INSTITUTIONAL SELECT-TM- FUNDS
OCTOBER 31, 1999
ANNUAL REPORT
AND
AN IMPORTANT NOTICE
REGARDING DELIVERY OF
SHAREHOLDER DOCUMENTS
<PAGE>
IMPORTANT NOTICE REGARDING DELIVERY OF SHAREHOLDER DOCUMENTS
The Securities and Exchange Commission has adopted a rule permitting mutual
funds to deliver only one copy of shareholder documents, including prospectuses
and shareholder reports to fund investors with multiple accounts at the same
residential or post office box address. This practice is commonly called
"householding" and is intended to eliminate duplicate mailings of shareholder
documents.
Schwab may begin indefinitely householding Institutional Select-TM- Fund
prospectuses and shareholder reports effective February 29, 2000.
ADDITIONAL COPIES OF SHAREHOLDER DOCUMENTS
ALL INSTITUTIONAL SELECT PROSPECTUSES and shareholder reports ARE AVAILABLE FREE
OF CHARGE, AND MAY BE REQUESTED AT ANY TIME BY CALLING 1-800-515-2157.
If you would otherwise fall under our householding policy, but for any reason
prefer to receive multiple Institutional Select Fund prospectuses and
shareholder reports, please contact Schwab at 1-800-515-2157, or your investment
manager. Your instructions that householding not apply to accounts holding
Institutional Select Funds will be effective within 30 days of receipt by
Schwab.
<PAGE>
INSTITUTIONAL SELECT-TM- FUNDS
ANNUAL REPORT
OCTOBER 31, 1999
INSTITUTIONAL SELECT
S&P 500 FUND
INSTITUTIONAL SELECT
LARGE-CAP VALUE INDEX FUND
INSTITUTIONAL SELECT
SMALL-CAP VALUE INDEX FUND
<PAGE>
INSTITUTIONAL SELECT-TM- FUNDS
We are pleased to bring you this annual report for the Institutional Select-TM-
Funds (the funds) for the period since the funds' inception on February 1, 1999,
through October 31, 1999. This report includes the following funds:
- Institutional Select S&P 500 Fund
- Institutional Select Large-Cap Value
Index Fund
- Institutional Select Small-Cap Value
Index Fund
The funds achieve their respective goals by tracking the performance of
different stock market indices. Because each fund typically only rebalances
its portfolio periodically in order to track its index, the funds have
experienced significantly lower portfolio turnover and transaction costs than
non-index funds. This approach, combined with low fund operating expenses, makes
these funds cost-effective investments for long-term investors.
FUND LISTINGS
The funds are listed in THE WALL STREET JOURNAL, USA TODAY, INVESTOR'S BUSINESS
DAILY and most local newspapers under the heading INSTITUTIONAL SELECT:
<TABLE>
<CAPTION>
NEWSPAPER LISTING SYMBOL
<S> <C>
S&P500 ISLCX
LrgCapValue ISLVX
SmCapValue ISSVX
</TABLE>
S&P 500-REGISTERED TRADEMARK- IS A TRADEMARK OF THE MCGRAW-HILL COMPANIES, INC.,
AND HAVE BEEN LICENSED FOR USE BY SCHWAB CAPITAL TRUST. THE INSTITUTIONAL SELECT
S&P 500 FUND IS NOT SPONSORED, SOLD OR PROMOTED BY STANDARD &
POOR'S,-REGISTERED TRADEMARK- AND THEY MAKE NO REPRESENTATIONS REGARDING THE
ADVISABILITY OF INVESTING IN THE FUND.
CONTENTS
<TABLE>
<S> <C>
- ---------------------------------------------
A Message from the Chairman 1
- ---------------------------------------------
Market Overview 2
- ---------------------------------------------
Institutional Select S&P 500 Fund
FUND PERFORMANCE 6
PORTFOLIO SNAPSHOT 8
- ---------------------------------------------
Institutional Select Large-Cap Value
Index Fund
FUND PERFORMANCE 10
PORTFOLIO SNAPSHOT 12
- ---------------------------------------------
Institutional Select Small-Cap Value
Index Fund
FUND PERFORMANCE 14
PORTFOLIO SNAPSHOT 16
- ---------------------------------------------
Portfolio Management 18
- ---------------------------------------------
Fund Discussion 19
- ---------------------------------------------
Glossary 22
- ---------------------------------------------
Financial Statements and Notes 24
- ---------------------------------------------
</TABLE>
<PAGE>
A MESSAGE FROM THE CHAIRMAN
[PHOTO]
Dear Shareholder,
This annual report is designed to provide you with detailed information about
the Institutional Select-TM- Funds, a family of institutional index funds we
introduced last year to better serve the needs of investment managers and their
clients. These Funds have highly competitive expense ratios, and are generally
only available through investment managers. With the support of investors such
as yourselves, combined assets in the Institutional Select Funds, exceeded
$300 million on October 31, 1999.
Charles Schwab Investment Management, Inc. (CSIM) is the Institutional Select
Funds' investment adviser. CSIM is committed to providing investors with
high-quality, cost-efficient investment solutions. CSIM was created in 1989, and
as of September 30, 1999, managed more that $100 billion in assets for over five
million shareholders.
MARKET REVIEW
Over the past year, the U.S. economy continued to experience strong growth. High
consumer confidence, relatively low interest rates and a robust stock market all
contributed to extend our economy's expansion. All major equity markets
performed positively during the past 12 months. Large-cap U.S. stocks continued
to lead the major asset classes. Mainly due to the turnaround in Asian markets,
international stocks were the second highest performing asset class. Small-cap
U.S. stocks also experienced healthy increases.
Many investors shifted their focus from international economic problems to the
unprecedented high stock valuations and short-term volatility within U.S.
markets. At several points during the year, the U.S. stock markets experienced
high levels of activity and large price fluctuation.
In closing, I would like to thank you for your business. We will continue to do
everything we can to warrant the trust you have placed in us.
Sincerely,
/s/ Charles R. Schwab
Charles R. Schwab
October 31, 1999
THE YEAR 2000
One issue with the potential to disrupt portfolio operations and affect
performance is the inability of some computers to recognize the year 2000.
CSIM will continue to take steps to enable its systems to handle the year
2000 problem. CSIM is also seeking assurances that its service providers and
business partners are taking similar steps as well. It is impossible to know
in advance however, exactly how this issue will affect portfolio
administration, portfolio performance or securities markets in general.
1
<PAGE>
MARKET OVERVIEW
U.S. ECONOMIC GROWTH
The U.S. economy, as measured by gross domestic product (GDP), continued its
lengthy expansion with a strong real growth rate of 4.3% for the year ended
September 1999--a rate considered to be in excess of the long-term maximum
sustainable non-inflationary growth rate. High levels of consumer confidence and
spending, low interest rates, rising real wages and strong gains in stock prices
have been the principal factors responsible for this lengthy expansion.
In a major revision of the GDP benchmark data going back four decades, the
Commerce Department reported that, during the 1990s, growth was stronger,
personal savings higher, and inflation lower than previously calculated.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
REAL GDP GROWTH RATE
QUARTERLY PERCENTAGE CHANGE
(ANNUALIZED RATE)
<S> <C>
Q1 1990 5.0%
Q2 1990 1.0%
Q3 1990 -0.6%
Q4 1990 -3.0%
Q1 1991 -1.7%
Q2 1991 2.6%
Q3 1991 1.3%
Q4 1991 2.5%
Q1 1992 4.3%
Q2 1992 4.0%
Q3 1992 3.1%
Q4 1992 5.2%
Q1 1993 -0.7%
Q2 1993 2.1%
Q3 1993 1.5%
Q4 1993 6.0%
Q1 1994 3.6%
Q2 1994 5.7%
Q3 1994 2.2%
Q4 1994 5.1%
Q1 1995 1.5%
Q2 1995 0.8%
Q3 1995 3.2%
Q4 1995 3.3%
Q1 1996 2.9%
Q2 1996 6.9%
Q3 1996 2.2%
Q4 1996 4.9%
Q1 1997 4.9%
Q2 1997 5.1%
Q3 1997 4.0%
Q4 1997 3.1%
Q1 1998 6.7%
Q2 1998 2.1%
Q3 1998 3.8%
Q4 1998 5.9%
Q1 1999 3.7%
Q2 1999 1.9%
Q3 1999 5.5%
Source: BLOOMBERG L.P.
</TABLE>
Despite some recent slowing in the housing sector and a moderate decline in
consumer confidence, personal consumption and business fixed investment remain
strong. The consensus of most economists is that the U.S. economy appears poised
for continued growth, but at a more moderate pace than experienced so far in
1999.
Last year's concerns over the impact of international economic problems have
been displaced by concerns over imbalances in the domestic economy, namely the
surging current account (trade) deficit, record high stock valuations, and the
low savings rate. Looking ahead, the behavior of domestic consumers in response
to continued stock market volatility may also be a key determinant of whether
the economy continues on its current course or softens throughout 2000.
UNEMPLOYMENT
October's unemployment rate of 4.1% was a 29-year low. Labor markets continue to
be extremely tight in many areas of the country. Growth in the labor force has
slowed, and there continues to be concern that wage and benefits increases may
begin to put more pressure on labor costs (refer to Employment Cost Index on the
next page).
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
U.S. UNEMPLOYMENT RATE
<S> <C>
Jan-90 5.4%
Feb-90 5.3%
Mar-90 5.2%
Apr-90 5.4%
May-90 5.4%
Jun-90 5.2%
Jul-90 5.5%
Aug-90 5.7%
Sep-90 5.9%
Oct-90 5.9%
Nov-90 6.2%
Dec-90 6.3%
Jan-91 6.4%
Feb-91 6.6%
Mar-91 6.8%
Apr-91 6.7%
May-91 6.9%
Jun-91 6.9%
Jul-91 6.8%
Aug-91 6.9%
Sep-91 6.9%
Oct-91 7.0%
Nov-91 7.0%
Dec-91 7.3%
Jan-92 7.3%
Feb-92 7.4%
Mar-92 7.4%
Apr-92 7.4%
May-92 7.6%
Jun-92 7.8%
Jul-92 7.7%
Aug-92 7.6%
Sep-92 7.6%
Oct-92 7.3%
Nov-92 7.4%
Dec-92 7.4%
Jan-93 7.3%
Feb-93 7.1%
Mar-93 7.0%
Apr-93 7.1%
May-93 7.1%
Jun-93 7.0%
Jul-93 6.9%
Aug-93 6.8%
Sep-93 6.7%
Oct-93 6.8%
Nov-93 6.6%
Dec-93 6.5%
Jan-94 6.8%
Feb-94 6.6%
Mar-94 6.5%
Apr-94 6.4%
May-94 6.1%
Jun-94 6.1%
Jul-94 6.3%
Aug-94 6.0%
Sep-94 5.8%
Oct-94 5.8%
Nov-94 5.6%
Dec-94 5.5%
Jan-95 5.6%
Feb-95 5.4%
Mar-95 5.3%
Apr-95 5.8%
May-95 5.8%
Jun-95 5.6%
Jul-95 5.6%
Aug-95 5.7%
Sep-95 5.6%
Oct-95 5.5%
Nov-95 5.7%
Dec-95 5.6%
Jan-96 5.6%
Feb-96 5.5%
Mar-96 5.6%
Apr-96 5.5%
May-96 5.6%
Jun-96 5.3%
Jul-96 5.5%
Aug-96 5.1%
Sep-96 5.2%
Oct-96 5.2%
Nov-96 5.3%
Dec-96 5.4%
Jan-97 5.3%
Feb-97 5.3%
Mar-97 5.1%
Apr-97 5.0%
May-97 4.7%
Jun-97 5.0%
Jul-97 4.7%
Aug-97 4.9%
Sep-97 4.7%
Oct-97 4.7%
Nov-97 4.6%
Dec-97 4.7%
Jan-98 4.5%
Feb-98 4.6%
Mar-98 4.6%
Apr-98 4.3%
May-98 4.3%
Jun-98 4.5%
Jul-98 4.5%
Aug-98 4.5%
Sep-98 4.5%
Oct-98 4.5%
Nov-98 4.4%
Dec-98 4.3%
Jan-99 4.3%
Feb-99 4.4%
Mar-99 4.2%
Apr-99 4.3%
May-99 4.2%
Jun-99 4.3%
Jul-99 4.3%
Aug-99 4.2%
Sep-99 4.2%
Oct-99 4.1%
Source: BLOOMBERG L.P.
</TABLE>
INFLATION
Price inflation continued to remain well contained. The Consumer Price Index
(CPI) rose just 2.6% for the year ended October 1999. Its core rate (which
excludes
2
<PAGE>
the more volatile food and energy components) rose just 2.1%. The GDP price
deflator, the broadest measure of inflation, indicated prices rising at an
annual rate of 1.3% for the year ended September 1999.
The Employment Cost Index, which measures inflation in wages, salaries and
benefits was also well contained, increasing 3.1% for the year ended September
1999.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MEASURES OF INFLATION
QUARTERLY EMPLOYMENT COST INDEX MONTHLY CONSUMER PRICE INDEX
<S> <C> <C>
Jan-90 5.5% 5.2%
Feb-90 5.5% 5.3%
Mar-90 5.5% 5.2%
Apr-90 5.4% 4.7%
May-90 5.4% 4.4%
Jun-90 5.4% 4.7%
Jul-90 5.2% 4.8%
Aug-90 5.2% 5.6%
Sep-90 5.2% 6.2%
Oct-90 4.9% 6.3%
Nov-90 4.9% 6.3%
Dec-90 4.9% 6.1%
Jan-91 4.6% 5.7%
Feb-91 4.6% 5.3%
Mar-91 4.6% 4.9%
Apr-91 4.6% 4.9%
May-91 4.6% 5.0%
Jun-91 4.6% 4.7%
Jul-91 4.3% 4.4%
Aug-91 4.3% 3.8%
Sep-91 4.3% 3.4%
Oct-91 4.3% 2.9%
Nov-91 4.3% 3.0%
Dec-91 4.3% 3.1%
Jan-92 4.0% 2.6%
Feb-92 4.0% 2.8%
Mar-92 4.0% 3.2%
Apr-92 3.6% 3.2%
May-92 3.6% 3.0%
Jun-92 3.6% 3.1%
Jul-92 3.5% 3.2%
Aug-92 3.5% 3.1%
Sep-92 3.5% 3.0%
Oct-92 3.5% 3.2%
Nov-92 3.5% 3.0%
Dec-92 3.5% 2.9%
Jan-93 3.5% 3.3%
Feb-93 3.5% 3.2%
Mar-93 3.5% 3.1%
Apr-93 3.6% 3.2%
May-93 3.6% 3.2%
Jun-93 3.6% 3.0%
Jul-93 3.6% 2.8%
Aug-93 3.6% 2.8%
Sep-93 3.6% 2.7%
Oct-93 3.5% 2.8%
Nov-93 3.5% 2.7%
Dec-93 3.5% 2.7%
Jan-94 3.2% 2.5%
Feb-94 3.2% 2.5%
Mar-94 3.2% 2.5%
Apr-94 3.2% 2.4%
May-94 3.2% 2.3%
Jun-94 3.2% 2.5%
Jul-94 3.2% 2.8%
Aug-94 3.2% 2.9%
Sep-94 3.2% 3.0%
Oct-94 3.0% 2.6%
Nov-94 3.0% 2.7%
Dec-94 3.0% 2.7%
Jan-95 2.9% 2.8%
Feb-95 2.9% 2.9%
Mar-95 2.9% 2.9%
Apr-95 2.9% 3.1%
May-95 2.9% 3.2%
Jun-95 2.9% 3.0%
Jul-95 2.7% 2.8%
Aug-95 2.7% 2.6%
Sep-95 2.7% 2.5%
Oct-95 2.7% 2.8%
Nov-95 2.7% 2.6%
Dec-95 2.7% 2.5%
Jan-96 2.8% 2.7%
Feb-96 2.8% 2.7%
Mar-96 2.8% 2.8%
Apr-96 2.9% 2.9%
May-96 2.9% 2.9%
Jun-96 2.9% 2.8%
Jul-96 2.8% 3.0%
Aug-96 2.8% 2.9%
Sep-96 2.8% 3.0%
Oct-96 2.9% 3.0%
Nov-96 2.9% 3.3%
Dec-96 2.9% 3.3%
Jan-97 2.9% 3.0%
Feb-97 2.9% 3.0%
Mar-97 2.9% 2.8%
Apr-97 2.8% 2.5%
May-97 2.8% 2.2%
Jun-97 2.8% 2.3%
Jul-97 3.0% 2.2%
Aug-97 3.0% 2.2%
Sep-97 3.0% 2.2%
Oct-97 3.3% 2.1%
Nov-97 3.3% 1.8%
Dec-97 3.3% 1.7%
Jan-98 3.3% 1.6%
Feb-98 3.3% 1.4%
Mar-98 3.3% 1.4%
Apr-98 3.5% 1.4%
May-98 3.5% 1.7%
Jun-98 3.5% 1.7%
Jul-98 3.7% 1.7%
Aug-98 3.7% 1.6%
Sep-98 3.7% 1.5%
Oct-98 3.4% 1.5%
Nov-98 3.4% 1.5%
Dec-98 3.4% 1.6%
Jan-99 3.0% 1.7%
Feb-99 3.0% 1.6%
Mar-99 3.0% 1.7%
Apr-99 3.2% 2.3%
May-99 3.2% 2.1%
Jun-99 3.2% 2.0%
Jul-99 3.1% 2.1%
Aug-99 3.1% 2.3%
Sep-99 3.1% 2.6%
Oct-99 2.6%
Source: BLOOMBERG L.P.
</TABLE>
Although there is little evidence of accelerating core inflation, the U.S.
Federal Reserve Board has expressed concern that should labor markets continue
to tighten, increases in wages may outpace productivity growth. In that
environment, productivity growth becomes particularly critical, as it enables
companies to pay higher wages without raising prices. Non-farm productivity grew
2.8% in 1998 and at a 2.7% annualized rate in the first three quarters of 1999,
continuing a healthy trend that began in 1996.
ASSET CLASS PERFORMANCE
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
TOTAL RETURN PERFORMANCE
GROWTH OF A HYPOTHETICAL $1 INVESTMENT
MSCI-EAFE-REGISTERED TRADEMARK- INDEX S&P 500 INDEX RUSSELL 2000 LEHMAN AGGREGATE
SMALL-CAP INDEX BOND INDEX
<S> <C> <C> <C> <C>
Oct-98 $1.00 $1.00 $1.00 $1.00
Nov-98 $1.05 $1.06 $1.05 $1.01
Dec-98 $1.09 $1.12 $1.12 $1.01
Jan-99 $1.09 $1.17 $1.13 $1.02
Feb-99 $1.06 $1.13 $1.04 $1.00
Mar-99 $1.11 $1.18 $1.06 $1.00
Apr-99 $1.15 $1.22 $1.15 $1.01
May-99 $1.09 $1.19 $1.17 $1.00
Jun-99 $1.14 $1.26 $1.22 $0.99
Jul-99 $1.17 $1.22 $1.19 $0.99
Aug-99 $1.17 $1.22 $1.14 $0.99
Sep-99 $1.18 $1.18 $1.14 $1.00
Oct-99 $1.23 $1.26 $1.15 $1.01
</TABLE>
COMPILED BY CHARLES SCHWAB & CO., INC.
Large-cap domestic stocks, as represented by the S&P 500-Registered Trademark-
Index, continued to be the strongest performing asset class, achieving a total
return of 25.7% for the year ended October 1999. Within the S&P 500, growth
stocks continued to be the strongest performing style for the period. Small-cap
stocks as represented by the Russell 2000-Registered Trademark- Index also
experienced a positive return of 14.9%.
Assisted by the rebound in Asian markets, international stock returns, as
represented by the MSCI-EAFE Index, experienced a positive total return of
23.0% for the one-year reporting period, ended October 31, 1999.
Reflecting the rise in intermediate and long-term interest rates, fixed income
returns were generally weak for the period. Bond returns, as represented by the
Lehman Brothers Aggregate Bond Index,-Registered Trademark- were 0.5% for the
one-year reporting period.
