JANUARY 31, 2000
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PORTFOLIOS OF THE ARBOR FUND
2000 ANNUAL
REPORT
TO SHAREHOLDERS
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TABLE OF CONTENTS
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Investment Adviser's Review....................... 1
Management's Discussion & Analysis................ 4
Financial Statements.............................. 10
Report of Independent Accountants................. 39
Notice to Shareholders ........................... 40
THE OVB FUNDS:
[Bullet] NOT FDIC INSURED
[Bullet] NO BANK GUARANTEE
[Bullet] MAY LOSE VALUE
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INVESTMENT ADVISER'S REVIEW JANUARY 31, 2000
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INVESTMENT ADVISER'S REVIEW
In fiscal year 1999, the financial markets continued to demonstrate their
infinite ability to delight and dismay -- often simultaneously.
And while the net results may not have pleased all of the people all of the
time, those who were most disappointed were generally those who chose not to
participate in the markets at all.
The U.S. economy continued to show unprecedented strength in 1999, moving
toward a new record for the longest expansion in history. However, this strength
proved to be a mixed blessing.
For stocks, it meant rising prices, astronomical valuations, and a mood of
invincibility. For bonds, it meant an increasingly challenging interest rate
environment as the Federal Reserve Board attempts to rein in the economy's
runaway growth. And for the money markets, it meant rising short-term yields.
MONEY MARKET REVIEW
In fiscal 1999, the Federal Reserve Board abruptly changed course, raising
rates by one quarter of one percent on four occasions. In doing so, it more than
offset the three rate cuts of the prior year.
The Fed's action was spurred by rapid growth in the domestic economy, along
with a strong recovery in many of the emerging nations that had been in crisis a
year earlier. In addition, the fact that the dreaded "Y2K bug" turned out to be
a non-event eliminated the only remaining excuse for holding rates in check.
For money market investors, these rising rates led to strong yields for the
year. In fact, the major money market indices far outperformed their longer-term
counterparts -- most of which recorded negative returns.
In the year ahead, we believe the Federal Reserve Board will continue moving
to preempt inflation with at least one additional rate hike. If so, money market
investors may continue to enjoy a rare combination of high yields and low
inflation -- for an excellent net return.
BOND MARKET REVIEW
Bonds also experienced a reversal of fortune in 1999. The Federal Reserve
Board's quadruple-threat dampened bond prices throughout the year, leading to
negative total returns for most major bond indices.
Added to this hostile interest rate environment was a turnaround in investor
confidence. Where the previous year saw a strong "flight to quality" during the
worst of the global economic crisis, 1999 saw a return of investor confidence in
a wider array of government and corporate issues.
1
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INVESTMENT ADVISER'S REVIEW (CONTINUED)
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In fact, the best performing sector of the market for fiscal 1999 proved to
be junk bonds, which delivered memorable gains in an otherwise forgettable year.
In the municipal bond markets, the story was much the same. Rising rates,
along with strong supplies of new issues, led to weak returns overall.
Looking ahead, it is difficult to forecast a rapid recovery for bonds. With
the U.S. economy growing far more rapidly than the Fed's three percent target
rate, additional rate hikes are almost a certainty. In addition, the resurgence
of the global economy will continue to weigh on the Fed's decisions.
On the positive side, the U.S. government's recent announcement that it may
begin phasing out the bellwether 30-year Treasury Bond -- thanks to historic
budget surpluses -- has led to increased demand for existing long-term issues.
Surpluses in state and local governments could have a similar effect on
municipal issues.
EQUITY MARKET REVIEW
The equity markets showed astonishing strength in fiscal 1999, overlooking
four hikes in short-term rates to deliver outstanding gains across the board.
The markets broadened considerably from their recent focus on large-cap
growth issues. For example, the so-called "value" sector saw its best returns in
several years. And small-cap and mid-cap stocks finally began participating in
the market's rally.
Excesses continued in the high-tech and Internet-related sectors. In
particular, stocks of "dot-com" companies contin-ued to soar to valuation levels
that may take a lifetime to justify. Still, technology-related companies remain
the key drivers of the new economy, providing the tools that boost productivity
and efficiency in a broad range of industries.
Looking ahead, the market's overall liquidity and unquenchable optimism may
continue to carry stock prices to new highs in fiscal 2000. Potential bumps in
the road include the Fed's ongoing vigilance, election-year tax rhetoric, and
the possibility that corporate earnings will fail to live up to expectations.
In all, however, the bull market appears ready to continue setting new
records for prices, valuation levels, and longevity.
2
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JANUARY 31, 2000
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CONCLUSION
The six years since the OVB Funds were created have been among the most
exciting and rewarding years ever in the financial markets. And while we cannot
guarantee that the years ahead will be equally good, we strongly believe that
America's future is bright -- and that our proven approach to investing offers a
sound way to share in that future.
We appreciate your confidence in our approach, and thank you for
participating in the financial markets through the OVB Family of Funds.
/s/signature omitted
J. Randy Valentine
Senior Vice President
One Valley Bank
3
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MANAGEMENT'S DISCUSSION & ANALYSIS
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THE OVB FUNDS
PRIME OBLIGATIONS PORTFOLIO
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SUB-ADVISER: WELLINGTON MANAGEMENT COMPANY, LLP
For the fiscal year ended January 31, 2000, The OVB Funds Prime Obligations
Portfolio, Class A, posted a total return of 4.96%, while Class B shares
returned 4.70%. By comparison, the Fund's benchmark, the IBC/ Financial Data
First Tier Average, returned 4.63%.
Money market fund investors were among the chief beneficiaries of the Federal
Reserve Board's four rate hikes
Comparison of Change in the Value of a $10,000 Investment in the OVB Prime
Obligations Money Market, Class A, versus the IBC Financial First Tier
Average
[GRAPH OMITTED] [PLOT POINTS FOLLOW]
OVB-A IBC
Dec 93 10,000 10,000
Jan 94 10,025 10,022
Jan 95 10,441 10,413
Jan 96 11,031 10,978
Jan 97 11,595 11,510
Jan 98 12,213 12,089
Jan 99 12,848 12,681
Jan 00 13,485 13,268
ONE YEAR ANNUALIZED ANNUALIZED ANNUALIZED
RETURN 3 YEAR RETURN YEAR RETURN INCEPTION TO DATE
CLASS A 4.96% 5.16% 5.25% 5.01%
FOR THE PERIOD ENDED 1/31/00. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 12/1/93.
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE OVB PRIME
OBLIGATIONS MONEY MARKET, CLASS B, VERSUS THE IBC FINANCIAL FIRST TIER AVERAGE
[GRAPH OMITTED] [PLOT POINTS FOLLOW]
OVB-A OVB-B IBC
Feb 94 10,000 10,000
Jan 95 10,368 10,370
Jan 96 10,927 10,933
Jan 97 11,457 11,462
Jan 98 12,038 12,038
Jan 99 12,632 12,629
Jan 00 13,226 13,213
ONE YEAR ANNUALIZED ANNUALIZED ANNUALIZED
RETURN 3 YEAR RETURN YEAR RETURN INCEPTION TO DATE
CLASS B 4.70% 4.90% 4.99% 4.81%
FOR THE PERIOD ENDED 1/31/00. PAST PERFORMANCE OF THE PORTFOLIO IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. CLASS B SHARES WERE OFFERED BEGINNING 2/8/94.
during fiscal 1999. With short-term rates rising a full percentage point during
the year, investors enjoyed stronger yields in conjunction with continued low
inflation.
As the Fed's intentions became apparent, the OVB Funds Prime Obligations
Portfolio reduced its average weighted maturity somewhat in order to capture
higher yields as they became available. This helped the fund deliver a total
return that was well in line with its benchmark index.
Looking ahead, we believe that continued economic growth will lead to at
least
4
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JANUARY 31, 2000
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one additional rate hike during fiscal year 2000. Therefore, we plan to
maintain our strategy of holding back on the Fund's maturity level, with the
hope that it will once again lead to incremental yields in the year to come.
THE OVB FUNDS WEST VIRGINIA
TAX-EXEMPT INCOME PORTFOLIO
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For the fiscal year ended January 31, 2000, The OVB Funds West Virginia
Tax-Exempt Income Portfolio, Class A, posted a total return of (5.04%). For
Class B shares, total return was (5.39%). By comparison, the fund's two
benchmarks, Lehman Brothers Municipal Bond Index and the Lipper
Intermediate-Term Municipal Debt Funds Index, returned (3.64%) and (2.90%),
respectively, for the period.
After a strong fiscal 1998, municipal securities came up against the
irresistible force of the Federal Reserve Board. Raising rates by a total of
0.75% during the year, the Fed caused widespread weakness across the fixed
income markets.
The OVB West Virginia Fund was not immune to the rise in interest rates.
However, it was able to sustain its value better than most of its competitors.
The key to this performance is a consistent long-term strategy that
emphasizes AAA rated issues -- many of which offer the additional security of
insurance or escrow. In addition, the Fund has held its average weighted
maturity at a relatively steady level of 14 to 15 years, helping to maximize
overall yields while reducing volatility.
COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE OVB WEST
VIRGINIA TAX-EXEMPT INCOME PORTFOLIO, CLASS A AND CLASS B VERSUS THE LEHMAN
MUNICIPAL BOND INDEX, THE LIPPER GENERAL MUNICIPAL DEBT FUNDS OBJECTIVE, AND
THE LIPPER INTERMEDIATE MUNICIPAL DEBT FUNDS OBJECTIVE
[GRAPH OMITTED] [PLOT POINTS FOLLOW]
OVB A OVB B Lehman Lipper Gen Lipper Intermed
WEST VIR WEST VIR Brothers Debt Fund Mun. Debt Fund
Dec 93 10,000 10,000 10,000 10,000 10,000
Jan 94 10,094 10,092 10,114 10,112 10,104
Jan 95 9,753 9,727 9,754 9,628 9,854
Jan 96 11,085 11,016 11,223 10,980 11,020
Jan 97 11,456 11,368 11,655 11,291 11,377
Jan 98 12,550 12,423 12,834 12,444 12,287
Jan 99 13,237 13,058 13,688 13,128 12,990
Jan 00 12,570 12,354 13,190 12,283 12,576
ONE YEAR ANNUALIZED ANNUALIZED ANNUALIZED
RETURN 3 YEAR RETURN YEAR RETURN INCEPTION TO DATE
CLASS A -5.04% 3.14% 5.20% 4.02%
CLASS B -5.39% 2.81% 4.90% 3.60%
FOR THE PERIOD ENDED 1/31/00. PAST PERFORMANCE OF THE PORTFOLIOS IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 12/1/93.
