Aon Funds
Semi-Annual Report
April 30, 1999
unaudited
<PAGE>
[LETTERHEAD OF AON FUNDS]
June 29, 1999
Dear Fellow Shareholder:
The six months ended April 30, 1999 produced mixed results for U.S. and
international capital markets. Rising interest rates caused intermediate and
long-term bond prices to fall, thereby hindering performance. On the other hand,
continued equity market strength globally and a rebound from depressed equity
prices for REIT stocks bolstered stock performance.
As a reminder, the Aon Funds Board of Trustees approved the termination of the
S&P 500 Index and International Equity Funds. The Funds will be terminated and
your shares redeemed for cash on or about July 30, 1999. We have temporarily
waived any transaction fees to accommodate exchange or redemption requests
preceding the termination of the aforementioned Funds.
The financial statements are presented on the following pages. Thank you for
your continued support.
Sincerely,
/s/ Michael A. Conway
Michael A. Conway
President
<PAGE>
Aon Funds
- -------------------------------------------------------------------------------
TABLE OF CONTENTS
Money Market Fund
Statement of Assets and Liabilities.............................Page 3
Statement of Operations.........................................Page 4
Statements of Changes in Net Assets.............................Page 5
Schedule of Investments....................................Pages 6 - 8
Financial Highlights.......................................Pages 9 - 10
Government Securities Fund
Statement of Assets and Liabilities............................Page 11
Statement of Operations........................................Page 12
Statements of Changes in Net Assets............................Page 13
Schedule of Investments........................................Page 14
Financial Highlights.....................................Pages 15 - 16
Asset Allocation Fund
Statement of Assets and Liabilities............................Page 17
Statement of Operations........................................Page 18
Statements of Changes in Net Assets............................Page 19
Schedule of Investments..................................Pages 20 - 26
Financial Highlights.....................................Pages 27 - 28
S&P 500 Index Fund
Statement of Assets and Liabilities............................Page 29
Statement of Operations........................................Page 30
Statements of Changes in Net Assets............................Page 31
Schedule of Investments..................................Pages 32 - 43
Financial Highlights.....................................Pages 44 - 45
International Equity Fund
Statement of Assets and Liabilities............................Page 46
Statement of Operations........................................Page 47
Statements of Changes in Net Assets............................Page 48
Schedule of Investments..................................Pages 49 - 52
Industry Diversification.................................Pages 53 - 54
Financial Highlights.....................................Pages 55 - 56
REIT Index Fund
Statement of Assets and Liabilities............................Page 57
Statement of Operations........................................Page 58
Statements of Changes in Net Assets............................Page 59
Schedule of Investments..................................Pages 60 - 62
Financial Highlights.....................................Pages 63 - 64
Notes to the Financial Statements.................................Pages 65 - 71
<PAGE>
Money Market Fund
Statement of Assets and Liabilities
April 30, 1999
Unaudited
In thousands, except per share data
<TABLE>
<CAPTION>
<S> <C>
Assets
Investments, at amortized cost which approximates fair value............................... $ 637,698
Receivable for fund shares sold............................................................ 1,420
Interest receivable........................................................................ 552
Cash....................................................................................... 1
----------------
Total Assets.................................................................................... 639,671
Liabilities
Dividends payable.......................................................................... 2,694
Accrued expenses payable................................................................... 209
Investment advisory fees payable........................................................... 122
----------------
Total Liabilities............................................................................... 3,025
================
Net Assets...................................................................................... $ 636,646
================
Net Asset Value Per Share (based on net assets of $636,646 and 636,646 shares
issued and outstanding).................................................................... $ 1.00
================
</TABLE>
See accompanying notes to financial statements 3
<PAGE>
Money Market Fund
Statement of Operations
For the six months ended April 30, 1999
Unaudited
In thousands
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Interest................................................................................... $ 18,285
----------------
Total Investment Income......................................................................... 18,285
Expenses
Investment advisory fees................................................................... 1,088
Fund administration fees................................................................... 181
Professional fees.......................................................................... 48
Fund accounting fees....................................................................... 40
Custodian fees............................................................................. 39
Trustees fees.............................................................................. 14
Registration fees.......................................................................... 11
Transfer agent fees........................................................................ 10
Printing fees.............................................................................. 1
----------------
Total Expenses.................................................................................. 1,432
Less: Fee Waiver............................................................................... 725
----------------
Net Expenses.................................................................................... 707
----------------
Net Investment Income........................................................................... $ 17,578
================
</TABLE>
See accompanying notes to financial statements 4
<PAGE>
Money Market Fund
Statements of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
In thousands through ended
04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Change in net assets from operations
Net investment income....................................................... $ 17,578 43,951
Distributions to shareholders from:
Net investment income....................................................... (17,578) (43,951)
Capital share transactions
Proceeds from sale of shares................................................ 3,520,259 7,411,667
Reinvestment of distributions............................................... 9,617 19,465
Cost of shares redeemed .................................................... (3,586,897) (7,503,821)
---------------- ----------------
Change in net assets from capital transactions.............................. (57,021) (72,689)
---------------- ----------------
Change in net assets............................................................. (57,021) (72,689)
Net assets at beginning of year.................................................. 693,667 766,356
---------------- ----------------
Net assets at end of year........................................................ $ 636,646 693,667
================ ================
Undistributed net investment income.............................................. $ 0 0
================ ================
</TABLE>
See accompanying notes to financial statements 5
<PAGE>
Money Market Fund
Schedule of Investments
April 30, 1999
Unaudited
<TABLE>
<CAPTION>
Principal Principal
In thousands Amount Value Amount Value
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
COMMERCIAL PAPER Norwest Financial
Aerospace & Defense - 2.3% 4.830% due 05/14/1999 $ 15,000 $ 14,974
International Lease Finance Corp. 4.790% due 07/06/1999 10,000 9,912
4.790% due 05/11/1999 $ 5,000 $ 4,993 US Bancorp
4.867% due 06/14/1999 10,000 9,941 4.820% due 06/07/1999 15,000 14,926
----------- ------------
14,934 40,775
Auto & Truck - 4.2% Banking - International - 3.9%
Ford Motor Credit Canadian Imperial
4.780% due 05/05/1999 20,000 19,989 4.820% due 06/04/1999 20,000 19,909
4.820% due 05/21/1999 7,000 6,981 4.800% due 07/07/1999 5,000 4,955
----------- ------------
26,970 24,864
Asset Backed Securities - 11.5% Beverages - 1.6%
Asset Securitization Corp. Anheuser Busch Co.
4.830% due 05/12/1999 5,000 4,993 4.750% due 05/07/1999 10,000 9,992
4.850% due 05/13/1999 15,000 14,976
4.800% due 06/03/1999 5,000 4,978 Chemical - 4.6%
Corporate Asset Funding Co. DuPont De Nemours & Co.
4.880% due 05/06/1999 5,000 4,997 4.830% due 05/18/1999 10,000 9,977
4.850% due 05/12/1999 5,000 4,993 Nalco Chemical Co.
4.810% due 05/14/1999 5,000 4,991 4.830% due 05/06/1999 3,000 2,998
4.840% due 06/01/1999 5,000 4,979 4.850% due 05/27/1999 2,500 2,491
4.800% due 06/18/1999 5,000 4,968 4.810% due 07/08/1999 10,000 9,909
Preferred Receivables Funding Corp. 4.780% due 07/26/1999 4,000 3,954
------------
4.860% due 05/04/1999 2,060 2,059 29,329
4.810% due 05/14/1999 4,960 4,951 Communications Equipment - 1.6%
4.800% due 05/21/1999 2,000 1,995 Motorola Credit Co.
4.850% due 05/25/1999 12,014 11,975 4.790% due 07/23/1999 10,000 9,890
4.840% due 06/16/1999 2,085 2,072
-----------
72,927 Cosmetic & Toiletries - 3.8%
Banking - Domestic - 6.4% Colgate-Palmolive
First Chicago Financial Corp. 4.810% due 05/28/1999 24,100 24,013
4.900% due 05/20/1999 965 963
See accompanying notes to financial statements 6
<PAGE>
Money Market Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal Principal
In thousands Amount Value Amount Value
------------ ----------- ------------ ------------
Computers - 3.9% Medical Products & Supplies - 1.6%
Avnet, Inc. Abbott Labs
4.860% due 05/14/1999 $ 5,000 $ 4,991 4.750% due 05/03/1999 $ 10,000 $ 9,997
4.830% due 05/17/1999 5,000 4,989
4.870% due 06/04/1999 5,000 4,977 Office Supplies - 0.1%
4.820% due 06/23/1999 5,000 4,965 Pitney Bowes Credit Corp Cp
4.800% due 07/16/1999 5,000 4,949 4.830% due 05/04/1999 384 384
-----------
24,871
Electronics and Electrical Equipment - 3.9% Oil & Gas - International - 5.5%
General Electric Capital Corp. Exxon Asset Management
4.800% due 05/10/1999 5,000 4,994 4.870% due 05/04/1999 20,000 19,992
4.850% due 05/13/1999 10,000 9,984 Mobil Corp.
4.830% due 06/14/1999 5,000 4,970 4.900% due 05/03/1999 15,000 14,996
------------
4.810% due 09/07/1999 5,000 4,914 34,988
-----------
24,862 Paper & Forest Product - 2.8%
Finance - 11.7% Kimberly Clark Worldwide
American Express 4.820% due 05/07/1999 10,000 9,992
4.720% due 05/03/1999 15,000 14,996 4.780% due 05/21/1999 8,000 7,979
------------
4.800% due 06/18/1999 10,000 9,936 17,971
American General Finance Printing & Publishing - 1.6%
4.840% due 05/27/1999 25,000 24,913 Times Mirror Co
Associates Corp North America 4.850% due 05/25/1999 10,000 9,968
4.820% due 05/07/1999 5,000 4,996
Associates First Capital Corp Telecommunication - 11.0%
4.830% due 05/06/1999 20,000 19,987 Ameritech Cap Funding Corp
-----------
74,828 4.840% due 05/07/1999 25,000 24,980
Insurance - 3.9% Bell Atlantic Financial Services
Prudential Funding Corp. 4.900% due 05/03/1999 10,000 9,997
4.850% due 05/17/1999 5,000 4,989 Bell South Capital Funding Corp.
4.810% due 06/03/1999 20,000 19,912 4.770% due 05/10/1999 18,080 18,058
-----------
24,901
See accompanying notes to financial statements 7
<PAGE>
Money Market Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal Principal
In thousands Amount Value Amount Value
------------ ----------- ------------ ------------
SBC Communications, Inc. CERTIFICATES OF DEPOSIT
4.820% due 05/12/1999 $ 17,000 $ 16,975 Banking - Domestic - 1.4%
-----------
70,010 Comerica Bank
Trucks & Parts - 3.9% 4.664% due 06/15/1999 $ 5,000 $ 5,000
Paccar Finance Co. First Of America
4.800% due 05/20/1999 25,000 24,937 5.000% due 08/16/1999 2,000 2,000
-----------
Huntington National Bank
Total Commercial Paper - 89.8% 571,411 4.750% due 07/06/1999 2,000 2,000
------------
U.S. GOVERNMENT SECURITIES Total Certificates of Deposit - 1.4% 9,000
U.S. Government Agencies - 8.5%
Federal Home Loan Bank REPURCHASE AGREEMENTS - 0.5%
4.700% due 05/05/1999 15,000 14,992 Harris Nesbit Thompson *
5.030% due 10/29/1999 10,000 10,000 4.700% due 05/03/1999 3,308 3,308
4.900% due 01/14/2000 10,000 10,000 ------------
5.000% due 02/24/2000 10,000 9,992 TOTAL INVESTMENTS -100.2% 637,698
-----------
44,984
Federal Home Loan Mortgage Corp. Liabilities, less cash
4.750% due 05/14/1999 9,010 8,995 and other assets - (0.2%) (1,052)
----------- ------------
Total U.S. Government Securities - 8.5% 53,979 TOTAL NET ASSETS - 100.0% $ 636,646
============
</TABLE>
*Collateralized by U.S. Treasury Bills (4.40% due July 29, 1999); held by
custodian.
