<PAGE>
STAGECOACH FUNDS(R)
Annual Report
LifePath Funds
LifePath Opportunity Fund
LifePath 2010(TM) Fund
LifePath 2020(TM) Fund
LifePath 2030(TM) Fund
LifePath 2040(TM) Fund
February 28, 1999
<PAGE>
LifePath Funds Table of Contents
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Letter to Shareholders ................................................... 1
Investment Advisor Commentary and
Performance at a Glance
Performance Summary .................................................. 4
Portfolio Review ..................................................... 8
Strategic Outlook .................................................... 10
LifePath Funds
Statement of Assets and Liabilities .................................. 12
Statement of Operations .............................................. 14
Statements of Changes in Net Assets .................................. 16
Financial Highlights ................................................. 20
Notes to Financial Statements
Significant Accounting Policies ...................................... 30
Agreements and Other Transactions
with Affiliates .................................................. 32
Capital Share Transactions ........................................... 34
Portfolio Securities Loaned .......................................... 38
Independent Auditors' Report ............................................. 39
LifePath Master Portfolios
Schedule of Investments .............................................. 40
Statement of Assets and Liabilities .................................. 108
Statement of Operations .............................................. 110
Statements of Changes in Net Assets .................................. 112
Notes to Financial Statements
Significant Accounting Policies ...................................... 116
Agreements and Other Transactions
with Affiliates .................................................. 118
Investment Portfolio Transactions .................................... 119
Portfolio Securities Loaned .......................................... 119
Financial Highlights ................................................. 120
Independent Auditors' Report ............................................. 121
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<PAGE>
Letter to Shareholders LifePath Funds
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To Our Shareholders
Thank you for investing in the Stagecoach Funds.
It's a pleasure to provide you with this Annual Report for the year ended
February 28, 1999. The report provides information about your investment over
the year, including economic and market trends, a performance summary, a
portfolio review and a strategic outlook.
The Stagecoach Funds experienced another year of significant growth, with net
assets increasing from $24.5 billion to $29 billion as of February 28, 1999. We
believe our success can be partly attributed to the confidence and support of
our shareholders, generated by the continued positive performance of many of the
Funds. Of course, we'll do our best to continue providing prudent management to
maintain that confidence.
For investors, 1998 was a challenging year. Stocks marched steadily upward
during the first and second quarters, only to surrender their gains in the third
quarter. We witnessed a sell-off in the stock market last summer that served as
an introduction to sharp market swings and volatility that we would see for the
remainder of the year. The stock market then set new highs by the end of
November, and broad stock indexes were propelled higher by a series of upbeat
earnings reports at the year's end. By the end of the period, stocks of
mid-sized and small companies had begun to show signs of improvement after
seeing significant declines earlier in the fiscal year. Investors should note
that historically, stocks have returned 11% per year. Since 1995, however,
stocks have returned, on average, over 30% per year.
For the 12-month period ended February 28, 1999, stocks, as measured by the
S&P 500 Index* returned 19.76%. The U.S. Government bond market returned 7.54%
as measured by the Lehman Brothers Long Government Bond Index,** and the U.S.
Treasury market rallied in response to the Federal Reserve Board's actions to
lower interest rates.
In early 1999, which marks the beginning of the eighth consecutive year of
economic expansion, the U.S. economy remains strong and the stock market is
riding
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LifePath Funds Letter to Shareholders
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the crest of another outstanding year. While the latest signs of economic
strength are positive, investors should manage their expectations. The
challenges of investing in today's markets make mutual funds one of the most
popular investment vehicles. Investors poured more than $452 billion into mutual
funds for the 12-month period ending February 28, 1999, according to Strategic
Insight, an industry research firm.
Over the years, the Stagecoach Funds have built a reputation for innovation,
leadership and commitment to investors. The LifePath Funds are five of eight
asset allocation funds in the Stagecoach Fund family. Each Fund offers a unique
asset allocation strategy that can provide a solid foundation for any investment
portfolio. We understand that you have a variety of investment options and we
appreciate your confidence in selecting us to help you meet your financial
goals.
As always, we recommend that you continually review your investment portfolio
with your financial consultant to determine an appropriate mix of investments
based on changing market conditions and your investment objectives. Thank you
again for your continued investment with the Stagecoach Funds.
Sincerely,
/s/ Michael J. Hogan /s/ R. Greg Feltus
Michael J. Hogan R. Greg Feltus
Senior Vice President Chairman and President
Wells Fargo Bank, of Stagecoach Funds
Mutual Fund Group
* The "S&P 500 Index" is a trademark of Standard & Poor's Corporation. The S&P
500 Index is an unmanaged index of 500 widely held common stocks representing,
among others, industrial, financial, utility and transportation companies
listed or traded on national exchanges or over-the-counter markets.
**The Lehman Brothers Long Government Bond Index is an unmanaged index
comprised of U.S. Treasury bonds with 20-year or longer maturities.
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LifePath Funds Investment Advisor Commentary
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Growth of a $10,000 Investment
STAGECOACH-LIFEPATH OPPORTUNITY CLASS A SHARES
[LINE GRAPH APPEARS HERE]
Stagecoach - LifePath Lehman Brothers S & P 500
Date Opportunity Class A Shares Aggregate Bond Index Composite Index
---- -------------------------- -------------------- ---------------
3/1/94 $ 9,550 $ 10,000 $ 10,000
Mar-94 $ 9,418 $ 9,753 $ 9,564
Apr-94 $ 9,370 $ 9,675 $ 9,687
May-94 $ 9,380 $ 9,674 $ 9,846
Jun-94 $ 9,314 $ 9,653 $ 9,604
Jul-94 $ 9,468 $ 9,845 $ 9,920
Aug-94 $ 9,545 $ 9,857 $ 10,326
Sep-94 $ 9,415 $ 9,712 $ 10,074
Oct-94 $ 9,444 $ 9,703 $ 10,300
Nov-94 $ 9,328 $ 9,682 $ 9,925
Dec-94 $ 9,367 $ 9,748 $ 10,072
Jan-95 $ 9,524 $ 9,941 $ 10,333
Feb-95 $ 9,750 $ 10,178 $ 10,736
Mar-95 $ 9,842 $ 10,240 $ 11,052
Apr-95 $ 9,981 $ 10,384 $ 11,377
May-95 $ 10,260 $ 10,785 $ 11,831
Jun-95 $ 10,356 $ 10,864 $ 12,106
Jul-95 $ 10,457 $ 10,840 $ 12,507
Aug-95 $ 10,527 $ 10,971 $ 12,538
Sep-95 $ 10,645 $ 11,078 $ 13,067
Oct-95 $ 10,675 $ 11,222 $ 13,020
Nov-95 $ 10,848 $ 11,390 $ 13,591
Dec-95 $ 10,975 $ 11,550 $ 13,853
Jan-96 $ 11,078 $ 11,626 $ 14,324
Feb-96 $ 11,016 $ 11,424 $ 14,457
Mar-96 $ 10,992 $ 11,344 $ 14,596
Apr-96 $ 11,003 $ 11,280 $ 14,811
May-96 $ 11,013 $ 11,257 $ 15,191
Jun-96 $ 11,085 $ 11,408 $ 15,249
Jul-96 $ 10,990 $ 11,439 $ 14,575
Aug-96 $ 11,053 $ 11,420 $ 14,883
Sep-96 $ 11,284 $ 11,618 $ 15,719
Oct-96 $ 11,455 $ 11,876 $ 16,153
Nov-96 $ 11,733 $ 12,079 $ 17,372
Dec-96 $ 11,637 $ 11,967 $ 17,028
Jan-97 $ 11,747 $ 12,004 $ 18,091
Feb-97 $ 11,758 $ 12,034 $ 18,234
Mar-97 $ 11,596 $ 11,901 $ 17,486
Apr-97 $ 11,785 $ 12,079 $ 18,528
May-97 $ 12,040 $ 12,194 $ 19,661
Jun-97 $ 12,249 $ 12,339 $ 20,535
Jul-97 $ 12,574 $ 12,672 $ 22,168
Aug-96 $ 12,405 $ 12,564 $ 20,927
Sep-97 $ 12,659 $ 12,749 $ 22,071
Oct-97 $ 12,636 $ 12,934 $ 21,334
Nov-97 $ 12,715 $ 12,993 $ 22,322
Dec-97 $ 12,851 $ 13,125 $ 22,706
Jan-98 $ 12,962 $ 13,293 $ 22,958
Feb-98 $ 13,166 $ 13,282 $ 24,613
Mar-98 $ 13,349 $ 13,327 $ 25,873
Apr-98 $ 13,416 $ 13,397 $ 26,137
May-98 $ 13,400 $ 13,524 $ 25,688
Jun-98 $ 13,533 $ 13,639 $ 26,731
Jul-98 $ 13,512 $ 13,667 $ 26,447
Aug-98 $ 13,198 $ 13,890 $ 22,626
Sep-98 $ 13,514 $ 14,215 $ 24,076
Oct-98 $ 13,751 $ 14,140 $ 26,031
Nov-98 $ 13,913 $ 14,220 $ 27,608
Dec-98 $ 14,155 $ 14,263 $ 29,232
Jan-99 $ 14,248 $ 14,364 $ 30,454
Feb-99 $ 14,008 $ 14,113 $ 31,401
STAGECOACH-LIFEPATH 2010 CLASS A SHARES
[LINE GRAPH APPEARS HERE]
Stagecoach - LifePath Lehman Brothers S & P 500
Date 2010 Class A Shares Aggregate Bond Index Composite Index
---- ------------------- -------------------- ---------------
3/1/94 $ 9,550 $ 10,000 $ 10,000
Mar-94 $ 9,399 $ 9,753 $ 9,564
Apr-94 $ 9,351 $ 9,675 $ 9,687
May-94 $ 9,389 $ 9,674 $ 9,846
Jun-94 $ 9,311 $ 9,653 $ 9,604
Jul-94 $ 9,484 $ 9,845 $ 9,920
Aug-94 $ 9,590 $ 9,857 $ 10,326
Sep-94 $ 9,443 $ 9,712 $ 10,074
Oct-94 $ 9,521 $ 9,703 $ 10,300
Nov-94 $ 9,317 $ 9,682 $ 9,925
Dec-94 $ 9,392 $ 9,748 $ 10,072
Jan-95 $ 9,569 $ 9,941 $ 10,333
Feb-95 $ 9,866 $ 10,178 $ 10,736
Mar-95 $ 10,019 $ 10,240 $ 11,052
Apr-95 $ 10,208 $ 10,384 $ 11,377
May-95 $ 10,567 $ 10,785 $ 11,831
Jun-95 $ 10,710 $ 10,864 $ 12,106
Jul-95 $ 10,911 $ 10,840 $ 12,507
Aug-95 $ 10,951 $ 10,971 $ 12,538
Sep-95 $ 11,162 $ 11,078 $ 13,067
Oct-95 $ 11,162 $ 11,222 $ 13,020
Nov-95 $ 11,435 $ 11,390 $ 13,591
Dec-95 $ 11,604 $ 11,550 $ 13,853
Jan-96 $ 11,811 $ 11,626 $ 14,324
Feb-96 $ 11,780 $ 11,424 $ 14,457
Mar-96 $ 11,794 $ 11,344 $ 14,596
Apr-96 $ 11,877 $ 11,280 $ 14,811
May-96 $ 11,960 $ 11,257 $ 15,191
Jun-96 $ 12,020 $ 11,408 $ 15,249