CLASS B SHARES WERE OFFERED BEGINNING 12/17/93.
(CONTINUED)
5
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MANAGEMENT'S DISCUSSION & ANALYSIS (CONTINUED)
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Looking ahead, we believe that fiscal 2000 will be somewhat more positive for
municipal securities. While the Fed is widely expected to raise rates again, we
see some signs that the economy may be slowing enough to avoid a repeat
performance of 1999.
Comparison of Change in the Value of a $10,000 Investment in the OVB Government
Securities Portfolio, Class A and Class B, versus the Lehman Brothers
Government/Corporate Index, and the Lipper Intermediate Investment-Grade Debt
Funds Objective
[GRAPH OMITTED] [PLOT POINTS FOLLOW]
OVB A OVB B Lehman Lipper
Gov. Sec. Gov. Sec Brothers Inter Grade Debt
Dec 93 10,000 10,000 10,000 10,000
Jan 94 10,100 10,098 10,150 10,131
Jan 95 9,648 9,631 9,834 9,808
Jan 96 11,398 11,338 11,577 11,351
Jan 97 11,606 11,530 11,854 11,670
Jan 98 12,818 12,701 13,178 12,812
Jan 99 13,765 13,606 14,326 13,668
Jan 00 13,337 13,136 13,914 13,353
ONE YEAR ANNUALIZED ANNUALIZED ANNUALIZED
RETURN 3 YEAR RETURN YEAR RETURN INCEPTION TO DATE
CLASS A -3.11% 4.74% 6.69% 4.84%
CLASS B -3.45% 4.45% 6.40% 4.58%
FOR THE PERIOD ENDED 1/31/00. PAST PERFORMANCE OF THE PORTFOLIOS IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 12/1/93.
CLASS B SHARES WERE OFFERED BEGINNING 12/31/93.
THE OVB FUNDS
GOVERNMENT SECURITIES PORTFOLIO
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For the fiscal year ended January 31, 2000, The OVB Funds Government Securities
Portfolio, Class A, posted a total return of (3.11%). For Class B shares, total
return was (3.45%). By comparison, the Fund's two benchmarks, the Lehman
Brothers Intermediate Government/Corporate Bond Index and the Lipper
Intermediate U.S. Government Funds Average, returned (.53%) and (2.18%),
respectively, for the period.
The Federal Reserve Board was the big story of fiscal 1999. Acting to cool a
superheated economy, the Fed raised interest rates on three occasions during the
fiscal year, each time by one quarter of one percent.
This action depressed bond yields throughout the year, leading to negative
total returns for most instruments. In fact, the only positive area of the
market was the junk bond sector, which enjoyed positive returns due to the good
prospects for companies on the fringes of the economy.
In such a challenging environment, the OVB Funds Government Securities
Portfolio held to its long-term strategy of investing in high-quality U.S.
government and agency instruments across the maturity spectrum. As it became
clear that rates would continue to rise, the portfolio's overall duration was
shortened slightly in order to reduce volatility.
6
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JANUARY 31, 2000
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While the net result was a negative total return, we continue to maintain our
philosophy that performance should not be measured solely on the basis of a
single year. Indeed, our five-year record affirms that philosophy, demonstrating
a strong total return to investors who remain patient during the inevitable
market cycles.
Looking ahead, we expect additional rate hikes in the near future. However,
we also believe that we may be closer to a peak in rates than many imagine.
The yields on long-term bonds are currently lower than those of shorter-term
instruments. This phenomenon, known as an "inverted yield curve," often points
to a softening of economic growth in the near future -- and better returns for
bonds. An additional factor in the market's favor is the prospect that the U.S.
Government may actually phase out its 30-year bonds in the years ahead if the
Federal budget continues to run at a surplus. This should increase demand for
existing long-term bonds.
We believe the net effect of these trends will be a calmer, more rational
bond market during fiscal 2000. While investors may not experience much in the
way of capital gains or losses, they may at least receive the basic coupon
yields of their underlying investments.
Regardless of any short-term events, we will continue pursuing our steady,
conservative strategy in the belief that our long-term results will outweigh the
impact of any single year.
THE OVB FUNDS
CAPITAL APPRECIATION PORTFOLIO
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For the fiscal year ended January 31, 2000, The OVB Funds Capital Appreciation
Portfolio, Class A, posted a total return of 28.81%. For Class B shares, total
return was 28.47%. By comparison, the fund's benchmarks, the Standard & Poor's
500 Composite Stock Index and the Lipper Growth Funds Average, returned 10.35%
and 18.91%, respectively.
This extremely strong performance is partly attributable to a decision three
years ago to weight the portfolio heavily toward the technology sector -- and
away from financial services and consumer nondurables. While this decision may
expose the Fund to a higher degree of volatility, the increased returns to
investors have proven to be well worthwhile.
Among the best performers in the Fund's stellar technology group for the year
were America Online, Applied Materials, Broadcom, Cisco Systems, JDS Uniphase,
Microsoft, Sun Microsystems, and Texas Instruments. In the related field of
telecommunications, strong performers included Qualcomm, Nokia, Nextel, and
Vodafone.
The Fund also anticipated a late-year surge in biotechnology issues,
experiencing extremely strong returns from such issues as Amgen, Biogen, and PE
Biosystems. The latter stock, in particular, shows great promise for the future
as it
(CONTINUED)
7
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MANAGEMENT'S DISCUSSION & ANALYSIS (CONTINUED)
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COMPARISON OF CHANGE IN THE VALUE OF A $10,000 INVESTMENT IN THE
OVB CAPITAL APPRECIATION PORTFOLIO, CLASS A AND CLASS B, VERSUS
THE STANDARD & POOR'S 500 COMPOSITE INDEX
[GRAPH OMITTED] [PLOT POINTS FOLLOW]
OVB A OVB B S&P
Dec 93 10,000 10,000 10,000
Jan 94 10,203 10,204 10,340
Jan 95 9,301 9,274 10,395
Jan 96 13,143 13,066 14,409
Jan 97 16,043 15,915 18,203
Jan 98 18,789 18,583 23,100
Jan 99 26,816 26,451 30,610
Jan 00 34,542 33,981 33,778
ANNUALIZED ANNUALIZED ANNUALIZED ANNUALIZED
RETURN 3 YEAR RETURN 5 YEAR RETURN INCEPTION TO DATE
CLASS A 28.81% 29.13% 30.01% 22.88%
CLASS B 28.47% 28.77% 29.66% 22.24%
FOR THE PERIOD ENDED 1/31/00. PAST PERFORMANCE OF THE PORTFOLIOS IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. CLASS A SHARES WERE OFFERED BEGINNING 12/1/93.
CLASS B SHARES WERE OFFERED BEGINNING 12/31/93.
provides fundamental technologies for the rapidly-emerging field of DNA analysis
and Genomics.
Non-technology issues that performed well included Home Depot and Wal-Mart,
both of which finished the fiscal year near all-time highs. In the financial
sector, the Fund benefited from strong gains in American Express, Marsh &
McLennan, American International Group, and Morgan Stanley Dean Witter.
Looking ahead, we believe that fiscal 2000 could be more challenging for
equity investors due to the prospect of additional rate hikes by the Fed.
However, we are encouraged by the continued strength of corporate earnings, and
by the ongoing trend toward investment in productivity-building technologies.
Therefore, we plan to maintain our emphasis on the technology sector, while
balancing the portfolio with issues from a variety of other industries.
THE OVB FUNDS
EQUITY INCOME PORTFOLIO
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For the fiscal year ended January 31, 2000, The OVB Funds Equity Income
Portfolio, Class A, posted a total return of 8.49%. For Class B shares, total
return was 8.23%. By comparison, the fund's benchmarks, the S&P/BARRA Value
Index and the Lipper Equity Income Funds Average, returned 6.97% and 0.73%,
respectively.
The Fund continued to pursue its three-pronged strategy of seeking current
income, long-term growth of capital, and long-term growth of income. In our
stock selections, we continued to emphasize value-oriented issues that offer
strong underlying fundamentals, predictable income streams, and solid track
records through all types of market cycles.
Stocks in these sectors gained strength in fiscal 1999 as the worldwide
markets stabilized and investors branched out beyond the growth stock segment of
the market. In addition, demographic trends such as the increased affluence of
the
8
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JANUARY 31, 2000
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"baby boom" generation have increased consumption of all types of goods. This
has led to strong profits for manufacturing and related industries.
Among the Fund's best performers for the year were Montana Power in the
otherwise weak utility sector; General Electric in diversified manufacturing;
and Kerr-McGee in the energy-related sector. Cable TV issues also did well, led
by Cox Communications.
Weak sectors for the year included banking and pharmaceuticals. However,
values in these sectors remain very attractive, particularly in the community
banking area.
Looking ahead, we believe that companies in the value category will be among
the greatest beneficiaries of the ongoing trend toward productivity-building
technologies. For example, these companies are investing heavily in tools that
promise increased productivity, streamlined distribution, and more efficient
processing of customer transactions. As a result, we foresee continued upward
momentum in both profitability and dividends during the year to come.
Comparison of Change in the Value of a $10,000 Investment in the OVB Equity
Income Portfolio, Class A and Class B, versus the S&P 500/BARRA Value Index, and
the Lipper Equity Income Classification
[GRAPH OMITTED] [PLOT POINTS FOLLOW]
OVB CLASS A OVB CLASS B S&P LIPPER
EQUITY INCOME EQUITY INCOME 500/BARRA EQUITY INCOME
Aug 96 10,000 10,000 10,000 10,000
Jan 97 11,330 11,319 11,941 11,538
Jan 98 13,419 13,364 14,654 14,173
Jan 99 15,391 15,293 17,358 15,606
Jan 00 16,697 16,551 18,568 15,620
ONE YEAR ANNUALIZED ANNUALIZED
RETURN 3 YEAR RETURN INCEPTION TO DATE
CLASS A 8.49% 13.80% 15.97%
CLASS B 8.23% 13.50% 15.71%
FOR THE PERIOD ENDED 1/31/00. PAST PERFORMANCE OF THE PORTFOLIOS IS NOT
PREDICTIVE OF FUTURE PERFORMANCE. CLASS A AND B SHARES WERE OFFERED BEGINNING
8/31/96.