See accompanying notes to financial statements 8
<PAGE>
Money Market Fund
Financial Highlights
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year Year
through ended ended
Selected per share data 04/30/99 10/31/98 10/31/97
---------------- ---------------- ----------------
<S> <C> <C> <C>
Net asset value, beginning of year............................ $ 1.00 1.00 1.00
Income from investment operations:
Net investment income.................................... 0.02 0.05 0.05
Net realized and unrealized gain......................... 0.00 0.00 0.00
---------------- ---------------- ----------------
Total income from investment operations....................... 0.02 0.05 0.05
Less distributions:
Dividends from net investment income..................... 0.02 0.05 0.05
Distributions from net realized gain..................... 0.00 0.00 0.00
---------------- ---------------- ----------------
Total distributions........................................... 0.02 0.05 0.05
---------------- ---------------- ----------------
Net asset value, end of year.................................. $ 1.00 1.00 1.00
Total return ................................................. 2.43%** 5.54% 5.44%
================ ================ ================
Ratios and supplemental data:
Net assets, end of year (in thousands)........................ $ 636,646 693,667 766,356
Ratio to average net assets of:
Expenses, net of waivers and reimbursements.............. 0.19%* 0.20% 0.22%
Expenses, before waivers and reimbursements............. 0.39%* 0.40% 0.40%
Net investment income, net of waivers
and reimbursements........................................... 4.85%* 5.40% 5.34%
Net investment income, before waivers
and reimbursements........................................... 4.65%* 5.20% 5.16%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 9
<PAGE>
Money Market Fund
Financial Highlights (continued)
Unaudited
<TABLE>
<CAPTION>
Year Year Year
ended ended ended
Selected per share data 10/31/96 10/31/95 10/31/94
---------------- ---------------- ----------------
<S> <C> <C> <C>
Net asset value, beginning of year............................ $ 1.00 1.00 1.00
Income from investment operations:
Net investment income.................................... 0.05 0.06 0.04
Net realized and unrealized gain......................... 0.00 * *
---------------- ---------------- ----------------
Total income from investment operations....................... 0.05 0.06 0.04
Less distributions:
Dividends from net investment income..................... 0.05 0.06 0.04
Distributions from net realized gain..................... 0.00 * *
---------------- ---------------- ----------------
Total distributions........................................... 0.05 0.06 0.04
---------------- ---------------- ----------------
Net asset value, end of year.................................. $ 1.00 1.00 1.00
================ ================ ================
Total return.................................................. 5.43% 5.93% 3.77%
================ ================ ================
Ratios and supplemental data:
Net assets, end of year (in thousands)........................ $ 395,104 420,094 410,912
Ratio to average net assets of:
Expenses, net of waivers and reimbursements.............. 0.23% 0.14% 0.15%
Expenses, before waivers and reimbursements.............. 0.46% 0.39% 0.40%
Net investment income, net of waivers
and reimbursements................................... 5.30% 5.79% 3.73%
Net investment income, before waivers
and reimbursements................................... 5.07% 5.54% 3.48%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Less than 1 cent per share
See accompanying notes to financial statements 10
<PAGE>
Government Securities Fund
Statement of Assets and Liabilities
April 30, 1999
Unaudited
In thousands, except per share data
<TABLE>
<CAPTION>
<S> <C>
Assets
Investments in securities, at value (cost - $168,078)....................................... $ 165,844
Interest receivable......................................................................... 2,842
Receivable for fund shares sold............................................................. 715
----------------
Total Assets..................................................................................... 169,401
Liabilities
Dividends payable........................................................................... 711
Accrued expenses payable.................................................................... 42
Investment advisory fees payable............................................................ 28
----------------
Total Liabilities................................................................................ 781
----------------
Net Assets....................................................................................... 168,620
================
Analysis of Net Assets:
Paid in capital............................................................................. $ 168,736
Accumulated net realized gain............................................................... 2,095
Net unrealized depreciation................................................................. (2,234)
Undistributed net investment income......................................................... 23
----------------
Net Assets....................................................................................... $ 168,620
================
Net Asset Value Per Share (based on net assets of $168,620 and 16,242 shares
issued and outstanding)..................................................................... $ 10.38
================
</TABLE>
See accompanying notes to financial statements 11
<PAGE>
Government Securities Fund
Statement of Operations
For the six months ended April 30, 1999
Unaudited
In thousands
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Interest.................................................................................... $ 4,413
----------------
Total Investment Income.......................................................................... 4,413
Expenses
Investment advisory fees.................................................................... 351
Fund administration fees.................................................................... 41
Fund accounting fees........................................................................ 26
Professional fees........................................................................... 8
Registration fees........................................................................... 8
Custodian fees.............................................................................. 7
Transfer agent fees......................................................................... 6
Trustees fees............................................................................... 2
Other....................................................................................... 1
----------------
Total Expenses................................................................................... 450
Less: Fee Waiver................................................................................ 269
----------------
Net Expenses..................................................................................... 181
----------------
Net Investment Income............................................................................ 4,232
Net Realized and Unrealized Gain (Loss)
Net realized gain on sale of investments.................................................... 2,095
Change in net unrealized depreciation on investments........................................ (7,539)
----------------
Net realized and unrealized (loss).......................................................... $ (5,444)
----------------
Net Decrease in Net Assets from Operations....................................................... $ (1,212)
================
</TABLE>
See accompanying notes to financial statements 12
<PAGE>
Government Securities Fund
Statements of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
through ended
In thousands 04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Change in net assets from operations
Net investment income..................................................... $ 4,232 7,440
Net realized gain ........................................................ 2,095 5,706
Change in net unrealized appreciation..................................... (7,539) 2,243
---------------- ----------------
Change in net assets from operations...................................... (1,212) 15,389
Distributions to shareholders from:
Net investment income..................................................... (4,238) (7,420)
Net realized gain......................................................... (5,263) 0
---------------- ----------------
Total distributions....................................................... (9,501) (7,420)
Capital share transactions
Proceeds from sale of shares.............................................. 14,491 44,216
Reinvestment of distributions............................................. 9,501 7,420
Cost of shares redeemed................................................... (971) (7,678)
---------------- ----------------
Change in net assets from capital transactions............................ 23,021 43,958
---------------- ----------------
Increase in net assets......................................................... 12,308 51,927
Net assets at beginning of year................................................ 156,312 104,385
---------------- ----------------
Net assets at end of year...................................................... $ 168,620 156,312
================ ================
Undistributed net investment income............................................ $ 23 29
================ ================
</TABLE>
See accompanying notes to financial statements 13
<PAGE>
Government Securities Fund
Schedule of Investments
April 30, 1999
Unaudited
<TABLE>
<CAPTION>
Principal Principal
In thousands Amount Value Amount Value
------------ ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
U.S. GOVERNMENT SECURITIES U.S. Treasury Bonds
U.S. Government Agencies - 44.0% 7.500% due 11/15/2016 $ 5,000 $ 5,855
A.I.D. Israel 8.125% due 05/15/2021 20,000 25,319
5.250% due 09/15/2000 $ 7,200 $ 7,199 5.250% due 02/15/2029 20,000 18,781
------------
5.890% due 08/15/2005 6,500 6,758 49,955
-----------
13,957 U.S. Treasury Inflation Index Security
Federal Home Loan Bank 3.625% due 01/15/2008 10,182 9,966
4.690% due 05/07/1999 350 350 3.875% due 04/15/2029 10,006 10,022
------------
4.875% due 01/26/2001 5,000 4,959 19,988
----------- ------------
5,309
Federal Home Loan Mortgage Corp. Total U.S. Government Obligations 91,649
4.750% due 05/10/1999 485 484 ------------
4.670% due 06/21/1999 385 382 Total U.S. Government Securities - 98.4%
5.950% due 01/19/2006 5,000 5,040 (cost - $167,065) 165,831
5.750% due 03/15/2009 10,000 9,841
-----------
15,747 DEMAND NOTE
Federal National Mortgage Association Utility-Electric - 0.0%
5.750% due 02/15/2008 20,000 19,849 Wisconsin Electric
5.750% due 06/15/2005 3,500 3,512 4.499% due 05/03/1999
4.750% due 11/14/2003 10,000 9,651 (cost - $13) 13 13
----------- ------------
33,012
Private Export Funding Corp. TOTAL INVESTMENTS - 98.4%
6.310% due 09/30/2004 6,000 6,157 (cost - $168,078) 165,844
-----------
Total U.S. Government Agency 74,182 Other assets, less liabilities - 1.6% 2,776
------------
U.S. Government Obligations - 54.4% TOTAL NET ASSETS - 100.0% $ 168,620
============
U.S. Treasury Note
6.875% due 05/15/2006 20,000 21,706
</TABLE>
See accompanying notes to financial statements 14
<PAGE>
Government Securities Fund
Financial Highlights
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
through ended
Selected per share data 04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Net asset value, beginning of period.......................................... $ 11.09 10.49
Income from investment operations:
Net investment income.................................................... 0.27 0.59
Net realized and unrealized (loss) gain.................................. (0.35) 0.60
---------------- ----------------
Total income from investment operations....................................... (0.08) 1.19
Less distributions:
Dividends from net investment income..................................... 0.27 0.59
Distributions from net realized gain..................................... 0.36 0.00
---------------- ----------------
Total distributions........................................................... 0.63 0.59
---------------- ----------------
Net asset value, end of period................................................ $ 10.38 11.09
================ ================
Total return .................................................................. -0.72%** 11.72%
================ ================
Ratios and supplemental data:
Net assets, end of period (in thousands)....................................... $ 168,620 156,312
Ratio to average net assets of:
Expenses, net of waivers and reimbursements............................... 0.22%* 0.23%
Expenses, before waivers and reimbursements............................... 0.55%* 0.57%
Net investment income, net of waivers and reimbursements.................. 5.18%* 5.54%
Net investment income, before waivers and reimbursements.................. 4.85%* 5.20%
Portfolio turnover rate........................................................ 62% 219%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 15
<PAGE>
Government Securities Fund
Financial Highlights (continued)
Unaudited
<TABLE>
<CAPTION>
Year 09/03/96
ended through
Selected per share data 10/31/97 10/31/96
---------------- ----------------
<S> <C> <C>
Net asset value, beginning of period........................................... $ 10.21 10.00
Income from investment operations:
Net investment income..................................................... 0.59 0.07
Net realized and unrealized gain.......................................... 0.28 0.21
---------------- ----------------
Total income from investment operations........................................ 0.87 0.28
Less distributions:
Dividends from net investment income...................................... 0.59 0.07
Distributions from net realized gain...................................... 0.00 0.00
---------------- ----------------
Total distributions............................................................ 0.59 0.07
---------------- ----------------
Net asset value, end of period................................................. $ 10.49 10.21
================ ================
Total return ................................................................. 8.86% 2.79%**
================ ================
Ratios and supplemental data:
Net assets, end of period (in thousands)..................................... $ 104,385 40,505
Ratio to average net assets of:
Expenses, net of waivers and reimbursements............................. 0.46% 0.89%*
Expenses, before waivers and reimbursements............................. 0.65% 0.89%*
Net investment income, net of waivers and reimbursements................ 5.92% 5.59%*
Net investment income, before waivers and reimbursements................ 5.73% 5.59%*
Portfolio turnover rate...................................................... 136% 4%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 16
<PAGE>
Asset Allocation Fund
Statement of Assets and Liabilities
April 30, 1999
Unaudited
In thousands, except per share data
<TABLE>
<CAPTION>
<S> <C>
Assets
Investments in securities, at value (cost - $148,876)...................................... $ 195,192
Receivable for securities sold............................................................. 3,605
Interest receivable........................................................................ 523
Dividends receivable....................................................................... 138
Receivable for fund shares sold............................................................ 4
