-------------
JULY 31, 2000
-------------
[LOGO OF OVB WITH TRADEMARK OMITTED]
THE OVB FUNDS
PORTFOLIOS OF THE ARBOR FUND
----------------
2000 SEMI-ANNUAL
REPORT
TO SHAREHOLDERS
(UNAUDITED)
----------------
<PAGE>
[LOGO OF THE OVB FUNDS OMITTED]
[GRAPHIC OMITTED]
TABLE OF CONTENTS
-----------------------------------------------------
Statement of Net Assets........................... 1
Statements of Operations.......................... 14
Statements of Changes in Net Assets............... 16
Financial Highlights.............................. 20
Notes to Financial Statements..................... 24
---------------------------
THE OVB FUNDS:
[BULLET] NOT FDIC INSURED
[BULLET] NO BANK GUARANTEE
[BULLET] MAY LOSE VALUE
---------------------------
[LOGO OMITTED]
<PAGE>
-----------------------
STATEMENT OF NET ASSETS
-----------------------
[LOGO OMITTED]
JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
PRIME OBLIGATIONS PORTFOLIO
--------------------------------------------------------------------------------
[PIE CHART OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PIE CHART ARE AS FOLLOWS:
Commercial Paper 61.1%
Repurchase Agreements 9.2%
Certificates of Deposit 8.1%
Corporate Obligations 14.9%
U.S. Government Agency Obligation 2.7%
Insurance Funding Agreements 4.0%
% of Total Portfolio Investments
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
COMMERCIAL PAPER -- 61.1%
Chemicals -- 4.0%
E.I Dupont de Nemours
6.550%, 08/21/00 $ 3,000 $ 2,989
--------------------------------------------------------------------------------
TOTAL CHEMICALS 2,989
--------------------------------------------------------------------------------
Financial Services -- 19.5%
Enterprise Funding
6.520%, 08/04/00 2,500 2,499
General Electric Capital
6.580%, 09/07/00 2,500 2,483
GMAC
6.550%, 08/14/00 1,450 1,447
Goldman Sachs
6.610%, 08/09/00 1,000 998
Halifax
6.580%, 09/06/00 1,180 1,172
KFW International Finance
6.480%, 08/15/00 2,000 1,995
Prudential Funding
6.510%, 09/18/00 2,000 1,983
Variable Funding Capital (A)
6.550%, 08/07/00 2,000 1,998
--------------------------------------------------------------------------------
TOTAL FINANCIAL SERVICES 14,575
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
Food, Beverage & Tobacco -- 3.5%
Coca-Cola
6.470%, 08/03/00 $ 1,010 $ 1,010
Kellogg
6.550%, 08/04/00 1,600 1,599
--------------------------------------------------------------------------------
TOTAL FOOD, BEVERAGE & TOBACCO 2,609
--------------------------------------------------------------------------------
Household Products -- 2.1%
Fortune Brands
6.480%, 08/23/00 1,550 1,544
--------------------------------------------------------------------------------
TOTAL HOUSEHOLD PRODUCTS 1,544
--------------------------------------------------------------------------------
Leasing & Renting -- 3.0%
International Lease Finance
6.470%, 08/21/00 2,280 2,272
--------------------------------------------------------------------------------
TOTAL LEASING & RENTING 2,272
--------------------------------------------------------------------------------
Printing & Publishing -- 2.9%
New York Times
6.550%, 08/08/00 1,200 1,198
6.620%, 08/09/00 1,000 999
--------------------------------------------------------------------------------
TOTAL PRINTING & PUBLISHING 2,197
--------------------------------------------------------------------------------
Retail -- 2.7%
Wal-Mart
6.480%, 08/29/00 2,000 1,990
--------------------------------------------------------------------------------
TOTAL RETAIL 1,990
--------------------------------------------------------------------------------
Special Purpose Entity -- 16.7%
Aesop Funding
6.660%, 08/16/00 2,000 1,994
Apreco
6.600%, 08/15/00 3,000 2,992
Delaware Funding
6.520%, 08/18/00 2,500 2,492
Falcon Asset
6.520%, 08/10/00 2,500 2,496
Park Avenue Receivable
6.510%, 08/25/00 2,500 2,489
--------------------------------------------------------------------------------
TOTAL SPECIAL PURPOSE ENTITY 12,463
--------------------------------------------------------------------------------
Telephones & Telecommunication -- 2.7%
Bell Atlantic
6.480%, 08/29/00 2,000 1,990
--------------------------------------------------------------------------------
TOTAL TELEPHONES & TELECOMMUNICATION 1,990
--------------------------------------------------------------------------------
Wholesale -- 4.0%
Sysco
6.580%, 09/22/00 3,000 2,971
--------------------------------------------------------------------------------
TOTAL WHOLESALE 2,971
--------------------------------------------------------------------------------
TOTAL COMMERCIAL PAPER (COST $45,600) 45,600
--------------------------------------------------------------------------------
(CONTINUED) 1
<PAGE>
-----------------------
STATEMENT OF NET ASSETS
-----------------------
--------------------------------------------------------------------------------
PRIME OBLIGATIONS PORTFOLIO (CONCLUDED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
-------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATION -- 2.7%
FNMA, MTN
6.520%, 03/16/01 $ 2,000 $ 1,999
-------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATION
(COST $1,999) 1,999
-------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 14.9%
Banks -- 2.7%
Key Bank
6.500%, 01/29/01 1,000 1,000
Key Bank (B)
6.893%, 08/31/00 1,000 1,000
-------------------------------------------------------------------------------
TOTAL BANKS 2,000
-------------------------------------------------------------------------------
Communication Services -- 2.7%
SBC Communications (A) (B)
6.684%, 08/15/00 2,000 2,000
-------------------------------------------------------------------------------
TOTAL COMMUNICATION SERVICES 2,000
-------------------------------------------------------------------------------
Financial Services -- 7.4%
Ford Motor Credit, MTN (B)
6.729%, 08/18/00 2,000 2,000
GMAC, MTN
6.375%, 09/19/00 560 560
Monumental Life Insurance (B)
6.480%, 08/01/00 1,500 1,500
SMM Trust (A) (B)
6.649%, 08/14/00 1,500 1,500
-------------------------------------------------------------------------------
TOTAL FINANCIAL SERVICES 5,560
-------------------------------------------------------------------------------
Technology -- 2.1%
IBM, MTN
5.950%, 08/17/00 1,600 1,600
-------------------------------------------------------------------------------
TOTAL TECHNOLOGY 1,600
-------------------------------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS (COST $11,160) 11,160
-------------------------------------------------------------------------------
CERTIFICATES OF DEPOSIT -- 8.0%
Deutsche Bank
6.550%, 01/22/01 1,000 1,000
First Union
6.740%, 02/15/01 1,000 1,000
First USA Bank
6.050%, 09/18/00 1,000 1,000
Harris Bankcorp
6.560%, 09/06/00 2,000 2,000
Svenska Handels
6.750%, 03/16/01 1,000 1,000
-------------------------------------------------------------------------------
TOTAL CERTIFICATES OF DEPOSIT (COST $6,000) 6,000
-------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
INSURANCE FUNDING AGREEMENTS -- 4.0%
Metropolitan Life (B)
6.471%, 08/01/00 $ 1,000 $ 1,000
Travelers Insurance (B)
6.923%, 08/31/00 2,000 2,000
-------------------------------------------------------------------------------
TOTAL INSURANCE FUNDING AGREEMENTS (COST $3,000) 3,000
-------------------------------------------------------------------------------
REPURCHASE AGREEMENTS -- 9.2%
Lehman Brothers
6.540%, dated 07/31/00,
matures 08/01/00 repurchase price
$506,091 (collateralized by U.S. Treasury
STRIPS: total market value $526,120) 506 506
UBS Warburg
6.630%, dated 07/31/00,
matures 08/01/00 repurchase price
$6,401,179 (collateralized by FNMA:
total market value $6,532,153) 6,400 6,400
-------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENTS (COST $6,906) 6,906
-------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.9% (COST $74,665) 74,665
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 0.1%
Other Assets and Liabilities, Net 97
-------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
61,984,995 outstanding shares of beneficial interest 61,985
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
12,775,162 outstanding shares of beneficial interest 12,774
Accumulated undistributed net investment income 25
Accumulated net realized loss on investments (2)
--------------------------------------------------------------------------------
Total Net Assets -- 100.0% $74,762
--------------------------------------------------------------------------------
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) Private Placement Security
(B) Floating rate instrument. Rate reflected on the Statement of Net Assets is
the rate in effect on July 31, 2000. The date shown is the next scheduled
reset date.
FNMA -- Federal National Mortgage Association
MTN -- Medium Term Note
STRIPS -- Separate Trading of Registered Interest and Principal of Securities
The accompanying notes are an integral part of the financial statements.