9
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STATEMENT OF NET ASSETS
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PRIME OBLIGATIONS PORTFOLIO
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[PIE GRAPH OMITTED] [% POINTS FOLLOW]
CERFITICATES OF DEPOSIT 21.6%
REPURCHASE AGREEMENTS 11.0%
COMMERCIAL PAPER 40.1%
CORPORATE OLBIGATIONS 27.3%
% OF TOTAL PORTFOLIO INVESTMENTS
PIE CHART UNAUDITED
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FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
COMMERCIAL PAPER -- 39.9%
Financial Services -- 24.6%
Apreco
6.130%, 02/02/00 $ 2,500 $ 2,500
Corporate Receivables (A)
5.873%, 02/16/00 2,000 2,000
Falcon Asset Securitization
6.038%, 04/17/00 2,000 1,975
Greyhawk Funding LLC
6.026%, 04/20/00 2,500 2,468
Island Finance PR
5.743%, 02/14/00 1,200 1,198
Kitty Hawk Funding
5.774%, 02/11/00 2,500 2,496
Mont Blanc Capital
6.205%, 02/24/00 2,000 1,992
5.888%, 03/16/00 1,000 993
Park Avenue Receivables (A)
5.831%, 02/01/00 2,500 2,500
Preferred Receivable Funding
6.120%, 02/10/00 2,000 1,997
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TOTAL FINANCIAL SERVICES 20,119
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FACE AMOUNT VALUE
DESCRIPTION (000) (000)
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Food, Beverage & Tobacco -- 1.2%
Dean Foods
6.014%, 04/19/00 $ 1,000 $ 987
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TOTAL FOOD, BEVERAGE & TOBACCO 987
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Gas/Natural Gas -- 3.1%
National Fuel Gas
6.169%, 02/03/00 2,500 2,499
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TOTAL GAS/NATURAL GAS 2,499
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Insurance -- 3.1%
Aon
5.863%, 02/23/00 2,500 2,491
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TOTAL INSURANCE 2,491
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Petroleum Refining -- 3.0%
Fina Oil & Chemical
6.181%, 02/04/00 1,500 1,499
5.865%, 03/24/00 1,000 992
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TOTAL PETROLEUM REFINING 2,491
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Retail -- 1.2%
Cosmair
5.754%, 02/03/00 1,000 1,000
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TOTAL RETAIL 1,000
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Telephones & Telecommunication -- 3.7%
GTE
5.798%, 02/14/00 1,000 998
5.805%, 02/16/00 2,000 1,995
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TOTAL TELEPHONES & TELECOMMUNICATION 2,993
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TOTAL COMMERCIAL PAPER (COST $32,580) 32,580
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CORPORATE OBLIGATIONS -- 27.2%
AT&T (A)
5.990%, 07/13/00 2,000 2,000
Corporate Asset (A)
6.039%, 04/07/00 2,000 2,000
First USA Bank
6.050%, 09/18/00 1,000 1,000
Ford Motor Credit (A)
6.037%, 08/18/00 2,000 1,999
General Electric Capital (A)
6.111%, 05/03/00 2,000 2,000
GMAC, MTN
6.375%, 09/19/00 560 560
10
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January 31, 2000
PRIME OBLIGATIONS PORTFOLIO (CONCLUDED)
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FACE AMOUNT VALUE
DESCRIPTION (000) (000)
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IBM
5.950%, 08/17/00 $ 1,600 $ 1,599
Key Bank (A)
6.220%, 08/31/00 1,000 1,000
6.500%, 01/29/01 1,000 999
Monumental Life Insurance (A)
6.310%, 02/01/00 3,000 3,000
National Rural Utilities MTN (A)
6.141%, 06/26/00 2,500 2,500
Travelers Insurance (A)
6.171%, 03/01/00 2,000 2,000
Xerox, MTN (A)
6.044%, 12/08/00 1,500 1,499
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TOTAL CORPORATE OBLIGATIONS (COST $22,156) 22,156
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CERTIFICATES OF DEPOSIT -- 21.5%
Bank of Scotland
5.725%, 07/03/00 2,500 2,500
Bayerische Hypotheken (A)
5.713%, 05/15/00 2,500 2,500
Deutsche Bank AG
6.550%, 01/22/01 1,000 999
First Tennessee Bank
5.650%, 02/07/00 2,000 2,000
National Bank of Canada
5.170%, 04/10/00 2,000 2,000
Royal Bank of Canada
5.120%, 03/21/00 2,000 2,000
SunTrust Atlanta
5.800%, 03/21/00 1,500 1,500
Toronto Dominion Holding USA
5.270%, 03/02/00 2,000 2,000
UBS-NY
5.250%, 03/10/00 2,000 2,000
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TOTAL CERTIFICATES OF DEPOSIT(COST $17,499) 17,499
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FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 10.9%
Lehman Brothers
5.800%, dated 01/31/00,
matures 02/01/00
repurchase price $8,928,400
(collateralized by
U.S. Government Agency Obligations:
total market value $9,026,068) $ 8,900 $ 8,900
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TOTAL REPURCHASE AGREEMENT (COST $8,900) 8,900
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TOTAL INVESTMENTS -- 99.5% (COST $81,135) 81,135
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 0.5%
Other Assets and Liabilities, Net 398
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value)
based on 67,726,311 outstanding
shares of beneficial interest 67,726
Portfolio Shares of Class B (unlimited
authorization -- no par value)
based on 13,805,957 outstanding
shares of beneficial interest 13,805
Accumulated undistributed net investment income 3
Accumulated net realized loss on investments (1)
- --------------------------------------------------------------------------------
TOTAL NET ASSETS -- 100.0% $81,533
- --------------------------------------------------------------------------------
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) Floating Rate Instrument. Rate reflected on the Statement of Net Assets is
the rate in effect on January 31, 2000. The date shown is the next scheduled
reset date.
MTN -- Medium Term Note
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
STATEMENT OF NET ASSETS
- --------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
- --------------------------------------------------------------------------------
[PIE OMITTED] [% POINTS FOLLOW]
MUNICIPAL BONDS 99.9%
CASH EQUIVALENT 0.1%
% OF TOTAL PORTFOLIO INVESTMENTS
PIE CHART UNAUDITED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 99.0%
West Virginia -- 99.0%
Beckley, Industrial Development
Authority, Beckley Water
Project, RB
7.000%, 10/01/17 $1,000 $ 1,044
Beckley, Nursing Facility,
Health Care Project,
Series A, RB
6.000%, 09/01/12 310 300
Beckley, Sewage System Refunding
Bond, Series A, RB
6.750%, 10/01/25 400 393
Berkeley County, Board of
Education, GO,
Escrowed to Maturity
7.375%, 04/01/03 425 457
Berkeley County, Sewer System
Refunding Bond,
RB, MBIA
5.625%, 10/01/19 895 855
Cabell County, Board of Education,
GO, MBIA,
Escrowed to Maturity
6.600%, 05/01/04 1,000 1,064
Cabell, Putnam & Wayne Counties,
Single Family
Mortgage, RB, FGIC, Escrowed
to Maturity
7.375%, 04/01/10 250 271
7.375%, 04/01/11 440 507
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Charles Town, Waterworks
& Sewer System, RB, FSA
5.250%, 10/01/18 $ 500 $ 447
Charleston, Civic Center, RB
6.249%, 12/01/15 410 400
Charleston, Building
Commission, RB
6.500%, 12/01/19 330 311
Charleston, Building Community
Parking Facility,
Capital Appreciation,
Series A, RB
7.000%, 06/01/16 580 551
Charleston, Building Community
Parking Facility,
Capital Appreciation,
Subseries C, RB
6.000%, 12/01/10 290 285
6.380%, 12/01/15 385 142
6.380%, 12/01/16 380 132
6.890%, 12/01/26 1,000 162
Charleston, Civic Center, RB
5.100%, 09/01/23 250 209
Charleston, Urban Renewal
Authority, RB, FSA
5.250%, 12/15/18 1,000 894
Clarksburg, Water Refunding
& Improvements, RB
6.100%, 09/01/04 450 471
6.200%, 09/01/05 500 523
6.250%, 09/01/19 430 431
Fairmont, Waterworks, RB
5.250%, 07/01/22 1,500 1,318
Fairmont, Waterworks, RB, MBIA
5.375%, 07/01/13 680 650
Harrison County, Board of
Education, GO, FGIC,
Escrowed to Maturity
6.200%, 05/01/04 850 891
6.400%, 05/01/07 175 188
Harrison County, Building
Commission, Health
Care-Maplewood Retirement,
RB, AMBAC
5.150%, 04/01/18 1,000 884
Harrison County, Common,
RB, AMBAC
6.300%, 05/01/23 860 856
Harrison County, Solid
Waste Disposal,
Monogalia Power Company,
Series A, RB, MBIA
6.875%, 04/15/22 2,150 2,244
Harrison County, Solid
Waste Disposal, Potomac
Edison Project, Series B,
RB, AMBAC
6.250%, 05/01/23 400 395
Harrison County, Solid Waste
Disposal, RB, MBIA
6.300%, 05/01/23 200 199
Harrison County, Solid Waste
Disposal, West Penn
Power Harrison Project,
Series B, RB, AMT
6.300%, 05/01/23 500 497
12
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Harrison County, Special Obligation
Bonds, Series A, Escrowed
to Maturity
6.250%, 05/15/10 $ 100 $ 104
Huntington County, Sewer System
Refunding, RB, FSA
5.375%, 11/01/23 1,000 891
Jefferson County, Public Service,
District Sewer Project,
Series A, RB
5.125%, 10/01/18 215 191
Kanawha & Putnam Counties,
Huntington/Charleston, Single
Family Mortgage,
Series A, RB, Escrowed
to Maturity (A)
6.280%, 12/01/16 2,000 717
Kanawha County, Residential
Mortgage, RB,
FGIC, Escrowed to
Maturity
7.375%, 09/01/11 285 322
Kanawha County, Single
Family Mortgage, RB,
FGIC, Escrowed to Maturity
7.300%, 12/01/04 805 865
7.400%, 12/01/10 185 204
Logan County, Health Care
Center Project, RB,
Escrowed to Maturity
8.000%, 12/01/16 690 814
Marshall County, Pollution
Control, Ohio Power Project,
Series B, RB, MBIA
5.450%, 07/01/14 900 867
Marshall County,
Pollution Control,
Ohio Power Project,
Series C, RB, MBIA
6.850%, 06/01/22 1,000 1,047
Mason County, Pollution Control,
Ohio Power Project,
Series B, RB, AMBAC
5.450%, 12/01/16 720 679
Monongalia County, Board
of Education,
Series A, GO, MBIA
7.000%, 04/01/03 1,000 1,064
Monongalia County,
Community Building,
Series A, RB
5.750%, 11/15/14 175 152
6.000%, 11/15/27 300 254
Monongalia County, Single
Family Mortgage, RB,
Escrowed to Maturity
7.200%, 03/01/11 1,280 1,370
Morgantown, Building Commission,
Municipal Lease, RB, MBIA
5.750%, 01/01/19 250 243
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Ohio County, Board of Education,
GO, MBIA,
Escrowed to Maturity
5.250%, 06/01/16 $ 570 $ 542
5.250%, 06/01/17 830 783
Parkersburg, Waterworks
& Sewer System
Project, RB, FSA
5.800%, 09/01/19 2,660 2,600
Pea Ridge, Public Service,
District Sewer Project,
Series 1994, RB, AMBAC
7.000%, 05/01/20 10 11
Pleasants County, Pollution
Control, Monongahela Power
Project, Ser C, RB, AMBAC
6.150%, 05/01/15 500 505
Pleasants County, Pollution
Control, Potomac Edison
Project, RB, AMBAC
6.150%, 05/01/15 500 505
Pleasants County, Pollution
Control, West Penn
Power, RB, AMBAC
6.150%, 05/01/15 500 505
South Charleston, Herbert J.
