<PAGE> 1
Walden Logo Walden Asset Management
A Division of United States Trust Company of Boston
To: Walden/BBT Domestic Social Index Fund
From: Geeta B. Aiyer
Date: March 31, 2000
Re: Portfolio Review and Economic Outlook
INVESTMENT PERFORMANCE
FUND NET ASSET VALUE: $11.00
<TABLE>
<CAPTION>
Since Inception
Quarter July 31, 1999
------- ---------------
<S> <C> <C>
Walden/BBT Domestic Social Index Fund*...................... 2.14% 10.23%
Standard & Poor's 500 Stock Index(1)........................ 2.30% 13.72%
Russell 1000 Stock Index(2)................................. 4.37% 16.70%
Wilshire 5000 Index(3)...................................... 3.82% 18.47%
Russell 3000 Stock Index(4)................................. 4.57% 17.07%
Russell 2000 Stock Index(5)................................. 7.08% 22.17%
</TABLE>
WALDEN ASSET MANAGEMENT SERVES AS INVESTMENT ADVISER TO THE WALDEN/BBT DOMESTIC
SOCIAL INDEX FUND AND RECEIVES A FEE FOR ITS SERVICES.
* After all expenses at an annual rate of 1%, the adviser's expense limitation.
For more information on the Walden/BBT Funds, including a prospectus that
outlines fees, charges and other operating expenses, call 1-877-7-WALDEN. Please
read the prospectus carefully before investing or sending money.
SHARES OF THE FUND ARE NOT DEPOSITS OR OBLIGATIONS OF UNITED STATES TRUST
COMPANY OF BOSTON OR ANY BANK AND ARE NOT INSURED BY THE FDIC, FEDERAL RESERVE
BOARD OR ANY AGENCY. THE VALUE OF THE FUND SHARES AND RETURNS WILL FLUCTUATE AND
INVESTORS MAY HAVE A GAIN OR LOSS WHEN THEY REDEEM SHARES. DISTRIBUTED BY BISYS
FUND SERVICES LIMITED PARTNERSHIP.
1
<PAGE> 2
THE COVENTRY GROUP
DOMESTIC SOCIAL INDEX FUND
---------------
(1) Standard & Poor's 500 Stock Index is an unmanaged index generally
representative of the U.S. Stock market as a whole. The performance of the
index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management and fund accounting fees. The Fund's
performance reflects the deduction of fees for these value-added services.
Investors cannot invest directly in an index, although they can invest in
the underlying securities.
(2) Russell 1000 Index consists of the largest 1000 companies in the Russell
3000 Index. This index represents the universe of large capitalization
stocks from which most active money managers typically select. The
performance of the index does not reflect the deduction of expenses
associated with a mutual fund, such as investment management and fund
accounting fees. The Fund's performance reflects the deduction of fees for
these value-added services. Investors cannot invest directly in an index,
although they can invest in the underlying securities.
(3) Wilshire 5000 Index is an unmanaged index, which measures the performance
of all U.S. headquartered equity securities with readily available price
data. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management and
fund accounting fees. The Fund's performance reflects the deduction of fees
for these value-added services. Investors cannot invest directly in an
index, although they can invest in the underlying securities.
(4) Russell 3000 Stock Index is an unmanaged index comprised of 3000 of the
largest capitalized U.S. domiciled companies whose stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management and
fund accounting fees. The Fund's performance reflects the deduction of fees
for these value-added services. Investors cannot invest directly in an
index, although they can invest in the underlying securities.
(5) Russell 2000 Stock Index is an unmanaged index comprised of securities with
a greater-than-average growth orientation. Companies in this index tend to
exhibit higher price to book and price-earnings ratios. The performance of
the index does not reflect the deduction of expenses associated with a
mutual fund, such as investment management and fund accounting fees. The
Fund's performance reflects the deduction of fees for these value-added
services. Investors cannot invest directly in an index, although they can
invest in the underlying securities.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO
THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST.
2
<PAGE> 3
THE COVENTRY GROUP
DOMESTIC SOCIAL INDEX FUND
MARKET & PERFORMANCE SUMMARY
Q1 2000 REVIEW
U.S. equity markets ended the quarter with small positive returns, but the
numbers mask the unusually volatile path by which these returns were achieved.
The year began with a brief sharp price decline in the technology sector, which
was followed by a rapid rise in almost all technology and biotechnology stocks,
including the stocks of many newly-public companies. In contrast, the stocks of
established, profitable companies in other industries declined over this period.
This one-sided market action continued through the first week of March, after
which there was a broader market move upwards. Market indices such as the S&P
500(1), Russell 3000(2), and Wilshire 5000(3) all had low single-digit gains.
Small capitalization stocks performed better than larger stocks, with the
Russell 2000(4) returning 7.1%. The Walden/BBT Domestic Social Index Fund
returned 2.14% for the quarter, in line with larger capitalization stock
benchmarks.
Technology shares were among the quarter's biggest winners. LSI LOGIC
(115.2%), ADVANCED MICRO DEVICEs (97.2%) and TERADYNE TECHNOLOGIES (84.1%) all
had impressive returns. Stocks that contributed most to the performance of the
Fund during the first quarter were INTEL (1.5%), CISCO SYSTEMS (1.3%), and
ORACLE CORP. (0.6%). PROCTER AND GAMBLE was among the worst performers this
quarter; its 48.3% decline cost the Fund 0.7% in performance. Other holdings
that detracted from performance were WAL-MART (0.5%) and MICROSOFT (0.4%). In
absolute terms, SERVICE CORP. (-56.8%) and RITE AID (-49.4%) declined the most
this quarter. The Fund's social criteria proved beneficial this quarter as many
of the stocks that were screened out underperformed the markets.
---------------
(1) Standard & Poor's 500 Stock Index is an unmanaged index generally
representative of the U.S. Stock market as a whole. The performance of the
index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management and fund accounting fees. The Fund's
performance reflects the deduction of fees for these value-added services.
Investors cannot invest directly in an index, although they can invest in
the underlying securities.
(2) Russell 3000 Stock Index is an unmanaged index comprised of 3000 of the
largest capitalized U.S. domiciled companies whose stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management and
fund accounting fees. The Fund's performance reflects the deduction of fees
for these value-added services. Investors cannot invest directly in an
index, although they can invest in the underlying securities.
(3) Wilshire 5000 Index is an unmanaged index, which measures the performance
of all U.S. headquartered equity securities with readily available price
data. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management and
fund accounting fees. The Fund's performance reflects the deduction of fees
for these value-added services. Investors cannot invest directly in an
index, although they can invest in the underlying securities.
(4) Russell 2000 Stock Index is an unmanaged index comprised of securities with
a greater-than-average growth orientation. Companies in this index tend to
exhibit higher price to book and price-earnings ratios. The performance of
the index does not reflect the deduction of expenses associated with a
mutual fund, such as investment management and fund accounting fees. The
Fund's performance reflects the deduction of fees for these value-added
services. Investors cannot invest directly in an index, although they can
invest in the underlying securities.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO
THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST.
Portfolio holdings are in bold and are subject to change.
3
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THE COVENTRY GROUP
DOMESTIC SOCIAL INDEX FUND
General Electric, which is a significant component of most benchmark indices,
gained only 0.9% this quarter, while GTE, another excluded stock, rose 1.3%. The
next six largest securities excluded from the investment universe for social
reasons, Philip Morris, CBS Corp., Honeywell, Boeing, Anheuser-Busch, and United
Technologies, all had negative returns.
Q4 1999 REVIEW
The Fund had a total return of 12.5% for the fourth quarter of 1999.
Several market indices had positive returns. The S&P 500(1) had a total return
of 14.9%. The Russell 2000(2) returned 18.45% and the Russell 3000(3) returned
16.22%. The Wilshire 5000(4) had a return of 18.27%.
There were a few signs during Q4 1999 that the economy was slowing down.
Gross Domestic Product (GDP) for the third quarter was revised from a 4.8%
annual rate to an astounding 5.5%. Productivity was also adjusted upward from
4.2% to 4.9%, the fastest pace in almost seven years. Remarkably, labor costs
have remained negligible while the unemployment rate was unchanged at a low
4.1%. In order to slow the economy down and preempt signs of inflation, the
Federal Reserve decided to raise interest rates by twenty-five basis points this
quarter.
Underweights in capital goods and consumer staples helped the fourth
quarter performance overall, since both sectors experienced lower returns.
However, an underweight in technology hurt the performance since the sector
gained 34.5% in the quarter. At the same time, overweights in utilities (-6.4%)
and financials (8.2%) also detracted from performance, since these sectors
failed to beat the overall benchmarks.
---------------
(1) Standard & Poor's 500 Stock Index is an unmanaged index generally
representative of the U.S. Stock market as a whole. The performance of the
index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management and fund accounting fees. The Fund's
performance reflects the deduction of fees for these value-added services.
Investors cannot invest directly in an index, although they can invest in
the underlying securities.
(2) Russell 2000 Stock Index is an unmanaged index comprised of securities with
a greater-than-average growth orientation. Companies in this index tend to
exhibit higher price to book and price-earnings ratios. The performance of
the index does not reflect the deduction of expenses associated with a
mutual fund, such as investment management and fund accounting fees. The
Fund's performance reflects the deduction of fees for these value-added
services. Investors cannot invest directly in an index, although they can
invest in the underlying securities.
(3) Russell 3000 Stock Index is an unmanaged index comprised of 3000 of the
largest capitalized U.S. domiciled companies whose stock is traded in the
United States on the New York Stock Exchange, American Stock Exchange and
NASDAQ. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management and
fund accounting fees. The Fund's performance reflects the deduction of fees
for these value-added services. Investors cannot invest directly in an
index, although they can invest in the underlying securities.
(4) Wilshire 5000 Index is an unmanaged index, which measures the performance
of all U.S. headquartered equity securities with readily available price
data. The performance of the index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management and
fund accounting fees. The Fund's performance reflects the deduction of fees
for these value-added services. Investors cannot invest directly in an
index, although they can invest in the underlying securities.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO
THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST.
Portfolio holdings are in bold and are subject to change.
4
<PAGE> 5
THE COVENTRY GROUP
DOMESTIC SOCIAL INDEX FUND
The best performing stocks in the portfolio were Oracle Corp. (146.3%),
PARAMETRIC TECHNOLOGY (100.5%), and NORTEL NETWORKS (98.1%). However, stocks
having the biggest positive impact on the portfolio (market-cap weighted return)
were Microsoft and Cisco Systems, which added 1.3% and 1.2%, respectively.
Conversely, some of the worst performing stocks for the quarter were INTEGRATED
HEALTH SERVICES (-92.0%) and FRUIT OF THE LOOM (-58.2%), and MCDERMOTT INTL.
(-55.0%). IBM, TYCO INTERNATIONAL, and XEROX had the largest negative impact on
the account taking away 0.2%, 0.2%, and 0.1% respectively.
The Fund's social criteria proved to be at once beneficial and
challenging; not owning GE (30.9%) hurt performance. However, not being able to
own Phillip Morris (-31.4%), GTE (-7.6%), and Boeing (-2.5%) helped the
portfolio over the same time period.
SOCIAL RESEARCH AND ACTION
At Walden, we view social research as an integral part of our social
change and shareholder advocacy effort. Walden's social initiatives over the
last six months have continued to focus on efforts that foster greater corporate
awareness, a necessary step in achieving meaningful and lasting change.
Walden has been seeking more opportunities to lead or participate in
broad-based coalitions pursuing various corporate actions. A case in point is
the multi-year campaign to bolster Equal Employment Opportunity (EEO)
accountability at HOME DEPOT, a Walden/BBT Domestic Social Index holding. This
campaign was initiated when the company became embroiled in multiple
class-action sex discrimination lawsuits several years ago. Walden has a
principal role coordinating what is one of the largest cooperative social
shareholder efforts ever; with over twenty institutional investors who
collectively own approximately $100 million in shares jointly filing a proxy
resolution. We met recently with a representative of Home Depot and were
encouraged by its progress, but the company has yet to commit to full disclosure
of EEO data.
We reached an agreement with MBNA, another Fund holding and the largest
issuer of affinity group credit cards, to produce its first diversity report.
Promised for September 2000, the report will include detailed information on the
gender and racial composition of its workforce (EEO-1 data), as well as a
description of programs and policies implemented to meet MBNA's equal employment
goals. We have therefore withdrawn our proxy resolution requesting the report,
and have commended MBNA for furthering its leadership on this important issue.
We filed a similar shareholder proposal on diversity disclosure with
supermarket giant WINN-DIXIE STORES. Our dialogue with Winn-Dixie began upon
learning of a $33 million settlement in 1999 related to gender and race
discrimination. The company responded to the resolution by providing us with
EEO-1 data on a confidential basis. However, we are seeking a commitment from
Winn-Dixie to make the information available to any investor upon
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
Portfolio holdings are in bold and are subject to change.
5
<PAGE> 6
THE COVENTRY GROUP
DOMESTIC SOCIAL INDEX FUND
request in return for our withdrawal of the resolution. We question the resolve
and ability of any company to address this issue adequately without public
accountability.
Walden has recently taken up the issue of mercury pollution, initiating
dialogues with mercury thermometer manufacturer BECTON, DICKINSON & CO., a Fund
holding, and drug store retailers CVS and WALGREEN, both Fund holdings. A known
neurotoxin with severe effects on child and fetal brain development, mercury
from fever thermometers is the largest source of mercury in municipal solid
waste. Forty states have advisories for mercury in one or more water bodies, and
eleven states have issued statewide mercury advisories. We are asking these
companies if they have plans to follow Rite-Aid's lead in limiting or
phasing-out the manufacture and sale of mercury containing products, especially
in light of growing legislative initiatives to restrict the sale of mercury
thermometers. Healthcare Without Harm, a coalition of environmental health
groups, has provided technical assistance to Walden.
Walden's shareholder resolution, co-filed with the Sinsinawa Dominicans,
challenges plans by OCCIDENTAL PETROLEUM, a Fund holding, to drill on land
considered sacred by the U'wa in Colombia. In a victory for shareholder rights,
the Securities and Exchange Commission denied Occidental's request to omit the
initiative from the proxy ballot. In the past few months, Walden has hosted both
Roberto Perez, President of the U'wa Traditional Authority, at a gathering of
the New England Social Investment Forum, and, separately, a senior vice
president and spokesperson for Occidental Petroleum.
***
On behalf of all of us at Walden Asset Management, I thank you for your
continued confidence in our services. Please feel free to contact us at (617)
726-7250 with any questions or comments.
Sincerely,
/s/ Geeta B. Aiyer
Geeta B. Aiyer
Portfolio Manager and President
Walden Asset Management
Portfolio holdings are in bold and are subject to change.
6
<PAGE> 7
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
VALUE OF $10,000 VS BENCHMARK INDICES
AVERAGE ANNUAL
TOTAL RETURN
For the Inception
Period Ended to
03/31/00(1) 03/31/00(2)
10.23%(3) 10.23%(3)
<TABLE>
<CAPTION>
WALDEN/BBT DOMESTIC
SOCIAL INDEX FUND RUSSELL 1000 STOCK INDEX(5) S&P 500 STOCK INDEX(4)
------------------- --------------------------- ----------------------
<S> <C> <C> <C>
7/99 10000 10000 10000
9/99 9590 9634 9677.8
12/99 10792.5 11181 11117.8
3/00 11023 11669 11372.8
</TABLE>
The chart represents a historical investment of $10,000 in the Walden/BBT
Domestic Social Index Fund from July 31, 1999 to March 31, 2000, and represents
the reinvestment of dividends and capital gains in the Fund.
(1) For the period from July 31, 1999 through March 31, 2000.
(2) Commenced operations on July 31, 1999.
(3) Not annualized.
(4) Standard & Poor's 500 Stock Index is an unmanaged index generally
representative of the U.S. Stock market as a whole. The performance of the
index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management and fund accounting fees. The Fund's
performance reflects the deduction of fees for these value-added services.
Investors cannot invest directly in an index, although they can invest in
the underlying securities.