2
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JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
--------------------------------------------------------------------------------
[PIE CHART OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PIE CHART ARE AS FOLLOWS:
Municipal Bonds 99.2%
Cash Equivalent 0.8%
% of Total Portfolio Investments
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
MUNICIPAL BONDS -- 98.1%
West Virginia -- 98.1%
Beckley, Industrial Development Authority,
Beckley Water Project, RB, AMT
7.000%, 10/01/17 $1,000 $1,045
Beckley, Nursing Facility, Health Care
Project, Series A, RB
6.000%, 09/01/12 310 306
Beckley, Sewage System Refunding Bond,
Series A, RB
6.750%, 10/01/25 400 409
Berkeley County, Board of Education,
GO, BIG, ETM
7.375%, 04/01/03 425 455
Cabell County, Board of Education,
GO, MBIA, ETM
6.600%, 05/01/04 1,000 1,069
Cabell, Putnam & Wayne Counties,
Single-Family Mortgage, RB, FGIC, ETM
7.375%, 04/01/10 240 267
7.375%, 04/01/11 440 522
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
Charles Town, Waterworks & Sewer
System, RB, FSA
5.250%, 10/01/18 $ 500 $ 482
Charleston, Building Commission,
Capital Appreciation, Series C, RB (A)
12.008%, 12/01/18 1,370 425
Charleston, Building Commission,
Improvement Project, RB
6.500%, 12/01/19 330 319
Charleston, Building Community Parking
Facility, Capital Appreciation, Series A, RB
7.000%, 06/01/16 580 591
Charleston, Building Community Parking Facility,
Capital Appreciation, Subseries C, RB
6.000%, 12/01/10 290 299
Charleston, Building Community Parking Facility,
Capital Appreciation, Subseries C, RB (A)
5.700%, 12/01/15 385 153
6.080%, 12/01/26 1,000 182
Charleston, Civic Center, Improvement
Project, RB
6.249%, 12/01/15 410 409
5.100%, 09/01/23 250 216
Charleston, Urban Renewal Authority,
RB, FSA
5.250%, 12/15/18 1,000 965
Clarksburg, Water Refunding &
Improvements, RB
6.100%, 09/01/04 450 471
6.200%, 09/01/05 500 524
6.250%, 09/01/19 430 439
Fairmont, Waterworks, Series 1999,
RB, AMBAC
5.250%, 07/01/22 1,500 1,401
Fairmont, Waterworks, Series 1999,
RB, MBIA
5.375%, 07/01/13 680 682
Harrison County, Board of Education,
GO, FGIC, ETM
6.200%, 05/01/04 850 897
6.400%, 05/01/07 175 192
Harrison County, Building Commission,
Health Care-Maplewood Retirement,
RB, AMBAC
5.150%, 04/01/18 1,000 944
(CONTINUED)
3
<PAGE>
-----------------------
STATEMENT OF NET ASSETS
-----------------------
--------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
Harrison County, Solid Waste Disposal,
Monongahela Power Company,
Series A, RB, MBIA, AMT
6.875%, 04/15/22 $2,150 $2,249
Harrison County, Solid Waste Disposal,
Potomac Edison Project, Series B,
RB, AMBAC, AMT
6.250%, 05/01/23 400 407
Harrison County, Solid Waste Disposal,
West Penn Power Harrison Project,
Series B, RB, AMT
6.300%, 05/01/23 500 506
Harrison County, Solid Waste Disposal,
West Penn Power Project, RB, AMBAC
6.300%, 05/01/23 860 877
Harrison County, Solid Waste Disposal,
West Penn Power Project, RB, MBIA, AMT
6.300%, 05/01/23 200 204
Harrison County, Special Obligation Bonds,
Series A, ETM
6.250%, 05/15/10 100 109
Huntington County, Sewer System Refunding,
RB, FSA
5.375%, 11/01/23 1,000 959
Jefferson County, Public Service, District
Sewer Project, Series A, RB
5.125%, 10/01/18 215 201
Kanawha County, Residential Mortgage,
RB, FGIC, ETM
7.375%, 09/01/11 285 338
Kanawha County, Single-Family Mortgage,
RB, FGIC, ETM
7.300%, 12/01/04 805 856
7.400%, 12/01/10 185 215
Logan County, Health Care Center Project,
RB, ETM
8.000%, 12/01/16 690 845
Marshall County, Pollution Control, Kammer
Plant Project, Series B, RB, MBIA
5.450%, 07/01/14 900 906
Marshall County, Pollution Control, Ohio Power
Project, Series C, RB, MBIA
6.850%, 06/01/22 1,000 1,050
Mason County, Pollution Control, Ohio Power
Project, Series B, RB, AMBAC
5.450%, 12/01/16 720 720
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
Monongalia County, Board of Education,
Series A, GO, MBIA
7.000%, 04/01/03 $1,000 $1,061
Monongalia County, Community Building,
Series A, RB
5.750%, 11/15/14 175 154
6.000%, 11/15/27 300 257
Monongalia County, Single-Family
Mortgage, RB, ETM
7.200%, 03/01/11 1,280 1,434
Morgantown, Building Commission,
Municipal Lease, RB, MBIA
5.750%, 01/01/19 250 252
Ohio County, Board of Education, GO, MBIA
5.000%, 06/01/13 800 780
Ohio County, Board of Education,
GO, MBIA, ETM
5.250%, 06/01/16 570 563
5.250%, 06/01/17 430 421
Parkersburg, Waterworks & Sewer
System Project, RB, FSA
5.800%, 09/01/19 2,660 2,697
Pea Ridge, Public Service, District
Sewer Project, RB, AMBAC
7.000%, 05/01/20 10 11
Pleasants County, Pollution Control,
Monongahela Power Project, RB, AMBAC
6.150%, 05/01/15 1,100 1,144
Pleasants County, Pollution Control, Potomac
Edison Project, Series C, RB, AMBAC
6.150%, 05/01/15 500 520
Pleasants County, Pollution Control,
West Penn Power, RB, AMBAC
6.150%, 05/01/15 500 520
South Charleston, Herbert J. Thomas Memorial
Hospital Project, Series A, RB, MBIA
5.500%, 10/01/09 520 523
Webster County, Multi-Family Housing,
Circlebrook Project, Series A, RB, FHA
6.500%, 04/01/18 1,010 1,044
West Virginia State College, RB, AMBAC
6.000%, 04/01/06 225 235
6.000%, 04/01/07 425 444
6.000%, 04/01/12 890 930
West Virginia State, Board of Directors,
State College, Series A, RB, AMBAC
5.125%, 04/01/27 300 275
4
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JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
West Virginia State, Board of Regents,
RB, MBIA
5.900%, 04/01/04 $ 235 $ 241
West Virginia State, Board of Regents,
RB, MBIA, ETM
6.000%, 04/01/04 140 143
West Virginia State, Building Commission,
Series A, RB, AMBAC
5.375%, 07/01/18 2,000 1,977
5.375%, 07/01/21 1,000 965
West Virginia State, Building Commission,
Series A, RB, MBIA
5.250%, 07/01/09 1,500 1,521
West Virginia State, Building Commission,
Series B, RB, AMBAC
5.000%, 07/01/21 1,595 1,443
West Virginia State, Economic Development
Authority Commission, Stonewall Jackson
State Park Project, Series B, RB
7.700%, 04/01/26 1,000 970
West Virginia State, Economic Development
& Tourism Authority, RB, FGIC
5.800%, 05/15/13 140 144
West Virginia State, Economic Development
& Tourism Authority, RB, FGIC (A)
5.782%, 05/15/07 500 356
West Virginia State, Economic Development
& Tourism Authority, RB, FGIC, ETM (A)
4.706%, 07/01/03 250 217
West Virginia State, Highway Improvements,
GO, FGIC
5.000%, 06/01/17 1,500 1,395
West Virginia State, Hospital Finance Authority,
Linked Bears and Bulls, RB, MBIA
6.100%, 01/01/18 1,300 1,328
West Virginia State, Hospital Finance Authority
RB, AMBAC
5.000%, 06/01/22 500 447
West Virginia State, Hospital Finance Authority,
University Medical Center Project, RB, MBIA
5.900%, 01/01/06 680 699
West Virginia State, Housing Development Fund,
HUD Section 236, RB
6.000%, 12/15/09 600 601
West Virginia State, Housing Development Fund,
Series A, RB
4.550%, 05/01/01 100 100
6.700%, 11/01/09 285 295
5.450%, 11/01/21 85 83
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
West Virginia State, Housing Development
Fund, Series E, RB
6.250%, 11/01/12 $1,000 $1,026
6.350%, 05/01/24 1,035 1,056
West Virginia State, School Building Authority,
Capital Improvements, Series B, RB, MBIA
5.750%, 07/01/15 1,000 1,006
West Virginia State, School Building Authority,
Series B, RB, FSA
5.125%, 07/01/13 100 99
West Virginia State, Series A, GO, FGIC
5.000%, 11/01/21 1,500 1,357
5.750%, 11/01/21 2,340 2,358
5.200%, 11/01/26 4,000 3,665
5.250%, 11/01/26 3,820 3,553
West Virginia State, Series D, GO, FGIC
5.000%, 11/01/21 2,500 2,281
5.250%, 11/01/23 200 188
6.500%, 11/01/26 1,000 1,089
West Virginia State, State Road, GO
5.250%, 06/01/15 1,000 985
West Virginia State University, Dormitory
Project, Series B, RB, AMBAC
5.000%, 05/01/22 400 366
West Virginia State University, Marshall
Library Project, RB, AMBAC
5.750%, 04/01/16 1,000 1,011
West Virginia State University, RB, AMBAC
6.000%, 04/01/07 400 417
6.000%, 04/01/12 700 731
West Virginia State University, University
Project, Series A, RB, MBIA
5.250%, 04/01/28 1,000 932
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%, 11/01/21 795 739
West Virginia State, Water Development Authority,
Loan Program II, Series A, RB, AMBAC
5.500%, 11/01/18 1,000 999
West Virginia State, Water Development Authority,
Loan Program II, Series A, RB, FSA
7.000%, 11/01/11 800 836
5.375%, 11/01/25 785 749
(CONTINUED)
5
<PAGE>
-----------------------
STATEMENT OF NET ASSETS
-----------------------
--------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO (CONCLUDED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
SHARES/FACE VALUE
DESCRIPTION AMOUNT (000) (000)
--------------------------------------------------------------------------------
West Virginia State, Water Development Authority,
Loan Program II, Series A-II, RB, FSA
5.500%, 11/01/23 $ 625 $ 609
5.750%, 11/01/29 150 149
West Virginia State, Water Development Authority,
Loan Program II, Series B, RB, FSA
5.375%, 11/01/25 955 911
5.250%, 11/01/35 1,660 1,511
West Virginia State, Water Development Authority,
Loan Program III, Series A, RB, AMBAC, AMT
6.000%, 07/01/15 500 518
West Virginia State, Water Development Authority,
Sewer System Loan Program, RB, ETM