Jul-96 $ 11,779 $ 11,439 $ 14,575
Aug-96 $ 11,884 $ 11,420 $ 14,883
Sep-96 $ 12,260 $ 11,618 $ 15,719
Oct-96 $ 12,481 $ 11,876 $ 16,153
Nov-96 $ 12,988 $ 12,079 $ 17,372
Dec-96 $ 12,823 $ 11,967 $ 17,028
Jan-97 $ 13,103 $ 12,004 $ 18,091
Feb-97 $ 13,147 $ 12,034 $ 18,234
Mar-97 $ 12,883 $ 11,901 $ 17,486
Apr-97 $ 13,242 $ 12,079 $ 18,528
May-97 $ 13,720 $ 12,194 $ 19,661
Jun-97 $ 14,089 $ 12,339 $ 20,535
Jul-97 $ 14,670 $ 12,672 $ 22,168
Aug-96 $ 14,243 $ 12,564 $ 20,927
Sep-97 $ 14,699 $ 12,749 $ 22,071
Oct-97 $ 14,490 $ 12,934 $ 21,334
Nov-97 $ 14,710 $ 12,993 $ 22,322
Dec-97 $ 14,909 $ 13,125 $ 22,706
Jan-98 $ 15,063 $ 13,293 $ 22,958
Feb-98 $ 15,573 $ 13,282 $ 24,613
Mar-98 $ 15,969 $ 13,327 $ 25,873
Apr-98 $ 16,088 $ 13,397 $ 26,137
May-98 $ 15,981 $ 13,524 $ 25,688
Jun-98 $ 16,260 $ 13,639 $ 26,731
Jul-98 $ 16,188 $ 13,667 $ 26,447
Aug-98 $ 15,157 $ 13,890 $ 22,626
Sep-98 $ 15,679 $ 14,215 $ 24,076
Oct-98 $ 16,319 $ 14,140 $ 26,031
Nov-98 $ 16,741 $ 14,220 $ 27,608
Dec-98 $ 17,246 $ 14,263 $ 29,232
Jan-99 $ 17,504 $ 14,364 $ 30,454
Feb-99 $ 17,117 $ 14,113 $ 31,401
STAGECOACH-LIFEPATH 2020 CLASS A SHARES
[LINE GRAPH APPEARS HERE]
Stagecoach - LifePath Lehman Brothers S & P 500
Date 2020 Class A Shares Aggregate Bond Index Composite Index
---- ------------------- -------------------- ---------------
3/1/94 $ 9,550 $ 10,000 $ 10,000
Mar-94 $ 9,371 $ 9,753 $ 9,564
Apr-94 $ 9,361 $ 9,675 $ 9,687
May-94 $ 9,418 $ 9,674 $ 9,846
Jun-94 $ 9,306 $ 9,653 $ 9,604
Jul-94 $ 9,488 $ 9,845 $ 9,920
Aug-94 $ 9,642 $ 9,857 $ 10,326
Sep-94 $ 9,457 $ 9,712 $ 10,074
Oct-94 $ 9,564 $ 9,703 $ 10,300
Nov-94 $ 9,322 $ 9,682 $ 9,925
Dec-94 $ 9,416 $ 9,748 $ 10,072
Jan-95 $ 9,621 $ 9,941 $ 10,333
Feb-95 $ 9,944 $ 10,178 $ 10,736
Mar-95 $ 10,134 $ 10,240 $ 11,052
Apr-95 $ 10,361 $ 10,384 $ 11,377
May-95 $ 10,735 $ 10,785 $ 11,831
Jun-95 $ 10,917 $ 10,864 $ 12,106
Jul-95 $ 11,175 $ 10,840 $ 12,507
Aug-95 $ 11,205 $ 10,971 $ 12,538
Sep-95 $ 11,468 $ 11,078 $ 13,067
Oct-95 $ 11,428 $ 11,222 $ 13,020
Nov-95 $ 11,767 $ 11,390 $ 13,591
Dec-95 $ 11,970 $ 11,550 $ 13,853
Jan-96 $ 12,235 $ 11,626 $ 14,324
Feb-96 $ 12,225 $ 11,424 $ 14,457
Mar-96 $ 12,266 $ 11,344 $ 14,596
Apr-96 $ 12,380 $ 11,280 $ 14,811
May-96 $ 12,513 $ 11,257 $ 15,191
Jun-96 $ 12,571 $ 11,408 $ 15,249
Jul-96 $ 12,198 $ 11,439 $ 14,575
Aug-96 $ 12,343 $ 11,420 $ 14,883
Sep-96 $ 12,833 $ 11,618 $ 15,719
Oct-96 $ 13,072 $ 11,876 $ 16,153
Nov-96 $ 13,770 $ 12,079 $ 17,372
Dec-96 $ 13,552 $ 11,967 $ 17,028
Jan-97 $ 13,951 $ 12,004 $ 18,091
Feb-97 $ 14,016 $ 12,034 $ 18,234
Mar-97 $ 13,651 $ 11,901 $ 17,486
Apr-97 $ 14,140 $ 12,079 $ 18,528
May-97 $ 14,813 $ 12,194 $ 19,661
Jun-97 $ 15,316 $ 12,339 $ 20,535
Jul-97 $ 16,135 $ 12,672 $ 22,168
Aug-96 $ 15,491 $ 12,564 $ 20,927
Sep-97 $ 16,131 $ 12,749 $ 22,071
Oct-97 $ 15,769 $ 12,934 $ 21,334
Nov-97 $ 16,131 $ 12,993 $ 22,322
Dec-97 $ 16,387 $ 13,125 $ 22,706
Jan-98 $ 16,569 $ 13,293 $ 22,958
Feb-98 $ 17,379 $ 13,282 $ 24,613
Mar-98 $ 17,996 $ 13,327 $ 25,873
Apr-98 $ 18,147 $ 13,397 $ 26,137
May-98 $ 17,933 $ 13,524 $ 25,688
Jun-98 $ 18,368 $ 13,639 $ 26,731
Jul-98 $ 18,213 $ 13,667 $ 26,447
Aug-98 $ 16,423 $ 13,890 $ 22,626
Sep-98 $ 17,117 $ 14,215 $ 24,076
Oct-98 $ 18,111 $ 14,140 $ 26,031
Nov-98 $ 18,818 $ 14,220 $ 27,608
Dec-98 $ 19,596 $ 14,263 $ 29,232
Jan-99 $ 20,014 $ 14,364 $ 30,454
Feb-99 $ 19,465 $ 14,113 $ 31,401
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Investment Advisor Commentary LifePath Funds
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STAGECOACH-LIFEPATH 2030 CLASS A SHARES
[LINE GRAPH APPEARS HERE]
Stagecoach - LifePath Lehman Brothers S & P 500
Date 2030 Class A Shares Aggregate Bond Index Composite Index
---- ------------------- -------------------- ---------------
3/1/94 $ 9,550 $ 10,000 $ 10,000
Mar-94 $ 9,265 $ 9,753 $ 9,564
Apr-94 $ 9,265 $ 9,675 $ 9,687
May-94 $ 9,332 $ 9,674 $ 9,846
Jun-94 $ 9,163 $ 9,653 $ 9,604
Jul-94 $ 9,385 $ 9,845 $ 9,920
Aug-94 $ 9,625 $ 9,857 $ 10,326
Sep-94 $ 9,407 $ 9,712 $ 10,074
Oct-94 $ 9,543 $ 9,703 $ 10,300
Nov-94 $ 9,272 $ 9,682 $ 9,925
Dec-94 $ 9,387 $ 9,748 $ 10,072
Jan-95 $ 9,602 $ 9,941 $ 10,333
Feb-95 $ 9,935 $ 10,178 $ 10,736
Mar-95 $ 10,153 $ 10,240 $ 11,052
Apr-95 $ 10,409 $ 10,384 $ 11,377
May-95 $ 10,851 $ 10,785 $ 11,831
Jun-95 $ 11,060 $ 10,864 $ 12,106
Jul-95 $ 11,346 $ 10,840 $ 12,507
Aug-95 $ 11,376 $ 10,971 $ 12,538
Sep-95 $ 11,694 $ 11,078 $ 13,067
Oct-95 $ 11,634 $ 11,222 $ 13,020
Nov-95 $ 12,031 $ 11,390 $ 13,591
Dec-95 $ 12,275 $ 11,550 $ 13,853
Jan-96 $ 12,570 $ 11,626 $ 14,324
Feb-96 $ 12,570 $ 11,424 $ 14,457
Mar-96 $ 12,626 $ 11,344 $ 14,596
Apr-96 $ 12,790 $ 11,280 $ 14,811
May-96 $ 12,954 $ 11,257 $ 15,191
Jun-96 $ 12,999 $ 11,408 $ 15,249
Jul-96 $ 12,545 $ 11,439 $ 14,575
Aug-96 $ 12,710 $ 11,420 $ 14,883
Sep-96 $ 13,287 $ 11,618 $ 15,719
Oct-96 $ 13,557 $ 11,876 $ 16,153
Nov-96 $ 14,416 $ 12,079 $ 17,372
Dec-96 $ 14,156 $ 11,967 $ 17,028
Jan-97 $ 14,635 $ 12,004 $ 18,091
Feb-97 $ 14,709 $ 12,034 $ 18,234
Mar-97 $ 14,268 $ 11,901 $ 17,486
Apr-97 $ 14,856 $ 12,079 $ 18,528
May-97 $ 15,667 $ 12,194 $ 19,661
Jun-97 $ 16,290 $ 12,339 $ 20,535
Jul-97 $ 17,309 $ 12,672 $ 22,168
Aug-96 $ 16,462 $ 12,564 $ 20,927
Sep-97 $ 17,279 $ 12,749 $ 22,071
Oct-97 $ 16,794 $ 12,934 $ 21,334
Nov-97 $ 17,257 $ 12,993 $ 22,322
Dec-97 $ 17,574 $ 13,125 $ 22,706
Jan-98 $ 17,768 $ 13,293 $ 22,958
Feb-98 $ 18,828 $ 13,282 $ 24,613
Mar-98 $ 19,631 $ 13,327 $ 25,873
Apr-98 $ 19,814 $ 13,397 $ 26,137
May-98 $ 19,528 $ 13,524 $ 25,688
Jun-98 $ 20,095 $ 13,639 $ 26,731
Jul-98 $ 19,877 $ 13,667 $ 26,447
Aug-98 $ 17,432 $ 13,890 $ 22,626
Sep-98 $ 18,240 $ 14,215 $ 24,076
Oct-98 $ 19,541 $ 14,140 $ 26,031
Nov-98 $ 20,485 $ 14,220 $ 27,608
Dec-98 $ 21,510 $ 14,263 $ 29,232
Jan-99 $ 22,045 $ 14,364 $ 30,454
Feb-99 $ 21,324 $ 14,113 $ 31,401
STAGECOACH-LIFEPATH 2040 CLASS A SHARES
[LINE GRAPH APPEARS HERE]
Stagecoach - LifePath Lehman Brothers S & P 500
Date 2040 Class A Shares Aggregate Bond Index Composite Index
---- ------------------- -------------------- ---------------
3/1/94 $ 9,550 $ 10,000 $ 10,000
Mar-94 $ 9,204 $ 9,753 $ 9,564
Apr-94 $ 9,281 $ 9,675 $ 9,687
May-94 $ 9,386 $ 9,674 $ 9,846
Jun-94 $ 9,176 $ 9,653 $ 9,604
Jul-94 $ 9,426 $ 9,845 $ 9,920
Aug-94 $ 9,743 $ 9,857 $ 10,326
Sep-94 $ 9,516 $ 9,712 $ 10,074
Oct-94 $ 9,660 $ 9,703 $ 10,300
Nov-94 $ 9,352 $ 9,682 $ 9,925
Dec-94 $ 9,480 $ 9,748 $ 10,072
Jan-95 $ 9,694 $ 9,941 $ 10,333
Feb-95 $ 10,052 $ 10,178 $ 10,736
Mar-95 $ 10,310 $ 10,240 $ 11,052
Apr-95 $ 10,563 $ 10,384 $ 11,377
May-95 $ 10,982 $ 10,785 $ 11,831
Jun-95 $ 11,231 $ 10,864 $ 12,106
Jul-95 $ 11,593 $ 10,840 $ 12,507
Aug-95 $ 11,593 $ 10,971 $ 12,538
Sep-95 $ 11,951 $ 11,078 $ 13,067
Oct-95 $ 11,853 $ 11,222 $ 13,020
Nov-95 $ 12,284 $ 11,390 $ 13,591
Dec-95 $ 12,534 $ 11,550 $ 13,853
Jan-96 $ 12,887 $ 11,626 $ 14,324
Feb-96 $ 12,958 $ 11,424 $ 14,457
Mar-96 $ 13,041 $ 11,344 $ 14,596
Apr-96 $ 13,275 $ 11,280 $ 14,811
May-96 $ 13,508 $ 11,257 $ 15,191
Jun-96 $ 13,555 $ 11,408 $ 15,249
Jul-96 $ 13,014 $ 11,439 $ 14,575
Aug-96 $ 13,218 $ 11,420 $ 14,883
Sep-96 $ 13,886 $ 11,618 $ 15,719
Oct-96 $ 14,142 $ 11,876 $ 16,153
Nov-96 $ 15,114 $ 12,079 $ 17,372
Dec-96 $ 14,841 $ 11,967 $ 17,028
Jan-97 $ 15,464 $ 12,004 $ 18,091
Feb-97 $ 15,572 $ 12,034 $ 18,234
Mar-97 $ 15,055 $ 11,901 $ 17,486
Apr-97 $ 15,755 $ 12,079 $ 18,528
May-97 $ 16,757 $ 12,194 $ 19,661
Jun-97 $ 17,489 $ 12,339 $ 20,535
Jul-97 $ 18,645 $ 12,672 $ 22,168
Aug-96 $ 17,630 $ 12,564 $ 20,927
Sep-97 $ 18,576 $ 12,749 $ 22,071
Oct-97 $ 17,883 $ 12,934 $ 21,334
Nov-97 $ 18,446 $ 12,993 $ 22,322
Dec-97 $ 18,773 $ 13,125 $ 22,706
Jan-98 $ 19,011 $ 13,293 $ 22,958
Feb-98 $ 20,346 $ 13,282 $ 24,613
Mar-98 $ 21,370 $ 13,327 $ 25,873
Apr-98 $ 21,585 $ 13,397 $ 26,137
May-98 $ 21,156 $ 13,524 $ 25,688
Jun-98 $ 21,878 $ 13,639 $ 26,731
Jul-98 $ 21,639 $ 13,667 $ 26,447
Aug-98 $ 18,363 $ 13,890 $ 22,626
Sep-98 $ 19,334 $ 14,215 $ 24,076
Oct-98 $ 20,961 $ 14,140 $ 26,031
Nov-98 $ 22,157 $ 14,220 $ 27,608
Dec-98 $ 23,498 $ 14,263 $ 29,232
Jan-99 $ 24,179 $ 14,364 $ 30,454
Feb-99 $ 23,394 $ 14,113 $ 31,401
LifePath Funds
"Growth of a $10,000 Investment" Graph
The returns for Class B shares and Class C shares of the LifePath Funds, where
applicable, will vary from the results shown due to different expenses and load
structures.
The accompanying charts compare the performance of each of the Stagecoach
LifePath Funds Class A shares since inception with the S&P 500 Index and the
Lehman Brothers Aggregate Bond Index. The chart assumes a hypothetical $10,000
initial investment in Class A shares and reflects all operating expenses and
assumes the maximum initial sales charge of 4.5%. The S&P 500 Index is an
unmanaged index of 500 widely held common stocks representing, among others,
industrial, financial, utility and transportation companies listed or traded on
national exchanges or over-the-counter markets. The Lehman Brothers Aggregate
Bond Index is an unmanaged index composed of bonds, mortgage-backed securities
and asset-backed securities. The indexes presented here do not incur expenses
and are not available directly for investment. Had these indexes incurred
operating expenses, their performances would have been lower.
5
<PAGE>
LifePath Funds Investment Advisor Commentary
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LifePath Funds
The LifePath Funds (the "Funds") are globally diversified asset allocation
mutual funds designed to maximize assets while gradually reducing the potential
for investment risk over specific investment time horizons.
Each LifePath Fund may be allocated across as many as 17 asset classes,
covering a variety of equity, fixed-income and cash indexes, including three
indexes that offer international exposure. Allocations among these asset classes
are determined by a proprietary investment model that examines a large amount of
information, including economic trends, pricing and other financial data.
The Funds are managed by Barclays Global Fund Advisors, one of the largest
providers of index products in the world.