Thomas Memorial Hospital
Project, Series A, RB, MBIA
5.500%, 10/01/09 520 520
Webster County, Multifamily
Housing, Circlebrook
Project, Series A, RB, FHA
6.500%, 04/01/18 1,010 1,031
West Virginia State College,
RB, AMBAC
6.000%, 04/01/06 225 234
6.000%, 04/01/07 425 439
6.000%, 04/01/12 890 919
West Virginia State University,
Dorm Project,
Series B, RB, AMBAC
5.000%, 05/01/22 400 336
West Virginia State University,
Marshall Library
Project, RB, AMBAC
5.750%, 04/01/16 1,000 978
West Virginia State University,
RB, AMBAC
6.000%, 04/01/07 400 414
6.000%, 04/01/12 700 723
West Virginia State University,
University Project,
Series A, RB, MBIA
5.250%, 04/01/28 1,000 869
West Virginia State, Board
of Directors,
State College, Series A,
RB, AMBAC
5.125%, 04/01/27 300 250
West Virginia State, Board
of Regents, RB, MBIA
5.900%, 04/01/04 290 297
(CONTINUED)
13
<PAGE>
STATEMENT OF NET ASSETS
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
West Virginia State, Board
of Regents, RB, MBIA,
Escrowed to Maturity
6.000%, 04/01/04 $ 175 $ 177
West Virginia State, Building
Commission,
Series A, RB, AMBAC
5.375%, 07/01/18 2,000 1,860
5.375%, 07/01/21 1,000 909
West Virginia State, Building
Commission,
Series A, RB, MBIA
5.250%, 07/01/09 1,500 1,483
West Virginia State, Building
Commission,
Series B, RB, AMBAC
5.000%, 07/01/21 1,595 1,362
West Virginia State, Economic
Development &
Tourism Authority, RB, FGIC
5.620%, 05/15/07 500 336
5.800%, 05/15/13 140 141
West Virginia State, Economic
Development &
Tourism Authority, RB, FGIC,
Escrowed to Maturity
5.100%, 07/01/03 250 211
West Virginia State, Highway
Improvements,
GO, FGIC
5.000%, 06/01/17 1,500 1,311
West Virginia State, Hospital
Finance Authority
RB, AMBAC
5.000%, 06/01/22 500 418
West Virginia State, Hospital
Finance Authority,
Charleston Area Medical
Center Project,
Series A, RB
6.500%, 09/01/16 875 850
West Virginia State, Hospital
Finance Authority,
Linked Bears and Bulls,
RB, MBIA
6.100%, 01/01/18 1,300 1,313
West Virginia State, Hospital
Finance Authority,
University Medical Center
Project, RB, MBIA
5.900%, 01/01/06 680 695
West Virginia State, Housing
Development Fund,
HUD Section 236, RB
6.000%, 12/15/08 600 595
6.000%, 12/15/09 600 595
West Virginia State, Housing
Development Fund,
Series A, RB
4.550%, 05/01/01 100 100
6.700%, 11/01/09 285 292
5.450%, 11/01/21 90 83
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
West Virginia State, Housing
Development Fund,
Series A, RB, AMBAC
5.500%, 11/01/11 $ 530 $ 517
West Virginia State, Housing
Development Fund,
Series E, RB
6.250%, 11/01/12 1,000 1,011
6.350%, 05/01/24 1,035 1,038
West Virginia State, School
Building Authority,
Capital Improvements,
RB, MBIA
6.250%, 07/01/01 500 511
West Virginia State, School
Building Authority,
Capital Improvements,
Series B, RB, MBIA
5.750%, 07/01/15 1,000 996
West Virginia State,
School Building Authority,
Series B, RB, FSA
5.125%, 07/01/13 100 93
West Virginia State,
Series A, GO, FGIC
5.000%, 11/01/21 1,500 1,271
5.750%, 11/01/21 2,340 2,223
5.200%, 11/01/26 4,000 3,460
5.250%, 11/01/26 3,820 3,328
West Virginia State,
Series D, GO, FGIC
5.000%, 11/01/21 2,500 2,122
5.250%, 11/01/23 200 176
6.500%, 11/01/26 1,000 1,031
West Virginia State,
State Road, GO
5.250%, 06/01/15 1,000 938
West Virginia State, Water
Development Authority,
Loan Program II, Series
A, RB, AMBAC
5.500%, 11/01/18 1,000 938
West Virginia State, Water
Development Authority,
Loan Program II, Series
A, RB, FSA
7.000%, 11/01/11 800 839
West Virginia State, Water
Development Authority,
Loan Program II, Series A, RB,
7.300%, 11/01/11 475 505
West Virginia State, Water
Development Authority,
Loan Program II,
Series A-II, RB, FSA
5.500%, 11/01/23 625 570
5.750%, 11/01/29 150 141
West Virginia State, Water
Development Authority,
Loan Program II,
Series B, RB, FSA
5.375%, 11/01/25 785 697
5.375%, 11/01/25 955 848
5.250%, 11/01/35 1,660 1,399
14
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000)/SHARES (000)
- --------------------------------------------------------------------------------
West Virginia State, Water
Development Authority,
Loan Program, Series A,
RB, FSA
7.000%, 11/01/25 $ 190 $ 199
West Virginia State, Water
Development Authority,
Loan Program, Series A-I,
RB, FSA
5.800%, 11/01/12 425 426
5.250%, 11/01/21 795 695
West Virginia State, Water
Development Authority,
Sewer System Loan Program, RB,
Escrowed to Maturity
7.100%, 11/01/09 1,190 1,263
West Virginia Water Development
Authority
Revenue Bonds Loan Program III, 200
Series A, AMBAC
6.000%, 07/01/15 500 494
Wheeling, Waterworks &
Sewage System,
Series B, RB, FGIC,
Pre-refunded @ 100 (B)
6.450%, 12/01/07 1,000 1,039
6.650%, 12/01/15 900 938
- --------------------------------------------------------------------------------
TOTAL WEST VIRGINIA 82,653
- --------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS (COST $86,149) 82,653
- --------------------------------------------------------------------------------
CASH EQUIVALENTS -- 0.1%
SEI Tax Exempt Trust,
Tax Free Portfolio 95,109 95
- --------------------------------------------------------------------------------
TOTAL CASH EQUIVALENTS (COST $95) 95
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.1% (COST $86,244) 82,748
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 0.9%
Other Assets and Liabilities, Net 751
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
8,122,178 outstanding shares
of beneficial interest $77,708
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
956,626 outstanding shares
of beneficial interest 9,674
Overdistributed net investment income (339)
Accumulated net realized loss on investments (48)
Net unrealized depreciation on investments (3,496)
- --------------------------------------------------------------------------------
TOTAL NET ASSETS -- 100.0% $83,499
- --------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.20
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $9.18
- --------------------------------------------------------------------------------
(A) Zero Coupon Security
(B) 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
FGIC -- Financial Guaranty Insurance Corporation
FHA -- Federal Housing Authority
FSA -- Financial Security Assurance
GO -- General Obligation
MBIA -- Municipal Bond Investors Association
RB -- Revenue Bond
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
STATEMENT OF NET ASSETS
GOVERNMENT SECURITIES PORTFOLIO
[PIE OMITTED] [% POINTS FOLLOW]
CORPORATE OBLIGATIONS 4.7%
MUNICIPAL BONDS 9.5%
U.S. TREASURY OBLIGATIONS 22.4%
REPURCHASE AGREEMENT 6.0%
PREFERRED STOCKS 2.9%
U.S. GOVERNMENT AGENCY OBLIGATIONS 54.5%
% OF TOTAL PORTFOLIO INVESTMENTS
PIE CHART UNAUDITED
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 22.3%
U.S. Treasury Bonds
8.375%, 08/15/08 $ 550 $ 576
8.750%, 11/15/08 300 319
7.250%, 05/15/16 1,000 1,050
7.500%, 11/15/24 500 552
6.000%, 02/15/26 1,000 925
6.125%, 11/15/27 500 470
U.S. Treasury Notes
8.000%, 05/15/01 631 642
6.250%, 01/31/02 500 496
7.875%, 11/15/04 500 522
7.625%, 02/15/07 1,000 1,016
5.625%, 05/15/08 500 465
U.S. Treasury STRIPS (A)
6.770%, 02/15/07 1,000 626
6.800%, 05/15/11 1,000 470
6.760%, 05/15/14 2,000 774
6.630%,11/15/20 1,400 361
13.980%, 02/15/21 3,000 753
- --------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS
(COST $10,570) 10,017
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 54.0%
FFCB MTN
5.690%, 03/03/00 $ 2,000 $ 1,999
6.150%, 03/03/03 1,000 978
8.400%, 12/01/05 1,500 1,584
6.900%, 09/08/15 600 572
FHLB
7.780%, 10/19/01 500 508
8.090%, 12/28/04 400 415
8.125%, 03/07/05 1,000 993
6.500%, 09/18/13 500 443
7.000%, 08/15/14 500 478
FHLB MTN
6.880%, 04/26/00 500 500
5.990%, 10/01/03 500 481
7.030%, 05/06/11 500 488
FHLMC
6.900%, 04/04/03 500 489
7.500%, 11/01/09 687 686
8.060%, 03/24/10 500 490
6.500%, 11/01/12 1,306 1,247
Financing Corporation
8.600%, 09/26/19 500 571
FNMA
6.240%, 01/14/08 1,000 925
FNMA MTN
6.250%, 03/10/03 500 486
FNMA STRIPS
8.580%, 07/24/05 1,000 677
FNMA, Callable 10/24/00 @ 100
6.400%, 10/24/02 500 489
Housing Urban Development
92a Scranton,
Callable 08/01/02 @ 100
7.800%, 08/01/10 400 403
Housing Urban Development
94a Abilene,
Callable 08/01/03 @ 100
7.180%, 08/01/13 160 157
Housing Urban Development
94a Barberton,
Callable 08/01/03 @ 100
7.180%, 08/01/13 520 505
Housing Urban Development
94a Egg Harbor,
Callable 08/01/03 @ 100
6.930%, 08/01/08 160 153
7.180%, 08/01/13 220 215
16
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
GOVERNMENT SECURITIES PORTFOLIO
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
Housing Urban Development
94a Ocean Shores,
Callable 08/01/03 @ 100
6.930%, 08/01/08 $ 225 $ 215
Housing Urban Development
94a Pohatcong
Township, Callable
08/01/03 @ 100
6.930%, 08/01/08 240 227
Housing Urban Development
94a Providence,
Callable 08/01/03 @ 100
6.930%, 08/01/08 130 124
Housing Urban Development
94a Roanoke,
Callable 08/01/03 @ 100
7.180%, 08/01/13 100 98
Housing Urban Development
94a Tacoma,
Callable 08/01/03 @ 100
7.080%, 08/01/11 365 345
Housing Urban Development
94a-I Montgomery,
Callable 08/01/03 @ 100
6.930%, 08/01/08 55 52
Housing Urban Development 99a,
Callable 08/01/08 @ 100
6.330%, 08/01/13 1,000 890
Private Export Funding
7.300%, 01/31/02 2,100 2,111
6.240%, 05/15/02 250 246
7.950%, 11/01/06 1,500 1,528
Small Business
Administration (A)
9.375%, 06/25/24 985 1,069
Tennessee Valley Authority (A)
10.230%, 10/15/09 1,000 498
- --------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY
OBLIGATIONS (COST $24,884) 24,335
- --------------------------------------------------------------------------------
MUNICIPAL BONDS -- 9.5%
Clayton, MO, Capital
Improvements, Taxable RB,
Series B, AMBAC,
Callable 12/01/07 @ 100
7.000%, 12/01/16 1,000 905
Fairview, MN, Hospital &
Health Care Services,
Taxable RB, Series B, MBIA
7.000%, 11/15/15 670 607
Gardena, CA, Financing
Agency, Taxable RB,
Pre-refunded @ 102 (B)
9.250%, 07/01/13 200 215
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000)/SHARES (000)
- --------------------------------------------------------------------------------
Henry County, GA, Water
& Sewer Authority,
Taxable RB, Series B, AMBAC
6.000%, 02/01/04 $ 250 $ 236
6.000%, 02/01/05 220 204
