July 31, 1999
[OVB LOGO]
THE OVB FUNDS
Portfolios of The Arbor Fund
SEMI-ANNUAL
REPORT
TO SHAREHOLDERS
<PAGE>
[OVB LOGO] THE OVB FUNDS
Table of Contents
Investment Adviser's Review.........................1
Financial Statements................................2
THE OVB FUNDS:
[bullet] NOT FDIC INSURED
[bullet] NO BANK GUARANTEE
[bullet] MAY LOSE VALUE
<PAGE>
INVESTMENT ADVISER'S REVIEW
[LOGO]
July 31, 1999
- --------------------------------------------------------------------------------
INVESTMENT ADVISER'S REVIEW
Dear Shareholder:
Because this is our last major report to shareholders before the start of
the new millennium, it seems an appropriate time to look back on what has been a
remarkable period for our fund family, and to look ahead at what the future may
hold.
When the OVB Funds were launched on December 1, 1993, the Dow Jones
Industrial Average closed at just 3,697.08, and the United States had recently
emerged from a serious recession that followed the Gulf War.
Despite these conditions, we were confident that investors could benefit
from a family of mutual funds that shared a heritage of investment performance
dating back more than three generations. And we were gratified that a
significant number of individual and institutional investors were eager to
participate in our fledgling family of mutual funds.
Today, just six years later, the Dow has reached over 11,000 -- a level
that was unimaginable when our fund family was born. And our nation has
experienced an economic expansion that is now the longest on record.
Along the way, the OVB Funds have produced strong results for investors.
And as word of these results has spread, we have welcomed a growing legion of
shareholders. Today, as of July 31, 1999, total assets in our fund family
reached $429 million.
And while we take pride in the progress we have made during this
extraordinary time, we believe that our best years are still to come.
Our reasons for optimism are many.
[bullet] In the short term, inflation remains under control, thanks to
continued diligence by the Federal Reserve Board. Domestic economic
growth also remains healthy. And the global economy appears to have
weathered the worst of last year's declines, and is steadily
recovering.
[bullet] In the long term, we believe that the financial markets will remain
an outstanding resource for those who seek to achieve important
lifetime financial goals. Ours has become a nation of investors, and
we believe that ownership of financial instruments such as The OVB
Funds is now an important and enduring part of the American dream.
[bullet] Above all, we believe that we have assembled a truly outstanding
group of mutual funds, and that our prudent investment approach will
continue to serve our shareholders well.
And so, we enter the year 2000 with pride in our accomplishments, with
hope for the future, and with gratitude toward you, our shareholders. We thank
you for sharing this exciting period with us, and will continue to do all we
can to earn your confidence in the years and decades to come.
/s/ signature omitted
- -----------------------
J. Randy Valentine
Senior Vice President
One Valley Bank
1
<PAGE>
STATEMENT OF NET ASSETS
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Prime Obligations Portfolio
- --------------------------------------------------------------------------------
[pie chart omitted]
Foreign Certificates of Deposit 21.5%
Corporate Obligations 19.2%
Repurchase Agreements 14.7%
Commercial Paper 44.6%
% of Total Portfolio Investments
Pie chart unaudited
- --------------------------------------------------------------------------------
Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 44.6%
Banks -- 3.8%
Government Development Bank of Puerto Rico
5.100%, 08/10/99 $3,000 $ 2,996
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Total Banks 2,996
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Financial Services -- 24.2%
Apreco Inc.
5.130%, 08/27/99 3,000 2,989
Bear Stearns Cos. Inc.
5.125%, 08/09/99 3,000 2,997
Centric Capital Corp.
5.150%, 09/28/99 2,571 2,550
Ciesco LP
5.150%, 08/24/99 2,500 2,492
Countrywide Home Loan
5.150%, 08/04/99 3,000 2,999
Falcon Asset Securitization
5.100%, 08/02/99 3,000 3,000
Greyhawk Funding LLC
5.200%, 08/02/99 1,900 1,900
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Total Financial Services 18,927
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Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
Gas/Natural Gas -- 2.6%
National Fuel Gas Co.
5.120%, 08/03/99 $2,000 $ 1,999
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Total Gas/Natural Gas 1,999
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Household Products -- 7.0%
Cosmair Inc.
5.130%, 08/06/99 3,000 2,998
PPG Industries Inc.
5.200%, 08/02/99 2,500 2,500
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Total Household Products 5,498
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Insurance -- 3.8%
Aon Corp.
5.180%, 08/20/99 3,000 2,992
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Total Insurance 2,992
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Petroleum Refining -- 3.2%
FINA Oil & Chemical
5.200%, 08/02/99 2,500 2,500
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Total Petroleum Refining 2,500
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Total Commercial Paper (Cost $34,912) 34,912
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CORPORATE OBLIGATIONS -- 19.2%
AT&T Corp. (A)
5.270%, 07/13/00 2,000 1,999
Corporate Asset (A)
5.310%, 04/07/00 2,000 2,000
General Electric Capital (A)
4.945%, 05/03/00 2,000 2,000
Monumental Life Insurance (A) (B)
5.100%, 08/01/99 3,000 3,000
National Rural Utilities MTN (A)
5.177%, 06/26/00 2,500 2,499
Travelers Insurance Co. (A) (B)
5.129%, 09/01/99 2,000 2,000
UNUM Corp. MTN (A)
5.135%, 06/19/00 1,000 999
Wachovia Corp.
7.000%, 12/15/99 500 503
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Total Corporate Obligations (Cost $15,000) 15,000
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2
<PAGE>
[LOGO]
July 31, 1999 (Unaudited)
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PRIME OBLIGATIONS PORTFOLIO (CONCLUDED)
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- --------------------------------------------------------------------------------
Face Amount Value
Description (000) (000)
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FOREIGN CERTIFICATES OF DEPOSIT -- 21.4%
Bank Austria AG
5.685%, 08/03/99 $1,800 $ 1,800
Bank of Scotland
5.725%, 07/03/00 2,500 2,499
Bayerische Veriensbank NY (A)
5.100%, 05/15/00 2,500 2,499
National Bank of Canada
5.170%, 04/10/00 2,000 1,999
Royal Bank of Canada
5.120%, 03/21/00 2,000 1,999
Societe Generale NY
4.980%, 02/01/00 2,000 1,999
Toronto Dominion Holding USA
5.270%, 03/02/00 2,000 2,001
UBS-NY
5.250%, 03/10/00 2,000 1,999
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Total Foreign Certificates of Deposit
(Cost $16,795) 16,795
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REPURCHASE AGREEMENTS -- 14.7%
JP Morgan
5.125%, dated 07/30/99, matures
08/02/99, repurchase price
$11,204,788 (collateralized
by Government National Mortgage
Association: total market
value $11,424,000) 11,200 11,200
Lehman Brothers
5.100%, dated 07/30/99,
matures 08/02/99,
repurchase price of
$300,128 (collateralized
by U.S. Government
Obligation: total market
value $309,599) 300 300
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Total Repurchase Agreements (Cost $11,500) 11,500
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Total Investments-- 99.9% (Cost $78,207) 78,207
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OTHER ASSETS AND LIABILITIES, -- 0.1%
Other Assets and Liabilities, Net 79
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Value
Description (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
65,816,237 outstanding shares
of beneficial interest $65,816
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
12,467,855 outstanding shares
of beneficial interest 12,468
Distributions in excess of net
investment income (1)
Accumulated net realized gain
on investments 3
- --------------------------------------------------------------------------------
Total Net Assets -- 100.0% $78,286
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $1.00
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $1.00
- --------------------------------------------------------------------------------
(A) Variable Rate Security. The rate reported on the Statement of Net Assets is
the rate in effect on July 31, 1999. The date shown is the next scheduled
reset date.
(B) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transitions exempt from
registration normally to qualified institutional investors.
MTN -- Medium Term Note
The accompanying notes are an integral part of the financial statements.