Fund Data (as of February 28, 1999)
- --------------------------------------------------------------------------------
Total Assets Net Asset Net Asset Quarterly
($MM) Value Value Dividend
2/28/99 2/28/98 2/28/99 12/31/98
- --------------------------------------------------------------------------------
LifePath Opportunity Class A $ 57.0 $10.83 $10.52 $0.079
LifePath Opportunity Class B $ 3.2 N/A $10.61 $0.029
LifePath Opportunity Class C $ 4.8 N/A $10.62 $0.011
LifePath 2010 Class A $ 89.5 $13.16 $13.27 $0.071
LifePath 2010 Class B $ 18.1 $13.10 $13.25 $0.050
LifePath 2010 Class C $ 0.7 N/A $13.29 $0.007
LifePath 2020 Class A $165.6 $14.70 $14.91 $0.051
LifePath 2020 Class B $ 28.5 $14.55 $14.79 $0.030
LifePath 2020 Class C $ 0.2 N/A $14.82 $0.003
LifePath 2030 Class A $134.0 $16.51 $17.15 $0.036
LifePath 2030 Class B $ 25.2 $16.28 $16.93 $0.014
LifePath 2030 Class C $ 0.1 N/A $16.94 $0.001
LifePath 2040 Class A $261.8 $17.07 $17.87 $0.012
LifePath 2040 Class B $ 63.4 $16.76 $17.52 N/A
LifePath 2040 Class C $ 3.1 N/A $17.53 N/A
6
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Investment Advisor Commentary LifePath Funds
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Performance Summary
The table on the previous page lists the net asset values of the LifePath
Funds. Because the longer-term LifePath Funds generally invest more heavily in
equity securities, they will tend to be more volatile than the Funds nearer
their target dates. For example, the LifePath 2040 Fund's Class A share net
asset value increased $0.80 during the 12-month period, while the LifePath
Opportunity Fund's Class A share net asset value decreased $0.31 over the same
period. The LifePath 2040 Fund's Class A shares distributed $0.08 per share in
dividend income, and $1.59 per share in capital gains were paid out during the
period. The LifePath Opportunity Fund's Class A shares distributed $0.37 per
share in dividend income, and $0.62 per share in capital gains were paid out
during the period. In a period of high market volatility, the Funds performed as
expected, with the longer-term LifePath Funds experiencing more price
fluctuations than the shorter-term Funds. The LifePath 2040 Fund's Class A
shares returned 14.98% and the LifePath Opportunity Fund's Class A shares
returned 6.39% during the 12-month period, excluding sales charges.
The Funds have three benchmarks representing each of the major asset classes
in which the Funds can invest. The S&P 500 Index1 returned 19.76%, the Lehman
Brothers U.S. Treasury Bond Index2 returned 6.53%, and the IBC All Taxable Money
Fund Average3 returned 4.93% over the 12-month period. The longer-term Funds,
which are more heavily allocated in stocks, were affected by a substantial
decline in the market on August 31, 1998, with the Dow Jones Industrial Average
dropping more than 500 points. However, the Funds recovered certain losses as
stocks rebounded during the third and fourth quarters of 1998.
Economic and market factors, including heightened volatility, global economic
turmoil and a low-inflation market environment have affected the LifePath Funds
in various ways. The LifePath Opportunity Fund, for
7
<PAGE>
LifePath Funds Investment Advisor Commentary
- --------------------------------------------------------------------------------
example, with a large component of fixed income securities, benefited from lower
interest rates and higher bond prices. On the other hand, the LifePath 2040
Fund, which has a higher risk tolerance and is allocated mostly in stocks, was
affected by increased volatility in the stock market.
Average Annual Returns/4/ (as of February 28, 1999)
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Excluding Sales Charge Including Maximum Sales Charge/5/
------------------------------ ---------------------------------
1- 3- Since 1- 3- Since
Year Year Inception(Note 1) Year Year Inception(Note 1)
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
LifePath
Opportunity Cl A 6.40% 8.34% 7.96% 1.61% 6.69% 6.98%
LifePath
Opportunity Cl B 5.88% 7.86% 7.46% 0.89% 6.99% 7.16%
LifePath
Opportunity Cl C 5.72% 7.81% 7.43% 4.72% 7.81% 7.43%
LifePath 2010 Cl A 9.91% 13.26% 12.38% 4.96% 11.53% 11.35%
LifePath 2010 Cl B 9.30% 12.61% 11.78% 4.30% 11.81% 11.52%
LifePath 2010 Cl C 9.29% 12.61% 11.78% 8.29% 12.61% 11.78%
LifePath 2020 Cl A 12.02% 16.77% 15.31% 6.98% 14.99% 14.25%
LifePath 2020 Cl B 11.56% 16.15% 14.71% 6.56% 15.39% 14.48%
LifePath 2020 Cl C 11.51% 16.13% 14.70% 10.51% 16.13% 14.70%
LifePath 2030 Cl A 13.25% 19.26% 17.43% 8.75% 17.45% 16.35%
LifePath 2030 Cl B 12.64% 18.53% 16.77% 7.64% 17.81% 16.56%
LifePath 2030 Cl C 12.60% 18.52% 16.76% 11.60% 18.52% 16.76%
LifePath 2040 Cl A 14.98% 21.76% 19.62% 9.81% 19.90% 18.51%
LifePath 2040 Cl B 14.37% 21.01% 18.94% 9.37% 20.31% 18.74%
LifePath 2040 Cl C 14.42% 21.02% 18.95% 13.42% 21.02% 18.95%
</TABLE>
Portfolio Review
The Funds invest for higher returns early on, and will reallocate toward a
more conservative asset mix as their target date approaches. The LifePath
Opportunity Fund, for example, which is suitable for investors with shorter time
horizons, decreased its allocation in stocks
8
<PAGE>
Investment Advisor Commentary LifePath Funds
- --------------------------------------------------------------------------------
over the 12-month period. The LifePath Opportunity Fund began the period with an
allocation of 24% stocks, 51% bonds and 25% cash as of February 28, 1998, and
ended the period at 20% stocks, 56% bonds and 24% cash as of February 28, 1999.
Conversely, since the LifePath 2040 Fund has 41 years before reaching its target
date, and is appropriate for investors with longer time horizons, it maintained
a heavier weighting in stocks, ending the period with 97% stocks, 2% bonds and
1% cash.
As the years go by, the Funds will continually progress to a more
conservative allocation. Forty years from now, the allocation of the LifePath
2040 Fund will look very similar to the allocation of today's LifePath
Opportunity Fund, with adjustments for current economic and market conditions.
Portfolio Allocation 6 (as of February 28, 1999)
Stocks Bonds Cash
LifePath Opportunity 20% 56% 24%
LifePath 2010 44% 44% 12%
LifePath 2020 66% 27% -7%
LifePath 2030 82% 14% -4%
LifePath 2040 97% -2% -1%
9
<PAGE>
LifePath Funds Investment Advisor Commentary
- --------------------------------------------------------------------------------
Breakdown by Indexes 6 (as of February 28, 1999)
Index LifePath
Oppor- LifePath LifePath LifePath LifePath
tunity 2010 2020 2030 2040
- --------------------------------------------------------------------------------
U.S. Treasury Bills 24.03% 12.19% 6.89% 3.73% 0.63%
Intermediate Government 52.22% 40.73% 22.77% 2.41% 0.00%
Long Government 3.77% 2.69% 3.79% 12.07% 1.72%
Intermediate Corporate 0.00% 0.00% 0.00% 0.00% 0.00%
Long Corporate 0.00% 0.00% 0.00% 0.00% 0.00%
Mortgage Backed Securities 0.00% 0.00% 0.00% 0.00% 0.00%
Large Value 4.19% 14.25% 22.24% 27.15% 31.47%
Large Growth 4.97% 14.18% 23.14% 27.76% 36.04%
Intermediate Value 2.25% 2.57% 2.90% 3.80% 4.67%
Intermediate Growth 1.85% 2.15% 2.32% 3.10% 3.71%
Intermediate Utilities 0.04% 0.01% 0.29% 0.02% 0.01%
Small Value 0.25% 0.18% 0.25% 0.27% 0.29%
Small Growth 0.43% 0.29% 0.41% 0.46% 0.49%
Micro 0.16% 0.21% 0.33% 0.37% 0.36%
non-U.S. WGBI 0.00% 0.00% 0.00% 0.00% 0.00%
EAFE ex-Japan 4.63% 8.19% 10.87% 13.98% 15.06%
Japan 1.20% 2.34% 3.80% 4.91% 5.55%
- --------------------------------------------------------------------------------
TOTAL 100% 100% 100% 100% 100%
Strategic Outlook
We are in the eighth consecutive year of economic expansion and the last year
of this millennium. The U.S. economy remains strong, and the stock market is
riding the crest of another outstanding year, with strong employment,
manufacturing, and trade accentuating a continuation of the unprecedented U.S.
economic growth in 1999. These factors could potentially lead to accelerated
inflation in the months to come, and we believe future interest rate movements
will be in an upward direction.
10
<PAGE>
Investment Advisor Commentary LifePath Funds
- --------------------------------------------------------------------------------
The LifePath Funds' strategic and tactical models will continue to invest in
the U.S. and international stock markets, as these asset classes are still
considered a better value than money market investments over the long term. The
Funds are well positioned to take advantage of opportunities in the bond market
as well, should they become more attractive in the year ahead.
- --------------------------------------------------------------------------------
1 The "S&P 500 Index" is a trademark of Standard & Poor's Corporation. The S&P
500 Index is an unmanaged index of 500 widely held common stocks representing,
among others, industrial, financial, utility and transportation companies
listed or traded on national exchanges or over-the-counter markets.
2 The Lehman Brothers U.S. Treasury Bond Index is an unmanaged index composed
of U.S. Treasury bonds with 10-year or longer maturities.
3 The IBC Financial Data Taxable Average is an average of 916 money market funds
whose returns are subject to federal, state and local income taxes. The yields
are higher than those of tax-free funds because of the kinds of instruments in
which taxable funds can invest. The average is not available directly for
investment.
4 Figures quoted represent past performance, which is no guarantee of future
results. Investment return and principal value of an investment will fluctuate
so that an investor's shares, when redeemed, may be worth more or less than
their original cost.
The Fund's manager has voluntarily waived all or a portion of its
administrative fees or assumed responsibility for other expenses, which
reduces operating expenses and increases total return to shareholders. Without
these reductions the Fund's returns would have been lower. These reductions
may be discontinued at any time.
For the periods prior to March 1997, performance shown for the LifePath Funds
Class B shares, with the exception of the LifePath Opportunity Fund, reflects
the performance of the respective LifePath Funds Class A shares, adjusted to
reflect the expenses of Class B shares.
For the periods prior to August 1998, performance shown for the LifePath
Opportunity Fund Class B shares reflects the performance of the LifePath
Opportunity Fund Class A shares, adjusted to reflect the expenses of Class B
shares.
For the periods prior to July 1998, performance shown for the LifePath 2040
Fund Class C shares reflects the performance of the LifePath 2040 Fund Class A
shares, adjusted to reflect the expenses of Class C shares.
For the periods prior to December 1998, performance shown for the Class C
shares of the LifePath Opportunity, LifePath 2010, LifePath 2020, and LifePath
2030 funds reflects the performance of the Class A shares for those Funds,
adjusted to reflect the expenses of Class C shares.
The LifePath Funds invest in a master portfolio which in turn invests in
individual securities. LifePath is a registered trademark of Barclays Global
Investors, N.A.
5 For Class A shares, the maximum front-end sales charge is 4.50%. The maximum
contingent deferred sales charge for Class B shares is 5.00%. The maximum
contingent deferred sales charge for Class C shares is 1.00%
6 Allocation percentages do not include repurchase agreements and money market
securities held by the Funds.
11
<PAGE>
LifePath Funds Statement of Assets and Liabilities-February 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LifePath LifePath
Opportunity 2010
Fund Fund
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------
ASSETS
- --------------------------------------------------------------------------------------------------------------
Investment:
In corresponding Master Portfolio, at market value
(Note 1) $ 64,011,831 $108,384,559
Receivables:
Receivable from WFB (Note 2) 11,987 17,192
Fund shares sold 1,000,939 126,961
Total Assets 65,024,757 108,528,712
- --------------------------------------------------------------------------------------------------------------
LIABILITIES
- --------------------------------------------------------------------------------------------------------------
Payables:
Due to sponsor and distributor 17,561 38,289
Due to WFB (Note 2) 0 0
Due to Trustees 2,409 2,251
Capital shares redeemed 55,442 74,819
Accrued expenses 43,824 36,711
Total Liabilities 119,236 152,070
TOTAL NET ASSETS $ 64,905,521 $108,376,642
Net Assets Consist Of:
Paid-in capital $ 59,783,630 $ 88,406,108
Undistributed net investment income 292,470 412,251
Undistributed net realized gain (loss) on investment 1,100,758 2,485,524
Net unrealized appreciation (depreciation) of investments 3,728,663 17,072,759
TOTAL NET ASSETS $ 64,905,521 $108,376,642
- --------------------------------------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE PER SHARE
- --------------------------------------------------------------------------------------------------------------
Net Assets - Class A $ 56,986,476 $ 89,543,158
Shares outstanding - Class A 5,415,941 6,749,969
Net asset value - Class A $ 10.52 $ 13.27
Offering price per share - Class A* $ 11.02 $ 13.90
Net Assets - Class B $ 3,160,604 $ 18,158,434
Shares outstanding - Class B 297,977 1,370,598
Net asset value and offering price per share - Class B $ 10.61 $ 13.25
Net Assets - Class C $ 4,758,441 $ 675,050
Shares outstanding - Class C 447,932 50,807
Net asset value and offering price per share - Class C $ 10.62 $ 13.29
- --------------------------------------------------------------------------------------------------------------
</TABLE>
* Includes maximum sales charge of 4.50% of the offering price (NAV/(1-maximum
sales charge)).
The accompanying notes are an integral part of these financial statements.