(5) Russell 1000 Index consists of the largest 1000 companies in the Russell
3000 Index. This index represents the universe of large capitalization
stocks from which most active money managers typically select. The
performance of the index does not reflect the deduction of expenses
associated with a mutual fund, such as investment management and fund
accounting fees. The Fund's performance reflects the deduction of fees for
these value-added services. Investors cannot invest directly in an index,
although they can invest in the underlying securities.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO
THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST.
7
<PAGE> 8
[Walden LOGO]
Walden Asset Management
A Division of United States Trust Company of Boston
To: Walden/BBT International Social Index Fund
From: Geeta B. Aiyer
Date: March 31, 2000
Re: Portfolio Review and Economic Outlook
INVESTMENT PERFORMANCE
FUND NET ASSET VALUE: $11.98
<TABLE>
<CAPTION>
Since Inception
Quarter August 26, 1999
------- ---------------
<S> <C> <C>
Walden/BBT International Social Index Fund*................. -1.56% 20.35%
Morgan Stanley Capital International (MSCI)
Europe, Australia and Far East (EAFE) Index(1)............ -0.10% 18.49**
Financial Times EuroPacific Index(2)........................ -1.69% 17.38%**
</TABLE>
WALDEN ASSET MANAGEMENT SERVES AS INVESTMENT ADVISER TO THE WALDEN/BBT
INTERNATIONAL SOCIAL INDEX FUND AND RECEIVES A FEE FOR ITS SERVICES.
* After all expenses at an annual rate of 1%, the adviser's expense
limitation.
** Performance return is as of August 31, 1999.
For more information on the Walden/BBT Funds, including a prospectus that
outlines fees, charges and other operating expenses, call 1-877-7-WALDEN. Please
read the prospectus carefully before investing or sending money.
SHARES OF THE FUND ARE NOT DEPOSITS OR OBLIGATIONS OF UNITED STATES TRUST
COMPANY OF BOSTON OR ANY BANK AND ARE NOT INSURED BY THE FDIC, FEDERAL RESERVE
BOARD OR ANY AGENCY. THE VALUE OF THE FUND SHARES AND RETURNS WILL FLUCTUATE AND
INVESTORS MAY HAVE A GAIN OR LOSS WHEN THEY REDEEM SHARES. DISTRIBUTED BY BISYS
FUND SERVICES LIMITED PARTNERSHIP.
---------------
<TABLE>
<S> <C> <C>
(1) Morgan Stanley Capital International (MSCI) Europe, Australia and Far East (EAFE)
Index is an unmanaged index generally representative of stock markets in those
regions. The performance of the index does not reflect the deduction of expenses
associated with a mutual fund, such as investment management and fund accounting
fees. The Fund's performance reflects the deduction of fees for these value-added
services. Investors cannot invest directly in an index, although they can invest in
the underlying securities.
</TABLE>
<TABLE>
<S> <C> <C>
(2) Financial Times EuroPacific Index is an unmanaged index designed to reflect the
performance of the investable range of exchange-listed securities available to
non-residents in certain markets. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment management
and fund accounting fees. The Fund's performance reflects the deduction of fees for
these value-added services. Investors cannot invest directly in an index, although
they can invest in the underlying securities.
</TABLE>
International investing involves increased risk and volatility.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
8
<PAGE> 9
THE COVENTRY GROUP
INTERNATIONAL SOCIAL INDEX FUND
MARKET & PERFORMANCE SUMMARY
Q1 2000 REVIEW
Markets around the world experienced a difficult and volatile quarter,
following on the heels of double-digit returns in the fourth quarter of 1999.
January and February 2000 left most developed country markets in negative
territory. The strong market rebound in the US during the month of March allowed
that market and the world indices to finish with small positive returns. The
MSCI EAFE Index(1) and the Financial Times EuroPacific Index(2), which do not
include the US or Canada, did not fare as well, finishing with flat (-0.1%) or
slightly negative returns (-1.69%) respectively.
The Walden/BBT International Social Index was in line with these indices,
and lost 1.56% during the quarter. Since inception on August 26, 1999, the fund
returned 20.35%.
European cellular telephone leaders, ERICSSON and NOKIA continued to show
strong results and helped the performance of the Fund by contributing 0.5% and
0.5% respectively to it. Also adding value was FRANCE TELECOM which provided
some 0.5% to the return for the quarter. Two Japanese and one Dutch security had
exceptional returns: TOKYU CORP. and NOMURA SECURITIES of Japan returned 83.4%
and 82.3% respectively, while BUHRMANN of the Netherlands gained 77.3%.
BRITISH TELECOM, which did not fare as well as its French counterpart,
detracted 0.4% from Fund performance. Two Japanese securities also had
significant negative impact on returns: KYOCERA and FUJITSU both accounted for
0.3% each. Japanese securities were also among the worst performers in absolute
terms. HIROSE ELECTRICE lost 36.7% for the quarter, while NAMCO declined by
36.2%. The worst performer overall was, however, a Hong Kong security, NEW WORLD
DEVELOPMENT, which fell 38.0%.
The Fund's social criteria proved beneficial in several cases, as
significant securities screened out of the investment universe underperformed
international market indices, e.g., Royal Dutch (-8.0%) and DiamlerChrysler
(-15.4%). There were some notable exceptions, however, as Total Fina and
Siemens, also excluded for social reasons, beat the market indices handily.
Q4 1999 REVIEW
The return for the Walden/BBT International Social Index Fund returned
17.5% for the fourth quarter of 1999. The Financial Times EuroPacific Index had
a return of 17.2% (in US dollars) for the quarter. Meanwhile, the MSCI EAFE
Index had a solid quarter, gaining 17.0% (in US dollars). Some of the smaller
countries in the MSCI
---------------
(1) Morgan Stanley Capital International (MSCI) Europe, Australia and Far East
(EAFE) Index is an unmanaged index generally representative of stock
markets in those regions. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management and fund accounting fees. The Fund's performance reflects the
deduction of fees for these value-added services. Investors cannot invest
directly in an index, although they can invest in the underlying
securities.
(2) Financial Times EuroPacific Index is an unmanaged index designed to reflect
the performance of the investable range of exchange-listed securities
available to non-residents in certain markets. The performance of the index
does not reflect the deduction of expenses associated with a mutual fund,
such as investment management and fund accounting fees. The Fund's
performance reflects the deduction of fees for these value-added services.
Investors cannot invest directly in an index, although they can invest in
the underlying securities.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
Portfolio holdings are in bold and are subject to change.
9
<PAGE> 10
THE COVENTRY GROUP
INTERNATIONAL SOCIAL INDEX FUND
EAFE Index(1) performed the best in the fourth quarter. Finland (89.2%), Sweden
(46.2%), and Hong Kong (29.4%) all turned in spectacular results. Japan had a
strong quarter, returning 15.5%.
Japanese stocks were some of the best performers over the last three
months. CSK CORP (366.7%), TRANS COSMOS (241.0%), and Kyocera (240.3%), all had
great returns. Adding the most to the performance of the account, however, were
two big telecommunications companies, Nokia of Finland and DEUTSCHE TELEKOM of
Germany. Nokia added 1.4% to the performance due to its quarterly return of
101.4% and Deutsche Telekom added 0.9% based on its 72.8% return. Many of the
largest securities, which were excluded for social reasons performed worse than
the MSCI EAFE Index during the fourth quarter. Royal Dutch and Roche Holdings,
the first and second largest precluded stocks, underperformed by 12% and 15%
respectively.
SOCIAL RESEARCH AND ACTION
At Walden, we view social research as an integral part of our social
change and shareholder advocacy effort. Walden's social initiatives over the
last six months have continued to focus on efforts that foster greater corporate
awareness, a necessary step in achieving meaningful and lasting change.
We continue to monitor the companies in the index and are encouraged by
the social initiatives several companies are implementing. One example is NIPPON
TELEGRAPH AND TELEPHONE CORP. (NTT), the largest telecommunications company in
the world. A German environmental research organization ranked NTT fourth out of
18 telecommunications companies for environmental performance. NTT is notable in
its commitment to implement an ISO 14001-based environmental management system
for its entire company of 200,000 employees. NTT focuses on the use of paper
resources, activities to prevent global warming and protect the ozone layer, and
to reduce industrial wastes. NTT has green procurement guidelines and an
extensive energy efficiency program.
While Japan may claim the largest telecommunications company, smaller
firms like PORTUGAL TELECOM (PT) are equally important. Portugal Telecom offers
domestic telephone services including local and international long distance
calls, mobile telephone service, data transmission services, internet access,
and cable television. In 1999 PT responded to two humanitarian crises through
PT's telecom services. The first instance was in September 1999, when PT offered
a free day for Portuguese subscribers to fax letters of concern to the United
Nations about the East Timor crisis, after its independence from Indonesia. PT
also offered a service on PT's web site for people to send an email message to
the UN and links to NGO web sites supporting the East Timorese people. Then in
May 1999, PT
---------------
(1) Morgan Stanley Capital International (MSCI) Europe, Australia and Far East
(EAFE) Index is an unmanaged index generally representative of stock markets
in those regions. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management and fund accounting fees. The Fund's performance reflects the
deduction of fees for these value-added services. Investors cannot invest
directly in an index, although they can invest in the underlying securities.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET
VALUE WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH
MORE OR LESS THAN THEIR ORIGINAL COST.
Portfolio holdings are in bold and are subject to change.
10
<PAGE> 11
THE COVENTRY GROUP
INTERNATIONAL SOCIAL INDEX FUND
donated 10 million escudos to the UNICEF organization that supports Kosovo
refugees. Also, PT supports a wide range of humanitarian and social
organizations in Portugal whose missions include promoting human rights and
women's rights, fighting racism and AIDS, and encouraging children's art.
Most recently, we joined a coalition of investors, led by Greenpeace in
the UK, and filed our first international proxy resolution. This resolution
asked BP AMOCO to increase investment in solar energy and to cancel all plans
for future oil exploration and production in the Arctic National Wildlife
Refuge. We are co-filing a similar resolution with ARCO (Atlantic Richfield),
soon-to-be acquired by BP Amoco. We are also exploring other opportunities to be
represented at international shareholder meetings, on issues ranging from
genetic engineering to anti-union conduct.
We have been involved in several company dialogues with international
financial institutions to promote greater social and environmental
accountability. In September we met to discuss their lending and investment
practices with CREDIT SUISSE GROUP AG, USB AG, and DEUTSCHE BANK AG. Since then
we have continued to encourage them to incorporate more fully environmental and
social issues into their lending and investment practices. We have worked with a
Dutch shareholder action group regarding ABN AMRO HOLDINGS NV'S environmental
reporting and involvement in financing the mining industry. In partnership with
a German shareholder action group, Walden has challenged HYPOVEREINSBANK AG
regarding their involvement in the Maheswar Dam project in India, specifically
on the impacts and criteria for export credits and investment loans to
developing countries. We are urging the bank to become a signatory to the UNEP
Statement by Financial Institutions on the Environment and Sustainable
Development. Additionally, we are communicating with several portfolio banks
that helped underwrite bonds for the China Development Bank.
Walden continues to play an active role in fostering discussions on
international concerns within the socially responsible investing (SRI)
community. In March, we hosted a New England Social Investment Forum meeting
with Dr. Vandana Shiva, an Indian theoretical physicist and leading advocate for
ecology and social justice. Dr. Shiva, in Boston for the Biodevastation 2000,
outlined her major environmental, health and local community concerns associated
with the introduction of genetically engineered foods and with corporate
concentration of seed ownership. She urged social investors to build
relationships with grassroots activists abroad to develop a better appreciation
of local concerns and more effective strategies to address them. Additionally,
Walden hosted Roberto Perez, President
Portfolio holdings are in bold and are subject to change.
11
<PAGE> 12
THE COVENTRY GROUP
INTERNATIONAL SOCIAL INDEX FUND
of the U'wa Traditional Authority, to speak at a New England Social Investment
Forum meeting to address the potential impact of Occidental Petroleum's plans to
drill on land considered sacred by the U'wa in Colombia.
* * *
On behalf of all of us at Walden Asset Management, I thank you for your
continued confidence in our services. Please feel free to contact us at (617)
726-7250 with any questions or comments you might have.
Sincerely,
/s/ Geeta B. Aiyer
Geeta B. Aiyer
Portfolio Manager and President
Walden Asset Management
Portfolio holdings are in bold and are subject to change.
12
<PAGE> 13
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL SOCIAL INDEX FUND
VALUE OF $10,000 VS BENCHMARK INDICES
AVERAGE ANNUAL
TOTAL RETURN
For the Inception
Period Ended to
03/31/00(1) 03/31/00(2)
20.35%(3) 20.35%(3)
<TABLE>
<CAPTION>
WALDEN/BBT INTERNATIONAL
SOCIAL INDEX FUND MSCI EAFE INDEX(4) FTSE EUROPAC INDEX(5)
------------------------ ------------------ ---------------------
<S> <C> <C> <C>
8/99 10000 10000 10000
9/99 10400 10102.9 10104.2
12/99 12225.6 11825.8 11794.2
3/00 12034.7 11820 11608.5
</TABLE>
The chart represents a historical investment of $10,000 in the Walden/BBT
International Social Index Fund from August 26, 1999 to March 31, 2000, and
represents the reinvestment of dividends and capital gains in the Fund.
(1) For the period from August 26, 1999 through March 31, 2000.
(2) Commenced operations on August 26, 1999.
(3) Not annualized.
(4) Morgan Stanley Capital International (MSCI) Europe, Australia and Far East
(EAFE) Index is an unmanaged index generally representative of stock markets
in those regions. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management and fund accounting fees. The Fund's performance reflects the
deduction of fees for these value-added services. Investors cannot invest
directly in an index, although they can invest in the underlying securities.
(5) Financial Times EuroPacific Index is an unmanaged index designed to reflect
the performance of the investable range of exchange-listed securities
available to non-residents in certain markets. The performance of the index
does not reflect the deduction of expenses associated with a mutual fund,
such as investment management and fund accounting fees. The Fund's
performance reflects the deduction of fees for these value-added services.
Investors cannot invest directly in an index, although they can invest in
the underlying securities.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. THE INVESTMENT RETURN AND NET ASSET VALUE WILL FLUCTUATE SO
THAT AN INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR
ORIGINAL COST.
13
<PAGE> 14
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS (99.1%):
BASIC MATERIALS (4.0%):
Air Products & Chemical, Inc. .............................. 800 $ 22,750
Alcan Aluminum Ltd. ........................................ 700 23,713
Alcoa, Inc. ................................................ 900 63,224
Allegheny Technologies, Inc. ............................... 350 7,022
Arch Coal, Inc. ............................................ 49 345
Archer-Daniels-Midland Co. ................................. 1,785 18,519
Barrick Gold Corp. ......................................... 1,100 17,256
Battle Mountian Gold Co. (b)................................ 100 194
Bemis Co. .................................................. 200 7,375
Bethlehem Steel Corp. (b)................................... 400 2,400
Boise Cascade Corp. ........................................ 100 3,475
Champion International Corp. ............................... 300 15,975
Consolidated Papers, Inc. .................................. 200 7,688
Corning, Inc. .............................................. 600 116,399
Crown Cork And Seal Co., Inc. .............................. 400 6,400
Dow Chemical Co. ........................................... 700 79,799
Du Pont (E.I.) de Nemours................................... 3,169 167,560
Eastman Chemical Co. ....................................... 200 9,100
Ecolab, Inc. ............................................... 600 22,013
Engelhard Corp. ............................................ 600 9,075
Fort James Corp. ........................................... 600 13,200
Georgia-Pacific Group....................................... 500 19,781
Great Lakes Chemical Corp. ................................. 100 3,400
Hercules, Inc. ............................................. 200 3,225
Homestake Mining Co. ....................................... 900 5,400
IMC Global, Inc. ........................................... 100 1,469
Inco Ltd. .................................................. 500 9,156
International Paper Co. .................................... 1,300 55,575
Johns Manville Corp. ....................................... 200 2,200
Martin Marietta Materials................................... 100 4,750
Mead Corp. ................................................. 400 13,975
Millipore Corp. ............................................ 100 5,644
Monsanto Co. (b)............................................ 1,700 87,549
</TABLE>
See notes to financial statements.