6.700%, 02/01/11 200 181
Las Vegas, NV, Fremont
Street Project, Taxable GO,
FGIC, Callable 07/01/03 @ 101
7.200%, 07/01/15 800 743
Portsmouth, VA, Taxable GO,
Callable 07/15/07@102
6.630%, 07/15/14 500 441
Saint Paul, MN, Taxable
GO, Series B,
Callable 02/01/08 @ 100
6.450%, 02/01/15 500 433
San Bernardino County,
CA, Taxable RB,
Pre-refunded @ 102 (B)
8.500%, 03/01/14 275 289
- --------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS (COST $4,648) 4,254
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 4.6%
American Heavy Lift Title XI
7.180%, 06/01/17 200 203
BellSouth Telecom, Callable
05/15/05 @ 103.66
7.625%, 05/15/35 500 474
General Electric Capital MTN
6.020%, 12/15/03 500 479
Salomon Smith Barney
6.250%, 01/15/05 1,000 933
- --------------------------------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS (COST $2,224) 2,089
- --------------------------------------------------------------------------------
PREFERRED STOCKS -- 2.9%
Duke Capital Financing 20,000 425
Public Service of
Colorado Capital 20,000 425
Transcanada Pipeline 20,000 454
- --------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS (COST $1,500) 1,304
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 5.9%
Morgan Stanley
5.730%, dated 01/31/99, matures 02/01/00
repurchase price $2,678,907 (collateralized
by U.S.Government Agency Obligation:
total market value $2,732,899) 2,678 2,678
- --------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT (COST $2,678) 2,678
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.2% (COST $46,504) 44,677
- --------------------------------------------------------------------------------
(CONTINUED)
17
<PAGE>
STATEMENT OF NET ASSETS
GOVERNMENT SECURITIES PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION (000)
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 0.8%
Other Assets and Liabilities, Net $ 370
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
4,679,940 outstanding shares
of beneficial interest 44,991
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
186,979 outstanding shares
of beneficial interest 1,859
Accumulated net realized gain on investments 24
Net unrealized depreciation on investments (1,827)
- --------------------------------------------------------------------------------
TOTAL NET ASSETS -- 100.0% $45,047
- --------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.26
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $9.26
- --------------------------------------------------------------------------------
(A) Zero Coupon Security
(B) 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
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
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.
18
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
CAPITAL APPRECIATION PORTFOLIO
[PIE OMITTED] [% POINTS FOLLOW]
REPURCHASE AGREEMENT 3.0%
COMMON STOCKS 97.0%
% OF TOTAL PORTFOLIO INVESTMENTS
PIE CHART UNAUDITED
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 92.5%
Banking -- 1.0%
Citigroup Inc. 30,000 $ 1,723
- --------------------------------------------------------------------------------
TOTAL BANKING 1,723
- --------------------------------------------------------------------------------
Broadcasting, Newspapers and Advertising -- 3.0%
Clear Channel Communications 20,000 1,727
Univision Communications 18,000 1,928
Viacom, Cl B 31,000 1,717
- --------------------------------------------------------------------------------
TOTAL BROADCASTING, NEWSPAPERS
AND ADVERTISING 5,372
- --------------------------------------------------------------------------------
Communications Equipment -- 8.6%
Lucent Technologies 30,000 1,657
Motorola 46,370 6,341
Nokia, ADR 18,800 3,440
Qualcomm 30,000 3,810
- --------------------------------------------------------------------------------
TOTAL COMMUNICATIONS EQUIPMENT 15,248
- --------------------------------------------------------------------------------
Computer Networking Products -- 4.9%
Cisco Systems* 80,000 8,760
- --------------------------------------------------------------------------------
TOTAL COMPUTER NETWORKING PRODUCTS 8,760
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Computer Software -- 2.7%
Microsoft* 50,000 $ 4,894
- --------------------------------------------------------------------------------
TOTAL COMPUTER SOFTWARE 4,894
- --------------------------------------------------------------------------------
Computers & Services -- 6.9%
America Online* 84,000 4,783
Computer Sciences* 25,000 2,297
EMC** 26,000 2,769
Sun Microsystems* 32,000 2,514
- --------------------------------------------------------------------------------
TOTAL COMPUTERS & SERVICES 12,363
- --------------------------------------------------------------------------------
Conglomerates -- 5.9%
General Electric 50,000 6,669
Tyco International 89,400 3,822
- --------------------------------------------------------------------------------
TOTAL CONGLOMERATES 10,491
- --------------------------------------------------------------------------------
Drugs -- 6.9%
Amgen* 61,600 3,923
Biogen* 40,000 3,450
Biotech Holders Trust 11,000 1,768
Merck 20,000 1,576
Pfizer 43,000 1,564
- --------------------------------------------------------------------------------
TOTAL DRUGS 12,281
- --------------------------------------------------------------------------------
Fiber Optics --5.3%
Corning 27,800 4,288
JDS Uniphase 25,600 5,221
- --------------------------------------------------------------------------------
TOTAL GLASS PRODUCTS 9,509
- --------------------------------------------------------------------------------
Financial Services -- 5.4%
American Express 15,200 2,505
Charles Schwab 54,600 1,969
Goldman Sachs Group 20,000 1,833
Morgan Stanley Dean Witter
Discover 50,000 3,313
- --------------------------------------------------------------------------------
TOTAL FINANCIAL SERVICES 9,620
- --------------------------------------------------------------------------------
Household Products -- 1.2%
Colgate-Palmolive 37,000 2,192
- --------------------------------------------------------------------------------
TOTAL HOUSEHOLD PRODUCTS 2,192
- --------------------------------------------------------------------------------
Insurance -- 5.5%
AIG 57,750 6,013
Marsh & McLennan 39,400 3,704
- --------------------------------------------------------------------------------
TOTAL INSURANCE 9,717
- --------------------------------------------------------------------------------
(CONTINUED)
19
<PAGE>
STATEMENT OF NET ASSETS
CAPITAL APPRECIATION PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Internet Content -- 4.1%
Infospace.com 11,500 $ 1,611
Internet Capital Group 22,500 2,678
Safeguard Scientifics 20,700 2,939
- --------------------------------------------------------------------------------
TOTAL INTERNET CONTENT 7,228
- --------------------------------------------------------------------------------
Measuring Devices -- 2.9%
PE Corp-PE Biosystems 34,500 5,166
- --------------------------------------------------------------------------------
TOTAL MEASURING DEVICES 5,166
- --------------------------------------------------------------------------------
Miscellaneous Business Services -- 0.9%
Commerce One 10,000 1,723
- --------------------------------------------------------------------------------
TOTAL MISCELLANEOUS BUSINESS SERVICES 1,723
- --------------------------------------------------------------------------------
Retail -- 7.6%
CVS 78,700 2,750
Home Depot 58,350 3,304
Lowe's Companies 39,200 1,749
Wal-mart Stores 62,000 3,395
Walgreen 83,000 2,293
- --------------------------------------------------------------------------------
TOTAL RETAIL 13,491
- --------------------------------------------------------------------------------
Satellites -- 2.3%
Echostar Communications 23,500 1,914
General Motors-Class H
(Hughes Electronics) 19,000 2,137
- --------------------------------------------------------------------------------
TOTAL SATELLITES 4,051
- --------------------------------------------------------------------------------
Semi-Conductors/Instruments -- 11.4%
Analog Devices 40,000 3,740
Applied Materials* 20,700 2,841
Broadcom, Cl A 18,000 5,208
Intel 23,200 2,295
Texas Instruments 40,000 4,315
Xilinx 40,000 1,830
- --------------------------------------------------------------------------------
TOTAL SEMI-CONDUCTORS/INSTRUMENTS 20,229
- --------------------------------------------------------------------------------
Telephones & Telecommunications -- 6.0%
Bell Atlantic 46,000 2,849
Mediaone Group* 38,000 3,021
Nextel Communications, Cl A 27,000 2,872
Vodafone Airtouch, ADR 35,000 1,960
- --------------------------------------------------------------------------------
TOTAL TELEPHONES & TELECOMMUNICATIONS 10,702
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $80,237) 164,760
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.9%
JP Morgan
5.730%,dated 01/31/99,
matures 02/01/00 repurchase
price $5,113,686 (collateralized
by U.S.Government Agency
Obligation: total market
value $5,215,123) $5,113 $ 5,113
- --------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT (COST $5,113) 5,113
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 95.4% (COST $85,350) 169,873
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 4.6%
Other Assets and Liabilities, Net 8,180
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A
(unlimited authorization --
no par value) based on
7,428,194 outstanding shares
of beneficial interest 64,657
Portfolio Shares of Class B
(unlimited authorization --
no par value) based on
1,162,629 outstanding shares
of beneficial interest 15,808
Accumulated net investment loss (394)
Accumulated net realized gain on investments 13,459
Net unrealized appreciation on investments 84,523
- --------------------------------------------------------------------------------
TOTAL NET ASSETS -- 100.0% $178,053
- --------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $20.78
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $20.36
- --------------------------------------------------------------------------------
* 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.