12
<PAGE>
Statement of Assets and Liabilities-February 28, 1999 LifePath Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------
ASSETS
- ------------------------------------------------------------------------------------------------------------------------------
Investment:
In corresponding Master Portfolio, at market value
(Note 1) $ 193,641,358 $ 159,292,794 $ 328,063,413
Receivables:
Receivable from WFB (Note 2) 0 13,036 0
Fund shares sold 1,085,588 113,690 857,355
Total Assets 194,726,946 159,419,520 328,920,768
- ------------------------------------------------------------------------------------------------------------------------------
LIABILITIES
- ------------------------------------------------------------------------------------------------------------------------------
Payables:
Due to sponsor and distributor 36,737 46,337 92,114
Due to WFB (Note 2) 9,481 0 41,605
Due to Trustees 2,251 2,251 2,251
Capital shares redeemed 392,955 32,762 433,074
Accrued expenses 41,582 32,722 52,440
Total Liabilities 483,006 114,072 621,484
TOTAL NET ASSETS $ 194,243,940 $ 159,305,448 $ 328,299,284
Net Assets Consist Of:
Paid-in capital $ 142,593,676 $ 109,663,542 $ 234,476,675
Undistributed net investment income 373,542 142,864 (36,738)
Undistributed net realized gain (loss) on investment 3,929,398 3,083,498 3,420,060
Net unrealized appreciation (depreciation) of investments 47,347,324 46,415,544 90,439,287
TOTAL NET ASSETS $ 194,243,940 $ 159,305,448 $ 328,299,284
- ------------------------------------------------------------------------------------------------------------------------------
COMPUTATION OF NET ASSET VALUE AND
OFFERING PRICE PER SHARE
- ------------------------------------------------------------------------------------------------------------------------------
Net Assets - Class A $ 165,584,057 $ 134,007,663 $ 261,808,157
Shares outstanding - Class A 11,104,330 7,811,593 14,648,835
Net asset value - Class A $ 14.91 $ 17.15 $ 17.87
Offering price per share - Class A* $ 15.61 $ 17.96 $ 18.71
Net Assets - Class B $ 28,467,471 $ 25,205,786 $ 63,394,664
Shares outstanding - Class B 1,924,781 1,488,702 3,617,656
Net asset value and offering price per share - Class B $ 14.79 $ 16.93 $ 17.52
Net Assets - Class C $ 192,412 $ 91,999 $ 3,096,463
Shares outstanding - Class C 12,981 5,432 176,661
Net asset value and offering price per share - Class C $ 14.82 $ 16.94 $ 17.53
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
13
<PAGE>
LifePath Funds Statement of Operations-For the Year Ended February 28, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LifePath LifePath
Opportunity 2010
Fund Fund
<S> <C> <C>
- --------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME ALLOCATED FROM
MASTER PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
Dividends $ 232,877 $ 762,486
Interest 2,660,149 2,997,221
Expenses (351,836) (561,400)
Net Investment Income Allocated from
Master Portfolio 2,541,190 3,198,307
- --------------------------------------------------------------------------------------------------------------
EXPENSES (NOTE 2)
- --------------------------------------------------------------------------------------------------------------
Administration fees 53,147 84,152
Shareholder servicing fees (Note 2) 55,928 84,880
Shareholder servicing fees - Class A 87,187 127,748
Shareholder servicing fees - Class B 1,383* 21,000
Shareholder servicing fees - Class C 1,358** 198
Transfer agency fees 77,753 125,849
Distribution costs - Class A 156,634 224,732
Distribution costs - Class B 4,150* 90,239
Distribution costs - Class C 4,075** 594
Compensation of Trustees 2,678 2,520
Legal and audit services 18,900 18,900
Registration costs - Class A 8,763 10,449
Registration costs - Class B 7,350* 8,400
Registration costs - Class C 4,822** 4,822
Miscellaneous 18,974 18,792
TOTAL EXPENSES 503,102 823,275
Less expenses waived by Wells Fargo Bank (46,412) (42,035)
Total Net Expenses 456,690 781,240
NET INVESTMENT INCOME 2,084,500 2,417,067
- --------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
ALLOCATED FROM MASTER PORTFOLIO
- --------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on sale of investments 3,019,339 6,911,433
Net change in unrealized appreciation
(depreciation) of investments (1,177,805) 205,255
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 3,926,034 $ 9,533,755
- --------------------------------------------------------------------------------------------------------------
</TABLE>
* This class of shares commenced operations on August 1, 1998.
** This class of shares commenced operations on December 1, 1998.
*** This class of shares commenced operations on July 1, 1998.
The accompanying notes are an integral part of these financial statements.
14
<PAGE>
Statement of Operations-For the Year Ended February 28, 1999 LifePath Funds
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
LifePath LifePath LifePath
2020 2030 2040
Fund Fund Fund
<S> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
NET INVESTMENT INCOME ALLOCATED FROM
MASTER PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
Dividends $ 2,047,037 $ 2,013,362 $ 4,689,611
Interest 3,276,717 1,445,252 378,038
Expenses (1,022,982) (826,911) (1,672,933)
Net Investment Income Allocated from
Master Portfolio 4,300,772 2,631,703 3,394,716
- ------------------------------------------------------------------------------------------------------------------------------------
EXPENSES (NOTE 2)
- ------------------------------------------------------------------------------------------------------------------------------------
Administration fees 153,779 124,118 251,136
Shareholder servicing fees (Note 2) 157,874 112,013 255,723
Shareholder servicing fees - Class A 233,951 186,395 361,309
Shareholder servicing fees - Class B 33,194 31,127 77,278
Shareholder servicing fees - Class C 23** 16** 1,537***
Transfer agency fees 228,583 185,007 374,330
Distribution costs - Class A 415,091 327,038 637,885
Distribution costs - Class B 148,136 145,255 361,128
Distribution costs - Class C 68** 49** 4,692***
Compensation of Trustees 2,520 2,520 2,520
Legal and audit services 21,000 23,100 27,300
Registration costs - Class A 18,327 14,808 21,318
Registration costs - Class B 16,800 13,740 19,110
Registration costs - Class C 4,822** 4,822** 19,110***
Miscellaneous 19,004 19,003 19,423
TOTAL EXPENSES 1,453,172 1,189,010 2,433,799
Less expenses waived by Wells Fargo Bank (49,713) (57,739) (58,341)
Total Net Expenses 1,403,459 1,131,271 2,375,458
NET INVESTMENT INCOME 2,897,313 1,500,432 1,019,258
- ------------------------------------------------------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
ALLOCATED FROM MASTER PORTFOLIO
- ------------------------------------------------------------------------------------------------------------------------------------
Net realized gain (loss) on sale of investments 15,353,077 11,793,389 25,933,476
Net change in unrealized appreciation
(depreciation) of investments 2,752,974 4,892,573 14,368,095
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 21,003,364 $ 18,186,394 $ 41,320,829
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
15
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Statements of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------------------------------
LifePath Opportunity Fund
---------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- ------------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income $ 2,084,500 $ 2,801,621
Net realized gain (loss) on sale of investments 3,019,339 4,301,793
Net change in unrealized appreciation (depreciation) of
investments (1,177,805) 1,145,265
Net increase (decrease) in net assets resulting from operations 3,926,034 8,248,679
Distributions to shareholders:
From net investment income
Class A (2,170,495) (2,974,734)
Class B (5,044)* N/A
Class C** (1,953) N/A
Institutional class*** 0 0
From net realized gain from sale of investments
Class A (3,320,738) (4,075,304)
Class B (52,805)* N/A
Class C** (65,502) N/A
Institutional class*** (816) (862)
Capital shares transactions:
Proceeds from shares sold - Class A 9,453,827 11,675,990
Reinvestment of dividends - Class A 5,322,835 6,867,295
Cost of shares redeemed - Class A (24,139,883) (36,779,860)
Net increase (decrease) in net assets resulting
from capital share transactions - Class A (9,363,221) (18,236,575)
Proceeds from shares sold - Class B 3,167,735* N/A
Reinvestment of dividends - Class B 56,110* N/A
Cost of shares redeemed - Class B (19,170)* N/A
Net increase (decrease) in net assets resulting
from capital share transactions - Class B 3,204,675* N/A
Proceeds from shares sold - Class C** 4,874,851 N/A
Reinvestment of dividends - Class C** 47,033 N/A
Cost of shares redeemed - Class C** (75,349) N/A
Net increase (decrease) in net assets resulting
from capital share transactions - Class C** 4,846,535 N/A
Proceeds from shares sold - Institutional class*** 0 0
Reinvestment of dividends - Institutional class*** 816 862
Cost of shares redeemed - Institutional class*** (15,138) 0
Net increase (decrease) in net assets resulting
from capital share transactions - Institutional
class*** (14,322) 862
Increase (Decrease) in Net Assets (3,017,652) (17,037,934)
- -----------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning net assets 67,923,173 84,961,107
Ending net assets $ 64,905,521 $ 67,923,173
Ending balance of undistributed net investment
income (loss) $ 292,470 $ 385,462
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* This class of shares commenced operations on August 1, 1998.
** This class of shares commenced operations on December 1, 1998 for all of the
Funds, with the exception of Lifepath 2040, which commenced operations on
July 1, 1998.
*** This class of shares ceased operations on January 6, 1999.
The accompanying notes are an integral part of these financial statements.
16
<PAGE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets LifePath Funds
- -----------------------------------------------------------------------------------------------------------------------------------
LifePath 2010 Fund LifePath 2020 Fund
------------------------------- -------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 28, February 28, February 28, February 28,
1999 1998 1999 1998
- ------------------------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Operations:
Net investment income $ 2,417,067 $ 2,485,645 $ 2,897,313 $ 3,241,426
Net realized gain (loss) on sale of investments 6,911,433 5,714,054 15,353,077 10,898,128
Net change in unrealized appreciation (depreciation) of
investments 205,255 6,828,482 2,752,974 20,358,807
Net increase (decrease) in net assets resulting from operations 9,533,755 15,028,181 21,003,364 $ 34,498,361
Distributions to shareholders:
From net investment income
Class A (2,197,828) (2,575,007) (2,773,594) (3,252,950)
Class B (191,805) (31,698) (193,399) (47,199)
Class C** (155) N/A (1) N/A
Institutional class*** (699) (1,221) (1,220) (1,772)
From net realized gain from sale of investments
Class A (5,320,365) (5,401,825) (13,075,329) (10,821,255)
Class B (962,303) (261,495) (1,978,109) (555,904)
Class C** (3,893) N/A (4) N/A
Institutional class*** (1,053) (1,957) (1,585) (5,732)
Capital shares transactions:
Proceeds from shares sold - Class A 13,690,774 15,777,443 19,089,185 28,343,707
Reinvestment of dividends - Class A 7,366,734 7,917,812 15,740,947 13,987,631
Cost of shares redeemed - Class A (22,044,386) (23,646,888) (38,288,618) (41,621,895)
Net increase (decrease) in net assets resulting
from capital share transactions - Class A (986,878) 48,367 (3,458,486) 709,443
Proceeds from shares sold - Class B 13,244,359 6,169,331 16,631,623 11,509,114
Reinvestment of dividends - Class B 1,119,505 288,508 2,101,648 588,214
Cost of shares redeemed - Class B (2,444,836) (321,968) (2,530,778) (509,483)
Net increase (decrease) in net assets resulting
from capital share transactions - Class B 11,919,028 6,135,871 16,202,493 11,587,845
Proceeds from shares sold - Class C** 711,359 0 193,699 N/A
Reinvestment of dividends - Class C** 1,944 0 5 N/A
Cost of shares redeemed - Class C** (31,189) 0 0 N/A
Net increase (decrease) in net assets resulting
from capital share transactions - Class C** 682,114 0 193,704 N/A
Proceeds from shares sold - Institutional class*** 0 2 0 0
Reinvestment of dividends - Institutional class*** 1,751 3,178 2,804 7,501
Cost of shares redeemed - Institutional class*** (31,722) (24,970) (89,689) (90)
Net increase (decrease) in net assets resulting
from capital share transactions - Institutional
class*** (29,971) (21,790) (86,885) 7,411
Increase (Decrease) in Net Assets 12,439,947 12,917,426 15,830,949 32,118,248
- ------------------------------------------------------------------------------------------------------------------------------------
NET ASSETS:
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning net assets 95,936,695 83,019,269 178,412,991 146,294,743
Ending net assets $ 108,376,642 $ 95,936,695 $ 194,243,940 $ 178,412,991
Ending balance of undistributed net investment
income (loss) $ 412,251 $ 385,671 $ 373,542 $ 444,443
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
17
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Statements of Changes in Net Assets
- -----------------------------------------------------------------------------------------------------------------
LifePath 2030 Fund
-----------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- ------------------------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income $ 1,500,432 $ 1,721,243
Net realized gain (loss) on investments 11,793,389 6,664,486
Net change in unrealized appreciation (depreciation) of
investments 4,892,573 20,833,854
Net increase (decrease) in net assets resulting from
operations 18,186,394 29,219,583
Distributions to shareholders:
From net investment income
Class A (1,462,037) (1,721,740)
Class B (104,378) (28,281)
Class C* 0 N/A
Institutional class** (559) (1,108)
From net realized gain from sale of investments
Class A (9,449,001) (6,317,229)
Class B (1,610,010) (448,302)
Class C* (3) N/A
Institutional class** (1,567) (2,388)
Capital shares transactions:
Proceeds from shares sold - Class A 20,226,565 20,334,470
Reinvestment of dividends - Class A 10,816,180 7,987,742
Cost of shares redeemed - Class A (28,172,918) (23,153,085)
Net increase (decrease) in net assets resulting
from capital share transactions - Class A 2,869,827 5,169,127
Proceeds from shares sold - Class B 12,693,677 11,536,495
Reinvestment of dividends - Class B 1,681,154 473,399
Cost of shares redeemed - Class B (2,187,820) (351,165)
Net increase (decrease) in net assets resulting
from capital share transactions - Class B 12,187,011 11,658,729
Proceeds from shares sold - Class C* 92,434 N/A
Reinvestment of dividends - Class C* 4 N/A
Cost of shares redeemed - Class C* 0 N/A
Net increase (decrease) in net assets resulting
from capital share transactions - Class C* 92,438 N/A
Proceeds from shares sold - Institutional class** 0 0
Reinvestment of dividends - Institutional class** 2,125 3,494
Cost of shares redeemed - Institutional class** (51,813) (4,321)
Net increase (decrease) in net assets resulting from
capital share transactions - Institutional class** (49,688) (827)
Increase (Decrease) in Net Assets 20,658,427 37,527,564
- ------------------------------------------------------------------------------------------------------------------
NET ASSETS:
Beginning net assets 138,647,021 101,119,457
Ending net assets $ 159,305,448 $ 138,647,021
Ending balance of undistributed net investment
income (loss) $ 142,864 $ 209,406
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* This class of shares commenced operations on December 1, 1998 for all of
the Funds, with the exception of Lifepath 2040, which commenced operations
on July 1, 1998.
** This class of shares ceased operations on January 6, 1999.
The accompanying notes are an integral part of these financial statements.