7.100%, 11/01/09 1,190 1,309
Wheeling, Waterworks & Sewage System,
Series B, RB, FGIC, Pre-refunded @ 100 (B)
6.450%, 06/01/02 1,000 1,035
6.650%, 06/01/02 900 935
Wyoming County, Board of Education, GO
5.000%, 05/01/15 350 339
-------------------------------------------------------------------------------
TOTAL WEST VIRGINIA 83,680
-------------------------------------------------------------------------------
TOTAL MUNICIPAL BONDS (COST $83,986) 83,680
-------------------------------------------------------------------------------
CASH EQUIVALENT -- 0.8%
SEI Tax Exempt Trust, Tax Free Fund 713,485 713
-------------------------------------------------------------------------------
TOTAL CASH EQUIVALENT (COST $713) 713
-------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 98.9% (COST $84,699) 84,393
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 1.1%
Other Assets and Liabilities, Net 917
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
VALUE
(000)
-------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
7,969,726 outstanding shares of beneficial interest $76,266
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
956,440 outstanding shares of beneficial interest 9,665
Distributions in excess of net investment income (351)
Accumulated net realized gain on investments 36
Net unrealized depreciation on investments (306)
-------------------------------------------------------------------------------
Total Net Assets -- 100.0% $85,310
-------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.56
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $9.55
--------------------------------------------------------------------------------
(A) Zero coupon security. The rate shown is the effective yield at time of
purchase.
(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
BIG -- Bond Investors Guaranty Insurance Company
ETM -- Escrowed to Maturity
FGIC -- Financial Guaranty Insurance Corporation
FHA -- Federal Housing Authority
FSA -- Financial Security Assurance
GO -- General Obligation
HUD -- Housing and Urban Development
MBIA -- Municipal Bond Investors Association
RB -- Revenue Bond
The accompanying notes are an integral part of the financial statements.
6
<PAGE>
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JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
--------------------------------------------------------------------------------
[PIE CHART OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PIE CHART ARE AS FOLLOWS:
U.S Government Agency Obligations 54.5%
U.S. Treasury Obligations 24.7%
Taxable Municipal Bonds 11.4%
Corporate Obligations 4.9%
Repurchase Agreement 1.4%
Preferred Stocks 3.1%
% of Total Portfolio Investments
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 24.5%
U.S. Treasury Bonds
7.500%, 11/15/24 $ 500 $ 589
7.250%, 05/15/16 1,000 1,112
6.125%, 11/15/27 500 507
6.000%, 02/15/26 1,000 993
U.S. Treasury Notes
8.750%, 11/15/08 300 319
8.375%, 08/15/08 550 577
8.000%, 05/15/01 631 638
7.875%, 11/15/04 500 530
7.625%, 02/15/07 1,000 1,016
6.250%, 01/31/02 500 499
5.625%, 05/15/08 500 484
U.S. Treasury STRIPS (A)
6.990%, 05/15/11 1,000 516
6.900%, 11/15/20 1,400 415
6.610%, 05/15/14 2,000 861
6.475%, 02/15/07 1,000 670
3.063%, 02/15/21 3,000 875
--------------------------------------------------------------------------------
TOTAL U.S. TREASURY OBLIGATIONS (COST $10,675) 10,601
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
U.S. GOVERNMENT AGENCY OBLIGATIONS -- 53.9%
FFCB, MTN
8.400%, 12/01/05 $ 1,500 $ 1,590
6.900%, 09/08/15 600 581
6.150%, 03/03/03 1,000 981
FHLB
8.090%, 12/28/04 400 416
7.780%, 10/19/01 500 505
7.000%, 08/15/14 500 492
6.500%, 09/18/13 500 452
FHLB, MTN
7.030%, 05/06/11 500 494
5.990%, 10/01/03 500 486
FHLMC
8.060%, 03/24/10 500 493
7.500%, 11/01/09 617 616
6.900%, 04/04/03 500 495
6.875%, 01/15/05 1,000 995
6.500%, 11/01/12 1,092 1,055
Financing Corporation
8.600%, 09/26/19 500 577
FNMA
6.250%, 11/15/02 1,000 986
FNMA, MTN
6.250%, 03/10/03 500 490
6.240%, 01/14/08 1,000 938
FNMA, MTN,
Callable 10/24/00 @ 100
6.400%, 10/24/02 500 493
FNMA STRIPS (A)
4.954%, 07/24/05 1,000 719
HUD, Series 92a Scranton,
Callable 08/01/02 @ 100
7.800%, 08/01/10 400 403
HUD, Series 94a Abilene,
Callable 08/01/03 @ 100
7.180%, 08/01/13 160 158
HUD, Series 94a Barberton,
Callable 08/01/03 @ 100
7.180%, 08/01/13 520 513
HUD, Series 94a Egg Harbor,
Callable 08/01/03 @ 100
7.180%, 08/01/13 220 217
6.930%, 08/01/08 160 158
HUD, Series 94a Ocean Shores,
Callable 08/01/03 @ 100
6.930%, 08/01/08 225 221
(CONTINUED)
7
<PAGE>
-----------------------
STATEMENT OF NET ASSETS
-----------------------
--------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
HUD, Series 94a Pohatcong Township,
Callable 08/01/03 @ 100
6.930%, 08/01/08 $ 240 $ 234
HUD, Series 94a Providence,
Callable 08/01/03 @ 100
6.930%, 08/01/08 130 127
HUD, Series 94a Roanoke,
Callable 08/01/03 @ 100
7.180%, 08/01/13 100 99
HUD, Series 94a Tacoma,
Callable 08/01/03 @ 100
7.080%, 08/01/11 365 359
HUD, Series 94a-I Montgomery,
Callable 08/01/03 @ 100
6.930%, 08/01/08 55 54
HUD, Series 99a,
Callable 08/01/08 @ 100
6.330%, 08/01/13 1,000 909
Private Export Funding
7.950%, 11/01/06 1,500 1,538
7.300%, 01/31/02 2,100 2,110
6.240%, 05/15/02 250 247
SLMA
7.300%, 08/01/12 587 593
Small Business Administration
10.625%, 06/25/24 927 1,021
Tennessee Valley Authority (A)
4.466%, 10/15/09 1,000 521
--------------------------------------------------------------------------------
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS
(COST $23,600) 23,336
--------------------------------------------------------------------------------
TAXABLE MUNICIPAL BONDS -- 11.3%
Clayton, MO, Capital Improvements, RB,
Series B, AMBAC, Callable 12/01/07 @ 100
7.000%, 12/01/16 1,000 939
Fairview, MN, Hospital & Health Care
Services, RB, Series B, MBIA
7.000%, 11/15/15 670 631
Gardena, CA, Financing Agency, RB,
Pre-refunded @ 102 (B)
9.250%, 07/01/03 200 216
Henry County, GA, Water & Sewer Authority,
RB, Series B, AMBAC
6.700%, 02/01/11 200 188
6.000%, 02/01/04 250 240
6.000%, 02/01/05 220 209
--------------------------------------------------------------------------------
SHARES/FACE VALUE
DESCRIPTION AMOUNT(000) (000)
--------------------------------------------------------------------------------
Las Vegas, NV, Fremont Street Project,
GO, FGIC, Callable 07/01/03 @ 101
7.200%, 07/01/15 $ 800 $ 769
Portsmouth, VA, GO,
Callable 07/15/07@102
6.630%, 07/15/14 500 458
Richardson, TX, COP, Series A, FGIC,
Callable 02/15/05 @ 100
8.000%, 02/15/20 500 504
Saint Paul, MN, GO, Series B,
Callable 02/01/08 @ 100
6.450%, 02/01/15 500 449
San Bernardino County, CA, COP,
Pre-refunded @ 102 (B)
8.500%, 03/01/04 275 292
--------------------------------------------------------------------------------
TOTAL TAXABLE MUNICIPAL BONDS (COST $5,141) 4,895
--------------------------------------------------------------------------------
CORPORATE OBLIGATIONS -- 4.9%
American Heavy Lift Title XI
7.180%, 06/01/17 200 202
BellSouth Telecommunications,
Callable 05/15/05 @ 103.66
7.625%, 05/15/35 500 464
General Electric Capital, MTN
6.020%, 12/15/03 500 483
Salomon Smith Barney
6.250%, 01/15/05 1,000 956
--------------------------------------------------------------------------------
TOTAL CORPORATE OBLIGATIONS (COST $2,223) 2,105
--------------------------------------------------------------------------------
PREFERRED STOCKS -- 3.1%
Duke Capital Financing 20,000 449
Public Service of Colorado Capital 20,000 445
TransCanada PipeLines Ltd. 20,000 453
--------------------------------------------------------------------------------
TOTAL PREFERRED STOCKS (COST $1,500) 1,347
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.4%
Morgan Stanley Dean Witter
6.250%,dated 07/31/00,
matures 08/01/00 repurchase price
$585,278 (collateralized by U.S. Treasury
Note: total market value $596,538) 585 585
--------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT (COST $585) 585
--------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.1% (COST $43,724) 42,869
--------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 0.9%
Other Assets and Liabilities, Net 390
--------------------------------------------------------------------------------
8
<PAGE>
[LOGO OMITTED]
JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO (CONCLUDED)
--------------------------------------------------------------------------------
VALUE
(000)
--------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
4,410,339 outstanding shares of beneficial interest $42,472
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
162,434 outstanding shares of beneficial interest 1,629
Accumulated net realized gain on investments 13
Net unrealized depreciation on investments (855)
--------------------------------------------------------------------------------
Total Net Assets -- 100.0% $43,259
--------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $9.46
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $9.47
--------------------------------------------------------------------------------
(A) Zero coupon security. The rate shown is the effective yield at time of
purchase.