3
<PAGE>
MARKET OVERVIEW (continued)
U.S. EQUITY VALUATION
The price/earnings (P/E) ratio for the S&P 500-Registered Trademark- Index
reached record highs during the reporting period and ended the period at a lofty
29.9 times earnings, approximately twice its long-term average. The P/E ratio,
also known as a multiple, is the price of a stock divided by its earnings per
share, and generally indicates how much investors are willing to pay for a
company's earning potential. Based on other traditional market valuation
measures such as the price-to-book value ratio or dividend yield, the U.S. stock
market continues to remain at record high valuation levels.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
S&P 500 PRICE/EARNINGS RATIO
<S> <C>
Jan-90 14.37
Feb-90 14.21
Mar-90 14.77
Apr-90 14.82
May-90 15.84
Jun-90 16.66
Jul-90 16.65
Aug-90 15.57
Sep-90 14.9
Oct-90 14.36
Nov-90 14.59
Dec-90 15.19
Jan-91 14.95
Feb-91 16.82
Mar-91 17.48
Apr-91 17.85
May-91 17.92
Jun-91 17.96
Jul-91 18.07
Aug-91 19.72
Sep-91 19.88
Oct-91 19.92
Nov-91 21.02
Dec-91 21.85
Jan-92 23.35
Feb-92 23.83
Mar-92 25.45
Apr-92 25.51
May-92 25.71
Jun-92 25.08
Jul-92 25.61
Aug-92 25.5
Sep-92 24.37
Oct-92 23.94
Nov-92 24.08
Dec-92 24.01
Jan-93 24.2
Feb-93 24.25
Mar-93 24.22
Apr-93 23.2
May-93 23.21
Jun-93 22.58
Jul-93 22.52
Aug-93 23.02
Sep-93 23.74
Oct-93 23.97
Nov-93 22.55
Dec-93 23.55
Jan-94 22.98
Feb-94 21.17
Mar-94 20.34
Apr-94 20.1
May-94 20.16
Jun-94 19.76
Jul-94 18.64
Aug-94 18.9
Sep-94 18.26
Oct-94 17.55
Nov-94 16.58
Dec-94 16.98
Jan-95 16.23
Feb-95 16.2
Mar-95 16.5
Apr-95 16.02
May-95 16.43
Jun-95 16.82
Jul-95 16.55
Aug-95 16.18
Sep-95 16.86
Oct-95 16.18
Nov-95 17.14
Dec-95 17.41
Jan-96 18.11
Feb-96 18.56
Mar-96 18.94
Apr-96 19.16
May-96 19.48
Jun-96 19.3
Jul-96 18.31
Aug-96 18.62
Sep-96 19.75
Oct-96 19.6
Nov-96 21.05
Dec-96 20.7
Jan-97 20.55
Feb-97 20.98
Mar-97 19.87
Apr-97 20.24
May-97 21.43
Jun-97 22.45
Jul-97 23.92
Aug-97 22.64
Sep-97 24
Oct-97 22.84
Nov-97 24.02
Dec-97 24.51
Jan-98 24.99
Feb-98 26.44
Mar-98 27.76
Apr-98 26.51
May-98 26.12
Jun-98 27.09
Jul-98 26.78
Aug-98 22.77
Sep-98 24.23
Oct-98 27.58
Nov-98 30.14
Dec-98 31.97
Jan-99 33.29
Feb-99 32.65
Mar-99 33.78
Apr-99 33.9
May-99 32.74
Jun-99 34.7
Jul-99 31.62
Aug-99 31.21
Sep-99 29.9
Oct-99 29.92
30-Year Average 15.5
Source: BLOOMBERG L.P.
</TABLE>
TREASURY BOND YIELDS
Continuing a trend which began in October 1998, both long-term and intermediate
term rates continued to climb upward during the reporting period. Scaled back
concerns about the impact of international economic problems and the continued
growth of the domestic economy were the primary drivers of this upward trend in
yields.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
30-YEAR AND FIVE-YEAR TREASURY BOND YIELDS
30-YEAR TREASURY FIVE-YEAR TREASURY
BOND YIELD NOTE YIELD
<S> <C> <C>
10/2/98 4.84% 4.08%
10/9/98 5.12% 4.46%
10/16/98 4.98% 4.04%
10/23/98 5.18% 4.30%
10/30/98 5.16% 4.23%
11/6/98 5.39% 4.59%
11/13/98 5.25% 4.50%
11/20/98 5.22% 4.60%
11/27/98 5.16% 4.59%
12/4/98 5.04% 4.39%
12/11/98 5.02% 4.39%
12/18/98 5.00% 4.36%
12/25/98 5.22% 4.71%
1/1/99 5.10% 4.54%
1/8/99 5.27% 4.73%
1/15/99 5.11% 4.55%
1/22/99 5.08% 4.52%
1/29/99 5.09% 4.55%
2/5/99 5.35% 4.86%
2/12/99 5.42% 4.96%
2/19/99 5.39% 4.99%
2/26/99 5.58% 5.22%
3/5/99 5.60% 5.22%
3/12/99 5.53% 5.06%
3/19/99 5.56% 5.08%
3/26/99 5.59% 5.08%
4/2/99 5.46% 4.96%
4/9/99 5.46% 4.96%
4/16/99 5.57% 5.11%
4/23/99 5.60% 5.14%
4/30/99 5.66% 5.21%
5/7/99 5.81% 5.37%
5/14/99 5.92% 5.50%
5/21/99 5.75% 5.43%
5/28/99 5.83% 5.58%
6/4/99 5.96% 5.73%
6/11/99 6.16% 5.91%
6/18/99 5.97% 5.73%
6/25/99 6.15% 5.89%
7/2/99 6.00% 5.69%
7/9/99 6.00% 5.69%
7/16/99 5.88% 5.55%
7/23/99 6.03% 5.69%
7/30/99 6.10% 5.79%
8/6/99 6.18% 5.91%
8/13/99 6.10% 5.86%
8/20/99 5.99% 5.77%
8/27/99 5.98% 5.77%
9/3/99 6.02% 5.77%
9/10/99 6.04% 5.78%
9/17/99 6.06% 5.75%
9/24/99 5.97% 5.66%
10/1/99 6.13% 5.86%
10/8/99 6.20% 5.95%
10/15/99 6.26% 5.97%
10/22/99 6.35% 6.10%
10/29/99 6.16% 5.95%
Source: BLOOMBERG L.P.
</TABLE>
INTERNATIONAL PERFORMANCE
The MSCI-EAFE-Registered Trademark- Index gained 23.0% in U.S. dollar terms
(excluding reinvested dividends) during the one-year reporting period. In local
currency terms, it gained 26.90%, reflecting the relative weakness of most
foreign currencies (compared to the dollar) during the period.
With the exception of Austria, Belgium, Ireland, Switzerland and Spain, all of
the MSCI-EAFE component countries had positive returns for the period. In
particular, many of the Asian countries reversed their severe declines of the
prior period to post strong returns. The strongest-performing countries for the
period were Finland, Singapore and Japan.
4
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
MSCI-EAFE COUNTRY RETURNS
One Year Ended 10/31/99
<S> <C>
Finland 100.43%
Singapore 87.76%
Japan 57.38%
Sweden 46.01%
Hong Kong 23.22%
France 23.03%
Netherlands 10.52%
United Kingdom 10.50%
Australia 9.14%
Germany 6.27%
Denmark 6.00%
New Zealand 4.46%
Norway 1.32%
Italy 0.34%
Spain -0.40%
Switzerland -1.44%
Ireland -2.74%
Belgium -6.67%
Austria -15.16%
Source: DATASTREAM
</TABLE>
This market overview has been provided by the portfolio management team.
5
<PAGE>
INSTITUTIONAL SELECT-TM- S&P 500 FUND
FUND PERFORMANCE
CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED 10/31/99(1)
<TABLE>
<CAPTION>
SINCE INCEPTION
(2/1/99)
<S> <C>
- ---------------------------------------------------------------------------------------
INSTITUTIONAL SELECT S&P 500 FUND(2) 7.40%
- ---------------------------------------------------------------------------------------
S&P 500-Registered Trademark- Index 7.54%
- ---------------------------------------------------------------------------------------
Index Tracking Differential (0.14)%
- ---------------------------------------------------------------------------------------
</TABLE>
National Association of Securities Dealers (NASD) regulations require that we
report performance data as of the most recent calendar quarter--in this case,
the quarter ended 9/30/99. As of 9/30/99, the fund's since-inception cumulative
total return was 1.00%. Without fee waivers and guarantees, the fund's
since-inception cumulative total return would have been 0.76% as of 9/30/99.
Also shown is the difference between the total returns of the S&P 500 Index and
the Institutional Select S&P 500 Fund, which is often referred to as the
"tracking differential." The tracking differential arises due to several
factors. For example, unlike the index, the fund has operating expenses and
incurs trading costs when it buys or sells securities. The fund also may hold
non-index securities that can produce either higher or lower returns than its
index counterpart. Furthermore, unlike the index, the fund holds a portion of
its assets in cash.
(1) Actual, not annualized, because period is less than one year.
(2) CSIM and Schwab waived a portion of their fees during the reporting period
and have guaranteed through at least 12/31/05 that total operating expenses
will not exceed 0.15%. Without fee waivers and guarantees, the fund's
since-inception cumulative total return would have been 7.09% as of
10/31/99.
6
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
<TABLE>
<CAPTION>
INSTITUTIONAL SELECT-TM- S&P 500 FUND S&P 500 -REGISTERED TRADEMARK- INDEX
<S> <C> <C>
2/1/99 $10,000 $10,000
2/28/99 $9,680 $9,689
3/31/99 $10,070 $10,077
4/30/99 $10,460 $10,467
5/31/99 $10,200 $10,220
6/30/99 $10,770 $10,787
7/31/99 $10,440 $10,450
8/31/99 $10,380 $10,398
9/30/99 $10,100 $10,113
10/31/99 $10,740 $10,754
</TABLE>
The above graph compares the growth of a hypothetical $10,000 investment in the
Institutional Select-TM- S&P 500 Fund, made at its inception, with a similar
investment in the S&P 500-Registered Trademark- Index. A detailed analysis of
the performance of the fund is provided in the Fund Discussion section later in
this report.
THE INFORMATION PRESENTED IS HISTORICAL AND DOES NOT REPRESENT FUTURE RESULTS.
TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS
DISTRIBUTIONS. PRINCIPAL VALUE AND INVESTMENT RETURNS WILL FLUCTUATE, SO AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. Indices are unmanaged and do not reflect advisory fees and other expenses
associated with an investment in the fund. Investors cannot invest in an index
directly.
ASSETS
<TABLE>
<S> <C>
- ----------------------------------------------------------------------
Total net assets as of 10/31/99 (000s) $238,476
- ----------------------------------------------------------------------
</TABLE>
7
<PAGE>
INSTITUTIONAL SELECT-TM- S&P 500 FUND
PORTFOLIO SNAPSHOT
The Institutional Select S&P 500 Fund (the fund) seeks high total return by
tracking the performance of the S&P 500-Registered Trademark- Index. To do this,
it invests primarily in common stocks of the S&P 500 Index, a widely recognized,
unmanaged index comprised of 500 mainly large-cap stocks selected by Standard &
Poor's.-Registered Trademark- As of October 31, 1999, the aggregate market
capitalization of the S&P 500 Index represented approximately 80% of the total
value of the U.S. stock market.* Common stocks of the 50 largest companies in
the S&P 500 Index accounted for approximately 57% of the index. Standard &
Poor's rebalances the index periodically and with no set schedule. The
information below, and on the following page, provides a snapshot of the fund's
characteristics as of 10/31/99, and is not indicative of its composition after
that date. The terms used below are defined on page 22. A complete list of
securities in the fund's portfolio as of 10/31/99 is provided in the Schedule of
Investments later in this report.
FUND FACTS
<TABLE>
<CAPTION>
INSTITUTIONAL SELECT PEER GROUP
S&P 500 FUND** AVERAGE+
<S> <C> <C>
- ---------------------------------------------------------------------------------------------------------------------
Number of Issues 507 131
- ---------------------------------------------------------------------------------------------------------------------
Median Market Cap ($ Mil) $67,566+ $45,601
- ---------------------------------------------------------------------------------------------------------------------
Price/Earnings (P/E) Ratio 34.0+ 33.6
- ---------------------------------------------------------------------------------------------------------------------
Price/Book (P/B) Ratio 8.4+ 8.0
- ---------------------------------------------------------------------------------------------------------------------
12-Month Yield N/A 0.47%
- ---------------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate 1% 75%
- ---------------------------------------------------------------------------------------------------------------------
Three-Year Beta N/A 0.95
- ---------------------------------------------------------------------------------------------------------------------
Expense Ratio 0.15%*** 1.34%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
* Source: Wilshire Associates. The U.S. stock market as represented by the
Wilshire 5000 Index.
** Compiled by Charles Schwab & Co., Inc. This information is for illustrative
purposes only and is not intended to show, predict or guarantee future
composition of the fund.
*** Reflects a reduction by CSIM and Schwab, which is guaranteed through at
least 12/31/05.
+ Source: Morningstar, Inc. This information is as of 10/31/99, and is for
illustrative purposes only. It is not intended to show, predict or guarantee
future composition of the fund. The peer group average is based on
2,173 large-cap funds as tracked by Morningstar.
8
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
PORTFOLIO COMPOSITION BY INDUSTRY
AS OF 10/31/99
<TABLE>
<CAPTION>
<S> <C>
Other 28.8%
Business Machines and Software 12.6%
Healthcare/Drugs and Medicine 10.6%
Telephone 9.0%
Electronics 7.9%
Banks 6.5%
Retail 6.1%
Miscellaneous Finance 5.4%
Producer Goods and Manufacturing 5.2%
Oil-International 4.1%
Food and Agriculture 3.8%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
EQUITY INVESTMENT STYLE BOX(1)
AS OF 10/31/99
<TABLE>
<S> <C> <C> <C>
- --Style--
Value Blend Growth --Market Cap--
X Large
Medium
Small
</TABLE>
TOP 10 HOLDINGS
AS A PERCENTAGE OF FUND INVESTMENTS
<TABLE>
<S> <C>
- --------------------------------------------
Microsoft Corp. 4.07%
- --------------------------------------------
General Electric Co. 3.83%
- --------------------------------------------
Intel Corp. 2.20%
- --------------------------------------------
Wal-Mart Stores, Inc. 2.17%
- --------------------------------------------
Cisco Systems, Inc. 2.07%
- --------------------------------------------
- --------------------------------------------
Lucent Technologies, Inc. 1.69%
- --------------------------------------------
Merck & Co., Inc. 1.60%
- --------------------------------------------
Citigroup, Inc. 1.57%
- --------------------------------------------
Exxon Corp. 1.55%
- --------------------------------------------
International Business Machines Corp. 1.53%
- --------------------------------------------
</TABLE>
(1) Source: Morningstar, Inc. The style box illustrates the composition of the
fund's portfolio as of 10/31/99. It is not indicative of its holdings after
that date, nor does it represent an exact assessment of risk or future
assessment or any type of future performance. Placement is based on the
fund's P/E and P/B ratios relative to the S&P 500-Registered Trademark-
Index, as well as the size of the companies in which it invests, or median
market capitalization.
9
<PAGE>
INSTITUTIONAL SELECT-TM- LARGE-CAP VALUE INDEX FUND
FUND PERFORMANCE
CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED 10/31/99(1)
<TABLE>
<CAPTION>
SINCE INCEPTION
(2/1/99)
<S> <C>
- ---------------------------------------------------------------------------------------
INSTITUTIONAL SELECT LARGE-CAP VALUE INDEX FUND(2) 6.80%
- ---------------------------------------------------------------------------------------
S&P 500/BARRA Value Index 7.12%
- ---------------------------------------------------------------------------------------
Index Tracking Differential (0.32)%
- ---------------------------------------------------------------------------------------
</TABLE>
National Association of Securities Dealers (NASD) regulations require that we
report performance data as of the most recent calendar quarter--in this case,
the quarter ended 9/30/99. As of 9/30/99, the fund's since-inception cumulative
total return was 1.10%. Without fee waivers and guarantees, the fund's
since-inception cumulative total returns would have been 0.77% as of 9/30/99.
Also shown is the difference between the total returns of the S&P 500/BARRA
Value Index and the Institutional Select Large-Cap Value Index Fund, which is
often referred to as the "tracking differential." (See page 6 for a more
detailed discussion).
(1) Actual, not annualized, because period is less than one year.
(2) CSIM and Schwab waived a portion of their fees during the reporting period
and have guaranteed through at least 12/31/05 that total operating expenses
will not exceed 0.25%. Without fee waivers and guarantees, the fund's
since-inception cumulative total return would have been 6.42% as of
10/31/99.
10
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
<TABLE>
<CAPTION>
INSTITUTIONAL SELECT -TM- S&P 500/BARRA
LARGE-CAP VALUE INDEX FUND VALUE INDEX
<S> <C> <C>
2/1/99 $10,000 $10,000
2/28/99 $9,680 $9,689
3/31/99 $10,070 $10,077
4/30/99 $10,460 $10,467
5/31/99 $10,200 $10,220
6/30/99 $10,770 $10,787
7/31/99 $10,440 $10,450
8/31/99 $10,380 $10,398
9/30/99 $10,100 $10,113
10/31/99 $10,680 $10,712
</TABLE>
The above graph compares the growth of a hypothetical $10,000 investment in the
Institutional Select Large-Cap Value Index Fund, made at its inception, with a
similar investment in the S&P 500/BARRA Value Index. A detailed analysis of the
performance of the fund is provided in the Fund Discussion section later in this
report.
THE INFORMATION PRESENTED IS HISTORICAL AND DOES NOT REPRESENT FUTURE RESULTS.
TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS
DISTRIBUTIONS. PRINCIPAL VALUE AND INVESTMENT RETURNS WILL FLUCTUATE, SO AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. Indices are unmanaged and do not reflect advisory fees and other expenses
associated with an investment in the fund. Investors cannot invest in an index
directly.
ASSETS
<TABLE>
<S> <C>
- ---------------------------------------------------------------------
Total net assets as of 10/31/99 (000s) $71,485
- ---------------------------------------------------------------------
</TABLE>
11
<PAGE>
INSTITUTIONAL SELECT-TM- LARGE-CAP VALUE INDEX FUND
PORTFOLIO SNAPSHOT
The Institutional Select Large-Cap Value Index Fund (the fund) seeks high total
return by tracking the performance of the S&P 500/BARRA Value Index. To do this,
it invests primarily in common stocks of the S&P/ BARRA Value index, a widely
recognized index comprised of approximately 350 large-cap common stocks
determined by BARRA, Inc. and Standard & Poor's-Registered Trademark- to be
"value" stocks. The total value of the index (as measured by the combined market
capitalization of the companies included in the index) is approximately half the
total value of the S&P 500-Registered Trademark- Index. The companies with the
highest price/book ratios may be included in the index. BARRA, Inc., and
Standard & Poor's rebalance the index at least semiannually. The information
below, and on the following page, provides a snapshot of the fund's
characteristics as of 10/31/99, and is not indicative of its composition after
that date. The term as used below are defined on page 22. A complete list of
securities in the fund's portfolio as of 10/31/99 is provided in the Schedule of
Investments later in this report.
FUND FACTS
<TABLE>
<CAPTION>
INSTITUTIONAL SELECT LARGE-CAP PEER GROUP
VALUE INDEX FUND* AVERAGE+
<S> <C> <C>
- -------------------------------------------------------------------------------------------------------------------------
Number of Issues 379 131
- -------------------------------------------------------------------------------------------------------------------------
Median Market Cap ($ Mil) $31,509+ $45,601
- -------------------------------------------------------------------------------------------------------------------------
Price/Earnings (P/E) Ratio 26.7+ 33.6
- -------------------------------------------------------------------------------------------------------------------------
Price/Book (P/B) Ratio 3.9+ 8.0
- -------------------------------------------------------------------------------------------------------------------------
12-Month Yield N/A 0.47%
- -------------------------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate 19% 75%
- -------------------------------------------------------------------------------------------------------------------------
Three-Year Beta N/A 0.95
- -------------------------------------------------------------------------------------------------------------------------
Expense Ratio 0.25%** 1.34%
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Compiled by Charles Schwab & Co., Inc. This information is for illustrative
purposes only and is not intended to show, predict or guarantee future
composition of the fund.
** Reflects a reduction by CSIM and Schwab, which is guaranteed through at least
12/31/05.
+ Source: Morningstar, Inc. This information is as of 10/31/99, and is for
illustrative purposes only. It is not intended to show, predict or guarantee
future composition of the fund. The peer group average is based on
2,173 large-cap funds as tracked by Morningstar.