3
<PAGE>
STATEMENT OF NET ASSETS
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West Virginia Tax-Exempt Income Portfolio
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[pie chart omitted]
Municipal Bonds 99.7%
Cash Equivalent 0.3%
% of Total Portfolio Investments
Pie chart unaudited
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Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.7%
West Virginia -- 98.7%
Beckley, Industrial Development Authority,
Beckley Water Project, RB
7.000%, 10/01/17 $1,000 $ 1,066
Beckley, Nursing Facility, Health Care Project,
Series A, RB
6.000%, 09/01/12 310 313
Beckley, Sewage System Refunding Bond,
Series A, RB
6.750%, 10/01/25 400 410
Berkeley County, Board of Education, GO,
BIG, Escrowed to Maturity
7.375%, 04/01/03 425 469
Berkeley County, Sewer System Refunding
Bond, RB, MBIA
5.625%, 10/01/19 895 920
Cabell County, Board of Education, GO, MBIA,
Escrowed to Maturity
6.600%, 05/01/04 1,000 1,094
Cabell, Putnam & Wayne Counties, Single Family
Mortgage, RB, FGIC, Escrowed to Maturity
7.375%, 04/01/10 250 280
7.375%, 04/01/11 440 525
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Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
Charles Town, Waterworks & Sewer System,
RB, FSA
5.250%, 10/01/18 $ 500 $ 484
Charleston, Building Community Parking Facility,
Capital Appreciation, Series A, RB
7.000%, 06/01/16 580 580
Charleston, Building Community Parking Facility,
Capital Appreciation, Subseries C, RB
6.000%, 12/01/10 290 297
Charleston, Building Community Parking Facility,
Capital Appreciation, Subseries C, RB
5.790%, 12/01/15 385 152
5.780%, 12/01/16 380 142
6.350%, 12/01/26 1,000 181
Charleston, Civic Center, RB
5.100%, 09/01/23 250 232
Charleston, Urban Renewal Authority, RB, FSA
5.250%, 12/15/18 1,000 970
Clarksburg, Water Refunding &
Improvements, RB
6.100%, 09/01/04 450 481
6.200%, 09/01/05 500 534
6.250%, 09/01/19 430 448
Fairmont, Waterworks, RB
5.250%, 07/01/22 1,500 1,459
Fairmont, Waterworks, RB, MBIA
5.375%, 07/01/13 680 684
Greenbrier County, Public Service, District Sewer
Project, RB, MBIA
5.600%, 10/01/11 175 182
Harrison County, Board of Education, GO, FGIC,
Escrowed to Maturity
6.200%, 05/01/04 850 915
6.400%, 05/01/07 175 194
Harrison County, Building Commission, Health
Care-Maplewood Retirement, RB, AMBAC
5.150%, 04/01/18 1,000 955
Harrison County, Solid Waste Disposal,
Monongahela Power Company, Series A,
RB, MBIA
6.875%, 04/15/22 2,150 2,295
Harrison County, Solid Waste Disposal, Potomac
Edison Project, Series B, RB, AMBAC
6.250%, 05/01/23 400 419
Harrison County, Solid Waste Disposal, RB, MBIA
6.300%, 05/01/23 200 211
Harrison County, Solid Waste Disposal, West Penn
Power Harrison Project, Series B, RB, AMT
6.300%, 05/01/23 500 526
4
<PAGE>
[LOGO]
July 31, 1999 (Unaudited)
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WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
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- --------------------------------------------------------------------------------
Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
Harrison County, Special Obligation Bonds,
Series A, Escrowed to Maturity
6.250%, 05/15/10 $ 100 $ 107
Huntington, Sewer System Refunding,
RB, FSA
5.375%, 11/01/23 1,000 977
Jefferson County, Public Service, District Sewer
Project, Series A, RB
5.125%, 10/01/18 215 205
Kanawha & Putnam Counties, Huntington/
Charleston, Single Family Mortgage, Series A,
RB, Escrowed to Maturity
5.540%, 12/01/16 2,000 785
Kanawha County, Building Commission,
Charleston Area Medical Center Project,
Series A, RB, AMBAC
7.500%, 11/01/08 1,000 1,030
Kanawha County, Residential Mortgage, RB,
FGIC, Escrowed to Maturity
7.375%, 09/01/11 285 333
Kanawha County, Single Family Mortgage, RB,
FGIC, Escrowed to Maturity
7.100%, 12/01/99 15 15
7.300%, 12/01/04 805 889
7.400%, 12/01/10 185 212
Logan County, Health Care Center Project, RB,
Escrowed to Maturity
8.000%, 12/01/16 690 856
Marion County, Single Family Mortgage, RB,
FGIC, Escrowed to Maturity
7.100%, 08/01/99 135 135
7.375%, 08/01/11 495 574
Marshall County, Pollution Control, Ohio Power
Project, Series B, RB, MBIA
5.450%, 07/01/14 900 908
Marshall County, Pollution Control, Ohio Power
Project, Series C, RB, MBIA
6.850%, 06/01/22 1,000 1,076
Mason County, Pollution Control, Ohio Power
Project, Series B, RB, AMBAC
5.450%, 12/01/16 720 721
Mason County, Single Family Mortgage, RB, FGIC
7.400%, 08/01/11 608 684
Monongalia County, Board of Education, Series A,
GO, MBIA
7.000%, 04/01/03 1,000 1,090
Monongalia County, Community Building,
Series A, RB
5.750%, 11/15/14 175 171
6.000%, 11/15/27 300 295
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Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
Monongalia County, Single Family Mortgage,
RB, Escrowed to Maturity
7.200%, 03/01/11 $1,280 $ 1,416
Morgantown, Building Commission, Municipal
Lease, RB, MBIA
5.750%, 01/01/19 250 258
Ohio County, Board of Education, GO, MBIA,
Escrowed to Maturity
5.250%, 06/01/16 1,070 1,070
5.250%, 06/01/17 830 834
Ohio County, Single Family Residence Mortgage,
RB, Escrowed to Maturity
5.200%, 05/01/11 100 101
Parkersburg, Waterworks & Sewer System Project,
RB, FSA
5.800%, 09/01/19 2,660 2,770
Pea Ridge, Public Service, District Sewer Project,
Series 1994, RB, AMBAC
7.000%, 05/01/20 10 11
Pleasants County, Pollution Control, Potomac
Edison Project, RB, AMBAC
6.150%, 05/01/15 500 534
Pleasants County, Pollution Control, West Penn
Power, RB, AMBAC
6.150%, 05/01/15 500 534
South Charleston, Herbert J. Thomas Memorial
Hospital Project, Series A, RB, MBIA
5.500%, 10/01/09 520 529
Webster County, Multifamily Housing, Circlebrook
Project, Series A, RB, FHA
6.500%, 04/01/18 1,010 1,060
West Virginia State College, RB, AMBAC
6.000%, 04/01/06 225 238
6.000%, 04/01/07 425 449
6.000%, 04/01/12 890 945
West Virginia State University, Dorm Project,
Series B, RB, AMBAC
5.000%, 05/01/22 400 371
West Virginia State University, Marshall Library
Project, RB, AMBAC
5.750%, 04/01/16 1,000 1,035
West Virginia State University, University Project,
Series A, RB, MBIA
5.250%, 04/01/28 1,000 969
West Virginia State University, RB, AMBAC
6.000%, 04/01/07 400 423
6.000%, 04/01/12 700 743
(continued)
5
<PAGE>
STATEMENT OF NET ASSETS
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WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
West Virginia State, Board of Directors, State
College, Series A, RB, AMBAC
5.125%, 04/01/27 $ 300 $ 280
West Virginia State, Board of Regents, RB, MBIA
5.900%, 04/01/04 290 303
West Virginia State, Board of Regents, RB, MBIA,
Escrowed to Maturity
6.000%, 04/01/04 175 180
West Virginia State, Building Commission,
Series A, RB, AMBAC
5.375%, 07/01/18 1,000 996
5.375%, 07/01/21 1,000 992
West Virginia State, Building Commission,
Series A, RB, MBIA
5.250%, 07/01/09 1,500 1,547
West Virginia State, Building Commission,
Series B, RB, AMBAC
5.000%, 07/01/21 1,595 1,507
West Virginia State, Economic Development &
Tourism Authority, RB, FGIC
4.800%, 05/15/00 340 343
West Virginia State, Economic Development &
Tourism Authority, RB, FGIC
5.800%, 05/15/13 140 146
West Virginia State, Economic Development &
Tourism Authority, RB, FGIC
4.950%, 05/15/07 500 343
West Virginia State, Economic Development &
Tourism Authority, RB, FGIC, Escrowed
to Maturity
4.550%, 07/01/03 250 210
West Virginia State, Highway Improvements,
GO, FGIC
5.000%, 06/01/17 1,500 1,427
West Virginia State, Hospital Finance Authority
RB, AMBAC
5.000%, 06/01/22 500 461
West Virginia State, Hospital Finance Authority
RB, FSA
5.000%, 08/01/09 500 502
West Virginia State, Hospital Finance Authority,
Charleston Area Medical Center Project,
Series A, RB
6.500%, 09/01/16 875 925
West Virginia State, Hospital Finance Authority,
Linked Bears and Bulls, RB, MBIA
6.100%, 01/01/18 1,300 1,354
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Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
West Virginia State, Hospital Finance Authority,
University Medical Center Project, RB, MBIA
5.900%, 01/01/06 $ 680 $ 710
West Virginia State, Housing Development Fund,
HUD Section 236, RB
6.000%, 12/15/08 600 605
6.000%, 12/15/09 600 605
West Virginia State, Housing Development Fund,
Series A, RB
4.550%, 05/01/01 100 101
6.700%, 11/01/09 285 296
5.450%, 11/01/21 95 94
West Virginia State, Housing Development Fund,
Series A, RB, AMBAC
5.500%, 11/01/11 530 533
West Virginia State, Housing Development Fund,
Series E, RB
6.250%, 11/01/12 1,000 1,031
6.350%, 05/01/24 1,375 1,411
West Virginia State, School Building Authority,
Capital Improvements, RB, MBIA
6.250%, 07/01/01 500 519
West Virginia State, School Building Authority,
Capital Improvements, Series B, RB, MBIA
5.750%, 07/01/15 1,000 1,019
West Virginia State, School Building Authority,
Series A, RB, MBIA, Pre-refunded @ 102 (A)
7.000%, 07/01/01 210 225
West Virginia State, School Building Authority,
Series B, RB, FSA
5.125%, 07/01/13 100 99
West Virginia State, Series A, GO, FGIC
5.000%, 11/01/21 1,500 1,387
5.750%, 11/01/21 2,340 2,378
5.200%, 11/01/26 4,000 3,785
5.250%, 11/01/26 3,820 3,634
West Virginia State, Series D, GO, FGIC
5.000%, 11/01/21 2,500 2,313
5.250%, 11/01/23 200 191
6.500%, 11/01/26 1,000 1,118
West Virginia State, State Road, GO
5.250%, 06/01/15 1,000 994
West Virginia State, Water Development
Authority, Loan Program II, Series A, RB,
Pre-refunded @ 102 (A)
7.700%, 11/01/00 500 533
7.300%, 11/01/01 475 516
6
<PAGE>
[LOGO]
July 31, 1999 (Unaudited)
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West Virginia Tax-Exempt Income Portfolio (continued)
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Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
West Virginia State, Water Development Authority,
Loan Program II, Series A, RB, FSA
7.000%, 11/01/11 $ 800 $ 854
West Virginia State, Water Development
Authority, Loan Program II,
Series A, RB, AMBAC
5.500%, 11/01/18 1,000 996
West Virginia State, Water Development
Authority, Loan Program II,
Series A-II, RB, FSA
6.050%, 11/01/13 915 926
5.500%, 11/01/23 625 626
5.750%, 11/01/29 150 154
West Virginia State, Water Development
Authority, Loan Program II,
Series B, RB, FSA
5.375%, 11/01/25 785 765
5.375%, 11/01/25 955 931
5.250%, 11/01/35 1,660 1,577
West Virginia State, Water Development
Authority, Loan Program,
Series A, RB, FSA
7.000%, 11/01/25 190 202
West Virginia State, Water Development
Authority, Loan Program,
Series A-I, RB, FSA
5.800%, 11/01/12 425 430
5.250%, 11/01/21 795 767
West Virginia State, Water Development
Authority, Sewer System Loan Program,
RB, Escrowed to Maturity
7.100%, 11/01/09 1,275 1,410
Wheeling, Waterworks & Sewage System,
Series B, RB, FGIC, Pre-refunded @ 100 (A)
6.450%, 06/01/02 1,000 1,060
6.650%, 06/02/02 1,100 1,172
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Total West Virginia 90,254
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Total Municipal Bonds (Cost $88,866) 90,254
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CASH EQUIVALENT -- 0.2%
SEI Tax Exempt Trust, Tax Free Portfolio 232 232
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Total Cash Equivalent (Cost $232) 232
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Total Investments -- 98.9% (Cost $89,098) 90,486
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OTHER ASSETS AND LIABILITIES, -- 1.1%
Other Assets and Liabilities, Net 967
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
Description (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited authorization --
no par value) based on 8,196,417 outstanding shares of
beneficial interest $78,375
Portfolio Shares of Class B (unlimited authorization --
no par value) based on 1,122,112 outstanding shares of
beneficial interest 11,197
Accumulated net realized gain on investments 493
Net unrealized appreciation on investments 1,388
- --------------------------------------------------------------------------------
Total Net Assets -- 100.0% $91,453
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $9.81
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $9.81
- --------------------------------------------------------------------------------
(A) -- Pre-refunded security. The pre-refunded date is shown as the maturity
date on the Statement of Net Assets.