----------------
Total Assets.................................................................................... 199,462
Liabilities
Payable for securities purchased........................................................... 2,877
Written covered call options (premiums - $217)............................................. 106
Investment advisory fees payable........................................................... 82
Accrued expenses payable................................................................... 65
----------------
Total Liabilities............................................................................... 3,130
----------------
Net Assets...................................................................................... $ 196,332
================
Analysis of Net Assets
Paid in capital............................................................................ $ 142,518
Accumulated net realized gain ............................................................. 7,075
Net unrealized appreciation................................................................ 46,427
Undistributed net investment income........................................................ 312
----------------
Net Assets...................................................................................... $ 196,332
================
Net Asset Value Per Share (based on net assets of $196,332 and 11,090 shares
issued and outstanding).................................................................... $ 17.70
================
</TABLE>
See accompanying notes to financial statements 17
<PAGE>
Asset Allocation Fund
Statement of Operations
For the six months ended April 30, 1999
Unaudited
In thousands
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Interest................................................................................... $ 1,613
Dividends.................................................................................. 994
----------------
Total Investment Income......................................................................... 2,607
Expenses
Investment advisory fees................................................................... 645
Fund administration fees................................................................... 50
Fund accounting fees....................................................................... 24
Registration fees.......................................................................... 14
Custodian fees............................................................................. 11
Professional fees.......................................................................... 11
Transfer agent fees........................................................................ 7
Trustees fees.............................................................................. 4
----------------
Total Expenses.................................................................................. 766
Less: Fee Waiver............................................................................... 397
----------------
Net Expenses.................................................................................... 369
----------------
Net Investment Income........................................................................... 2,238
Net Realized and Unrealized Gain
Net realized gain on sale of investments................................................... 8,699
Change in net unrealized appreciation on investments....................................... 15,877
----------------
Net realized and unrealized gain .......................................................... 24,576
----------------
Net Increase in Net Assets from Operations...................................................... $ 26,814
================
</TABLE>
See accompanying notes to financial statements 18
<PAGE>
Asset Allocation Fund
Statements of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
In thousands through ended
04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Change in net assets from operations
Net investment income...................................................... $ 2,238 5,308
Net realized gain (loss) .................................................. 8,699 (1,757)
Change in net unrealized appreciation...................................... 15,877 (8,185)
---------------- ----------------
Change in net assets from operations....................................... 26,814 (4,634)
Distributions to shareholders from:
Net investment income...................................................... (2,775) (4,730)
Net realized gain.......................................................... 0 (6,046)
---------------- ----------------
Total distributions........................................................ (2,775) (10,776)
Capital share transactions
Proceeds from sale of shares............................................... 9,479 115,208
Reinvestment of distributions.............................................. 2,774 10,719
Cost of shares redeemed ................................................... (49,590) (65,772)
---------------- ----------------
Change in net assets from capital transactions............................. (37,337) 60,155
---------------- ----------------
Change in net assets............................................................ (13,298) 44,745
Net assets at beginning of year................................................. 209,630 164,885
---------------- ----------------
Net assets at end of year....................................................... $ 196,332 209,630
================ ================
Undistributed net investment income............................................. $ 312 849
================ ================
</TABLE>
See accompanying notes to financial statements 19
<PAGE>
Asset Allocation Fund
Schedule of Investments
April 30, 1999
Unaudited
<TABLE>
<CAPTION>
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C>
COMMON STOCKS Environmental - 2.8%
Common Stocks - Basic Materials Allied Waste Industries, Inc.* 95,018 $ 1,681
Chemical - 0.8% Newpark Resources, Inc.* 114,184 1,049
Polymer Group, Inc.* 47,274 $ 490 Waste Industries, Inc.* 25,000 462
PPG Industries 15,000 974 Waste Management, Inc. 41,516 2,346
----------- ------------
1,464 5,538
Chemicals - Specialty - 0.5% Manufacturing - Diversified - 2.1%
Intl Flavors & Fragrance 25,000 987 Tyco International Ltd 25,000 2,031
United Technologies Corp. 14,021 2,031
------------
Paper & Forest Products - 0.4% 4,062
Fibermark, Inc.* 60,000 780 Total Common Stocks - Capital
-----------
Goods - 9.0% 17,675
Total Common Stocks - Basic
Materials - 1.7% 3,231 Common Stocks - Communication Services
Cellular & Wireless - 0.5%
Common Stocks - Capital Goods PanAmSat Corporation* 10,000 351
Aerospace & Defense - 0.3% Pinnacle Holdings, Inc.* 35,000 718
------------
Kellstrom Industries, Inc.* 33,000 608 1,069
Long Distance - 1.6%
Construction - 0.1% AT&T 29,088 1,469
McDermott International 10,000 290 MCI Worldcom, Inc.* 20,000 1,644
------------
3,113
Container - 0.9% Telephone - 1.9%
AptarGroup, Inc. 15,000 420 Ameritech Corporation 22,500 1,540
Bway Corp.* 35,455 532 Cincinnati Bell 35,000 792
Owens-Illinois, Inc.* 25,000 725 SBC Communications, Inc. 25,000 1,400
----------- ------------
1,677 3,732
------------
Electrical Equipment - 2.8% Total Common Stocks - Communication
General Electric 42,712 4,506 Services - 4.0% 7,914
Triumph Group, Inc.* 36,649 994
-----------
5,500
See accompanying notes to financial statements 20
<PAGE>
Asset Allocation Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Common Stocks - Consumer Cyclical Coca-Cola Enterprises 25,000 $ 863
------------
Apparel & Textiles - 0.5% 2,325
Interface, Inc. 137,502 $ 971 Drug Stores - 1.2%
CVS Corporation 50,000 2,381
Furniture - 0.3%
Meadowcraft, Inc.* 67,500 477 Entertainment - 1.2%
Cinar Corporation* 25,000 522
Printing & Publishing - 2.2% Viacom, Inc. A* 23,824 966
Getty Images, Inc.* 41,000 1,066 Viacom, Inc. B* 8,980 367
Journal Register Co.* 35,700 520 Walt Disney Co. 20,046 636
------------
Scholastic Corp.* 36,800 1,740 2,491
Tribune Co. 12,388 1,034 Food Retailers - 2.6%
-----------
4,360 Kroger Co.* 64,684 3,513
Leisure Time - 0.4% Safeway, Inc.* 30,000 1,618
------------
National RV Holdings, Inc.* 30,000 776 5,131
Household Products/Housewares - 0.6%
Lodging/Hotels - 0.3% Newell Rubbermaid, Inc.* 23,649 1,122
Host Marriot Corp. 46,960 625
Media - TV/Radio/Cable - 10.2%
Retail - General - 0.5% AT&T Corp - Liberty Media-A* 20,000 1,277
Dayton Hudson Corp. 15,000 1,010 Canwest Global Comm Corp. 65,356 841
Chancellor Media Corp.* 70,550 3,871
Retail Specialty - 1.4% Clear Channel Comms.* 64,676 4,495
Home Depot 34,774 2,084 Emmis Broadcasting Corp.* 25,500 1,147
Saks, Inc.* 25,000 708 Fox Entertainment Group* 20,000 513
-----------
2,792 Outdoor Systems, Inc.* 58,707 1,479
-----------
Total Common Stocks - Consumer Time Warner, Inc. 60,054 4,204
Cyclical - 5.6% 11,011 TV Azteca SA ADR* 72,500 508
USA Networks, Inc.* 10,000 374
Common Stocks - Consumer Staples Young Broadcasting Corp.* 30,000 1,271
------------
Beverages - 1.2% 19,980
------------
Anheuser-Busch Co. 20,000 1,462 Total Common Stocks -
Consumer Staples - 17.0% 33,430
See accompanying notes to financial statements 21
<PAGE>
Asset Allocation Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Common Stocks - Energy MS Dean Witter, Inc. 12,500 $ 1,240
Exploration/Drilling - 1.0% PMI Group, Inc. 20,000 1,116
------------
Core Laboratories N.V.* 29,500 $ 531 5,260
Pride International, Inc.* 60,000 701 Insurance - 2.5%
Transocean Offshore, Inc. 26,258 780 American Bank Note Holo.* 40,000 103
-----------
2,012 American International Group 21,928 2,575
Oil & Gas - Domestic - 0.9% Citigroup, Inc. 30,000 2,257
------------
Atlantic Richfield 20,000 1,679 4,935
Real Estate/REITs - 2.9%
Oil & Gas International - 1.5% Colonial Properties Trust 51,350 1,406
Mobil Corp 15,000 1,571 Excel Legacy Corp.* 50,300 229
Shell Transport & Trading 30,000 1,363 First Industrial Realty Trust 43,335 1,165
-----------
2,934 Franchise Finance Corp. 24,000 556
Oil & Gas Service - 1.3% Health Care REIT, Inc. 41,375 972
Petroleum Geo Services ADR* 63,578 1,065 Spieker Properties, Inc. 38,416 1,508
------------
Schlumberger 10,000 639 5,836
Superior Energy Services, Inc.* 50,000 256 Savings and Loan - 0.7%
Texaco, Inc. 10,000 627 Washington Mutual, Inc. 31,800 1,308
----------- ------------
2,587
-----------
Total Common Stocks - Finance - 12.9% 25,357
Total Common Stocks - Energy - 4.7% 9,212
Common Stocks - Health Care
Common Stocks - Finance Bio-Technology - 0.9%
Banks - 4.1% Amgen* 30,000 1,843
Banc One Corp. 30,570 1,804
BankAmerica Corp.* 36,626 2,637 Drugs - 4.7%
Bankboston Corporation 20,000 980 American Home Products Corp. 10,000 610
State Street Corp. 20,000 1,750 Cardinal Health, Inc. 25,000 1,495
Texas Regional Bancshares 29,547 847 Merck & Co. 34,516 2,425
-----------
8,018 Schering-Plough Corp. 53,808 2,600
Financial Services - 2.7% Warner-Lambert Co 30,000 2,038
------------
Associates First Capital Corp. 41,516 1,840 9,168
Fannie Mae 15,000 1,064
See accompanying notes to financial statements 22
<PAGE>
Asset Allocation Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Medical Products & Supplies - 3.2% Dell Computer Corp. 10,000 $ 412
Abbott Labs 43,122 $ 2,089 EMC Corp Mass., Inc.* 15,028 1,637
Becton Dickenson Co. 25,516 949 IBM 5,000 1,046
Johnson & Johnson Co. 27,016 2,634 Sun Microsystems* 37,748 2,258
------------
Ocular Sciences, Inc.* 20,000 610 7,781
-----------
6,282 Computer Software/Services - 4.8%
-----------
Total Common Stocks - Advanced Comm. Systems* 45,000 562
Health Care - 8.8% 17,293 Carreker-Antinori, Inc.* 3,500 26
Citrix Systems, Inc.* 12,000 510
Common Stocks - Miscellaneous CSG Systems Intl, Inc.* 43,400 1,676
Professional Services - 1.3% First Data 37,677 1,599
Billing Concepts Corp.* 80,316 994 Jack Henry & Associates 15,000 495
Intl Telcom Data Systems* 30,000 339 Microsoft Corp.* 26,000 2,114
Rental Service Group* 54,000 1,218 Primark Corp.* 30,000 692
-----------
Saville Systems Ireland ADR* 60,684 732
Total Common Stocks - Sungard Data Systems, Inc.* 30,000 958
Miscellaneous - 1.3% 2,551 9,364
------------
Photography/Imaging - 0.5%
Common Stocks - Technology Xerox Corp. 18,600 1,093
------------
Communication Equipment - 3.1%
Amerilink Corp.* 20,000 138 Total Common Stocks -
L-3 Communications Hldgs* 21,700 1,059 Technology - 12.4% 24,285
Lucent Technologies 30,000 1,804
Nokia Corp. 6,000 445 Common Stocks - Transportation
Powerwave Technologies, Inc.* 25,637 779 Miscellaneous - 0.3%
TEKELEC* 20,000 181 Coach USA, Inc.* 25,000 594
------------
Tellabs, Inc.* 15,000 1,641
-----------
6,047 Total Common Stocks - 77.7%
Computer Related - 4.0% (cost - $106,695) 152,553
Compaq Computers Corp. 70,004 1,562
Comverse Technology* 13,500 866
See accompanying notes to financial statements 23
<PAGE>
Asset Allocation Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal Principal
In thousands, except shares Amount Value Amount Value
------------ ----------- ------------ ------------
U.S. GOVERNMENT SECURITIES Auto & Truck - 1.2%
U.S. Government Agency - 2.5% Chrysler Finance Corp.
Federal Home Loan Bank 6.950% due 03/25/2002 $ 1,000 $ 1,031
4.690% due 05/07/1999 $ 690 $ 690 General Motors Acceptance Corp.
5.875% due 01/22/2003 1,300 1,296
------------
Federal Home Loan Mortgage Corp. 2,327
4.690% due 05/24/1999 3,375 3,365 Bank and Bank Holding Company - 1.9%
NationsBank Corp.
Federal National Mortgage Association 7.500% due 09/15/2006 1,576 1,678
4.750% due 05/19/1999 825 823 Northern Trust Company
-----------
6.250% due 06/02/2008 2,000 1,962
------------
Total U.S. Government Agency 4,878 3,640
Communications & Media - 2.3%
U.S. Government Obligations - 2.0% Airtouch Communications
U.S. Treasury Notes 7.000% due 10/01/2003 788 818
7.125% due 09/30/1999 661 667 PanAmSat Corporation
7.750% due 01/31/2000 1,508 1,540 6.000% due 01/15/2003 3,000 2,930
6.500% due 08/31/2001 1,727 1,778 Tribune Company
-----------
6.875% due 11/01/2006 800 831
------------
Total U.S. Government Obligations 3,985 4,579
-----------
Computer - 0.4%
Total U.S. Government Securities - 4.5% Oracle Corp.
(cost - $8,792) 8,863 6.720% due 02/15/2004 750 753
CORPORATE BONDS Entertainment & Leisure - 0.7%
Aerospace & Defense - 1.0% Brunswick Corp.
Boeing Capital Corp. 6.750% due 12/15/2006 300 294
5.960% due 05/25/2004 2,000 1,926 Royal Caribbean
7.000% due 10/15/2007 1,000 992
------------
Agricultural & Industrial Equipment - 0.5% 1,286
Case Corp.
6.750% due 10/21/2007 1,000 969
See accompanying notes to financial statements 24
<PAGE>
Asset Allocation Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal
Principal Amount
In thousands, except shares Amount Value or Shares Value
------------ ----------- ------------ ------------
Food , Beverage & Tobacco - 1.6% Retail - Food and Drugs - 0.5%
Canandaigua Wine Kroger
8.750% due 12/15/2003 $ 100 $ 101 7.650% due 04/15/2007 $ 1,000 $ 1,067
Nabisco, Inc.
6.125% due 02/01/2033 3,000 2,954 Waste Management Services - 0.5%
-----------
3,055 Waste Management, Inc.
Health Care - 0.5% 6.625% due 07/15/2002 1,000 1,016
Omega Healthcare Investors
6.950% due 08/01/2007 1,000 903 Utilities - 0.5%
Korea Electric Power
Machinery - 1.0% 7.000% due 10/01/2002 1,000 985
------------
John Deere Capital Co.
5.850% due 01/15/2001 2,000 2,002 Total Corporate Bonds - 15.0%
(cost - $29,377) 29,379
Metal & Mineral - 0.4%
Southdown, Inc. PREFERRED STOCK
10.000% due 03/01/2006 788 879 Banks - 1.0%
ABN Amro Capital Fndg Trst 80,000 2,025
Non Ferrous Metal - 0.5%
Phelps Dodge Financial Services - 0.9%
6.375% due 11/01/2004 1,000 1,007 Merrill Lynch STRYPES 22,243 1,668
Oil & Gas International - 1.0% Computer Software/Services - 0.3%
Enron Corp Microsoft Corp. 6,700 666
------------
6.625% due 11/15/2005 1,000 1,003
Enron Oil & Gas Total Preferred Stock - 2.2%
6.500% due 12/01/2007 1,000 988 (cost - $3,974) 4,359
-----------
1,991