(B) Pre-refunded security. The pre-refunded date is shown as the maturity date.
AMBAC -- American Municipal Bond Assurance Corporation
COP -- Certificate of Participation
FFCB -- Federal Farm Credit Bank
FHLB -- Federal Home Loan Bank
FGIC -- Financial Guaranty Insurance Corporation
FHLMC -- Federal Home Loan Mortgage Corporation
FNMA -- Federal National Mortgage Association
HUD -- Housing and Urban Development
GO -- General Obligation
Ltd. -- Limited
MBIA -- Municipal Bond Insurance Association
MTN -- Medium Term Note
RB -- Revenue Bond
SLMA -- Student Loan Mortgage Association
STRIPS -- Separate Trading of Registered Interest and Principal of Securities
The accompanying notes are an integral part of the financial statements.
9
<PAGE>
-----------------------
STATEMENT OF NET ASSETS
-----------------------
--------------------------------------------------------------------------------
CAPITAL APPRECIATION PORTFOLIO
--------------------------------------------------------------------------------
[PIE CHART OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PIE CHART ARE AS FOLLOWS:
Common Stocks 90.2%
Registered Investment Companies 7.2%
Repurchase Agreement 2.6%
% of Total Portfolio Investments
--------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
--------------------------------------------------------------------------------
COMMON STOCKS -- 89.9%
Communications Equipment -- 4.4%
Motorola 52,410 $ 1,733
Nokia OYJ ADR 40,200 1,781
Nortel Networks 30,000 2,231
Scientific-Atlanta 23,000 1,771
--------------------------------------------------------------------------------
TOTAL COMMUNICATIONS EQUIPMENT 7,516
--------------------------------------------------------------------------------
Computers & Services -- 16.7%
Alteon Websystems* 16,500 2,177
America Online* 29,000 1,546
Check Point Software Technologies* 17,200 1,995
Cisco Systems* 138,000 9,030
EMC-Mass* 52,000 4,427
Infospace* 25,000 844
Safeguard Scientifics* 62,100 1,929
Sun Microsystems* 32,000 3,374
VeriSign* 22,300 3,539
--------------------------------------------------------------------------------
TOTAL COMPUTERS & SERVICES 28,861
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
--------------------------------------------------------------------------------
Diversified Manufacturing -- 7.2%
General Electric 150,000 $ 7,716
Tyco International Ltd. 89,400 4,783
--------------------------------------------------------------------------------
TOTAL DIVERSIFIED MANUFACTURING 12,499
--------------------------------------------------------------------------------
Electrical Utilities -- 1.3%
AES* 40,800 2,180
--------------------------------------------------------------------------------
TOTAL ELECTRICAL UTILITIES 2,180
--------------------------------------------------------------------------------
Financial Services -- 2.7%
American Express 45,600 2,585
Citigroup 30,000 2,117
--------------------------------------------------------------------------------
TOTAL FINANCIAL SERVICES 4,702
--------------------------------------------------------------------------------
Household Products -- 1.2%
Colgate-Palmolive 37,000 2,060
--------------------------------------------------------------------------------
TOTAL HOUSEHOLD PRODUCTS 2,060
--------------------------------------------------------------------------------
Insurance -- 5.7%
American International Group 57,000 4,998
Marsh & McLennan 39,400 4,807
--------------------------------------------------------------------------------
TOTAL INSURANCE 9,805
--------------------------------------------------------------------------------
Multi-Media -- 2.5%
Univision Communications, Cl A* 18,000 2,237
Viacom, Cl B* 31,000 2,056
--------------------------------------------------------------------------------
TOTAL MULTI-MEDIA 4,293
--------------------------------------------------------------------------------
Pharmaceuticals & Medical Devices -- 10.8%
Amgen* 61,600 4,000
Biotech Holdings Trust 17,700 2,982
PE Biosystems Group 69,000 6,016
Pfizer 84,600 3,648
Quest Diagnostics* 20,000 2,019
--------------------------------------------------------------------------------
TOTAL PHARMACEUTICALS & MEDICAL DEVICES 18,665
--------------------------------------------------------------------------------
Retail -- 7.0%
CVS 78,700 3,104
Home Depot 58,350 3,020
Wal-Mart Stores 62,000 3,406
Walgreen 83,000 2,589
--------------------------------------------------------------------------------
TOTAL RETAIL 12,119
--------------------------------------------------------------------------------
10
<PAGE>
[LOGO OMITTED]
JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
CAPITAL APPRECIATION PORTFOLIO (CONCLUDED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
--------------------------------------------------------------------------------
Semi-Conductors/Instruments -- 18.2%
Analog Devices* 51,400 $ 3,437
Applied Materials* 22,300 1,692
Broadcom, Cl A* 30,700 6,884
Flextronics International Ltd.* 35,000 2,478
Intel 54,800 3,658
International Rectifier* 32,000 1,770
Micron Technology* 22,000 1,793
PMC - Sierra* 17,500 3,392
Texas Instruments 56,200 3,298
Xilinx* 40,000 3,003
-------------------------------------------------------------------------------
TOTAL SEMI-CONDUCTORS/INSTRUMENTS 31,405
-------------------------------------------------------------------------------
Technology -- 0.9%
General Motors, Cl H (Hughes Electronics) 57,000 1,475
-------------------------------------------------------------------------------
TOTAL TECHNOLOGY 1,475
-------------------------------------------------------------------------------
Telephones & Telecommunication -- 11.3%
ADC Telecommunications* 41,000 1,719
Ciena* 14,300 2,032
Corning 27,800 6,503
Echostar Communications, Cl A* 47,000 1,854
JDS Uniphase* 45,800 5,410
Nextel Communications, Cl A* 34,000 1,902
-------------------------------------------------------------------------------
TOTAL TELEPHONES & TELECOMMUNICATION 19,420
-------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $81,122) 155,000
-------------------------------------------------------------------------------
REGISTERED INVESTMENT COMPANIES -- 7.1%
Nasdaq 100 Share Index 68,000 6,086
S&P 400 Mid-Cap Depository Receipt 69,000 6,210
-------------------------------------------------------------------------------
TOTAL REGISTERED INVESTMENT COMPANIES (COST $12,895) 12,296
-------------------------------------------------------------------------------
--------------------------------------------------------------------------------
FACE AMOUNT VALUE
DESCRIPTION (000) (000)
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 2.6%
JP Morgan
6.580%, dated 07/31/00,
matures 08/01/00 repurchase price
$4,485,465 (collateralized by GNMA:
total market value $4,525,509) $4,437 $ 4,437
-------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT (COST $4,437) 4,437
-------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 99.6% (COST $98,454) 171,733
-------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 0.4%
Other Assets and Liabilities, Net 727
-------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
7,240,129 outstanding shares of beneficial interest 60,415
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
703,215 outstanding shares of beneficial interest 6,076
Accumulated net investment loss (622)
Accumulated net realized gain on investments 33,312
Net unrealized appreciation on investments 73,279
-------------------------------------------------------------------------------
Total Net Assets -- 100.0% $172,460
-------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $21.75
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $21.28
-------------------------------------------------------------------------------
* Non-income producing security
ADR -- American Depository Receipt
Cl -- Class
GNMA -- Government National Mortgage Association
Ltd. -- Limited
The accompanying notes are an integral part of the financial statements.