AMBAC -- American Municipal Bond Assurance Corporation
AMT -- Alternative Minimum Tax
BIG -- Bond Investors Guaranty
FGIC -- Financial Guaranty Insurance Company
FHA -- Federal Housing Authority
FSA -- Federal Security Assurance
GO -- General Obligation
HUD -- Department of Housing and Urban Development
MBIA -- Municipal Bond Insurance Association
RB -- Revenue Bond
The accompanying notes are an integral part of the financial statements.
7
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
Government Securities Portfolio
- --------------------------------------------------------------------------------
[pie chart omitted]
Repurchase Agreement 1.6%
Preferred Stocks 3.0%
U.S. Government Agency Obligations 53.4%
U.S. Treasury Obligations 27.0%
Municipal Bonds 10.6%
Corporate Obligations 4.4%
% of Total Portfolio Investments
Pie chart unaudited
- --------------------------------------------------------------------------------
Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 26.7%
U.S. Treasury Bonds
8.375%, 08/15/08 $ 550 $ 594
8.750%, 11/15/08 300 329
7.250%, 05/15/16 1,000 1,089
7.500%, 11/15/24 500 574
6.000%, 02/15/26 1,000 962
6.125%, 11/15/27 500 490
U.S. Treasury Notes
8.000%, 05/15/01 631 656
7.500%, 11/15/01 1,500 1,557
6.250%, 01/31/02 500 506
6.000%, 07/31/02 2,000 2,012
7.875%, 11/15/04 500 542
7.625%, 02/15/07 1,000 1,036
5.625%, 05/15/08 500 485
U.S. Treasury STRIPS
6.170%, 02/15/07 1,000 633
6.390%, 05/15/11 1,000 476
6.440%, 11/15/20 1,400 363
13.380%, 02/15/21 3,000 765
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Total U.S. Treasury Obligations (Cost $13,231) 13,069
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- --------------------------------------------------------------------------------
Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 52.8%
FFCB MTN
5.690%, 03/03/00 $ 2,000 $ 2,002
6.150%, 03/03/03 1,000 997
8.400%, 12/01/05 1,500 1,651
6.900%, 09/08/15 600 604
FHLB
7.780%, 10/19/01 500 518
8.090%, 12/28/04 400 430
8.125%, 03/07/05 1,000 1,010
6.500%, 09/18/13 500 465
FHLB MTN
6.880%, 04/26/00 500 505
5.990%, 10/01/03 500 492
7.030%, 05/06/11 500 510
FHLMC
6.900%, 04/04/03 500 502
8.640%, 10/14/09 400 402
7.500%, 11/01/09 784 796
8.060%, 03/24/10 500 506
6.500%, 11/01/12 1,589 1,554
Financing Corporation
8.600%, 09/26/19 500 591
FNMA, Callable 10/24/00 @ 100
6.400%, 10/24/02 500 501
FNMA
8.250%, 10/12/04 500 503
6.240%, 01/14/08 1,000 955
FNMA MTN
6.250%, 03/10/03 500 498
FNMA STRIPS
7.790%, 07/24/05 1,000 679
Housing Urban Development 92a Scranton,
Callable 08/01/02 @ 100
7.800%, 08/01/10 400 413
Housing Urban Development 94a Abilene,
Callable 08/01/03 @ 100
7.180%, 08/01/13 160 162
Housing Urban Development 94a Barberton,
Callable 08/01/03 @ 100
7.180%, 08/01/13 520 527
Housing Urban Development 94a Egg Harbor,
Callable 08/01/03 @ 100
6.930%, 08/01/08 160 162
7.180%, 08/01/13 220 223
Housing Urban Development 94a Ocean Shores,
Callable 08/01/03 @ 100
6.930%, 08/01/08 225 226
8
<PAGE>
[LOGO]
July 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Government Securities Portfolio
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS (CONTINUED)
Housing Urban Development 94a Pohatcong
Township, Callable 08/01/03 @ 100
6.930%, 08/01/08 $ 240 $ 239
Housing Urban Development 94a Providence,
Callable 08/01/03 @ 100
6.930%, 08/01/08 130 131
Housing Urban Development 94a Roanoke,
Callable 08/01/03 @ 100
7.180%, 08/01/13 100 102
Housing Urban Development 94a Tacoma,
Callable 08/01/03 @ 100
7.080%, 08/01/11 365 366
Housing Urban Development 94a-I Montgomery,
Callable 08/01/03 @ 100
6.930%, 08/01/08 55 55
Housing Urban Development 99a,
Callable 08/01/08 @ 100
6.330%, 08/01/13 1,000 962
Private Export Funding
7.300%, 01/31/02 2,100 2,153
6.240%, 05/15/02 250 250
7.950%, 11/01/06 1,500 1,609
Small Business Administration (A)
8.875%, 08/01/99 1,000 1,098
Tennessee Valley Authority
9.410%, 10/15/09 1,000 506
- --------------------------------------------------------------------------------
Total U.S. Government Agency Obligations
(Cost $25,653) 25,855
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 10.5%
Berkeley County, WV, IRS Computer Center
Facility Project, Taxable RB, Series 1994, LOC
7.900%, 07/15/03 640 665
Clayton, MO, Capital Improvements, Taxable RB,
Series B, AMBAC, Callable 12/01/07 @ 100
7.000%, 12/01/16 1,000 956
Fairview, MN, Hospital & Health Care Services,
Taxable RB, Series B, MBIA
7.000%, 11/15/15 670 653
Gardena, CA Financing Agency, Taxable RB,
Pre-refunded @ 102 (A)
9.250%, 07/01/03 200 221
Henry County, GA, Water & Sewer Authority,
Taxable RB, Series B, AMBAC
6.000%, 02/01/04 250 243
6.000%, 02/01/05 220 211
6.700%, 02/01/11 200 193
- --------------------------------------------------------------------------------
Share/Face Value
Description Amount(000) (000)
- --------------------------------------------------------------------------------
Las Vegas, NV, Fremont Street Project,
Taxable GO, FGIC, Callable
07/01/03 @ 101
7.200%, 07/01/15 $ 800 $ 794
Portsmouth, VA, Taxable GO, Callable
07/15/07@102
6.630%, 07/15/14 500 469
Saint Paul, MN, Taxable GO, Series B,
Callable 02/01/08 @ 100
6.450%, 02/01/15 500 463
San Bernardino County, CA, COP,
Taxable RB, Pre-refunded @ 102 (A)
8.500%, 03/01/04 275 298
- --------------------------------------------------------------------------------
Total Municipal Bonds (Cost $5,290) 5,166
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 4.4%
American Heavy Lift Title XI
7.180%, 06/01/17 200 206
BellSouth Telecom, Callable
05/15/05 @ 103.66
7.625%, 05/15/35 500 489
General Electric Capital MTN
6.020%, 12/15/03 500 489
Salomon Smith Barney
6.250%, 01/15/05 1,000 951
- --------------------------------------------------------------------------------
Total Corporate Obligations (Cost $2,224) 2,135
- --------------------------------------------------------------------------------
PREFERRED STOCKS -- 3.0%
Duke Capital Financing 20,000 480
Public Service of Colorado Capital 20,000 480
Transcanada Pipeline 20,000 490
- --------------------------------------------------------------------------------
Total Preferred Stocks (Cost $1,500) 1,450
- --------------------------------------------------------------------------------
(continued)
9
<PAGE>
Statement of Net Assets
- --------------------------------------------------------------------------------
Government Securities Portfolio (concluded)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Face Amount Value
Description (000) (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.5%
Morgan Stanley
4.500%, dated 07/30/99, matures 08/02/99
repurchase price $757,284 (collateralized by
U.S. Treasury Note: total market value $777,476) $ 757 $ 757
- --------------------------------------------------------------------------------
Total Repurchase Agreement (Cost $757) 757
- --------------------------------------------------------------------------------
Total Investments -- 98.9% (Cost $48,655) 48,432
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, -- 1.1%
Other Assets and Liabilities, Net 534
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited authorization --
no par value) based on 4,896,071 outstanding
shares of beneficial interest 47,104
Portfolio Shares of Class B (unlimited authorization --
no par value) based on 192,910 outstanding
shares of beneficial interest 1,916
Undistributed net investment income 29
Accumulated net realized gain on investments 140
Net unrealized depreciation on investments (223)
- --------------------------------------------------------------------------------
Total Net Assets -- 100.0% $48,966
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $9.62
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $9.63
- --------------------------------------------------------------------------------
(A) Pre-refunded security. The pre-refunded date is shown as the maturity date
on the Statement of Net Assets.