14
<PAGE> 15
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
BASIC MATERIALS -- (CONTINUED)
Newmont Mining Corp. ....................................... 600 $ 13,463
Nucor Corp. ................................................ 200 10,000
Omnova Solutions, Inc. ..................................... 200 1,125
Owens-Corning............................................... 100 1,938
Owens-Illinois, Inc. (b).................................... 700 11,813
Pactiv Corp. ............................................... 700 6,125
PE Corp. -- PE Biosystems Group............................. 400 38,600
Phelps Dodge Corp. ......................................... 236 11,210
Placer Dome, Inc. .......................................... 800 6,500
PPG Industries, Inc. ....................................... 600 31,388
Praxair, Inc. .............................................. 500 20,813
Reynolds Metals Co. ........................................ 200 13,375
Rohm & Hass Co. ............................................ 600 26,775
RPM, Inc. .................................................. 300 3,300
Sealed Air Corp. (b)........................................ 200 10,863
Sherwin-Williams Co. ....................................... 500 10,969
Sigma-Aldrich............................................... 300 8,063
Sonoco Products Co. ........................................ 100 2,350
Temple-Inland, Inc. ........................................ 100 4,981
Union Carbide Corp. ........................................ 400 23,325
USG Corp. .................................................. 300 12,581
USX- US Steel Group, Inc. .................................. 300 7,500
W.R. Grace & Co. (b)........................................ 300 3,806
Westvaco Corp. ............................................. 400 13,350
Weyerhaeuser Co. ........................................... 600 34,200
Williamette Industries...................................... 400 16,050
Worthington Industries...................................... 300 3,713
-----------
1,173,782
-----------
CAPITAL GOODS (2.4%):
Allied Waste Industries, Inc. (b)........................... 400 2,625
Avery Dennison Corp. ....................................... 300 18,319
Caterpillar, Inc. .......................................... 1,100 43,380
Cooper Industries, Inc. .................................... 400 14,000
</TABLE>
See notes to financial statements.
15
<PAGE> 16
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
CAPITAL GOODS -- (CONTINUED)
Crane Co. .................................................. 300 $ 7,069
Cummins Engine.............................................. 100 3,756
Danaher Corp. .............................................. 800 40,799
Deere & Co. ................................................ 700 26,600
Dover Corp. ................................................ 700 33,513
Fluor Corp. ................................................ 200 6,200
Gencorp, Inc. .............................................. 200 1,550
Goodrich (B.F.) Co. ........................................ 200 5,738
Howmet International, Inc. (b).............................. 300 6,056
Hubbell, Inc. .............................................. 100 2,738
Illinois Tool Works......................................... 900 49,724
Ingersoll-Rand Co. ......................................... 700 30,975
Lanier Worldwide, Inc. (b).................................. 200 413
McDermott International, Inc. .............................. 200 1,838
Molex, Inc. ................................................ 250 14,688
National Service Industries, Inc. .......................... 100 2,106
Navistar International (b).................................. 300 12,038
Paccar, Inc. ............................................... 300 15,000
Parker Hannifin Corp. ...................................... 400 16,525
Pitney Bowes, Inc. ......................................... 900 40,219
Tenneco Automotive, Inc. ................................... 140 1,111
Thermo Electron Corp. (b)................................... 500 10,188
Thomas & Betts Corp. ....................................... 100 2,825
Timken Co. ................................................. 200 3,250
Tyco International, Ltd. ................................... 5,192 258,950
Waste Management, Inc. ..................................... 1,400 19,163
-----------
691,356
-----------
COMMUNICATION SERVICES (6.9%):
Alltel Corp. ............................................... 900 56,756
AT&T Corp. ................................................. 7,800 438,750
Bell Atlantic Corp. ........................................ 3,900 238,388
Bellsouth Corp. ............................................ 5,100 239,700
MCI Worldcom, Inc. (b)...................................... 6,750 305,859
</TABLE>
See notes to financial statements.
16
<PAGE> 17
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
COMMUNICATION SERVICES -- (CONTINUED)
Nextel Communications, Inc. (b)............................. 800 $ 118,600
SBC Communications, Inc. ................................... 8,216 345,072
Sprint Corp. ............................................... 2,000 126,000
Sprint Corp. PCS (b)........................................ 2,100 137,156
Vodafone AirTouch PLC....................................... 400 22,225
-----------
2,028,506
-----------
CONSUMER CYCLICALS (8.9%):
A.H. Belo Corp., Series A................................... 100 1,788
Armstrong World Industries, Inc. ........................... 100 1,788
Autozone, Inc. (b).......................................... 400 11,100
Best Buy Co., Inc. (b)...................................... 200 17,200
Black & Decker Corp. ....................................... 200 7,513
Brunswick Corp. ............................................ 300 5,681
Carnival Corp. ............................................. 1,500 37,219
Centex Corp. ............................................... 100 2,381
Consolidated Stores Corp. (b)............................... 200 2,275
Cooper Tire & Rubber........................................ 200 2,513
Costco Wholesale Corp. (b).................................. 1,200 63,074
Dana Corp. ................................................. 500 14,094
Dillards, Inc. ............................................. 300 4,931
Dollar General Corp. ....................................... 600 16,125
Dow Jones & Co., Inc. ...................................... 300 21,544
Dun & Bradstreet Corp. ..................................... 400 11,450
Eaton Corp. ................................................ 200 15,600
Emerson Electric Co. ....................................... 1,300 68,737
Equifax, Inc. .............................................. 500 12,625
Federated Department Stores (b)............................. 600 25,050
Ford Motor Co. ............................................. 2,900 133,218
Gannett Co., Inc. .......................................... 900 63,337
Gap, Inc. .................................................. 2,100 104,605
Gartner Group, Inc. (b)..................................... 100 1,331
General Motors Corp. ....................................... 1,800 149,062
Genuine Parts Co. .......................................... 800 19,100
</TABLE>
See notes to financial statements.
17
<PAGE> 18
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
CONSUMER CYCLICALS -- (CONTINUED)
Goodyear Tire & Rubber Co. ................................. 400 $ 9,325
Hasbro, Inc. ............................................... 400 6,600
Home Depot, Inc. ........................................... 5,600 361,199
Huttig Building Products, Inc. (b).......................... 66 297
J.C. Penney Co. ............................................ 700 10,413
Johnson Controls, Inc. ..................................... 1,100 59,468
K Mart Corp. (b)............................................ 1,300 12,594
Knight Ridder, Inc. ........................................ 300 15,281
Kohl's Corp. (b)............................................ 400 41,000
Lamar Advertising Co. (b)................................... 100 4,550
Lear Corp. (b).............................................. 100 2,813
Leggett & Platt, Inc. ...................................... 100 2,150
Limited, Inc. .............................................. 400 16,850
Liz Claiborne, Inc. ........................................ 200 9,163
Lowe's Cos. ................................................ 900 52,537
Marriott International, Inc. ............................... 600 18,900
Masco Corp. ................................................ 1,000 20,500
Mattel, Inc. ............................................... 900 9,394
May Department Stores Co. .................................. 1,100 31,350
Maytag Corp. ............................................... 300 9,938
McGraw-Hill Cos., Inc. ..................................... 600 27,300
Media General, Inc. ........................................ 100 5,238
Meredith Corp. ............................................. 100 2,769
New York Times Co. ......................................... 400 17,175
Newell Rubbermaid, Inc. .................................... 800 19,850
Nike, Inc. ................................................. 700 27,738
Nordstrom, Inc. ............................................ 400 11,800
Omnicom Group............................................... 500 46,719
Paychex, Inc. .............................................. 700 36,663
Primedia, Inc. (b).......................................... 300 9,600
Sabre Holdings, Inc. (b).................................... 361 13,334
Sears, Roebuck & Co. ....................................... 900 27,788
Snap-On, Inc. .............................................. 200 5,238
</TABLE>
See notes to financial statements.
18
<PAGE> 19
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
CONSUMER CYCLICALS -- (CONTINUED)
Stanley Works............................................... 300 $ 7,913
Staples, Inc. (b)........................................... 1,100 22,000
Tandy Corp. ................................................ 500 25,375
Target Corp. ............................................... 1,200 89,699
Times Mirror Co. ........................................... 200 18,588
TJX Cos., Inc. ............................................. 800 17,750
Too, Inc. (b)............................................... 57 1,799
Toys 'R Us, Inc. (b)........................................ 600 8,888
Tribune Co. ................................................ 600 21,938
Tupperware Corp. ........................................... 200 3,163
VF Corp. ................................................... 300 7,219
Wal-Mart Stores, Inc. ...................................... 10,900 604,949
Whirlpool Corp. ............................................ 200 11,725
-----------
2,599,881
-----------
CONSUMER STAPLES (9.8%):
Albertson's, Inc. .......................................... 1,000 31,000
American Greetings.......................................... 200 3,650
Avon Products............................................... 700 20,344
Ball Corp. ................................................. 100 3,456
Bestfoods................................................... 1,000 46,813
Campbell Soup Co. .......................................... 1,300 39,975
Cendant Corp. .............................................. 2,100 38,850
Clear Channel Communications (b)............................ 900 62,156
Clorox Co. ................................................. 600 19,500
Coca Cola Enterprises....................................... 1,000 21,563
Coca-Cola Co. .............................................. 6,100 286,318
Colgate-Palmolive Co. ...................................... 1,400 78,925
Comcast Corp. (b)........................................... 2,300 99,763
Conagra, Inc. .............................................. 1,300 23,563
COX Communications, Inc. (b)................................ 92 4,462
CVS Corp. .................................................. 1,000 37,563
Darden Restaurants, Inc. ................................... 100 1,781
Deluxe Corp. ............................................... 200 5,300
</TABLE>
See notes to financial statements.
19
<PAGE> 20
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
CONSUMER STAPLES -- (CONTINUED)
Fruit Of the Loom Ltd. (b).................................. 200 $ 238
General Mills, Inc. ........................................ 1,400 50,663
Gillette Co. ............................................... 2,900 109,293
H.J. Heinz Co. ............................................. 1,000 34,875
Hershey Foods Corp. ........................................ 500 24,375
Ikon Office Solutions, Inc. ................................ 400 2,475
Infinity Broadcasting Corp. (b)............................. 125 4,047
International Flavors & Fragrances.......................... 300 10,519
Interpublic Group Cos., Inc. ............................... 800 37,800
Kellogg Co. ................................................ 1,200 30,750
Kimberly-Clark Corp. ....................................... 1,500 84,000
Kroger Co. (b).............................................. 2,200 38,638
McDonald's Corp. ........................................... 3,600 135,224
MediaOne Group, Inc. (b).................................... 1,600 129,599
Pepsico, Inc. .............................................. 4,000 138,249
Procter & Gamble Co. ....................................... 3,600 202,499
Quaker Oats Co. ............................................ 600 36,375
R.R. Donnelley & Sons Co. .................................. 500 10,469
Ralston- Ralston Purina Group............................... 1,000 27,375
Rite Aid Corp. ............................................. 700 3,850
Safeway, Inc. (b)........................................... 1,300 58,825
Sara Lee Corp. ............................................. 2,500 45,000
Service Corp. International................................. 600 1,800
Servicemaster Co. .......................................... 100 1,125
Sinclair Broadcast Group, Inc. (b).......................... 200 1,788
Supervalu, Inc. ............................................ 200 3,788
Sysco Corp. ................................................ 1,000 35,688
Time Warner, Inc. .......................................... 3,200 319,999
Tricon Global Restaurants, Inc. (b)......................... 300 9,319
Unilever NV................................................. 1,300 62,563
USA Networks, Inc. (b)...................................... 200 4,513
Viacom, Inc. (b)............................................ 1,400 73,850
W.W. Grainger, Inc. ........................................ 400 21,700
</TABLE>
See notes to financial statements.
20
<PAGE> 21
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
CONSUMER STAPLES -- (CONTINUED)
Walgreen Co. ............................................... 2,600 $ 66,950
Walt Disney Co. ............................................ 4,900 202,737
Water Pik Technologies, Inc. (b)............................ 35 254
Whittman Corp. ............................................. 100 1,394
William Wrigley, Jr. Co. ................................... 300 23,044
Winn-Dixie Stores, Inc. .................................... 300 5,831
-----------
2,876,463
-----------
ENERGY (5.8%):
AES Corp. (b)............................................... 500 39,375
Amerada Hess Corp. ......................................... 200 12,925
Anadarko Petroleum Corp. ................................... 300 11,606
Apache Corp. ............................................... 200 9,950
Ashland, Inc. .............................................. 200 6,688
Atlantic Richfield Co. ..................................... 700 59,500
Baker Hughes, Inc. ......................................... 700 21,175
Burlington Resources, Inc. ................................. 400 14,800
Chevron Corp. .............................................. 1,800 166,388
Conoco, Inc. ............................................... 700 17,938
Devon Energy Corp. ......................................... 89 4,322
Exxon Mobil Corp. .......................................... 9,404 731,748
Kerr-McGee Corp. ........................................... 300 17,325
Occidental Petroleums Corp. ................................ 1,100 22,825
Pennzoil-Quaker State Co. .................................. 200 2,088
Phillips Petroleum Co. ..................................... 700 32,375
Royal Dutch Petroleum Co. .................................. 4,800 276,299
Schlumberger Ltd. .......................................... 1,400 107,100
Sunoco Products Co. ........................................ 200 5,475
Texaco, Inc. ............................................... 1,300 69,713
Transocean Sedco Forex, Inc. ............................... 271 13,906
Union Pacific Resources Group............................... 700 10,150
Unocal...................................................... 800 23,800
</TABLE>
See notes to financial statements.
21
<PAGE> 22
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
ENERGY -- (CONTINUED)
USX-Marathon Group, Inc. ................................... 800 $ 20,850
Vastar Resources, Inc. ..................................... 100 7,431
-----------
1,705,752
-----------
FINANCIAL SERVICES (13.7%):
Aegon NV.................................................... 101 8,137
Allstate Corp. ............................................. 1,900 45,244
AMB Property Corp. ......................................... 1,900 40,850
American Express Co. ....................................... 1,000 148,937
American General Corp. ..................................... 700 39,288
American International Group................................ 3,700 405,149
AmSouth Bancorporation...................................... 187 2,793
AON Corp. .................................................. 700 22,575
Archstone Communities Trust................................. 200 3,988
Associates First Capital Corp. ............................. 1,900 40,731
Bank of America Corp. ...................................... 4,500 235,968
Bank of New York Co., Inc. ................................. 2,000 83,125
Bank One Corp. ............................................. 2,600 89,375
BB&T Corp. ................................................. 800 22,450
Bear Stearns Cos., Inc. .................................... 315 14,372
Capital One Financial Corp. ................................ 500 23,969
CarrAmerica Realty Corp. ................................... 100 2,113
Charles Schwab Corp. ....................................... 1,900 107,943
Chase Manhattan Corp. ...................................... 2,200 191,812
Chubb Corp. ................................................ 500 33,781
Cigna Corp. ................................................ 500 37,875
Cincinnati Financial Corp. ................................. 400 15,050
Citigroup, Inc. ............................................ 7,800 462,637
Comerica, Inc. ............................................. 400 16,750
Conseco, Inc. .............................................. 800 9,150
Countrywide Credit Industries., Inc. ....................... 300 8,175
Crescent Real Estate Equities Co. .......................... 100 1,750
Equity Residential Properties Trust......................... 100 4,019
Fannie Mae.................................................. 2,800 158,024
</TABLE>
See notes to financial statements.