Restaurants & Lodging - 0.5%
Hilton Hotels Corp.
7.000% due 07/15/2004 1,000 994
See accompanying notes to financial statements 25
<PAGE>
Asset Allocation Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal
In thousands, except shares Amount Value
------------ -----------
DEMAND NOTE
Utility-Electric - 0.0%
Wisconsin Electric
4.499% due 05/03/1999
(cost - $38) $ 38 $ 38
-----------
TOTAL INVESTMENTS - 99.4%
(cost - $148,876) 195,192
Other assets, less liabilities - 0.6% 1,140
-----------
TOTAL NET ASSETS - 100.0% $ 196,332
===========
</TABLE>
*Non-income producing security.
See accompanying notes to financial statements 26
<PAGE>
Asset Allocation Fund
Financial Highlights
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year Year
through ended ended
Selected per share data 04/30/99 10/31/98 10/31/97
---------------- ---------------- ----------------
<S> <C> <C> <C>
Net asset value, beginning of year............................. $ 15.72 16.60 12.75
Income from investment operations:
Net investment income..................................... 0.21 0.39 0.27
Net realized and unrealized gain (loss) .................. 2.01 (0.32) 3.85
---------------- ---------------- ----------------
Total income from investment operations........................ 2.22 0.07 4.12
Less distributions:
Dividends from net investment income...................... 0.24 0.35 0.24
Distributions from net realized gain...................... 0.00 0.60 0.03
---------------- ---------------- ----------------
Total distributions............................................ 0.24 0.95 0.27
---------------- ---------------- ----------------
Net asset value, end of year................................... $ 17.70 15.72 16.60
================ ================ ================
Total return................................................... 14.22%** 0.21% 32.61%
================ ================ ================
Ratios and supplemental data:
Net assets, end of year (in thousands)......................... $ 196,332 209,630 164,885
Ratio to average net assets of:
Expenses, net of waivers and reimbursements............... 0.37%* 0.36% 0.56%
Expenses, before waivers and reimbursements............... 0.77%* 0.76% 0.78%
Net investment income, net of waivers
and reimbursements.................................... 2.25%* 2.33% 1.90%
Net investment income, before waivers
and reimbursements.................................... 1.85%* 1.93% 1.68%
Portfolio turnover rate........................................ 23% 64% 64%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 27
<PAGE>
Asset Allocation Fund
Financial Highlights (continued)
Unaudited
<TABLE>
<CAPTION>
Year Year 03/03/94
ended ended through
Selected per share data 10/31/96 10/31/95 10/31/94
---------------- ---------------- ----------------
<S> <C> <C> <C>
Net asset value, beginning of period........................... $ 12.04 9.97 10.00
Income from investment operations:
Net investment income..................................... 0.31 0.24 0.17
Net realized and unrealized gain.......................... 1.01 2.41 0.01
---------------- ---------------- ----------------
Total income from investment operations........................ 1.32 2.65 0.18
Less distributions:
Dividends from net investment income...................... 0.31 0.24 0.16
Distributions from net realized gain...................... 0.30 0.34 0.05
---------------- ---------------- ----------------
Total distributions............................................ 0.61 0.58 0.21
---------------- ---------------- ----------------
Net asset value, end of period................................. $ 12.75 12.04 9.97
================ ================ ================
Total return................................................... 11.06% 26.92% 1.84%**
================ ================ ================
Ratios and supplemental data:
Net assets, end of year (in thousands)......................... $ 88,280 73,775 10,189
Ratio to average net assets of:
Expenses, net of waivers and reimbursements............... 0.87% 0.96% 1.25%*
Expenses, before waivers and reimbursements............... 0.87% 0.96% 1.39%*
Net investment income, net of waivers
and reimbursements.................................... 2.48% 2.73% 2.63%*
Net investment income, before waivers
and reimbursements.................................... 2.48% 2.73% 2.49%*
Portfolio turnover rate........................................ 120% 95% 64%
- -------------------------------------------------------------------------------------------------------------------
,/TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 28
<PAGE>
S&P 500 Index Fund
Statement of Assets and Liabilities
April 30, 1999
Unaudited
In thousands, except per share data
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Assets
Investments in securities, at value (cost - $194,858)........................................ $ 296,040
Dividends receivable......................................................................... 223
Receivable for fund shares sold.............................................................. 16
Interest receivable.......................................................................... 3
--------------
Total Assets...................................................................................... 296,282
Liabilities
Variation margin............................................................................. 140
Payable for securities purchased............................................................. 119
Accrued expenses payable..................................................................... 63
Investment advisory fees payable............................................................. 24
--------------
Total Liabilities................................................................................. 346
--------------
Net Assets........................................................................................ $ 295,936
==============
Analysis of Net Assets
Paid in capital.............................................................................. 192,472
Accumulated net realized gain ............................................................... 799
Net unrealized appreciation.................................................................. 101,610
Undistributed net investment income.......................................................... 1,055
--------------
Net Assets........................................................................................ $ 295,936
==============
Net Asset Value Per Share (based on net assets of $295,936 and 15,036 shares
issued and outstanding)...................................................................... $ 19.68
==============
See accompanying notes to financial statements 29
<PAGE>
S&P 500 Index Fund
Statement of Operations
For the six months ended April 30, 1999
Unaudited
In thousands
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends.................................................................................. $ 1,662
Interest................................................................................... 163
----------------
Total Investment Income......................................................................... 1,825
Expenses
Investment advisory fees................................................................... 390
Fund administration fees................................................................... 65
Fund accounting fees....................................................................... 30
Custodian fees............................................................................. 17
Registration fees.......................................................................... 12
Professional fees.......................................................................... 11
Transfer agent fees........................................................................ 7
Trustees fees.............................................................................. 3
Other...................................................................................... 1
----------------
Total Expenses.................................................................................. 536
Less: Fee Waiver............................................................................... 325
----------------
Net Expenses.................................................................................... 211
----------------
Net Investment Income........................................................................... 1,614
Net Realized and Unrealized Gain
Net realized gain on sale of investments................................................... 664
Net realized gain on futures contracts..................................................... 271
Change in net unrealized appreciation on investments....................................... 48,105
Change in net unrealized appreciation on futures contracts................................. 393
----------------
Net realized and unrealized gain........................................................... 49,433
----------------
Net Increase in Net Assets from Operations...................................................... $ 51,047
================
</TABLE>
See accompanying notes to financial statements 30
<PAGE>
S&P 500 Index Fund
Statements of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
through ended
In thousands 04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Change in net assets from operations
Net investment income...................................................... $ 1,614 3,221
Net realized gain.......................................................... 935 1,815
Change in net unrealized appreciation...................................... 48,498 32,865
---------------- ----------------
Change in net assets from operations....................................... 51,047 37,901
Distributions to shareholders from:
Net investment income...................................................... (3,405) (1,957)
Net realized gain.......................................................... (2,035) (4,165)
---------------- ----------------
Total distributions........................................................ (5,440) (6,122)
Capital share transactions
Proceeds from sale of shares............................................... 21,874 128,734
Reinvestment of distributions.............................................. 5,439 6,123
Cost of shares redeemed ................................................... (1,984) (60,248)
---------------- ----------------
Increase in net assets from capital transactions........................... 25,329 74,609
---------------- ----------------
Increase in net assets.......................................................... 70,936 106,388
Net assets at beginning of year................................................. 225,000 118,612
---------------- ----------------
Net assets at end of year....................................................... $ 295,936 225,000
================ ================
Undistributed net investment income............................................. $ 1,055 2,846
================ ================
</TABLE>
See accompanying notes to financial statements 31
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
<TABLE>
<CAPTION>
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C>
COMMON STOCKS Alcoa, Inc. 9,388 $ 584
Common Stocks - Basic Materials Asarco, Inc. 1,012 19
Agricultural - 0.2% Barrick Gold Corp. 9,542 192
Archer-Daniels-Midland Co. 15,081 $ 226 Battle Mountain Gold Co. 5,833 16
Pioneer Hi-Bred International 6,148 230 Cyprus Amax Mineral Co. 2,378 37
-----------
456 Freeport McMoran Copper 4,209 64
Chemicals - 1.7% Homestake Mining Co. 6,071 58
Air Products & Chemicals, Inc. 5,978 281 Inco Ltd. 4,286 82
Dow Chemical 5,648 741 Newmont Mining Corp. 4,232 102
DuPont De Nemours & Co. 28,618 2,021 Phelps Dodge 1,554 98
Eastman Chemical Co. 2,062 115 Placer Dome, Inc. 6,394 90
FMC Corp.* 931 61 Reynolds Metals 1,601 100
------------
Goodrich, BF Co. 1,893 75 1,621
Monsanto Co. 15,928 721 Paper & Forest Product - 0.6%
PPG Industries 4,502 292 Bemis Co. 1,393 49
Praxair, Inc. 4,078 211 Boise Cascade 1,439 58
Rohm & Haas Co. 4,262 191 Champion International 2,478 136
Union Carbide Corp. 3,555 184 Georgia Pacific Co. 2,124 196
-----------
4,893 International Paper 7,800 416
Chemicals - Specialty - 0.3% Louisiana-Pacific Co. 2,839 59
Ecolab, Inc. 3,302 138 Mead Corp. 2,686 112
Englehard Corp. 3,644 70 Potlatch Corp. 750 31
Great Lakes Chemical 1,501 72 Temple Inland 1,447 100
Hercules, Inc. 2,599 98 Union Camp Corp. 1,854 147
Intl Flavors & Fragrance 2,739 108 Westvaco Corp. 2,559 76
Morton International, Inc. 3,117 126 Weyerhaeuser Co. 5,063 340
Nalco Chemical Co. 1,754 64 Willamette Industries 2,794 131
------------
Sigma-Aldrich Corp. 2,532 82 1,851
W.R. Grace & Co.* 1,824 29 Steel - 0.1%
-----------
787 Allegheny Teledyne, Inc. 5,021 112
Metals & Mining - 0.5% Bethlehem Steel 3,339 30
Alcan Aluminum Ltd. 5,633 179 Nucor Corp. 2,270 133
See accompanying notes to financial statements 32
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
USX-US Steel 2,270 $ 69 Thomas & Betts Co. 1,431 $ 60
------------
Worthington Inds, Inc. 2,324 32 10,492
-----------
376 Environmental - 0.4%
-----------
Total Common Stocks - Basic Browning Ferris 4,025 160
Materials - 3.4% 9,984 Millipore Corp. 1,112 34
Waste Management, Inc. 15,098 853
------------
Common Stocks - Capital Goods 1,047
Aerospace & Defense - 0.6% Machinery - Equipment - 0.7%
Boeing Co. 24,020 976 Briggs & Stratton 650 43
General Dynamics Corp. 3,202 225 Caterpillar, Inc. 9,112 587
Lockheed Martin Corp. 9,942 428 Cooper Industries 2,639 128
Northrop Grumman Corp. 1,574 101 Cummins Engine 1,031 55
-----------
1,730 Danaher Corporation 3,400 226
Construction - 0.1% Deere & Co. 6,110 263
Case Equipment Corp. 1,908 66 Dover Co. 5,686 210
Fluor Corp. 1,970 66 Harnischfeger 1,266 12
Foster Wheeler Corp. 1,085 15 Ingersoll Rand Co. 4,208 291
McDermott International 1,593 46 Milacron, Inc. 1,031 24
-----------
193 NACCO Industries 194 16
Containers - 0.1% Pall Corp. 3,193 59
Ball Corp. 823 45 Parker Hannifin 2,793 131
Crown Cork & Seal 3,155 103 Timken Co. 1,608 36
------------
Owens-Illinois, Inc.* 4,000 116 2,081
Sealed Air Corp.* 2,181 133 Manufacturing - Diversified - 1.2%
-----------
397 Crane Co. 1,812 52
Electrical Equipment - 3.5% Eaton Corp. 1,862 171
Emerson Electric Co. 11,066 714 Illinois Tool Works 6,402 493
General Electric 83,298 8,788 Johnson Controls 2,170 158
Honeywell 3,255 308 National Service Inds. 1,139 44
Raychem 2,070 55 Thermo Electron Corp.* 4,000 64
Rockwell International Corp. 4,879 252 Tyco International Ltd. 20,858 1,695
Solectron Corp.* 6,500 315 United Technologies Corp. 5,702 826
------------
3,503
See accompanying notes to financial statements 33
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Office Supplies - 0.2% SBC Communications, Inc. 49,962 $ 2,798
Avery Dennison Co. 2,986 $ 204 US West, Inc. - Comm Group 12,727 666
------------
Moore Corp. 2,232 22 12,379
------------
Pitney Bowes, Inc. 6,942 486 Total Common Stocks -
-----------
712 Communication Services - 7.9% 23,570
Trucks & Parts - 0.1%
Navistar International* 1,762 92 Common Stocks - Consumer Cyclical
Paccar, Inc. 1,962 110 Apparel & Textile - 0.2%
-----------
202 Fruit of the Loom, Inc.* 1,862 20
-----------
Liz Claiborne, Inc. 1,708 56
Total Common Stocks - Capital Nike, Inc. 7,333 456
Goods - 6.9% 20,357 Reebok International Ltd. 1,447 27
Russell Corp. 931 21
Common Stocks - Communication Services Spring Industries 502 19
Cellular & Wireless - 0.7% VF Corp. 3,054 157
------------
Airtouch Communications* 14,558 1,359 756
Nextel Communications, Inc.* 7,350 301 Auto Manufacturers - 1.2%
Sprint PCS Group* 11,375 482 Ford Motor Co. 30,764 1,967
-----------
2,142 General Motors Corp. 16,668 1,482
------------
Long Distance - 3.0% 3,449
AT & T Corp. 80,258 4,053 Auto Parts - 0.3%
MCI Worldcom, Inc.* 46,627 3,832 Cooper Tire & Rubber Co. 1,970 43