18
<PAGE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets LifePath Funds
- ---------------------------------------------------------------------------------------------------
LifePath 2040 Fund
----------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- ----------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
- ----------------------------------------------------------------------------------------------------
<S> <C> <C>
Operations:
Net investment income $ 1,019,258 $ 1,791,179
Net realized gain (loss) on investments 25,933,476 20,942,146
Net change in unrealized appreciation (depreciation) of
investments 14,368,095 39,110,252
Net increase (decrease) in net assets resulting from
operations 41,320,829 61,843,577
Distributions to shareholders:
From net investment income
Class A (1,148,509) (1,930,509)
Class B (31,745) (14,585)
Class C* 0 N/A
Institutional class** (147) (263)
From net realized gain from sale of investments
Class A (21,855,410) (21,055,603)
Class B (4,844,750) (1,893,805)
Class C* (66,713) N/A
Institutional class** (1,998) (2,348)
Capital shares transactions:
Proceeds from shares sold - Class A 42,012,833 53,851,530
Reinvestment of dividends - Class A 22,879,013 22,961,611
Cost of shares redeemed - Class A (63,023,916) (53,765,333)
Net increase (decrease) in net assets resulting
from capital share transactions - Class A 1,867,930 23,047,808
Proceeds from shares sold - Class B 33,585,155 28,753,908
Reinvestment of dividends - Class B 4,826,840 1,908,390
Cost of shares redeemed - Class B (7,422,017) (1,263,288)
Net increase (decrease) in net assets resulting
from capital share transactions - Class B 30,989,978 29,399,010
Proceeds from shares sold - Class C* 3,077,483 N/A
Reinvestment of dividends - Class C* 54,206 N/A
Cost of shares redeemed - Class C* (8,777) N/A
Net increase (decrease) in net assets resulting
from capital share transactions - Class C* 3,122,912 N/A
Proceeds from shares sold - Institutional class** 23 0
Reinvestment of dividends - Institutional class** 2,145 2,609
Cost of shares redeemed - Institutional class** (31,077) 0
Net increase (decrease) in net assets resulting from
capital share transactions - Institutional class** (28,909) 2,609
Increase (Decrease) in Net Assets 49,323,468 89,395,891
- ----------------------------------------------------------------------------------------------------
NET ASSETS:
- ----------------------------------------------------------------------------------------------------
Beginning net assets 278,975,816 189,579,925
Ending net assets $328,299,284 $278,975,816
Ending balance of undistributed net investment
income (loss) $ (36,738) $ 124,405
- ----------------------------------------------------------------------------------------------------
</TABLE>
19
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Financial Highlights
- --------------------------------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period is as follows:
- --------------------------------------------------------------------------------------------------------------------------------
Year Ended
Feb. 28, 1999
---------------------------------------------------
Class Class Class
A B* C**
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 10.83 $ 10.91 $ 11.24
------------- ------------ ------------
Income from investment operations:
Net investment income 0.36 0.07 0.04
Net realized and unrealized gain (loss)
on investments 0.32 0.29 (0.04)
------------- ------------ ------------
Total from investment operations 0.68 0.36 0.00
Less distributions:
Distributions from net investment income (0.37) (0.04) (0.01)
Distributions from net realized capital gains (0.62) (0.62) (0.61)
------------- ------------ ------------
Total from Distributions (0.99) (0.66) (0.62)
------------- ------------ ------------
Net Asset Value, end of period $ 10.52 $ 10.61 $ 10.62
============= ============ ============
Total Return (not annualized) 6.40% 3.35% 0.02%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 56,986 $ 3,161 $ 4,758
Number of shares outstanding,
end of period (000) 5,416 298 448
Ratios to average net assets:(1)
Ratio of expenses to average net assets 1.25% 1.70% 1.76%
Ratio of net investment income to
average net assets 3.27% 2.24% 2.27%
Portfolio turnover (2) 66% 66% 66%
- --------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses 1.31% 3.01% 2.66%
Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses 3.21% 0.93% 1.37%
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio. Annualized
for periods of less than one year.
(2) Represents the portfolio turnover of each Fund's Master Portfolio.
* Period from August 1, 1998 (commencement of operations) to February 28,
1999.
** Period from December 1, 1998 (commencement of operations) to February 28,
1999.
The accompanying notes are an integral part of these financial statements.
20
<PAGE>
<TABLE>
<CAPTION>
LifePath Opportunity Fund
- -------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
Feb. 28, 1998 Feb. 28, 1997 Feb. 29, 1996 Feb. 28, 1995
----------------- --------------- --------------- ---------------
Class Class Class Class
A A A A
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 10.71 $ 10.64 $ 9.92 $ 10.00
-------------- -------------- --------------- --------------
Income from investment operations:
Net investment income 0.43 0.42 0.40 0.34
Net realized and unrealized gain (loss)
on investments 0.81 0.28 0.86 (0.14)
-------------- -------------- --------------- --------------
Total from investment operations 1.24 0.70 1.26 0.20
Less distributions:
Distributions from net investment income (0.44) (0.42) (0.41) (0.27)
Distributions from net realized capital gains (0.68) (0.21) (0.13) (0.01)
-------------- -------------- --------------- --------------
Total from Distributions (1.12) (0.63) (0.54) (0.28)
-------------- -------------- --------------- --------------
Net Asset Value, end of period $ 10.83 $ 10.71 $ 10.64 $ 9.92
============== ============== =============== ==============
Total Return (not annualized) 11.99% 6.74% 12.98% 2.10%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 67,909 $ 84,949 $ 100,070 $ 54,617
Number of shares outstanding,
end of period (000) 6,272 7,934 9,406 5,503
Ratios to average net assets:(1)
Ratio of expenses to average net assets 1.20% 1.20% 1.20% 1.20%
Ratio of net investment income to
average net assets 3.83% 3.93% 4.00% 4.62%
Portfolio turnover (2) 39% 108% 84% 17%
- -------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses N/A N/A N/A N/A
Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses N/A N/A N/A N/A
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
21
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Financial Highlights
- -----------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period is as follows:
- -----------------------------------------------------------------------------------------------------------
Year Ended
Feb. 28, 1999
--------------------------------------------
Class Class Class
A B C*
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 13.16 $ 13.10 $ 13.98
------------ ------------ ------------
Income from investment operations:
Net investment income
Net realized and unrealized gain (loss) 0.32 0.22 0.04
on investments 0.94 0.97 0.09
------------- ------------- -------------
Total from investment operations 1.26 1.19 0.13
Less distributions:
Distributions from net investment income (0.33) (0.22) (0.00)+
Distributions from net realized capital gains (0.82) (0.82) (0.82)
------------- ------------- -------------
Total from Distributions (1.15) (1.04) (0.82)
------------- ------------- -------------
Net Asset Value, end of period $ 13.27 $ 13.25 $ 13.29
============= ============= =============
Total Return (not annualized) 9.91% 9.30% 1.11%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 89,543 $ 18,158 $ 675
Number of shares outstanding,
end of period (000) 6,750 1,371 51
Ratios to average net assets(1)
Ratio of expenses to average net assets 1.25% 1.76% 1.76%
Ratio of net investment income to
average net assets 2.42% 1.90% 2.04%
Portfolio turnover(2) 38% 38% 38%
- -----------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses 1.28% 1.84% 7.72%
Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses 2.39% 1.82% (3.92%)
- -----------------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio. Annualized
for periods of less than one year.
(2) Represents the portfolio turnover of each Fund's Master Portfolio.
* Period from December 1, 1998 (commencement of operations) to February 28,
1999.
+ Distribution was less than $.01 per share.
The accompanying notes are an integral part of these financial statements.
22
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights LifePath Funds
- -----------------------------------------------------------------------------------------------------------------------------------
LifePath 2010 Fund
- -----------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
Feb. 28, 1998 Feb. 28, 1997 Feb. 29, 1996 Feb. 28, 1995
--------------------------- -------------- -------------- --------------
Class Class Class Class Class
A B A A A
--------------------------- -------------- -------------- --------------
<S> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 12.20 $ 12.02 $ 11.42 $ 9.99 $ 10.00
---------- --------- ---------- ---------- ----------
Income from investment operations:
Net investment income
Net realized and unrealized gain (loss) 0.36 0.19 0.34 0.32 0.34
on investments 1.82 1.88 0.95 1.58 (0.02)
---------- --------- ---------- ---------- ----------
Total from investment operations 2.18 2.07 1.29 1.90 0.32
Less distributions:
Distributions from net investment income (0.38) (0.15) (0.34) (0.33) (0.28)
Distributions from net realized capital gains (0.84) (0.84) (0.17) (0.14) (0.05)
---------- --------- ---------- ---------- ----------
Total from Distributions (1.22) (0.99) (0.51) (0.47) (0.33)
---------- --------- ---------- ---------- ----------
Net Asset Value, end of period $ 13.16 $ 13.10 $ 12.20 $ 11.42 $ 9.99
========== ========= ========== ========== ==========
Total Return (not annualized) 18.45% 17.64% 11.60% 19.40% 3.31%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 89,659 $ 6,248 $ 82,971 $ 67,178 $ 36,764
Number of shares outstanding,
end of period (000) 6,815 477 6,801 5,883 3,679
Ratios to average net assets(1)
Ratio of expenses to average net assets 1.20% 1.70% 1.20% 1.20% 1.20%
Ratio of net investment income to
average net assets 2.85% 2.15% 3.16% 3.06% 4.40%
Portfolio turnover (2) 46% 46% 73% 39% 24%
- -----------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses N/A N/A N/A N/A N/A
Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses N/A N/A N/A N/A N/A
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
23
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Financial Highlights
- -----------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period is as follows:
- -----------------------------------------------------------------------------------------------------------
Year Ended
Feb. 28, 1999
--------------------------------------------------
Class Class Class
A B C*
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 14.70 $ 14.55 $ 15.82
-------------- -------------- -------------
Income from investment operations:
Net investment income 0.24 0.15 0.01
Net realized and unrealized gain (loss) on investments 1.47 1.48 0.22
-------------- -------------- -------------
Total from investment operations 1.71 1.63 0.23
Less distributions:
Distributions from net investment income (0.25) (0.15) (0.00)+
Distributions from net realized capital gains (1.25) (1.24) (1.23)
-------------- -------------- -------------
Total from Distributions (1.50) (1.39) (1.23)
-------------- -------------- -------------
Net Asset Value, end of period $ 14.91 $ 14.79 $ 14.82
============== ============== =============
Total Return (not annualized) 12.02% 11.56% 1.70%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 165,584 $ 28,467 $ 192
Number of shares outstanding, end of period (000) 11,104 1,925 13
Ratios to average net assets:(1)
Ratio of expenses to average net assets 1.25% 1.76% 1.71%
Ratio of net investment income to average net assets 1.61% 1.04% 0.76%
Portfolio turnover (2) 36% 36% 36%
- --------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses 1.26% 1.84% 52.02%
Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses 1.60% 0.96% (49.55%)
- --------------------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio. Annualized
for periods of less than one year.
(2) Represents the portfolio turnover of each Fund's Master Portfolio.
* Period from December 1, 1998 (commencement of operations) to February 28,
1999.
+ Distribution was less than $.01 per share.
The accompanying notes are an integral part of these financial statements.
24
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights LifePath Funds
- -----------------------------------------------------------------------------------------------------------------------------------
LifePath 2020 Fund
- -----------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
Feb. 28, 1998 Feb. 28, 1997 Feb. 29, 1996 Feb. 28, 1995
------------------------------ ------------- ------------- -------------
Class Class Class Class Class
A B A A A
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 12.98 $ 12.79 $ 11.98 $ 10.17 $ 10.00
--------- --------- --------- --------- ---------
Income from investment operations:
Net investment income 0.28 0.14 0.27 0.27 0.28
Net realized and unrealized gain (loss) on investments 2.73 2.74 1.43 2.03 0.12
--------- --------- --------- --------- ---------
Total from investment operations 3.01 2.88 1.70 2.30 0.40
Less distributions:
Distributions from net investment income (0.29) (0.12) (0.28) (0.28) (0.23)
Distributions from net realized capital gains (1.00) (1.00) (0.42) (0.21) 0 .00
--------- --------- --------- --------- ---------
Total from Distributions (1.29) (1.12) (0.70) (0.49) (0.23)
--------- --------- --------- --------- ---------
Net Asset Value, end of period $ 14.70 $ 14.55 $ 12.98 $ 11.98 $ 10.17
========= ========= ========= ========= =========
Total Return (not annualized) 23.97% 23.05% 14.65% 22.94% 4.12%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 166,198 $ 12,129 $ 146,226 $ 122,488 $ 66,036
Number of shares outstanding, end of period (000) 11,304 884 11,264 10,224 6,494
Ratios to average net assets:(1)
Ratio of expenses to average net assets 1.20% 1.70% 1.20% 1.20% 1.20%
Ratio of net investment income to average net assets 2.05% 1.33% 2.33% 2.45% 3.64%
Portfolio turnover (2) 41% 41% 61% 49% 28%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses N/A N/A N/A N/A N/A
Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
25
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Financial Highlights
- ---------------------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period is as follows:
- --------------------------------------------------------------------------------------------------------------------
Year Ended
Feb. 28, 1999
--------------------------------------------------------------
Class Class Class
A B C*
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 16.51 $ 16.28 $ 17.89
-------------- ------------- -------------
Income from investment operations:
Net investment income 0.18 0.09 0.00
Net realized and unrealized gain on investments 1.93 1.92 0.31
-------------- ------------- -------------
Total from investment operations 2.11 2.01 0.31
Less distributions:
Distributions from net investment income (0.19) (0.10) (0.00)+
Distributions from net realized capital gains (1.28) (1.26) (1.26)
-------------- ------------- -------------
Total from Distributions (1.47) (1.36) (1.26)
-------------- ------------- -------------
Net Asset Value, end of period $ 17.15 $ 16.93 $ 16.94
============== ============= =============
Total Return (not annualized) 13.25% 12.64% 1.98%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 134,008 $ 25,206 $ 91,999
Number of shares outstanding, end of period (000) 7,812 1,489 5,432
Ratios to average net assets:(1)
Ratio of expenses to average net assets 1.23% 1.75% 1.73%
Ratio of net investment income to average net assets 1.07% 0.52% 0.16%
Portfolio turnover (2) 19% 19% 19%
- ----------------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses 1.26% 1.84% 72.87%
Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses 1.04% 0.43% (70.98%)
- ----------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio. Annualized
for periods of less than one year.
(2) Represents the portfolio turnover of each Fund's Master Portfolio.
* Period from December 1, 1998 (commencement of operations) to February 28,
1999.
+ Distribution was less than $.01 per share.
The accompanying notes are an integral part of these financial statements.