20
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
EQUITY INCOME PORTFOLIO
[PIE OMITTED] [% POINTS FOLLOW]
CORPORATE OBLIGATIONS 1.4%
COMMON STOCKS 94.9%
REPURCHASE AGREEMENT 3.0%
PREFERRED STOCKS 0.7%
% OF TOTAL PORTFOLIO INVESTMENTS
PIE CHART UNAUDITED
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
COMMON STOCKS -- 95.4%
Aerospace & Defense -- 0.3%
Lockheed Martin 10,000 $ 187
- --------------------------------------------------------------------------------
TOTAL AEROSPACE & DEFENSE 187
- --------------------------------------------------------------------------------
Automotive -- 2.1%
Dana 20,000 470
Ford Motor 20,000 995
- --------------------------------------------------------------------------------
TOTAL AUTOMOTIVE 1,465
- --------------------------------------------------------------------------------
Banks -- 2.4%
Compass Bancshares 50,000 991
Wachovia 10,000 641
- --------------------------------------------------------------------------------
TOTAL BANKS 1,632
- --------------------------------------------------------------------------------
Broadcasting, Newspapers and Advertising -- 4.3%
Cablevision Systems, Cl A 5,000 382
Comcast, Cl A 11,000 506
Cox Communications 42,000 2,050
- --------------------------------------------------------------------------------
TOTAL BROADCASTING, NEWSPAPERS
AND ADVERTISING 2,938
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Chemicals -- 2.5%
B.F. Goodrich 35,000 $ 875
E.I. Du Pont de Nemours 14,000 826
- --------------------------------------------------------------------------------
TOTAL CHEMICALS 1,701
- --------------------------------------------------------------------------------
Communications Equipment-- 2.2%
Lucent Technologies 28,000 1,547
- --------------------------------------------------------------------------------
TOTAL COMMUNICATIONS EQUIPMENT 1,547
- --------------------------------------------------------------------------------
Computer Networking Products -- 1.5%
3Com 20,000 1,015
- --------------------------------------------------------------------------------
TOTAL COMPUTER NETWORKING PRODUCTS 1,015
- --------------------------------------------------------------------------------
Computers & Services -- 3.9%
International Business
Machines 24,000 2,692
- --------------------------------------------------------------------------------
TOTAL COMPUTERS & SERVICES 2,692
- --------------------------------------------------------------------------------
Conglomerates -- 3.5%
General Electric 18,000 2,401
- --------------------------------------------------------------------------------
TOTAL CONGLOMERATES 2,401
- --------------------------------------------------------------------------------
Cosmetics, Soaps & Toiletries -- 1.5%
Procter & Gamble 10,000 1,009
- --------------------------------------------------------------------------------
TOTAL COSMETICS, SOAPS & TOILETRIES 1,009
- --------------------------------------------------------------------------------
Drugs -- 6.2%
Bristol-Myers Squibb 24,000 1,584
Merck 24,000 1,891
Mylan Laboratories 30,000 799
- --------------------------------------------------------------------------------
TOTAL DRUGS 4,274
- --------------------------------------------------------------------------------
Electrical Utilities -- 6.6%
Allegheny Energy 40,000 1,097
Montana Power 60,000 2,430
Southern 40,000 1,025
- --------------------------------------------------------------------------------
TOTAL ELECTRICAL UTILITIES 4,552
- --------------------------------------------------------------------------------
Entertainment -- 1.6%
Walt Disney 30,000 1,089
- --------------------------------------------------------------------------------
TOTAL ENTERTAINMENT 1,089
- --------------------------------------------------------------------------------
(CONTINUED)
21
<PAGE>
STATEMENT OF NET ASSETS
EQUITY INCOME PORTFOLIO
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Financial Services -- 6.4%
A.G. Edwards & Sons 30,000 $ 994
American Express 15,000 2,472
Donaldson, Lufkin, & Jenrette 20,000 956
- --------------------------------------------------------------------------------
TOTAL FINANCIAL SERVICES 4,422
- --------------------------------------------------------------------------------
Food, Beverage & Tobacco-- 1.8%
H.J. Heinz 10,000 372
Quaker Oats 15,000 891
- --------------------------------------------------------------------------------
TOTAL FOOD, BEVERAGE & TOBACCO 1,263
- --------------------------------------------------------------------------------
Forestry -- 1.7%
Rayonier 26,500 1,139
- --------------------------------------------------------------------------------
TOTAL FORESTRY 1,139
- --------------------------------------------------------------------------------
Gas/Natural Gas -- 3.2%
Columbia Energy 10,000 650
Williams Company 40,000 1,550
- --------------------------------------------------------------------------------
TOTAL GAS/NATURAL GAS 2,200
- --------------------------------------------------------------------------------
Insurance -- 5.8%
Allstate 40,000 928
Jefferson Pilot 28,500 1,674
Marsh & McLennan 15,000 1,410
- --------------------------------------------------------------------------------
TOTAL INSURANCE 4,012
- --------------------------------------------------------------------------------
Machinery -- 5.0%
Lincoln Electric Holdings 60,000 1,174
Parker Hannifin 30,000 1,298
Timken 60,000 979
- --------------------------------------------------------------------------------
TOTAL MACHINERY 3,451
- --------------------------------------------------------------------------------
Petroleum & Fuel Products -- 4.7%
Kerr-McGee 30,000 1,661
Schlumberger 23,600 1,441
Transocean Sedco Forex 4,568 145
- --------------------------------------------------------------------------------
TOTAL PETROLEUM & FUEL PRODUCTS 3,247
- --------------------------------------------------------------------------------
Petroleum Refining -- 6.2%
Exxon Mobil 33,000 2,756
Lyondell Petrochemical 40,000 433
Texaco 20,000 1,058
- --------------------------------------------------------------------------------
TOTAL PETROLEUM REFINING 4,247
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
- --------------------------------------------------------------------------------
Printing & Publishing -- 6.8%
Knight-Ridder 25,800 $ 1,375
McGraw-Hill 44,000 2,467
Tribune 20,000 844
- --------------------------------------------------------------------------------
TOTAL PRINTING & PUBLISHING 4,686
- --------------------------------------------------------------------------------
Railroads -- 0.7%
Norfolk Southern 30,000 510
- --------------------------------------------------------------------------------
TOTAL RAILROADS 510
- --------------------------------------------------------------------------------
Real Estate Investment Trust -- 4.0%
Boykin Lodging 89,200 1,070
Host Marriott 60,000 532
Sovran Self Storage 60,000 1,136
- --------------------------------------------------------------------------------
TOTAL REAL ESTATE INVESTMENT TRUST 2,738
- --------------------------------------------------------------------------------
Steel & Steel Works -- 1.5%
Worthington Industries 70,000 1,011
- --------------------------------------------------------------------------------
TOTAL STEEL & STEEL WORKS 1,011
- --------------------------------------------------------------------------------
Telephones & Telecommunication -- 5.8%
Alltel 10,000 668
AT&T 27,000 1,424
Bell Atlantic 10,000 619
GTE 12,000 880
SBC 10,000 431
- --------------------------------------------------------------------------------
TOTAL TELEPHONES & TELECOMMUNICATION 4,022
- --------------------------------------------------------------------------------
Trucking -- 1.3%
CNF Transportation 30,000 898
- --------------------------------------------------------------------------------
TOTAL TRUCKING 898
- --------------------------------------------------------------------------------
Water Utilities -- 1.9%
American States Water 40,000 1,330
- --------------------------------------------------------------------------------
TOTAL WATER UTILITIES 1,330
- --------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $49,316) 65,678
- --------------------------------------------------------------------------------
PREFERRED STOCKS -- 0.7%
MCI 20,000 450
- --------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS (COST $495) 450
- --------------------------------------------------------------------------------
22
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
EQUITY INCOME PORTFOLIO (CONCLUDED)
- --------------------------------------------------------------------------------
FACE VALUE
DESCRIPTION AMOUNT (000) (000)
- --------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 1.4%
Internet Capital Group
5.500%, 12/21/04 $ 500 $ 537
Kerr-McGee
7.500%, 05/15/14 474 449
- --------------------------------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS (COST $1,194) 986
- --------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 3.1%
Morgan Stanley
5.730%, dated 01/31/99,
matures 02/01/00
repurchase price
$2,112,657 (collateralized
by U.S.Government Agency
Obligation: total market
value $2,175,739) 2,112 2,112
- --------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT (COST $2,112) 2,112
- --------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 100.6% (COST $53,117) 69,226
- --------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- (0.6)%
Other Assets and Liabilities, Net (398)
- --------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
4,458,928 outstanding shares of
beneficial interest 47,531
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
423,203 outstanding shares of
beneficial interest 4,982
Undistributed net investment income 4
Accumulated net realized gain on investments 202
Net unrealized appreciation on investments 16,109
- --------------------------------------------------------------------------------
Total Net Assets -- 100.0% $68,828
- --------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $14.10
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $14.10
- --------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements.