Sprint Corp. 11,350 1,164 Dana 4,219 199
-----------
9,049 Genuine Parts Co. 4,620 139
Telephone - 4.2% Goodyear Tire & Rubber 3,978 227
Alltel Corp. 6,956 469 ITT Industries, Inc. 2,647 95
Ameritech Corp. 27,994 1,916 Snap on Tools, Inc. 1,501 49
Bell Atlantic 39,456 2,274 TRW, Inc. 3,109 130
------------
Bell South Corp. 49,726 2,225 882
Century Telephone Enterprise 3,600 145 Commercial & Consumer Services - 0.4%
Frontier Corp. 4,400 243 Cendant Corp.* 21,753 392
GTE Corp. 24,539 1,643 Dun & Bradstreet 4,240 156
See accompanying notes to financial statements 34
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
H & R Block 2,586 $ 124 Printing & Publishing - 0.8%
IMS Health, Inc. 8,080 242 American Greetings Co. 1,862 $ 49
Laidlaw, Inc. 8,357 53 Dow Jones & Co. 2,378 130
Service Corp. International 6,941 144 Gannett Co., Inc. 7,188 509
-----------
1,111 Interpublic GRP Cos., Inc. 3,574 277
Furniture, Appliances & Tools - 0.2% Jostens, Inc. 931 20
Black & Decker 2,270 129 Knight Ridder, Inc. 2,078 112
Maytag Corp. 2,132 146 McGraw Hill Cos, Inc. 5,064 280
Stanley Works 2,224 68 Meredith Corp. 1,346 49
Whirlpool Corp. 1,962 130 New York Times 4,664 161
-----------
473 Omnicom Group 4,340 315
Homebuilding & Supplies - 0.2% Times Mirror Co. 1,986 116
Armstrong World Industries 1,031 56 Tribune Co. 3,102 259
------------
Centex Corp. 1,546 57 2,277
Fleetwood Enterprises 977 24 Retail - Discount - 1.8%
Kaufman & Broad Home Corp. 1,231 30 Consolidated Stores* 2,800 96
Masco Co. 8,664 255 Dollar General Corp. 4,725 166
Owens Corning 1,393 50 Wal-Mart Stores, Inc. 113,440 5,218
------------
Pulte Corp. 1,138 26 5,480
-----------
498 Retail - General - 1.0%
Leisure Time - 0.4% Dayton Hudson Corp. 11,350 764
Brunswick Corp. 2,532 61 Dillard Dept. Stores 2,793 77
Carnival Corporation 15,250 629 Federated Department Stores* 5,371 251
Harrah's Entertainment, Inc.* 3,186 70 Fred Meyer, Inc.* 4,100 222
Hasbro, Inc. 5,033 172 Harcourt General, Inc. 1,808 86
Mattel, Inc. 7,288 189 K Mart* 12,697 189
Mirage Resorts, Inc.* 4,600 103 Kohl's Corporation* 4,000 266
-----------
1,224 May Department Stores 8,894 354
Lodging & Hotels - 0.1% Nordstrom, Inc. 3,532 124
Hilton Hotels Corp. 6,602 103 Penny JC Co. 6,733 307
Marriott International 6,310 264 Sears Roebuck & Co. 9,719 447
----------- ------------
367 3,087
See accompanying notes to financial statements 35
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Retail - Specialty - 1.8% Colgate Palmolive Co. 7,442 $ 762
Autozone, Inc.* 3,900 $ 117 Gillette Co. 28,224 1,473
Circuit City Stores, Inc. 2,532 156 Kimberly Clark 13,800 846
Gap, Inc. 14,723 980 Procter & Gamble 33,720 3,163
------------
Home Depot, Inc. 37,428 2,243 6,644
The Limited Ltd. 5,746 251 Drug Stores - 0.5%
Lowes Companies 8,980 474 CVS Corp. 9,872 470
Pep Boys - Manny, Mo, Jack 1,301 19 Longs Drug Stores 984 34
Sherwin Williams 4,440 138 Rite Aid Corp. 6,440 150
Staples, Inc.* 11,900 357 Walgreen Co. 25,408 683
------------
Tandy Corp. 2,394 173 1,337
TJX Cos, Inc. 8,232 274 Entertainment - 0.8%
Toys "R" Us, Inc.* 6,672 145 King World Productions, Inc.* 1,862 66
-----------
5,327 Walt Disney Co. 52,377 1,663
Wholesalers - 0.2% Viacom, Inc.* 17,684 723
------------
Costco Companies, Inc.* 5,709 462 2,452
-----------
Food Producers - 1.6%
Total Common Stocks - BestFoods 7,334 368
Consumer Cyclical - 8.6% 25,393 Campbell Soup 11,374 466
Conagra, Inc. 12,396 308
Common Stocks - Consumer Staples General Mills 3,878 284
Beverages - 2.6% H J Heinz Co. 9,230 431
Anheuser-Busch Cos., Inc. 12,104 885 Hershey Foods 3,824 201
Brown Foremann 1,754 129 Kellogg Co. 10,342 383
Coca-Cola Co. 62,907 4,278 Quaker Oats 3,509 227
Coca-Cola Enterprises 10,000 345 Ralston-Purina Group 8,358 255
Coors, Adolph, Inc. 931 50 Sara Lee Corp. 23,194 516
Pepsico, Inc. 37,329 1,379 Unilever ADR 16,328 1,060
Seagrams Co., Ltd. 10,257 588 Wrigley WM JR Co. 2,993 265
----------- ------------
7,654 4,764
Cosmetic & Toiletries - 2.2% Food Retailers - 0.8%
Alberto-Culver Co. 1,400 35 Albertson's, Inc. 6,283 324
Avon Products, Inc. 6,718 365 American Stores Co. 6,942 219
See accompanying notes to financial statements 36
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Cardinal Health, Inc. 7,000 $ 419 Tobacco - 0.9%
Great Atlantic & Pacific 1,031 32 RJR Nabisco Holdings Corp. 8,300 $ 214
Kroger* 6,502 353 Philip Morris Co., Inc. 62,107 2,178
Safeway, Inc.* 12,400 669 UST, Inc. 4,702 131
------------
Super-Valu, Inc. 3,108 65 2,523
------------
Sysco Corp. 8,496 252 Total Common Stock - Consumer
Winn-Dixie Stores, Inc. 3,824 137 Staples - 12.4% 36,602
-----------
2,470
Household Products / Housewares - 0.5% Common Stocks - Energy
Clorox Co. 2,886 333 Exploration & Drilling - 0.2%
Fort James Corp. 5,670 215 Anadarko Petroleum Corp. 3,100 118
Fortune Brands, Inc. 4,440 175 Apache Corp. 2,500 77
McKesson HBOC, Inc. 6,670 233 Burlington Resources, Inc. 4,561 210
Newell Rubbermaid, Inc.* 7,156 339 Helmerich & Payne 1,266 33
Tupperware Corp. 1,501 36 Kerr-McGee Co. 2,257 96
-----------
1,331 Rowan Companies, Inc.* 2,170 35
Media - TV, Radio, Cable - 1.8% Union Pacific Resources Group 6,412 90
------------
CBS, Inc. 17,942 817 659
Clear Channel Communications* 6,800 473 Oil & Gas - Domestic - 0.6%
Comcast Corp. 9,372 616 Amerada Hess Corp. 2,278 130
Mediaone Group* 15,467 1,262 Atlantic Richfield 8,364 702
Time Warner, Inc. 31,334 2,193 Occidental Petroleum 8,764 177
-----------
5,361 Phillips Petroleum Co. 6,464 327
Restaurants - 0.6% Unocal Corp 6,202 258
Dardeen Restaurants 3,578 80 USX-Marathon 7,833 245
------------
McDonalds Corp. 34,444 1,460 1,839
Tricon Global Restaurants* 3,882 250 Oil & Gas - International - 4.4%
Wendy's International 3,155 85 Chevron Corp. 16,783 1,674
-----------
1,875 Exxon Corp. 61,730 5,127
Specialty Printing / Services - 0.1% Mobil Corp. 19,846 2,079
Deluxe Corp. 2,016 70 Royal Dutch Petroleum ADR 54,456 3,196
Donnelley RR & Sons 3,424 121 Texaco, Inc. 13,628 855
----------- ------------
191 12,931
See accompanying notes to financial statements 37
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Oil & Gas - Service - 0.6% Regions Financial Corp. 5,600 $ 211
Ashland, Inc. 1,954 $ 83 Republic New York Corp. 2,794 164
Baker Hughes, Inc. 8,278 247 SouthTrust Corp. 4,300 171
Halliburton Co. 11,034 470 State Street Corp. 4,100 359
Schlumberger 13,896 888 Summit Bancorp 4,300 182
Sunoco, Inc. 2,362 84 Sun Trust Banks, Inc. 8,133 582
-----------
1,772 Synovus Financial Corp. 6,800 150
-----------
Union Planters Corp. 3,500 150
Total Common Stocks - Energy - 5.8% 17,201 US Bancorp 18,641 691
Wachovia Corp. 5,186 456
Common Stocks - Finance Wells Fargo & Co. 41,896 1,809
------------
Bank & Bank Holding Company - 6.7% 19,936
AmSouth Bancorp 3,100 147 Financial Services - 4.1%
Banc One Corp. 29,947 1,767 American Express Co. 11,489 1,501
Bank of New York 19,330 773 American General Corp. 6,463 478
BankAmerica Corp. 43,953 3,165 Associates First Capital Corp. 18,644 826
Bankboston Corporation 7,448 365 Bear Stearns Companies, Inc. 3,045 142
Bankers Trust of New York 2,516 227 Capital One Financial Corp. 1,700 295
BB&T Corp. 7,900 316 Charles Schwab Corp. 10,200 1,119
Chase Manhattan 21,542 1,783 Countrywide Credit Ind., Inc. 2,800 127
Comerica, Inc. 4,039 263 Fannie Mae 26,340 1,868
Fifth Third Bancorp 6,743 483 FHLMC 17,292 1,085
Firstar Corp. 17,700 532 Franklin Resources, Inc. 6,500 260
First Union Corp. 25,211 1,396 Household International 12,305 619
Fleet Financial Group, Inc. 14,456 623 Lehman Brothers Holdings 2,900 161
Huntington Bancshares 5,400 191 MBIA, Inc. 2,570 173
Key Corp. 11,574 358 MBNA Corp. 20,559 580
Mellon Bank 6,610 491 Merrill Lynch 8,972 753
Mercantile Bancorp 4,000 228 MS Dean Witter, Inc. 14,863 1,474
Morgan (J.P.) & Co., Inc. 4,402 593 Providian Corp. 3,567 460
National City Corp. 8,433 605 SLM Holding Corp. 4,300 184
------------
Northern Trust Co. 2,800 261 12,105
PNC Bank Corp. 7,680 444
See accompanying notes to financial statements 38
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Insurance - 4.4% Drugs - 6.6%
Allstate Corp. 20,824 $ 757 American Home Products Corp. 33,534 $ 2,046
American International Group 31,303 3,676 Bristol-Meyer/Squibb 50,632 3,218
Aon Corp. 4,308 295 Lilly Eli & Co. 27,994 2,061
CHUBB Group 4,094 243 Merck & Co. 60,784 4,270
Cigna Corp. 5,086 443 Pfizer, Inc. 32,950 3,791
Cincinnati Financial Corp. 4,300 174 Pharmacia & Upjohn, Inc. 12,861 720
Citigroup, Inc. 57,518 4,328 Schering Plough Corp. 37,512 1,812
Conseco, Inc. 7,957 251 Warner-Lambert Co. 20,916 1,421
Hartford Financial Services 5,994 353 Watson Pharmaceuticals* 2,500 101
------------
Jefferson Pilot 2,742 185 19,440
Lincoln National Corp. 2,586 248 Medical Products & Supplies - 2.9%
Loews Corp. 2,893 212 Abbott Labs 38,576 1,869
Marsh & McLennan Co. 6,574 503 Allergan 1,654 149
MGIC Investment 2,794 136 ALZA Corp.* 2,470 83
Progressive Corp. 1,800 258 Bard C.R., Inc. 1,447 71
Provident Companies, Inc. 3,500 138 Bausch & Lomb, Inc. 1,447 109
Safeco Corp. 3,501 139 Baxter International, Inc. 7,272 458
St. Paul Companies 6,040 173 Becton Dickinson Co. 6,302 234
Torchmark Corp. 3,616 124 Biomet, Inc. 2,893 119
Transamerica Corp. 3,308 236 Boston Scientific Corp.* 9,988 425
Unum Corp. 3,516 192 Guidant Corp. 7,664 411
-----------
13,064 Johnson & Johnson Co. 34,189 3,333
Savings & Loan - 0.3% Mallinckrodt, Inc. 1,862 65
Golden West Financial 1,447 145 Medtronic, Inc. 14,888 1,071
Washington Mutual, Inc. 15,027 618 St. Jude Medical 2,103 59
----------- ------------
763 8,456
-----------
Total Common Stocks - Medical Services - 0.4%
Finance - 15.5% 45,868 Aetna Life and Casualty Co. 3,498 307
Columbia/HCA Healthcare 16,398 405
Common Stocks - Health Care HCR Manor Care, Inc.* 2,801 78
Bio/Specialty - 0.3% Healthsouth Corp.* 10,800 145
Amgen* 13,036 801 Humana, Inc.* 4,232 58
See accompanying notes to financial statements 39
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Tenet Healthcare Corp.* 7,825 $ 185 Cisco Systems, Inc.* 40,114 $ 4,576
United Healthcare Corp. 4,902 275 Compaq Computers Corp. 42,963 959
-----------
1,453 Data General Corp.* 1,331 16
-----------
Total Common Stocks - Dell Computer Corp.* 64,768 2,668
Health Care - 10.2% 30,150 EMC Corp. Massachusetts* 12,782 1,392
Gateway 2000, Inc.* 4,000 265
Common Stocks - Miscellaneous Hewlett-Packard Co. 25,886 2,042
Diversified - 0.9% IBM 23,464 4,908
Allied Signal, Inc. 14,258 838 Seagate Technology, Inc.* 6,271 175
Corning Corporation 5,887 337 Silicon Graphics, Inc.* 4,840 62
3M Co. 10,242 912 Sun Microsystems* 19,408 1,161
Tenneco, Inc. 4,340 117 Unisys Corp.* 6,740 212
------------
Textron, Inc. 4,032 371 18,829
-----------
Computer Software & Services - 6.6%
Total Common Stocks - Adobe Systems, Inc. 1,700 108
Miscellaneous - 0.9% 2,575 ADP, Inc. 15,674 697
American Online, Inc.* 26,200 3,740
Common Stocks - Technology Autodesk, Inc. 1,266 38
Communication Equipment - 2.6% BMC Software, Inc.* 5,500 237
Andrew Corp.* 2,236 31 Cabletron Systems* 4,224 40
Ascend Communications, Inc.* 5,500 531 Ceridian Corporation* 3,708 136
General Instrument Co.* 4,263 156 Computer Associates 13,644 582
Harris Corp. 2,062 71 Computer Sciences* 3,978 237
Lucent Technologies 67,580 4,063 Compuware Corporation* 9,500 232
Motorola, Inc. 15,282 1,224 Electronic Data Systems 12,700 683
Nortel Networks Corp. 16,981 1,158 Equifax 3,800 137
Scientific - Atlanta, Inc. 1,962 62 First Data 11,266 478
Tellabs, Inc. 4,948 541 Microsoft Corp.* 128,520 10,450
-----------
7,837 Novell, Inc.* 8,688 193
Computer Related - 6.4% Oracle Systems Corp.* 36,754 995
3 Com Corp.* 9,086 237 Parametric Tech Co.* 6,900 90
Apple Computer, Inc.* 3,401 156 Paychex, Inc. 4,000 204
See accompanying notes to financial statements 40
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Peoplesoft, Inc.* 5,900 $ 81 Southwest Airlines Co. 8,587 $ 280
Shared Medical System 656 36 US Airways Group, Inc.* 2,251 123
----------- ------------
19,394 957
Electronics - 0.3% Railroad - 0.5%
EG&G 1,139 36 Burlington Northern Santa Fe 11,878 435
Grainger WW, Inc. 2,440 122 CSX Corp. 5,371 265
Perkin-Elmer Corp. 1,285 139 Kansas City Southern Inds. 2,800 167
Raytheon Co. 8,594 604 Norfolk Southern Co. 9,703 317
Tektronix, Inc. 1,256 30 Union Pacific Corp. 6,348 381
----------- ------------
931 1,565
Photography & Imaging - 0.5% Trucking - 0.2%
Eastman Kodak 8,226 614 Federal Express* 3,817 430
Ikon Office Solution 3,755 45 Ryder System Co. 1,916 51
------------
Polaroid Corp. 1,166 24 481
------------
Xerox 16,728 983 Total Common Stocks -
-----------
1,666 Transportation - 1.0% 3,003
Semiconductor - 2.5%
Advanced Micro Devices* 3,709 61 COMMON STOCKS - UTILITIES
Applied Materials, Inc.* 9,396 504 Electric - 2.0%
Intel Corp. 84,692 5,182 AES Corp. 4,600 230
KLA-Tencor Corp.* 2,200 109 Ameren Corp. 3,532 137
LSI Logic Corp.* 3,655 124 American Electric Power Co. 4,902 203
Micron Technology, Inc. 6,271 233 Baltimore Gas & Electric 3,771 106
National Semiconductor* 4,263 53 Carolina Power & Light 3,924 158
Texas Instruments 9,912 1,012 Central & Southwest Corp. 5,471 136
-----------
7,278 Cinergy Corp. 4,083 122
-----------
Total Common Stocks - CMS Energy Corporation 2,700 118
Technology - 18.9% 55,935 Consolidated Edison 5,941 270
Dominion Resources 4,994 205
Common Stocks - Transportation DTE Energy Co. 3,717 152
Air Transportation - 0.3% Duke Power 9,248 518
AMR Corp.* 4,648 324 Edison International 9,058 222
Delta Airlines 3,632 230 Entergy Corp. 6,287 196
See accompanying notes to financial statements 41
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal
Amount
In thousands, except shares Shares Value or Shares Value
----------- ----------- ---------- ------------
First Energy Corp. 6,024 $ 179 Williams Companies 10,858 $ 513
------------
FPL Group, Inc. 4,648 262 1,950
------------
General Public Utilities, Inc. 3,247 124
New Century Energies Inc 2,900 101 Total Common Stocks - Utilities - 2.6% 7,766
------------
Niagara Mohawk Power * 4,817 64
Northern States Power 3,908 94 Total Common Stocks - 94.1%
Pacificorp 7,641 128 (cost - $177,222) 278,404
Peco Energy Co. 5,733 272
PP & L Resources, Inc. 3,832 107 U.S. GOVERNMENT SECURITIES
PG & E Corp. 9,688 301 U.S. Government Agency - 4.7%
Public Service Enterprises 5,648 226 Federal Home Loan Mortgage Corp.
Reliant Energy, Inc. 7,260 206 4.700% due 07/21/1999 $ 8,110 $ 8,024
Southern, Co. 17,698 479
Texas Utilities Co. 7,192 286 Federal National Mortgage Association
Unicom Corp. 5,525 214 4.740% due 05/18/1999 5,320 5,308
-----------
5,816 4.730% due 05/20/1999 500 499
------------
Natural Gas - 0.6% 5,807
------------
Coastal Corp. 5,472 209
Columbia Energy Group 2,111 101 Total U.S. Government Agency 13,831
Consolidated Natural Gas 2,478 147
Eastern Enterprises 542 19 U.S. Government Obligations - 0.3%
Enron Corp. 8,356 629 U.S. Treasury Bills
Nicor 1,293 47 4.320% due 06/03/1999 875 871
Oneok, Inc. 850 24 0.000% due 07/22/1999 100 99
------------
People's Energy Corp. 904 34 970
------------
Sempra Energy 6,163 128
Sonat, Inc. 2,770 99 Total U.S. Government Securities - 5.0%
(cost - $14,801) 14,801
See accompanying notes to financial statements 42
<PAGE>
S&P 500 Index Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal Principal
In thousands, except shares Amount Value Amount Value
------------ ----------- ------------ ------------
COMMERCIAL PAPER DEMAND NOTE
Auto Manufacturers - 0.2% Utility-Electric - 0.0%
Ford Motor Credit Co. Wisconsin Electric
4.807% due 05/18/1999 $ 215 $ 215 4.499% due 05/03/1999
4.847% due 05/18/1999 125 125 (cost - $11) $ 11 $ 11
------------
4.797% due 05/20/1999 210 210
-----------
550 TOTAL INVESTMENTS - 100.0%
Computers - 0.5% (cost - $194,858) 296,040
Avnet, Inc.
4.860% due 05/14/1999 350 349 Liabilities, less other assets - 0.0% (104)
------------
4.870% due 06/04/1999 1,165 1,160
-----------
1,509 TOTAL NET ASSETS - 100.0% $ 295,936
============
Financial Services - 0.2%
American Express Credit Corp. *Non-income producing security.