11
<PAGE>
-----------------------
STATEMENT OF NET ASSETS
-----------------------
--------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
--------------------------------------------------------------------------------
[PIE CHART OMITTED]
EDGAR REPRESENTATION OF DATA POINTS USED IN PIE CHART ARE AS FOLLOWS:
Common Stocks 98.2%
Repurchase Agreement 1.1%
Convertible Bond 0.7%
% of Total Portfolio Investments
--------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
-------------------------------------------------------------------------------
COMMON STOCKS -- 95.7%
Aerospace & Defense -- 2.5%
General Dynamics 20,000 $ 1,129
Lockheed Martin 20,000 562
--------------------------------------------------------------------------------
TOTAL AEROSPACE & DEFENSE 1,691
--------------------------------------------------------------------------------
Automotive -- 4.0%
BF Goodrich 35,000 1,249
Dana 20,000 459
Ford Motor 20,000 931
Visteon* 2,618 37
--------------------------------------------------------------------------------
TOTAL AUTOMOTIVE 2,676
--------------------------------------------------------------------------------
Chemicals -- 2.2%
E.I. du Pont de Nemours 20,000 906
Lyondell Chemical 40,000 560
--------------------------------------------------------------------------------
TOTAL CHEMICALS 1,466
--------------------------------------------------------------------------------
Computers & Services -- 6.8%
3Com* 20,000 271
Electronic Data Systems 10,000 430
International Business Machines 24,000 2,698
Palm* 29,680 1,158
--------------------------------------------------------------------------------
TOTAL COMPUTERS & SERVICES 4,557
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
-------------------------------------------------------------------------------
Containers & Packaging -- 1.1%
Crown Cork & Seal 50,000 $ 697
--------------------------------------------------------------------------------
TOTAL CONTAINERS & PACKAGING 697
--------------------------------------------------------------------------------
Diversified Manufacturing -- 3.1%
General Electric 40,000 2,057
--------------------------------------------------------------------------------
TOTAL DIVERSIFIED MANUFACTURING 2,057
--------------------------------------------------------------------------------
Pharmaceuticals & Medical Devices -- 5.3%
Bristol-Myers Squibb 24,000 1,191
Merck 24,000 1,720
Mylan Laboratories 30,000 637
--------------------------------------------------------------------------------
TOTAL PHARMACEUTICALS & MEDICAL DEVICES 3,548
--------------------------------------------------------------------------------
Entertainment -- 1.7%
Walt Disney 30,000 1,161
--------------------------------------------------------------------------------
TOTAL ENTERTAINMENT 1,161
--------------------------------------------------------------------------------
Financial Services -- 8.6%
AG Edwards 20,000 1,058
American Express 35,000 1,984
Chase Manhattan 15,000 745
Compass Bancshares 50,000 909
Donaldson, Lufkin & Jenrette 20,000 1,031
--------------------------------------------------------------------------------
TOTAL FINANCIAL SERVICES 5,727
--------------------------------------------------------------------------------
Food, Beverage & Tobacco -- 0.6%
HJ Heinz 10,000 399
--------------------------------------------------------------------------------
TOTAL FOOD, BEVERAGE & TOBACCO 399
--------------------------------------------------------------------------------
Forestry -- 1.6%
Rayonier 26,500 1,078
--------------------------------------------------------------------------------
TOTAL FORESTRY 1,078
--------------------------------------------------------------------------------
Gas/Natural Gas -- 3.5%
Columbia Energy Group 10,000 683
Williams 40,000 1,670
--------------------------------------------------------------------------------
TOTAL GAS/NATURAL GAS 2,353
--------------------------------------------------------------------------------
Insurance -- 4.3%
Allstate 40,000 1,103
Jefferson-Pilot 28,500 1,739
--------------------------------------------------------------------------------
TOTAL INSURANCE 2,842
--------------------------------------------------------------------------------
Machinery -- 6.1%
Lincoln Electric Holdings 60,000 908
Parker Hannifin 30,000 1,067
Timken 60,000 1,069
Worthington Industries 100,000 1,056
--------------------------------------------------------------------------------
TOTAL MACHINERY 4,100
--------------------------------------------------------------------------------
12
<PAGE>
[LOGO OMITTED]
JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO (CONCLUDED)
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
-------------------------------------------------------------------------------
Multi-Media -- 1.1%
Cablevision Systems, Cl A* 5,000 $ 329
Comcast, Cl A* 11,000 374
--------------------------------------------------------------------------------
TOTAL MULTI-MEDIA 703
--------------------------------------------------------------------------------
Petroleum Refining -- 7.9%
Exxon Mobil 33,000 2,640
Kerr-McGee 30,000 1,646
Texaco 20,000 989
--------------------------------------------------------------------------------
TOTAL PETROLEUM REFINING 5,275
--------------------------------------------------------------------------------
Printing & Publishing -- 7.9%
Knight Ridder 25,800 1,345
McGraw-Hill Companies 44,000 2,615
Tribune 40,000 1,300
--------------------------------------------------------------------------------
TOTAL PRINTING & PUBLISHING 5,260
--------------------------------------------------------------------------------
Real Estate Investment Trust -- 4.9%
Boykin Lodging 89,200 1,277
Host Marriott 60,000 668
Sovran Self Storage 60,000 1,316
--------------------------------------------------------------------------------
TOTAL REAL ESTATE INVESTMENT TRUST 3,261
--------------------------------------------------------------------------------
Telephones & Telecommunication-- 10.9%
Alltel 10,000 616
AT&T 40,000 1,238
COX Communications, Cl A* 42,000 1,551
Lucent Technologies 20,000 875
Motorola 30,000 992
SBC Communications 20,000 851
Verizon Communications* 24,640 1,158
--------------------------------------------------------------------------------
TOTAL TELEPHONES & TELECOMMUNICATION 7,281
--------------------------------------------------------------------------------
Transportation -- 2.5%
CNF Transportation 30,000 763
Norfolk Southern 50,000 931
--------------------------------------------------------------------------------
TOTAL TRANSPORTATION 1,694
--------------------------------------------------------------------------------
Utilities -- 9.1%
Allegheny Energy 40,000 1,255
American States Water 40,000 1,205
American Water Works 50,000 1,213
Montana Power 50,000 1,447
Southern 40,000 977
--------------------------------------------------------------------------------
TOTAL UTILITIES 6,097
--------------------------------------------------------------------------------
TOTAL COMMON STOCKS (COST $51,742) 63,923
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
VALUE
DESCRIPTION SHARES (000)
-------------------------------------------------------------------------------
CONVERTIBLE BOND -- 0.7%
Kerr-McGee, CV to 9.4313 Shares,
Callable 09/01/00 @ 100
7.500%, 05/15/14 $ 448 $ 442
--------------------------------------------------------------------------------
TOTAL CONVERTIBLE BOND (COST $448) 442
--------------------------------------------------------------------------------
REPURCHASE AGREEMENT -- 1.1%
Morgan Stanley Dean Witter
6.250%, dated 07/31/00,
matures 08/01/00 repurchase price
$743,671 (collateralized by U.S. Treasury
Note: total market value $757,979) 744 744
--------------------------------------------------------------------------------
TOTAL REPURCHASE AGREEMENT (COST $744) 744
--------------------------------------------------------------------------------
TOTAL INVESTMENTS -- 97.5% (COST $52,934) 65,109
--------------------------------------------------------------------------------
OTHER ASSETS AND LIABILITIES, NET -- 2.5%
Other Assets and Liabilities, Net 1,645
--------------------------------------------------------------------------------
NET ASSETS:
Portfolio Shares of Class A (unlimited
authorization -- no par value) based on
4,407,225 outstanding shares of beneficial interest 46,775
Portfolio Shares of Class B (unlimited
authorization -- no par value) based on
397,518 outstanding shares of beneficial interest 4,627
Accumulated undistributed net investment income 34
Accumulated net realized gain on investments 3,143
Net unrealized appreciation on investments 12,175
--------------------------------------------------------------------------------
Total Net Assets -- 100.0% $66,754
--------------------------------------------------------------------------------
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS A $13.89
NET ASSET VALUE, OFFERING AND REDEMPTION
PRICE PER SHARE -- CLASS B $13.89
--------------------------------------------------------------------------------
* Non-income producing security
Cl -- Class
CV -- Convertible Security
The accompanying notes are an integral part of the financial statements.