23
<PAGE>
STATEMENT OF OPERATIONS
- --------------------------------------------------------------------------------
FOR THE YEAR ENDED JANUARY 31, 2000
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
(IN THOUSANDS)
------------------------------------------------
PRIME OBLIGATIONS WEST VIRGINIA TAX-EXEMPT
PORTFOLIO INCOME PORTFOLIO
------------------------------------------------
INVESTMENT INCOME:
Interest income ............... $4,196 $ 5,178
Dividend income ............... -- --
- --------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME ......... 4,196 5,178
- --------------------------------------------------------------------------------
EXPENSES:
Administrator fees ............. 158 184
Investment advisory fees ....... 197 415
Less: investment advisory
fees waived .................. (119) (48)
Sub-advisory fees .............. 59 --
Custodian fees ................. 8 9
Professionalfees ............... 10 13
Registration & filing fees ..... 6 7
Printing expenses .............. 11 22
Trustee fees ................... 4 6
Pricing fees ................... 4 11
Distribution fees (1) .......... 20 27
Transfer agent fees ............ 47 43
Miscellaneous expenses ......... 1 1
- --------------------------------------------------------------------------------
TOTAL EXPENSES ................. 406 690
- --------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ... 3,790 4,488
- --------------------------------------------------------------------------------
Net realized gain (loss) on
investments .................. (1) 260
Net change in unrealized appreciation
(depreciation) on investments . -- (9,481)
- --------------------------------------------------------------------------------
Net Realized and Unrealized Gain
(Loss) on Investments ........ (1) (9,221)
================================================================================
Increase (Decrease) in Net Assets
Resulting from Operations ..... $3,789 $(4,733)
================================================================================
(1) Distribution fees are only incurred on Class B shares.
The accompanying notes are an integral part of the financial statements.
24
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
(IN THOUSANDS)
- --------------------------------------------------------------------------------
GOVERNMENT SECURITIES CAPITAL APPRECIATION EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------
$ 3,168 $ 412 $ 164
116 637 1,627
- --------------------------------------------------------------------------------
3,284 1,049 1,791
- --------------------------------------------------------------------------------
98 307 138
366 1,457 510
(140) (427) (73)
-- -- --
9 20 7
11 39 11
4 11 6
9 35 9
3 10 4
4 9 4
5 41 15
40 99 44
1 4 6
- --------------------------------------------------------------------------------
410 1,605 681
- --------------------------------------------------------------------------------
2,874 (556) 1,110
- --------------------------------------------------------------------------------
97 26,328 942
(4,621) 14,583 3,557
- --------------------------------------------------------------------------------
(4,524) 40,911 4,499
================================================================================
$(1,650) $40,355 $5,609
================================================================================
The accompanying notes are an integral part of the financial statements.
25
<PAGE>
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
FOR THE YEARS ENDED JANUARY 31,
(IN THOUSANDS)
---------------------------
PRIME OBLIGATIONS
PORTFOLIO
- --------------------------------------------------------------------------------
2000 1999
- --------------------------------------------------------------------------------
OPERATIONS:
Net investment income ........................... $ 3,790 $ 3,170
Net realized gain (loss) on investments ......... (1) 1
Net change in unrealized appreciation
(depreciation) on investments ................. -- --
- --------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS ................................... 3,789 3,171
- --------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A ........................................ (3,422) (2,846)
Class B ........................................ (368) (324)
Realized gains:
Class A ........................................ -- --
Class B ........................................ -- --
- --------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ............................. (3,790) (3,170)
- --------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued ................... 203,697 185,391
Reinvestment of cash distributions ............ -- 241
Cost of shares redeemed ....................... (197,434) (176,344)
- --------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS ...................... 6,263 9,288
- --------------------------------------------------------------------------------
Class B:
Proceeds from shares issued ................... 356,943 155,956
Reinvestment of cash distributions ............ 129 150
Cost of shares redeemed ....................... (347,403) (158,520)
- --------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS ...................... 9,669 (2,414)
- --------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS ........................ 15,932 6,874
- --------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ......... 15,931 6,875
- --------------------------------------------------------------------------------
NET ASSETS:
Beginning of year ............................. 65,602 58,727
- --------------------------------------------------------------------------------
End of year ................................... $ 81,533 $ 65,602
================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued ................................. 203,697 185,391
Shares issued in lieu of cash distributions ... -- 241
Shares redeemed ............................... (197,434) (176,344)
- --------------------------------------------------------------------------------
TOTAL CLASS A SHARE TRANSACTIONS ................ 6,263 9,288
- --------------------------------------------------------------------------------
Class B:
Shares issued ................................. 356,943 155,956
Shares issued in lieu of cash distributions ... 129 150
Shares redeemed ............................... (347,403) (158,520)
- --------------------------------------------------------------------------------
TOTAL CLASS B SHARE TRANSACTIONS ................ 9,669 (2,414)
- --------------------------------------------------------------------------------
TOTAL SHARE TRANSACTIONS ........................ 15,932 6,874
================================================================================
The accompanying notes are an integral part of the financial statements.
26
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
- --------------------------------------------------------------------------------
(IN THOUSANDS)
- --------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT GOVERNMENT SECURITIES
INCOME PORTFOLIO PORTFOLIO
- --------------------------------------------------------------------------------
2000 1999 2000 1999
- --------------------------------------------------------------------------------
$ 4,488 $ 4,663 $ 2,874 $ 2,902
260 564 97 686
(9,481) (35) (4,621) 183
(4,733) 5,192 (1,650) 3,771
(4,288) (4,265) (2,769) (2,798)
(537) (400) (109) (100)
(428) (939) (165) (772)
(60) (97) (7) (32)
- --------------------------------------------------------------------------------
(5,313) (5,701) (3,050) (3,702)
- --------------------------------------------------------------------------------
4,501 12,367 7,960 9,227
428 938 165 772
(11,580) (7,655) (11,909) (8,553)
- --------------------------------------------------------------------------------
(6,651) 5,650 (3,784) 1,446
- --------------------------------------------------------------------------------
3,863 2,477 348 942
322 405 86 107
- --------------------------------------------------------------------------------
(3,694) (1,019) (580) (506)
- --------------------------------------------------------------------------------
491 1,863 (146) 543
- --------------------------------------------------------------------------------
(6,160) 7,513 (3,930) 1,989
- --------------------------------------------------------------------------------
(16,206) 7,004 (8,630) 2,058
- --------------------------------------------------------------------------------
99,705 92,701 53,677 51,619
- --------------------------------------------------------------------------------
$83,499 $99,705 $45,047 $53,677
================================================================================
459 1,206 822 908
45 91 18 75
(1,171) (747) (1,230) (838)
- --------------------------------------------------------------------------------
(667) 550 (390) 145
- --------------------------------------------------------------------------------
388 242 36 93
33 39 9 10
(388) (99) (60) (50)
- --------------------------------------------------------------------------------
33 182 (15) 53
- --------------------------------------------------------------------------------
(634) 732 (405) 198
================================================================================
The accompanying notes are an integral part of the financial statements.
27
<PAGE>
<TABLE>
<CAPTION>
STATEMENT OF CHANGES IN NET ASSETS
- ---------------------------------------------------------------------------------------------------------------------------
FOR THE YEARS ENDED JANUARY 31,
(IN THOUSANDS)
-----------------------------------------------------------------
CAPITAL APPRECIATION
PORTFOLIO
- ---------------------------------------------------------------------------------------------------------------------------
2000 1999
- ---------------------------------------------------------------------------------------------------------------------------
OPERATIONS:
<S> <C> <C>
Net investment income (loss) ..................... $ (556) $ (90)
Net realized gain on investments ................. 26,328 10,750
Net change in unrealized appreciation (depreciation)
on investments .................................. 14,583 38,187
- ---------------------------------------------------------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING
FROM INVESTMENT OPERATIONS ..................... 40,355 48,847
- ---------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A ......................................... (1) --
Class B ........................................ -- --
Net realized gains:
Class A ......................................... (14,145) (12,234)
Class B ......................................... (1,253) (832)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS (15,399) (13,066)
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued ..................... 6,964 5,860
Reinvestment of cash distributions .............. 14,145 12,234
Cost of shares redeemed ......................... (26,576) (24,460)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS (5,467) (6,366)
- ---------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued ..................... 353,545 140,979
Reinvestment of cash distributions .............. 1,051 822
Cost of shares redeemed ......................... (352,528) (133,789)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS 2,068 8,012
- ---------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS ........................ (3,399) 1,646
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ........... 21,557 37,427
- ---------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of year ................................. 156,496 119,069
- ---------------------------------------------------------------------------------------------------------------------------
End of year ....................................... $178,053 $ 156,496
- ---------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued ................................... 376 374
Shares issued in lieu of cash distributions ..... 738 866
Shares redeemed ................................. (1,436) (1,539)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A SHARE TRANSACTIONS ................... (322) (299)
- ---------------------------------------------------------------------------------------------------------------------------
Class B:
Shares issued ................................... 19,258 9,335
Shares issued in lieu of cash distributions ..... 56 59
Shares redeemed ................................. (19,166) (8,812)
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B SHARE TRANSACTIONS ................... 148 582
- ---------------------------------------------------------------------------------------------------------------------------
TOTAL SHARE TRANSACTIONS ........................... (174) 283
============================================================================================================================
*Commenced operations on August 2, 1996.
The accompanying notes are an integral part of the financial statements.
</TABLE>
28
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
- --------------------------------------------------------------------------------
(IN THOUSANDS)
- --------------------------------------------------------------------------------
EQUITY INCOME
PORTFOLIO
- --------------------------------------------------------------------------------
2000 1999
- --------------------------------------------------------------------------------
$1,110 $ 1,068
942 2,415
3,557 4,167
- --------------------------------------------------------------------------------
5,609 7,650
- --------------------------------------------------------------------------------
(994) (992)
(80) (95)
(1,211) (2,596)
(118) (270)
- --------------------------------------------------------------------------------
(2,403) (3,953)
- --------------------------------------------------------------------------------
17,500 6,541
1,211 2,596
(10,798) (8,554)
- --------------------------------------------------------------------------------
7,913 583
- --------------------------------------------------------------------------------
1,397 3,150
145 333
(2,134) (1,216)
- --------------------------------------------------------------------------------
(592) 2,267
- --------------------------------------------------------------------------------
7,321 2,850
- --------------------------------------------------------------------------------
10,527 6,547
- --------------------------------------------------------------------------------
58,301 51,754
- --------------------------------------------------------------------------------
$68,828 $58,301
================================================================================
1,245 492
84 205
(745) (632)
- --------------------------------------------------------------------------------
584 65
- --------------------------------------------------------------------------------
97 236
10 26
(146) (91)
- --------------------------------------------------------------------------------
(39) 171
- --------------------------------------------------------------------------------
545 236
================================================================================
The accompanying notes are an integral part of the financial statements.
29
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD 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
- ------------------------------------------------------------------------------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C>
2000 $ 1.00 $0.05 $ 0.00 $(0.05) $ 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
CLASS B
2000 $ 1.00 $0.05 $ 0.00 $(0.05) $ 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
- ------------------------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
- ------------------------------------------------------------------------------------------------
CLASS A
2000 $10.27 $0.48 $(0.98) $(0.52) $(0.05) $ 9.20
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
CLASS B
2000 $10.26 $0.44 $(0.98) $(0.49) $(0.05) $ 9.18
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
- ------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
- ------------------------------------------------------------------------------------------------
CLASS A
2000 $10.18 $0.57 $(0.88) $(0.57) $(0.04) $ 9.26
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
CLASS B
2000 $10.19 $0.54 $(0.89) $(0.54) $(0.04) $ 9.26
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
The accompanying notes are an integral part of the financial statements.
