocation Fund 71,700,592 47,168,415
S&P 500 Index Fund 66,469,719 1,403,476
International Equity Fund 20,294,496 8,466,946
REIT Index Fund 38,475,468 12,886,731
---------------- ----------
Total $ 272,182,557 116,709,385
================ ===========
</TABLE>
Gross unrealized appreciation and gross unrealized depreciation of investments
at April 30, 1997 were as follows:
<TABLE>
<CAPTION>
GOVERNMENT ASSET ALLOCATION S&P 500 INDEX
SECURITIES FUND FUND FUND
--------------- ---------------- -------------
<S> <C> <C> <C>
Gross unrealized
appreciation $ 0 20,313,083 11,127,540
Gross unrealized
depreciation (827,551) (5,950,681) (2,016,087)
------- ---------- ----------
Net unrealized appreciation
(depreciation) $ (827,551) 14,362,402 9,111,453
=========== ========== =========
</TABLE>
111
<PAGE> 113
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
<TABLE>
<CAPTION>
INTERNATIONAL REIT INDEX
EQUITY FUND FUND
------------ ----------
<S> <C> <C>
Gross unrealized appreciation $ 2,919,783 3,812,426
Gross unrealized depreciation (1,818,263) (415,344)
---------------- ---------
Net unrealized appreciation (depreciation) $ 1,101,520 3,397,082
================ =========
</TABLE>
At April 30, 1997, the identified cost of investments for federal income tax
purposes was the same as the cost for financial reporting purposes for each
Fund.
8. FUTURES CONTRACTS
The S&P 500 Index Fund invests in stock index futures contracts to rapidly
adjust exposure to the S&P 500 Index in anticipation of investing cash balances
or cash flow into the Fund in appropriate common stocks or in anticipation of
liquidating appropriate common stocks to meet expected redemption requests.
The use of stock index futures also lowers the transaction costs of the Fund.
The Fund bears the market risk arising from changes in the value of the
futures. At the time the Fund enters into a futures contact, it is required
to make a margin deposit with the broker of a specified amount of cash or
eligible securities. Subsequently, as the market price of the futures contract
fluctuates, gains or losses are recorded and payments are made between the Fund
and the broker on a periodic basis. The statement of operations reflects gains
and losses as realized for closed futures contracts and as unrealized for open
futures contracts.
As of April 30, 1997, the S&P 500 Index Fund had the following open futures
contracts:
<TABLE>
<CAPTION>
UNREALIZED
COST VALUE GAIN
---- ----- ----------
<S> <C> <C> <C>
Index Futures Buy Contracts
S&P 500 Index June 97; 16 contracts 6,401,993 6,422,400 20,407
S&P 500 Index September 97; 3 contracts 1,175,317 1,216,200 40,883
----------- --------- ------
Total Index Futures Buy Contracts 7,577,310 7,638,600 61,290
=========== ========= ======
</TABLE>
The value of U.S. Government Treasury Bills pledged to cover margin
requirements for open futures positions at April 30, 1997 was $398,816.
112
<PAGE> 114
NOTES TO THE FINANCIAL STATEMENTS
AON FUNDS
UNAUDITED
9. FORWARD FOREIGN CURRENCY CONTRACTS
The International Equity Fund engages in portfolio hedging with respect to
changes in currency exchange rates by entering into forward foreign currency
contracts to purchase or sell currencies. Forward foreign currency contracts
are also used to achieve currency allocation strategies. A forward foreign
currency contract is a commitment to purchase or sell a foreign currency at a
future date at a negotiated forward rate. Risks associated with such contracts
include movement in the value of the foreign currency relative to the U.S.
dollar and the ability of the counterparty to perform. The unrealized gain, if
any, represents the credit risk to the Fund on a forward foreign currency
contract. Fluctuations in the value of forward foreign currency contracts are
recorded daily as net unrealized gains or losses. The Fund realizes a gain or
loss upon settlement of the contracts. The statement of operations reflects
net realized and net unrealized gains and losses on these contracts. The
counterparty to all forward foreign currency contracts, at and for the period
ended April 30, 1997, was the Fund's custodian.
The International Equity Fund had the following open forward foreign currency
contracts as of April 30, 1997, settling on September 12, 1997:
<TABLE>
<CAPTION>
UNREALIZED
LOCAL CONTRACT CURRENT APPRECIATION
CURRENCY AMOUNT VALUE (DEPRECIATION)
-------- ------ ----- ------------
FORWARD FOREIGN CURRENCY
SALE CONTRACTS:
<S> <C> <C> <C> <C>
Australian Dollar 1,900,000 $1,487,630 $1,484,563 $ 3,067
Belgian Franc 27,000,000 771,429 763,160 8,269
Hong Kong Dollar 3,000,000 386,947 387,093 (146)
German Deutschemarks 1,050,000 617,647 612,305 5,342
Netherlands Guilder 700,000 366,492 362,892 3,600
French Franc 1,100,000 191,972 190,141 1,831
British Pound 940,000 1,513,400 1,522,330 (8,930)
FORWARD FOREIGN CURRENCY
BUY CONTRACTS:
Japanese Yen 140,000,000 1,170,065 1,125,684 (44,381)
Canadian Dollar 950,000 703,704 685,744 (17,960)
Swedish Kronor 7,300,000 958,005 937,167 (20,838)
Swiss Francs 2,200,000 1,520,702 1,514,874 (5,828)
Total $ (75,974)
===========
</TABLE>
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