13
<PAGE>
------------------------
STATEMENTS OF OPERATIONS
------------------------
--------------------------------------------------------------------------------
FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
(IN THOUSANDS)
--------------------------------------------
PRIME OBLIGATIONS WEST VIRGINIA TAX-EXEMPT
PORTFOLIO INCOME PORTFOLIO
--------------------------------------------
<S> <C> <C>
INVESTMENT INCOME:
Interest income ....................................... $ 2,573 $ 2,471
Dividend income ....................................... -- --
-------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME ............................... 2,573 2,471
-------------------------------------------------------------------------------------------------------
EXPENSES:
Administrator fees .................................... 83 84
Investment advisory fees .............................. 104 189
Less: investment advisory fees waived ................. (77) (51)
Sub-advisory fees ..................................... 31 --
Custodian fees ........................................ 5 5
Professionalfees ...................................... 17 22
Registration & filing fees ............................ 3 2
Printing fees ......................................... 9 24
Trustee fees .......................................... 2 4
Pricing fees .......................................... 2 7
Distribution fees (1) ................................. 9 11
Transfer agent fees ................................... 21 16
Miscellaneous fees .................................... -- 1
-------------------------------------------------------------------------------------------------------
TOTAL EXPENSES ........................................ 209 314
-------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ........................ 2,364 2,157
-------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments ............... (1) 84
Net change in unrealized appreciation
(depreciation) on investments ....................... -- 3,190
-------------------------------------------------------------------------------------------------------
Net Realized and Unrealized Gain (Loss)
on Investments ...................................... (1) 3,274
=======================================================================================================
Increase (Decrease) in Net Assets Resulting
from Operations ..................................... $ 2,363 $ 5,431
=======================================================================================================
<FN>
(1) Distribution fees are only incurred on Class B shares.
Amounts designated as "--" are either $0 or have been rounded to $0.
</FN>
</TABLE>
14
<PAGE>
(LOGO OMITTED)
JULY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(IN THOUSANDS)
----------------------------------------------------------------
GOVERNMENT SECURITIES CAPITAL APPRECIATION EQUITY INCOME
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income ....................................... $ 1,474 $ 511 $ 59
Dividend income ....................................... 58 218 863
---------------------------------------------------------------------------------------------------------------------------
TOTAL INVESTMENT INCOME ............................... 1,532 729 922
---------------------------------------------------------------------------------------------------------------------------
EXPENSES:
Administrator fees .................................... 44 182 68
Investment advisory fees .............................. 161 866 248
Less: investment advisory fees waived ................. (64) (206) (47)
Sub-advisory fees ..................................... -- -- --
Custodian fees ........................................ 2 5 3
Professionalfees ...................................... 10 4 15
Registration & filing fees ............................ 2 20 3
Printing fees ......................................... 5 13 7
Trustee fees .......................................... 2 7 2
Pricing fees .......................................... 1 1 2
Distribution fees (1) ................................. 2 26 7
Transfer agent fees ................................... 19 38 21
Miscellaneous fees .................................... -- 1 1
---------------------------------------------------------------------------------------------------------------------------
TOTAL EXPENSES ........................................ 184 957 330
---------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) ........................ 1,348 (228) 592
---------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on investments ............... (11) 19,853 2,941
Net change in unrealized appreciation
(depreciation) on investments ....................... 972 (11,244) (3,934)
---------------------------------------------------------------------------------------------------------------------------
Net Realized and Unrealized Gain (Loss)
on Investments ...................................... 961 8,609 (993)
===========================================================================================================================
Increase (Decrease) in Net Assets Resulting
from Operations ..................................... $ 2,309 $ 8,381 $ (401)
===========================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
15
<PAGE>
-----------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
-----------------------------------
--------------------------------------------------------------------------------
FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED) AND THE YEAR ENDED
JANUARY 31, 2000
<TABLE>
<CAPTION>
(IN THOUSANDS)
-------------------------------------------
PRIME OBLIGATIONS
PORTFOLIO
--------------------------------------------------------------------------------------------------
2/1/00 TO 7/31/00 2/1/99 TO 1/31/00 /00
--------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income ............................. $ 2,364 $ 3,790
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 ................................. 2,363 3,789
--------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A ......................................... (2,161) (3,422)
Class B ......................................... (201) (368)
Realized gains:
Class A ......................................... -- --
Class B ......................................... -- --
--------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ............................... (2,362) (3,790)
--------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued ..................... 164,153 203,697
Reinvestment of cash distributions .............. -- --
Cost of shares redeemed ......................... (169,894) (197,434)
--------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS ........................ (5,741) 6,263
--------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued ..................... 267,952 356,943
Reinvestment of cash distributions .............. 90 129
Cost of shares redeemed ......................... (269,073) (347,403)
--------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS ........................ (1,031) 9,669
--------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS ...................... (6,772) 15,932
--------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ........... (6,771) 15,931
--------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period ............................... 81,533 65,602
--------------------------------------------------------------------------------------------------
End of period ..................................... $ 74,762 $ 81,533
==================================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued ................................... 164,153 203,697
Shares issued in lieu of cash distributions ..... -- --
Shares redeemed ................................. (169,894) (197,434)
--------------------------------------------------------------------------------------------------
TOTAL CLASS A SHARE TRANSACTIONS .................. (5,741) 6,263
--------------------------------------------------------------------------------------------------
Class B:
Shares issued ................................... 267,952 356,943
Shares issued in lieu of cash distributions ..... 90 129
Shares redeemed ................................. (269,073) (347,403)
--------------------------------------------------------------------------------------------------
TOTAL CLASS B SHARE TRANSACTIONS .................. (1,031) 9,669
--------------------------------------------------------------------------------------------------
TOTAL SHARE TRANSACTIONS .......................... (6,772) 15,932
==================================================================================================
<FN>
Amounts designated as "--" are either $0 or have been rounded to $0.
</FN>
</TABLE>
16
<PAGE>
(LOGO OMITTED)
JULY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(IN THOUSANDS) (IN THOUSANDS)
---------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT GOVERNMENT SECURITIES
INCOME PORTFOLIO PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------------
2/1/00 TO 7/31/00 2/1/99 TO 1/31/00 2/1/00 TO 7/31/00 2/1/99 TO 1/31/00
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
OPERATIONS:
Net investment income .......................... $ 2,157 $ 4,488 $ 1,348 $ 2,874
Net realized gain (loss) on investments ........ 84 260 (11) 97
Net change in unrealized appreciation
(depreciation) on investments ................ 3,190 (9,481) 972 (4,621)
------------------------------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS .............................. 5,431 (4,733) 2,309 (1,650)
------------------------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A ...................................... (1,947) (4,288) (1,302) (2,769)
Class B ...................................... (222) (537) (46) (109)
Realized gains:
Class A ...................................... -- (428) -- (165)
Class B ...................................... -- (60) -- (7)
------------------------------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ............................ (2,169) (5,313) (1,348) (3,050)
------------------------------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued .................. 1,549 4,501 1,846 7,960
Reinvestment of cash distributions ........... -- 428 -- 165
Cost of shares redeemed ...................... (2,991) (11,580) (4,365) (11,909)
------------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS ..................... (1,442) (6,651) (2,519) (3,784)
------------------------------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued .................. 748 3,863 64 348
Reinvestment of cash distributions ........... 78 322 32 86
Cost of shares redeemed ...................... (835) (3,694) (326) (580)
------------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS ..................... (9) 491 (230) (146)
------------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS ................... (1,451) (6,160) (2,749) (3,930)
------------------------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ........ 1,811 (16,206) (1,788) (8,630)
------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period ............................ 83,499 99,705 45,047 53,677
------------------------------------------------------------------------------------------------------------------------------------
End of period .................................. $ 85,310 $ 83,499 $ 43,259 $ 45,047
====================================================================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued ................................ 166 459 197 822
Shares issued in lieu of cash distributions .. -- 45 -- 18
Shares redeemed .............................. (318) (1,171) (467) (1,230)
------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS A SHARE TRANSACTIONS ............... (152) (667) (270) (390)
------------------------------------------------------------------------------------------------------------------------------
Class B:
Shares issued ................................ 80 388 7 36
Shares issued in lieu of cash distributions .. 8 33 3 9
Shares redeemed .............................. (89) (388) (35) (60)
------------------------------------------------------------------------------------------------------------------------------
TOTAL CLASS B SHARE TRANSACTIONS ............... (1) 33 (25) (15)
------------------------------------------------------------------------------------------------------------------------------
TOTAL SHARE TRANSACTIONS ....................... (153) (634) (295) (405)
===============================================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
17
<PAGE>
-----------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
-----------------------------------
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------
FOR THE PERIOD ENDED JULY 31, 2000 (UNAUDITED) AND THE YEAR ENDED
JANUARY 31, 2000
(IN THOUSANDS)
--------------------------------------------
CAPITAL APPRECIATION
PORTFOLIO
---------------------------------------------------------------------------------------------------------------
2/1/00 TO 7/31/00 2/1/99 TO 1/31/00
---------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss) ................................ $ (228) $ (556)
Net realized gain on investments ............................ 19,853 26,328
Net change in unrealized appreciation (depreciation)
on investments ............................................ (11,244) 14,583
---------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM INVESTMENT OPERATIONS ................................ 8,381 40,355
---------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A ................................................... -- (1)
Class B ................................................... -- --
Net realized gains:
Class A ................................................... -- (14,145)
Class B ................................................... -- (1,253)
---------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ......................................... -- (15,399)
---------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued ............................... 4,011 6,964
Reinvestment of cash distributions ........................ -- 14,145
Cost of shares redeemed ................................... (8,253) (26,576)
---------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS .................................. (4,242) (5,467)
---------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued ............................... 258,182 353,545
Reinvestment of cash distributions ........................ -- 1,051
Cost of shares redeemed ................................... (267,914) (352,528)
---------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS .................................. (9,732) 2,068
---------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS ................................ (13,974) (3,399)
---------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ..................... (5,593) 21,557
---------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period ......................................... 178,053 156,496
---------------------------------------------------------------------------------------------------------------
End of period ............................................... $ 172,460 $ 178,053
===============================================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued ............................................. 179 376
Shares issued in lieu of cash distributions ............... -- 738
Shares redeemed ........................................... (367) (1,436)
---------------------------------------------------------------------------------------------------------------
TOTAL CLASS A SHARE TRANSACTIONS ............................ (188) (322)
---------------------------------------------------------------------------------------------------------------
Class B:
Shares issued ............................................. 11,915 19,258
Shares issued in lieu of cash distributions ............... -- 56
Shares redeemed ........................................... (12,375) (19,166)
---------------------------------------------------------------------------------------------------------------
TOTAL CLASS B SHARE TRANSACTIONS ............................ (460) 148
---------------------------------------------------------------------------------------------------------------
TOTAL SHARE TRANSACTIONS .................................... (648) (174)
===============================================================================================================
<FN>
Amounts designated as "--" are either $0 or have been rounded to $0.