22
<PAGE> 23
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
FINANCIAL SERVICES -- (CONTINUED)
Federal Home Loan Mortgage Corp. ........................... 1,900 $ 83,956
Fifth Third BanCorp. ....................................... 700 44,100
First Union Corp. .......................................... 2,200 81,950
Firstar Corp. .............................................. 1,836 42,113
Fleet Boston Financial Corp. ............................... 2,447 89,316
Franklin Resources, Inc. ................................... 700 23,406
Golden West Financial Corp. ................................ 300 9,356
H&R Block, Inc. ............................................ 100 4,475
Hartford Financial Services................................. 600 31,650
Highwoods Properties, Inc. ................................. 100 2,125
Host Marriott Corp. ........................................ 300 2,663
Household International, Inc. .............................. 1,400 52,238
Huntington Bancshares....................................... 600 13,425
J.P. Morgan & Co. .......................................... 400 52,700
Jefferson-Pilot Corp. ...................................... 200 13,313
Keycorp..................................................... 1,200 22,800
Lehman Brothers Holding, Inc. .............................. 300 29,100
Lincoln National Corp. ..................................... 500 16,750
Marsh & McLennan Cos. ...................................... 700 77,219
MBIA, Inc. ................................................. 200 10,413
MBNA Corp. ................................................. 2,000 51,000
Mellon Financial Corp. ..................................... 1,400 41,300
Merrill Lynch & Co. ........................................ 900 94,500
MGIC Investment Corp. ...................................... 300 13,088
Morgan Stanley Dean Witter & Co. ........................... 2,600 212,062
National City Corp. ........................................ 1,600 33,000
Northern Trust Corp. ....................................... 600 40,538
PNC Financial Services Group................................ 900 40,556
Progressive Corp. .......................................... 200 15,213
Providian Financial Corp. .................................. 400 34,650
Regions Financial Corp. .................................... 700 15,969
Safeco Corp. ............................................... 200 5,313
Saint Paul Cos. ............................................ 600 20,475
</TABLE>
See notes to financial statements.
23
<PAGE> 24
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
FINANCIAL SERVICES -- (CONTINUED)
Senior Housing Properties Trust............................. 70 $ 718
Simon Property Group, Inc. ................................. 400 9,600
SLM Holding Corp. .......................................... 400 13,325
State Street Corp. ......................................... 400 38,750
Summit Bancorporation....................................... 400 10,500
Suntrust Banks, Inc. ....................................... 600 34,650
Synovus Financial Corp. .................................... 700 13,213
Torchmark Corp. ............................................ 400 9,250
U.S. Bancorp................................................ 1,800 39,375
Union Planters Corp. ....................................... 400 12,325
UnumProvident Corp. ........................................ 600 10,200
Wachovia Corp. ............................................. 500 33,781
Washington Mutual, Inc. .................................... 1,500 39,750
Wells Fargo & Co. .......................................... 3,600 147,374
-----------
4,009,573
-----------
HEALTH CARE (9.4%):
Abbott Labs................................................. 3,600 126,675
Aetna, Inc. ................................................ 400 22,275
Allergan, Inc. ............................................. 400 20,000
Alza Corp. (b).............................................. 200 7,513
American Home Products Corp. ............................... 2,900 155,513
Amgen, Inc. (b)............................................. 2,300 141,163
Bausch & Lomb, Inc. ........................................ 300 15,656
Baxter International, Inc. ................................. 900 56,419
Becton, Dickinson & Co. .................................... 700 18,419
Biogen, Inc. (b)............................................ 200 13,975
Biomet, Inc. ............................................... 300 10,913
Boston Scientific Corp. (b)................................. 1,000 21,313
Bristol-Myers Squibb Co. ................................... 4,600 265,649
C.R. Bard, Inc. ............................................ 200 7,738
Cardinal Health, Inc. ...................................... 600 27,525
Columbia HCA Healthcare Corp. .............................. 1,400 35,438
Eli Lilly & Co. ............................................ 2,500 157,499
</TABLE>
See notes to financial statements.
24
<PAGE> 25
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
HEALTH CARE -- (CONTINUED)
Guidant Corp. (b)........................................... 800 $ 47,050
Health Management Associates, Inc. (b)...................... 100 1,425
Healthsouth Corp. (b)....................................... 900 5,006
IMS Health, Inc. ........................................... 900 15,244
Integrated Health Services.................................. 200 52
Johnson & Johnson........................................... 4,000 280,249
LifePoint Hospital, Inc. (b)................................ 100 1,663
Mallinckrodt, Inc. ......................................... 200 5,750
Manor Care, Inc. (b)........................................ 300 4,050
McKesson HBOC, Inc. ........................................ 400 8,400
Medtronic, Inc. ............................................ 2,600 133,738
Merck & Co., Inc. .......................................... 5,300 329,262
Pfizer, Inc. ............................................... 8,900 325,405
Pharmacia & Upjohn, Inc. ................................... 1,300 77,025
Saint Jude Medical, Inc. (b)................................ 200 5,163
Schering-Plough Corp. ...................................... 3,400 124,950
Sybron International Corp. (b).............................. 200 5,800
Tenet Healthcare Corp. (b).................................. 1,000 23,000
Triad Hospitals, Inc. (b)................................... 100 1,675
United Healthcare Corp. .................................... 500 29,813
Warner-Lambert Co. ......................................... 2,100 204,749
-----------
2,733,152
-----------
TECHNOLOGY (34.3%):
3com Corp. (b).............................................. 900 50,063
Adaptec, Inc. (b)........................................... 200 7,725
ADC Telecommunications, Inc. (b)............................ 600 32,325
Adobe Systems, Inc. ........................................ 300 33,394
Advanced Micro Devices (b).................................. 400 22,825
America Online, Inc. (b).................................... 5,200 349,700
Analog Devices, Inc. (b).................................... 800 64,450
Andrew Corp. (b)............................................ 200 4,575
Apple Computer, Inc. (b).................................... 400 54,325
Applied Materials, Inc. (b)................................. 1,800 169,650
</TABLE>
See notes to financial statements.
25
<PAGE> 26
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
TECHNOLOGY -- (CONTINUED)
Automatic Data Processing................................... 1,600 $ 77,200
BMC Software, Inc. (b)...................................... 500 24,688
Cabletron Systems (b)....................................... 400 11,725
Ceridian Corp. (b).......................................... 300 5,756
Cisco Systems, Inc. (b)..................................... 15,400 1,190,612
Citrix Systems, Inc. (b).................................... 400 26,500
Compaq Computer Corp. ...................................... 3,900 103,838
Computer Associates International, Inc. .................... 1,300 76,944
Compuware Corp. (b)......................................... 1,000 21,063
Comverse Technology, Inc. (b)............................... 200 37,800
Conexant Systems, Inc. (b).................................. 500 35,500
Dell Computer Corp. (b)..................................... 6,200 334,413
Eastman Kodak Co. .......................................... 900 48,881
Electronic Data Systems..................................... 1,100 70,606
EMC Corp. (b)............................................... 2,400 300,000
First Data Corp. ........................................... 1,200 53,100
Gateway, Inc. (b)........................................... 800 42,400
Harris Corp. ............................................... 200 6,913
Hewlett-Packard Co. ........................................ 2,600 344,663
IBM Corp. .................................................. 4,600 542,799
Intel Corp. ................................................ 8,000 1,055,499
Kla-Tencor Corp. (b)........................................ 400 33,700
Lexmark International Group, Inc. (b)....................... 300 31,725
LSI Logic Corp. (b)......................................... 600 43,575
Lucent Technologies, Inc. .................................. 7,700 467,774
Micron Technology, Inc. (b)................................. 600 75,600
Microsoft Corp. (b)......................................... 12,200 1,296,249
Minnesota Mining & Manufacturing Co. ....................... 1,600 141,700
Motorola, Inc. ............................................. 1,730 246,309
National Semiconductor Corp. (b)............................ 400 24,250
Network Appliance, Inc. (b)................................. 600 49,650
Nortel Networks Corp. ...................................... 3,100 390,600
Novell, Inc. (b)............................................ 700 20,038
</TABLE>
See notes to financial statements.
26
<PAGE> 27
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
TECHNOLOGY -- (CONTINUED)
Oracle Corp. (b)............................................ 6,700 $ 523,018
Parametric Technology Corp. (b)............................. 700 14,744
Peoplesoft, Inc. (b)........................................ 600 12,000
Polaroid Corp. ............................................. 100 2,375
Qualcomm, Inc. (b).......................................... 1,500 223,969
Scientific-Atlanta, Inc. ................................... 400 25,375
Seagate Technology, Inc. (b)................................ 600 36,150
Silicon Graphics, Inc. (b).................................. 500 5,281
Solectron Corp. (b)......................................... 1,400 56,088
Sun Microsystems, Inc. (b).................................. 3,700 346,702
Tellabs, Inc. (b)........................................... 1,000 62,984
Teradyne, Inc. (b).......................................... 400 32,900
Texas Instruments, Inc. .................................... 1,900 304,000
Unisys Corp. (b)............................................ 700 17,850
Xerox Corp. ................................................ 1,800 46,800
Xilinx, Inc. (b)............................................ 700 57,969
Yahoo, Inc. (b)............................................. 1,200 205,650
-----------
9,994,957
-----------
TRANSPORTATION (0.7%):
AMR Corp. (b)............................................... 500 15,938
Burlington Northern Santa Fe Corp. ......................... 1,300 28,762
CSX Corp. .................................................. 700 16,450
Delta Air Lines, Inc. ...................................... 400 21,300
FedEx Corp. (b)............................................. 800 31,199
Gatx Corp. ................................................. 200 7,600
Norfolk Southern Corp. ..................................... 1,000 14,375
Northwest Airlines Corp. (b)................................ 100 2,263
Ryder Systems, Inc. ........................................ 300 6,806
Southwest Airlines.......................................... 1,300 27,056
U.S. Airways Group, Inc. (b)................................ 300 8,344
Union Pacific Corp. ........................................ 700 27,388
-----------
207,481
-----------
</TABLE>
See notes to financial statements.
27
<PAGE> 28
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
UTILITIES (3.2%):
Ameren Corp. ............................................... 400 $ 12,375
American Electric Power..................................... 400 11,925
American Water Works, Inc. ................................. 200 4,750
Carolina Power & Light...................................... 300 9,731
Central & South West Corp. ................................. 400 6,825
Cinergy Corp. .............................................. 600 12,900
CMS Energy Corp. ........................................... 300 5,438
Coastal Corp. .............................................. 700 32,200
Columbia Energy Group....................................... 300 17,775
Consolidated Edison, Inc. .................................. 500 14,500
Constellation Energy Group, Inc. ........................... 400 12,750
Dominion Resources, Inc. ................................... 963 37,015
DQE, Inc. .................................................. 100 4,550
DTE Energy Co. ............................................. 400 11,600
Duke Energy Corp. .......................................... 1,100 57,749
Edison International........................................ 800 13,250
El Paso Energy Corp. ....................................... 300 12,113
Enron Corp. ................................................ 1,800 134,774
Entergy Corp. .............................................. 1,100 22,206
First Energy Corp. ......................................... 700 14,438
Florida Power & Light Group, Inc. .......................... 600 27,638
General Public Utilities, Inc. ............................. 300 8,213
Global Crossing Ltd. (b).................................... 1,820 74,505
Ipalco Enterprise, Inc. .................................... 200 3,900
LG&E Energy Corp. .......................................... 100 2,288
Niagara Mohawk Holdings, Inc. (b)........................... 500 6,750
PECO Energy Corp. .......................................... 600 22,125
PG&E Corp. ................................................. 1,300 27,300
Pinnacle West Capital Corp. ................................ 100 2,819
Potomac Electric Power...................................... 100 2,263
PPL Corp. .................................................. 300 6,281
Public Service Enterprise Group............................. 700 20,738
Reliant Energy, Inc. ....................................... 1,000 23,438
</TABLE>
See notes to financial statements.
28
<PAGE> 29
THE COVENTRY GROUP
WALDEN/BBT DOMESTIC SOCIAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- ------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
UTILITIES -- (CONTINUED)
Scottish Power PLC.......................................... 638 $ 20,217
SEMCO Energy, Inc. ......................................... 100 1,188
Sempra Energy............................................... 700 11,725
Southern Co. ............................................... 2,100 45,674
Texas Utilities Co. ........................................ 700 20,781
U.S. West, Inc. ............................................ 1,200 87,149
Unicom Corp. ............................................... 800 29,200
Williams Cos., Inc. ........................................ 1,000 43,938
-----------
936,994
-----------
TOTAL COMMON STOCKS......................................... 28,957,897
-----------
SHORT-TERM INVESTMENTS (0.8%):
Fifth Third Prime Money Market Fund......................... 220,247 220,247
-----------
TOTAL SHORT-TERM INVESTMENTS................................ 220,247
-----------
TOTAL INVESTMENTS (COST $26,659,381) (A) -- 99.9%........... 29,178,144
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1%............... 34,700
-----------
TOTAL NET ASSETS -- 100.0%.................................. $29,212,844
===========
</TABLE>
---------------
Percentages indicated are based on net assets of $29,212,844.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax purposes of
$17,092. Cost for federal income tax purposes differs from market value by
net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............. $ 5,075,225
Unrealized depreciation............. (2,573,554)
-----------
Net unrealized appreciation......... $ 2,501,671
===========
</TABLE>
(b) Non-income producing securities.
PLC -- Public Limited Company
NV -- Naamloze Vennootschap (Dutch corporation)
See notes to financial statements.
29
<PAGE> 30
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS (97.9%):
AUSTRALIA (1.8%):
BASIC MATERIALS (0.3%):
Amcor Ltd. ................................................. 13,500 $ 46,774
CSR Ltd. ................................................... 22,711 47,698
Iluka Resources Ltd. ....................................... 9,567 20,906
M.I.M Holdings Ltd. ........................................ 62,105 39,582
Pioneer International Ltd. ................................. 21,385 58,282
-----------
213,242
-----------
CAPITAL GOODS (0.2%):
Brambles Industries Ltd. ................................... 2,700 68,669
Pacific Dunlop Ltd. ........................................ 21,600 20,650
Smith (Howard) Ltd. ........................................ 6,640 33,332
-----------
122,651
-----------
COMMUNICATION SERVICES (0.3%):
Telstra Corp., Ltd. ........................................ 48,670 224,521
Telstra Corp., Ltd., Insurance Receipts..................... 2,500 7,102
-----------
231,623
-----------
CONSUMER CYCLICALS (0.0%):
Coles Myer Ltd. ............................................ 6,750 26,632
-----------
CONSUMER STAPLES (0.1%):
Coca-Cola Amatil Ltd. ...................................... 10,000 24,887
Goodman Fielder Ltd. ....................................... 16,870 12,288
-----------
37,175
-----------
ENERGY (0.2%):
Santos Ltd. ................................................ 54,420 127,374
-----------
FINANCIAL SERVICES (0.7%):
AMP Ltd. ................................................... 10,650 100,587
Lend Lease Corp., Ltd. ..................................... 6,200 80,126
National Australia Bank..................................... 11,100 142,702
Westpac Banking Corp. ...................................... 17,700 110,801
-----------
434,216
-----------
</TABLE>
See notes to financial statements.
30
<PAGE> 31
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
AUSTRALIA -- (CONTINUED)
UTILITIES (0.0%):
Australian Gas Light Co., Ltd. ............................. 3,000 $ 14,477
-----------
1,207,390
-----------
AUSTRIA (0.6%):
BASIC MATERIALS (0.1%):
Boehler-Uddeholm............................................ 863 36,334
RHI AG...................................................... 1,661 44,201
-----------
80,535
-----------
CAPITAL GOODS (0.1%):
Flughafen Wien AG........................................... 700 25,989
Wienerberger Baustoffindustrie AG........................... 2,000 41,126
-----------
67,115
-----------
ENERGY (0.2%):
OMV AG...................................................... 1,490 113,945
-----------
FINANCIAL SERVICES (0.1%):
Bank Austria AG............................................. 750 36,529
-----------
TECHNOLOGY (0.0%):
Austria Mikro Systeme International (b)..................... 256 17,637
-----------
UTILITIES (0.1%):
Best Water Technology AG.................................... 60 21,679
EVN AG...................................................... 200 21,987
Oesterreichische Elektrizitaetswirtschafts AG............... 250 26,793
-----------
70,459
-----------
386,220
-----------
BELGIUM (0.7%):
CAPITAL GOODS (0.0%):
Bekaert SA.................................................. 600 28,706
-----------
</TABLE>
See notes to financial statements.