</TABLE>
30
<PAGE>
<TABLE>
<CAPTION>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
- ----------------------------------------------------------------------------------------
RATIO OF
RATIO OF NET INVESTMENT
NET RATIO OF INCOME TO
RATIO OF INVESTMENT EXPENSES 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
- ----------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
4.96% $67,724 0.49% 4.83% 0.64% 4.68% N/A
5.20 61,465 0.49 5.06 0.66 4.89 N/A
5.33 52,177 0.49 5.21 0.65 5.05 N/A
5.11 90,301 0.49 5.00 0.66 4.83 N/A
5.65 84,660 0.49 5.50 0.64 5.35 N/A
- ----------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
4.70% $13,809 0.74% 4.62% 0.89% 4.47% N/A
4.94 4,137 0.74 4.82 0.91 4.65 N/A
5.07 6,550 0.74 4.96 0.90 4.80 N/A
4.85 7,501 0.74 4.75 0.91 4.58 N/A
5.39 6,154 0.74 5.15 0.89 5.00 N/A
- ----------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
(5.04)% $74,709 0.72% 4.90% 0.77% 4.85% 10%
5.47 90,228 0.72 4.77 0.79 4.70 14
9.55 85,043 0.75 5.00 0.80 4.96 17
3.35 92,619 0.75 5.01 0.85 4.91 26
13.66 36,611 0.75 5.02 0.89 4.88 43
- ----------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
(5.39)% $ 8,790 0.97% 4.65% 1.02% 4.60% 10%
5.11 9,477 0.97 4.52 1.04 4.45 14
9.28 7,658 1.00 4.74 1.05 4.70 17
3.19 6,191 1.00 4.76 1.10 4.66 26
13.26 4,312 1.00 4.78 1.14 4.64 43
- ----------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
(3.11)% $43,315 0.83% 5.89% 1.11% 5.61% 10%
7.39 51,614 0.83 5.54 1.11 5.26 11
10.44 50,100 0.83 5.77 1.05 5.55 21
1.83 59,014 0.83 5.75 1.16 5.42 46
18.14 60,228 0.83 5.68 1.11 5.40 28
(3.45)% $ 1,732 1.08% 5.64% 1.36% 5.36% 10%
7.12 2,063 1.08 5.28 1.36 5.00 11
10.16 1,519 1.08 5.52 1.30 5.30 21
1.69 1,830 1.08 5.50 1.41 5.17 46
17.72 1,167 1.08 5.39 1.36 5.11 28
</TABLE>
The accompanying notes are an integral part of the financial statements.
31
<PAGE>
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ENDED JANUARY 31,
<TABLE>
<CAPTION>
DISTRI- NET
NET ASSET NET REALIZED DISTRIBUTIONS BUTIONS 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
- ---------------------------------------------------------------------------------------
CLASS A
<S> <C> <C> <C> <C> <C> <C>
2000 $17.89 $(0.06) $ 5.04 $ 0.00 $(2.09) $20.78
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
CLASS B
2000 $17.61 $(0.17) $ 5.01 $ 0.00 $(2.09) $20.36
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
- ---------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
- ---------------------------------------------------------------------------------------
CLASS A
2000 $13.44 $ 0.23 $ 0.93 $(0.22) $(0.28) $14.10
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
2000 $13.44 $ 0.24 $ 0.89 $(0.19) $(0.28) $14.10
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
- ---------------------------------------------------------------------------------------
(1) Commenced operations on August 2, 1996. All ratios for the period have been
annualized.
</TABLE>
The accompanying notes are an integral part of the financial statements.
32
<PAGE>
<TABLE>
<CAPTION>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
- ----------------------------------------------------------------------------------------
RATIO OF
RATIO OF NET INVESTMENT
NET RATIO OF INCOME (LOSS)
RATIO OF INVESTMENT EXPENSES 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
- ---------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
28.81% $154,385 1.02% (0.34)% 1.30% (0.62)% 54%
42.72 138,624 1.02 (0.05) 1.28 (0.31) 74
17.12 113,048 1.02 0.09 1.28 (0.17) 118
22.06 118,873 1.02 (0.01) 1.28 (0.27) 90
41.31 99,612 1.02 0.08 1.27 (0.17) 119
28.47% $ 23,668 1.27% (0.59)% 1.55% (0.87)% 54%
42.34 17,872 1.27 (0.28) 1.53 (0.54) 74
16.76 6,021 1.27 (0.16) 1.53 (0.42) 118
21.81 4,482 1.27 (0.27) 1.53 (0.53) 90
40.88 2,233 1.27 (0.16) 1.52 (0.41) 119
- ---------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
8.49% $ 62,863 0.96% 1.63% 1.07% 1.52% 15%
14.69 52,095 0.96 1.97 1.09 1.84 47
18.44 48,076 1.11 2.26 1.15 2.22 68
13.98 41,580 1.20 3.27 1.25 3.22 10
8.23% $ 5,965 1.21% 1.39% 1.32% 1.28% 15%
14.43 6,206 1.21 1.72 1.34 1.59 47
18.07 3,678 1.36 2.01 1.40 1.97 68
13.98 1,504 1.45 3.02 1.50 2.97 10
- ---------------------------------------------------------------------------------------
The accompanying notes are an integral part of the financial statements.
</TABLE>
33
<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 OVBFamily 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
IncomePortfolio (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.
34
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
- -------------------------------------------------------------------------------
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)
35
<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 -- .25%, 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
36
<PAGE>
(LOGO) [GRAPHIC OMITTED]
- --------------------------------------------------------------------------------
January 31, 2000
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
.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 theAdministrator 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 SEIInvestments Distribution Co. (the "Distributor"),
a wholly-owned subsidiary of SEIInvestments 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. TRANSACTIONS WITH AFFILIATES:
Certain officers of the Trust and a Trustee are also officers of the
Administrator and/or Distributor.Such officers are paid no fees by theTrust for
serving in their respective roles.
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 January 31, 2000
were as follows:
U.S. GOVERNMENT OTHER INVESTMENT
SECURITIES SECURITIES
--------------- ----------------
PURCHASES SALES PURCHASES SALES
PORTFOLIO (000) (000) (000) (000)
- -------- --- --- --- ---
West Virginia
Tax-Exempt Income $ -- $ -- $ 8,782$ 15,397
Government
Securities 3,418 9,019 1,013 661
Capital Appreciation -- -- 78,354 103,336
Equity Income -- -- 15,465 9,982
(CONTINUED)
37
<PAGE>
NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
At January 31, 2000, 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
January 31, 2000, for each Equity and Fixed Income Portfolio is as follows:
NET
UNREALIZED
APPRECIATED DEPRECIATED APPRECIATION/
SECURITIES SECURITIES DEPRECIATION
PORTFOLIO (000) (000) (000)
- --------- ----------- --------- ------------
West Virginia
Tax-Exempt
Income $ 1,106 $(4,602) $ (3,496)
Government
Securities 310 (2,137) (1,827)
Capital
Appreciation 85,289 (766) 84,523
Equity
Income 18,707 (2,598) 16,109
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.
38
<PAGE>
(LOGO) [GRAPHIC OMITTED]
January 31, 2000
REPORT OF INDEPENDENT ACCOUNTANTS
- --------------------------------------------------------------------------------
TO THE SHAREHOLDERS AND BOARD OF TRUSTEES
OF THE ARBOR FUND
In our opinion, the accompanying statements of net assets and the
related statements of operations and of changes in net assets and the
financial highlights present fairly, in all material respects, the
financial position of OVB Prime Obligations, OVB West Virginia
Tax-Exempt Income, OVB Government Securities, OVB Capital Appreciation
and OVB Equity Income Portfolios (separately managed portfolios of The
Arbor Fund, hereafter referred to as the "Trust") at January 31, 2000,
the results of each of their operations for the year then ended, the
changes in each of their net assets for each of the two years in the
period then ended and the financial highlights for each of the periods
presented, in conformity with accounting principles generally accepted
in the United States. These financial statements and financial
highlights (hereafter referred to as "financial statements") are the
responsibility of the Trust's management; our responsibility is to
express an opinion on these financial statements based on our audits. We
conducted our audits of these financial statements in accordance with
auditing standards generally accepted in the United States, which
require that we plan and perform the audit to obtain reasonable
assurance about whether the financial statements are free of material
misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements,
assessing the accounting principles used and significant estimates made
by management, and evaluating the overall financial statement
presentation. We believe that our audits, which included confirmation of
securities at January 31, 2000 by correspondence with the custodian and
brokers, provide a reasonable basis for the opinion expressed above.
PricewaterhouseCoopersLLP
Philadelphia, PA
March 20, 2000
39
<PAGE>
NOTICE TO SHAREHOLDERS OF THE OVB FUNDS
UNAUDITED
FOR TAXPAYERS FILING ON A CALENDAR YEAR BASIS, THIS NOTICE IS FOR INFORMATIONAL
PURPOSES ONLY.
For the fiscal year ended January 31, 2000, each fund is designating long term
qualifying dividends, and exempt income with regard to distributions paid during
the year as follows:
<TABLE>
<CAPTION>
LONG TERM ORDINARY TAX EXEMPT
CAPITAL GAINS INCOME INCOME
DISTRIBUTIONS DISTRIBUTIONS DISTRIBUTIONS
PORTFOLIO (TAX BASIS) (TAX BASIS) (TAX BASIS)
- --------- ------------ ------------- ----------
<S> <C> <C> <C>
Prime Obligations Money Market.................... 0.00% 100.00% 0.00%
Capital Appreciation.............................. 100.00 0.00 0.00
Equity Income..................................... 54.19 45.81 0.00
Government Securities............................. 5.62 94.38 0.00
West Virginia Tax-Exempt Income................... 8.80 0.34 90.86
</TABLE>
QUALIFYING
PORTFOLIO DIVIDENDS (1)
- --------- --------------
Prime Obligations Money Market.................... 0.00%
Capital Appreciation.............................. 100.00
Equity Income..................................... 100.00
Government Securities............................. 3.94
West Virginia Tax-Exempt Income................... 0.00
Please consult your tax adviser for proper treatment of this information.
(1) Qualifying dividends represent dividends which qualify for the corporate
dividends received deduction.
40
<PAGE>
[LOGO]
<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-004-07