12
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
PORTFOLIO COMPOSITION BY INDUSTRY
AS OF 10/31/99
<TABLE>
<S> <C>
Other 31.1%
Banks 14.3%
Miscellaneous Finance 10.7%
Oil-International 9.1%
Telephone 7.1%
Insurance 6.9%
Utilities-Electric and Gas 5.7%
Media 4.2%
Electronics 3.8%
Retail 3.7%
Chemical 3.4%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
EQUITY INVESTMENT STYLE BOX(1)
AS OF 10/31/99
<TABLE>
<S> <C> <C> <C>
- --Style--
Value Blend Growth --Market Cap--
X Large
Medium
Small
</TABLE>
TOP 10 HOLDINGS
AS A PERCENTAGE OF FUND INVESTMENTS
<TABLE>
<S> <C>
- ---------------------------------------------
Citigroup, Inc. 3.48%
- ---------------------------------------------
Exxon Corp. 3.42%
- ---------------------------------------------
MCI WorldCom, Inc. 3.06%
- ---------------------------------------------
American International Group 3.03%
- ---------------------------------------------
Royal Dutch Petroleum Co.-Sponsored
ADR 2.45%
- ---------------------------------------------
- ---------------------------------------------
Bank of America Corp. 2.11%
- ---------------------------------------------
Nortel Networks Corp. 1.57%
- ---------------------------------------------
Wells Fargo & Co. 1.50%
- ---------------------------------------------
Mobil Corp. 1.44%
- ---------------------------------------------
Hewlett-Packard Co. 1.42%
- ---------------------------------------------
</TABLE>
(1) Source: Morningstar, Inc. The style box illustrates the composition of the
fund's portfolio as of 10/31/99. It is not indicative of its holdings after
that date, nor does it represent an exact assessment of risk or future
assessment or any type of future performance. Placement is based on the
fund's P/E and P/B ratios relative to the S&P 500-Registered Trademark-
Index, as well as the size of the companies in which it invests, or median
market capitalization.
13
<PAGE>
INSTITUTIONAL SELECT-TM- SMALL-CAP VALUE INDEX FUND
FUND PERFORMANCE
CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED 10/31/99(1)
<TABLE>
<CAPTION>
SINCE INCEPTION
(2/1/99)
<S> <C>
- ---------------------------------------------------------------------------------------
INSTITUTIONAL SELECT SMALL-CAP VALUE INDEX FUND(2) (1.10)%
- ---------------------------------------------------------------------------------------
S&P Small-Cap 600/BARRA Value Index (0.78)%
- ---------------------------------------------------------------------------------------
Index Tracking Differential (0.32)%
- ---------------------------------------------------------------------------------------
</TABLE>
National Association of Securities Dealers (NASD) regulations require that we
report performance data as of the most recent calendar quarter--in this case,
the quarter ended 9/30/99. As of 9/30/99, the fund's since-inception cumulative
total return was 1.20%. Without fee waivers and guarantees, the fund's
since-inception cumulative total return would have been 0.60% as of 9/30/99.
Also shown is the difference between the total returns of the S&P Small-Cap
600/BARRA Value Index and the Institutional Select Small-Cap Value Index Fund,
which is often referred to as the "tracking differential." (See page 6 for a
more detailed discussion).
(1) Actual, not annualized, because period is less than one year.
(2) CSIM and Schwab waived their fees during the reporting period and have
guaranteed through at least 12/31/99 that total operating expenses will not
exceed 0.00%. Additionally, they have guaranteed through at least 12/31/05
that total operating expenses will not exceed 0.32%. Without fee waivers and
guarantees, the fund's since-inception cumulative total return would have
been (1.78)% as of 10/31/99.
14
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
GROWTH OF A HYPOTHETICAL $10,000 INVESTMENT
<TABLE>
<CAPTION>
INSTITUTIONAL SELECT-TM- SMALL-CAP VALUE INDEX FUND S&P 600/BARRA VALUE INDEX
<S> <C> <C>
2/1/99 $10,000 $10,000
2/28/99 $9,170 $9,186
3/31/99 $9,130 $9,150
4/30/99 $9,920 $9,947
5/31/99 $10,310 $10,345
6/30/99 $10,930 $10,973
7/31/99 $10,760 $10,802
8/31/99 $10,310 $10,349
9/30/99 $10,120 $10,159
10/31/99 $9,890 $9,924
</TABLE>
The above graph compares the growth of a hypothetical $10,000 investment in the
Institutional Select Small-Cap Value Index Fund, made at its inception, with a
similar investment in the S&P Small-Cap 600/BARRA Value Index. A detailed
analysis of the performance of the fund is provided in the Fund Discussion
section later in this report.
THE INFORMATION PRESENTED IS HISTORICAL AND DOES NOT REPRESENT FUTURE RESULTS.
TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAINS
DISTRIBUTIONS. PRINCIPAL VALUE AND INVESTMENT RETURNS WILL FLUCTUATE, SO AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. Indices are unmanaged and do not reflect advisory fees and other expenses
associated with an investment in the fund. Investors cannot invest in an index
directly.
ASSETS
<TABLE>
<S> <C>
- ---------------------------------------------------------------------
Total net assets as of 10/31/99 (000s) $31,644
- ---------------------------------------------------------------------
</TABLE>
15
<PAGE>
INSTITUTIONAL SELECT-TM- SMALL-CAP VALUE INDEX FUND
PORTFOLIO SNAPSHOT
The Institutional Select Small-Cap Value Index Fund (the fund) seeks high total
return by tracking the performance of the S&P SmallCap 600/BARRA Value index. To
do this, it invest primarily in common stocks of the S&P SmallCap 600/BARRA
Value Index, a widely recognized index composed of approximately 375 small-cap
common stocks determined by BARRA, Inc. and Standard &
Poor's-Registered Trademark- to be "value" stocks. The total value of the index
(as measured by the combined market capitalization of the companies included in
the index) is approximately half the total value of the S&P SmallCap 600 Index.
The companies with the highest price/book ratios may be included in the index.
BARRA, Inc. and Standard & Poor's rebalance the index at least semiannually. The
information below, and on the following page, provides a snapshot of the fund's
characteristics as of 10/31/99, and is not indicative of its composition after
that date. The terms used below are defined on page 22. A complete list of the
securities in the fund's portfolio as of 10/31/99 is provided in the Schedule of
Investments later in this report.
FUND FACTS
<TABLE>
<CAPTION>
INSTITUTIONAL SELECT SMALL-CAP PEER GROUP
VALUE INDEX FUND* AVERAGE+
<S> <C> <C>
- -----------------------------------------------------------------------------------------------------------
Number of Issues 384 161
- -----------------------------------------------------------------------------------------------------------
Median Market Cap ($ Mil) $518+ $822
- -----------------------------------------------------------------------------------------------------------
Price/Earnings (P/E) Ratio 18.9+ 26.6
- -----------------------------------------------------------------------------------------------------------
Price/Book (P/B) Ratio 1.9+ 5.2
- -----------------------------------------------------------------------------------------------------------
12-Month Yield N/A 0.17%
- -----------------------------------------------------------------------------------------------------------
Portfolio Turnover Rate 38% 94%
- -----------------------------------------------------------------------------------------------------------
Three-Year Beta N/A 0.94
- -----------------------------------------------------------------------------------------------------------
Expense Ratio 0.32%** 1.58%
- -----------------------------------------------------------------------------------------------------------
</TABLE>
* Compiled by Charles Schwab & Co., Inc. This information is for illustrative
purposes only and is not intended to show, predict or guarantee future
composition of the fund.
** Reflects a reduction by CSIM and Schwab, which is guaranteed through at least
12/31/05.
+ Source: Morningstar, Inc. This information is as of 10/31/99, and is for
illustrative purposes only. It is not intended to show, predict or guarantee
future composition of the fund. The peer group average is based on
852 large-cap funds as tracked by Morningstar.
16
<PAGE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
PORTFOLIO COMPOSITION BY INDUSTRY
AS OF 10/31/99
<TABLE>
<CAPTION>
<S> <C>
Other 34.6%
Electronics 10.0%
Utilities-Energy and Gas 8.1%
Business Services 8.0%
Producer Goods and Manufacturing 7.5%
Healthcare/Drugs and Medicine 6.4%
Banks 6.2%
Miscellaneous Finance 5.9%
Retail 5.1%
Food and Agriculture 4.5%
Construction 3.7%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
EQUITY INVESTMENT STYLE BOX(1)
AS OF 10/31/99
<TABLE>
<S> <C> <C> <C>
- --Style--
Value Blend Growth --Market Cap--
Large
Medium
X Small
</TABLE>
TOP 10 HOLDINGS
AS A PERCENTAGE OF FUND INVESTMENTS
<TABLE>
<S> <C>
- ---------------------------------------------
Radian Group, Inc. 1.31%
- ---------------------------------------------
Lattice Semiconductor Corp. 1.13%
- ---------------------------------------------
Zale Corp. 1.03%
- ---------------------------------------------
UST Corp. 0.88%
- ---------------------------------------------
Orion Capital Corp. 0.87%
- ---------------------------------------------
- ---------------------------------------------
United Water Resources, Inc. 0.86%
- ---------------------------------------------
Kemet Corp. 0.83%
- ---------------------------------------------
Corn Products International, Inc. 0.81%
- ---------------------------------------------
Aspect Telecommunications Corp. 0.80%
- ---------------------------------------------
Commercial Federal Corp. 0.80%
- ---------------------------------------------
</TABLE>
(1) Source: Morningstar, Inc. The style box illustrates the composition of the
fund's portfolio as of 10/31/99. It is not indicative of its holdings after
that date, nor does it represent an exact assessment of risk or future
assessment or any type of future performance. Placement is based on the
fund's P/E and P/B ratios relative to the S&P 500-Registered Trademark-
Index, as well as the size of the companies in which it invests, or median
market capitalization.
17
<PAGE>
PORTFOLIO MANAGEMENT
THE PORTFOLIO MANAGEMENT TEAM
GERI HOM--vice president and senior portfolio manager, has primary
responsibility for the management of the Institutional Select-TM- Funds. Geri
also manages all of the Schwab Equity Index Funds and the Schwab Analytics
Fund-Registered Trademark- and co-manages the Schwab MarketTrack Portfolios.-TM-
Geri joined CSIM in March 1995 as portfolio manager and was promoted to her
current position in December 1996. She currently manages approximately $17
billion in indexed equity mutual fund assets. Prior to joining CSIM, Geri was a
principal for Wells Fargo Nikko Investment Advisors and vice president and
manager of the Domestic Equity Portfolio Group for Wells Fargo Nikko.
LARRY MANO--portfolio manager, has day-to-day portfolio management
responsibilities for the Institutional Select Large-Cap Value Index Fund and the
Institutional Select Small-Cap Value Index Fund. Prior to joining CSIM in 1998,
he spent 20 years at Wilshire Associates, where he directed the development of
equity index investment products.
18
<PAGE>
FUND DISCUSSION
QUESTIONS TO THE
PORTFOLIO MANAGEMENT TEAM
Q. HOW DID THE FUNDS PERFORM DURING THE REPORTING PERIOD?
A. Typically you will receive semiannual reports for the six months ended April
30 and annual reports for the year ended October 31 of each year. Because the
Institutional Select-TM- Funds commenced operations on February 1, 1999, this
report addresses only the nine-month period ended October 31, 1999.
Additionally, because the managers seek to manage the funds with an emphasis on
tax-efficiency, we plan to report the funds' returns as well as the category
average returns on both a pre- and after-tax basis. Given the shorter-
than-normal reporting period, and the fact that the period covered does not
include the funds' annual year-end distribution date, we are not including
after-tax returns in this report.
During the nine-month period, large-cap domestic stocks continued their strong
performance. Moreover, there was relatively little variation between the growth
and value styles, for either large-cap or small-cap stocks. The tables below
show the funds' returns as well as the returns of the comparable indices and
average comparable mutual fund returns.
INSTITUTIONAL SELECT S&P 500 FUND
<TABLE>
<CAPTION>
NINE MONTH
RETURN ENDED
10/31/99
<S> <C>
- ------------------------------------------------
Institutional Select S&P 500
Fund 7.40%
- ------------------------------------------------
S&P 500 Index 7.54%
- ------------------------------------------------
Average Large-Cap Fund+ 6.38%
- ------------------------------------------------
</TABLE>
INSTITUTIONAL SELECT LARGE-CAP VALUE FUND
<TABLE>
<CAPTION>
NINE MONTH
RETURN ENDED
10/31/99
<S> <C>
- -----------------------------------------------
Institutional Select Large-Cap
Value Fund 6.80%
- -----------------------------------------------
S&P 500/Barra Value Index 7.12%
- -----------------------------------------------
Average Large-Cap Value Fund+ 0.45%
- -----------------------------------------------
</TABLE>
INSTITUTIONAL SELECT SMALL-CAP VALUE FUND
<TABLE>
<CAPTION>
NINE MONTH
RETURN ENDED
10/31/99
<S> <C>
- ------------------------------------------------
Institutional Select Small-Cap
Value Fund (1.10)%
- ------------------------------------------------
S&P Small-Cap 600/Barra Value
Index (0.78)%
- ------------------------------------------------
Average Small-Cap Value Fund+ (0.03)%
- ------------------------------------------------
</TABLE>
THE INFORMATION PRESENTED IS HISTORICAL AND DOES NOT REPRESENT FUTURE RESULTS.
TOTAL RETURNS ASSUME REINVESTMENT OF ALL DIVIDENDS AND CAPITAL GAIN
DISTRIBUTIONS. PRINCIPAL VALUE AND INVESTMENT RETURNS WILL FLUCTUATE, SO AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THEIR ORIGINAL
COST. Indices are unmanaged and do not reflect advisory fees and other expenses
associated with an investment in the fund. Investors cannot invest in an index
directly.
The Investment Adviser and Schwab waived a portion of their fees during the
reporting period. They have guaranteed through at least 12/31/05 that total
operating expenses will not exceed 0.15% for the Institutional Select S&P 500
Fund, 0.25% for the Institutional Select Large-Cap Value Index Fund or 0.32% for
the Institutional Select Small-Cap Value Index Fund. Additionally, they have
guaranteed through at least 12/31/99 that the total operating expenses will not
exceed 0.00% for the Institutional Select Small-Cap Value Index Fund. Without
fee waivers and guarantees, the funds' since-inception cumulative total return
would have been 7.09%, 6.42% and (1.78)%, respectively, as of 10/31/99.
+ Source: Morningstar, Inc. As of 10/31/99, the average large-cap fund category
contained 959 funds, the average large-cap value fund category contained
603 funds and the average small-cap value fund category contained 231 funds.
Although many mutual funds have multiple classes of shares, the category
average includes only those funds that were classified by Morningstar as a
distinct portfolio. This typically means that a fund's oldest class of shares
was used.
Q. CAN YOU PROVIDE SOME HISTORICAL PERSPECTIVE ON VALUE STOCK RISKS AND RETURNS
COMPARED TO GROWTH STOCK RISKS AND RETURNS?
A. The Schwab Center for Investment Research (SCIR) found that value stocks
historically have shown
19
<PAGE>
FUND DISCUSSION (continued)
much less volatility, a proxy for risk. Whether looking at the past 10, 15, or
20 years, value stocks exhibited only three-quarters the volatility of growth
stocks. Volatility was measured by the annualized standard deviation of monthly
total returns for each index.
On the return side, the data is less definitive. Although value stock returns
have outperformed growth stock returns for the period from 1975 through 1998,
there have been periods when growth stocks have performed better than value
stocks and vice versa. These shifting results are driven by the fact that value
and growth stocks have tended to take turns leading the market, and these
"performance cycles" have varied in length and magnitude, as shown by the second
graph below. Depending on which time period you consider, growth looked better
than value and vice versa, although the value cycles tended to be longer.
Although these cycles may not be entirely random, predicting them is difficult.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
GROWTH OF A HYPOTHETICAL $1 INVESTMENT
<S> <C> <C>
S&P/BARRA 500 Growth S&P/BARRA 500 Value
1/1/75 $1.00 $1.00
1975 $1.32 $1.43
1976 $1.50 $1.93
1977 $1.32 $1.88
1978 $1.41 $2.00
1979 $1.63 $2.42
1980 $2.28 $3.00
1981 $2.05 $3.00
1982 $2.51 $3.63
1983 $2.91 $4.68
1984 $2.98 $5.17
1985 $3.97 $6.70
1986 $4.55 $8.15
1987 $4.85 $8.45
1988 $5.43 $10.28
1989 $7.40 $12.97
1990 $7.42 $12.08
1991 $10.26 $14.81
1992 $10.78 $16.37
1993 $10.96 $19.41
1994 $11.31 $19.29
1995 $15.62 $26.43
1996 $19.36 $32.24
1997 $26.43 $41.90
1998 $37.57 $48.05
</TABLE>
Q. CAN YOU PROVIDE SOME BACKGROUND ON THE S&P/ BARRA VALUE INDICES?
A. The S&P 500/BARRA VALUE INDEX--The S&P 500/BARRA Value Index is a widely
recognized index designed to reflect the performance of large capitalization
"value stocks." The Index includes those S&P 500 Index stocks with generally
higher price-to-book ratios, and is rebalanced semiannually. Its market
capitalization is about half the market capitalization of the S&P 500 Index.
Conceptually speaking, the Index is constructed by first ranking all S&P 500
stocks by their price-to-book ratios. Then the stocks with higher price-to-book
ratios are placed in the S&P/BARRA Value Index until the Index represents about
half of the total market capitalization of the S&P 500 Index. This methodology
has the benefits of being objective and easy to understand.
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE AND GROWTH
RELATIVE PERFORMANCE: 1975-1998
<S> <C>
1975 11.66%
1976 21.09%
1977 9.25%
1978 -0.62%
1979 5.44%
1980 -15.81%
1981 9.83%
1982 -0.99%
1983 12.65%
1984 8.19%
1985 -3.63%
1986 7.17%
1987 -2.82%
1988 9.72%
1989 -10.27%
1990 -7.05%
1991 -15.81%
1992 5.46%
1993 16.92%
1994 -3.77%
1995 -1.14%
1996 -1.97%
1997 -6.54%
1998 -27.49%
</TABLE>
20
<PAGE>
THE S&P SMALLCAP 600/BARRA VALUE INDEX--The S&P SmallCap 600/BARRA Value Index
is a widely recognized index designed to reflect the performance of small
capitalization "value stocks." The Index includes those S&P SmallCap 600 Index
stocks with generally higher price-to-book ratios, and is rebalanced
semiannually. (The S&P SmallCap 600 Index is composed of stocks selected by
Standard & Poor's-Registered Trademark- to reflect the performance of U.S. small
capitalization stocks.) Its market capitalization is about half the market
capitalization of the S&P SmallCap 600 Index. Conceptually speaking, the Index
is constructed by first ranking all S&P 500 stocks by their price-to-book
ratios. Then the stocks with higher price-to-book ratios are placed in the S&P
SmallCap 600/BARRA Value Index until the Index represents about half of the
total market capitalization of the S&P SmallCap 600 Index. This methodology has
the benefits of being objective and easy to understand.
21
<PAGE>
GLOSSARY
ASSET ALLOCATION--The division of holdings among different types of assets, such
as domestic stocks, international stocks, bonds and cashequivalent securities.
BETA--A measure of a stock's volatility relative to the overall stock market.
The beta of the S&P 500-Registered Trademark- Index is 1. Any investment that is
more volatile than the market as a whole has a beta value higher than 1. If the
beta is less than 1, the investment is considered to be less volatile than the
market.
CAPITAL GAIN (LOSS)--When a stock is sold for a profit, the difference between
the net sales price and its net purchase price, or cost basis, is a capital
gain. If a stock is sold below cost, the difference is a capital loss.
EARNINGS GROWTH RATE--The average annual rate of growth in earnings over the
past five years for the stocks in a fund's portfolio.
EARNINGS PER SHARE (EPS)--The net income (or earnings) of a company for the past
12 months divided by the current number of shares outstanding.
EXPENSE RATIO--Amount, expressed as a percentage of total investment, that
shareholders pay annually for mutual fund operating expenses and management
fees.
MARKET CAPITALIZATION--The dollar value of a company or the amount someone would
pay to buy the company today. It is calculated by multiplying the total number
of outstanding shares by the current price per share. Median market cap is the
midpoint of a fund's total market capitalization, weighted by the portion of
assets invested in each holding. As a result, half of the fund's holdings will
have market caps above the median, and the rest below it.