26
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights LifePath Fund
- ------------------------------------------------------------------------------------------------------------------------------------
LifePath 2030 Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
Feb. 28, 1998 Feb. 28, 1997 Feb. 29, 1996 Feb. 28, 1995
------------------------------------------------------------------------------
Class Class Class Class Class
A B A A A
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 13.83 $ 13.63 $ 12.34 $ 10.17 $ 10.00
--------- --------- --------- --------- ---------
Income from investment operations:
Net investment income 0.23 0.10 0.22 0.21 0.26
Net realized and unrealized gain on investments 3.54 3.50 1.83 2.45 0.13
--------- --------- --------- --------- ---------
Total from investment operations 3.77 3.60 2.05 2.66 0.39
Less distributions:
Distributions from net investment income (0.23) (0.09) (0.23) (0.22) (0.22)
Distributions from net realized capital gains (0.86) (0.86) (0.33) (0.27) 0.00
--------- --------- --------- --------- ---------
Total from Distributions (1.09) (0.95) (0.56) (0.49) (0.22)
--------- --------- --------- --------- ---------
Net Asset Value, end of period
$ 16.51 $ 16.28 $ 13.83 $ 12.34 $ 10.17
========= ========= ========== ========= =========
Total Return (not annualized) 28.01% 26.93% 17.01% 26.53% 4.03%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 126,131 $ 12,469 $ 101,078 $ 83,012 $ 41,153
Number of shares outstanding, end of period (000) 7,642 766 7,307 6,728 4,045
Ratios to average net assets:(1)
Ratio of expenses to average net assets 1.20% 1.70% 1.20% 1.20% 1.20%
Ratio of net investment income to average net assets 1.50% 0.76% 1.81% 1.92% 3.35%
Portfolio turnover (2) 27% 27% 42% 39% 40%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses N/A N/A N/A N/A N/A
Ratio of net investment income to average net
assets prior to waived fees and reimbursed expenses N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
27
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Financial Highlights
- -----------------------------------------------------------------------------------------------------------------------------
For a share outstanding throughout each period is as follows:
- -----------------------------------------------------------------------------------------------------------------------------
Year Ended
Feb. 28, 1999
----------------------------------------------------------------
Class Class Class
A B C*
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Net Asset Value, beginning of period $ 17.07 $ 16.76 $ 18.01
--------------- -------------- ------------
Income from investment operations:
Net investment income 0.08 (0.01) (0.01)
Net realized and unrealized gain on investments 2.39 2.33 1.08
--------------- -------------- ------------
Total from investment operations 2.47 2.32 1.07
Less distributions:
Distributions from net investment income (0.08) (0.01) (0.00)+
Distributions from net realized capital gains (1.59) (1.55) (1.55)
--------------- -------------- ------------
Total from Distributions (1.67) (1.56) (1.55)
--------------- -------------- ------------
Net Asset Value, end of period $ 17.87 $ 17.52 $ 17.53
=============== ============== ============
Total Return (not annualized) 14.98% 14.37% 6.40%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 261,808 $ 63,395 $ 3,096
Number of shares outstanding, end of period (000) 14,649 3,618 177
Ratios to average net assets:(1)
Ratio of expenses to average net assets 1.25% 1.75% 1.71%
Ratio of net investment income to average net assets 0.42% (0.12%) (0.39%)
Portfolio turnover (2) 19% 19% 19%
- -------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses 1.26% 1.78% 4.71%
Ratio of net investment income to average
net assets prior to waived fees and
reimbursed expenses 0.41% (0.15%) (3.39%)
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) These ratios include expenses charged to the Master Portfolio. Annualized
for periods of less than one year.
(2) Represents the portfolio turnover of each Fund's Master Portfolio.
* Period from July 1, 1998 (commencement of operations) to February 28, 1999.
+ Distribution was less than $.01 per share.
The accompanying notes are an integral part of these financial statements.
28
<PAGE>
<TABLE>
<CAPTION>
Financial Highlights LifePath Fund
- ------------------------------------------------------------------------------------------------------------------------------------
LifePath 2040 Fund
- ------------------------------------------------------------------------------------------------------------------------------------
Year Ended Year Ended Year Ended Year Ended
Feb. 28, 1998 Feb. 28, 1997 Feb. 29, 1996 Feb. 28, 1995
----------------------------- --------------- --------------- --------------
Class Class Class Class Class
A B A A A
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net Asset Value, beginning of period $ 14.50 $ 14.29 $ 12.84 $ 10.37 $ 10.00
---------- ---------- ----------- ----------- ----------
Income from investment operations:
Net investment income 0.13 0.03 0.16 0.15 0.18
Net realized and unrealized gain on investments 4.17 4.06 2.35 2.82 0.34
---------- ---------- ----------- ----------- ----------
Total from investment operations 4.30 4.09 2.51 2.97 0.52
Less distributions:
Distributions from net investment income (0.14) (0.03) (0.16) (0.16) (0.15)
Distributions from net realized capital gains (1.59) (1.59) (0.69) (0.34) 0.00
---------- ---------- ----------- ----------- ----------
Total from Distributions (1.73) (1.62) (0.85) (0.50) (0.15)
---------- ---------- ----------- ----------- ----------
Net Asset Value, end of period 17.07 $ 16.76 $ 14.50 $ 12.84 $ 10.37
========== ========== =========== =========== ==========
Total Return (not annualized) 30.66% 29.47% 20.17% 28.91% 5.26%
Ratios/Supplemental Data:
Net assets, end of period (000) $ 248,195 $ 30,754 $ 189,560 $ 142,738 $ 56,737
Number of shares outstanding, end of period (000) 14,537 1,835 13,073 11,114 5,472
Ratios to average net assets:(1)
Ratio of expenses to average net assets 1.20% 1.70% 1.20% 1.20% 1.20%
Ratio of net investment income to average net assets 0.82% 0.08% 1.22% 1.29% 2.35%
Portfolio turnover (2) 34% 34% 48% 29% 5%
- ------------------------------------------------------------------------------------------------------------------------------------
Ratio of expenses to average net assets
prior to waived fees and reimbursed expenses N/A N/A N/A N/A N/A
Ratio of net investment income to average
net assets prior to waived fees and
reimbursed expenses N/A N/A N/A N/A N/A
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
29
<PAGE>
LifePath Funds Notes to the Financial Statements
- --------------------------------------------------------------------------------
Notes to the Financial Statements
1. Significant Accounting Policies
Organization
Stagecoach Trust (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "1940 Act"), as an open-end management investment
company. The Trust was organized as a Massachusetts business trust pursuant to
an Agreement and Declaration of Trust dated October 18, 1993. The Trust
currently issues the following separate funds, which commenced operations on
March 1, 1994: LifePath Opportunity, formerly known as LifePath 2000, LifePath
2010, LifePath 2020, LifePath 2030 and LifePath 2040 (each, a "Fund,"
collectively, the "Funds"). The following significant accounting policies are
consistently followed by the Trust in the preparation of its financial
statements, and such policies are in conformity with generally accepted
accounting principles for investment companies.
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
Each Fund is authorized to issue three classes of shares: Class A, Class B
and Class C. LifePath Opportunity Class B shares commenced operations on August
1, 1998. Each Fund's Class C shares, with the exception of LifePath 2040 Class C
shares, commenced operations on December 1, 1998. LifePath 2040 Class C shares
commenced operations on July 1, 1998. On March 1, 1997, the Retail Class' name
was changed to Class A and all Funds, except Lifepath Opportunity, commenced
offering Class B shares. As of January 6, 1999 Institutional Class shares are no
longer offered by the Funds. The three classes of shares differ principally in
their respective distribution fees. Shareholders of each class bear certain
expenses that pertain to that particular class. All shareholders bear the common
expenses of the Fund and earn income from the portfolio, pro rata based on the
average daily net assets of each class. Dividends are determined separately for
each class based on income and expenses allocable to each class. Gains are
allocated to each class pro rata based upon net assets of each class on the date
of distribution. Neither class has preferential dividend rights; differences in
per share dividend rates are generally due to differences in separate class
expenses, including distribution fees and from the weightings of pro rata income
and gain allocations.
30
<PAGE>
Notes to the Financial Statements LifePath Funds
- --------------------------------------------------------------------------------
Investment Policy and Security Valuation
Each Fund invests all of its assets in a separate series (each, a "Master
Portfolio") of Master Investment Portfolio ("MIP"). Each Master Portfolio has
the same investment objective as the Fund bearing the corresponding name, with
the exception of LifePath Opportunity Fund, whose corresponding Master Portfolio
is the LifePath 2000 Master Portfolio. The value of each Fund's investment in
its corresponding Master Portfolio reflects that Fund's interest in the net
assets of that Master Portfolio (54.83%, 44.50%, 52.88%, 57.54%, and 66.61%) for
the LifePath Opportunity, LifePath 2010, LifePath 2020, LifePath 2030 and
LifePath 2040 Funds, respectively, at February 28, 1999. The Master Portfolios
invest in a wide range of U.S. and foreign equity, debt securities and money
market instruments. Each Master Portfolio follows an asset allocation strategy
among three broad investing classes: equity and debt securities of issuers
located throughout the world and cash in the form of money market instruments.
The equity securities of the Master Portfolios are valued at the last reported
sale price on the primary securities exchange or national securities market on
which such securities are traded. Securities not listed on an exchange or
national securities market, or securities in which there was no last reported
sales price, are valued at the most recent bid prices. Debt securities are
generally traded in the over-the-counter market and are valued at a price deemed
best to reflect fair value as quoted by dealers who make markets in those
securities or by an independent pricing source. U.S. Government obligations are
valued at the last reported bid price. Debt securities and money market
instruments maturing in 60 days or less are valued at amortized cost, which
approximates market value. Any securities, restricted securities or other assets
for which market quotations are not readily available are valued at fair value
as determined in good faith in accordance with policies approved by the Master
Portfolios' Board of Trustees.
Security Transactions and Income Recognition
Security transactions are accounted for by each Master Portfolio on the date
the securities are purchased or sold (trade date). Revenue is recognized by each
Master Portfolio as follows: dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized as required by the Internal Revenue
Code of 1986, as amended (the "Code"). All net investment income and realized
and unrealized capital gains and losses of each Master Portfolio are allocated
as required by the Code.
The performance of each Fund is directly affected by the performance of its
corresponding Master Portfolio. The financial statements of each Master
Portfolio, including the Portfolio of Investments, are included elsewhere in
this report and should be read in conjunction with the corresponding Fund's
financial statements.
31
<PAGE>
LifePath Funds Notes to the Financial Statements
- --------------------------------------------------------------------------------
Dividends and Distributions to Shareholders
Each Fund declares and pays dividends to shareholders from net investment
income quarterly. Distributions to shareholders from any net realized capital
gains are declared and distributed annually, generally in December.
Due to the timing of dividend distributions and the differences in accounting
for income and realized gains (losses) for financial statement and federal
income tax purposes, the fiscal year in which amounts are distributed may differ
from the year in which the income and realized gains (losses) were recorded by
the Fund.
Federal Income Taxes
Each Fund is treated as a separate entity for federal income tax purposes. It
is the policy of each Fund to continue to qualify as a regulated investment
company by complying with the provisions applicable to investment companies, as
set forth in the Code, and to make distributions of investment company taxable
income and net capital gains (after reduction for capital loss carryforwards)
sufficient to relieve it from all, or substantially all, federal income and
excise taxes. Accordingly, no provision for federal taxes was required.
2. Agreements and Other Transactions with Affiliates
The Trust has entered into an agreement on behalf of the Funds with Wells
Fargo Bank ("WFB") to provide transfer and dividend disbursing agency services.
For providing the transfer and dividend disbursing agency services, the Trust
has agreed to pay a monthly fee at the annual rate of 0.14% for Class A, Class B
and Class C of each Fund's average daily net assets. Prior to August 1, 1998,
the Trust paid an annual rate of 0.10% of the average daily net assets for Class
A, Class B and Class C for transfer and dividend disbursing agency fees.
On behalf of the Funds, the Trust may enter into servicing agreements with
certain financial institutions, securities dealers and other industry
professionals (collectively, "Shareholder Servicing Agents") for the provision
of certain services to Fund shareholders. For the services provided pursuant to
a Shareholder Servicing Agreement, Class A, Class B and Class C may pay each
Shareholder Servicing Agent a fee of up to 0.25% of the average daily net asset
value of each Fund's shares beneficially owned by customers of the Shareholder
Servicing Agent. The Trust has entered into a Shareholder Servicing Agreement
with Barclays Global Investors, N.A. ("BGI"). Prior to August 1, 1998, the Trust
paid an annual rate of 0.20% of the average daily net assets for Class A, Class
B and Class C for shareholder servicing fees.
32
<PAGE>
Notes to the Financial Statements LifePath Funds
- --------------------------------------------------------------------------------
Stephens Inc. ("Stephens"), is the Funds' co-administrator and distributor.
The Trust has entered into an agreement with Stephens on behalf of its shares
for distribution services and has adopted a Plan of Distribution pursuant to
Rule 12b-1 under the 1940 Act, whereby Stephens may be compensated for services
rendered and reimbursed for expenses incurred on behalf of the Class A, Class B
and Class C shares. For providing these services, Stephens is entitled to
receive 0.25% of the average daily net assets of Class A shares on an annual
basis and 0.75% of the average daily net assets of Class B and Class C shares on
an annual basis.
Certain officers and directors of the Trust are also officers of Stephens.
At February 28, 1999, these officers of Stephens collectively owned less than 1%
of the Funds' outstanding shares.
Investors Bank & Trust Company ("IBT") serves as the Sub-Administrator to
each Fund. IBT is entitled to receive a separate fee from WFB for its services
as Sub-Administrator of the Funds.
Prior to August 1, 1998 the Trust had entered into administration services
arrangements with WFB and Stephens, as co- administrators, who had agreed
jointly to provide general administration services to the Funds, such as
managing and coordinating third-party service relationships. Under the
arrangement, WFB and Stephens were entitled to receive for these services a
combined fee (expressed as a percentage of average daily net assets) from each
Fund of 0.10%. This fee was an "all-in" or "semi-unified" fee and WFB and
Stephens, in consideration thereof, had agreed to bear all of the Funds'
ordinary operating expenses, excluding, generally, advisory fees and costs
related to securities transactions. WFB and Stephens may delegate certain of
their administration duties to sub-administrators. Under the agreement, the
Funds' ordinary operating expenses are now being charged to the Funds.
Effective August 1, 1998 under the new administration services agreement,
WFB and Stephens are entitled to receive for administration services 0.03% and
0.04% (expressed as a percentage of average daily net assets) respectively, from
each Fund.
33
<PAGE>
LifePath Funds Notes to the Financial Statements
- --------------------------------------------------------------------------------
3. Capital Share Transactions
As of February 28, 1999, the Trust has authorized an unlimited number of
shares of beneficial interest. Transactions in capital shares for each Fund were
as follows:
<TABLE>
<CAPTION>
LifePath Opportunity Fund
---------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares Issued And Redeemed:
Shares sold - Class A 867,014 1,069,311
Shares issued in reinvestments of dividends - Class A 499,441 642,199
Shares redeemed - Class A (2,221,613) (3,374,501)
Net increase (decrease) in shares outstanding - Class A (855,158) (1,662,991)
Shares sold - Class B* 294,447 N/A
Shares issued in reinvestments of dividends - Class B* 5,288 N/A
Shares redeemed - Class B* (1,758) N/A
Net increase (decrease) in shares outstanding - Class B* 297,977 N/A
Shares sold - Class C** 450,487 N/A
Shares issued in reinvestments of dividends - Class C** 4,435 N/A
Shares redeemed - Class C** (6,990) N/A
Net increase (decrease) in shares outstanding - Class C** 447,932 N/A
Shares sold - Institutional Class*** 0 0
Shares issued in reinvestments of dividends -
Institutional Class*** 79 86
Shares redeemed - Institutional Class*** (1,434) 0
Net increase (decrease) in shares outstanding -
Institutional Class*** (1,355) 86
</TABLE>
* Period from August 1, 1998 (commencement of operations) to February 28,
1999.