AMBAC -- American Municipal Bond Assurance Corporation
COP -- Certificate of Participation
FFCB -- Federal Farm Credit Bank
FGIC -- Financial Guaranty Insurance Corporation
FHLB -- Federal Home Loan Bank
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
GO -- General Obligation
LOC -- Letter of Credit
MBIA -- Municipal Bond Insurance Association
MTN -- Medium Term Note
RB -- Revenue Bond
STRIPS -- Separately Traded Registered Interest and Principal Securities
The accompanying notes are an integral part of the financial statements.
10
<PAGE>
[LOGO}
July 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Capital Appreciation Portfolio
- --------------------------------------------------------------------------------
[pie chart omitted]
Common Stocks 96.5%
Repurchase Agreement 2.4%
Mutual Fund 1.1%
% of Total Portfolio Investments
Pie chart unaudited
- --------------------------------------------------------------------------------
Value
Description Shares (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 96.4%
Broadcasting, Newspapers and
Advertising -- 2.2%
Cablevision Systems, Cl A* 21,600 $ 1,508
Fox Entertainment Group, Cl A* 60,000 1,492
- --------------------------------------------------------------------------------
Total Broadcasting, Newspapers and Advertising 3,000
- --------------------------------------------------------------------------------
Communications Equipment -- 9.7%
Broadcom, Cl A* 18,000 2,169
General Instrument* 51,600 2,341
Lucent Technologies 88,200 5,739
Motorola 16,700 1,524
Nokia, ADR 18,800 1,599
- --------------------------------------------------------------------------------
Total Communications Equipment 13,372
- --------------------------------------------------------------------------------
Computer Networking Products -- 3.9%
Cisco Systems* 87,000 5,405
- --------------------------------------------------------------------------------
Total Computer Networking Products 5,405
- --------------------------------------------------------------------------------
Computer Software -- 3.3%
Microsoft* 53,200 4,565
- --------------------------------------------------------------------------------
Total Computer Software 4,565
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
Description Shares (000)
- --------------------------------------------------------------------------------
Computers & Services -- 10.5%
America Online* 61,000 $ 5,803
Computer Sciences* 25,000 1,609
EMC** 31,000 1,877
International Business Machines 22,400 2,815
Safeguard Scientifics* 20,700 1,325
Sun Microsystems* 16,000 1,086
- --------------------------------------------------------------------------------
Total Computers & Services 14,515
- --------------------------------------------------------------------------------
Conglomerates -- 8.6%
General Electric 50,000 5,450
Tyco International 65,400 6,389
- --------------------------------------------------------------------------------
Total Conglomerates 11,839
- --------------------------------------------------------------------------------
Drugs -- 7.5%
Amgen* 30,800 2,368
Biogen* 40,000 2,752
Merck 44,800 3,032
Pfizer 64,800 2,199
- --------------------------------------------------------------------------------
Total Drugs 10,351
- --------------------------------------------------------------------------------
Entertainment -- 1.5%
Time Warner 28,800 2,074
- --------------------------------------------------------------------------------
Total Entertainment 2,074
- --------------------------------------------------------------------------------
Financial Services -- 6.1%
American Express 15,200 2,003
Charles Schwab 81,000 3,569
Freddie Mac 27,000 1,549
Morgan Stanley Dean Witter 15,000 1,352
- --------------------------------------------------------------------------------
Total Financial Services 8,473
- --------------------------------------------------------------------------------
Household Products -- 4.1%
Clorox 34,800 3,898
Colgate-Palmolive 37,000 1,827
- --------------------------------------------------------------------------------
Total Household Products 5,725
- --------------------------------------------------------------------------------
(continued)
11
<PAGE>
Statement of Net Assets
- --------------------------------------------------------------------------------
Capital Appreciation Portfolio (concluded)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
Description Shares (000)
- --------------------------------------------------------------------------------
Insurance -- 6.7%
AIG 46,200 $ 5,365
Marsh & McLennan 51,000 3,876
- --------------------------------------------------------------------------------
Total Insurance 9,241
- --------------------------------------------------------------------------------
Measuring Devices -- 1.0%
PE Corp-PE Biosystems 24,400 1,368
- --------------------------------------------------------------------------------
Total Measuring Devices 1,368
- --------------------------------------------------------------------------------
Medical Product & Service -- 0.7%
Johnson & Johnson 10,800 995
- --------------------------------------------------------------------------------
Total Medical Product & Service 995
- --------------------------------------------------------------------------------
Retail -- 14.9%
Best Buy* 17,500 1,306
Circuit City Stores 23,800 1,125
CVS 78,700 3,915
Dayton-Hudson 15,600 1,009
Gap 22,650 1,059
Home Depot 38,900 2,482
Lowe's Companies 39,200 2,068
Safeway* 29,500 1,589
TJX 30,000 992
Wal-mart Stores 62,000 2,620
Walgreen 83,000 2,350
- --------------------------------------------------------------------------------
Total Retail 20,515
- --------------------------------------------------------------------------------
Semi-Conductors/Instruments -- 4.9%
Applied Materials* 20,700 1,489
Intel 23,200 1,601
Teradyne* 14,000 1,044
Texas Instruments 18,000 2,592
- --------------------------------------------------------------------------------
Total Semi-Conductors/Instruments 6,726
- --------------------------------------------------------------------------------
Telephones & Telecommunication -- 10.8%
AT&T 15,000 779
Ameritech 25,000 1,831
Bell Atlantic 46,000 2,933
MCI WorldCom** 25,000 2,063
Mediaone Group* 38,000 2,750
Nextel Communications, Cl A* 27,000 1,446
Sprint 31,000 1,602
Vodafone Airtouch, ADR 7,000 1,474
- --------------------------------------------------------------------------------
Total Telephones & Telecommunication 14,878
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Share/Face Value
Description Amount(000) (000)
- --------------------------------------------------------------------------------
Total Common Stocks (Cost $73,702) $133,042
- --------------------------------------------------------------------------------
MUTUAL FUND -- 1.1%
The AMEX Energy Select Sector SPDR Fund 51,700 1,469
- --------------------------------------------------------------------------------
Total Mutual Fund (Cost $1,502) 1,469
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.4%
JP Morgan
5.075%, dated 07/30/99, matures 08/02/99,
repurchase price $3,319,403 (collateralized
by Government National Mortgage
Association: total market value $3,403,163) $3,318 3,318
- --------------------------------------------------------------------------------
Total Repurchase Agreement (Cost $3,318) 3,318
- --------------------------------------------------------------------------------
Total Investments -- 99.9% (Cost $78,522) 137,829
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, -- 0.1%
Other Assets and Liabilities, Net 116
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited authorization --
no par value) based on 7,030,659 outstanding
shares of beneficial interest 57,182
Portfolio Shares of Class B (unlimited authorization --
no par value) based on 624,557 outstanding
shares of beneficial interest 6,148
Accumulated net investment loss (357)
Accumulated net realized gain on investments 15,665
Net unrealized appreciation on investments 59,307
- --------------------------------------------------------------------------------
Total Net Assets -- 100.0% $137,945
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $18.05
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $17.73
- --------------------------------------------------------------------------------
* Non-income producing security
** Irregular-income producing security
ADR -- American Depository Receipt
Cl -- Class
The accompanying notes are an integral part of the financial statements.