NET ASSET VALUE (NAV)--The market value of a fund share.
PRICE/BOOK (P/B) RATIO--Compares a stock's market value with the value of total
assets minus intangible assets and total liabilities (the book value). It is
determined by dividing the current price of the stock by common stockholder
equity per share. In evaluating stocks, comparing P/B ratios often works well in
situations where price/earnings ratios do not, because the P/B ratio is stable
over time and is always a positive number. P/B ratios are best used for
comparisons within an industry rather than between industries, as certain
industries will usually contain stocks that have all high or all low P/B ratios.
For mutual funds the P/B ratio is the weighted average of all the stocks' P/B
ratios in the portfolio.
PRICE/EARNINGS (P/E) RATIO--The ratio of a company's stock price to its earnings
per share over the past year. For mutual funds the P/E ratio is the weighted
average of all the stocks' P/E ratios in the mutual fund's portfolio. The P/E is
an indicator of market expectations about a company's prospects. Typically, the
higher the P/E, the greater the expectations for a company's future growth.
Because earnings are volatile and sometimes "negative," however, the P/E has its
limitations and may fail as a measure for a significant number of stocks at any
given time.
RETURN ON EQUITY--The average annual rate of return generated by the companies a
fund holds during the past five years for each dollar of shareholders' equity
(net income divided by shareholders' equity).
STOCK--A share of ownership, or equity, in a corporation.
22
<PAGE>
TOTAL RETURN--The sum of dividends, plus capital gains (or losses).
TURNOVER RATE--An indication of a fund's trading activity. Funds with higher
turnover rates typically incur higher transaction costs and are more likely to
distribute capital gains, which are taxable to investors.
YIELD--The income generated by an investment, expressed as a percentage of its
price.
23
<PAGE>
INSTITUTIONAL SELECT(TM) S&P 500 FUND
SCHEDULE OF INVESTMENTS
October 31, 1999
Number Value
of Shares (000s)
--------- ---------
- -------------------------------------------------------------------------------
COMMON STOCK -- 98.0%
- -------------------------------------------------------------------------------
AEROSPACE / DEFENSE -- 1.1%
Boeing Co. 19,900 $ 917
General Dynamics Corp. 4,100 227
Lockheed Martin Corp. 8,200 164
Northrop Grumman Corp. 1,400 77
Raytheon Co., Class B 7,100 207
Rockwell International Corp. 4,000 194
Textron, Inc. 3,200 247
United Technologies Corp. 10,000 605
---------
2,638
---------
- -------------------------------------------------------------------------------
AIR TRANSPORTATION -- 0.4%
AMR Corp.+ 3,200 203
Delta Air Lines, Inc. 3,000 163
FDX Corp.+ 6,200 267
Southwest Airlines Co. 10,600 178
U.S. Airways Group, Inc.+ 1,500 42
---------
853
---------
- -------------------------------------------------------------------------------
ALCOHOLIC BEVERAGES -- 0.5%
Adolph Coors Co., Class B 700 39
Anheuser-Busch Cos., Inc. 9,700 697
Brown-Forman Corp., Class B 1,400 94
Seagram Co. Ltd. 9,000 444
---------
1,274
---------
- -------------------------------------------------------------------------------
APPAREL -- 0.2%
Liz Claiborne, Inc. 1,300 52
Nike, Inc., Class B 5,900 333
Reebok International Ltd.+ 900 9
Russell Corp. 1,700 26
VF Corp. 2,300 69
---------
489
---------
- -------------------------------------------------------------------------------
AUTOMOTIVE PRODUCTS / MOTOR VEHICLES -- 1.4%
B.F. Goodrich Co. 2,200 52
Cooper Tire & Rubber Co. 1,400 24
Cummins Engine Co., Inc. 800 41
Dana Corp. 3,400 100
Danaher Corp. 3,000 145
Delphi Automotive Systems Corp. 11,449 188
Eaton Corp. 1,500 113
Fleetwood Enterprises, Inc. 700 15
Ford Motor Co. 25,100 1,377
General Motors Corp. 13,400 941
Number Value
of Shares (000s)
--------- -----------
Genuine Parts Co. 3,800 $ 99
Goodyear Tire & Rubber Co. 3,300 136
Navistar International Corp.+ 1,300 54
TRW, Inc. 2,400 103
---------
3,388
---------
- -------------------------------------------------------------------------------
BANKS -- 6.6%
AmSouth Bancorp. 8,200 211
Bank of America Corp. 35,800 2,305
Bank of New York Co., Inc. 15,300 641
Bank One Corp. 24,300 913
BB&T Corp. 6,700 244
Chase Manhattan Corp. 17,300 1,512
Comerica, Inc. 3,300 196
Fifth Third Bancorp. 6,300 465
First Union Corp. 19,900 849
Firstar Corp. 20,363 598
Fleet Boston Corp. 19,131 835
Golden West Financial Corp. 1,100 123
Huntington Bancshares, Inc. 4,830 143
J.P. Morgan & Co., Inc. 3,700 484
KeyCorp, Inc. 9,500 265
Mellon Financial Corp. 10,700 395
National City Corp. 12,900 381
Northern Trust Corp. 2,300 222
PNC Bank Corp. 6,300 376
Regions Financial Corp. 4,700 141
Republic New York Corp. 2,100 133
SouthTrust Corp. 3,500 140
State Street Corp. 3,400 259
Summit Bancorp. 3,700 128
SunTrust Banks, Inc. 6,700 490
Synovus Financial Corp. 5,700 122
U.S. Bancorp. 15,200 563
Union Planters Corp. 2,900 129
Wachovia Corp. 4,300 371
Washington Mutual, Inc. 12,200 438
Wells Fargo & Co. 34,200 1,637
---------
15,709
---------
- -------------------------------------------------------------------------------
BUSINESS MACHINES & SOFTWARE -- 12.8%
3Com Corp.+ 7,500 217
Adaptec, Inc.+ 2,200 99
Adobe Systems, Inc. 2,600 182
Apple Computer, Inc.+ 3,400 272
Autodesk, Inc. 1,200 22
BMC Software, Inc.+ 5,000 321
24
<PAGE>
Number Value
of Shares (000s)
--------- -----------
Cabletron Systems, Inc.+ 3,500 $ 58
Ceridian Corp.+ 2,800 61
Cisco Systems, Inc.+ 67,400 4,988
Compaq Computer Corp. 35,000 665
Computer Associates
International, Inc. 11,200 633
Compuware Corp.+ 7,500 209
Comverse Technology, Inc.+ 1,400 159
Dell Computer Corp.+ 52,700 2,115
Gateway, Inc.+ 6,500 429
Hewlett-Packard Co. 21,000 1,555
Honeywell, Inc. 2,600 274
International Business
Machines Corp. 37,500 3,689
Lexmark International Group,
Inc., Class A+ 2,600 203
Microsoft Corp.+ 105,900 9,803
Network Appliance, Inc.+ 1,500 111
Novell, Inc.+ 6,700 134
Oracle Systems Corp.+ 29,850 1,420
Parametric Technology Corp.+ 5,300 101
PeopleSoft, Inc.+ 4,900 73
Pitney Bowes, Inc. 5,500 251
Seagate Technology, Inc.+ 4,700 138
Silicon Graphics, Inc.+ 3,700 29
Sun Microsystems, Inc.+ 16,100 1,704
Unisys Corp.+ 6,100 148
Xerox Corp. 13,900 389
---------
30,452
---------
- -------------------------------------------------------------------------------
BUSINESS SERVICES -- 3.1%
Allied Waste Industries, Inc.+ 3,600 38
America Online, Inc.+ 23,000 2,983
Automatic Data Processing, Inc. 12,800 617
Cendant Corp.+ 14,970 247
Computer Sciences Corp.+ 3,400 234
Deluxe Corp. 1,500 42
Ecolab, Inc. 2,600 88
Equifax, Inc. 2,800 76
First Data Corp. 8,900 407
H&R Block, Inc. 1,900 81
Interpublic Group of
Companies, Inc. 5,900 240
Laidlaw, Inc. 6,400 39
National Service Industries,
Inc. 900 29
Omnicom Group, Inc. 3,800 334
Paychex, Inc. 5,250 207
Number Value
of Shares (000s)
--------- ---------
R.R. Donnelley & Sons Co. 2,600 $ 63
Tyco International Ltd. 34,752 1,388
Waste Management, Inc. 12,900 237
---------
7,350
---------
- -------------------------------------------------------------------------------
CHEMICAL -- 1.6%
Air Products & Chemicals, Inc. 4,800 132
Dow Chemical Co. 4,600 544
E. I. du Pont de Nemours & Co. 21,582 1,391
Eastman Chemical Co. 1,600 62
Great Lakes Chemical Corp. 1,100 39
Hercules, Inc. 2,100 50
Minnesota Mining &
Manufacturing Co. 8,300 789
PPG Industries, Inc. 3,700 224
Praxair, Inc. 3,200 150
Rohm & Haas Co. 4,563 174
Sigma-Aldrich Corp. 2,100 60
Union Carbide Corp. 2,700 165
W.R. Grace & Co.+ 1,300 19
---------
3,799
---------
- -------------------------------------------------------------------------------
CONSTRUCTION -- 0.3%
Armstrong World Industries, Inc. 800 30
Centex Corp. 1,400 38
Crane Co. 1,300 27
Fluor Corp. 1,500 60
Kaufman & Broad Home Corp. 1,000 20
Masco Corp. 9,200 281
Owens Corning 1,100 23
Pulte Corp. 800 16
Sherwin-Williams Co. 3,300 74
The Stanley Works 1,700 47
Vulcan Materials Co. 2,000 83
---------
699
---------
- -------------------------------------------------------------------------------
CONSUMER - DURABLE -- 0.3%
Black & Decker Corp. 1,900 82
Fortune Brands, Inc. 3,300 117
Leggett & Platt, Inc. 3,900 87
Maytag Corp. 1,800 72
Newell Rubbermaid, Inc. 5,867 203
Whirlpool Corp. 1,500 105
---------
666
---------
25
<PAGE>
INSTITUTIONAL SELECT(TM) S&P 500 FUND
SCHEDULE OF INVESTMENTS (continued)
October 31, 1999
Number Value
of Shares (000s)
--------- -----------
- -------------------------------------------------------------------------------
CONSUMER - NONDURABLE -- 0.7%
American Greetings Corp.,
Class A 1,300 $ 34
Darden Restaurants, Inc. 2,700 51
Hasbro, Inc. 3,900 80
Jostens, Inc. 700 15
Mattel, Inc. 9,400 126
McDonald's Corp. 28,100 1,159
Tricon Global Restaurants,
Inc.+ 3,100 125
Wendy's International, Inc. 2,400 57
---------
1,647
---------
- ------------------------------------------------------------------------------
CONTAINERS -- 0.1%
Ball Corp. 600 24
Bemis Co., Inc. 1,200 42
Crown Cork & Seal Co., Inc. 2,400 57
Owens-Illinois, Inc.+ 3,100 74
Sealed Air Corp.+ 1,700 94
---------
291
---------
- -------------------------------------------------------------------------------
ELECTRONICS -- 8.0%
ADC Telecommunications, Inc.+ 3,000 143
Advanced Micro Devices, Inc.+ 2,900 57
Analog Devices, Inc.+ 3,700 197
Andrew Corp.+ 1,500 19
Applied Materials, Inc.+ 7,900 709
Electronic Data Systems Corp. 10,300 603
EMC Corp.+ 21,012 1,534
Emerson Electric Co. 9,100 547
General Instrument Corp.+ 3,500 188
Harris Corp. 1,500 34
Intel Corp. 68,600 5,312
KLA-Tencor Corp.+ 1,800 143
LSI Logic Corp.+ 3,100 165
Lucent Technologies, Inc. 63,545 4,083
Micron Technology, Inc.+ 5,200 371
Motorola, Inc. 12,600 1,228
National Semiconductor Corp.+ 3,300 99
Niagara Mohawk Holdings, Inc.+ 3,700 59
PE Corp-PE Biosystems Group 2,200 143
PerkinElmer, Inc. 900 37
QUALCOMM, Inc.+ 3,400 757
Scientific-Atlanta, Inc. 1,500 86
Solectron Corp.+ 5,600 421
Tektronix, Inc. 900 30
Tellabs, Inc.+ 8,200 519
Texas Instruments, Inc. 16,300 1,463
Number Value
of Shares (000s)
--------- ---------
Thermo Electron Corp.+ 3,000 $ 40
Thomas & Betts Corp. 1,100 49
---------
19,036
---------
- -------------------------------------------------------------------------------
ENERGY - RAW MATERIALS -- 0.9%
Anadarko Petroleum Corp. 2,600 80
Apache Corp. 2,300 90
Baker Hughes, Inc. 6,900 193
Burlington Resources, Inc. 3,700 129
Constellation Energy Group 3,000 92
Halliburton Co. 9,100 343
Helmerich & Payne, Inc. 900 21
McDermott International, Inc. 1,100 20
Occidental Petroleum Corp. 7,000 160
ONEOK, Inc. 600 17
Rowan Companies, Inc.+ 1,500 23
Schlumberger Ltd. 11,300 684
Sempra Energy 5,000 102
Sunoco, Inc. 1,800 43
Union Pacific Resources Group,
Inc. 4,900 71
---------
2,068
---------
- ------------------------------------------------------------------------------
FOOD & AGRICULTURE -- 3.9%
Archer-Daniels Midland Co. 12,805 158
Bestfoods, Inc. 5,800 341
Campbell Soup Co. 9,000 405
Coca-Cola Co. 51,200 3,021
Coca-Cola Enterprises, Inc. 9,100 233
ConAgra, Inc. 10,300 268
General Mills, Inc. 3,200 279
H.J. Heinz Co. 7,500 358
Hershey Foods Corp. 2,800 141
Kellogg Co. 8,400 334
Monsanto Co. 13,200 508
PepsiCo, Inc. 30,300 1,051
Quaker Oats Co. 2,700 189
Ralston-Ralston Purina Group 6,800 214
Sara Lee Corp. 18,700 506
SYSCO Corp. 6,900 265
Unilever NV 11,942 796
Wm. Wrigley Jr. Co. 2,500 200
---------
9,267
---------
- -------------------------------------------------------------------------------
GOLD -- 0.1%
Barrick Gold Corp. 7,800 143
Homestake Mining Co. 5,700 48
26
<PAGE>
Number Value
of Shares (000s)
--------- ---------
Newmont Mining Corp. 3,400 $ 75
Placer Dome, Inc. 6,500 79
---------
345
---------
- ------------------------------------------------------------------------------
HEALTHCARE / DRUGS & MEDICINE -- 10.7%
Abbott Laboratories 31,600 1,276
Allergan, Inc. 1,400 150
ALZA Corp.+ 2,000 86
American Home Products Corp. 27,100 1,416
Amgen, Inc.+ 10,600 845
Bausch & Lomb, Inc. 1,100 59
Baxter International, Inc. 6,000 389
Becton, Dickinson & Co. 5,100 129
Biomet, Inc. 2,300 69
Boston Scientific Corp.+ 8,600 173
Bristol-Myers Squibb Co. 41,200 3,165
C.R. Bard, Inc. 1,000 54
Cardinal Health, Inc. 5,600 241
Columbia / HCA Healthcare Corp. 11,700 282
Eli Lilly & Co. 22,700 1,563
Guidant Corp. 6,300 311
HealthSouth Corp.+ 8,400 48
Humana, Inc.+ 3,000 21
IMS Health, Inc. 6,300 183
Johnson & Johnson 27,900 2,922
Mallinckrodt, Inc. 1,400 47
Manor Care, Inc.+ 2,200 35
McKesson HBOC, Inc. 5,900 118
Medtronic, Inc. 24,400 845
Merck & Co., Inc. 48,600 3,867
Pfizer, Inc. 80,300 3,172
Pharmacia & Upjohn, Inc. 10,500 566
Schering-Plough Corp. 30,500 1,510
Service Corp. International 5,300 51
Shared Medical Systems Corp. 500 19
St. Jude Medical, Inc.+ 1,700 47
Tenet Healthcare Corp.+ 6,500 126
United Healthcare Corp. 3,500 181
Warner-Lambert Co. 17,800 1,421
Watson Pharmaceuticals, Inc.+ 2,000 63
Wellpoint Health Networks,
Inc.+ 1,300 75
-----------
25,525
-----------
- -------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 2.1%
Alberto-Culver Co., Class B 1,000 24
Avon Products, Inc. 5,300 171
Clorox Co. 4,900 201
Number Value
of Shares (000s)
--------- --------
Colgate-Palmolive Co. 12,100 $ 732
Gillette Co. 22,500 814
International Flavors &
Fragrances, Inc. 2,100 80
Procter & Gamble Co. 27,600 2,895
Tupperware Corp. 1,100 22
---------
4,939
---------
- -------------------------------------------------------------------------------
INSURANCE -- 3.1%
Aetna, Inc. 3,000 151
AFLAC, Inc. 5,500 281
Allstate Corp. 16,700 480
American General Corp. 5,200 386
American International Group,
Inc. 32,125 3,307
Aon Corp. 5,200 185
Chubb Corp. 3,700 203
CIGNA Corp. 4,200 314
Cincinnati Financial Corp. 3,400 122
Conseco, Inc. 6,600 160
Hartford Financial Services
Group, Inc. 4,700 243
Jefferson-Pilot Corp. 2,300 173
Lincoln National Corp. 4,200 194
Marsh & McLennan
Companies, Inc. 5,500 435
MBIA, Inc. 2,000 114
MGIC Investment Corp. 2,200 131
Progressive Corp. 1,500 139
SAFECO Corp. 2,600 71
St. Paul Companies, Inc. 4,800 154
Torchmark Corp. 2,600 81
UnumProvident Corp. 4,860 160
---------
7,484
---------
- -------------------------------------------------------------------------------
MEDIA -- 2.9%
CBS Corp.+ 14,700 718
Clear Channel Communications,
Inc.+ 7,000 563
Comcast Corp., Class A 15,600 657
Dow Jones & Co., Inc. 1,800 111
Gannett Co., Inc. 5,800 447
Harcourt General, Inc. 1,400 54
King World Productions, Inc.+ 1,400 54
Knight-Ridder, Inc. 1,600 102
McGraw-Hill Companies, Inc. 4,100 244
Mediaone Group+ 12,600 895
Meredith Corp. 1,100 39
27
<PAGE>
INSTITUTIONAL SELECT(TM) S&P 500 FUND
SCHEDULE OF INVESTMENTS (continued)
October 31, 1999
Number Value
of Shares (000s)
--------- -----------
New York Times Co., Class A 3,500 $ 141
Time Warner, Inc. 26,800 1,868
Times Mirror Co., Series A 1,400 101
Tribune Co. 5,000 300
Viacom, Inc., Class B+ 14,500 649
---------
6,943
---------
- -------------------------------------------------------------------------------
MISCELLANEOUS FINANCE -- 5.5%
American Express Co. 9,400 1,448
Associates First Capital Corp. 15,100 551
Bear Stearns Companies, Inc. 2,320 99
Capital One Financial Corp. 4,100 217
Charles Schwab Corp. 17,000 662
Citigroup, Inc. 70,000 3,789
Countrywide Credit Industries,
Inc. 2,300 78
Dun & Bradstreet Corp. 3,200 94
Fannie Mae 21,300 1,507
Franklin Resources, Inc. 5,300 185
Freddie Mac 14,500 784
Household International, Inc. 9,900 442
Lehman Brothers Holdings, 2,500 184
MBNA Corp. 16,500 456
Merrill Lynch & Co., Inc. 7,600 597
Morgan Stanley Dean Witter
Discover & Co. 11,900 1,313
Paine Webber Group, Inc. 2,900 118
Providian Financial Corp. 2,900 316
SLM Holding Corp. 3,400 166
T. Rowe Price Associates, Inc. 2,400 85
---------
13,091
---------
- -------------------------------------------------------------------------------
NON-FERROUS METALS -- 0.4%
Alcan Aluminum Ltd. 4,700 155
Alcoa, Inc. 7,700 468
Asarco, Inc. 800 24
Engelhard Corp. 2,500 44
Freeport-McMoRan Copper &
Gold, Inc., Class B 3,300 55
Inco Ltd. 3,800 77
Phelps Dodge Corp. 2,160 122
Reynolds Metals Co. 1,300 79
---------
1,024
---------
- -------------------------------------------------------------------------------
OIL - DOMESTIC -- 0.8%
Amerada Hess Corp. 1,800 103
Ashland, Inc. 1,400 46
Atlantic Richfield Co. 6,700 624
Number Value
of Shares (000s)
--------- ---------
Conoco Inc., Class B 13,100 $ 355
Kerr-McGee Corp. 1,773 95
Phillips Petroleum Co. 5,300 246
Tosco Corp. 3,000 76
Unocal Corp. 4,900 169
USX-Marathon Group 6,500 189
---------
1,903
---------
- -------------------------------------------------------------------------------
OIL - INTERNATIONAL -- 4.1%
Chevron Corp. 13,600 1,242
Exxon Corp. 50,400 3,733
Mobil Corp. 16,300 1,573
Royal Dutch Petroleum Co. -
Sponsored ADR 44,500 2,667
Texaco, Inc. 11,500 706