31
<PAGE> 32
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
BELGIUM -- (CONTINUED)
CONSUMER CYCLICALS (0.1%):
Colruyt SA.................................................. 500 $ 21,884
D' Ieteren NV............................................... 60 17,224
Delhaize-Le Lion............................................ 800 43,174
-----------
82,282
-----------
FINANCIAL SERVICES (0.5%):
Fortis B.................................................... 5,150 132,068
Grouep Bruxelles Lambert.................................... 425 90,484
KBC Bancassurance Holding NV................................ 2,650 95,089
-----------
317,641
-----------
HEALTH CARE (0.1%):
UCB SA...................................................... 1,400 50,906
-----------
TECHNOLOGY (0.0%):
Dolmen Computer Applications (b)............................ 50 1,196
-----------
480,731
-----------
DENMARK (1.4%):
CAPITAL GOODS (0.4%):
D/S 1912.................................................... 7 79,802
Dampskibsselkabet Svendborg................................. 7 113,359
NKT Holding A/S............................................. 195 27,569
-----------
220,730
-----------
COMMUNICATION SERVICES (0.2%):
Tele Danmark A/S............................................ 1,400 125,955
-----------
CONSUMER STAPLES (0.2%):
Aarhus Oliefabrik A/S, Class A.............................. 1,882 42,330
Aarhus Oliefabrik A/S, Class B.............................. 969 21,795
Danisco A/S................................................. 750 24,002
ISS International Service System A/S........................ 414 27,137
Korn-OG Foderstof Kompagniet A/S............................ 1,978 41,947
-----------
157,211
-----------
</TABLE>
See notes to financial statements.
32
<PAGE> 33
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
DENMARK -- (CONTINUED)
FINANCIAL SERVICES (0.1%):
Den Danske Bank............................................. 400 $ 41,900
Unidanmark A/S.............................................. 620 39,763
-----------
81,663
-----------
HEALTH CARE (0.2%):
Novo-Nordisk A/S............................................ 600 80,971
Radiometer A/S.............................................. 1,781 60,660
-----------
141,631
-----------
TECHNOLOGY (0.3%):
GN Store Nord............................................... 1,166 101,156
Navision Software........................................... 218 19,613
Vestas Wind Systems A/S (b)................................. 249 90,568
-----------
211,337
-----------
938,527
-----------
FINLAND (3.3%):
BASIC MATERIALS (0.1%):
UPM-Kymmene Oyj............................................. 2,450 69,158
-----------
CAPITAL GOODS (0.0%):
Metso Oyj................................................... 1,586 21,398
-----------
COMMUNICATION SERVICES (0.5%):
Sonera Oyj.................................................. 4,810 328,163
-----------
CONSUMER CYCLICALS (0.1%):
Stockmann AB................................................ 2,969 45,597
-----------
TECHNOLOGY (2.6%):
Nokia Oyj, Class A.......................................... 8,093 1,711,421
TietoEnator Oyj............................................. 630 37,798
-----------
1,749,219
-----------
2,213,535
-----------
</TABLE>
See notes to financial statements.
33
<PAGE> 34
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
FRANCE (9.3%):
BASIC MATERIALS (0.0%):
Nord-Est.................................................... 900 $ 23,424
-----------
CAPITAL GOODS (0.4%):
Air Liquide................................................. 962 133,565
Imerys...................................................... 350 42,634
Legrand..................................................... 300 55,834
Sidel....................................................... 825 53,681
-----------
285,714
-----------
COMMUNICATION SERVICES (1.8%):
France Telecom.............................................. 6,779 1,167,599
-----------
CONSUMER CYCLICALS (1.6%):
Accor SA.................................................... 2,125 83,368
Canal Plus.................................................. 840 184,868
Carrefour Supermarche....................................... 2,988 382,839
Chargeurs SA................................................ 400 23,348
Club Mediterranee........................................... 340 41,969
Pinault-Printemps-Redoute................................... 865 160,242
Skis Rossignol SA........................................... 1,515 21,455
Sodexho Alliance SA......................................... 300 46,676
Sommer-Allibert............................................. 3,027 67,835
Valeo SA.................................................... 850 41,847
-----------
1,054,447
-----------
CONSUMER STAPLES (1.1%):
Bongrain SA................................................. 90 27,687
Casino Guichard Perrachon................................... 800 72,340
Eridania Beghin-Say......................................... 495 41,303
L'OREAL..................................................... 600 387,533
Publicis SA................................................. 207 110,921
SEB SA...................................................... 643 37,224
Societe BIC SA.............................................. 1,040 42,294
-----------
719,302
-----------
</TABLE>
See notes to financial statements.
34
<PAGE> 35
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
FRANCE -- (CONTINUED)
ENERGY (0.4%):
Compagnie Francaise d'Etudes et de Construction Technip
SA........................................................ 1,480 $ 179,712
Compagnie Generale de Geophysique SA........................ 1,148 75,796
-----------
255,508
-----------
FINANCIAL SERVICES (1.5%):
Axa......................................................... 2,365 335,152
Banque Nationale de Paris................................... 4,260 336,293
Gecina...................................................... 379 38,296
Natexis Banques Populaires.................................. 340 25,702
Simco....................................................... 400 30,237
Societe Eurafrance SA....................................... 88 39,997
Societe Generale............................................ 675 134,604
Union du Credit-Bail Immobilier............................. 565 74,067
-----------
1,014,348
-----------
HEALTH CARE (0.3%):
Cie Generale D'Optique Essilor International SA............. 175 44,710
Sanofi-Synthelabo SA........................................ 4,929 187,950
-----------
232,660
-----------
TECHNOLOGY (0.9%):
Cap Gemini SA............................................... 561 151,916
STMicroelectronics NV....................................... 2,418 444,235
-----------
596,151
-----------
UTILITIES (1.3%):
Coflexip Stena Offshore..................................... 1,170 128,747
Suez Lyonnaise DES Eaux..................................... 1,578 271,187
Vivendi..................................................... 4,210 485,427
-----------
885,361
-----------
6,234,514
-----------
</TABLE>
See notes to financial statements.
35
<PAGE> 36
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
GERMANY (8.4%):
BASIC MATERIALS (0.1%):
Henkel KGaA................................................. 600 $ 33,012
Henkel KGaG-Korzug.......................................... 350 20,161
SGL Carbon (b).............................................. 543 41,567
-----------
94,740
-----------
CAPITAL GOODS (0.7%):
Agiv AG..................................................... 1,600 29,472
Bilfinger & Berger Bau AG................................... 3,224 49,051
Buderus AG.................................................. 5,200 87,076
Deutsche Lufthansa AG....................................... 8,684 198,181
FAG Kugelfischer Georg Schaefer AG.......................... 7,200 63,935
Hochtief AG................................................. 950 26,816
Linde AG.................................................... 1,000 42,772
-----------
497,303
-----------
COMMUNICATION SERVICES (2.5%):
Deutsche Telecom AG......................................... 20,008 1,612,022
EM.TV & Merchandising AG.................................... 1,184 97,206
-----------
1,709,228
-----------
CONSUMER CYCLICALS (0.8%):
Continental AG.............................................. 11,671 211,069
Douglas Holding AG.......................................... 650 20,463
Metro AG.................................................... 1,600 63,996
Salamander AG............................................... 3,000 33,012
Volkswagen AG............................................... 5,054 221,007
-----------
549,547
-----------
CONSUMER STAPLES (0.2%):
Beiersdorf AG............................................... 1,100 77,363
Kamps AG.................................................... 566 32,929
Karstadt Quelle AG.......................................... 1,000 30,716
-----------
141,008
-----------
</TABLE>
See notes to financial statements.
36
<PAGE> 37
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
GERMANY -- (CONTINUED)
FINANCIAL SERVICES (3.1%):
Allianz AG.................................................. 1,890 $ 769,515
AMB Aachener & Muenchener Beteiligungs AG................... 300 20,869
Axa Colonia Konzern AG...................................... 750 61,718
Deutsche Bank AG............................................ 6,045 401,720
HypoVereinsbank............................................. 2,912 179,724
Muenchener Rueckversicher................................... 1,550 498,340
WCM Beteiligungs & Grundbesi AG............................. 1,648 55,508
-----------
1,987,394
-----------
HEALTH CARE (0.3%):
Merck KGaA.................................................. 3,900 123,523
Schering AG................................................. 800 107,935
-----------
231,458
-----------
TECHNOLOGY (0.7%):
SAP AG...................................................... 350 252,017
SAP AG-Vorzug............................................... 400 224,291
-----------
476,308
-----------
5,686,986
-----------
HONG KONG (2.4%):
CAPITAL GOODS (0.2%):
Cathay Pacific Airways...................................... 32,000 47,467
Johnson Electric Holdings................................... 14,000 95,742
-----------
143,209
-----------
COMMUNICATION SERVICES (0.4%):
Cable & Wireless HKT Ltd. .................................. 82,000 214,833
Television Broadcasts Ltd. ................................. 3,000 26,681
-----------
241,514
-----------
CONSUMER CYCLICALS (0.1%):
South China Morning Post.................................... 66,000 63,572
-----------
</TABLE>
See notes to financial statements.
37
<PAGE> 38
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
HONG KONG -- (CONTINUED)
FINANCIAL SERVICES (1.6%):
Cheung Kong Group........................................... 16,000 $ 239,389
Hang Seng Bank.............................................. 12,000 104,797
Hutchison Whampoa........................................... 27,000 487,190
New World Development....................................... 16,000 22,295
Sun Hung Kai Properties Ltd. ............................... 16,000 138,702
Swire Pacific Ltd. ......................................... 15,000 77,442
The Wharf Holdings.......................................... 13,000 24,876
-----------
1,094,691
-----------
UTILITIES (0.1%):
Hong Kong & China Gas....................................... 44,000 55,095
-----------
1,598,081
-----------
IRELAND (0.4%):
BASIC MATERIALS (0.1%):
CRH PLC..................................................... 3,700 66,383
Smurfit (Jefferson) Group................................... 15,300 35,868
-----------
102,251
-----------
CAPITAL GOODS (0.1%):
DCC PLC..................................................... 4,583 48,897
Ryanair (b)................................................. 4,292 37,373
-----------
86,270
-----------
COMMUNICATION SERVICES (0.1%):
Independent News & Media PLC................................ 4,751 46,598
-----------
FINANCIAL SERVICES (0.1%):
Allied Irish Banks PLC...................................... 6,700 65,072
-----------
300,191
-----------
ITALY (4.6%):
BASIC MATERIALS (0.1%):
SNIA SPA.................................................... 42,494 40,865
-----------
</TABLE>
See notes to financial statements.
38
<PAGE> 39
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
ITALY -- (CONTINUED)
COMMUNICATION SERVICES (1.8%):
Olivetti SPA (b)............................................ 32,683 $ 117,276
T.I.M. SPA.................................................. 44,350 544,046
T.I.M. SPA-RNC.............................................. 8,670 41,481
Telecom Italia SPA.......................................... 24,554 366,524
Telecom Italia SPA-RNC...................................... 6,570 44,761
-----------
1,114,088
-----------
CONSUMER CYCLICALS (0.6%):
Arnoldo Mondadori Editore SPA............................... 1,550 39,526
Autogrill SPA............................................... 1,738 16,132
Benetton Group SPA.......................................... 19,300 39,706
Bulgari SPA................................................. 2,253 24,921
Magneti Marelli SPA......................................... 9,528 35,101
Mediaset SPA................................................ 9,900 196,660
Pirelli SPA................................................. 21,114 54,852
Pirelli SPA-RNC............................................. 13,419 28,891
-----------
435,789
-----------
CONSUMER STAPLES (0.0%):
Parmalat Finanziaria SPA.................................... 18,200 20,254
-----------
FINANCIAL SERVICES (1.2%):
Assicurazioni Generali...................................... 10,460 290,058
Banca Commerciale Italiana SPA.............................. 9,500 43,361
Banca di Roma............................................... 50,755 55,997
Banca Intesa SPA............................................ 33,521 115,792
Banca Popolare di Milano SPA................................ 3,500 24,247
Beni Stabili SPA............................................ 8,784 3,782
Mediobanca.................................................. 3,400 27,589
Riunione Adriatica di Sicurta SPA........................... 2,700 25,009
Sai-Soc Assic Industriale................................... 1,400 10,516
San Paolo-IMI SPA........................................... 8,784 120,278
Unicredito Italiano SPA..................................... 29,950 119,219
-----------
835,848
-----------
</TABLE>
See notes to financial statements.
39
<PAGE> 40
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
ITALY -- (CONTINUED)
UTILITIES (0.9%):
Edison SPA.................................................. 4,380 $ 45,683
Enel SPA.................................................... 28,362 127,010
ENI SPA..................................................... 84,070 420,725
Italgas..................................................... 5,670 25,988
-----------
619,406
-----------
3,066,250
-----------
JAPAN (27.2%):
BASIC MATERIALS (0.7%):
Asahi Chemical Industry Co., Ltd. .......................... 16,000 102,178
Kuraray Co., Ltd. .......................................... 8,000 73,163
Mitsubishi Gas & Chemical Co. .............................. 6,000 14,449
Nippon Sheet Glass.......................................... 3,000 30,420
Sumitomo Osaka Cement Co. .................................. 9,000 33,257
Taiheiyo Cement Corp. ...................................... 12,000 20,241
Teijin Ltd. ................................................ 12,000 50,895
Toray Industries, Inc. ..................................... 13,000 50,193
Tosoh Corp. ................................................ 7,000 34,193
Toyo Seikan Kaisha.......................................... 2,000 34,203
-----------
443,192
-----------
CAPITAL GOODS (3.4%):
Amada Co., Ltd. ............................................ 4,000 32,370
Asahi Glass Co., Ltd. ...................................... 15,000 128,114
DAI Nippon Printing Co., Ltd. .............................. 7,000 113,703
East Japan Railway Co. ..................................... 29 150,422
Fuji Machine Manufacturing Co., Ltd. ....................... 700 52,074
Fujikura Ltd. .............................................. 6,000 29,776
Japan Air Lines............................................. 20,000 53,625
Keihin Electric Express Railway............................. 24,000 87,515
Kinden Corp. ............................................... 3,000 22,142
Komatsu Ltd. ............................................... 10,000 47,580
Koyo Seiko Co., Ltd. ....................................... 2,000 15,015
</TABLE>
See notes to financial statements.
40
<PAGE> 41
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
JAPAN -- (CONTINUED)
CAPITAL GOODS -- (CONTINUED)
Kurita Water Industries..................................... 1,000 $ 19,402
Mitsui O.S.K. Lines Ltd. ................................... 13,000 25,730
Mori Seiki.................................................. 3,000 50,017
Nankai Electric Railway..................................... 23,000 98,445
NGK Insulators.............................................. 6,000 52,065
Nidec Corp. ................................................ 600 54,405
Nippon Express Co., Ltd. ................................... 9,000 66,953
Nippon Yusen Kabushiki Kaish................................ 14,000 59,240
Nitto Denko Corp. .......................................... 3,000 119,924
Noritake Co., Ltd. ......................................... 12,000 53,352
NSK Ltd. ................................................... 6,000 44,928
NTN Corp. .................................................. 6,000 18,135
Secom....................................................... 2,000 171,598
SMC......................................................... 600 125,774
Tokyo Electron Ltd. ........................................ 2,000 302,246
Tokyu Corp. ................................................ 15,000 66,397
Tostem Corp. ............................................... 3,000 48,555
Yamato Transport Co., Ltd. ................................. 6,000 171,987
-----------
2,281,489
-----------
COMMUNICATION SERVICES (2.0%):
Nippon Telegraph & Telephone Corp. ......................... 84 1,334,958
-----------
CONSUMER CYCLICALS (8.0%):
Asatsu-DK, Inc. ............................................ 600 30,478
Casio Computer Co., Ltd. ................................... 5,000 53,088
Citizen Watch Co., Ltd. .................................... 7,000 59,036
Daiei, Inc. (b)............................................. 8,000 28,626
Daiwa House Industry........................................ 5,000 34,271
Denso Corp. ................................................ 6,000 143,031
Fuji Photo Film............................................. 4,000 176,278
Honda Motor Co., Ltd. ...................................... 6,000 248,038
Ito-Yokado Co., Ltd. ....................................... 3,000 214,693
Jusco Co., Ltd. ............................................ 2,000 29,952
</TABLE>
See notes to financial statements.