</FN>
</TABLE>
18
<PAGE>
(LOGO OMITTED)
JULY 31, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
(IN THOUSANDS)
----------------------------------------------
EQUITY INCOME
PORTFOLIO
------------------------------------------------------------------------------------------------------------
2/1/00 TO 7/31/00 2/1/99 TO 1/31/00
------------------------------------------------------------------------------------------------------------
<S> <C> <C>
OPERATIONS:
Net investment income (loss) ................................ $ 592 $ 1,110
Net realized gain on investments ............................ 2,941 942
Net change in unrealized appreciation (depreciation)
on investments ............................................ (3,934) 3,557
------------------------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM INVESTMENT OPERATIONS ................................ (401) 5,609
------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS:
Net investment income:
Class A ................................................... (522) (994)
Class B ................................................... (40) (80)
Net realized gains:
Class A ................................................... -- (1,211)
Class B ................................................... -- (118)
------------------------------------------------------------------------------------------------------------
TOTAL DISTRIBUTIONS ......................................... (562) (2,403)
------------------------------------------------------------------------------------------------------------
CAPITAL SHARE TRANSACTIONS:
Class A:
Proceeds from shares issued ............................... 3,057 17,500
Reinvestment of cash distributions ........................ -- 1,211
Cost of shares redeemed ................................... (3,813) (10,798)
------------------------------------------------------------------------------------------------------------
TOTAL CLASS A TRANSACTIONS .................................. (756) 7,913
------------------------------------------------------------------------------------------------------------
Class B:
Proceeds from shares issued ............................... 238 1,397
Reinvestment of cash distributions ........................ 27 145
Cost of shares redeemed ................................... (620) (2,134)
------------------------------------------------------------------------------------------------------------
TOTAL CLASS B TRANSACTIONS .................................. (355) (592)
------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS ................................ (1,111) 7,321
------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS ..................... (2,074) 10,527
------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning of period ......................................... 68,828 58,301
------------------------------------------------------------------------------------------------------------
End of period ............................................... $ 66,754 $ 68,828
============================================================================================================
CAPITAL SHARE TRANSACTIONS:
Class A:
Shares issued ............................................. 221 1,245
Shares issued in lieu of cash distributions ............... -- 84
Shares redeemed ........................................... (273) (745)
------------------------------------------------------------------------------------------------------------
TOTAL CLASS A SHARE TRANSACTIONS ............................ (52) 584
------------------------------------------------------------------------------------------------------------
Class B:
Shares issued ............................................. 17 97
Shares issued in lieu of cash distributions ............... 2 10
Shares redeemed ........................................... (44) (146)
------------------------------------------------------------------------------------------------------------
TOTAL CLASS B SHARE TRANSACTIONS ............................ (25) (39)
------------------------------------------------------------------------------------------------------------
TOTAL SHARE TRANSACTIONS .................................... (77) 545
============================================================================================================
</TABLE>
The accompanying notes are an integral part of the financial statements.
19
<PAGE>
--------------------
FINANCIAL HIGHLIGHTS
--------------------
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ENDED JULY 31, 2000 (UNAUDITED) AND YEARS ENDED JANUARY 31,
NET ASSET NET REALIZED DISTRIBUTIONS DISTRIBUTIONS NET ASSET
VALUE, NET AND UNREALIZED FROM NET FROM VALUE,
BEGINNING INVESTMENT GAINS (LOSSES) INVESTMENT REALIZED END OF
OF PERIOD INCOME ON INVESTMENTS INCOME GAINS PERIOD
----------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATIONS PORTFOLIO
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
2000* $ 1.00 $0.03 $ 0.00 $(0.03) $ 0.00 $ 1.00
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 $0.03 $ 0.00 $(0.03) $ 0.00 $ 1.00
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* $ 9.20 $0.24 $ 0.36 $(0.24) $ 0.00 $ 9.56
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* $ 9.18 $0.23 $ 0.37 $(0.23) $ 0.00 $ 9.55
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* $ 9.26 $0.29 $ 0.20 $(0.29) $ 0.00 $ 9.46
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* $ 9.26 $0.27 $ 0.21 $(0.27) $ 0.00 $ 9.47
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
----------------------------------------------------------------------------------------------------------------------------
<FN>
* For the six-month period ended July 31, 2000. All ratios for the period have been annualized.
+ Total return is for the period indicated and has not been annualized.
</FN>
<CAPTION>
(LOGO OMITTED)
JULY 31, 2000
-----------------------------------------------------------------------------------------------------
RATIO OF EXPENSES TO INCOME
RATIO OF NET INVESTMENT AVERAGE TO AVERAGE
NET ASSETS, EXPENSES TO INCOME NET ASSETS NET ASSETS PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
RETURN+ PERIOD (000) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
------------------------------------------------------------------------------------------------------------------------------------
PRIME OBLIGATIONS PORTFOLIO
------------------------------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
2000* 2.91% $61,890 0.49% 5.78% 0.68% 5.59% N/A
2000 4.96 67,724 0.49 4.83 0.64 4.68 N/A
1999 5.20 61,465 0.49 5.06 0.66 4.89 N/A
1998 5.33 52,177 0.49 5.21 0.65 5.05 N/A
1997 5.11 90,301 0.49 5.00 0.66 4.83 N/A
1996 5.65 84,660 0.49 5.50 0.64 5.35 N/A
CLASS B
2000* 2.79% $12,872 0.74% 5.73% 0.93% 5.54% N/A
2000 4.70 13,809 0.74 4.62 0.89 4.47 N/A
1999 4.94 4,137 0.74 4.82 0.91 4.65 N/A
1998 5.07 6,550 0.74 4.96 0.90 4.80 N/A
1997 4.85 7,501 0.74 4.75 0.91 4.58 N/A
1996 5.39 6,154 0.74 5.15 0.89 5.00 N/A
---------------------------------------------------------------------------------------------------------------------------------
WEST VIRGINIA TAX-EXEMPT INCOME PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------------
CLASS A
2000* 6.61% $76,182 0.72% 5.15% 0.84% 5.03% 4%
2000 (5.04) 74,709 0.72 4.90 0.77 4.85 10
1999 5.47 90,228 0.72 4.77 0.79 4.70 14
1998 9.55 85,043 0.75 5.00 0.80 4.96 17
1997 3.35 92,619 0.75 5.01 0.85 4.91 26
1996 13.66 36,611 0.75 5.02 0.89 4.88 43
CLASS B
2000* 6.60% $ 9,128 0.97% 4.90% 1.09% 4.78% 4%
2000 (5.39) 8,790 0.97 4.65 1.02 4.60 10
1999 5.11 9,477 0.97 4.52 1.04 4.45 14
1998 9.28 7,658 1.00 4.74 1.05 4.70 17
1997 3.19 6,191 1.00 4.76 1.10 4.66 26
1996 13.26 4,312 1.00 4.78 1.14 4.64 43
---------------------------------------------------------------------------------------------------------------------------------
GOVERNMENT SECURITIES PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------------
CLASS A
2000* 5.32% $41,726 0.83% 6.14% 1.12% 5.85% 8%
2000 (3.11) 43,315 0.83 5.89 1.11 5.61 10
1999 7.39 51,614 0.83 5.54 1.11 5.26 11
1998 10.44 50,100 0.83 5.77 1.05 5.55 21
1997 1.83 59,014 0.83 5.75 1.16 5.42 46
1996 18.14 60,228 0.83 5.68 1.11 5.40 28
CLASS B
2000* 5.30% $61,533 1.08% 5.89% 1.38% 5.59% 8%
2000 (3.45) 1,732 1.08 5.64 1.36 5.36 10
1999 7.12 2,063 1.08 5.28 1.36 5.00 11
1998 10.16 1,519 1.08 5.52 1.30 5.30 21
1997 1.69 1,830 1.08 5.50 1.41 5.17 46
1996 17.72 1,167 1.08 5.39 1.36 5.11 28
---------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
21
<PAGE>
--------------------
FINANCIAL HIGHLIGHTS
--------------------
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------
FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ENDED JULY 31, 2000 (UNAUDITED) AND YEARS ENDED JANUARY 31,
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
---------------------------------------------------------------------------------------------------------------------------
CAPITAL APPRECIATION PORTFOLIO
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
CLASS A
2000* $20.78 $(0.03) $ 1.00 $ 0.00 $ 0.00 $21.75
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* $20.36 $(0.14) $ 1.06 $ 0.00 $ 0.00 $21.28
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* $14.10 $ 0.12 $(0.21) $(0.12) $ 0.00 $13.89
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* $14.10 $ 0.10 $(0.21) $(0.10) $ 0.00 $13.89
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
---------------------------------------------------------------------------------------------------------------------------
<FN>
* For the six-month period ended July 31, 2000. All ratios for the period have
been annualized.