---------
9,921
---------
- -------------------------------------------------------------------------------
OPTICAL & PHOTO -- 0.2%
Eastman Kodak Co. 6,500 448
Polaroid Corp. 800 18
---------
466
---------
- -------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS -- 0.9%
Boise Cascade Corp. 1,200 43
Champion International Corp. 1,900 110
Fort James Corp. 4,400 116
Georgia-Pacific Group 3,600 143
International Paper Co. 8,488 447
Kimberly-Clark Corp. 11,000 694
Louisiana-Pacific Corp. 2,200 28
Mead Corp. 2,100 76
Potlatch Corp. 600 25
Temple Inland, Inc. 1,100 64
Westvaco Corp. 2,000 59
Weyerhaeuser Co. 4,200 251
Willamette Industries, Inc. 2,200 91
---------
2,147
---------
- -------------------------------------------------------------------------------
PRODUCER GOODS & MANUFACTURING -- 5.3%
AlliedSignal, Inc. 11,400 649
Avery Dennison Corp. 2,300 144
Briggs & Stratton Corp. 500 29
Case Corp. 1,600 85
Caterpillar, Inc. 7,400 409
Cooper Industries, Inc. 1,900 82
Corning, Inc. 5,100 401
28
<PAGE>
Number Value
of Shares (000s)
--------- ---------
Deere & Co. 4,900 $ 178
Dover Corp. 4,200 179
FMC Corp.+ 600 24
Foster Wheeler Corp. 2,300 26
General Electric Co. (b) 68,100 9,232
Illinois Tool Works, Inc. 5,200 381
Ingersoll-Rand Co. 3,500 183
ITT Industries, Inc. 1,800 62
Johnson Controls, Inc. 1,700 103
Milacron, Inc. 600 10
Millipore Corp. 900 29
NACCO Industries, Inc.,
Class A 600 28
Pall Corp. 2,500 55
Parker-Hannifin Corp. 2,200 101
Snap-On, Inc. 1,400 42
Spring Industries, Inc. 300 12
Tenneco, Inc.+ 3,400 54
The Timken Co. 1,200 21
W.W. Grainger, Inc. 2,000 85
---------
12,604
---------
- -------------------------------------------------------------------------------
RAILROAD & SHIPPING -- 0.4%
Burlington Northern
Santa Fe Corp. 9,800 312
CSX Corp. 4,600 189
Kansas City Southern
Industries, Inc. 2,200 104
Norfolk Southern Corp. 7,900 193
Union Pacific Corp. 5,200 290
---------
1,088
---------
- -------------------------------------------------------------------------------
RETAIL -- 6.2%
Albertson's, Inc. 8,783 319
AutoZone, Inc.+ 3,000 80
Bed, Bath & Beyond, Inc.+ 2,800 93
Best Buy Co., Inc.+ 4,300 239
Circuit City Stores, Inc. 4,200 179
Consolidated Stores Corp.+ 2,300 42
Costco Wholesale Corp.+ 4,600 369
CVS Corp. 8,200 356
Dayton Hudson Corp. 9,100 588
Dillards, Inc., Class A 2,100 40
Dollar General Corp. 4,700 124
Federated Department
Stores, Inc.+ 4,200 179
Gap, Inc. 17,800 661
Number Value
of Shares (000s)
--------- ---------
Great Atlantic & Pacific
Tea Co., Inc. 700 $ 20
Home Depot, Inc. 30,800 2,325
IKON Office Solutions 3,000 21
J.C. Penney Co., Inc. 5,300 134
Kmart Corp.+ 10,300 104
Kohl's Corp.+ 3,300 247
Kroger Co.+ 17,000 354
Limited, Inc. 4,300 177
Longs Drug Stores, Inc. 700 19
Lowe's Companies, Inc. 7,900 434
May Department Stores Co. 6,800 236
Nordstrom, Inc. 2,800 70
Office Depot, Inc.+ 7,300 91
Pep Boys-Manny, MOE, & Jack 2,400 30
Rite Aid Corp. 5,100 45
Safeway, Inc.+ 10,600 374
Sears, Roebuck & Co. 7,900 223
Staples, Inc.+ 9,700 215
SUPERVALU, Inc. 2,800 59
Tandy Corp. 4,100 258
TJX Companies, Inc. 6,400 174
Toys 'R' Us, Inc.+ 4,900 69
Wal-Mart Stores, Inc. 92,300 5,232
Walgreen Co. 20,800 524
Winn-Dixie Stores, Inc. 2,900 78
---------
14,782
---------
- -------------------------------------------------------------------------------
STEEL -- 0.1%
Allegheny Teledyne, Inc. 3,700 56
Bethlehem Steel Corp.+ 2,400 17
Nucor Corp. 1,900 99
USX-U.S. Steel Group, Inc. 1,800 46
Worthington Industries, Inc. 1,900 32
-----------
250
-----------
- -------------------------------------------------------------------------------
TELEPHONE -- 9.1%
Alltel Corp. 6,400 533
AT&T Corp. 66,303 3,100
Bell Atlantic Corp. 32,200 2,091
BellSouth Corp. 39,100 1,759
CenturyTel, Inc. 2,800 113
Global Crossing Ltd.+ 15,960 553
GTE Corp. 20,400 1,530
MCI WorldCom, Inc.+ 38,900 3,338
29
<PAGE>
INSTITUTIONAL SELECT(TM) S&P 500 FUND
SCHEDULE OF INVESTMENTS (continued)
October 31, 1999
Number Value
of Shares (000s)
--------- ---------
Nextel Communications, Inc.,
Class A+ 6,900 $ 595
Nortel Networks Corp. 27,500 1,703
SBC Communications, Inc. 70,830 3,608
Sprint Corp. (FON Group) 18,000 1,338
Sprint Corp. (PCS Group)+ 9,200 763
US WEST, Inc. 10,400 635
---------
21,659
---------
- -------------------------------------------------------------------------------
TOBACCO -- 0.7%
Loew's Corp. 2,200 156
Nabisco Group Holdings Corp. 6,700 86
Philip Morris Cos, Inc. 49,600 1,249
UST, Inc. 3,500 97
---------
1,588
---------
- -------------------------------------------------------------------------------
TRAVEL & RECREATION -- 0.9%
Brunswick Corp. 1,900 43
Carnival Corp. 12,800 570
Harrah's Entertainment, Inc.+ 2,600 75
Hilton Hotels Corp. 5,100 47
Marriott International, Inc.,
Class A 5,000 168
Mirage Resorts, Inc.+ 4,000 58
Walt Disney Co.+ 42,800 1,129
---------
2,090
---------
- -------------------------------------------------------------------------------
TRUCKING & FREIGHT -- 0.0%
PACCAR, Inc. 1,700 80
Ryder Systems, Inc. 1,300 28
---------
108
---------
- ------------------------------------------------------------------------------
UTILITIES - ELECTRIC & GAS -- 2.6%
AES Corp.+ 4,400 248
Ameren Corp. 2,900 110
American Electric Power Co.,
Inc. 4,200 145
Carolina Power & Light Co. 3,600 124
Central & South West Corp. 4,200 93
Number Value
of Shares (000s)
--------- ---------
Cinergy Corp. 3,200 $ 90
CMS Energy Corp. 2,400 88
Coastal Corp. 4,600 194
Columbia Energy Group 1,900 123
Consolidated Edison, Inc. 4,600 176
Consolidated Natural Gas Co. 2,000 128
Dominion Resources, Inc. 4,200 202
DTE Energy Co. 2,900 96
Duke Energy Corp. 7,600 429
Eastern Enterprises 500 26
Edison International 7,200 213
El Paso Energy Corp. 4,600 189
Enron Corp. 14,800 591
Entergy Corp. 5,000 150
First Energy Corp. 4,900 128
Florida Progress Corp. 2,300 105
FPL Group, Inc. 3,800 191
GPU, Inc. 2,500 85
New Century Energies, Inc. 2,300 75
NICOR, Inc. 900 35
Northern States Power Co. 3,000 64
PacifiCorp. 6,000 124
PECO Energy Co. 3,900 149
Peoples Energy Corp. 700 27
PG&E Corp. 8,400 193
Pinnacle West Capital Corp. 1,700 63
PP&L Resources, Inc. 3,100 84
Public Service Enterprise
Group, Inc. 4,600 182
Reliant Energy, Inc. 6,200 169
Southern Co. 14,400 382
Texas Utilities Co. 5,800 225
Unicom Corp. 4,800 184
Williams Cos., Inc. 9,000 337
---------
6,217
---------
TOTAL COMMON STOCK
(Cost $223,634) 233,800
---------
30
<PAGE>
Par Value
(000s) (000s)
------- ---------
- ------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.3%
U.S. Treasury Bills (a)(b)
4.54%-4.65%, 12/16/99 $ 700 $ 696
---------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $696) 696
---------
Number
of Shares
-----------
- ------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 2.7%
Provident Institutional
TempCash 5.01%* 3,232,248 3,232
Provident Institutional
TempFund 5.14%* 3,232,248 3,232
---------
TOTAL SHORT-TERM INVESTMENTS
(Cost $6,464) 6,464
---------
TOTAL INVESTMENTS -- 101.0%
(Cost $230,794) 240,960
---------
OTHER ASSETS AND LIABILITIES, NET -- (1.0%)
Other assets 41,526
Liabilities (44,010)
---------
(2,484)
---------
NET ASSETS -- 100.0% $238,476
---------
---------
SEE ACCOMPANYING NOTES TO SCHEDULES OF INVESTMENTS AND NOTES TO FINANCIAL
STATEMENTS.
31
<PAGE>
INSTITUTIONAL SELECT(TM) LARGE-CAP VALUE INDEX FUND
SCHEDULE OF INVESTMENTS
October 31, 1999
Number Value
of Shares (000s)
--------- --------
- -------------------------------------------------------------------------------
COMMON STOCK -- 99.1%
- -------------------------------------------------------------------------------
AEROSPACE / DEFENSE -- 2.4%
Boeing Co. 13,000 $ 599
General Dynamics Corp. 2,800 155
Lockheed Martin Corp. 5,300 106
Northrop Grumman Corp. 900 49
Raytheon Co., Class B 4,700 137
Rockwell International Corp. 2,700 131
Textron, Inc. 2,000 154
United Technologies Corp. 6,600 399
---------
1,730
---------
- -------------------------------------------------------------------------------
AIR TRANSPORTATION -- 0.8%
AMR Corp.+ 2,200 140
Delta Air Lines, Inc. 1,900 103
FDX Corp.+ 4,000 172
Southwest Airlines Co. 6,800 114
---------
529
---------
- -------------------------------------------------------------------------------
ALCOHOLIC BEVERAGES -- 0.5%
Adolph Coors Co., Class B 500 28
Brown-Forman Corp., Class B 900 61
Seagram Co. Ltd. 6,000 296
---------
385
---------
- -------------------------------------------------------------------------------
APPAREL -- 0.4%
Liz Claiborne, Inc. 800 32
Nike, Inc., Class B 3,900 220
Reebok International Ltd.+ 1,400 14
Russell Corp. 600 9
VF Corp. 1,500 45
---------
320
---------
- -------------------------------------------------------------------------------
AUTOMOTIVE PRODUCTS / MOTOR VEHICLES -- 3.1%
B.F. Goodrich Co. 1,400 33
Cooper Tire & Rubber Co. 1,000 17
Cummins Engine Co., Inc. 600 30
Dana Corp. 2,100 62
Danaher Corp. 1,900 92
Delphi Automotive Syste 7,623 125
Eaton Corp. 1,000 75
Fleetwood Enterprises, Inc. 800 17
Ford Motor Co. 16,500 905
General Motors Corp. 8,700 611
Genuine Parts Co. 2,300 60
Number Value
of Shares (000s)
--------- ---------
Goodyear Tire & Rubber Co. 2,200 $ 91
Navistar International Corp.+ 900 38
TRW, Inc. 1,700 73
---------
2,229
---------
- -------------------------------------------------------------------------------
BANKS -- 14.3%
AmSouth Bancorp. 5,400 139
Bank of America Corp. 23,500 1,513
Bank of New York Co., Inc. 10,000 419
Bank One Corp. 16,000 601
BB&T Corp. 4,300 156
Chase Manhattan Corp. 11,300 987
Comerica, Inc. 2,100 125
Fifth Third Bancorp. 4,100 303
First Union Corp. 13,100 559
Firstar Corp. 13,282 390
Fleet Boston Corp. 12,618 550
Golden West Financial Corp. 800 89
Huntington Bancshares, Inc. 3,110 92
J.P. Morgan & Co., Inc. 2,300 301
KeyCorp, Inc. 6,000 168
Mellon Financial Corp. 6,900 255
National City Corp. 8,400 248
Northern Trust Corp. 1,600 154
PNC Bank Corp. 4,100 244
Regions Financial Corp. 3,000 90
Republic New York Corp. 1,400 88
SouthTrust Corp. 2,300 92
State Street Corp. 2,100 160
Summit Bancorp. 2,300 80
SunTrust Banks, Inc. 4,400 322
Synovus Financial Corp. 3,600 77
U.S. Bancorp. 10,000 371
Union Planters Corp. 1,900 85
Wachovia Corp. 2,800 242
Washington Mutual, Inc. 7,800 280
Wells Fargo & Co. 22,400 1,072
---------
10,252
---------
- -------------------------------------------------------------------------------
BUSINESS MACHINES & SOFTWARE -- 3.2%
3Com Corp.+ 4,900 142
Adaptec, Inc.+ 1,500 68
Apple Computer, Inc.+ 2,100 168
Autodesk, Inc. 800 15
Cabletron Systems, Inc.+ 2,800 46
Compaq Computer Corp. 23,500 447
32
<PAGE>
Number Value
of Shares (000s)
--------- ---------
Hewlett-Packard Co. 13,700 $ 1,015
Honeywell, Inc. 1,700 179
Novell, Inc.+ 4,500 90
Seagate Technology, Inc.+ 3,000 88
Silicon Graphics, Inc.+ 2,700 21
---------
2,279
---------
- -------------------------------------------------------------------------------
BUSINESS SERVICES -- 1.1%
Allied Waste Industries, Inc.+ 2,400 25
Cendant Corp.+ 9,700 160
Computer Sciences Corp.+ 2,100 144
Deluxe Corp. 1,000 28
First Data Corp. 5,800 265
H&R Block, Inc. 1,400 60
Laidlaw, Inc. 4,600 28
National Service Industries, Inc. 600 19
R.R. Donnelley & Sons Co. 1,700 41
---------
770
---------
- ------------------------------------------------------------------------------
CHEMICAL -- 3.4%
Air Products & Chemicals, Inc. 3,200 88
Dow Chemical Co. 3,000 355
E. I. du Pont de Nemours & Co. 14,200 915
Eastman Chemical Co. 1,000 39
Great Lakes Chemical Corp. 800 28
Minnesota Mining &
Manufacturing Co. 5,400 513
PPG Industries, Inc. 2,400 146
Praxair, Inc. 2,200 103
Rohm & Haas Co. 3,005 115
Sigma-Aldrich Corp. 1,300 37
Union Carbide Corp. 1,900 116
---------
2,455
---------
- ------------------------------------------------------------------------------
CONSTRUCTION -- 0.6%
Armstrong World Industries, Inc. 600 22
Centex Corp. 800 21
Crane Co. 800 16
Fluor Corp. 1,200 48
Kaufman & Broad Home Corp. 500 10
Masco Corp. 5,900 180
Pulte Corp. 600 12
Sherwin-Williams Co. 2,300 51
The Stanley Works 1,100 31
Vulcan Materials Co. 1,400 58
--------
449
--------
Number Value
of Shares (000s)
--------- ---------
- ------------------------------------------------------------------------------
CONSUMER - DURABLE -- 0.3%
Fortune Brands, Inc. 2,300 $ 82
Leggett & Platt, Inc. 2,600 58
Whirlpool Corp. 1,000 70
---------
210
---------
- -------------------------------------------------------------------------------
CONSUMER - NONDURABLE -- 1.4%
American Greetings Corp.,
Class A 1,000 26
Darden Restaurants, Inc. 1,700 32
Hasbro, Inc. 2,550 53
Mattel, Inc. 5,900 79
McDonald's Corp. 18,400 759
Wendy's International, Inc. 1,600 38
---------
987
---------
- -------------------------------------------------------------------------------
CONTAINERS -- 0.2%
Ball Corp. 400 16
Bemis Co., Inc. 700 24
Crown Cork & Seal Co., Inc. 1,700 41
Owens-Illinois, Inc.+ 2,100 50
---------
131
---------
- -------------------------------------------------------------------------------
ELECTRONICS -- 3.8%
ADC Telecommunications, Inc.+ 2,000 95
Advanced Micro Devices, Inc.+ 1,900 38
Analog Devices, Inc.+ 2,400 128
Andrew Corp.+ 1,100 14
Applied Materials, Inc.+ 100 9
Electronic Data Systems Corp. 6,800 398
EMC Corp.+ 312 23
Emerson Electric Co. 6,000 360
General Instrument Corp.+ 2,400 129
Harris Corp. 1,000 22
KLA-Tencor Corp.+ 1,300 103
LSI Logic Corp.+ 1,900 101
Micron Technology, Inc.+ 3,400 242
Motorola, Inc. 8,200 799
National Semiconductor Corp.+ 2,400 72
Niagara Mohawk Holdings, Inc.+ 2,500 40
PerkinElmer, Inc. 600 24
Scientific-Atlanta, Inc. 1,000 57
Tektronix, Inc. 600 20
Thermo Electron Corp.+ 2,500 34
Thomas & Betts Corp. 800 36
---------
2,744
---------
33
<PAGE>
INSTITUTIONAL SELECT(TM) LARGE-CAP VALUE INDEX FUND
SCHEDULE OF INVESTMENTS (continued)
October 31, 1999
Number Value
of Shares (000s)
--------- ----------
- -------------------------------------------------------------------------------
ENERGY - RAW MATERIALS -- 1.9%
Anadarko Petroleum Corp. 1,600 $ 49
Apache Corp. 1,500 59
Baker Hughes, Inc. 4,300 120
Burlington Resources, Inc. 2,400 84
Constellation Energy Group 2,000 61
Halliburton Co. 5,900 222
Helmerich & Payne, Inc. 700 17
McDermott International, Inc. 600 11
Occidental Petroleum Corp. 4,900 112
ONEOK, Inc. 500 15
Rowan Companies, Inc.+ 1,300 20
Schlumberger Ltd. 7,500 454
Sempra Energy 3,100 63
Sunoco, Inc. 1,100 27
Union Pacific Resources Group,
Inc. 3,300 48
---------
1,362
---------
- -------------------------------------------------------------------------------
FOOD & AGRICULTURE -- 1.1%
Archer-Daniels Midland Co. 8,430 104
Coca-Cola Enterprises, Inc. 5,900 151
ConAgra, Inc. 6,600 172
Monsanto Co. 8,600 331
--------
758
--------
- -------------------------------------------------------------------------------
GOLD -- 0.3%
Barrick Gold Corp. 5,100 93
Homestake Mining Co. 4,000 34
Newmont Mining Corp. 2,400 53
Placer Dome, Inc. 4,200 51
---------
231
---------
- -------------------------------------------------------------------------------
HEALTHCARE / DRUGS & MEDICINE -- 2.1%
ALZA Corp.+ 1,400 60
Bausch & Lomb, Inc. 800 43
Becton, Dickinson & Co. 3,600 91
Biomet, Inc. 1,500 45
C.R. Bard, Inc. 700 38
Cardinal Health, Inc. 3,700 160
Columbia / HCA Healthcare Corp. 7,600 183
HealthSouth Corp.+ 6,000 35
Humana, Inc.+ 1,900 13
Mallinckrodt, Inc. 900 31
Manor Care, Inc.+ 1,300 20
Pharmacia & Upjohn, Inc. 6,900 372
Service Corp. International 3,600 34
Number Value
of Shares (000s)
--------- -----------
Shared Medical Systems Corp. 300 $ 11
St. Jude Medical, Inc.+ 1,100 30
Tenet Healthcare Corp.+ 4,500 87
United Healthcare Corp. 2,400 124
Watson Pharmaceuticals, Inc.+ 1,200 38
Wellpoint Health Networks, Inc.+ 900 52
---------
1,467
---------
- -------------------------------------------------------------------------------
HOUSEHOLD PRODUCTS -- 0.1%
Alberto-Culver Co., Class B 700 16
International Flavors &
Fragrances, Inc. 1,500 57
---------
73
---------
- -------------------------------------------------------------------------------
INSURANCE -- 6.9%
Aetna, Inc. 1,900 95
AFLAC, Inc. 3,700 189
Allstate Corp. 10,700 308
American General Corp. 3,400 252
American International Group,
Inc. 21,050 2,167
Aon Corp. 3,550 126
Chubb Corp. 2,300 126
CIGNA Corp. 2,800 209
Cincinnati Financial Corp. 2,400 86
Conseco, Inc. 4,300 105
Hartford Financial Services
Group, Inc. 3,100 161
Jefferson-Pilot Corp. 1,500 113
Lincoln National Corp. 2,600 120
Marsh & McLennan
Companies, Inc. 3,600 285
MBIA, Inc. 1,300 74
MGIC Investment Corp. 1,500 90
Progressive Corp. 1,000 93
SAFECO Corp. 1,800 50
St. Paul Companies, Inc. 3,200 102
Torchmark Corp. 1,700 53
UnumProvident Corp. 3,249 107
---------
4,911
---------
- -------------------------------------------------------------------------------
MEDIA -- 4.2%
CBS Corp.+ 9,700 473
Clear Channel
Communications, Inc.+ 4,500 362
Comcast Corp., Class A 10,300 434