12
<PAGE>
[LOGO]
July 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Equity Income Portfolio
- --------------------------------------------------------------------------------
[pie chart omitted]
Repurchase Agreement 2.1%
Preferred Stocks 3.5%
Common Stocks 93.8%
Convertible Bonds 0.6%
% of Total Portfolio Investments
Pie chart unaudited
- --------------------------------------------------------------------------------
Value
Description Shares (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 93.9%
Aerospace & Defense -- 1.9%
Lockheed Martin 40,000 $ 1,392
- --------------------------------------------------------------------------------
Total Aerospace & Defense 1,392
- --------------------------------------------------------------------------------
Automotive -- 1.3%
Ford Motor 20,000 972
- --------------------------------------------------------------------------------
Total Automotive 972
- --------------------------------------------------------------------------------
Banks -- 2.9%
Compass Bancshares 45,000 1,297
Wachovia 10,000 781
- --------------------------------------------------------------------------------
Total Banks 2,078
- --------------------------------------------------------------------------------
Broadcasting, Newspapers and Advertising -- 3.5%
Cablevision Systems, Cl A* 5,000 349
Comcast, Cl A 11,000 423
TCA Cable TV 30,000 1,759
- --------------------------------------------------------------------------------
Total Broadcasting, Newspapers and Advertising 2,531
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
Description Shares (000)
- --------------------------------------------------------------------------------
Chemicals -- 2.8%
B.F. Goodrich 25,000 $ 1,037
E.I. Du Pont de Nemours 14,000 1,009
- --------------------------------------------------------------------------------
Total Chemicals 2,046
- --------------------------------------------------------------------------------
Communications Equipment-- 2.7%
Lucent Technologies 30,000 1,952
- --------------------------------------------------------------------------------
Total Communications Equipment 1,952
- --------------------------------------------------------------------------------
Computer Networking Products -- 0.7%
3Com* 20,000 483
- --------------------------------------------------------------------------------
Total Computer Networking Products 483
- --------------------------------------------------------------------------------
Computers & Services -- 4.2%
International Business Machines 24,000 3,016
- --------------------------------------------------------------------------------
Total Computers & Services 3,016
- --------------------------------------------------------------------------------
Conglomerates -- 3.1%
General Electric 20,200 2,202
- --------------------------------------------------------------------------------
Total Conglomerates 2,202
- --------------------------------------------------------------------------------
Cosmetics, Soaps & Toiletries -- 1.3%
Procter & Gamble 10,000 905
- --------------------------------------------------------------------------------
Total Cosmetics, Soaps & Toiletries 905
- --------------------------------------------------------------------------------
Drugs -- 4.5%
Bristol-Myers Squibb 24,000 1,596
Merck 24,000 1,624
- --------------------------------------------------------------------------------
Total Drugs 3,220
- --------------------------------------------------------------------------------
Electrical Utilities -- 6.2%
Allegheny Energy 40,000 1,350
Montana Power 30,000 2,031
Southern 40,000 1,057
- --------------------------------------------------------------------------------
Total Electrical Utilities 4,438
- --------------------------------------------------------------------------------
Entertainment -- 1.2%
Walt Disney 30,000 829
- --------------------------------------------------------------------------------
Total Entertainment 829
- --------------------------------------------------------------------------------
(continued)
13
<PAGE>
Statement of Net Assets
- --------------------------------------------------------------------------------
Equity Income Portfolio
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
Description Shares (000)
- --------------------------------------------------------------------------------
Financial Services -- 4.4%
A.G. Edwards & Sons 30,000 $ 829
American Express 18,000 2,371
- --------------------------------------------------------------------------------
Total Financial Services 3,200
- --------------------------------------------------------------------------------
Food, Beverage & Tobacco-- 3.6%
General Mills 7,200 596
H.J. Heinz 20,600 971
Quaker Oats 15,000 1,021
- --------------------------------------------------------------------------------
Total Food, Beverage & Tobacco 2,588
- --------------------------------------------------------------------------------
Forestry -- 1.7%
Rayonier 26,500 1,260
- --------------------------------------------------------------------------------
Total Forestry 1,260
- --------------------------------------------------------------------------------
Gas/Natural Gas -- 3.2%
Columbia Energy 10,000 595
Williams Company 40,000 1,682
- --------------------------------------------------------------------------------
Total Gas/Natural Gas 2,277
- --------------------------------------------------------------------------------
Insurance -- 5.5%
Allstate 20,000 710
Jefferson Pilot 28,500 2,082
Marsh & McLennan 15,000 1,140
- --------------------------------------------------------------------------------
Total Insurance 3,932
- --------------------------------------------------------------------------------
Machinery -- 4.9%
Lincoln Electric Holdings 60,000 1,136
Parker Hannifin 30,000 1,416
Timken 60,000 990
- --------------------------------------------------------------------------------
Total Machinery 3,542
- --------------------------------------------------------------------------------
Medical Products & Services -- 0.6%
Hillenbrand Industries 10,000 449
- --------------------------------------------------------------------------------
Total Medical Products & Services 449
- --------------------------------------------------------------------------------
Office Equipment -- 1.7%
Xerox 25,000 1,219
- --------------------------------------------------------------------------------
Total Office Equipment 1,219
- --------------------------------------------------------------------------------
Petroleum & Fuel Products-- 4.1%
Kerr-McGee 30,000 1,545
Schlumberger 23,600 1,429
- --------------------------------------------------------------------------------
Total Petroleum & Fuel Products 2,974
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Value
Description Shares (000)
- --------------------------------------------------------------------------------
Petroleum Refining -- 6.1%
Exxon 15,000 $ 1,191
Lyondell Petrochemical 40,000 730
Mobil 15,000 1,534
Texaco 15,000 935
- --------------------------------------------------------------------------------
Total Petroleum Refining 4,390
- --------------------------------------------------------------------------------
Printing & Publishing -- 6.2%
Knight-Ridder 25,800 1,384
McGraw-Hill 44,000 2,238
Tribune 10,000 881
- --------------------------------------------------------------------------------
Total Printing & Publishing 4,503
- --------------------------------------------------------------------------------
Real Estate Investment Trust-- 4.1%
Boykin Lodging 70,000 954
Centerpoint Properties Trust 13,000 465
Duke Realty Investments 24,000 525
Sovran Self Storage 40,000 977
- --------------------------------------------------------------------------------
Total Real Estate Investment Trust 2,921
- --------------------------------------------------------------------------------
Steel & Steel Works -- 1.4%
Worthington Industries 70,000 1,024
- --------------------------------------------------------------------------------
Total Steel & Steel Works 1,024
- --------------------------------------------------------------------------------
Telephones & Telecommunication-- 5.2%
AT&T 29,586 1,537
Alltel 10,000 718
Bell Atlantic 10,000 638
GTE 12,000 884
- --------------------------------------------------------------------------------
Total Telephones & Telecommunication 3,777
- --------------------------------------------------------------------------------
Trucking -- 1.8%
CNF Transportation 30,000 1,275
- --------------------------------------------------------------------------------
Total Trucking 1,275
- --------------------------------------------------------------------------------
Water Utilities -- 3.1%
American States Water 40,000 1,203
Aquarion 30,000 1,050
- --------------------------------------------------------------------------------
Total Water Utilities 2,253
- --------------------------------------------------------------------------------
Total Common Stocks (Cost $50,131) 67,648
- --------------------------------------------------------------------------------
14
<PAGE>
[LOGO]
July 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
Equity Income Portfolio (concluded)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Shares/Face Value
Description Amount(000) (000)
- --------------------------------------------------------------------------------
PREFERRED STOCKS -- 3.5%
Avista Series L 60,000 $ 1,005
MCI 20,000 495
Microsoft 10,000 1,005
- --------------------------------------------------------------------------------
Total Preferred Stocks (Cost $2,468) 2,505
- --------------------------------------------------------------------------------
CONVERTIBLE BOND -- 0.6%
Kerr-McGee
7.500%, 05/15/14 474 466
- --------------------------------------------------------------------------------
Total Convertible Bond (Cost $474) 466
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.1%
JP Morgan
5.075%, dated 07/30/99, matures 08/02/99,
repurchase price $1,481,626 (collateralized
by Government National Mortgage
Association: total market value $1,518,802) $1,481 1,481
- --------------------------------------------------------------------------------
Total Repurchase Agreement (Cost $1,481) 1,481
- --------------------------------------------------------------------------------
Total Investments-- 100.1% (Cost $54,554) 72,100
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- (0.1)%
Other Assets and Liabilities, Net (34)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited authorization --
no par value) based on 4,543,541 outstanding shares
of beneficial interest 48,764
Portfolio Shares of Class B (unlimited authorization --
no par value) based on 399,275 outstanding shares
of beneficial interest 4,637
Accumulated net investment loss (34)
Accumulated net realized gain on investments 1,153
Net unrealized appreciation on investments 17,546
- --------------------------------------------------------------------------------
Total Net Assets -- 100.0% $72,066
- --------------------------------------------------------------------------------
Net Asset Value, Offering and Redemption
Price Per Share -- Class A $14.58
Net Asset Value, Offering and Redemption
Price Per Share -- Class B $14.58
- --------------------------------------------------------------------------------
* Non-income producing security
Cl -- Class
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
<TABLE>
<CAPTION>
Statement of Operations
- ---------------------------------------------------------------------------------------------------------------------------
For the period ended July 31, 1999 (Unaudited)
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATIONS WEST VIRGINIA TAX-EXEMPT
PORTFOLIO INCOME PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest income $2,027 $ 2,772
Dividend income -- --
- ---------------------------------------------------------------------------------------------------------------------------
Total Investment Income 2,027 2,772
- ---------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administrator fees 80 95
Investment advisory fees 100 213
Less: investment advisory fees waived (59) (26)
Sub-advisory fees 30 --
Custodian fees 4 6
Professional fees 5 10
Registration & filing fees 3 3
Printing expenses 5 8
Trustee fees 2 3
Pricing fees 2 4
Distribution fees (1) 10 13
Transfer agent fees 23 36
Amortization of organization costs -- --
Miscellaneous expenses 1 1
- ---------------------------------------------------------------------------------------------------------------------------
Total Expenses 206 366
- ---------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 1,821 2,406
- ---------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments -- 313
Net change in unrealized appreciation
(depreciation) on investments -- (4,597)
- ---------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments -- (4,284)
===========================================================================================================================
Increase (Decrease) in net assets resulting
from operations $1,821 $(1,878)
===========================================================================================================================
</TABLE>
(1) Distribution fees are only incurred on Class B shares.
The accompanying notes are an integral part of the financial statements.