** Period from December 1, 1998 (commencement of operations) to February 28,
1999.
*** This class of shares ceased operations on January 6, 1999.
34
<PAGE>
<TABLE>
<CAPTION>
Notes to the Financial Statements LifePath Funds
- ---------------------------------------------------------------------------------------------------------------
LifePath 2010 Fund
---------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares Issued And Redeemed:
Shares sold - Class A 1,020,734 1,237,645
Shares issued in reinvestments of dividends - Class A 560,450 625,584
Shares redeemed - Class A (1,646,679) (1,849,051)
Net increase (decrease) in shares outstanding - Class A (65,495) 14,178
Shares sold - Class B 992,503 479,146
Shares issued in reinvestments of dividends - Class B 85,527 22,852
Shares redeemed - Class B (184,348) (25,082)
Net increase (decrease) in shares outstanding - Class B 893,682 476,916
Shares sold - Class C* 52,970 N/A
Shares issued in reinvestments of dividends - Class C* 149 N/A
Shares redeemed - Class C* (2,312) N/A
Net increase (decrease) in shares outstanding - Class C* 50,807 N/A
Shares sold - Institutional Class** 0 0
Shares issued in reinvestments of dividends -
Institutional Class** 150 283
Shares redeemed - Institutional Class** (2,676) (2,200)
Net increase (decrease) in shares outstanding -
Institutional Class** (2,526) (1,917)
</TABLE>
* Period from December 1, 1998 (commencement of operations) to February 28,
1999.
** This class of shares ceased operations on January 6, 1999.
35
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Notes to the Financial Statements
- ---------------------------------------------------------------------------------------------------------------
LifePath 2020 Fund
-----------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares Issued And Redeemed:
Shares sold - Class A 1,264,123 2,024,326
Shares issued in reinvestments of dividends - Class A 1,080,114 1,004,243
Shares redeemed - Class A (2,544,176) (2,988,127)
Net increase (decrease) in shares outstanding - Class A (199,939) 40,442
Shares sold - Class B 1,115,798 826,855
Shares issued in reinvestments of dividends - Class B 145,849 42,494
Shares redeemed - Class B (170,526) (35,689)
Net increase (decrease) in shares outstanding - Class B 1,091,121 833,660
Shares sold - Class C* 12,981 N/A
Shares issued in reinvestments of dividends - Class C* 0 N/A
Shares redeemed - Class C* 0 N/A
Net increase (decrease) in shares outstanding - Class C* 12,981 N/A
Shares sold - Institutional Class** 0 0
Shares issued in reinvestments of dividends -
Institutional Class** 203 572
Shares redeemed - Institutional Class** (6,383) (7)
Net increase (decrease) in shares outstanding -
Institutional Class** (6,180) 565
</TABLE>
* Period from December 1, 1998 (commencement of operations) to February 28,
1999.
** This class of shares ceased operations on January 6, 1999.
36
<PAGE>
<TABLE>
<CAPTION>
Notes to the Financial Statements LifePath Funds
- -------------------------------------------------------------------------------------------------------------
LifePath 2030 Fund
--------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares Issued And Redeemed:
Shares sold - Class A 1,172,524 1,342,637
Shares issued in reinvestments of dividends - Class A 651,658 518,299
Shares redeemed - Class A (1,654,268) (1,526,062)
Net increase (decrease) in shares outstanding - Class A 169,914 334,874
Shares sold - Class B 751,326 757,631
Shares issued in reinvestments of dividends - Class B 102,843 30,895
Shares redeemed - Class B (131,556) (22,437)
Net increase (decrease) in shares outstanding - Class B 722,613 766,089
Shares sold - Class C* 5,432 N/A
Shares issued in reinvestments of dividends - Class C* 0 N/A
Shares redeemed - Class C* 0 N/A
Net increase (decrease) in shares outstanding - Class C* 5,432 N/A
Shares sold - Institutional Class** 0 N/A
Shares issued in reinvestments of dividends -
Institutional Class** 131 236
Shares redeemed - Institutional Class** (3,060) (297)
Net increase (decrease) in shares outstanding -
Institutional Class** (2,929) (61)
</TABLE>
* Period from December 1, 1998 (commencement of operations) to February 28,
1999.
** This class of shares ceased operations on January 6, 1999.
37
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Notes to the Financial Statements
- -----------------------------------------------------------------------------------------------------------------------
LifePath 2040 Fund
-------------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Shares Issued And Redeemed:
Shares sold - Class A 2,357,636 3,374,578
Shares issued in reinvestments of dividends - Class A1,345,789 1,443,325
Shares redeemed - Class A (3,591,842) (3,354,023)
Net increase (decrease) in shares outstanding - Class A 111,583 1,463,880
Shares sold - Class B 1,928,530 1,791,429
Shares issued in reinvestments of dividends - Class B 289,911 122,045
Shares redeemed - Class B (435,742) (78,517)
Net increase (decrease) in shares outstanding - Class B 1,782,699 1,834,957
Shares sold - Class C* 173,900 N/A
Shares issued in reinvestments of dividends - Class C* 3,257 N/A
Shares redeemed - Class C* (496) N/A
Net increase (decrease) in shares outstanding - Class C* 176,661 N/A
Shares sold - Institutional Class** 0 0
Shares issued in reinvestments of dividends -
Institutional Class** 133 171
Shares redeemed - Institutional Class** (1,768) 0
Net increase (decrease) in shares outstanding -
Institutional Class** (1,635) 171
</TABLE>
4. Portfolio Securities Loaned
As of February 28, 1999, certain Master Portfolios had loaned securities which
were collateralized by cash, money market mutual funds, and repurchase
agreements. Each Master Portfolio receives transaction fees for providing
services in connection with the securities lending program. The risks to the
Portfolios of securities lending are that the borrower may not provide
additional collateral when required or return the securities when due. The value
of the securities on loan and the value of the related collateral are disclosed
in the corresponding Master Portfolio's financial statements.
* Period from July 1, 1998 (commencement of operations) to February 28,
1999.
** This class of shares ceased operations on January 6, 1999.
38
<PAGE>
Independent Auditor's Report LifePath Funds
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees of
Stagecoach Trust:
We have audited the accompanying statements of assets and liabilities of
Stagecoach Trust (comprising respectively, LifePath Opportunity Fund (formerly
LifePath 2000 Fund), LifePath 2010 Fund, LifePath 2020 Fund, LifePath 2030 Fund,
and LifePath 2040 Fund) as of February 28, 1999, and the related statements of
operations for the year then ended, the statements of changes in net assets for
each of the years in the two-year period then ended and the financial highlights
for each of the years in the five-year period then ended. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned funds of Stagecoach Trust as of February 28, 1999, the
results of their operations for the year then ended, the changes in their net
assets for each of the years in the two-year period then ended and their
financial highlights for each of the years in the five-year period then ended,
in conformity with generally accepted accounting principles.
/s/ KPMG LLP
San Francisco, California
April 2, 1999
39
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds LifePath Master Portfolios - February 28, 1999
- ---------------------------------------------------------------------------------------------------------------------------
LifePath 2000 LifePath 2010
-------------------------------- -------------------------------
Shares Value Shares Value
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS
Percent of Net Assets 20.64% 45.03%
LARGE CAP GROWTH STOCKS
Percent of Net Assets 5.36% 14.85%
Abbott Laboratories 1,503 $ 69,796 9,954 $ 462,239
Airtouch Communications * 645 58,735 3,823 348,132
ALZA Corp * 87 4,562 564 29,575
America Online Inc 4,800 426,938 10,520 935,670
American Express Corp 441 47,849 2,964 321,594
American Home Products Corp 1,305 77,648 8,653 514,854
American International Group Inc 1,232 140,371 8,150 928,591
Ameritech Corp 1,199 78,385 7,222 472,138
Amgen Inc 237 29,595 1,579 197,178
Anheuser-Busch Inc 522 40,031 3,100 237,731
Ascend Communications Inc * 235 18,080 1,412 108,636
Automatic Data Processing 558 22,181 4,016 159,636
Avery Dennison Corp 70 3,758 816 43,809
Avon Products Inc 180 7,493 1,759 73,218
Baxter International Inc 305 21,464 1,972 138,780
Becton Dickinson & Co 178 5,963 1,674 56,079
Bestfoods 321 15,067 1,939 91,012
BMC Software Inc * 1,049 42,878 1,365 55,794
Boston Scientific Corp * 412 10,918 2,561 67,867
Bristol-Myers Squibb Co 939 118,255 6,569 827,283
Campbell Soup Co 480 19,290 2,934 117,910
Cardinal Health Inc 721 52,047 2,282 164,732
Ceridian Corp 96 6,876 502 35,956
Charles Schwab & Co Inc 247 18,417 2,745 204,674
Cisco Systems Inc * 1,491 145,838 10,426 1,019,793
Clorox Co 233 27,567 805 95,242
Coca-Cola Co 2,417 154,537 16,234 1,037,961
Coca-Cola Co Class A 1,036 32,116 2,655 82,305
Colgate-Palmolive Co 384 32,592 2,008 170,429
Comcast Corp Class A 290 20,572 2,484 176,209
Computer Associates International Inc 524 22,008 3,517 147,714
Compuware Corp 900 50,344 1,690 94,534
Corning Inc 185 9,898 1,438 76,933
CVS Corp 314 16,642 2,651 140,503
Danaher Corp 500 24,125 677 32,665
Dayton-Hudson Corp 373 23,336 2,898 181,306
Dell Computer Corp * 1,266 101,438 8,312 665,999
Dollar General Corp 473 14,160 1,121 33,560
Dover Corp 185 6,290 1,553 52,802
Dun & Bradstreet Corp 75 2,569 1,060 36,305
Ecolab Inc 84 3,350 746 29,747
EMC Corp 423 43,305 3,280 335,790
Equifax Inc 161 6,078 900 33,975
Federal Home Loan Mortgage Corp 703 41,389 4,344 255,753
</TABLE>
40
<PAGE>
<TABLE>
<CAPTION>
LifePath Master Portfolios - February 28, 1999 LifePath Funds
- ------------------------------------------------------------------------------------------------------------------------------------
LifePath 2020 LifePath 2030 LifePath 2040
--------------------------- --------------------------- ---------------------------
Shares Value Shares Value Shares Value
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS
Percent of Net Assets 66.80% 81.88% 97.60%
LARGE CAP GROWTH STOCKS
Percent of Net Assets 23.59% 28.14% 36.32%
Abbott Laboratories 24,316 $1,129,174 21,869 $1,015,542 50,437 $2,342,168
Airtouch Communications * 9,236 841,053 8,187 745,529 19,000 1,730,188
ALZA Corp * 1,418 74,356 1,251 65,599 2,961 155,267
America Online Inc 17,426 1,550,201 16,676 1,483,503 37,150 3,304,034
American Express Corp 7,247 786,300 6,608 716,968 15,056 1,633,576
American Home Products Corp 21,068 1,253,546 19,080 1,135,260 43,831 2,607,945
American International Group Inc 19,766 2,252,089 17,850 2,033,784 40,730 4,640,674
Ameritech Corp 17,563 1,148,181 15,871 1,037,567 36,619 2,393,967
Amgen Inc 4,045 505,119 3,606 450,299 8,458 1,056,193
Anheuser-Busch Inc 7,688 589,574 6,941 532,288 15,972 1,224,853
Ascend Communications Inc * 3,734 287,285 3,048 234,506 7,282 560,259
Automatic Data Processing 9,618 382,316 8,703 345,944 20,106 799,214
Avery Dennison Corp 1,832 98,356 1,674 89,873 4,008 215,180
Avon Products Inc 4,311 179,445 3,780 157,343 8,769 365,010
Baxter International Inc 4,650 327,244 4,066 286,145 9,543 671,589
Becton Dickinson & Co 4,072 136,412 3,490 116,915 8,335 279,223
Bestfoods 4,705 220,841 4,106 192,725 9,519 446,798
BMC Software Inc * 3,299 134,847 2,939 120,132 6,890 281,629
Boston Scientific Corp * 6,347 168,196 5,689 150,759 13,148 348,422
Bristol-Myers Squibb Co 15,867 1,998,250 14,280 1,798,388 32,966 4,151,656
Campbell Soup Co 7,177 288,426 6,541 262,866 14,929 599,959
Cardinal Health Inc 4,773 344,551 4,284 309,251 10,977 792,402
Ceridian Corp 1,216 87,096 1,084 77,642 2,478 177,487
Charles Schwab & Co Inc 6,480 483,165 5,727 427,020 13,368 996,752
Cisco Systems Inc * 25,324 2,477,004 22,615 2,212,030 52,366 5,122,049
Clorox Co 1,942 229,763 1,736 205,391 3,866 457,396
Coca-Cola Co 39,432 2,521,184 35,482 2,268,630 81,805 5,230,407
Coca-Cola Co Class A 6,219 192,789 5,699 176,669 13,050 404,550