41
<PAGE> 42
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
JAPAN -- (CONTINUED)
CONSUMER CYCLICALS -- (CONTINUED)
Kanebo Ltd. (b)............................................. 12,000 $ 22,581
Konica Corp. ............................................... 7,000 31,941
Marui Co., Ltd. ............................................ 4,000 72,422
Matsushita Electric Industrial Co. ......................... 14,000 419,051
Namco....................................................... 2,000 82,094
NGK Spark Plug.............................................. 4,000 45,630
Nikon Corp. ................................................ 3,000 115,244
Nintendo Co., Ltd. ......................................... 900 158,387
Nippon COMSYS Corp. ........................................ 3,000 55,867
Nisshinbo Industries........................................ 3,000 14,713
Oriental Land Co., Ltd. .................................... 900 98,455
Pioneer Corp. .............................................. 2,000 56,744
Sanrio Co., Ltd. ........................................... 1,000 33,345
Sanyo Electric Co., Ltd. ................................... 18,000 107,405
Sekisui Chemical Co. ....................................... 4,000 13,221
Sekisui House Ltd. ......................................... 7,000 64,223
Sharp Corp. ................................................ 10,000 214,011
Shimamura Co., Ltd. ........................................ 200 21,840
Shimizu Corp. .............................................. 9,000 25,184
Sony Corp. ................................................. 6,200 876,516
Taisei Corp. ............................................... 11,000 17,482
Takashimaya Co., Ltd. ...................................... 4,000 32,682
TOA Corp. .................................................. 20,000 28,860
Toei........................................................ 3,000 25,184
Toho Co. ................................................... 200 53,722
Tokyo Broadcasting System................................... 2,000 78,974
Toppan Printing Co., Ltd. .................................. 5,000 56,062
Toyo Information Systems.................................... 1,000 70,199
Toyoda Automatic Loom Works................................. 3,000 57,944
Toyota Motor Corp. ......................................... 25,000 1,308,925
Unitika Ltd. (b)............................................ 26,000 20,026
UNY Co., Ltd. .............................................. 2,000 17,530
Wacoal Corp. ............................................... 3,000 25,360
</TABLE>
See notes to financial statements.
42
<PAGE> 43
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
JAPAN -- (CONTINUED)
CONSUMER CYCLICALS -- (CONTINUED)
World Co., Ltd. ............................................ 450 $ 34,661
Yamaha Corp. ............................................... 3,000 24,336
-----------
5,398,312
-----------
CONSUMER STAPLES (0.7%):
Ajinomoto Co., Inc. ........................................ 6,000 73,124
Benesse Corp. .............................................. 600 61,541
Kadokawa Shoten Publishing Co., Ltd. ....................... 100 23,741
KAO Corp. .................................................. 6,000 183,689
Meiji Milk Product.......................................... 4,000 24,453
Nippon Meat Packers......................................... 4,000 46,020
Shiseido Co., Ltd. ......................................... 3,000 40,803
-----------
453,371
-----------
ENERGY (0.2%):
Arabian Oil (b)............................................. 10,300 35,751
Cosmo Oil Co., Ltd. ........................................ 35,000 47,092
Teikoku Oil................................................. 14,000 45,318
-----------
128,161
-----------
FINANCIAL SERVICES (4.6%):
Acom Co., Ltd. ............................................. 1,000 108,322
Asahi Bank Ltd. ............................................ 16,000 89,699
Bank of Tokyo-Mitsubishi Ltd. .............................. 29,000 414,790
Bank of Yokohama Ltd. ...................................... 6,000 24,336
Daito Trust Construction Co., Ltd. ......................... 1,700 29,122
Daiwa Securities Group, Inc. ............................... 10,000 188,173
Fuji Bank Ltd. ............................................. 23,000 216,399
Gunma Bank Ltd. ............................................ 9,000 49,315
Industrial Bank of Japan Ltd. .............................. 15,000 137,181
Joyo Bank Ltd. ............................................. 8,000 32,370
Mitsubishi Estate Co., Ltd. ................................ 10,000 108,517
Mitsubishi Trust & Banking Corp. ........................... 8,000 74,255
Mitsui Fudosan.............................................. 8,000 76,439
</TABLE>
See notes to financial statements.
43
<PAGE> 44
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
JAPAN -- (CONTINUED)
FINANCIAL SERVICES -- (CONTINUED)
Mitsui Marine & Fire Insurance.............................. 8,000 $ 36,036
Nippon Fire & Marine Insurance.............................. 5,000 12,334
Nomura Securities Co., Ltd. ................................ 13,000 424,608
Orix Corp. ................................................. 480 69,497
Promise Co., Ltd. .......................................... 500 38,561
Sakura Bank Ltd. ........................................... 26,000 197,982
Shizuoka Bank Ltd. ......................................... 7,000 59,377
Sumitomo Bank Ltd. ......................................... 19,000 283,430
Sumitomo Marine & Fire...................................... 8,000 40,560
Takefuji Corp. ............................................. 900 96,524
The Daiwa Bank Ltd. ........................................ 14,000 41,496
Tokai Bank Ltd. ............................................ 13,000 78,584
Tokio Marine & Fire Insurance............................... 11,000 113,148
Uni-Charm Corp. ............................................ 1,300 85,555
-----------
3,126,610
-----------
HEALTH CARE (1.8%):
Chugai Pharmaceutical....................................... 2,000 37,498
Daiichi Pharmaceutical Corp. ............................... 3,000 46,507
Eisai Co., Ltd. ............................................ 3,000 79,121
Hoya Corp. ................................................. 1,000 94,574
Olympus Optical Co., Ltd. (b)............................... 4,000 62,009
Sankyo Co., Ltd. ........................................... 3,000 75,611
Shionogi & Co. ............................................. 8,000 142,115
Taisho Pharmaceutical....................................... 3,000 103,544
Takeda Chemical Industries.................................. 6,000 427,045
Yamanouchi Pharmaceutical................................... 3,000 164,384
-----------
1,232,408
-----------
TECHNOLOGY (5.5%):
Advantest Corp. ............................................ 700 148,715
Alps Electric Co. .......................................... 2,000 27,339
Canon, Inc. ................................................ 6,000 260,323
</TABLE>
See notes to financial statements.
44
<PAGE> 45
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
JAPAN -- (CONTINUED)
TECHNOLOGY -- (CONTINUED)
CSK Corp. .................................................. 900 $ 42,120
Dainippon Screen Manufacturing (b).......................... 4,000 27,729
Fanuc....................................................... 2,000 209,818
Fuji Soft ABC, Inc. ........................................ 500 34,125
Fujitsu Ltd. ............................................... 14,000 429,971
Hirose Electric............................................. 800 113,021
Konami Co., Ltd. ........................................... 800 54,600
Kyocera Corp. .............................................. 2,000 334,617
Murata Manufacturing Co., Ltd. ............................. 2,000 486,521
NEC Corp. .................................................. 12,000 354,507
Omron Corp. ................................................ 3,000 85,409
Rohm Co. ................................................... 1,000 348,072
Softbank Corp. ............................................. 700 624,481
Taiyo Yuden Co., Ltd. ...................................... 1,000 64,642
Trans Cosmos................................................ 200 56,549
Yokogawa Electric........................................... 3,000 27,904
-----------
3,730,463
-----------
TRANSPORTATION (0.1%):
Central Japan Railway....................................... 9 54,492
-----------
UTILITIES (0.2%):
Osaka Gas Co., Ltd. ........................................ 26,000 62,867
Tokyo Gas Co., Ltd. ........................................ 32,000 68,952
-----------
131,819
-----------
18,315,275
-----------
NETHERLANDS (4.6%):
BASIC MATERIALS (0.2%):
Akzo Nobel.................................................. 2,642 112,751
DSM NV...................................................... 1,350 48,791
-----------
161,542
-----------
</TABLE>
See notes to financial statements.
45
<PAGE> 46
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
NETHERLANDS -- (CONTINUED)
CAPITAL GOODS (1.1%):
Buhrmann NV................................................. 1,440 $ 36,514
IHC Caland NV............................................... 1,370 58,598
KLM-Koninklijke Luchtvaart Mij NV........................... 1,617 34,581
Koninklijke Philips Electronics NV.......................... 2,520 423,430
Nedlloyd NV................................................. 2,532 56,936
TNT Post Group NV........................................... 4,225 94,884
Vedior NV................................................... 1,204 12,615
Vopak....................................................... 1,300 36,074
-----------
753,632
-----------
CONSUMER CYCLICALS (0.3%):
Elsevier.................................................... 4,800 48,686
Hagemeyer NV................................................ 1,230 26,152
Hollandsche Beton Groep NV.................................. 808 10,631
Wolters Kluwers NV.......................................... 4,099 94,133
-----------
179,602
-----------
CONSUMER STAPLES (0.6%):
Koninklijke Ahold NV........................................ 4,875 126,835
Unilever NV................................................. 6,084 300,105
-----------
426,940
-----------
FINANCIAL SERVICES (1.5%):
ABN-Amro Holdings NV........................................ 9,650 215,056
Aegon NV.................................................... 5,390 430,656
ASR Verzekeringsgroep NV.................................... 450 23,553
ING Groep NV................................................ 5,950 322,247
-----------
991,512
-----------
TECHNOLOGY (0.4%):
ASM Lithography Holding NV (b).............................. 1,102 123,057
Baan Co. NV................................................. 2,398 14,020
</TABLE>
See notes to financial statements.
46
<PAGE> 47
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
NETHERLANDS -- (CONTINUED)
TECHNOLOGY -- (CONTINUED)
Getronics NV................................................ 1,100 $ 84,100
OCE NV...................................................... 1,700 23,099
-----------
244,276
-----------
UTILITIES (0.5%):
Royal KPN NV................................................ 3,100 354,919
-----------
3,112,423
-----------
NEW ZEALAND (0.3%):
BASIC MATERIALS (0.1%):
Carter Holt Harvey Ltd. .................................... 107,920 93,270
Fletcher Challenge Paper.................................... 58,507 39,813
-----------
133,083
-----------
COMMUNICATION SERVICES (0.1%):
Telecom Corp. of New Zealand Ltd. .......................... 10,000 45,249
-----------
ENERGY (0.1%):
Flethcer Challenge Energy................................... 21,781 48,576
-----------
226,908
-----------
NORWAY (0.4%):
BASIC MATERIALS (0.1%):
Elkem ASA................................................... 1,248 21,147
Norske Skogindustrier A/S................................... 1,010 37,699
-----------
58,846
-----------
CAPITAL GOODS (0.0%):
Leif Hoegh & Co. ........................................... 1,894 17,505
Leif Hoegh & Co., Rights.................................... 1,894 337
-----------
17,842
-----------
CONSUMER CYCLICALS (0.1%):
Schibsted ASA............................................... 1,652 40,912
-----------
</TABLE>
See notes to financial statements.
47
<PAGE> 48
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
NORWAY -- (CONTINUED)
ENERGY (0.1%):
Petroleum Geo-Services S/A (b).............................. 1,505 $ 26,393
Smedvig ASA, Class A........................................ 2,558 38,798
Smedvig ASA, Class B........................................ 2,010 27,152
-----------
92,343
-----------
FINANCIAL SERVICES (0.1%):
Christiania Bank Og Kreditkasse............................. 8,670 44,998
DnB Holding ASA............................................. 8,300 31,865
-----------
76,863
-----------
286,806
-----------
PORTUGAL (0.7%):
BASIC MATERIALS (0.0%):
Cin-Corp Industrial Do Norte................................ 3,194 20,018
-----------
COMMUNICATION SERVICES (0.1%):
Portugal Telecom SA......................................... 7,000 89,755
-----------
CONSUMER CYCLICALS (0.1%):
Sonae SGPS SA............................................... 1,300 64,747
-----------
CONSUMER STAPLES (0.0%):
Brisa Autostradas........................................... 4,250 31,273
-----------
FINANCIAL SERVICES (0.4%):
Banco Commercial Portugues.................................. 8,750 46,971
Banco Espirito Santo SA..................................... 1,100 26,314
BPI-Soc Gestora de Participacces Sociais SA................. 4,900 17,395
Inapa-Invest Particip Gesta................................. 14,465 91,213
-----------
181,893
-----------
</TABLE>
See notes to financial statements.
48
<PAGE> 49
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
PORTUGAL -- (CONTINUED)
UTILITIES (0.1%):
Electricidade de Portugual SA............................... 4,575 $ 85,584
-----------
473,270
-----------
SINGAPORE (0.9%):
BASIC MATERIALS (0.1%):
NatSteel Ltd. .............................................. 22,770 53,247
-----------
CAPITAL GOODS (0.1%):
Singapore Airlines Ltd. .................................... 10,260 95,971
-----------
COMMUNICATION SERVICES (0.1%):
Singapore Telecommunications................................ 36,000 51,353
-----------
CONSUMER CYCLICALS (0.2%):
Cycle & Carriage............................................ 6,458 17,367
Haw Par Corp., Ltd. ........................................ 16,000 25,443
Hotel Properties Ltd. ...................................... 31,000 27,185
Singapore Press Holdings.................................... 4,500 71,819
-----------
141,814
-----------
FINANCIAL SERVICES (0.3%):
City Developments Ltd. ..................................... 5,000 22,654
DBS Group Holdings Ltd. .................................... 6,978 92,196
United Overseas Bank........................................ 5,975 36,677
-----------
151,527
-----------
TECHNOLOGY (0.1%):
Creative Technology Ltd. ................................... 988 31,364
Venture MFG Singapore Ltd. ................................. 3,428 47,095
-----------
78,459
-----------
572,371
-----------
SPAIN (2.9%):
BASIC MATERIALS (0.4%):
Acerinox SA................................................. 1,198 47,344
Asturiana del Zinc SA....................................... 4,844 53,999
</TABLE>
See notes to financial statements.
49
<PAGE> 50
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
SPAIN -- (CONTINUED)
BASIC MATERIALS -- (CONTINUED)
Empresa Nacional de Celulosa................................ 2,299 $ 46,087
Portland Valderrivas SA..................................... 4,188 88,523
-----------
235,953
-----------
CAPITAL GOODS (0.1%):
ACS, Actividades de Construccion y Servicios................ 740 20,535
Autopistas Concesionaria Espanola SA........................ 3,569 33,604
Grupo Dragados SA........................................... 3,900 33,586
-----------
87,725
-----------
COMMUNICATION SERVICES (0.8%):
Telefonica SA (b)........................................... 21,235 536,428
-----------
CONSUMER CYCLICALS (0.1%):
Fomento de Construcciones y Contratas SA.................... 1,600 34,142
SOL Melia SA................................................ 1,679 21,046
Telepizza (b)............................................... 3,512 30,917
-----------
86,105
-----------
CONSUMER STAPLES (0.1%):
Azucarera Ebro Agricolas.................................... 4,891 63,602
-----------
ENERGY (0.3%):
Repsol SA................................................... 10,503 230,247
-----------
FINANCIAL SERVICES (0.9%):
Banco Bilbao Vizcaya Argentaria SA.......................... 19,741 290,144
Banco Santander Central Hispano SA.......................... 26,026 279,668
Corporacion Mapfre Compania Internacional de Reaseguros..... 490 7,760
-----------
577,572
-----------
HEALTH CARE (0.1%):
Fabrica Espanola de Productos Quimicos y Farmaceuticos...... 5,352 67,651
-----------
</TABLE>
See notes to financial statements.