16
<PAGE>
<TABLE>
<CAPTION>
[LOGO]
July 31, 1999
- ------------------------------------------------------------------------------------------------------------------------------------
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES CAPITAL APPRECIATION EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income $ 1,642 $ 153 $ 74
Dividend income 58 367 809
- ------------------------------------------------------------------------------------------------------------------------------------
Total Investment Income 1,700 520 883
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administrator fees 52 151 67
Investment advisory fees 193 718 249
Less: investment advisory fees waived (72) (190) (18)
Sub-advisory fees -- -- --
Custodian fees 4 10 4
Professional fees 6 16 6
Registration & filing fees 2 5 3
Printing expenses 4 12 4
Trustee fees 2 5 2
Pricing fees 2 5 2
Distribution fees (1) 3 19 8
Transfer agent fees 20 37 22
Amortization of organization costs -- -- 2
Miscellaneous expenses 1 2 1
- ------------------------------------------------------------------------------------------------------------------------------------
Total Expenses 217 790 352
- ------------------------------------------------------------------------------------------------------------------------------------
Net Investment Income (Loss) 1,483 (270) 531
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain on investments 43 13,155 561
Net change in unrealized appreciation
(depreciation) on investments (3,017) (10,633) 4,994
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss)
on investments (2,974) 2,522 5,555
====================================================================================================================================
Increase (Decrease) in net assets resulting
from operations $(1,491) $2,252 $6,086
====================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- ---------------------------------------------------------------------------------------------------------------
For the period ended July 31, 1999 (Unaudited) and the year ended January 31, 1999
(In Thousands)
- ---------------------------------------------------------------------------------------------------------------
PRIME OBLIGATIONS
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------
2/1/99 TO 7/31/99 2/1/98 TO 1/31/99
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income $ 1,821 $ 3,170
Net realized gain on investments -- 1
Net change in unrealized appreciation
(depreciation) on investments -- --
- ---------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Investment Operations 1,821 3,171
- ---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A (1,652) (2,846)
Class B (170) (324)
Realized gains:
Class A -- --
Class B -- --
- ---------------------------------------------------------------------------------------------------------------
Total Distributions (1,822) (3,170)
- ---------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 121,513 185,391
Reinvestment of cash distributions -- 241
Cost of shares redeemed (117,160) (176,344)
- ---------------------------------------------------------------------------------------------------------------
Total Class A Transactions 4,353 9,288
- ---------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued 170,319 155,956
Reinvestment of cash distributions 52 150
Cost of shares redeemed (162,039) (158,520)
- ---------------------------------------------------------------------------------------------------------------
Total Class B Transactions 8,332 (2,414)
- ---------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Capital Share Transactions 12,685 6,874
- ---------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 12,684 6,875
- ---------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of year 65,602 58,727
- ---------------------------------------------------------------------------------------------------------------
End of year $ 78,286 $ 65,602
===============================================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 121,513 185,391
Shares issued in lieu of cash distributions -- 241
Shares redeemed (117,160) (176,344)
- ---------------------------------------------------------------------------------------------------------------
Total Class A Share Transactions 4,353 9,288
- ---------------------------------------------------------------------------------------------------------------
Class B:
Shares issued 170,319 155,956
Shares issued in lieu of cash distributions 52 150
Shares redeemed (162,039) (158,520)
- ---------------------------------------------------------------------------------------------------------------
Total Class B Share Transactions 8,332 (2,414)
- ---------------------------------------------------------------------------------------------------------------
Total Share Transactions 12,685 6,874
===============================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
18
<PAGE>
<TABLE>
<CAPTION>
[LOGO]
July 31, 1999
- ------------------------------------------------------------------------------------------------------------------------------------
(In Thousands)
- ------------------------------------------------------------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT GOVERNMENT SECURITIES
INCOME PORTFOLIO PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
2/1/99 TO 7/31/99 2/1/98 TO 1/31/99 2/1/99 TO 7/31/99 2/1/98 TO 1/31/99
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income $ 2,406 $ 4,663 $ 1,483 $ 2,902
Net realized gain on investments 313 564 43 686
Net change in unrealized appreciation
(depreciation) on investments (4,597) (35) (3,017) 183
- ------------------------------------------------------------------------------------------------------------------------------------
Net Increase (Decrease) in Net Assets Resulting
from Investment Operations (1,878) 5,192 (1,491) 3,771
- ------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A (2,145) (4,265) (1,405) (2,798)
Class B (259) (400) (55) (100)
Realized gains:
Class A -- (939) -- (772)
Class B -- (97) -- (32)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Distributions (2,404) (5,701) (1,460) (3,702)
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 2,057 12,367 4,472 9,227
Reinvestment of cash distributions -- 938 -- 772
Cost of shares redeemed (8,041) (7,655) (6,143) (8,553)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Transactions (5,984) 5,650 (1,671) 1,446
- ------------------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued 2,592 2,477 238 942
Reinvestment of cash distributions 180 405 44 107
Cost of shares redeemed (758) (1,019) (371) (506)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class B Transactions 2,014 1,863 (89) 543
- ------------------------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Capital Share Transactions (3,970) 7,513 (1,760) 1,989
- ------------------------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (8,252) 7,004 (4,711) 2,058
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of year 99,705 92,701 53,677 51,619
- ------------------------------------------------------------------------------------------------------------------------------------
End of year $91,453 $99,705 $48,966 $53,677
====================================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 204 1,206 452 908
Shares issued in lieu of cash distributions -- 91 -- 75
Shares redeemed (797) (747) (626) (838)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class A Share Transactions (593) 550 (174) 145
- ------------------------------------------------------------------------------------------------------------------------------------
Class B:
Shares issued 256 242 24 93
Shares issued in lieu of cash distributions 18 39 5 10
Shares redeemed (76) (99) (38) (50)
- ------------------------------------------------------------------------------------------------------------------------------------
Total Class B Share Transactions 198 182 (9) 53
- ------------------------------------------------------------------------------------------------------------------------------------
Total Share Transactions (395) 732 (183) 198
====================================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
<TABLE>
<CAPTION>
Statement of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------
For the period ended July 31, 1999 (Unaudited) and the year ended January 31, 1999
(In Thousands)
- -----------------------------------------------------------------------------------------------------------
CAPITAL APPRECIATION
PORTFOLIO
- -----------------------------------------------------------------------------------------------------------
2/1/99 TO 7/31/99 2/1/98 TO 1/31/99
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss) $ (270) $ (90)
Net realized gain on investments 13,155 10,750
Net change in unrealized appreciation (depreciation)
on investments (10,633) 38,187
- -----------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Investment Operations 2,252 48,847
- -----------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A -- --
Class B -- --
Net realized gains:
Class A -- (12,234)
Class B -- (832)
- -----------------------------------------------------------------------------------------------------------
Total Distributions -- (13,066)
- -----------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 4,220 5,860
Reinvestment of cash distributions -- 12,234
Cost of shares redeemed (17,398) (24,460)
- -----------------------------------------------------------------------------------------------------------
Total Class A Transactions (13,178) (6,366)
- -----------------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued 160,992 140,979
Reinvestment of cash distributions 40 822
Cost of shares redeemed (168,657) (133,789)
- -----------------------------------------------------------------------------------------------------------
Total Class B Transactions (7,625) 8,012
- -----------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Capital Share Transactions (20,803) 1,646
- -----------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets (18,551) 37,427
- -----------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of year 156,496 119,069
- -----------------------------------------------------------------------------------------------------------
End of year $137,945 $156,496
===========================================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 236 374
Shares issued in lieu of cash distributions -- 866
Shares redeemed (955) (1,539)
- -----------------------------------------------------------------------------------------------------------
Total Class A Share Transactions (719) (299)
- -----------------------------------------------------------------------------------------------------------
Class B:
Shares issued 9,036 9,335
Shares issued in lieu of cash distributions 2 59
Shares redeemed (9,428) (8,812)
- -----------------------------------------------------------------------------------------------------------
Total Class B Share Transactions (390) 582
- -----------------------------------------------------------------------------------------------------------
Total Share Transactions (1,109) 283
===========================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
20
<PAGE>
<TABLE>
<CAPTION>
[LOGO]
July 31, 1999
- -------------------------------------------------------------------------------------------------------------------
(In Thousands)
- -------------------------------------------------------------------------------------------------------------------
EQUITY INCOME
PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------
2/1/99 TO 7/31/99 2/1/98 TO 1/31/99
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss) $ 531 $ 1,068
Net realized gain on investments 561 2,415
Net change in unrealized appreciation (depreciation)
on investments 4,994 4,167
- -------------------------------------------------------------------------------------------------------------------
Net Increase in Net Assets Resulting
from Investment Operations 6,086 7,650
- -------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A (491) (992)
Class B (39) (95)
Net realized gains:
Class A -- (2,596)
Class B -- (270)
- -------------------------------------------------------------------------------------------------------------------
Total Distributions (530) (3,953)
- -------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued 13,825 6,541
Reinvestment of cash distributions -- 2,596
Cost of shares redeemed (4,679) (8,554)
- -------------------------------------------------------------------------------------------------------------------
Total Class A Transactions 9,146 583
- -------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued 532 3,150
Reinvestment of cash distributions 35 333
Cost of shares redeemed (1,504) (1,216)
- -------------------------------------------------------------------------------------------------------------------
Total Class B Transactions (937) 2,267
- -------------------------------------------------------------------------------------------------------------------
Increase (Decrease) in Net Assets from
Capital Share Transactions 8,209 2,850
- -------------------------------------------------------------------------------------------------------------------
Total Increase (Decrease) in Net Assets 13,765 6,547
- -------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of year 58,301 51,754
- -------------------------------------------------------------------------------------------------------------------
End of year $72,066 $58,301
===================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued 992 492
Shares issued in lieu of cash distributions -- 205
Shares redeemed (323) (632)
- -------------------------------------------------------------------------------------------------------------------
Total Class A Share Transactions 669 65
- -------------------------------------------------------------------------------------------------------------------
Class B:
Shares issued 37 236
Shares issued in lieu of cash distributions 2 26
Shares redeemed (102) (91)
- -------------------------------------------------------------------------------------------------------------------
Total Class B Share Transactions (63) 171
- -------------------------------------------------------------------------------------------------------------------
Total Share Transactions 606 236
===================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
Financial Highlights
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Period Ended July 31, 1999 (Unaudited)
and Years Ended January 31,
<TABLE>
<CAPTION>
NET ASSET NET REALIZED DISTRIBUTIONS DISTRIBUTIONS NET ASSET
VALUE, NET AND UNREALIZED FROM NET FROM VALUE,
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED END OF
OF PERIOD INCOME ON INVESTMENTS INCOME GAINS PERIOD
- ------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATIONS PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
1999* $ 1.00 $0.02 $ 0.00 $(0.02) $ 0.00 $ 1.00
1999 1.00 0.05 0.00 (0.05) 0.00 1.00
1998 1.00 0.05 0.00 (0.05) 0.00 1.00
1997 1.00 0.05 0.00 (0.05) 0.00 1.00
1996 1.00 0.06 0.00 (0.06) 0.00 1.00
1995 1.00 0.04 0.00 (0.04) 0.00 1.00
CLASS B
1999* $ 1.00 $0.02 $ 0.00 $(0.02) $ 0.00 $ 1.00
1999 1.00 0.05 0.00 (0.05) 0.00 1.00
1998 1.00 0.05 0.00 (0.05) 0.00 1.00
1997 1.00 0.05 0.00 (0.05) 0.00 1.00
1996 1.00 0.05 0.00 (0.05) 0.00 1.00
1995 (1) 1.00 0.04 0.00 (0.04) 0.00 1.00
- ------------------------------------------------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------
CLASS A
1999* $10.27 $0.25 $(0.46) $(0.25) $ 0.00 $ 9.81
1999 10.32 0.49 0.06 (0.49) (0.11) 10.27
1998 9.95 0.50 0.42 (0.50) (0.05) 10.32
1997 10.12 0.49 (0.17) (0.49) 0.00 9.95
1996 9.36 0.49 0.76 (0.49) 0.00 10.12
1995 10.17 0.46 (0.81) (0.46) 0.00 9.36
CLASS B
1999* $10.26 $0.24 $(0.45) $(0.24) $ 0.00 $ 9.81
1999 10.32 0.47 0.05 (0.47) (0.11) 10.26
1998 9.95 0.48 0.42 (0.48) (0.05) 10.32
1997 10.11 0.47 (0.16) (0.47) 0.00 9.95
1996 9.36 0.47 0.75 (0.47) 0.00 10.11
1995 10.17 0.43 (0.81) (0.43) 0.00 9.36
- ------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------
CLASS A
1999* $10.18 $0.28 $(0.56) $(0.28) $ 0.00 $ 9.62
1999 10.17 0.56 0.17 (0.56) (0.16) 10.18
1998 9.76 0.57 0.42 (0.57) (0.01) 10.17
1997 10.15 0.56 (0.39) (0.56) 0.00 9.76
1996 9.09 0.55 1.06 (0.55) 0.00 10.15
1995 10.06 0.51 (0.97) (0.51) 0.00 9.09
CLASS B
1999* $10.19 $0.27 $(0.56) $(0.27) $ 0.00 $ 9.63
1999 10.18 0.54 0.17 (0.54) (0.16) 10.19
1998 9.77 0.54 0.42 (0.54) (0.01) 10.18
1997 10.15 0.53 (0.38) (0.53) 0.00 9.77
1996 9.10 0.53 1.05 (0.53) 0.00 10.15
1995 10.06 0.49 (0.96) (0.49) 0.00 9.10
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
* For the six-month period ended July 31, 1999. All ratios for the period have
been annualized and total returns are for the period indicated and have not
been annualized.