4.823% due 05/18/1999 765 765
-----------
Total Commercial Paper - 0.9%
(cost - $2,824) 2,824
</TABLE>
See accompanying notes to financial statements 43
<PAGE>
S&P 500 Index Fund
Financial Highlights
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
through ended
Selected per share data 04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Net asset value, beginning of period........................................... $ 16.47 14.15
Income from investment operations:
Net investment income..................................................... 0.11 0.25
Net realized and unrealized gain.......................................... 3.50 2.78
---------------- ----------------
Total income from investment operations........................................ 3.61 3.03
Less distributions:
Dividends from net investment income...................................... 0.25 0.23
Distributions from net realized gain...................................... 0.15 0.48
---------------- ----------------
Total distributions............................................................ 0.40 0.71
---------------- ----------------
Net asset value, end of period................................................. $ 19.68 16.47
================ ================
Total return .................................................................. 22.11%** 22.16%
================ ================
Ratios and supplemental data:
Net assets, end of period (in thousands)....................................... $ 295,936 225,000
Ratio to average net assets of:
Expenses, net of waivers and reimbursements............................... 0.16%* 0.21%
Expenses, before waivers and reimbursements............................... 0.41%* 0.42%
Net investment income, net of waivers and reimbursements.................. 1.24%* 1.51%
Net investment income, before waivers and reimbursements.................. 0.99%* 1.30%
Portfolio turnover rate........................................................ 2% 7%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 44
<PAGE>
S&P 500 Index Fund
Financial Highlights (continued)
Unaudited
<TABLE>
<CAPTION>
Year 09/03/96
ended through
Selected per share data 10/31/97 10/31/96
---------------- ----------------
<S> <C> <C>
Net asset value, beginning of period........................................... $ 10.77 10.00
Income from investment operations:
Net investment income..................................................... 0.21 0.02
Net realized and unrealized gain.......................................... 3.19 0.77
---------------- ----------------
Total income from investment operations........................................ 3.40 0.79
Less distributions:
Dividends from net investment income...................................... 0.02 0.02
Distributions from net realized gain...................................... 0.00 0.00
---------------- ----------------
Total distributions............................................................ 0.02 0.02
---------------- ----------------
Net asset value, end of period................................................. $ 14.15 10.77
================ ================
Total return .................................................................. 31.58% 7.86%**
================ ================
Ratios and supplemental data:
Net assets, end of period (in thousands)....................................... $ 118,612 25,852
Ratio to average net assets of:
Expenses, net of waivers and reimbursements............................... 0.37% 0.71%*
Expenses, before waivers and reimbursements............................... 0.49% 1.26%*
Net investment income, net of waivers and reimbursements.................. 1.66% 1.60%*
Net investment income, before waivers and reimbursements.................. 1.54% 1.05%*
Portfolio turnover rate........................................................ 13% 0%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 45
<PAGE>
International Equity Fund
Statement of Assets and Liabilities
April 30, 1999
Unaudited
In thousands, except per share data
<TABLE>
<CAPTION>
<S> <C>
Assets
Investments in securities, at value (cost - $43,506)....................................... $ 53,432
Receivable for securities sold............................................................. 649
Foreign currency (cost - $511) ............................................................ 506
Dividends receivable....................................................................... 208
Cash....................................................................................... 97
Receivable for fund shares sold............................................................ 4
----------------
Total Assets.................................................................................... 54,896
Liabilities
Payable for securities purchased .......................................................... 865
Accrued expenses payable................................................................... 62
Investment advisory fees payable........................................................... 51
Net unrealized depreciation on forward foreign currency contracts.......................... 17
----------------
Total Liabilities............................................................................... 995
----------------
Net Assets...................................................................................... $ 53,901
================
Analysis of Net Assets
Paid in capital............................................................................ $ 43,870
Accumulated net realized gain.............................................................. 113
Net unrealized appreciation................................................................ 9,904
Undistributed of net investment income..................................................... 14
----------------
Net Assets...................................................................................... $ 53,901
================
Net Asset Value Per Share (based on net assets of $53,901 and 4,222 shares
issued and outstanding).................................................................... $ 12.77
================
</TABLE>
See accompanying notes to financial statements 46
<PAGE>
International Equity Fund
Statement of Operations
For the six months ended April 30, 1999
Unaudited
In thousands
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends (net of $67 for foreign taxes withheld)........................................... $ 481
Interest.................................................................................... 20
---------------
Total Investment Income.......................................................................... 501
Expenses
Investment advisory fees.................................................................... 246
Custodian fees.............................................................................. 95
Fund accounting fees........................................................................ 36
Fund administration fees.................................................................... 13
Transfer agent fees......................................................................... 6
Registration fees........................................................................... 4
Professional fees........................................................................... 3
Trustees fees............................................................................... 1
---------------
Total Expenses................................................................................... 404
Less: Fee Waiver................................................................................ 91
---------------
Net Expenses..................................................................................... 313
---------------
Net Investment Income............................................................................ 188
Net Realized and Unrealized Gain (Loss)
Net realized gain on sale of investments and foreign currency transactions.................. 1,472
Net realized loss on forward foreign currency contracts..................................... (45)
Change in net unrealized appreciation on investments and foreign currency................... 5,214
Change in net unrealized depreciation on forward foreign currency contracts................. 69
---------------
Net realized and unrealized gain (loss)..................................................... 6,710
---------------
Net Increase in Net Assets from Operations....................................................... $ 6,898
===============
</TABLE>
See accompanying notes to financial statements 47
<PAGE>
International Equity Fund
Statements of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
through ended
In thousands 04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Change in net assets from operations
Net investment income...................................................... $ 188 755
Net realized gain (loss) .................................................. 1,427 (1,377)
Change in net unrealized appreciation...................................... 5,283 3,255
---------------- ----------------
Change in net assets from operations....................................... 6,898 2,633
Distributions to shareholders from:
Net investment income...................................................... (443) (2,001)
Net realized gain.......................................................... 0 (563)
---------------- ----------------
Total distributions........................................................ (443) (2,564)
Capital share transactions
Proceeds from sale of shares............................................... 11,277 30,278
Reinvestment of distributions.............................................. 443 2,564
Cost of shares redeemed ................................................... (25,817) (24,511)
---------------- ----------------
Change in net assets from capital transactions............................. (14,097) 8,331
---------------- ----------------
Increase in net assets.......................................................... (7,642) 8,400
Net assets at beginning of year................................................. 61,543 53,143
---------------- ----------------
Net assets at end of year....................................................... $ 53,901 61,543
================ ================
Undistributed net investment income............................................. $ 14 446
================ ================
</TABLE>
See accompanying notes to financial statements 48
<PAGE>
International Equity Fund
Schedule of Investments
April 30, 1999
Unaudited
<TABLE>
<CAPTION>
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C>
Common Stocks - Foreign Alcan Aluminum Ltd. 2,800 $ 88
Australia - 6.1% Bank of Montreal 1,700 71
Amcor Limited 12,000 $ 65 Canadian National Railway Co. 1,700 107
AMP Bank Limited 1,700 20 Canadian Pacific Ltd 5,100 115
Brambles Industries Ltd. 7,300 215 Hudsons Bay Co. 4,800 52
Broken Hill Proprietary Co. 30,100 341 Imasco Ltd. 2,800 62
CSR Limited Ord 41,900 112 Imperial Oil Ltd. 3,800 79
David Jones Limited 53,600 54 Magna International 700 42
Lend Lease Corp Ltd. 8,400 113 Newbridge Networks Corp.* 1,800 67
National Australia Bank Lts 23,900 466 Nova Corp. 3,316 70
News Corporation Ltd. 35,152 295 Potash Corp. 700 43
News Corporation Ltd. Pfd 14,940 117 Royal Bank of Canada 2,000 98
Orica Limited 9,500 55 Seagram Co. Ltd. 1,000 57
Pacific Dunlop 36,600 64 Shaw Communications, Inc. 3,700 152
Qantas Airways Limited 43,237 119 Trans Canada Pipeline 4,780 66
QBE Insurance 23,055 103 Westcoast Energy 1,500 29
------------
Rio Tinto Limited 9,900 167 1,253
Santos Limited 29,100 100 Denmark - 0.4%
Telstra Corporation 78,400 426 Tele Danmark 1,930 199
Westpac Bank 41,100 314
WMC Limited 19,400 84 Finland - 1.9%
Woolworths Ltd. 13,600 43 Merita Ltd 38,200 228
-----------
3,273 Nokia Ab 6,200 479
Austria - 0.1% Rauma Oy 1 0
Austria Tabakwerke Ag 1,300 80 Upm-Kymmene Oy 10,900 330
------------
1,037
Belgium - 1.6% France - 8.7%
Electrabel Cap 410 135 Air France 8,040 149
Fortis Ag 15,925 535 Axa Uap 1,780 230
KBC Bancassurance Holding 2,724 169 Banque Nationale De Paris 3,126 259
-----------
839 Carrefour 260 206
Canada - 2.3% Compagnie De Saint-Gobain 1,215 209
Agrium, Inc. 6,000 55 Elf Aquitaine 2,980 464
See accompanying notes to financial statements 49
<PAGE>
International Equity Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
France Telecom Sa 3,140 $ 254 San Paolo-Imi Spa 15,450 $ 232
------------
Gruope Danone 1,290 345 1,548
L'Air Liquide 1,763 272 Japan - 20.8%
Lagardere SCA 700 28 Acom Co Ltd. 2,600 195
Michelin (Cgde) 3,241 147 Amada Co. 14,000 88
Rhone-Poulenc 4,882 232 Bank Of Tokyo-Mitsubishi 22,000 325
Seita 9,430 569 Bridgestone Corp. 7,000 188
Societe Generale 1,307 234 Canon, Inc. 11,000 269
Suez Lyonnaise Des Eaux 1,806 308 Citizen Watch Co. 12,000 100
Thomson CSF 5,700 187 Dai Nippon Printing Co., Ltd. 12,000 190
Total Sa 2,420 332 Daiichi Pharm Co. 11,000 179
Vivendi 1,210 283 Daikin Industries 26,000 271
-----------
4,708 Daiwa House 6,000 72
Germany - 10.4% Denso Corporation 11,000 223
Allianz Ag 1,617 516 East Apan Railway 39 230
Bayer Ag 18,490 786 Fanuc Co. 5,900 257
Continental Ag 1,350 34 Fuji Photo Film 4,000 151
Daimler Chrysler Ag 5,134 508 Fujitsu Ltd. 23,000 394
Deutsche Bank Ag 7,488 436 Honda Motor Co. 9,000 397
Deutsche Telekom Ag 13,250 523 Hoya Corp. 3,000 157
Dresdner Bank Ag 9,500 410 Ito-Yokado Co Ltd. 6,000 368
Mannesmann Ag 3,700 488 Kao Corp. 9,000 228
Sap Ag 450 144 Kaneka Corp. 13,000 105
Siemens Ag 9,720 720 Kirin Brewery Co Ltd. 15,000 170
Veba Ag 16,370 899 Kokuyo 4,000 60
Volkswagen Ag 2,400 170 Kuraray Co., Ltd. 16,000 182
-----------
5,634 Marui Co. 7,000 116
Italy - 2.9% Matsushita Electric Indl Co. 16,000 304
Assicurazioni Generali 10,092 394 Mitsubishi Corporation 44,000 291
Ente Nazionale Idrocarburi 85,000 560 Mitsubishi Estate Co Ltd. 26,000 266
Montedison 175,300 168 Ngk Insulators 22,000 268
Rinascente 22,800 194 Nintendo 1,100 103
Nippon Meat Packer 11,000 148
See accompanying notes to financial statements 50
<PAGE>
International Equity Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Nippon Telephone & Telegraph 58 $ 632 Carter Holt Harvey Ltd. 58,100 $ 85
Nippon Steel Co 95,000 213 Fletcher Challenge Building 14,600 24
Nomura Securities Company 23,000 248 Fletcher Challenge Energy 42,800 103
Obayashi Corp 23,000 127 Fletcher Challenge Paper 55,300 52
Osaka Gas 62,000 213 Lion Nathan Ltd. 30,300 76
Sankyo Co Ltd. 10,000 210 Telecom Corp. of New Zealand 113,300 590
------------
Sanwa Bank 16,000 180 977
Secom 3,000 293 Norway - 0.4%
Sega Enterprises 2,000 36 Norsk Hydro Asa 2,200 99
Sekisui House Ltd. 15,000 168 Norske Skogindustrier Asa 3,100 111
------------
Shin-Etsu Chemical Co. 3,000 96 210
Sony Corp. 3,200 299 Portugal - 0.2%
Sumitomo Bank 16,000 217 Electicidade De Portugal 6,500 122
Sumitomo Chemical Co. 36,000 161
Sumitomo Electric 15,000 182 Singapore - 0.9%
Takeda Chemical 8,000 348 Singapore Press Hds 20,038 296
TDK Corp. 2,000 151 UTD Overseas Bank 23,000 178
------------
Tokyo Electric Power 14,200 303 474
Tokyo Marine & Fire 12,000 140 Spain - 2.2%
Toshiba Corp. 31,000 208 Banco Popular Espanol 2,950 209
Toyota Motor Corporation 12,000 341 Banco Santander Sa 16,899 368
Yamato Transport Co. Ltd. 8,000 134 Endesa S.A. 10,920 243
-----------
11,195 Telefonica De Espana* 7,433 349
Netherlands - 5.1% Telefonica Sa Rights* 6,222 6
------------
Elsevier 28,100 421 1,175
Heineken Nv 2,500 126 Sweden - 3.0%
ING Groep 14,455 892 Astra As 7,134 279
Koninklijke Kpn Nv 9,081 380 Electrolux Ab 20,640 420
Royal Dutch Petrol 11,200 653 Ericsson Lm 10,320 272
Unilever 3,800 261 Investor Ab 4,900 223
-----------
2,733 Nordbanken Holding Ab 25,790 163
New Zealand - 1.8% Swedish Match Ab 74,350 245
------------
Auckland Intl Airport Ltd. 27,000 47 1,602
See accompanying notes to financial statements 51
<PAGE>
International Equity Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal
Amount
In thousands, except shares Shares Value or Shares Value
----------- ----------- ---------- ------------
Switzerland - 5.4% Peninsular & Orient Steam Nav 12,606 $ 183
Holderbank Fn Glarus 186 $ 225 Prudential Corp. 30,000 428
Nestle Sa 412 764 Reckitt & Colman Plc 18,000 214
Novartis 442 648 Reed International Plc 34,000 310
Roche Holding Ag 56 660 Rio Tinto Plc 34,000 594
Schw Ruckversicherungs 96 210 RJB Mining Plc 46,000 47
SwissCom 1,154 424 Royal Sun Alliance 16,966 146
-----------
2,931 Sainsbury (J) Plc 10,000 64
United Kingdom - 23.3% Scottish And Southern Energy 48,500 456
Allied Zurich Plc 22,500 308 Tesco 187,500 558
Barclays Plc 13,000 413 Thames Water Plc 14,791 205
BOC Group Plc 30,000 476 United News & Media Plc 35,000 428
Boots Co. Ord 19,000 252 Yorshire Water Plc 27,000 188
------------
BP Amoco Plc 50,642 961 12,573
------------
British Airways 31,000 246 Total Common Stocks -
British Steel Plc 100,000 238 Foreign - 97.5% (cost - $42,637) 52,563
Charter Plc 44,346 328
Coats Viyella Plc 124,000 91 COMMERCIAL PAPER
Diageo Plc 32,920 380 Cosmetic & Toiletries - 1.6%
Fki Plc 119,000 332 Gillette Co.