Gannett Co., Inc. 3,800 293
Harcourt General, Inc. 900 35
34
<PAGE>
Number Value
of Shares (000s)
--------- ---------
King World Productions, Inc.+ 900 $ 35
Knight-Ridder, Inc. 1,100 70
Mediaone Group+ 8,200 583
Meredith Corp. 700 25
New York Times Co., Class A 2,400 97
Tribune Co. 3,300 198
Viacom, Inc., Class B+ 9,400 421
---------
3,026
---------
- -------------------------------------------------------------------------------
MISCELLANEOUS FINANCE -- 10.7%
American Express Co. 6,200 955
Associates First Capital Corp. 9,800 358
Bear Stearns Companies, Inc. 1,620 69
Citigroup, Inc. 45,950 2,487
Countrywide Credit Industries,
Inc. 1,500 51
Fannie Mae 14,000 991
Franklin Resources, Inc. 3,500 123
Freddie Mac 9,300 503
Household International, Inc. 6,500 290
Lehman Brothers Holdings, Inc. 1,600 118
MBNA Corp. 10,800 298
Merrill Lynch & Co., Inc. 5,000 393
Morgan Stanley Dean Witter
Discover & Co. 7,800 860
Paine Webber Group, Inc. 1,900 77
T. Rowe Price Associates, Inc. 1,600 57
---------
7,630
---------
- -------------------------------------------------------------------------------
NON-FERROUS METALS -- 0.9%
Alcan Aluminum Ltd. 2,900 96
Alcoa, Inc. 4,900 298
Asarco, Inc. 600 18
Engelhard Corp. 1,500 26
Inco Ltd. 2,500 51
Phelps Dodge Corp. 1,420 80
Reynolds Metals Co. 900 54
---------
623
---------
- -------------------------------------------------------------------------------
OIL - DOMESTIC -- 1.8%
Amerada Hess Corp. 1,300 75
Ashland, Inc. 900 30
Atlantic Richfield Co. 4,400 410
Conoco Inc., Class B 8,500 231
Kerr-McGee Corp. 1,100 59
Number Value
of Shares (000s)
--------- ----------
Phillips Petroleum Co. 3,500 $ 163
Tosco Corp. 2,300 58
Unocal Corp. 3,300 114
USX-Marathon Group 4,200 122
---------
1,262
---------
- -------------------------------------------------------------------------------
OIL - INTERNATIONAL -- 9.1%
Chevron Corp. 8,900 813
Exxon Corp. (b) 33,000 2,444
Mobil Corp. 10,700 1,033
Royal Dutch Petroleum Co. -
Sponsored ADR 29,200 1,750
Texaco, Inc. 7,500 460
---------
6,500
---------
- -------------------------------------------------------------------------------
OPTICAL & PHOTO -- 0.4%
Eastman Kodak Co. 4,300 296
Polaroid Corp. 700 16
---------
312
---------
- -------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS -- 1.2%
Boise Cascade Corp. 800 29
Champion International Corp. 1,400 81
Georgia-Pacific Group 2,300 91
International Paper Co. 5,542 292
Louisiana-Pacific Corp. 1,200 15
Mead Corp. 1,400 50
Potlatch Corp. 300 13
Temple Inland, Inc. 800 47
Westvaco Corp. 1,400 42
Weyerhaeuser Co. 2,800 167
Willamette Industries, Inc. 1,500 62
---------
889
---------
- -------------------------------------------------------------------------------
PRODUCER GOODS & MANUFACTURING -- 1.9%
Briggs & Stratton Corp. 300 18
Case Corp. 1,000 53
Caterpillar, Inc. 4,800 265
Cooper Industries, Inc. 1,200 52
Deere & Co. 3,100 112
Dover Corp. 2,900 123
FMC Corp.+ 500 20
Foster Wheeler Corp. 600 7
Illinois Tool Works, Inc. 3,400 249
35
<PAGE>
INSTITUTIONAL SELECT(TM) LARGE-CAP VALUE INDEX FUND
SCHEDULE OF INVESTMENTS (continued)
October 31, 1999
Number Value
of Shares (000s)
--------- ---------
Ingersoll-Rand Co. 2,300 $ 120
ITT Industries, Inc. 1,100 38
Johnson Controls, Inc. 1,100 67
Milacron, Inc. 400 7
NACCO Industries, Inc., Class A 300 14
Pall Corp. 1,900 42
Parker-Hannifin Corp. 1,400 64
Snap-On, Inc. 900 27
Springs Industries, Inc. 200 8
Tenneco, Inc.+ 2,100 34
The Timken Co. 900 16
W.W. Grainger, Inc. 1,200 51
---------
1,387
---------
- -------------------------------------------------------------------------------
RAILROAD & SHIPPING -- 0.9%
Burlington Northern
Santa Fe Corp. 6,200 198
CSX Corp. 3,000 123
Norfolk Southern Corp. 5,200 127
Union Pacific Corp. 3,400 190
---------
638
---------
- -------------------------------------------------------------------------------
RETAIL -- 3.7%
Albertson's, Inc. 5,838 212
AutoZone, Inc.+ 2,100 56
Circuit City Stores, Inc. 2,700 115
Consolidated Stores Corp.+ 1,500 27
Costco Wholesale Corp.+ 3,100 249
CVS Corp. 5,300 230
Dayton Hudson Corp. 6,000 388
Dillards, Inc., Class A 1,300 25
Federated Department
Stores, Inc.+ 2,900 124
Great Atlantic & Pacific
Tea Co., Inc. 600 17
IKON Office Solutions 1,800 12
J.C. Penney Co., Inc. 3,600 91
Kmart Corp.+ 6,400 64
Limited, Inc. 2,800 115
Longs Drug Stores, Inc. 400 11
Lowe's Companies, Inc. 5,100 281
May Department Stores Co. 4,700 163
Nordstrom, Inc. 1,800 45
Office Depot, Inc.+ 4,900 61
Number Value
of Shares (000s)
--------- ---------
Pep Boys-Manny, Moe, & Jack 1,300 $ 16
Rite Aid Corp. 3,400 30
Sears, Roebuck & Co. 5,200 147
SUPERVALU, Inc. 1,800 38
Toys 'R' Us, Inc.+ 3,400 48
Winn-Dixie Stores, Inc. 1,900 51
---------
2,616
---------
- -------------------------------------------------------------------------------
STEEL -- 0.2%
Allegheny Teledyne, Inc. 2,400 36
Bethlehem Steel Corp.+ 1,800 12
Nucor Corp. 1,300 67
USX-U.S. Steel Group, Inc. 1,100 28
Worthington Industries, Inc. 1,100 18
---------
161
---------
- -------------------------------------------------------------------------------
TELEPHONE -- 7.1%
Alltel Corp. 4,100 341
CenturyTel, Inc. 1,800 73
MCI WorldCom, Inc.+ 25,500 2,188
Nortel Networks Corp. 18,100 1,121
Sprint Corp. (FON Group) 11,900 884
Sprint Corp. (PCS Group)+ 5,900 489
---------
5,096
---------
- -------------------------------------------------------------------------------
TOBACCO -- 1.4%
Loew's Corp. 1,400 99
Nabisco Group Holdings Corp. 4,200 54
Philip Morris Cos. Inc. 32,500 819
---------
972
---------
- -------------------------------------------------------------------------------
TRAVEL & RECREATION -- 1.9%
Brunswick Corp. 1,200 27
Carnival Corp. 8,300 369
Harrah's Entertainment, Inc.+ 1,700 49
Marriott International, Inc.,
Class A 3,400 115
Mirage Resorts, Inc.+ 2,800 41
Walt Disney Co.+ 28,100 741
---------
1,342
---------
- -------------------------------------------------------------------------------
TRUCKING & FREIGHT -- 0.1%
PACCAR, Inc. 1,000 47
Ryder Systems, Inc. 900 19
---------
66
---------
36
<PAGE>
Number Value
of Shares (000s)
--------- -------
- -------------------------------------------------------------------------------
UTILITIES - ELECTRIC & GAS -- 5.7%
AES Corp.+ 2,900 $ 164
Ameren Corp. 1,800 68
American Electric Power Co.,
Inc. 2,500 86
Carolina Power & Light Co. 2,100 72
Central & South West Corp. 3,100 69
Cinergy Corp. 2,100 59
CMS Energy Corp. 1,600 59
Coastal Corp. 2,800 118
Columbia Energy Group 1,200 78
Consolidated Edison, Inc. 2,900 111
Consolidated Natural Gas Co. 1,400 90
Dominion Resources, Inc. 2,700 130
DTE Energy Co. 1,900 63
Duke Energy Corp. 4,900 277
Eastern Enterprises 500 26
Edison International 4,700 139
El Paso Energy Corp. 3,000 123
Enron Corp. 9,700 387
Entergy Corp. 3,300 99
First Energy Corp. 3,000 78
Florida Progress Corp. 1,400 64
FPL Group, Inc. 2,400 121
GPU, Inc. 1,700 58
New Century Energies, Inc. 1,600 52
NICOR, Inc. 800 31
Northern States Power Co. 2,000 43
PacifiCorp. 3,900 80
PECO Energy Co. 2,600 99
Peoples Energy Corp. 500 19
PG&E Corp. 5,400 124
Pinnacle West Capital Corp. 1,100 41
PP&L Resources, Inc. 2,000 54
Public Service Enterprise
Group, Inc. 3,000 119
Reliant Energy, Inc. 4,200 114
Southern Co. 9,400 250
Texas Utilities Co. 3,700 143
Unicom Corp. 3,100 119
Williams Cos., Inc. 5,900 221
---------
4,048
---------
TOTAL COMMON STOCK
(Cost $70,371) 70,840
---------
Par Value
(000s) (000s)
--------- --------
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Bill (a)(b)
4.64%, 12/16/99 $ 80 $ 80
---------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $80) 80
---------
Number
of Shares
---------
- -------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 0.9%
Provident Institutional
TempCash 5.01%* 303,570 304
Provident Institutional
TempFund 5.14%* 303,570 304
---------
TOTAL SHORT-TERM INVESTMENTS
(Cost $608) 608
---------
TOTAL INVESTMENTS -- 100.1%
(Cost $71,059) 71,528
---------
OTHER ASSETS AND LIABILITIES, NET -- (0.1%)
Other assets 10,647
Liabilities (10,690)
---------
(43)
---------
TOTAL NET ASSETS -- 100.0% $71,485
=========
SEE ACCOMPANYING NOTES TO SCHEDULES OF INVESTMENTS AND NOTES TO FINANCIAL
STATEMENTS.
37
<PAGE>
INSTITUTIONAL SELECT(TM) SMALL-CAP VALUE INDEX FUND
SCHEDULE OF INVESTMENTS
October 31, 1999
Number Value
of Shares (000s)
--------- -----------
- -------------------------------------------------------------------------------
COMMON STOCK -- 97.6%
- -------------------------------------------------------------------------------
AEROSPACE / DEFENSE -- 1.0%
AAR Corp. 5,700 $ 95
BE Aerospace, Inc.+ 5,200 52
Kaman Corp., Class A 4,900 54
Orbital Sciences Corp.+ 8,100 119
---------
320
---------
- -------------------------------------------------------------------------------
AIR TRANSPORTATION -- 0.7%
Mesa Air Group, Inc.+ 7,000 39
Offshore Logistics, Inc.+ 4,500 42
SkyWest, Inc. 5,200 129
---------
210
---------
- -------------------------------------------------------------------------------
ALCOHOLIC BEVERAGES -- 0.7%
Canandaigua Brands, Inc.,
Class A+ 3,800 230
---------
- -------------------------------------------------------------------------------
APPAREL -- 1.9%
Ashworth, Inc.+ 2,300 10
Cone Mills Corp.+ 5,700 26
Delta Woodside Industries, Inc. 5,000 12
Footstar, Inc.+ 100 3
Galey & Lord, Inc.+ 5,900 9
Guilford Mills 4,500 40
Haggar Corp. 1,500 16
Hartmarx Corp.+ 6,100 27
K-Swiss, Inc., Class A 100 1
Kellwood Co. 5,800 103
Nautica Enterprises, Inc.+ 7,300 110
Oxford Industries, Inc. 1,800 39
Phillips-Van Heusen Corp. 5,500 44
Stride Rite Corp. 9,600 63
Wolverine World Wide, Inc. 8,300 85
---------
588
---------
- -------------------------------------------------------------------------------
AUTOMOTIVE PRODUCTS / MOTOR VEHICLES -- 2.5%
A.O. Smith Corp., Class B 4,900 119
Arctic Cat, Inc. 5,900 56
Borg-Warner Automotive, Inc. 17 1
Discount Auto Parts, Inc.+ 3,400 48
Group 1 Automotive, Inc.+ 4,700 79
Myers Industries, Inc. 4,010 56
Simpson Industries, Inc. 3,600 38
Spartan Motors, Inc. 2,600 11
Standard Motor Products, Inc. 2,700 44
Number Value
of Shares (000s)
--------- --------
TBC Corp.+ 4,400 $ 30
Thor Industries, Inc. 2,600 66
Titan International, Inc. 4,600 33
Tower Automotive, Inc.+ 9,600 157
Winnebago Industries, Inc. 100 2
Wynns International, Inc. 3,700 58
---------
798
---------
- -------------------------------------------------------------------------------
BANKS -- 6.2%
Anchor Bancorp Wisconsin, Inc. 5,300 85
Banknorth Group, Inc. 4,900 166
Carolina First Corp. 5,400 112
Community First Bankshares,
Inc. 10,400 198
Downey Financial Corp. 5,900 131
MAF Bancorp, Inc. 4,900 106
Provident Bankshares Corp. 5,445 117
Riggs National Corp. 6,000 91
Silicon Valley Bancshares+ 4,300 140
Susquehanna Bancshares, Inc. 7,900 131
United Bankshares, Inc. 9,100 224
UST Corp. 8,900 276
Whitney Holding Corp. 4,700 174
---------
1,951
---------
- -------------------------------------------------------------------------------
BUSINESS MACHINES & SOFTWARE -- 2.1%
Analogic Corp. 2,600 68
Digi International, Inc.+ 3,000 37
Epicor Software Corp.+ 8,100 39
Esterline Technologies Corp.+ 3,400 47
Exabyte Corp.+ 5,600 26
FileNet Corp.+ 6,800 112
Hyperion Solutions Corp.+ 6,400 156
Input/Output, Inc.+ 10,300 54
Komag, Inc.+ 11,200 19
PictureTel Corp.+ 9,200 32
Read-Rite+ 10,200 40
Telxon Corp. 3,300 38
Wall Data, Inc.+ 1,700 14
---------
682
---------
- -------------------------------------------------------------------------------
BUSINESS SERVICES -- 8.0%
ABM Industries, Inc. 4,500 107
Angelica Corp. 2,100 24
Aspen Technology, Inc.+ 5,000 62
Bowne & Co., Inc. 8,100 90
Brightpoint, Inc.+ 11,000 86
38
<PAGE>
Number Value
of Shares (000s)
--------- ---------
CDI Corp.+ 3,900 $ 103
Cerner Corp.+ 7,000 105
Chemed Corp. 2,200 66
Curative Technologies, Inc.+ 1,600 8
Cyrk International Inc.+ 3,000 20
Franklin Covey Co.+ 4,300 35
Genesis Health Ventures, Inc.+ 7,100 12
HA-LO Industries, Inc.+ 9,900 48
Inacom Corp.+ 9,340 45
Information Resources, Inc.+ 6,200 66
Insurance Auto Auctions, Inc.+ 2,300 35
Interim Services, Inc.+ 13,500 222
Intermet Corp. 5,200 53
Lason, Inc.+ 3,900 145
Merrill Corp. 3,300 68
MicroAge, Inc.+ 3,800 9
Nashua Corp.+ 1,600 13
NFO Worldwide, Inc.+ 4,500 50
Oceaneering International, Inc.+ 4,500 61
Orthodontic Centers of
America, Inc.+ 10,100 139
PAXAR Corp.+ 10,400 97
Pediatrix Medical Group, Inc.+ 3,100 28
Pittston BAX Group 4,200 31
Rural/Metro Corp.+ 2,600 16
S3, Inc.+ 15,100 151
SEACOR SMIT, Inc.+ 2,600 119
Sitel Corp.+ 5,000 40
StaffMark, Inc.+ 5,800 42
Technology Solutions Co.+ 9,000 184
Tetra Technology, Inc.+ 2,900 24
URS Corp.+ 3,300 59
Volt Information Sciences, Inc.+ 3,000 59
---------
2,522
---------
- -------------------------------------------------------------------------------
CHEMICAL -- 2.4%
Cambrex Corp. 5,000 151
Chemfirst, Inc. 3,700 99
Lilly Industries, Inc., Class A 4,900 66
McWhorter Technologies, Inc.+ 2,100 29
OM Group, Inc. 5,000 187
Omnova Solutions, Inc.+ 13,300 93
Penford Corp. 1,500 21
Quaker Chemical Corp. 1,700 27
Regal Beloit 4,300 94
---------
767
---------
Number Value
of Shares (000s)
--------- --------
- -------------------------------------------------------------------------------
CONSTRUCTION -- 3.7%
D.R. Horton, Inc. 13,400 $ 158
Florida Rock Industries, Inc. 4,000 135
Justin Industries, Inc. 5,300 74
Lawson Products, Inc. 2,100 48
M.D.C. Holdings, Inc. 4,500 70
Morrison Knudsen Corp.+ 10,600 97
Oakwood Homes Corp. 9,900 29
Skyline Corp. 1,900 47
Southern Energy Homes, Inc.+ 4,600 11
Standard Pacific Corp. 6,600 71
Stone & Webster, Inc. 2,600 40
T J International, Inc. 3,200 99
The Ryland Group, Inc. 3,100 64
Toll Brothers, Inc.+ 7,700 135
U.S. Home Corp.+ 2,900 81
---------
1,159
---------
- -------------------------------------------------------------------------------
CONSUMER - DURABLE -- 2.3%
Bassett Furniture Industries,
Inc. 2,500 45
Champion Enterprises, Inc.+ 9,800 89
Coachmen Industries, Inc. 3,300 48
Griffon Corp.+ 6,600 49
Harman International
Industries, Inc. 3,700 151
Huffy Corp. 2,200 22
Interface, Inc. 10,300 42
National Presto Industries,
Inc. 1,600 59
Pillowtex Corp. 2,700 9
Royal Appliance Mfg. Co.+ 3,700 21
Sturm, Ruger & Co., Inc. 5,600 50
Thomas Nelson, Inc. 2,900 28
Toro Co. 2,800 100
---------
713
---------
- -------------------------------------------------------------------------------
CONSUMER - NONDURABLE -- 2.3%
A.T. Cross Co., Class A 3,100 14
CKE Restaurants, Inc. 10,500 71
Gibson Greetings, Inc.+ 2,900 14
IHOP Corp.+ 4,200 76
Landry's Seafood
Restaurants, Inc.+ 5,500 41
Luby's Cafeterias, Inc. 4,800 57
Midway Games, Inc.+ 7,800 156
Panera Bread Co.+ 2,500 17
39
<PAGE>
INSTITUTIONAL SELECT(TM) SMALL-CAP VALUE INDEX FUND
SCHEDULE OF INVESTMENTS (continued)
October 31, 1999
Number Value
of Shares (000s)
--------- --------
Performance Food Group Co.+ 2,900 $ 79
Russ Berrie & Co., Inc. 4,400 85
Ryan's Family Steak Houses,
Inc.+ 7,900 83
TCBY Enterprises, Inc. 5,200 22
---------
715
---------
- -------------------------------------------------------------------------------
ELECTRONICS -- 9.9%
ADAC Laboratories, Inc.+ 3,900 34
Allen Telecom, Inc.+ 5,400 49
Anixter International, Inc.+ 7,700 161
Avnet, Inc. 1,116 61
Belden, Inc. 5,300 97
Benchmark Electronics, Inc.+ 3,500 56
Cable Design Technologies Corp.+ 5,700 110
Checkpoint Systems, Inc.+ 6,200 46
Coherent, Inc.+ 5,100 105
Electro Scientific Industries,
Inc.+ 2,800 151
Electroglas, Inc.+ 4,200 116
Gerber Scientific, Inc. 4,900 92
Hadco Corp.+ 2,900 107
Harmon Industries, Inc. 2,600 34
Hutchinson Technology, Inc.+ 5,000 128
Innovex, Inc. 2,900 23
International Rectifier Corp.+ 10,800 210
Itron, Inc.+ 3,300 15
Kemet Corp.+ 8,200 262
Kent Electronics Corp.+ 6,000 117
Kulicke & Soffa Industries,
Inc.+ 4,800 141
Lattice Semiconductor Corp.+ 10,000 354
Methode Electronics, Inc.,
Class A 200 3
Network Equipment
Technologies, Inc.+ 4,300 44
Park Electrochemical Corp. 2,300 80
Pioneer - Standard Electronics,
Inc. 5,900 77
Service Experts, Inc.+ 3,500 21
Silicon Valley Group, Inc.+ 6,900 86
Standard Microsystems Corp.+ 2,900 26
SymmetriCom, Inc.+ 3,100 24
Technitrol, Inc. 3,400 124
Varian Medical Systems, Inc. 6,200 131
Watkins - Johnson Co. 1,300 48
---------
3,133
---------
- ------------------------------------------------------------------------------
ENERGY - RAW MATERIALS -- 1.5%
Amcol International Corp. 5,500 67
Barrett Resources Corp.+ 100 3
Number Value
of Shares (000s)
--------- --------
Cabot Oil & Gas Corp.,
Class A 5,400 $ 87
Remington Oil & Gas Corp.+ 4,300 21
Southwestern Energy Co. 5,100 41
Tuboscope Vetco
International Corp.+ 9,000 100
Vintage Petroleum, Inc. 13,600 148
---------
467
---------
- ------------------------------------------------------------------------------
FOOD & AGRICULTURE -- 4.5%
Agribrands International, Inc.+ 2,300 102
American States Water Co. 1,800 62
Aquarion Co. 2,300 84