(1) Commenced operations on February 7, 1994. All ratios for the period have
been annualized.
The accompanying notes are an integral part of the financial statements.
22
<PAGE>
[LOGO]
JULY 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES TO INCOME
RATIO OF NET INVESTMENT AVERAGE TO AVERAGE
NET ASSETS, EXPENSES TO INCOME NET ASSETS NET ASSETS PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
RETURN PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- -------------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATIONS PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1999* 2.29% $65,815 0.49% 4.56% 0.64% 4.41% N/A
1999 5.20 61,465 0.49 5.06 0.66 4.89 N/A
1998 5.33 52,177 0.49 5.21 0.65 5.05 N/A
1997 5.11 90,301 0.49 5.00 0.66 4.83 N/A
1996 5.65 84,660 0.49 5.50 0.64 5.35 N/A
1995 4.15 77,295 0.49 4.08 0.69 3.88 N/A
CLASS B
1999* 2.16% $12,471 0.74% 4.31% 0.89% 4.16% N/A
1999 4.94 4,137 0.74 4.82 0.91 4.65 N/A
1998 5.07 6,550 0.74 4.96 0.90 4.80 N/A
1997 4.85 7,501 0.74 4.75 0.91 4.58 N/A
1996 5.39 6,154 0.74 5.15 0.89 5.00 N/A
1995 (1) 3.95 669 0.74 4.33 0.93 4.14 N/A
- -------------------------------------------------------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
CLASS A
1999* (2.03)% $80,447 0.75% 5.10% 0.81% 5.04% 6%
1999 5.47 90,228 0.72 4.77 0.79 4.70 14
1998 9.55 85,043 0.75 5.00 0.80 4.96 17
1997 3.35 92,619 0.75 5.01 0.85 4.91 26
1996 13.66 36,611 0.75 5.02 0.89 4.88 43
1995 (3.38) 26,096 0.75 4.88 1.09 4.54 28
CLASS B
1999* (2.05)% $11,006 1.00% 4.85% 1.06% 4.79% 6%
1999 5.11 9,477 0.97 4.52 1.04 4.45 14
1998 9.28 7,658 1.00 4.74 1.05 4.70 17
1997 3.19 6,191 1.00 4.76 1.10 4.66 26
1996 13.26 4,312 1.00 4.78 1.14 4.64 43
1995 (3.62) 2,263 1.00 4.68 1.34 4.34 28
- -------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- -------------------------------------------------------------------------------------------------------------------------------
CLASS A
1999* (2.80)% $47,108 0.83% 5.81% 1.12% 5.52% 7%
1999 7.39 51,614 0.83 5.54 1.11 5.26 11
1998 10.44 50,100 0.83 5.77 1.05 5.55 21
1997 1.83 59,014 0.83 5.75 1.16 5.42 46
1996 18.14 60,228 0.83 5.68 1.11 5.40 28
1995 (4.48) 61,067 0.83 5.61 1.17 5.27 13
CLASS B
1999* (2.91)% $ 1,858 1.08% 5.56% 1.37% 5.27% 7%
1999 7.12 2,063 1.08 5.28 1.36 5.00 11
1998 10.16 1,519 1.08 5.52 1.30 5.30 21
1997 1.69 1,830 1.08 5.50 1.41 5.17 46
1996 17.72 1,167 1.08 5.39 1.36 5.11 28
1995 (4.62) 457 1.08 5.34 1.42 5.00 13
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
Financial Highlights
- --------------------------------------------------------------------------------
For a Share Outstanding Throughout the Period Ended July 31, 1999 (Unaudited)
and Years Ended January 31,
<TABLE>
<CAPTION>
NET ASSET NET REALIZED DISTRIBUTIONS DISTRIBUTIONS NET ASSET
VALUE, NET AND UNREALIZED FROM NET FROM VALUE,
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED END OF
OF PERIOD INCOME (LOSS) ON INVESTMENTS INCOME GAINS PERIOD
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
1999* $17.89 $(0.03) $0.19 $ 0.00 $ 0.00 $18.05
1999 14.05 (0.02) 5.52 0.00 (1.66) 17.89
1998 15.38 0.03 2.52 (0.01) (3.87) 14.05
1997 13.31 0.00 2.86 (0.01) (0.78) 15.38
1996 9.57 0.01 3.93 (0.01) (0.19) 13.31
1995 10.53 0.03 (0.96) (0.03) 0.00 9.57
CLASS B
1999* $17.61 $(0.10) $0.22 $ 0.00 $ 0.00 $17.73
1999 13.89 (0.01) 5.39 0.00 (1.66) 17.61
1998 15.28 0.02 2.46 0.00 (3.87) 13.89
1997 13.25 (0.03) 2.84 0.00 (0.78) 15.28
1996 9.55 (0.01) 3.90 0.00 (0.19) 13.25
1995 10.52 0.01 (0.97) (0.01) 0.00 9.55
- ---------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------
CLASS A
1999* $13.44 $ 0.11 $1.14 $(0.11) $ 0.00 $14.58
1999 12.62 0.27 1.52 (0.27) (0.70) 13.44
1998 11.23 0.27 1.78 (0.27) (0.39) 12.62
1997 (1) 10.00 0.16 1.23 (0.16) 0.00 11.23
CLASS B
1999* $13.44 $ 0.09 $1.14 $(0.09) $ 0.00 $14.58
1999 12.62 0.22 1.54 (0.24) (0.70) 13.44
1998 11.24 0.23 1.79 (0.25) (0.39) 12.62
1997 (1) 10.00 0.15 1.24 (0.15) 0.00 11.24
- ---------------------------------------------------------------------------------------------------------------------------
</TABLE>
* For the six-month period ended July 31, 1999. All ratios for the period have
been annualized and total returns are for the period indicated and have not
been annualized.
(1) Commenced operations on August 2, 1996. All ratios for the period have been
annualized.
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
[LOGO]
July 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES TO INCOME (LOSS)
RATIO OF NET INVESTMENT AVERAGE TO AVERAGE
NET ASSETS, EXPENSES TO INCOME (LOSS) NET ASSETS NET ASSETS PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
RETURN PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
- ------------------------------------------------------------------------------------------------------------------------------------
CAPITAL APPRECIATION PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A
1999* 0.89% $126,874 1.02% (0.34)% 1.29% (0.61)% 28%
1999 42.72 138,624 1.02 (0.05) 1.28 (0.31) 74
1998 17.12 113,048 1.02 0.09 1.28 (0.17) 118
1997 22.06 118,873 1.02 (0.01) 1.28 (0.27) 90
1996 41.31 99,612 1.02 0.08 1.27 (0.17) 119
1995 (8.84) 70,502 1.02 0.28 1.33 (0.03) 107
CLASS B
1999* 0.68% $ 11,071 1.27% (0.55)% 1.54% (0.82)% 28%
1999 42.34 17,872 1.27 (0.28) 1.53 (0.54) 74
1998 16.76 6,021 1.27 (0.16) 1.53 (0.42) 118
1997 21.81 4,482 1.27 (0.27) 1.53 (0.53) 90
1996 40.88 2,233 1.27 (0.16) 1.52 (0.41) 119
1995 (9.11) 505 1.27 0.02 1.58 (0.29) 107
- ------------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
CLASS A
1999* 9.29% $ 66,245 1.02% 1.58% 1.07% 1.53% 4%
1999 14.69 52,095 0.96 1.97 1.09 1.84 47
1998 18.44 48,076 1.11 2.26 1.15 2.22 68
1997 (1) 13.98 41,580 1.20 3.27 1.25 3.22 10
1997 (1) 13.98 1,504 1.45 3.02 1.50 2.97 10
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
Notes to Financial Statements
- --------------------------------------------------------------------------------
1. Organization:
The Arbor Fund (the "Trust") was organized as a Massachusetts business trust
under a Declaration of Trust dated July 24, 1992 and had no operations through
February 1, 1993, other than those related to organizational matters and the
sale of initial shares to SEI Mutual Funds Services (the "Administrator"), on
October 9, 1992. SEI Investments Management Corporation, a wholly-owned
subsidiary of SEI Investments Company, is the owner of all beneficial interest
in the Administrator. The Trust is registered under the Investment Company Act
of 1940, as amended, as an open-end management company. The financial statements
included herein relate to the Trust's OVB Family of Funds. The OVB Family of
Funds includes the Prime Obligations Portfolio (the "Money Market Portfolio"),
Capital Appreciation Portfolio and Equity Income Portfolio (the "Equity
Portfolios"), Government Securities Portfolio and West Virginia Tax-Exempt
Income Portfolio (the "Fixed Income Portfolios"). The financial statements of
the remaining portfolios of the Trust are presented separately. The assets of
each Portfolio are segregated, and a shareholder's interest is limited to the
Portfolio in which shares are held.The Portfolios' prospectus provides a
description of each Portfolio's investment objectives, policies and strategies.