General Electric Co. 55,000 583 5.100% due 05/03/1999
Glaxo Holdings Ord 23,500 696 (cost - $869) $ 869 869
------------
Greenalls Group Plc 32,800 207
Hanson Plc 42,750 425 TOTAL INVESTMENTS - 99.1%
Hillsdown Holdings 36,500 48 (cost - $43,506) 53,432
House of Fraser Plc 56,000 84
Lloyds TSB Group Plc 50,500 814 Cash and other assets,
Marks & Spencer Plc 114,500 783 less liabilities - 0.9% 469
------------
Mirror Group Plc 70,000 258
National Power Ord 48,500 391 TOTAL NET ASSETS - 100.0% $ 53,901
National Westminster Bank Plc 4,500 108 ============
Nycomed Amersham Plc 40,000 330 *Non-income producing security.
See accompanying notes to financial statements 52
<PAGE>
International Equity Fund
Industry Diversification
April 30, 1999
Unaudited
As a percentage of net assets
</TABLE>
<TABLE>
<CAPTION>
<S> <C>
Non - U.S. Equities
Aerospace & military technology...................................................... 0.34 %
Appliances and household durable..................................................... 1.91
Automobiles.......................................................................... 2.62
Air Transportation................................................................... 0.27
Banking.............................................................................. 10.94
Beverages and tobacco................................................................ 3.17
Broadcasting and publishing.......................................................... 4.25
Building materials and components.................................................... 1.85
Business and public services......................................................... 3.59
Chemicals............................................................................ 4.26
Construction and housing............................................................. 0.68
Data processing and reproduction..................................................... 1.23
Electrical and electronics........................................................... 4.91
Electronic components................................................................ 1.05
Energy sources....................................................................... 6.92
Financial services................................................................... 2.48
Food and household products.......................................................... 3.72
Forest products and paper............................................................ 1.19
Health and personal care............................................................. 6.65
Industrial components................................................................ 2.01
Insurance............................................................................ 5.62
Leisure and tourism.................................................................. 0.39
Machinery and engineering............................................................ 0.66
Merchandising........................................................................ 5.14
Metals - steel....................................................................... 0.84
Metals - non ferrous................................................................. 1.73
Miscellaneous materials and commodities.............................................. 0.00
Multi-industry....................................................................... 1.85
Real estate.......................................................................... 0.70
Recreation and other consumer goods.................................................. 0.72
Telecommunications................................................................... 7.89
Textiles and apparel................................................................. 0.18
Transportation - airlines............................................................ 0.67
Transportation - road and rail....................................................... 0.88
Transportation - shipping............................................................ 0.34
See accompanying notes to financial statements 53
<PAGE>
International Equity Fund
Industry Diversification
April 30, 1999
Unaudited
Utilities - electrical and gas.............................................. 5.29
Wholesale and international trade........................................... 0.56
----------------
97.50
Commercial Paper
Cosmetics and toiletries.................................................... 1.60
----------------
TOTAL INVESTMENTS................................................................ 99.10
Cash and other assets, less liabilities.......................................... 0.90 %
----------------
TOTAL NET ASSETS................................................................. 100.00 %
================
</TABLE>
See accompanying notes to financial statements 54
<PAGE>
International Equity Fund
Financial Highlights
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
through ended
Selected per share data 04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Net asset value, beginning of period........................................... $ 11.36 11.34
Income from investment operations:
Net investment income..................................................... 0.02 0.17
Net realized and unrealized gain.......................................... 1.49 0.40
---------------- ----------------
Total income from investment operations........................................ 1.51 0.57
Less distributions:
Dividends from net investment income...................................... 0.10 0.43
Distributions from net realized gain...................................... 0.00 0.12
---------------- ----------------
Total distributions............................................................ 0.10 0.55
---------------- ----------------
Net asset value, end of period................................................. $ 12.77 11.36
================ ================
Total return .................................................................. 13.35%** 5.27%
================ ================
Ratios and supplemental data:
Net assets, end of period (in thousands)....................................... $ 53,901 61,543
Ratio to average net assets of:
Expenses, net of waivers and reimbursements............................... 1.21%* 1.15%
Expenses, before waivers and reimbursements............................... 1.56%* 1.50%
Net investment income, net of waivers and reimbursements.................. 0.73%* 1.25%
Net investment income, before waivers and reimbursements.................. 0.38%* 0.90%
Portfolio turnover rate........................................................ 33% 45%
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 55
<PAGE>
International Equity Fund
Financial Highlights (continued)
Unaudited
<TABLE>
<CAPTION>
Year 09/03/96
ended through
Selected per share data 10/31/97 10/31/96
---------------- ----------------
<S> <C> <C>
Net asset value, beginning of period........................................... $ 10.20 10.00
Income from investment operations:
Net investment income..................................................... 0.11 0.02
Net realized and unrealized gain.......................................... 1.05 0.21
---------------- ----------------
Total income from investment operations........................................ 1.16 0.23
Less distributions:
Dividends from net investment income...................................... 0.02 0.03
Distributions from net realized gain...................................... 0.00 0.00
---------------- ----------------
Total distributions............................................................ 0.02 0.03
---------------- ----------------
Net asset value, end of period................................................. $ 11.34 10.20
================ ================
Total return .................................................................. 11.34% 2.32%**
================ ================
Ratios and supplemental data:
Net assets, end of period (in thousands)....................................... $ 53,143 25,177
Ratio to average net assets of:
Expenses, net of waivers and reimbursements............................... 1.40% 1.46%*
Expenses, before waivers and reimbursements............................... 1.61% 1.46%*
Net investment income, net of waivers and reimbursements.................. 1.14% 1.52%*
Net investment income, before waivers and reimbursements.................. 0.93% 1.52%*
Portfolio turnover rate........................................................ 27% 0%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 56
<PAGE>
REIT Index Fund
Statement of Assets and Liabilities
April 30, 1999
Unaudited
In thousands, except per share data
<TABLE>
<CAPTION>
<S> <C>
Assets
Investments in securities, at value (cost - $57,288)........................................ $ 60,827
Dividends receivable........................................................................ 149
Receivable for fund shares sold............................................................. 2
----------------
Total Assets..................................................................................... 60,978
Liabilities
Accrued expenses payable.................................................................... 22
Investment advisory fees payable............................................................ 11
----------------
Total Liabilities................................................................................ 33
----------------
Net Assets....................................................................................... $ 60,945
================
Analysis of Net Assets
Paid in capital............................................................................. 61,000
Accumulated net realized loss............................................................... (4,673)
Net unrealized appreciation................................................................. 3,539
Undistributed net investment income......................................................... 1,079
----------------
Net Assets....................................................................................... $ 60,945
================
Net Asset Value Per Share (based on net assets of $60,945 and 5,443 shares
issued and outstanding)..................................................................... $ 11 20
================
</TABLE>
See accompanying notes to financial statements 57
<PAGE>
REIT Index Fund
Statement of Operations
For the six months ended April 30, 1999
Unaudited
In thousands
<TABLE>
<CAPTION>
<S> <C>
Investment Income
Dividends................................................................................... $ 1,692
Interest.................................................................................... 16
---------------
Total Investment Income.......................................................................... 1,708
Expenses
Investment advisory fees.................................................................... 186
Fund administration fees.................................................................... 16
Fund accounting fees........................................................................ 13
Custodian fees.............................................................................. 8
Transfer agent fees......................................................................... 6
Registration fees........................................................................... 4
Professional fees........................................................................... 3
Trustees fees............................................................................... 1
---------------
Total Expenses................................................................................... 237
Less: Fee Waiver................................................................................ 155
---------------
Net Expenses..................................................................................... 82
---------------
Net Investment Income............................................................................ 1,626
Net Realized and Unrealized Gain (Loss)
Net realized loss on sale of investments.................................................... (4,260)
Change in net unrealized appreciation on investments........................................ 4,144
---------------
Net realized and unrealized gain (loss)..................................................... (116)
---------------
Net Increase in Net Assets from Operations....................................................... $ 1,510
===============
</TABLE>
See accompanying notes to financial statements 58
<PAGE>
REIT Index Fund
Statements of Changes in Net Assets
Unaudited
<TABLE>
<CAPTION>
11/01/98 Year
through ended
In thousands 04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Change in net assets from operations
Net investment income...................................................... $ 1,626 3,942
Net realized loss ......................................................... (4,260) (317)
Change in net unrealized appreciation...................................... 4,144 (13,803)
---------------- ----------------
Change in net assets from operations....................................... 1,510 (10,178)
Distributions to shareholders from:
Net investment income...................................................... (3,441) (3,370)
Net realized gain.......................................................... 0 (690)
---------------- ----------------
Total distributions........................................................ (3,441) (4,060)
Capital share transactions
Proceeds from sale of shares............................................... 10,522 14,502
Reinvestment of distributions.............................................. 3,440 4,059
Cost of shares redeemed.................................................... (12,076) (43,232)
---------------- ----------------
Change in net assets from capital transactions............................. 1,886 (24,671)
---------------- ----------------
Change in net assets............................................................ (45) (38,909)
Net assets at beginning of year................................................. 60,990 99,899
---------------- ----------------
Net assets at end of year....................................................... $ 60,945 60,990
================ ================
Undistributed net investment income............................................. $ 1,079 2,894
================ ================
</TABLE>
See accompanying notes to financial statements 59
<PAGE>
REIT Index Fund
Schedule of Investments
April 30, 1999
Unaudited
<TABLE>
<CAPTION>
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
<S> <C> <C> <C> <C> <C>
COMMON STOCKS - REAL ESTATE Prime Group Realty Trust 7,400 $ 108
INVESTMENT TRUSTS (REITs) Rouse Co. 35,300 858
Apartments - 19.3% Washington REIT 17,470 296
------------
AMLI Residential Properties 8,145 $ 178 3,488
Apartment Invest & Mgmt Co. 25,613 1,026 Entertainment - 0.2%
Archstone Communities Trust 70,030 1,589 Entertainment Properties Trust 6,800 125
Associated Estates Realty 11,070 128
Avalon Bay Communities 31,262 1,094 Hotel - 8.2%
Berkshire Realty Co. 18,390 211 Boykin Lodging Co. 8,300 127
BRE Properties 21,680 539 Equity Inns, Inc. 17,825 164
Camden Property Trust 21,794 588 Felcor Lodging Trust, Inc. 33,190 795
Cornerstone Realty Income 21,100 210 Hospitality Properties Trust 20,965 604
Equity Residential Properties 57,499 2,659 Host Marriott Corp. 111,300 1,482
Essex Property Trust, Inc. 8,105 256 Innkeepers USA Trust 16,750 173
Gables Residential Trust 12,775 304 Jameson Inns, Inc. 4,855 45
Home Properties of New York 8,900 230 LaSalle Hotel Properties 7,300 100
Irvine Apartment Community 9,885 331 Meristar Hospitality Corp 22,883 526
Lexford Residential Trust 4,700 82 Patriot American Hospitality 114,494 580
Mid-America Apt. Community 9,195 219 RFS Hotel Investors, Inc. 12,125 171
Post Properties, Inc. 18,295 725 Sunstone Hotel Investors, Inc. 18,445 169
Smith, Charles E. Residential 8,595 279 Winston Hotels 7,935 77
------------
Summit Properties, Inc. 12,415 227 5,013
Town & Country Trust 7,735 140 Manufactured Homes - 1.7%
United Dominion Realty Trust 50,685 551 Chateau Properties, Inc. 13,690 398
Walden Residential Props, Inc. 8,835 169 Manufact. Home Community 12,815 324
-----------
11,735 Sun Communities, Inc. 8,335 292
------------
Diversified - 5.7% 1,014
Boston Properties, Inc. 31,100 1,129 Office Property - 25.3%
Colonial Properties Trust 12,710 348 Alexandria Real Estate Equities 6,800 192
Eastgroup Properties 7,995 144 Arden Realty Group, Inc. 30,500 763
Glenborough Realty Trust, Inc. 15,495 266 Brandywine Realty Trust 18,655 352
Pacific Gulf Properties 9,820 204 Carramerica Realty Corp. 32,615 807
Penn Real Estate Invest Trust 6,555 135 Cornerstone Properties 62,700 1,023
See accompanying notes to financial statements 60
<PAGE>
REIT Index Fund
Schedule of Investments
April 30, 1999
Unaudited
In thousands, except shares Shares Value Shares Value
----------- ----------- ---------- ------------
Corporate Office Properties 8,300 $ 61 JP Realty, Inc. 8,610 $ 173
Cousins Properties, Inc. 15,540 540 Lexington Corp. Properties 8,545 98
Crescent Real Estate 59,115 1,323 Macerich Co. 16,575 424
Duke Realty Investments, Inc. 40,960 963 Prime Retail, Inc. 20,888 180
Equity Office Properties 127,089 3,503 Simon Property Group, Inc. 81,595 2,341
Great Lakes REIT, Inc. 8,100 125 Taubman Centers, Inc. 25,880 351
Highwoods Properties, Inc. 29,020 747 Urban Shopping Centers, Inc. 8,710 279
------------
Kilroy Realty Corp. 13,500 318 4,873
Koger Equity, Inc. 13,000 191 Restaurants - 0.2%
Liberty Property Trust 32,085 774 US Restaurant Properties 7,000 140
Mack-Cali Realty Corp. 27,995 866
Parkway Properties, Inc. 4,900 142 Shopping Center - 14.9%
Prentiss Properties Trust 19,000 411 AMB Property Corp 42,000 924
PSB Business Parks, Inc. 11,600 271 Bradley Real Estate, Inc. 11,650 232
Reckson Assoc Realty Corp. 19,570 440 Burnham Pacific Properties 15,610 180
SL Green Realty Corp. 11,900 237 Centertrust Ret. Properties, Inc. 12,230 135
Spieker Properties, Inc. 30,750 1,207 Developers Diversified 29,500 466
Tower Realty Trust, Inc. 8,300 170 Federal Realty Inv. Trust 19,560 467
-----------
15,426 First Washington Realty Trust 4,200 90
Outlet Centers - 1.1% Glimcher Realty Trust 11,650 197
Chelsea GCA Realty, Inc. 7,595 250 IRT Property Co. 16,280 154
Konover Property Trust 15,600 95 JDN Realty Corp. 16,205 359
Mills Corp. 11,845 232 Kimco Realty Corp. 28,250 1,109
Tanger Factory Outlet Center 3,900 100 Kranzco Realty Trust 5,130 72
-----------
677 Mid Atlantic Realty Trust 7,100 84
Prisons - 1.7% New Plan Excel Realty Trust 43,022 799
Correctionial Properties Trust 3,500 61 Pan Pacific Retail Properties 10,400 187
Prison Realty Corp 48,500 946 Phillips International Realty 3,600 52
-----------
1,007 Ramco - Gershenson Prop. 3,500 55
Regional Mall - 8.0% Regency Realty Corp. 28,305 612
CBL & Associates Properties 11,825 290 Saul Centers, Inc. 6,295 103
Crown American Realty 12,865 93 Vornado Realty Trust 41,178 1,606
General Growth Industries 17,505 644 Weingarten Realty Investment 13,065 541
See accompanying notes to financial statements 61
<PAGE>
REIT Index Fund
Schedule of Investments
April 30, 1999
Unaudited
Principal
In thousands, except shares Shares Value Amount Value
----------- ----------- ---------- ------------
Western Investment REIT 8,445 $ 97 U.S. GOVERNMENT SECURITIES
Westfield America, Inc. 35,900 568 U.S. Government Agencies - 0.3%
-----------
9,089 Federal Home Loan Mortgage Corp.