Chiquita Brands International,
Inc. 13,200 63
Corn Products International,
Inc. 7,800 254
Dimon, Inc. 9,400 33
Earthgrains Co. 8,800 201
Fleming Companies, Inc. 8,000 96
J & J Snack Foods Corp.+ 1,800 35
Michael Foods, Inc. 4,300 110
Mississippi Chemical Corp. 5,700 32
Nash - Finch Co. 2,200 14
Ralcorp Holdings, Inc.+ 6,300 123
Smithfield Foods, Inc.+ 8,800 200
---------
1,409
---------
- -------------------------------------------------------------------------------
HEALTHCARE / DRUGS & MEDICINE -- 6.3%
Alliance Pharmaceutical Corp.+ 8,500 37
Bindley Western Industries, Inc. 6,833 86
Cooper Companies, Inc. 2,900 73
Coventry Health Care, Inc.+ 11,900 68
Datascope Corp.+ 3,300 119
Diagnostic Products Corp. 2,800 65
Dura Pharmaceuticals, Inc.+ 9,200 118
Hanger Orthopedic Group, Inc.+ 4,000 49
Hologic, Inc.+ 3,700 13
Invacare Corp. 5,900 123
Magellan Health Services, Inc.+ 6,200 38
Maxxim Medical, Inc.+ 2,900 70
NBTY, Inc.+ 13,800 111
NCS HealthCare, Inc., Class A+ 4,700 14
Owens & Minor, Inc. Holding Co. 6,800 64
PhyCor, Inc.+ 15,200 38
Priority Healthcare Corp.,
Class B+ 100 2
Protein Design Labs, Inc.+ 4,000 160
Regeneron Pharmaceuticals,
Inc.+ 6,800 54
Respironics, Inc.+ 6,200 52
40
<PAGE>
Number Value
of Shares (000s)
--------- --------
Roberts Pharmaceutical Corp.+ 6,700 $ 216
Sola International, Inc.+ 5,500 77
Spacelabs Medical, Inc.+ 1,800 26
Sunrise Medical, Inc.+ 4,700 26
US Oncology, Inc.+ 17,600 79
Vertex Pharmaceuticals, Inc.+ 5,500 157
Vital Signs, Inc. 2,900 63
---------
1,998
---------
- -------------------------------------------------------------------------------
INSURANCE -- 3.6%
Capital Re Corp. 7,200 102
Delphi Financial Group, Inc.,
Class A+ 4,254 136
Enhance Financial Services
Group, Inc. 8,000 146
Fremont General Corp. 14,400 124
Frontier Insurance Group, Inc. 7,300 65
Orion Capital Corp. 5,600 274
Selective Insurance Group, Inc. 5,800 108
Sierra Health Services, Inc.+ 5,600 41
Trenwick Group, Inc. 3,900 79
Zenith National Insurance Corp. 3,600 80
---------
1,155
---------
- -------------------------------------------------------------------------------
MEDIA -- 0.2%
Carmike Cinemas, Inc., Class A+ 2,400 29
GC Companies, Inc.+ 1,600 48
---------
77
---------
- -------------------------------------------------------------------------------
MISCELLANEOUS FINANCE -- 5.8%
AMRESCO, Inc.+ 10,000 29
Cash America International, Inc. 5,300 50
Commercial Federal Corp. 12,800 251
Dain Rauscher Corp. 2,700 145
Fidelity National Financial,
Inc. 6,200 97
First American Financial Corp. 13,700 203
Hambrecht and Quist Group, Inc.+ 4,900 242
Jefferies Group, Inc. 4,900 104
JSB Financial, Inc. 1,900 114
Radian Group, Inc. 7,800 412
Raymond James Financial, Inc. 10,000 203
---------
1,850
---------
Number Value
of Shares (000s)
--------- ---------
- -------------------------------------------------------------------------------
NON-FERROUS METALS -- 2.2%
A.M. Castle & Co. 2,800 $ 35
Brush Wellman, Inc. 3,300 44
Coeur d'Alene Mines Corp.+ 5,100 22
Commercial Metals Co. 3,000 98
Commonwealth Industries, Inc. 3,400 34
Hecla Mining Co.+ 13,100 32
Mueller Industries, Inc.+ (b) 7,500 240
Reliance Steel & Aluminum Co. 5,900 124
RTI International Metals, Inc.+ 4,200 30
Wolverine Tube, Inc.+ 3,000 41
---------
700
---------
- -------------------------------------------------------------------------------
OIL - DOMESTIC -- 1.2%
HS Resources, Inc.+ 4,200 66
Pool Energy Services Co.+ 4,100 89
Pride International, Inc.+ 11,500 158
St. Mary Land & Exploration Co. 2,400 61
---------
374
---------
- -------------------------------------------------------------------------------
OPTICAL & PHOTO -- 0.5%
Avid Technology, Inc.+ 4,900 54
BMC Industries, Inc. 5,700 33
Ultratech Stepper, Inc.+ 4,300 68
---------
155
---------
- -------------------------------------------------------------------------------
PAPER & FOREST PRODUCTS -- 0.2%
Pope & Talbot 2,800 41
Schweitzer-Mauduit
International, Inc. 3,200 38
---------
79
---------
- -------------------------------------------------------------------------------
PRODUCER GOODS & MANUFACTURING -- 7.5%
Amcast Industrial Corp. 1,800 24
Applied Industrial
Technologies, Inc. 4,400 69
Applied Power, Inc., Class A 8,200 238
AptarGroup, Inc. 7,700 207
Barnes Group, Inc. 4,100 83
Brady Corp., Class A 4,600 133
Butler Manufacturing Co. 1,500 37
CLARCOR, Inc. 5,000 85
Dril-Quip, Inc.+ 3,600 84
41
<PAGE>
INSTITUTIONAL SELECT(TM) SMALL-CAP VALUE INDEX FUND
SCHEDULE OF INVESTMENTS (continued)
October 31, 1999
Number Value
of Shares (000s)
--------- --------
Fedders Corp. 7,200 $ 45
Flow International Corp.+ 3,100 35
Gardner Denver, Inc.+ 2,900 35
Global Industrial
Technologies, Inc.+ 3,500 43
Hughes Supply, Inc. 5,100 111
IMCO Recycling, Inc. 3,400 50
Insteel Industries, Inc. 1,700 13
Intermagnetics General Corp.+ 2,300 14
Ionics, Inc.+ 3,300 97
Lydall, Inc+ 3,300 24
Quanex Corp. 3,000 65
Republic Group, Inc. 2,500 43
Robbins & Myers, Inc. 2,200 36
SpeedFam-IPEC, Inc.+ 5,900 65
SPS Technologies, Inc.+ 2,700 84
Standex International Corp. 2,700 56
Texas Industries, Inc. 4,400 158
The Dixie Group, Inc.+ 2,200 15
Thomas Industries, Inc. 3,200 57
Three-Five Systems, Inc.+ 1,900 64
Universal Forest Products, Inc. 4,400 64
Valmont Industries, Inc. 5,200 90
Watsco, Inc. 6,100 62
Watts Industries, Inc., Class A 5,500 75
---------
2,361
---------
- -------------------------------------------------------------------------------
RAILROAD & SHIPPING -- 0.2%
Halter Marine Group, Inc.+ 5,500 30
RailTex, Inc.+ 1,900 30
---------
60
---------
- -------------------------------------------------------------------------------
RETAIL -- 5.1%
Authentic Fitness Corp. 4,700 91
Books-A-Million, Inc.+ 3,800 34
Brown Shoe Company, Inc. 3,800 68
Building Materials Holding
Corp.+ 2,400 27
Casey's General Stores, Inc. 11,200 144
DEMARK International, Inc.,
Class A+ 1,100 11
Goody's Family Clothing, Inc.+ 7,200 73
Gottschalks, Inc.+ 2,600 23
Hancock Fabrics, Inc. 3,400 14
J. Baker, Inc. 2,900 16
Jan Bell Marketing, Inc.+ 7,200 20
Number Value
of Shares (000s)
--------- -------
Jo-Ann Stores, Inc., Class A+ 3,700 $ 52
Just for Feet, Inc.+ 6,300 9
Lillian Vernon Corp. 2,000 25
Michaels Stores, Inc.+ 6,000 201
ShopKo Stores, Inc.+ 6,200 155
Stein Mart, Inc.+ 9,700 64
SUPERVALU, Inc. 79 2
Swiss Army Brands, Inc.+ 1,900 15
The Bombay Company, Inc.+ 7,400 31
The Cato Corp., Class A 5,300 61
The Dress Barn, Inc.+ 4,200 75
The Gymboree Corp.+ 4,700 30
Wet Seal, Inc., Class A+ 3,000 42
Zale Corp.+ 7,700 322
- -------------------------------------------------------------------------------
---------
1,605
---------
- -------------------------------------------------------------------------------
STEEL -- 0.4%
Birmingham Steel Corp. 6,100 43
Material Sciences Corp.+ 3,000 37
Steel Technologies, Inc. 2,300 27
WHX Corp.+ 3,600 33
---------
140
---------
- -------------------------------------------------------------------------------
TELEPHONE -- 1.2%
Aspect Telecommunications
Corp.+ 10,000 252
Centigram Communications Corp.+ 1,100 10
General Communication, Inc.+ 10,300 50
P-Com, Inc.+ 12,600 58
---------
370
---------
- -------------------------------------------------------------------------------
TRAVEL & RECREATION -- 1.9%
- -------------------------------------------------------------------------------
Anchor Gaming, Inc.+ 2,400 146
Aztar Corp.+ 9,500 92
Hollywood Park, Inc.+ 5,400 93
K2, Inc. 3,800 30
Players International, Inc.+ 7,500 55
Prime Hospitality Corp.+ 10,600 83
The Marcus Corp. 6,400 90
The Sports Authority, Inc.+ 6,100 13
---------
602
---------
- -------------------------------------------------------------------------------
TRUCKING & FREIGHT -- 3.6%
American Freightways Corp.+ 6,700 138
Arkansas Best Corp.+ 3,900 54
Fritz Cos., Inc.+ 7,700 86
42
<PAGE>
Number Value
of Shares (000s)
--------- --------
Frozen Food Express
Industries, Inc. 3,700 $ 19
Heartland Express, Inc.+ 6,200 84
M.S. Carriers, Inc.+ 2,600 73
Rollins Truck Leasing Corp. 11,700 113
US Freightways Corp. 5,500 249
Wabash National Corp. 4,700 75
Werner Enterprises, Inc. 9,900 158
Yellow Corp.+ 5,500 94
---------
1,143
---------
- -------------------------------------------------------------------------------
UTILITIES - ELECTRIC & GAS -- 8.0%
Atmos Energy Corp. 6,600 150
Bangor Hydro-Electric Co. 1,500 25
Cascade Natural Gas Corp. 2,400 44
Central Hudson Gas &
Electric Corp. 3,700 139
Central Vermont Public
Service Corp. 2,500 32
Connecticut Energy Corp. 2,100 79
Eastern Utilities Associates 4,400 133
Energen Corp. 6,500 120
Green Mountain Power Corp. 900 9
New Jersey Resources Corp. 3,800 155
Northwest Natural Gas Co. 5,100 132
Northwestern Public Services Co. 4,700 107
NSTAR 2,573 98
Pennsylvania Enterprises, Inc. 2,300 78
Piedmont Natural Gas Co., Inc. 6,400 205
Primark Corp.+ 4,200 107
Southwest Gas Corp. 6,400 149
TNP Enterprises, Inc. 2,900 116
United Illuminating Co. 3,000 155
United Water Resources, Inc. 8,000 270
WICOR, Inc. 7,900 235
---------
2,538
---------
TOTAL COMMON STOCK
(Cost $32,665) 30,871
---------
Par Value
(000s) (000s)
--------- --------
- -------------------------------------------------------------------------------
U.S. TREASURY OBLIGATIONS -- 0.1%
U.S. Treasury Bill (a)(b)
4.64%, 12/16/99 $ 30 $ 30
---------
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $30) 30
---------
Number
of Shares
---------
- -------------------------------------------------------------------------------
SHORT-TERM INVESTMENTS -- 1.7%
Provident Institutional
TempCash 5.01%* 267,811 268
Provident Institutional
TempFund 5.14%* 267,811 268
---------
TOTAL SHORT-TERM INVESTMENTS
(Cost $536) 536
---------
TOTAL INVESTMENTS -- 99.4%
(Cost $33,231) 31,437
---------
OTHER ASSETS AND LIABILITIES, NET -- 0.6%
Other assets 932
Liabilities (725)
---------
207
---------
TOTAL NET ASSETS -- 100.0% $31,644
=========
SEE ACCOMPANYING NOTES TO SCHEDULES OF INVESTMENTS AND NOTES TO FINANCIAL
STATEMENTS.
43
<PAGE>
NOTES TO SCHEDULES OF INVESTMENTS
October 31, 1999
+ Non-income producing security.
* Interest rate represents the yield on report date.
ADR -- American Depository Receipt.
(a) Yields shown are effective yields at time of purchase.
(b) These securities, or portion thereof, are being used to collateralize open
futures contracts.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
44
<PAGE>
STATEMENTS OF ASSETS AND LIABILITIES (in thousands)
October 31, 1999
<TABLE>
Institutional Select(TM) Funds
-------------------------------------------
Large-Cap Small-Cap
S&P 500 Value Index Value Index
------------ ------------ ------------
<S> <C> <C> <C>
ASSETS
Investments, at value (Cost: $230,794, $71,059
and $33,231, respectively) $240,960 $71,528 $31,437
Amounts on deposit with broker 814 73 27
Cash held as collateral for securities on loan (see Note 6) 38,839 8,698 360
Receivables:
Investments sold -- -- 200
Fund shares sold 1,477 1,754 231
Variation margin 85 13 5
Dividends 181 64 18
Interest 47 5 2
Securities lending income 2 1 1
Advisory reimbursement to fund 70 34 85
Prepaid expenses 11 5 3
--------- --------- ---------
Total assets 282,486 82,175 32,369
--------- --------- ---------
LIABILITIES
Cash held for securities on loan (see Note 6) 38,839 8,698 360
Payables:
Investments purchased 4,936 1,916 315
Fund shares redeemed 112 14 11
Accrued expenses 123 62 39
--------- --------- ---------
Total liabilities 44,010 10,690 725
--------- --------- ---------
Net assets applicable to outstanding shares $238,476 $71,485 $31,644
========= ========= =========
NET ASSETS CONSIST OF:
Paid-in capital $226,304 $69,560 $31,921
Undistributed net investment income 1,563 573 221
Accumulated net realized gain on investments sold and
futures contracts 309 873 1,310
Net unrealized appreciation (depreciation) on investments and
futures contracts 10,300 479 (1,808)
--------- --------- ---------
$238,476 $71,485 $31,644
========= ========= =========
PRICING OF SHARES:
Outstanding shares, $0.00001 par value (unlimited shares
authorized) 22,210 6,695 3,199
Net asset value, offering and redemption price per share $10.74 $10.68 $9.89
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
</TABLE>
45
<PAGE>
STATEMENTS OF OPERATIONS (in thousands)
For the period February 1, 1999+ to October 31, 1999
<TABLE>
Institutional Select(TM) Funds
-----------------------------------------
Large-Cap Small-Cap
S&P 500 Value Index Value Index
------------ ------------ ----------
<S> <C> <C> <C>
Investment income:
Dividend (net of foreign taxes withheld of $18, $5,
and $0, respectively) $ 1,380 $ 592 $ 195
Interest 325 56 22
Securities lending 10 3 4
--------- --------- ---------
Total investment income 1,715 651 221
Expenses:
Investment advisory and administration fees 227 71 44
Transfer agency and shareholder service fees 114 35 18
Custodian fees 123 31 35
Portfolio accounting fees 16 5 3
Registration fees 85 50 29
Professional fees 17 17 17
Shareholder reports 36 25 12
Trustees' fees 3 3 3
Amortization of deferred offering costs 10 9 9
Other expenses 5 4 3
-------- --------- ---------
636 250 173
Less:expenses reduced (see Note 4) (484) (172) (173)
-------- --------- ---------
Net expenses incurred by fund 152 78 --
-------- --------- ---------
Net investment income 1,563 573 221
-------- --------- ---------
Net realized gain on investments and futures contracts:
Net realized gain on investments sold 195 852 1,306
Net realized gain on futures contracts 114 21 4
-------- --------- ---------
Net realized gain on investments and futures contracts 309 873 1,310
-------- --------- ---------
Change in net unrealized appreciation (depreciation) on
investments and futures contracts:
Net unrealized appreciation (depreciation) on investments 10,166 469 (1,794)
Net unrealized appreciation (depreciation) on futures contract 134 10 (14)
-------- --------- ---------
Net unrealized appreciation (depreciation) on investments
and futures contracts 10,300 479 (1,808)
-------- --------- ---------
Net gain (loss) on investments 10,609 1,352 (498)
-------- --------- ---------
Increase (decrease) in net assets resulting from operations $12,172 $1,925 $ (277)
======== ========= =========
</TABLE>
+ Commencement of operations.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
46
<PAGE>
STATEMENTS OF CHANGES IN NET ASSETS (in thousands)
For the February 1, 1999+ to ended October 31, 1999
<TABLE>
Institutional Select(TM) Funds
---------------------------------------------------
Large-Cap Small-Cap
S&P 500 Value Index Value Index
--------------- --------------- --------------
<S> <C> <C> <C>
Operations:
Net investment income $ 1,563 $ 573 $ 221
Net realized gain on investments and futures contracts 309 873 1,310
Change in net unrealized appreciation (depreciation)
on investments and futures contracts 10,300 479 (1,808)
-------- ------- --------
Increase (decrease) in net assets resulting from
operations 12,172 1,925 (277)
-------- ------- --------
Capital share transactions:
Proceeds from shares sold 245,377 73,458 33,450
Early withdrawal fees (see Note 8) 25 11 7
Payments for shares redeemed (19,098) (3,909) (1,536)
-------- ------- --------
Increase in net assets from capital share transactions 226,304 69,560 31,921
-------- ------- --------
Total increase in net assets 238,476 71,485 31,644
Net assets:
Beginning of period -- -- --
-------- ------- --------
End of period (including undistributed net investment
income of $1,563, $573, and $221, respectively) $238,476 $71,485 $31,644
======== ======== ========
Number of fund shares:
Sold 24,038 7,066 3,351
Redeemed (1,828) (371) (152)
-------- ------- --------
Net increase in shares outstanding 22,210 6,695 3,199
Shares outstanding:
Beginning of period -- -- --
-------- -------- --------
End of period 22,210 6,695 3,199
======== ======== ========
+ Commencement of operations
</TABLE>
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
47
<PAGE>
FINANCIAL HIGHLIGHTS
- ------------------------------------------------------------------------------
INSTITUTIONAL SELECT(TM) 2/1/99-
S&P 500 FUND 10/31/99
- ------------------------------------------------------------------------------
PER-SHARE DATA ($)
- ------------------------------------------------------------------------------
Net asset value at beginning of period 10.00
---------
Income from investment operations:
Net investment income 0.07
Net realized and unrealized gains on
investments 0.67
---------
Total income from investment operations 0.74
---------
NET ASSET VALUE AT END OF PERIOD 10.74
---------
Total return (%) 7.40(1)
RATIOS/SUPPLEMENTAL DATA (%)
- -------------------------------------------------------
Ratio of net operating expenses to average
net assets 0.13(2)
Expense reductions reflected in above ratio 0.42(2)
- -------------------------------------------------------
Ratio of net investment income to average net
assets 1.37(2)