The Portfolios are registered to offer two classes of shares: Class A and Class
B (see note 3).
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of the significant accounting policies consistently
followed by the Portfolios.
Security Valuation --
Investments in equity securities that are traded on a national securities
exchange (or reported on NASDAQ national market system) are stated at the last
quoted sales price, if readily available for such equity securities on each
business day; other equity securities traded in the over-the-counter market and
listed equity securities for which no sale was reported on that date are stated
at the last quoted bid price. When market quotations are not readily available,
securities are valued at fair value as determined in good faith by procedures
established and approved by the Board of Trustees. Debt obligations exceeding
sixty days to maturity for which market quotations are readily available are
valued at the most recently quoted bid price.Debt obligations with sixty days or
less until maturity may be valued at their amortized cost.
Investment securities held by the Money Market Portfolio are stated at
amortized cost which approximates market value. Under the amortized cost method,
any discount or premium is amortized ratably to the maturity of the security and
is included in interest income.
26
<PAGE>
[LOGO]
July 31, 1999 (Unaudited)
Federal Income Taxes --
It is each Portfolio's intention to continue to qualify as a regulated
investment company for Federal income tax purposes by complying with the
appropriate provisions of the Internal Revenue Code of 1986, as amended.
Accordingly, no provision for Federal income taxes has been made in the
financial statements.
Security Transactions and Related Income --
Security transactions are accounted for on the date the security is purchased or
sold (trade date). Dividend income is recognized on the ex-dividend date, and
interest income is recognized on the accrual basis. Costs used in determining
realized gains and losses on the sales of investment securities are those of the
specific securities sold. Purchase discounts and premiums on securities held by
the Fixed Income Portfolios are accreted and amortized to maturity using the
scientific interest method, which approximates the effective interest method.
Repurchase Agreements --
The Portfolios, except the West Virginia Tax-Exempt Income Portfolio, invest in
tri-party repurchase agreements. Securities held as collateral for tri-party
repurchase agreements are maintained in a segregated account by the broker's
custodian bank until maturity of the repurchase agreement. Provisions of the
repurchase agreements require that the market value of the collateral, including
accrued interest thereon, is sufficient in the event of default of the
counterparty. If the counterparty defaults and the value of the collateral
declines or if the counterparty enters an insolvency proceeding, realization
and/or retention of the collateral by the Portfolios may be delayed or limited.
Expenses --
Expenses that are directly related to one of the Portfolios are charged directly
to that Portfolio. Other operating expenses of the Trust are prorated to the
portfolios on the basis of relative net assets. Class B shares bear a class
specific 12b-1 fee. Income, expenses and accumulated realized and unrealized
gains and losses of a Portfolio are allocated to the respective class on the
basis of relative net asset value each day.
Distributions --
Distributions from net investment income for the Equity Portfolios are paid to
shareholders in the form of quarterly dividends. Distributions from net
investment income for the Money Market and Fixed Income Portfolios are declared
daily and paid to shareholders on a monthly basis. Any net realized capital
gains on sales of securities are distributed to shareholders at least annually.
(continued)
27
<PAGE>
Notes to Financial Statements (continued)
- --------------------------------------------------------------------------------
The amounts of distributions from net investment income and net realized capital
gains are determined in accordance with federal income tax regulations, which
may differ from those amounts determined under generally accepted accounting
principles.
Use of Estimates in the Preparation of Financial Statements --
The preparation of financial statements, in conformity with generally accepted
accounting principals, requires management to make estimates and assumptions
that affect the reported amount of net assets and liabilities and disclosure of
contingent assets at the date of the financial statements and the reported
results of operations during the reporting period. Actual results could differ
from those estimates.
3. INVESTMENT ADVISORY, ADMINISTRATION, TRANSFER AGENT, AND DISTRIBUTION
AGREEMENTS:
One Valley Bank, N.A. (the "Adviser") serves as Investment Adviser to each
Portfolio pursuant to an investment advisory agreement (the "Advisory
Agreement") with the Trust. For its services, the Adviser is entitled to a fee,
that is calculated daily and paid monthly, at an annual rate based on the
average daily net assets of each Portfolio as follows:
Prime Obligations Portfolio -- .33%,
West Virginia Tax-Exempt Income Portfolio -- .45%, Government Securities
Portfolio -- .75%, Capital Appreciation Portfolio -- .95%, and Equity Income
Portfolio -- .74%. The Adviser has agreed to voluntarily waive a portion of its
fee so that the total annual expenses of each Portfolio will not exceed the
voluntary expense limitations adopted by the Adviser. In the event that the
total annual expenses of a Portfolio, after reflecting a waiver of all fees by
the Adviser, exceed the specific limitations, the Adviser has agreed to bear
such excess.Fee waivers by the Adviser are voluntary and may be terminated at
any time.
Wellington Management Company, LLP (the "Sub-Adviser") serves as the
Investment Sub-Adviser to the Prime Obligations Portfolio pursuant to a
sub-advisory agreement (the "Sub-Advisory Agreement") with the Adviser and the
Trust. Under the Sub-Advisory Agreement, the Sub-Adviser manages the Portfolio,
selects investments, and places all orders for purchases and sales of the
Portfolio's securities, subject to the general supervision of the Trustees of
the Trust and the Adviser. For the services provided and expenses incurred
pursuant to the Sub-Advisory Agreement, the Sub-Adviser is entitled to receive a
fee, computed daily and paid monthly, at the annual rate of .075% of the first
$500 million of "managed assets" and
28
<PAGE>
[LOGO]
July 31, 1999 (Unaudited)
- --------------------------------------------------------------------------------
.02% of "managed assets" in excess of $500 million. "Managed assets" are all of
the Money Market Portfolio assets that the Sub-Adviser manages for the Trust,
plus the assets of money market portfolios other than the Prime Obligations
Portfolio. The fee paid by the Portfolio is based on its proportionate share of
"managed assets."
The Trust and the Administrator have entered into an Administration
Agreement. Under terms of the Administration Agreement, the Administrator is
entitled to a fee calculated daily and paid monthly at an annual rate of .20% of
the average daily net assets of each Portfolio. There is a minimum annual fee of
$75,000 payable to the Administrator by each Portfolio. At its discretion, the
Administrator may voluntarily choose not to invoke the $75,000 minimum annual
fee. The Administrator also serves as the shareholder servicing agent for the
Trust. Compensation for this service is paid under the Administration Agreement.
DST Systems, Inc. serves as the transfer agent and dividend disbursing
agent for the Portfolios under a Transfer Agency Agreement with the Trust.
The Trust and SEI Investments Distribution Co. (the "Distributor"),
a wholly-owned subsidiary of SEI Investments Company, have entered into
a Distribution Agreement. The Class B shares of each Portfolio have a
distribution plan (the "Class B Plan"), pursuant to Rule 12b-1 under the
Investment Company Act of 1940, as amended. As provided in the Distribution
Agreement and the Class B Plan, the Trust will pay a fee, at an annual rate of
.25% of each Portfolio's average daily net assets attributable to Class B shares
to the Distributor as compensation for its services.
4. ORGANIZATIONAL COSTS AND TRANSACTIONS WITH AFFILIATES:
Organizational costs have been capitalized by the Trust and are being amortized
over sixty months beginning with the commencement of operations. In the event
any of the initial shares are redeemed by any holder thereof during the period
that the fund is amortizing its organizational costs, the redemption proceeds
payable to the holder thereof by the Trust will be reduced by the unamortized
organizational costs in the same ratio as the number of initial shares being
redeemed bears to the number of initial shares outstanding at the time of the
redemption. These costs include legal fees of approximately $23,000 for
organizational work performed by a law firm of which two officers of the Trust
and a Trustee of the Trust are partners.
Certain officers of the Trust and a Trustee are also officers of the
Administrator and/or Distributor.Such officers are paid no fees by the Trust for
serving in their respective roles.
(continued)
29
<PAGE>
Notes to Financial Statements (continued)
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5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the period ended July 31, 1999
were as follows:
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
---------------- ------------------
PURCHASE SALES PURCHASES SALES
PORTFOLIO (000) (000) (000) (000)
- --------- -------- ------ --------- -------
West Virginia
Tax-Exempt Income $ -- $ -- $ 5,179 $ 9,104
Government
Securities 2,153 4,176 1,013 --
Capital Appreciation -- -- 40,874 57,746
Equity Income -- -- 10,434 2,505
At July 31, 1999, the total cost of securities and the net realized gains or
losses on securities sold for Federal income tax purposes were not materially
different from amounts reported for financial reporting purposes. The aggregate
gross unrealized appreciation and depreciation on investment securities at July
31, 1999, for each Equity and Fixed Income Portfolio is as follows:
NET
APPRECIATED DEPRECIATED UNREALIZED
SECURITIES SECURITIES APPRECIATION
PORTFOLIO (000) (000) (000)
- --------- ---------- ----------- ------------
West Virginia Tax-Exempt Income $ 2,681 $(1,293) $ 1,388
Government Securities 786 (1,009) (223)
Capital Appreciation 59,891 (584) 59,307
Equity Income 19,371 (1,825) 17,546
6. Concentration of Credit Risk:
The West Virginia Tax-Exempt Income Portfolio Invests in debt instruments
of municipal issuers. Although this Portfolio monitors investment concentration,
the issuers' ability to meet their obligations may be affected by economic
developments in a specific state or region.
30
<PAGE>
Notes
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<PAGE>
Notes
- --------------------------------------------------------------------------------
<PAGE>
THE OVB FUNDS
Portfolios of The Arbor Fund
- --------------------------------------------------------------------------------
INVESTMENT ADVISER:
One Valley Bank, N.A.
One Valley Square, P.O. Box 1793
Charleston, WV 25326
DISTRIBUTOR:
SEI Investments Distribution Co.
Oaks, PA 19456
SEI Investments Distribution Co., the Distributor of The OVB Funds,
is not affiliated with One Valley Bank, N.A. One Valley Bank, N.A.
serves as Investment Adviser for the OVB Funds.
This material must be preceded or accompanied by a current prospectus.
For more information, call:
1-800-545-6331
OVB-F-008-06