50
<PAGE> 51
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
SPAIN -- (CONTINUED)
UTILITIES (0.1%):
Aguas de Barcelona (Gen De)................................. 2,100 $ 33,055
Gas Natural SDG............................................. 2,775 54,142
-----------
87,197
-----------
1,972,480
-----------
SWEDEN (3.3%):
BASIC MATERIALS (0.3%):
AGA AB, Class A............................................. 2,400 38,889
AGA AB, Class B............................................. 2,290 37,106
Ssab Svenskt Stal AB, Class A............................... 2,982 35,032
Ssab Svenskt Stal AB, Class B............................... 2,845 33,587
Svenska Cellulosa AB........................................ 1,800 42,500
-----------
187,114
-----------
CAPITAL GOODS (0.3%):
Atlas Copco AB, Class A..................................... 1,550 37,674
Atlas Copco AB, Class B..................................... 1,140 26,521
Securitas AB................................................ 2,800 67,731
Skanska AB.................................................. 1,100 37,303
-----------
169,229
-----------
COMMUNICATION SERVICES (1.8%):
NetCom AB (b)............................................... 925 79,760
Telefonaktiebolaget LM Ericsson............................. 12,853 1,129,099
-----------
1,208,859
-----------
CONSUMER CYCLICALS (0.4%):
Electrolux AB............................................... 3,000 56,771
Hennes & Mauritz AB......................................... 4,800 133,333
Volvo AB, Class A........................................... 1,300 33,779
Volvo AB, Class B........................................... 2,100 56,632
-----------
280,515
-----------
</TABLE>
See notes to financial statements.
51
<PAGE> 52
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
SWEDEN -- (CONTINUED)
FINANCIAL SERVICES (0.5%):
Drott AB.................................................... 1,100 $ 11,204
Foreningssparbanken......................................... 3,975 54,058
OM Gruppen AB............................................... 442 18,417
Skandia Forsakring AB....................................... 3,000 142,013
Skandinaviska Enskilda Banken (SEB)......................... 4,825 51,936
Svenska Handelsbanken....................................... 3,900 48,073
-----------
325,701
-----------
TECHNOLOGY (0.0%):
Wm-Data AB.................................................. 600 32,639
-----------
2,204,057
-----------
SWITZERLAND (4.7%):
BASIC MATERIALS (0.7%):
Alusuisse Lonza Group AG.................................... 70 44,205
Ems-Chemie Holding AG (b)................................... 75 328,382
Lonza AG (b)................................................ 85 46,112
Sika Finanz AG.............................................. 100 32,598
-----------
451,297
-----------
CAPITAL GOODS (0.5%):
Adecco SA................................................... 164 113,429
Georg Fischer AG............................................ 100 30,974
SAirgroup................................................... 200 37,590
Schindler Holding AG........................................ 20 29,230
Schindler Holding AG, Registered............................ 20 29,266
SGS Soc Gen Surveillance, Bearer (b)........................ 20 39,274
SGS Soc Gen Surveillance, Registered (b).................... 250 90,214
-----------
369,977
-----------
COMMUNICATION SERVICES (0.3%):
Swisscom AG................................................. 496 190,322
-----------
</TABLE>
See notes to financial statements.
52
<PAGE> 53
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
SWITZERLAND -- (CONTINUED)
CONSUMER CYCLICALS (0.6%):
Forbo Holding AG............................................ 75 $ 29,365
Jelmoli SA, Bearer.......................................... 45 64,928
Jelmoli SA, Registered...................................... 78 22,283
Kuoni Reisen Holding........................................ 8 37,048
Moevenpick Holding.......................................... 82 38,320
Swatch Group AG, Bearer..................................... 70 81,633
Swatch Group AG, Registered................................. 275 64,917
Valora Holding AG........................................... 220 64,834
-----------
403,328
-----------
FINANCIAL SERVICES (1.6%):
Credit Suisse Group......................................... 1,775 353,357
Schweizerische Rueckversicherungs-Gesallschaft.............. 115 199,264
UBS AG...................................................... 1,311 344,565
Zurich Allied AG............................................ 310 156,240
-----------
1,053,426
-----------
HEALTH CARE (1.0%):
Novartis.................................................... 504 689,300
-----------
3,157,650
-----------
UNITED KINGDOM (20.0%):
BASIC MATERIALS (0.3%):
Arjo Wiggins Appleton PLC................................... 9,171 24,396
BOC Group PLC............................................... 5,100 99,829
BPB PLC..................................................... 3,650 18,488
RMC Group PLC............................................... 3,800 46,982
-----------
189,695
-----------
BUILDING PRODUCTS (0.0%):
Tarmac PLC.................................................. 3,049 28,406
-----------
CAPITAL GOODS (0.8%):
BAA PLC..................................................... 8,700 52,879
Barratt Developments........................................ 10,694 40,518
</TABLE>
See notes to financial statements.
53
<PAGE> 54
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
UNITED KINGDOM -- (CONTINUED)
CAPITAL GOODS -- (CONTINUED)
BBA Group PLC............................................... 3,997 $ 26,351
British Airways PLC......................................... 9,700 50,524
Invensys PLC................................................ 25,650 114,369
Ocean Group PLC............................................. 3,240 60,113
Peninsular & Orient Steam Navigation........................ 4,200 43,887
Railtrack Group PLC......................................... 5,362 62,658
Rentokil Initial PLC........................................ 21,300 55,557
Rexam PLC................................................... 4,959 16,772
Stagecoach Holdings PLC..................................... 11,400 22,233
-----------
545,861
-----------
COMMUNICATION SERVICES (4.9%):
British Telecommunications PLC.............................. 41,842 782,984
Cable & Wireless PLC........................................ 15,850 297,611
Vodafone AirTouch PLC....................................... 391,755 2,184,261
-----------
3,264,856
-----------
CONSUMER CYCLICALS (1.6%):
Airtours PLC................................................ 3,998 21,621
Berkeley Group PLC.......................................... 2,661 22,181
Carlton Communications PLC.................................. 6,000 71,884
Compass Group PLC........................................... 6,400 83,670
EMI Group PLC............................................... 4,500 48,924
Granada Group PLC........................................... 13,200 141,404
Kingfisher PLC.............................................. 9,000 73,870
New Dixons Group PLC........................................ 5,962 27,440
Next PLC.................................................... 3,400 25,900
Pearson PLC................................................. 4,000 139,876
Reed International PLC...................................... 8,400 61,475
Reuters Group PLC........................................... 12,600 255,080
Wolseley PLC................................................ 5,800 33,587
WPP Group PLC............................................... 5,984 103,577
-----------
1,110,489
-----------
</TABLE>
See notes to financial statements.
54
<PAGE> 55
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
UNITED KINGDOM -- (CONTINUED)
CONSUMER STAPLES (0.8%):
Associated British Foods PLC................................ 5,720 $ 37,983
Cadbury Schweppes PLC....................................... 15,400 102,324
Capita Group PLC............................................ 1,911 48,778
De La Rue PLC............................................... 4,842 20,315
Hays PLC.................................................... 12,650 82,639
Reckitt Benekiser PLC....................................... 900 8,521
Safeway PLC................................................. 11,000 33,342
Unilever PLC................................................ 20,625 131,778
United Biscuits Holdings.................................... 12,700 53,335
-----------
519,015
-----------
ENERGY (2.8%):
BP Amoco PLC................................................ 162,692 1,488,478
Enterprise Oil PLC.......................................... 40,314 290,051
Lasmo PLC................................................... 55,487 107,107
-----------
1,885,636
-----------
FINANCIAL SERVICES (4.6%):
3i Group PLC................................................ 2,921 61,371
Abbey National PLC.......................................... 9,300 122,103
Allied Zurich PLC........................................... 12,000 131,229
Amvescap PLC................................................ 5,773 78,420
Barclays PLC................................................ 9,250 247,173
Boots Co. PLC............................................... 6,600 56,093
British Land Co. PLC........................................ 3,800 24,400
CGU PLC..................................................... 9,450 132,364
Great Universal Stores PLC.................................. 8,125 49,644
Halifax Group PLC........................................... 14,615 155,980
HSBC Holdings PLC........................................... 51,000 602,881
Land Securities PLC......................................... 4,500 53,734
Legal & General Group PLC................................... 36,700 95,140
Lloyds TSB Group PLC........................................ 33,411 353,650
Marks & Spencer PLC......................................... 23,400 94,352
MEPC PLC.................................................... 4,047 26,922
</TABLE>
See notes to financial statements.
55
<PAGE> 56
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
COMMON STOCKS -- (CONTINUED)
UNITED KINGDOM -- (CONTINUED)
FINANCIAL SERVICES -- (CONTINUED)
Provident Financial PLC..................................... 2,700 $ 24,099
Prudential PLC.............................................. 12,800 193,580
Royal & Sun Alliance Insurance Group........................ 10,568 66,130
Royal Bank of Scotland Group PLC............................ 14,900 219,753
Sainsbury (J) PLC........................................... 11,700 52,775
Schroders PLC............................................... 1,750 36,907
Slough Estates PLC.......................................... 4,246 23,572
Sun Life & Provincial Holdings.............................. 7,200 49,735
Tesco PLC................................................... 48,800 163,486
-----------
3,115,493
-----------
HEALTH CARE (1.9%):
Celltech Group PLC (b)...................................... 1,920 34,367
Glaxo Wellcome PLC.......................................... 23,669 677,021
Nycomed Amersham PLC........................................ 7,296 59,535
Smithkline Beecham PLC...................................... 38,495 506,949
-----------
1,277,872
-----------
TECHNOLOGY (1.3%):
Arm Holdings PLC (b)........................................ 1,173 71,521
Eidos PLC (b)............................................... 1,629 10,083
Electrocomponents PLC....................................... 3,470 35,428
Johnson Matthey PLC......................................... 2,418 27,658
Logica PLC.................................................. 3,580 121,077
London Bridge Software Holdings............................. 328 30,611
Marconi PLC................................................. 20,993 250,673
Misys PLC................................................... 4,225 58,909
Psion PLC................................................... 678 44,865
</TABLE>
See notes to financial statements.
56
<PAGE> 57
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
DESCRIPTION AMOUNT VALUE
----------- --------- -----------
<S> <C> <C>
Sage Group PLC.............................................. 11,278 $ 127,112
Sema Group PLC.............................................. 3,451 68,267
-----------
846,204
-----------
UTILITIES (1.0%):
Anglian Water PLC........................................... 3,740 30,921
Anglian Water PLC, Redeemable............................... 478,720 382
BG Group PLC................................................ 24,088 135,457
Centrica PLC................................................ 25,470 97,314
Hyder PLC................................................... 5,873 20,800
National Grid Group PLC..................................... 11,750 107,314
National Power PLC.......................................... 9,120 45,502
Scottish & Southern Energy PLC.............................. 6,700 55,046
Scottish Power PLC.......................................... 9,300 75,443
Thames Water PLC............................................ 4,000 45,115
United Utilities PLC........................................ 5,450 56,948
-----------
670,242
-----------
13,453,769
-----------
TOTAL COMMON STOCKS......................................... 65,887,434
-----------
CORPORATE BONDS (0.0%):
UNITED KINGDOM (0.0%):
BG Transco Holdings PLC, 7.057%, 6/14/00 (c)................ $ 3,000 4,836
BG Transco Holdings PLC, 4.188%, 12/14/22 (c)............... 3,000 4,728
BG Transco Holdings PLC, 7.00%, 12/16/24.................... 3,000 4,772
-----------
TOTAL CORPORATE BONDS....................................... 14,336
-----------
INVESTMENT COMPANIES (1.3%):
UNITED STATES (1.3%):
Fifth Third Money Market Fund............................... 855,893 855,893
-----------
TOTAL INVESTMENT COMPANIES.................................. 855,893
-----------
</TABLE>
See notes to financial statements.
57
<PAGE> 58
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
<TABLE>
<CAPTION>
MARKET
DESCRIPTION SHARES VALUE
----------- -------- -----------
<S> <C> <C>
PREFERRED STOCKS (0.4%):
FRANCE (0.1%):
CONSUMER STAPLES (0.1%):
Casino Guichard-Perrachon................................... 800 $ 48,992
-----------
48,992
-----------
GERMANY (0.3%):
CAPITAL GOODS (0.1%):
Dyckerhoff AG............................................... 1,500 37,390
-----------
CONSUMER CYCLICALS (0.1%):
Volkswagen AG............................................... 2,100 54,255
-----------
CONSUMER STAPLES (0.0%):
Herlitz AG (b).............................................. 3,202 31,558
-----------
FINANCIAL SERVICES (0.1%):
Axa Colonia Konzern AG...................................... 300 27,558
Friedrich Grohe AG.......................................... 350 100,472
-----------
128,030
-----------
251,233
-----------
TOTAL PREFERRED STOCKS...................................... 300,225
-----------
TOTAL INVESTMENTS (COST $54,858,981) (A) -- 99.6%........... 67,057,888
OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4%............... 253,754
-----------
TOTAL NET ASSETS -- 100.0%.................................. $67,311,642
===========
</TABLE>
---------------
Percentages indicated are based on net assets of $67,311,642.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax purposes of
$81,570. Cost for federal income tax purposes differs from market value by
net unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation............. $17,226,248
Unrealized depreciation............. (5,108,911)
-----------
Net unrealized appreciation......... $12,117,337
===========
</TABLE>
See notes to financial statements.
58
<PAGE> 59
THE COVENTRY GROUP
WALDEN/BBT INTERNATIONAL INDEX FUND
SCHEDULE OF PORTFOLIO INVESTMENTS
MARCH 31, 2000 -- (CONTINUED)
(b) Non-income producing securities.
(c) Represents a variable rate note. Interest rate disclosed represents current
rate at March 31, 2000.
AB -- Aktiebolag (Swedish stock company)
AG -- Aktiengesellschaft (West German stock company)
NV -- Naamloze Vennootschap (Dutch corporation)
PLC -- Public Limited Company (British)
SA -- Sociedad Anonima (Spanish corporation)
SA -- Societe Anonyme (French corporation)
SPA -- Societa per Azioni (Italian corporation)
See notes to financial statements.
59
<PAGE> 60
THE COVENTRY GROUP
STATEMENTS OF ASSETS AND LIABILITIES
MARCH 31, 2000
<TABLE>
<CAPTION>
WALDEN/BBT WALDEN/BBT
DOMESTIC INTERNATIONAL
SOCIAL INDEX FUND SOCIAL INDEX FUND
----------------- -----------------
<S> <C> <C>
ASSETS:
Investments, at value (cost $26,659,381 and $54,858,981,
respectively).......................................... $29,178,144 $67,057,888
Foreign currency, at value (cost $ --, $138,063,
respectively).......................................... -- 138,037
Tax reclaim receivable.................................... -- 2,679
Interest and dividends receivable......................... 21,048 154,400
Receivable from investment adviser........................ 25,226 --
----------- -----------
TOTAL ASSETS................................................ 29,224,418 67,353,004
----------- -----------
LIABILITIES:
Accrued expenses and other payables:
Investment adviser fees................................ -- 13,014
Administration fees.................................... 529 1,388
Other payables......................................... 11,045 26,960
----------- -----------
TOTAL LIABILITIES........................................... 11,574 41,362
----------- -----------
NET ASSETS.................................................. $29,212,844 $67,311,642
=========== ===========
COMPOSITION OF NET ASSETS:
Capital................................................... $26,562,055 $55,009,254
Accumulated undistributed net investment income........... 47,840 --
Accumulated dividends in excess of net investment
income................................................. -- (54,046)
Accumulated net realized gains from investment
transactions........................................... 84,186 155,990
Unrealized appreciation from investments.................. 2,518,763 12,200,444
----------- -----------
NET ASSETS.................................................. $29,212,844 $67,311,642
=========== ===========
Net Assets.................................................. $29,212,844 $67,311,642
=========== ===========
Shares Outstanding (par value $0.001, unlimited number of
shares authorized)........................................ 2,655,802 5,620,803
=========== ===========
Net Asset Value, Offering Price and Redemption Price per
share..................................................... $ 11.00 $ 11.98
=========== ===========
</TABLE>
See notes to financial statements.