Portfolio turnover rate 1
Net assets, end of period ($ x 1,000) 238,476
1 Not annualized.
2 Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
48
<PAGE>
- ------------------------------------------------------------------------------
INSTITUTIONAL SELECT(TM) 2/1/99-
LARGE-CAP VALUE INDEX FUND 10/31/99
- ------------------------------------------------------------------------------
PER-SHARE DATA ($)
- ------------------------------------------------------------------------------
Net asset value at beginning of period 10.00
---------
From investment operations:
Net investment income 0.09
Net realized and unrealized gains on
investments 0.59
---------
Total income from investment operations 0.68
---------
NET ASSET VALUE AT END OF PERIOD 10.68
---------
Total return (%) 6.80(1)
RATIOS/SUPPLEMENTAL DATA (%)
- -------------------------------------------------------
Ratio of net operating expenses to average net
assets 0.21(2)
Expense reductions reflected in above ratio 0.49(2)
Ratio of net investment income to average
net assets 1.62(2)
Portfolio turnover rate 19
Net assets, end of period ($ x 1,000) 71,485
1 Not annualized.
2 Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
49
<PAGE>
FINANCIAL HIGHLIGHTS (in thousands)
- ------------------------------------------------------------------------------
INSTITUTIONAL SELECT(TM) 2/1/99-
SMALL-CAP VALUE INDEX FUND 10/31/99
- ------------------------------------------------------------------------------
PER-SHARE DATA ($)
- ------------------------------------------------------------------------------
Net asset value at beginning of period 10.00
--------
Income from investment operations:
Net investment income 0.07
Net realized and unrealized losses on
investments (0.18)
--------
Total loss from investment operations (0.11)
--------
NET ASSET VALUE AT END OF PERIOD 9.89
--------
Total return (%) (1.10)(1)
RATIOS/SUPPLEMENTAL DATA (%)
- --------------------------------------------------------
Ratio of net operating expenses to average
net assets 0.00(2)
Expense reductions reflected in above ratio 0.98(2)
Ratio of net investment income to average
net assets 1.25(2)
Portfolio turnover rate 38
Net assets, end of period ($ x 1,000) 31,644
1 Not annualized.
2 Annualized.
SEE ACCOMPANYING NOTES TO FINANCIAL STATEMENTS.
50
<PAGE>
NOTES TO FINANCIAL STATEMENTS
For the period from February 1, 1999 (commencement of operations) to October 31,
1999
(All currency amounts are in thousands unless otherwise noted.)
1. DESCRIPTION OF THE FUNDS
The Institutional Select(TM) S&P 500 Fund, Institutional Select(TM) Large-Cap
Value Index Fund, and Institutional Select(TM) Small-Cap Value Index Fund (the
"funds") are series of Schwab Capital Trust (the "trust"), a no-load, open-end,
investment management company organized as a Massachusetts business trust on May
7, 1993, and registered under the Investment Company Act of 1940, as amended.
In addition to the three funds described above, the trust also offers the Schwab
Total Stock Market Index Fund(TM), Schwab S&P 500 Fund, Schwab Small-Cap Index
Fund(R), Schwab International Index Fund(R), Schwab MarketTrack Growth
Portfolio, Schwab MarketTrack Balanced Portfolio, Schwab MarketTrack
Conservative Portfolio, Schwab MarketTrack All Equity Portfolio, Schwab
Analytics Fund(R), Schwab MarketManager Growth Portfolio, Schwab MarketManager
Balanced Portfolio, Schwab MarketManager Small Cap Portfolio, and Schwab
MarketManager International Portfolio. The assets of each series are segregated
and accounted for separately.
2. SIGNIFICANT ACCOUNTING POLICIES
The following significant accounting policies are in conformity with generally
accepted accounting principles. The preparation of financial statements in
accordance with generally accepted accounting principles requires management to
make estimates and assumptions that affect the reported amounts and disclosures
in the financial statements. Actual results could differ from those estimates.
SECURITY VALUATION -- Investments in securities traded on an exchange or in the
over-the-counter market are valued at the last-quoted sale price for a given
day, or if a sale is not reported for that day, at the mean between the most
recent quoted bid and asked prices. Securities for which no quotations are
readily available are valued at fair value as determined by the fund's
investment adviser pursuant to guidelines adopted in good faith by the Board of
Trustees. Futures contracts, which are traded on exchanges, are valued at their
settlement prices as of the close of such exchanges. Short-term securities with
60 days or less to maturity are stated at amortized cost, which approximates
market value.
SECURITY TRANSACTIONS, INVESTMENT INCOME AND REALIZED GAINS (LOSSES) --
Security transactions are accounted for on a trade-date basis (date the order
to buy or sell is executed). Dividend income and distributions to shareholders
are recorded on the ex-dividend date. Interest income (including accretion of
discount) is recorded on the accrual basis. Realized gains and losses from
security transactions are determined on an identified cost basis.
FUTURES CONTRACTS -- The Institutional Select S&P 500 Fund, Institutional
Select Large-Cap Value Index Fund and Institutional Select Small-Cap Value
Index Fund may invest in futures contracts. The funds are required to deposit
with the broker an amount of cash equivalents equal to a certain percentage of
the contract amount. This is known as the "initial margin." The "variation
margin" represents the daily fluctuation in the value of the contract. When
the contract is closed, the funds record a realized gain or loss equal to the
difference between the value of the contract at the time it was opened and the
time it was closed.
51
<PAGE>
NOTES TO FINANCIAL STATEMENTS (continued)
The funds will invest in these instruments to participate in the return of an
index. The use of futures contracts involves certain risks, which include (1)
imperfect correlation between the price movement of the contracts and the
underlying securities, or (2) inability to close out positions due to different
trading hours, or the temporary absence of a liquid market, for either the
contract or underlying securities. These risks may involve amounts exceeding the
amount recognized in each fund's statement of operations at any given time.
As of October 31, 1999, the Institutional Select(TM) S&P 500 Fund, Institutional
Select(TM) Large-Cap Value Index Fund, and Institutional Select(TM) Small-Cap
Value Index Fund had the following open Index futures contracts:
<TABLE>
Unrealized
Type of Number of Contract Appreciation
Fund Contract Contracts Value Expiration (Depreciation)
- ---------- ---------- ---------- ---------- ---------- ------------
<S> <C> <C> <C> <C> <C>
Institutional Select S&P 500 Fund S&P 500 Index 13 $4,473 12/17/99 $13
Institutional Select Large-Cap Value
Index Fund S&P 500 Index 2 688 12/17/99 10
Institutional Select Small-Cap
Value Index Fund Russell 2000 Index 2 432 12/17/99 (14)
The cash and eligible securities on deposit with brokers available to cover
margin requirements for open futures positions at October 31, 1999, were $814
and $696, respectively, for the Institutional Select S&P 500 Fund, and $73 and
$80, respectively, for the Institutional Select Large-Cap Value Index Fund, and
$27 and $30, respectively, for the Institutional Select Small-Cap Value Index
Fund. The funds have segregated short-term investments and other securities for
the remaining portion of the contract value.
EXPENSES -- Expenses arising in connection with a fund are charged directly
to that fund. Expenses common to all series of the trust are generally
allocated to each series in proportion to their relative net assets.
FEDERAL INCOME TAXES -- It is each fund's policy to meet the requirements of the
Internal Revenue Code applicable to regulated investment companies and to
distribute substantially all net investment income and realized net capital
gains, if any, to shareholders. Therefore, no federal income tax provision is
required. Each fund is considered a separate entity for tax purposes.
The aggregate gross unrealized appreciation and depreciation for securities held by
the funds at October 31, 1999 (for financial reporting and federal income tax
purposes) is as follows:
Net Unrealized
Appreciation Appreciated Depreciated
Fund (Depreciation) Securities Securities
-------- --------------- ------------- ------------
Institutional Select S&P 500 Fund $10,300 $21,547 $(11,247)
Institutional Select Large-Cap Value
Index Fund 479 4,874 (4,395)
Institutional Select Small-Cap Value
Index Fund (1,808) 2,735 (4,543)
</TABLE>
52
<PAGE>
3. TRANSACTIONS WITH AFFILIATES
INVESTMENT ADVISORY AND ADMINISTRATION AGREEMENT -- The trust has an investment
advisory and administration agreement with Charles Schwab Investment Management,
Inc. (the "investment adviser"). For advisory services and facilities furnished,
each fund pays an annual fee, payable monthly, of 0.20% of the first $1 billion
of average daily net assets and 0.18% of such net assets over $1 billion for the
Institutional Select S&P 500 Fund and Institutional Select Large-Cap Value Index
Fund, and of 0.25% of the first $1 billion of average daily net assets and 0.23%
of such net assets over $1 billion for the Institutional Select Small-Cap Value
Index Fund. The Investment Adviser has waived or reduced its fee for the period
ended October 31, 1999 (see Note 4).
TRANSFER AGENCY AND SHAREHOLDER SERVICE AGREEMENTS -- The trust has transfer
agency and shareholder service agreements with Charles Schwab & Co., Inc.
("Schwab"). For services provided under these agreements, Schwab receives an
annual fee, payable monthly, of 0.05% of each Fund's average daily net assets
for transfer agency services and 0.05% of such net assets for shareholder
services. Schwab has waived or reduced a portion of its transfer agency and
shareholder service fees for the period ended October 31, 1999 (see Note 4).
OFFICERS AND TRUSTEES -- Certain officers and trustees of the trust are also
officers and/or directors of the investment adviser and/or Schwab. During the
period ended October 31, 1999, the trust made no direct payments to its officers
or trustees who are "interested persons" within the meaning of the Investment
Company Act of 1940, as amended. The funds incurred fees aggregating $9 related
to the trust's unaffiliated trustees.
As of October 31, 1999 , the Institutional Select S&P 500 Fund held common stock
of The Charles Schwab Corp., an affiliated issuer, with a current value of $662.
4. EXPENSES REDUCED AND ABSORBED BY THE INVESTMENT ADVISER AND SCHWAB
The Investment Adviser and Schwab guarantee that, through at least December 31,
2005, total operating expenses of Institutional(TM) Select S&P 500 Fund,
Institutional(TM) Select Large-Cap Value Index Fund and Institutional(TM) Select
Small-Cap Value Index Fund will not exceed 0.15%, 0.25% and 0.32%, respectively,
of each fund's average daily net assets, after waivers and reimbursements, and
further reduced the total operation expenses of the Institutional Select
Small-Cap Value Index Fund to 0.00% through at least December 31, 1999. For the
purpose of this guarantee, operating expenses do not include interest expenses,
extraordinary expenses, taxes, foreign taxes and capital items.
For the period ended October 31, 1999, the total of such fees and expenses
reduced by the Investment Adviser was $227, $71, and $44, respectively, for the
Institutional Select(TM) S&P 500 Fund, Institutional Select(TM) Large-Cap Value
Index Fund and Institutional(TM) Select Small-Cap Value Index Fund. In addition,
the total expenses reimbursed by the Investment Adviser was $143, $66, and $111,
respectively, for the Institutional Select S&P 500 Fund, Institutional Select
Large-Cap Value Index Fund and Institutional Select Small-Cap Value Index Fund.
The total of such fees reduced by Schwab was $114, $35, and $18, respectively,
for the Institutional Select S&P 500 Fund, Institutional Select Large-Cap Value
Index Fund and Institutional Select Small-Cap Value Index Fund.
53
<PAGE>
NOTES TO FINANCIAL STATEMENTS (concluded)
5. BORROWING AGREEMENTS
The trust has lines of credit arrangements with The Bank of New York whereby
the trust may borrow on behalf of the funds, an aggregate amount of up to $100
million, on a temporary basis, to fund shareholder redemptions. Amounts borrowed
under these arrangements bear interest at periodically negotiated rates and may
be collateralized by the assets of the funds. As of October 31, 1999, there were
no outstanding borrowings under this arrangement on behalf of the funds.
6. SECURITIES LENDING
The Institutional Select S&P 500 Fund, Institutional Select Large-Cap Value
Index Fund, and Institutional Select Small-Cap Value Index Fund loaned
securities to certain brokers, dealers and other financial institutions who paid
the funds negotiated lenders' fees. The funds received cash collateral, letters
of credit, or U.S. Government securities against the loaned securities in an
amount equal to 102% of the market value of the loaned securities at the
inception of each loan. The loans were and at all times will be collateralized
in an amount equal to at least 100% of the market value of the securities
loaned.
<TABLE>
Market Value of
Fund Securities Loaned Collateral
---- ------------------ -----------
<S> <C> <C>
Institutional Select S&P 500 Fund $38,433 $38,839
Institutional Select Large-Cap Value Index Fund 8,655 8,698
Institutional Select Small-Cap Value Index Fund 315 360
7. INVESTMENT TRANSACTIONS
Aggregate purchases and sales of investment securities, other than short-term
obligations and U.S. Government securities, for the period ended October 31,
1999, were as follows:
Proceeds of
sales and
Fund Purchases maturities
-------- ------------ ----------
Institutional Select(TM) S&P 500 Fund $225,360 $1,922
Institutional Select(TM) Large-Cap Value
Index Fund 78,571 9,051
Institutional Select(TM) Small-Cap Value
Index Fund 40,408 9,049
8. EARLY WITHDRAWAL FEES
The early withdrawal fees are retained by the funds and are treated as a
contribution to capital.
Early withdrawal fees on Early withdrawal
Fund redemption proceeds* fees as of 10/31/99
-------- ------------------------ --------------------
Institutional Select S&P 500 Fund 0.25% $25
Institutional Select Large-Cap Value Index Fund 0.50% 11
Institutional Select Small-Cap Value Index Fund 0.75% 7
</TABLE>
*Attributable to shares purchased and held less than 180 days.
54
<PAGE>
REPORT OF INDEPENDENT ACCOUNTANTS
To the Board of Trustees and Shareholders of:
Institutional Select(TM) S&P 500 Fund,
Institutional Select(TM) Large-Cap Value Index Fund, and
Institutional Select(TM) Small-Cap Value Index Fund
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of investments, and the related statements of operations and of
changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of Institutional Select S&P 500 Fund,
Institutional Select Large-Cap Value Index Fund, and Institutional Select
Small-Cap Value Index Fund (three of the portfolios constituting Schwab Capital
Trust, hereafter referred to as the "funds") at October 31, 1999, and the
results of each of their operations, the changes in each of their net assets and
the financial highlights for the period February 1, 1999 (commencement of
operations) to October 31, 1999, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
funds' management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
San Francisco, CA
December 9, 1999
<PAGE>
THIS SPACE RESERVED FOR YOUR COMMENTS AND QUESTIONS.
A SCHWAB REPRESENTATIVE WILL BE HAPPY TO ASSIST YOU.
<PAGE>
THIS SPACE RESERVED FOR YOUR COMMENTS AND QUESTIONS.
A SCHWAB REPRESENTATIVE WILL BE HAPPY TO ASSIST YOU.
<PAGE>
THIS SPACE RESERVED FOR YOUR COMMENTS AND QUESTIONS.
A SCHWAB REPRESENTATIVE WILL BE HAPPY TO ASSIST YOU.
<PAGE>
INSTITUTIONAL SELECT-TM- FUNDS
FUNDS DESIGNED TO MEET YOUR NEEDS
The Institutional Select Funds were designed with input from Investment
Managers, who indicated a need for low-cost, tax-efficient index fund
alternatives.
At Charles Schwab Investment Management, Inc. (CSIM), our goal is to understand
the needs of our clients and then design investment tools that meet those needs.
Through targeted research, we learned that our clients want low-cost index fund
alternatives that are managed with an emphasis on tax efficiency and offer
accurate tracking and a proven management team. The Institutional Select Funds
are a direct result of that research, and offer real advantages designed
specifically for institutional-type investors.
CSIM--THE RIGHT RESOURCES FOR INVESTMENT ADVISERS
When we began in 1989, CSIM's primary focus was the retail customer, and
today--with more than 40 fund products, five million
SchwabFunds-Registered Trademark- shareholders and more than $100 billion in
assets under management--we are a market leader.
Today, Investment Managers represent a large and growing part of the overall
customer base for Charles Schwab & Co., Inc. (Schwab). The Institutional Select
Funds are the first of what we hope will be many new CSIM funds that will
provide high quality, cost-efficient portfolios for Investment Managers and
their clients. We will continue to work closely with Investment Managers
nationwide, with a view to provide them with the best institutional investment
tools.
CSIM serves as the investment advisor to the SchwabFunds, and is an affiliate of
Schwab. Schwab is the distributor for the Institutional Select Funds and
SchwabFunds. The Charles Schwab Corporation is the parent company of CSIM and
Schwab.
THIS REPORT MUST BE PRECEDED OR ACCOMPANIED BY A CURRENT PROSPECTUS.
<PAGE>
INSTITUTIONAL SELECT-TM- FUNDS
101 MONTGOMERY STREET, SAN FRANCISCO, CA 94104
INVESTMENT ADVISER
Charles Schwab Investment Management, Inc.
101 Montgomery Street, San Francisco, CA 94104
DISTRIBUTOR
Charles Schwab & Co., Inc.
101 Montgomery Street, San Francisco, CA 94104
This report is not authorized for distribution to prospective investors
unless preceded or accompanied by a current prospectus.
- -C-1999 Charles Schwab & Co., Inc.
All rights reserved, Member SIPC/NYSE.
Printed on recycled paper. MKT4310 (12/99)
<PAGE>