+ Total return is for the period indicated and has not been annualized.
(1) Commenced operations on August 21, 1996. All ratios for the period have been
annualized and total returns are for the period indicated and have not been
annualized.
</FN>
22
<PAGE>
[LOGO OMITTED]
JULY 31, 2000
--------------------------------------------------------------------------------
<CAPTION> RATIO OF
RATIO OF NET INVESTMENT
RATIO OF EXPENSES TO INCOME (LOSS)
RATIO OF NET INVESTMENT AVERAGE TO AVERAGE
NET ASSETS, EXPENSES TO INCOME (LOSS) NET ASSETS NET ASSETS PORTFOLIO
TOTAL END OF AVERAGE TO AVERAGE (EXCLUDING (EXCLUDING TURNOVER
RETURN+ PERIOD (OOO) NET ASSETS NET ASSETS WAIVERS) WAIVERS) RATE
-----------------------------------------------------------------------------------------------------------------------------------
CAPITAL APPRECIATION PORTFOLIO
-----------------------------------------------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C> <C> <C> <C>
CLASS A
2000* 4.67% $157,491 1.02% (0.22)% 1.25% (0.45)% 34%
2000 28.81 154,385 1.02 (0.34) 1.30 (0.62) 54
1999 42.72 138,624 1.02 (0.05) 1.28 (0.31) 74
1998 17.12 113,048 1.02 0.09 1.28 (0.17) 118
1997 22.06 118,873 1.02 (0.01) 1.28 (0.27) 90
1996 41.31 99,612 1.02 0.08 1.27 (0.17) 119
CLASS B
2000* 4.52% $ 14,969 1.27% (0.45)% 1.49% (0.67)% 34%
2000 28.47 23,668 1.27 (0.59) 1.55 (0.87) 54
1999 42.34 17,872 1.27 (0.28) 1.53 (0.54) 74
1998 16.76 6,021 1.27 (0.16) 1.53 (0.42) 118
1997 21.81 4,482 1.27 (0.27) 1.53 (0.53) 90
1996 40.88 2,233 1.27 (0.16) 1.52 (0.41) 119
----------------------------------------------------------------------------------------------------------------------------------
EQUITY INCOME PORTFOLIO
----------------------------------------------------------------------------------------------------------------------------------
CLASS A
2000* (0.59)% $ 61,250 0.96% 1.78% 1.10% 1.64% 12%
2000 8.49 62,863 0.96 1.63 1.07 1.52 15
1999 14.69 52,095 0.96 1.97 1.09 1.84 47
1998 18.44 48,076 1.11 2.26 1.15 2.22 68
1997 (1) 13.98 41,580 1.20 3.27 1.25 3.22 10
CLASS B
2000* (0.71)% $ 5,504 1.21% 1.53% 1.35% 1.39% 12%
2000 8.23 5,965 1.21 1.39 1.32 1.28 15
1999 14.43 6,206 1.21 1.72 1.34 1.59 47
1998 18.07 3,678 1.36 2.01 1.40 1.97 68
1997 (1) 13.98 1,504 1.45 3.02 1.50 2.97 10
-----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of the financial statements.
23
<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 Investments 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"), Government Securities Portfolio and West Virginia
Tax-Exempt IncomePortfolio (the "Fixed Income Portfolios"), Capital Appreciation
Portfolio and Equity Income Portfolio (the "Equity Portfolios"). The financial
statements of the Portfolios 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.
FEDERAL INCOME TAXES--
It is each Portfolio's intention to continue to qualify as a regulated
investment company
24
<PAGE>
[LOGO OMITTED]
JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
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 Money Market and Fixed Income
Portfolios are declared daily and paid to shareholders on a monthly
basis.Distributions from net investment income for the Equity Portfolios are
paid to shareholders in the form of quarterly dividends.Any net realized capital
gains on sales of securities are distributed to shareholders at least annually.
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.
(CONTINUED)
25
<PAGE>
-----------------------------------------
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
-----------------------------------------
--------------------------------------------------------------------------------
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:
Prior to July 6, 2000, One Valley Bank, N.A. served as investment adviser to
the Portfolios pursuant to an Investment Advisory Agreement. Due to the
acquisition of One Valley Bank by Branch Banking & Trust Co. ("BB&T" or the
"Adviser"), the Board of Trustees of the Trust approved an Interim Investment
Advisory Agreement with BB&T on June 27, 2000, which became effective on July 6,
2000. On August 14, 2000, the Board of Trustees approved a new Investment
Advisory Agreement with BB&T, which will replace the Interim Investment Advisory
Agreement upon approval by the shareholders of each Portfolio. During the term
of the Interim Investment Advisory Agreement, advisory fees paid to the Adviser
will be held in escrow until such time as shareholder approval of the new
Investment Advisory Agreement is obtained. 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%
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 an Interim
Sub-Advisory Agreement. On August 14, 2000, the Board of Trustees approved a new
Sub-Advisory Agreement with the Sub-Adviser, which will replace the Interim
Sub-Advisory Agreement upon approval by the shareholders of the Prime
Obligations Portfolio. During the term of the Interim Sub-Advisory
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JULY 31, 2000 (UNAUDITED)
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Agreement, sub-advisory fees paid to the Sub-Adviser will be held in escrow
until such time as shareholder approval of the new Sub-Advisory Agreement is
obtained. Under the Interim 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 its services, the Sub-Adviser is entitled to
receive a fee, computed daily and paid monthly, at the annual rate of .075% of
the first $500 million of "managed assets" and .02% of "managed assets" in
excess of $500 million. "Managed assets" are all of the Money Market Portfolio
assets that the Sub-Adviser manages for the Trust, plus the assets of money
market portfolios other than the Prime Obligations Portfolio. The fee paid by
the Portfolio is based on its proportionate share of "managed assets."
The Trust and the Administrator have entered into an Administration
Agreement. Under terms of the Administration Agreement, the Administrator is
entitled to a fee calculated daily and paid monthly at an annual rate of .20% of
the average daily net assets of each Portfolio. There is a minimum annual fee of
$75,000 payable to the Administrator by each Portfolio. At its discretion, the
Administrator may voluntarily choose not to invoke the $75,000 minimum annual
fee. The Administrator also serves as the shareholder servicing agent for the
Trust. Compensation for this service is paid under the Administration Agreement.
DST Systems, Inc. serves as the transfer agent and dividend disbursing
agent for the Portfolios under a Transfer Agency Agreement with the Trust.
The Trust and SEI Investments Distribution Co. (the "Distributor"), a
wholly-owned subsidiary of SEI Investments Company, have entered into a
Distribution Agreement. The Class B shares of each Portfolio have a distribution
plan (the "Class B Plan"), pursuant to Rule 12b-1 under the Investment Company
Act of 1940, as amended. As provided in the Distribution Agreement and the Class
B Plan, the Trust will pay a fee, at an annual rate of .25% of each Portfolio's
average daily net assets attributable to Class B shares to the Distributor as
compensation for its services.
4. 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 the Trust
for serving in their respective roles.
(CONTINUED)
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NOTES TO FINANCIAL STATEMENTS (CONCLUDED)
-----------------------------------------
JULY 31, 2000 (UNAUDITED)
--------------------------------------------------------------------------------
5. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities,
other than temporary cash investments, during the period ended July 31, 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
Portfolio ................ $ -- $ -- $ 3,083 $ 5,361
Government
Securities Portfolio ..... 2,543 3,785 496 --
Capital Appreciation
Portfolio ................ -- -- 55,987 62,055
Equity Income
Portfolio ................ -- -- 7,655 9,396
At July 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 July
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
Portfolio ...... $ 1,660 $(1,966) $ (306)
Government
Securities
Portfolio ...... 521 (1,376) (855)
Capital
Appreciation
Portfolio ...... 76,323 (3,044) 73,279
Equity
Income
Portfolio ...... 14,392 (2,217) 12,175
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.
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THE OVB FUNDS
PORTFOLIOS OF THE ARBOR FUND
--------------------------------------------------------------------------------
INVESTMENT ADVISER:
Branch Banking & Trust Co.
434 Fayetteville Street
Raleigh, NC 29576
DISTRIBUTOR:
SEI Investments Distribution Co.
Oaks, PA 19456
SEI Investments Distribution Co., the Distributor of The OVB Funds,
is not affiliated with Branch Banking & Trust Co.
serves as Investment Adviser for the OVB Funds.
This material must be preceded or accompanied by a current prospectus.
FOR MORE INFORMATION, CALL:
1-800-545-6331
OVB-F-008-07