60
<PAGE> 61
THE COVENTRY GROUP
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED MARCH 31, 2000 (a)
<TABLE>
<CAPTION>
WALDEND/BBT WALDEND/BBT
DOMESTIC INTERNATIONAL
SOCIAL INDEX SOCIAL INDEX
FUND (a) FUND (b)
--------------------- ---------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest income.......................................... $ -- $ 98,200
Dividend income.......................................... 239,974 313,290
Foreign tax withholding.................................. -- (35,028)
---------- -----------
TOTAL INVESTMENT INCOME.................................... 239,974 376,462
EXPENSES:
Investment adviser fees.................................. 90,714 157,912
Administration fees...................................... 36,104 63,164
Accounting fees.......................................... 15,040 32,150
Transfer agent fees...................................... 13,588 13,849
Custodian fees and expenses.............................. 2,179 7,327
Other expenses........................................... 25,147 51,993
---------- -----------
Total expenses before fee reductions and
reimbursements...................................... 182,772 326,395
Fee reductions and reimbursements..................... (46,462) (32,898)
---------- -----------
Net expenses.......................................... 136,310 293,497
---------- -----------
NET INVESTMENT INCOME...................................... 103,664 82,965
---------- -----------
REALIZED/UNREALIZED GAINS FROM INVESTMENTS:
Net realized gains from investments and foreign currency
transactions.......................................... 84,722 252,420
Change in unrealized appreciation from investments and
foreign currencies.................................... 2,518,763 12,200,444
---------- -----------
Net realized/unrealized gains from investments and
foreign currency transactions......................... 2,603,485 12,452,864
---------- -----------
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS............. $2,707,149 $12,535,829
========== ===========
</TABLE>
---------------
(a) Commenced operations on July 31, 1999.
(b) Commenced operations on August 26, 1999.
See notes to financial statements.
61
<PAGE> 62
THE COVENTRY GROUP
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
WALDEN/BBT WALDEN/BBT
DOMESTIC INTERNATIONAL
SOCIAL INDEX FUND SOCIAL INDEX FUND
FOR THE FOR THE
PERIOD ENDED PERIOD ENDED
MARCH 31, 2000 (a) MARCH 31, 2000 (b)
------------------ ------------------
<S> <C> <C>
INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income..................................... $ 103,664 $ 82,965
Net realized gains from investments and foreign currency
transactions........................................... 84,722 252,420
Change in unrealized appreciation from investments and
foreign currencies..................................... 2,518,763 12,200,444
----------- -----------
Change in net assets resulting from operations.............. 2,707,149 12,535,829
----------- -----------
DIVIDENDS TO SHAREHOLDERS:
Net investment income..................................... (55,895) (82,965)
In excess of net investment income........................ -- (29,988)
From net realized gain from investment and foreign
currency transactions.................................. (1,925) (123,827)
----------- -----------
Change in net assets from shareholder dividends............. (57,820) (236,780)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Proceeds from shares issued............................... 26,505,699 54,825,845
Dividends reinvested...................................... 57,816 236,748
Cost of shares redeemed................................... -- (50,000)
----------- -----------
CHANGE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS........ 26,563,515 55,012,593
----------- -----------
CHANGE IN NET ASSETS........................................ 29,212,844 67,311,642
NET ASSETS:
Beginning of period....................................... -- --
----------- -----------
End of period (including accumulated undistributed net
investment income of $47,840 and $0, respectively)..... $29,212,844 $67,311,642
=========== ===========
SHARE TRANSACTIONS:
Issued.................................................... 2,650,259 5,604,487
Reinvested................................................ 5,543 20,641
Redeemed.................................................. -- (4,325)
----------- -----------
CHANGE IN SHARES............................................ 2,655,802 5,620,803
=========== ===========
</TABLE>
---------------
(a) Commenced operations on July 31, 1999.
(b) Commenced operations on August 26, 1999.
See notes to financial statements.
62
<PAGE> 63
THE COVENTRY GROUP
NOTES TO FINANCIAL STATEMENTS AT MARCH 31, 2000
1. ORGANIZATION:
The Coventry Group (the "Group") was organized as a Massachusetts
business trust on January 8, 1992 and is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. The accompanying financial statements and financial
highlights are those of the Walden/BBT Domestic Social Index Fund and
Walden/BBT International Social Index Fund (individually, a "Fund",
collectively, the "Funds"), which commenced operations on July 31, 1999 and
August 26, 1999, respectively.
On August 26, 1999, the Walden/BBT International Social Index Fund,
prior to offering shares to the public, exchanged its shares for portfolio
securities of Brethren Trust Walden International Social Equity Index Fund
(the Trust) as part of a tax-free reorganization of the Trust. The
Walden/BBT International Social Index Fund acquired the securities of the
Trust at the Trust's cost basis and holding periods, thus resulting in the
acquisition of securities with unrealized appreciation of $3,335,236 as of
August 26, 1999. Subsequent to the exchange transaction, the Walden/BBT
International Social Index Fund began its initial public offering.
The Funds' investment objectives are as follows:
Walden/BBT Domestic Social Index Fund seeks long-term capital growth
through a portfolio of stocks intended to parallel the investment
performance of the Standard & Poor's 500 Index (the "S&P 500"), while
incorporating social investment objectives.
Walden/BBT International Social Index Fund seeks long-term capital
growth through a portfolio of international equities intended to parallel
the performance of the Morgan Stanley Capital International/Europe, Asia and
Far East Index (the "MSCI/EAFE").
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of the significant accounting policies
followed by the Funds in preparation of their financial statements. These
policies are in conformity with generally accepted accounting principles.
The preparation of financial statements requires management to make
estimates and assumptions that affect the reported amounts of income and
expenses for the period. Actual results could differ from those estimates.
SECURITY VALUATION:
Investments in securities traded on a national securities exchange or
included in the NASDAQ National Market System are valued at the last
reported sales price at the close of regular trading. Securities traded on
an exchange or NASDAQ for which there have been no sales and other
over-the-counter securities are valued at the last reported bid price. Debt
securities are valued using the mean between the bid and ask price. Debt
securities with a remaining maturity of 60 days or less are valued at
amortized cost, which approximates market value. Securities for which
quotations are not readily available are valued at their respective fair
values as determined in good faith by the Board of Trustees.
FOREIGN CURRENCY TRANSLATION:
The accounting records of the Funds are maintained in U.S. dollars.
Foreign currency amounts are translated into U.S. dollars at the current
rate of exchange to determine the value of assets and liabilities. Purchases
and sales of securities, and income and expenses are translated at the
prevailing rate of exchange on the respective dates of such transactions.
The Funds do not isolate that portion of the results of operations
63
<PAGE> 64
THE COVENTRY GROUP
NOTES TO FINANCIAL STATEMENTS AT MARCH 31, 2000 -- (CONTINUED)
resulting from changes in foreign exchange rates on investments from
fluctuations arising from changes in market prices of securities held. Such
fluctuations are included with the net realized and unrealized gain or loss
from investments.
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS:
The Funds may enter into forward foreign currency exchange contracts in
connection with planned purchases or sales of securities or to hedge the
U.S. dollar value of portfolio securities denominated in a particular
currency. The Funds could be exposed to risks if the counter-parties to the
contracts are unable to meet the terms of their contracts and from
unanticipated movements in the value of a foreign currency relative to the
U.S. dollar. The forward foreign currency exchange contracts are adjusted by
the daily exchange rate of the underlying currency and any gains or losses
are recorded for financial statement purposes as unrealized gains or losses
until the contract settlement date.
SECURITY TRANSACTIONS AND RELATED INCOME:
Security transactions are accounted for on the date the security is
purchased or sold ("trade date"). Interest income is recognized on the
accrual basis and includes, where applicable, the amortization of premium or
discount. Dividend income is recorded on the ex-dividend date. Securities
gains and losses are calculated on the identified cost basis.
EXPENSES:
Expenses that are directly related to one of the Funds are charged
directly to that Fund. Expenses relating to the Funds collectively are
prorated to the Funds on the basis of each Fund's relative net assets.
Expenses relating to the Group are prorated to the Funds and any other
portfolios of the Group on the basis of relative net assets.
DIVIDENDS TO SHAREHOLDERS:
Dividends from net investment income, if any, and net realized gain, if
any, are declared and distributed annually.
The amount of dividends from net investment income and net realized
gains are determined in accordance with federal income tax regulations which
may differ from generally accepted accounting principles. These "book/tax"
differences are either considered temporary or permanent in nature. To the
extent these differences are permanent in nature, such amounts are
reclassified to paid-in capital: temporary differences do not require
reclassification.
As of March 31, 2000, the following reclassifications have been made to
increase/(decrease) such accounts with offsetting adjustments made to
capital:
<TABLE>
<CAPTION>
ACCUMULATED
UNDISTRIBUTED ACCUMULATED NET
NET INVESTMENT REALIZED GAIN
INCOME/(LOSS) FROM INVESTMENTS
-------------- ----------------
<S> <C> <C>
Walden/BBT Domestic Social Index Fund............ $ 71 $ 1,389
Walden/BBT International Social Index Fund....... (24,058) 27,397
</TABLE>
64
<PAGE> 65
THE COVENTRY GROUP
NOTES TO FINANCIAL STATEMENTS AT MARCH 31, 2000 -- (CONTINUED)
FEDERAL INCOME TAXES:
Each Fund is a separate taxable entity for federal tax purposes. Each
Fund has qualified and intends to qualify each year as a "regulated
investment company" under Subchapter M of the Internal Revenue Code, as
amended and to distribute substantially all of their taxable net investment
income and net realized gains, if any, to their shareholders. Accordingly,
no provision for Federal income tax is required.
3. RELATED PARTY TRANSACTIONS WITH AFFILIATES:
United States Trust Company of Boston, (the "Investment Adviser"), acts
as investment adviser to the Funds. For its services as the investment
adviser, United States Trust Company of Boston is entitled to receive a fee,
computed daily and paid monthly at the annual rate of 0.50% of the average
daily net assets of each fund.
BISYS Fund Services Limited Partnership (the "Distributor") and BISYS
Fund Services Ohio, Inc. (the "Administrator" and the "Transfer Agent"), are
wholly owned subsidiaries of The BISYS Group, Inc. Certain officers and
trustees of the Group are also officers of the Administrator. Such officers
are paid no fees directly by the Funds for serving as officers of the Group.
Under the terms of the administration agreement, the Administrator receives
an annual fee, computed daily and paid monthly, equal to 0.20% of each
Fund's average net assets. Under the terms of the transfer agent agreement,
the Transfer Agent receives a fixed fee per fund.
For the period ended March 31, 2000, the Administrator voluntarily
agreed to waive a portion of their fees as follows:
<TABLE>
<S> <C>
Walden/BBT Domestic Social Index Fund....................... $ 8,963
Walden/BBT International Social Index Fund.................. $15,790
</TABLE>
The Funds are responsible for their own operating expenses. The Investment
Adviser has agreed to reduce fees payable to it by Walden/BBT Domestic
Social Index Fund and Walden/BBT International Social Index Fund, to the
extent necessary to limit each Fund's aggregate annual operating expenses to
0.75% and 1.00%, respectively, of the average daily net assets. Any such
reductions made by the Investment Adviser in its fees, payments,
reimbursement of expenses which are the Funds' obligations subject to
repayment by the Funds within three years provided the Funds' are able to
effect such repayment and remain in compliance with applicable limitations.
Pursuant to its agreement, for the period ended March 31, 2000, the
Investment Adviser reimbursed the Funds as follows:
<TABLE>
<S> <C>
Walden/BBT Domestic Social Index Fund....................... $37,499
Walden/BBT International Social Index Fund.................. $17,108
</TABLE>
65
<PAGE> 66
THE COVENTRY GROUP
NOTES TO FINANCIAL STATEMENTS AT MARCH 31, 2000 -- (CONTINUED)
4. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from security sales,
excluding short-term securities, for the period ended March 31, 2000, were:
<TABLE>
<CAPTION>
PURCHASES SALES
----------- ----------
<S> <C> <C>
Walden/BBT Domestic Social Index Fund................ $ 2,269,464 $2,193,185
Walden/BBT International Social Index Fund........... $17,303,514 $5,963,092
</TABLE>
66
<PAGE> 67
THE COVENTRY GROUP
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
WALDEN/BBT WALDEN/BBT
DOMESTIC INTERNATIONAL
SOCIAL INDEX FUND SOCIAL INDEX FUND
FOR THE FOR THE
PERIOD ENDED PERIOD ENDED
MARCH 31, 2000 (a) MARCH 31, 2000 (b)
------------------ ------------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.00 $10.00
INVESTMENT ACTIVITIES:
Net investment income..................................... 0.04 0.02
Net realized and unrealized gains from investments and
foreign currency transactions.......................... 0.98 2.02
------ ------
Total from investment activities............................ 1.02 2.04
------ ------
DIVIDENDS:
Net investment income..................................... (0.02) (0.02)
In excess of net investment income........................ -- (0.01)
Net realized gains from investments and foreign currency
transactions........................................... (0.00)(c) (0.03)
------ ------
Total dividends............................................. (0.02) (0.06)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $11.00 $11.98
====== ======
TOTAL RETURN................................................ 10.23%(e) 20.35%(e)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (millions).................... $ 29.2 $ 67.3
Ratio of expenses to average net assets................... 0.75%(f) 0.92%(f)
Ratio of net investment income to average net assets...... 0.57%(f) 0.26%(f)
Ratio of expenses to average net assets (d)............... 1.01%(f) 1.03%(f)
Portfolio turnover........................................ 8.20% 11.41%
</TABLE>
---------------
(a) Commenced operations on July 31, 1999.
(b) Commenced operations on August 26, 1999.
(c) Less than $0.01 per share.
(d) During the period certain fees were reduced. If such fee reductions had not
occurred, the ratio would have been as indicated.
(e) Not annualized.
(f) Annualized.
See notes to financial statements.
67
<PAGE> 68
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
--------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of the Walden/BBT Domestic Social
Index Fund and the Walden/BBT International Social Index Fund of the Coventry
Group:
We have audited the accompanying statements of assets and liabilities of the
Walden/BBT Domestic Social Index Fund and the Walden/BBT International Social
Index Fund of the Coventry Group (a Massachusetts business trust), including the
schedules of portfolio investments, as of March 31, 2000, and the related
statements of operations and changes in net assets, and financial highlights for
the period then ended. These financial statements and financial highlights are
the responsibility of the Funds' management. Our responsibility is to express an
opinion on these financial statements and financial highlights based on our
audit.
We conducted our audit in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of March 31, 2000, by correspondence with the custodian. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audit provides a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Walden/BBT Domestic Social Index Fund and the Walden/BBT International Social
Index Fund as of March 31, 2000, the results of their operations, the changes in
their net assets, and their financial highlights for the period then ended, in
conformity with accounting principles generally accepted in the United States.
ARTHUR ANDERSEN LLP
Columbus, Ohio,
May 16, 2000
68
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Investment Adviser
United States Trust Company of Boston
40 Court Street
Boston, MA 02108
(617) 726-7250
-
Custodian
Fifth Third Bank
38 Fountain Square Plaza
1090F2
Cincinnati, Ohio 45263
-
Administrator and Transfer Agent
BISYS Fund Services Ohio, Inc.
3435 Stelzer Road
Columbus, OH 43219
-
Distributor
BISYS Fund Services Limited Partnership
3435 Stelzer Road
Columbus, OH 43219
-
Auditors
Arthur Andersen LLP
Huntington Center
41 South High Street
Columbus, OH 43215-6150
-
Legal Counsel
Dechert Price & Rhoads
1775 Eye Street, N.W.
Washington, D.C. 20006
This report is intended for the shareholders of the Funds and may not be used as
sales literature unless preceded or accompanied by a current prospectus.
The performance data quoted represents past performance and is not an indication
of future results. The investment return and net asset value will fluctuate so
that an investor's shares, when redeemed, may be worth more or less than their
original cost.
5/00
[Walden Logo]
WALDEN ASSET MANAGEMENT
A Division of United States Trust Company of Boston
UNITED STATES TRUST COMPANY OF BOSTON
WALDEN/BBT DOMESTIC
SOCIAL INDEX FUND
WALDEN/BBT INTERNATIONAL
SOCIAL INDEX FUND
ANNUAL REPORT
MARCH 31, 2000