Storage - 4.6% 4.690% due 05/24/1999
Public Storage, Inc. 66,798 1,862 (cost - $175) $ 175 $ 175
Shurgard Storage Centers 14,065 379
Sovran Self Storage, Inc. 6,020 147 DEMAND NOTE
Storage USA 13,565 436 Utility - Electrical -0.1%
-----------
2,824 Wisconsin Electric
Triple Net Lease - 3.1% 4.499% due 05/03/1999
Captec Net Lease Realty, Inc. 4,700 62 (cost - $94) 94 94
------------
Capital Automotive Reit 10,600 138
Commercial Net Lease Realty 14,415 181 TOTAL INVESTMENTS - 99.8%
Franchise Finance Corp. 26,960 625 (cost - $57,288) 60,827
Golf Trust of America 3,700 82
National Golf Properties 6,095 153 Other assets, less liabilities - 0.2% 118
------------
Realty Income Corp. 13,150 307
Trinet Corporate Realty Trust 12,185 334 TOTAL NET ASSETS - 100.0% $ 60,945
----------- ============
1,882
Warehouse / Industrial - 5.4%
American Industrial Properties 10,100 114
Bedford Property Investors 11,120 191
Cabot Industrial Trust 9,100 185
Centerpoint Properties Corp. 9,885 355
First Industrial Realty Trust 18,505 497
Prologis Trust 77,374 1,625
Weeks Corp. 9,595 298
-----------
3,265
-----------
Total Common Stocks - Real Estate
Investment Trusts - 99.4%
(cost - $57,019) 60,558
</TABLE>
See accompanying notes to financial statements 62
<PAGE>
REIT Index Fund
Financial Highlights
Unaudited
<TABLE>
<CAPTION> 11/01/98 Year
through ended
Selected per share data 04/30/99 10/31/98
---------------- ----------------
<S> <C> <C>
Net asset value, beginning of period............................................ $ 11.42 13.69
Income (loss) from investment operations:
Net investment income...................................................... 0.32 0.68
Net realized and unrealized gain (loss) ................................... 0.12 (2.40)
---------------- ----------------
Total income (loss) from investment operations.................................. 0.44 (1.72)
Less distributions:
Dividends from net investment income....................................... 0.66 0.46
Distributions from net realized gain....................................... 0.00 0.09
---------------- ----------------
Total distributions............................................................. 0.66 0.55
---------------- ----------------
Net asset value, end of period.................................................. $ 11.20 11.42
================ ================
Total return.................................................................... 4.10%** (13.27%)
================ ================
Ratios and supplemental data:
Net assets, end of period (in thousands)........................................ $ 60,945 60,990
Ratio to average net assets of:
Expenses, net of waivers and reimbursements................................ 0.26%* 0.24%
Expenses, before waivers and reimbursements................................ 0.76%* 0.74%
Net investment income, net of waivers and reimbursements................... 5.23%* 4.80%
Net investment income, before waivers and reimbursements................... 4.73%* 4.30%
Portfolio turnover rate......................................................... 23% 50%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
See accompanying notes to financial statements 63
<PAGE>
REIT Index Fund
Financial Highlights
Unaudited
<TABLE>
<CAPTION>
Year 09/03/96
ended through
Selected per share data 10/31/97 10/31/96
---------------- ----------------
<S> <C> <C>
Net asset value, beginning of period............................................ $ 10.44 10.00
Income from investment operations:
Net investment income...................................................... 0.41 0.10***
Net realized and unrealized gain........................................... 2.99 0.34
---------------- ----------------
Total income from investment operations......................................... 3.40 0.44
Less distributions:
Dividends from net investment income....................................... 0.15 0.00
Distributions from net realized gain....................................... 0.00 0.00
---------------- ----------------
Total distributions............................................................. 0.15 0.00
---------------- ----------------
Net asset value, end of period.................................................. $ 13.69 10.44
================ ================
Total return.................................................................... 32.78% 4.40%**
================ ================
Ratios and supplemental data:
Net assets, end of period (in thousands)........................................ $ 99,899 25,690
Ratio to average net assets of:
Expenses, net of waivers and reimbursements................................ 0.51% 1.20%*
Expenses, before waivers and reimbursements................................ 0.82% 1.20%*
Net investment income, net of waivers and reimbursements................... 4.42% 5.97%*
Net investment income, before waivers and reimbursements................... 4.11% 5.97%*
Portfolio turnover rate......................................................... 22% 0%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
* Annualized
** Not annualized
*** Calculated based on average shares outstanding throughout the period.
See accompanying notes to financial statements 64
<PAGE>
Aon Funds
Notes to the Financial Statements
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.
There are an unlimited number of shares authorized with no par value.
On April 28, 1999, the Aon Funds Board of Trustees approved the termination and
liquidation of the S&P 500 Index Fund and the International Equity Fund
(collectively the "Affected Series"). The Affected Series will be terminated and
liquidated on or about July 30, 1999. Upon termination, Aon Funds will apply the
assets of the Affected Series to the satisfaction and discharge of all existing
debts and obligations of the Affected Series (including necessary expenses of
termination and liquidation and establishment of any reserves deemed
appropriate), and then distribute in one or more payments the remaining assets
among the shareholders of the Affected Series. Each shareholder will receive his
or her proportionate share of each payment.
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. Debt securities are valued by an
independent pricing service that utilizes electronic data processing
techniques, including a "matrix system", to derive evaluated bid prices.
Stock index futures are valued daily at the settlement price established
each day on the exchange on which they are traded. Forward contracts are
valued daily using quoted forward exchange rates. Investments held by the
Money Market Fund, and short-term debt instruments held by other Funds, are
stated at amortized cost which approximates fair value.
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 recorded on the
65
<PAGE>
Aon Funds
Notes to the Financial Statements
Unaudited
ex-dividend date, except for foreign dividends which are recorded when the
information becomes available. 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 at
the close of 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 net realized gain are determined in accordance with income tax
regulations, which may differ from generally accepted accounting principles.
These differences are primarily due to differing treatments for 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 S&P 500 Index Fund, the International
Equity Fund, and the REIT Index Fund.
e) Use of Estimates - The preparation of financial statements in conformity
with generally accepted accounting principles 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.
f) Repurchase Agreement - During the term of a repurchase agreement,
collateral with a market value greater than or equal to the market value of
the repurchase agreement is held by the Fund's custodian.
3. Investment Advisory Fee and Other Transactions with Affiliates
Under the terms of the 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%
66
<PAGE>
Aon Funds
Notes to the Financial Statements
Unaudited
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 sufficient investment
advisory fees to result in a net effective annual rate of .05% of the average
daily net assets of the S&P 500 Index Fund, .10% of the average daily net assets
of the Money Market Fund, the Government Securities 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 February 28, 2000.
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 .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
ending April 30, 1999, the Trust incurred expenses totaling $24,797 for
compensation of unaffiliated trustees.
4. Income Taxes
Each Fund intends to qualify as a "regulated investment company" under the
provision of Subchapter 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 Asset
Allocation Fund, International Equity Fund, and REIT Index Fund have capital
loss carryovers of
67
<PAGE>
Aon Funds
Notes to the Financial Statements
Unaudited
$1,190,382, $1,450,566, and $79,105, respectively, for the year ended October
31, 1998 available for federal income tax purposes to be applied against future
capital gains, if any. If not applied, they will expire in the year 2006.
At April 30, 1999, the identified cost of investments for federal income tax
purposes was as follows:
In Thousands
Money Market Fund $ 637,698
Government Securities Fund $ 168,078
Asset Allocation Fund $ 149,485
S&P 500 Index Fund $ 194,959
International Equity Fund $ 43,624
REIT Index Fund $ 57,526
5. Investments
Investment transactions for the period ended April 30, 1999, including
maturities and excluding short-term investments, were as follows:
Proceeds
In Thousands Purchases from sales
-------------- --------------
Government Securities Fund $ 110,366 91,663
Asset Allocation Fund $ 45,226 77,931
S&P 500 Index Fund $ 10,496 5,032
International Equity Fund $ 17,130 31,230
REIT Index Fund $ 15,231 14,106
Gross unrealized appreciation and gross unrealized depreciation of investments
at April 30, 1999, were as follows:
<TABLE>
<CPATION>
Government Asset S&P 500 International REIT
In Thousands Securities Allocation Index Equity Index
Fund Fund Fund Fund Fund
------------------------------- ------------------------------- ---------------
<S> <C> <C> <C> <C> <C>
Gross unrealized appreciation $ 401 53,328 107,160 11,542 7,175
Gross unrealized depreciation (2,635) (7,012) (5,978) (1,616) (3,636)
-------------- -------------- -------------- -------------- ---------------
Net unrealized appreciation
(depreciation) $ (2,234) 46,316 101,182 9,926 3,539
============== ============== ============== ============== ===============
</TABLE>
68
<PAGE>
Aon Funds
Notes to the Financial Statements
Unaudited
6. Capital Share Transactions
Capital stock transactions were as follows:
<TABLE>
<CAPTION>
Money Market Government Securities Asset Allocation
In thousands Fund Fund Fund
Shares Amount Shares Amount Shares Amount
-------------- -------------- -------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
Balance at October 31, 1997 766,356 $ 766,356 9,954 $ 101,757 9,934 $ 119,700
Shares sold 7,411,667 7,411,667 4,161 44,216 6,730 115,208
Dividend reinvestments 19,465 19,465 691 7,420 647 10,719
-------------- -------------- -------------- -------------- -------------- ---------------
Total issued 7,431,132 7,431,132 4,852 51,636 7,377 125,927
Shares redeemed (7,503,821) (7,503,821) (714) (7,678) (3,974) (65,772)
-------------- -------------- -------------- -------------- -------------- ---------------
Net change in shares (72,689) (72,689) 4,138 43,958 3,403 60,155
-------------- -------------- -------------- -------------- -------------- ---------------
Balance at October 31, 1998 693,667 693,667 14,092 145,715 13,337 179,855
Shares sold 3,520,259 3,520,259 1,348 14,491 552 9,479
Dividend reinvestments 9,617 9,617 892 9,501 164 2,774
-------------- -------------- -------------- -------------- -------------- ---------------
Total issued 3,529,876 3,529,876 2,240 23,992 716 12,253
Shares redeemed (3,586,897) (3,586,897) (90) (971) (2,963) (49,590)
-------------- -------------- -------------- -------------- -------------- ---------------
Net change in shares (57,021) (57,021) 2,150 23,021 (2,247) (37,337)
-------------- -------------- -------------- -------------- -------------- ---------------
Balance at April 30, 1999 636,646 $ 636,646 16,242 $ 168,736 11,090 $ 142,518
============== ============== ============== ============== ============== ===============
S&P 500 Index International Equity REIT Index
Fund Fund Fund
Shares Amount Shares Amount Shares Amount
----------------------------------------------------------------------------------------------------
Balance at October 31, 1997 8,382 $ 92,534 4,687 $ 49,636 7,299 $ 83,785
Shares sold 8,597 128,734 2,657 30,278 1,068 14,502
Dividend reinvestments 427 6,123 238 2,564 296 4,059
-------------- -------------- -------------- -------------- -------------- ---------------
Total issued 9,024 134,857 2,895 32,842 1,364 18,561
Shares redeemed (3,743) (60,248) (2,166) (24,511) (3,323) (43,232)
-------------- -------------- -------------- -------------- -------------- ---------------
Net change in shares 5,281 74,609 729 8,331 (1,959) (24,671)
-------------- -------------- -------------- -------------- -------------- ---------------
Balance at October 31, 1998 13,663 167,143 5,416 57,967 5,340 59,114
Shares sold 1,183 21,874 960 11,277 965 10,522
Dividend reinvestments 301 5,439 36 443 320 3,440
-------------- -------------- -------------- -------------- -------------- ---------------
Total issued 1,484 27,313 996 11,720 1,285 13,962
Shares redeemed (111) (1,984) (2,190) (25,817) (1,182) (12,076)
-------------- -------------- -------------- -------------- -------------- ---------------
Net change in shares 1,373 25,329 (1,194) (14,097) 103 1,886
-------------- -------------- -------------- -------------- -------------- ---------------
Balance at April 30, 1999 15,036 $ 192,472 4,222 $ 43,870 5,443 $ 61,000
============== ============== ============== ============== ============== ===============
</TABLE>
69
<PAGE>
Aon Funds
Notes to the Financial Statements
Unaudited
7. 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 flows 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
contracts. 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.
At April 30, 1999, the S&P 500 Index Fund had the following open futures
contracts:
Contract Unrealized
Amount Value Gain
----------- ---------- ----------
Index Futures Buy Contracts
S&P 500 Index June 99; 51 contracts $16,612,963 17,040,375 427,412
==========
The value of U.S. Government Treasury Bills pledged to cover margin requirements
for open futures contracts at April 30, 1999, was $871,404.
8. Written Covered Call Options
The Asset Allocation Fund engages in portfolio hedging with respect to declining
stock prices by writing covered call options. The premiums received when a
covered call option is written provide a partial hedge against declining prices
and enable the Fund to generate a higher return.
Transactions in options for the period ending April 30, 1999, were as follows:
Contracts Premiums
------------- --------------
Options outstanding, beginning of year 0 $ 0
Options written 360 216,973
Options expired 0 0
Options closed 0 0
Options assigned 0 0
------------- --------------
Options outstanding, end of year 360 $ 216,973
============= ==============
70
<PAGE>
Aon Funds
Notes to the Financial Statements
Unaudited
At April 30, 1999, common stock valued at $1,812,348 was held by the custodian
in connection with the following covered call options written by the Asset
Allocation Fund.
<TABLE>
<CAPTION>
Shares
Exercise Subject
Expiration Price to Call Value
-------------- -------------- -------------- ---------------
<S> <C> <C> <C> <C>
Powerwave Technology, Inc. 05/22/99 $ 30 25,000 $ 59,375
Tribune Corporation 05/22/99 $ 80 11,000 46,750
---------------
$ 106,125
===============
</TABLE>
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, 1999,
was the Funds' custodian.
The International Equity Fund had the following open forward foreign currency
contracts at April 30, 1999; settling on September 16, 1999:
<TABLE>
<CAPTION>
Unrealized
Local Contract Appreciation
In Thousands Currency Amount Value (Depreciation)
-------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Forward Foreign Currency Sale Contracts:
British Pound 3,400 $ 5,531 $ 5,469 $ 62
Japanese Yen 487,000 4,181 4,160 21
Forward Foreign Currency Buy Contracts:
Australian Dollar 2,400 1,526 1,591 65
Canadian Dollar 1,300 854 894 40
European Monetary Unit 3,600 3,972 3,844 (128)
Swedish Krona 14,000 1,741 1,679 (62)
Swiss Franc 500 349 334 (15)
--------------
Total $ (17)
==============
</TABLE>
71