Colgate-Palmolive Co 4,769 404,769 4,191 355,711 9,708 823,967
Comcast Corp Class A 5,870 416,403 5,297 375,756 12,340 875,369
Computer Associates International Inc 8,716 366,072 7,778 326,676 17,940 753,480
Compuware Corp 2,865 160,261 2,758 154,276 6,276 351,064
Corning Inc 3,658 195,703 3,313 177,246 7,756 414,946
CVS Corp 6,283 332,999 5,558 294,574 13,020 690,060
Danaher Corp 1,263 60,940 1,265 61,036 4,381 211,383
Dayton-Hudson Corp 7,111 444,882 6,391 399,837 14,755 923,110
Dell Computer Corp * 20,358 1,631,185 18,339 1,469,412 42,331 3,391,771
Dollar General Corp 2,952 88,376 2,605 77,987 6,352 190,163
Dover Corp 3,672 124,848 3,148 107,032 7,544 256,496
Dun & Bradstreet Corp 2,656 90,968 2,363 80,933 5,641 193,204
Ecolab Inc 2,088 83,259 1,883 75,085 4,538 180,953
EMC Corp 8,048 823,914 7,269 744,164 16,751 1,714,884
Equifax Inc 2,399 90,562 2,106 79,502 4,966 187,467
Federal Home Loan Mortgage Corp 10,817 636,851 9,733 573,030 22,576 1,329,162
</TABLE>
41
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds LifePath Master Portfolios - February 28, 1999
- --------------------------------------------------------------------------------------------------------------------------
LifePath 2000 LifePath 2010
-------------------------------- ---------------------------------
Shares Value Shares Value
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
Firstar Corp 1,208 $ 101,170 2,376 $ 198,990
Fort James Corp 151 4,511 1,451 43,349
Freeport-McMoRan Copper & Gold Inc
Class B 116 1,095 997 9,409
Gap Inc 612 39,589 3,832 247,883
Gateway 2000 Inc * 145 10,540 935 67,963
General Electric Co 3,903 391,520 21,622 2,168,957
General Instrument Corp * -- -- 935 27,349
General Mills Inc 155 12,507 967 78,025
Gillette Co 1,137 60,972 7,352 394,251
Guidant Corp 257 14,649 2,088 119,016
HCR Manor Care Inc * 101 2,260 851 19,041
Heinz (H J) Co 315 17,148 2,488 135,441
Hershey Foods Corp 159 9,898 890 55,403
Home Depot Inc 1,486 88,696 9,912 591,623
IMS Health Inc 200 7,100 2,114 75,047
Intel Corp 1,666 199,816 10,976 1,316,434
International Business Machines Corp 940 159,800 6,207 1,055,190
Interpublic Group Cos Inc 83 6,209 874 65,386
Johnson & Johnson 1,303 111,244 8,915 761,118
Jostens Inc 77 1,805 265 6,211
Kellogg Co 446 16,502 2,624 97,088
Kimberly-Clark Corp 546 25,799 3,614 170,762
Kohls Corp * 547 37,743 975 67,275
Kroger Co * 201 13,002 1,691 109,387
Lilly (Eli) & Co 1,104 104,535 7,291 690,367
Lucent Technologies Inc 1,313 133,352 8,643 877,805
MBNA Corp 606 14,696 5,040 122,220
MCI WorldCom Inc * 2,154 177,705 13,480 1,112,100
McKesson HBOC Inc 655 44,540 2,012 136,816
Medtronic Inc 861 60,808 3,899 275,367
Merck & Co Inc 2,266 185,246 15,542 1,270,559
Microsoft Corp * 2,413 362,252 16,472 2,472,859
Millipore Corp 42 1,171 351 9,784
Newell Co 194 8,245 1,055 44,838
Northern Telecom Ltd 833 48,366 4,347 252,398
Omnicom Group 211 13,979 1,065 70,556
Oracle Systems Corp 961 53,696 6,398 357,488
Oryx Energy Co * 149 1,546 787 8,165
Owens Corning Fiberglass Corp 18 573 391 12,439
Parametric Technology Corp * 120 1,845 1,786 27,460
Paychex Inc 632 26,781 1,015 43,011
Peoplesoft * 775 14,628 1,595 30,106
Pepsico Inc 1,487 55,948 9,712 365,414
Perkin-Elmer Corp 19 1,800 386 36,574
Pfizer Inc 1,335 176,137 8,444 1,114,080
Philip Morris Co Inc 2,871 112,328 16,097 629,795
</TABLE>
42
<PAGE>
<TABLE>
<CAPTION>
LifePath Master Portfolios - February 28, 1999 LifePath Funds
- ------------------------------------------------------------------------------------------------------------------------------------
LifePath 2020 LifePath 2030 LifePath 2040
-------------------------- -------------------------- --------------------------
Shares Value Shares Value Shares Value
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Firstar Corp 3,899 $ 326,541 3,727 $ 312,136 8,518 $ 713,383
Fort James Corp 3,594 107,371 3,149 94,076 7,203 215,190
Freeport-McMoRan Copper & Gold Inc
Class B 2,948 27,822 2,567 24,226 5,971 56,351
Gap Inc 9,284 600,559 8,364 541,047 19,240 1,244,588
Gateway 2000 Inc * 2,515 182,809 2,325 168,998 2,915 211,884
General Electric Co 52,414 5,257,779 47,108 4,725,521 108,512 10,885,110
General Instrument Corp * 2,435 71,224 2,130 62,303 200 5,850
General Mills Inc 2,440 196,878 2,222 179,288 5,227 421,754
Gillette Co 17,758 952,273 15,873 851,190 36,847 1,975,920
Guidant Corp 4,874 277,818 4,284 244,188 10,051 572,907
HCR Manor Care Inc * 1,934 43,273 1,817 40,655 4,512 100,956
Heinz (H J) Co 5,760 313,560 5,162 281,006 12,091 658,204
Hershey Foods Corp 2,268 141,183 2,139 133,153 4,883 303,967
Home Depot Inc 23,977 1,431,127 21,397 1,277,133 49,601 2,960,560
IMS Health Inc 5,155 183,003 4,670 165,785 10,665 378,608
Intel Corp 26,586 3,188,658 23,975 2,875,502 55,257 6,627,386
International Business Machines Corp 14,910 2,534,700 13,488 2,292,960 30,953 5,262,010
Interpublic Group Cos Inc 2,135 159,725 1,978 147,979 4,640 347,130
Johnson & Johnson 21,566 1,841,197 19,349 1,651,921 44,600 3,807,725
Jostens Inc 690 16,172 572 13,406 1,368 32,063
Kellogg Co 6,546 242,202 5,870 217,190 13,618 503,866
Kimberly-Clark Corp 8,768 414,288 7,852 371,007 18,126 856,454
Kohls Corp * 2,523 174,087 2,346 161,874 5,331 367,839
Kroger Co * 4,160 269,100 3,604 233,134 8,544 552,690
Lilly (Eli) & Co 17,648 1,671,045 15,792 1,495,305 36,520 3,457,988
Lucent Technologies Inc 21,043 2,137,180 18,927 1,922,273 43,644 4,432,594
MBNA Corp 12,243 296,881 10,922 264,859 25,297 613,440
MCI WorldCom Inc * 32,508 2,681,910 29,744 2,453,880 65,936 5,439,720
McKesson HBOC Inc 4,157 282,676 3,653 248,404 8,479 576,572
Medtronic Inc 8,889 627,786 8,117 573,263 18,554 1,310,376
Merck & Co Inc 38,090 3,113,858 34,250 2,799,938 78,972 6,455,961
Microsoft Corp * 39,935 5,995,242 35,918 5,392,190 82,716 12,417,740
Millipore Corp 788 21,966 686 19,122 1,718 47,889
Newell Co 2,614 111,095 2,306 98,005 5,455 231,838
Northern Telecom Ltd 10,362 601,644 9,386 544,998 21,708 1,260,421
Omnicom Group 2,665 176,556 2,345 155,356 5,656 374,710
Oracle Systems Corp 15,632 873,438 13,966 780,350 32,267 1,802,919
Oryx Energy Co * 1,904 19,754 1,823 18,914 3,978 41,272
Owens Corning Fiberglass Corp 912 29,013 751 23,891 2,005 63,784
Parametric Technology Corp * 4,523 69,541 3,969 61,023 9,353 143,802
Paychex Inc 2,626 111,277 2,280 96,615 5,498 232,978
Peoplesoft * 3,830 72,291 3,345 63,137 7,770 146,659
Pepsico Inc 23,509 884,526 21,085 793,323 48,714 1,832,864
Perkin-Elmer Corp 794 75,232 748 70,873 1,687 159,843
Pfizer Inc 20,705 2,731,766 18,653 2,461,030 43,110 5,687,826
Philip Morris Co Inc 38,944 1,523,684 35,108 1,373,601 80,747 3,159,226
</TABLE>
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- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
Pitney Bowes Inc 266 $ 16,808 1,821 $ 115,064
Procter & Gamble Co 1,288 115,276 8,704 779,008
Providian Financial Corp 177 18,076 867 88,542
Quaker Oats Co 102 5,572 813 44,410
Ralston-Ralston Purina Group 295 7,947 2,148 57,862
Safeway Inc * 1,598 92,285 4,393 253,696
Sara Lee Corp 851 23,137 6,096 165,735
SBC Communications Inc 1,826 96,550 12,922 683,251
Schering-Plough Corp 1,481 82,843 9,718 543,601
Sealed Air Corp * 177 8,983 605 30,704
SLM Holding Corp 135 5,788 1,025 43,947
Solectron Corp * 1,200 53,625 2,228 99,564
Southwest Airlines Inc 349 10,514 2,258 68,022
Staples Inc * 1,741 51,196 2,787 81,955
Sun Microsystems Inc 472 45,932 2,985 290,478
Synovus Financial 197 4,691 1,800 42,863
Sysco Corp 250 7,063 2,229 62,969
Tele-Communications Inc * 536 33,668 3,531 221,791
Tellabs Inc * 187 14,972 1,201 96,155
Times Mirror Co 117 6,530 524 29,246
TJX Cos Inc 176 5,027 2,196 62,723
Tricon Global Restaurants Inc * 171 10,602 910 56,420
Tyco International Ltd 764 56,870 4,300 320,081
UST Inc 172 5,085 1,148 33,938
U.S. Bancorp 681 22,005 4,698 151,804
Walgreen Co 910 29,120 6,528 208,896
Wal-Mart Stores Inc 2,248 194,171 14,833 1,281,200
Warner Lambert Co 757 52,280 5,436 375,424
Waste Management Inc 1,012 49,462 3,834 187,387
Wells Fargo & Co 2,337 85,885 12,988 477,309
Wrigley (Wm) Jr Co 134 12,462 829 77,097
---------- -----------
TOTAL LARGE CAP GROWTH STOCKS
- VALUE $6,272,928 $36,164,554
- COST $3,245,301 $18,110,784
LARGE CAP VALUE STOCKS
Percent of Net Assets 4.53% 14.39%
3Com Corp * 390 $ 12,261 2,775 $ 87,239
Adobe Systems Inc 112 4,508 538 21,655
Advanced Micro Devices * 130 2,324 1,076 19,234
Aeroquip-Vickers Inc 52 2,945 229 12,967
AES Corp * -- -- 1,375 51,133
Aetna Inc 154 11,406 1,135 84,061
Air Products & Chemicals Inc 180 5,783 1,751 56,251
Alberto Culver Co Class B 92 2,208 455 10,920
Albertson's Inc 225 12,825 1,825 104,025
Alcan Aluminum Ltd 278 6,747 1,890 45,951
</TABLE>
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Shares Value Shares Value Shares Value
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Pitney Bowes Inc 4,423 $ 279,478 3,909 $ 247,000 9,119 $ 576,207
Procter & Gamble Co 21,193 1,896,774 19,122 1,711,419 44,076 3,944,802
Providian Financial Corp 2,218 226,513 2,019 206,190 4,830 493,214
Quaker Oats Co 2,120 115,805 2,010 109,796 4,684 255,864
Ralston-Ralston Purina Group 5,111 137,678 4,420 119,064 10,539 283,894
Safeway Inc * 7,460 430,815 7,203 415,973 13,689 790,540
Sara Lee Corp 14,659 398,542 13,076 355,504 30,434 827,424
SBC Communications Inc 31,377 1,659,059 27,867 1,473,468 64,875 3,430,266
Schering-Plough Corp 23,556 1,317,664 21,163 1,183,805 48,806 2,730,086
Sealed Air Corp * 1,432 72,674 1,249 63,387 2,918 148,089
SLM Holding Corp 2,670 114,476 2,320 99,470 5,530 237,099
Solectron Corp * 3,966 177,231 3,770 168,472 8,516 380,559
Southwest Airlines Inc 5,431 163,609 4,887 147,221 11,325 341,166
Staples Inc * 6,686 196,611 6,090 179,084 14,727 433,067
Sun Microsystems Inc 6,899 671,359 6,347 617,642 13,317 1,295,911
Synovus Financial 4,456 106,109 3,762 89,583 9,053 215,575
Sysco Corp 5,395 152,409 4,843 136,815 11,244 317,643
Tele-Communications Inc * 8,554 537,298 7,719 484,850 17,702 1,111,907
Tellabs Inc * 3,032 242,750 2,781 222,654 6,478 518,645
Times Mirror Co 1,284 71,663 1,149 64,129 2,781 155,215
TJX Cos Inc 5,283 150,896 4,564 130,359 10,927 312,102
Tricon Global Restaurants Inc * 2,385 147,870 2,212 137,144 5,172 320,664
Tyco International Ltd 10,233 761,719 9,307 692,790 21,371 1,590,804
UST Inc 2,973 87,889 2,665 78,784 6,301 186,273
U.S. Bancorp 11,649 376,408 10,470 338,312 24,228 782,867
Walgreen Co 16,034 513,088 14,362 459,584 33,240 1,063,680
Wal-Mart Stores Inc 36,030 3,112,091 32,430 2,801,141 74,674 6,449,967
Warner Lambert Co 13,255 915,423 11,850 818,391 27,333 1,887,685
Waste Management Inc 9,300 454,538 8,278 404,587 19,054 931,264
Wells Fargo & Co 29,375 1,079,531 26,958 990,707 56,111 2,062,079
Wrigley (Wm) Jr Co 1,884 175,212 1,679 156,147 3,924 364,932
----------- ----------- ------------
TOTAL LARGE CAP GROWTH STOCKS
- VALUE $86,443,647 $77,880,325 $178,868,633
- COST $42,071,744 $38,000,541 $ 97,954,835
LARGE CAP VALUE STOCKS
Percent of Net Assets 22.37% 27.20% 31.59%
3Com Corp * 6,517 $ 204,878 5,988 $ 188,248 12,261 $ 385,455
Adobe Systems Inc 1,203 48,421 1,142 45,966 2,274 91,529
Advanced Micro Devices * 2,582 46,153 2,357 42,131 4,589 82,028
Aeroquip-Vickers Inc 552 31,257 433 24,519 1,026 58,097
AES Corp * 3,191 118,665 2,980 110,819 6,045 224,798
Aetna Inc 2,568 190,193 2,401 177,824 4,909 363,573
Air Products & Chemicals Inc 4,150 133,319 3,782 121,497 7,831 251,571
Alberto Culver Co Class B 995 23,880 972 23,328 1,829 43,896
Albertson's Inc 4,400 250,800 4,063 231,591 8,399 478,743
Alcan Aluminum Ltd 4,330 105,273 3,944 95,889 7,602 184,824
</TABLE>
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<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
Alcoa Inc 488 $ 19,764 2,890 $ 117,045
Allegheny Teledyne Inc 183 3,774 1,508 31,103
Allergan Inc 55 4,483 479 39,039
Allied Signal Inc 592 24,494 4,325 178,947
Allstate Corp 924 34,650 6,312 236,700
Alltel Corp 249 14,909 2,072 124,061
Amerada Hess Corp 122 5,536 705 31,989
Ameren Corp 188 7,015 1,042 38,880
American Electric Power Inc 136 5,661 1,415 58,899
American General Corp 226 16,555 1,968 144,156
American Greetings Corp Class A 123 2,914 580 13,739
American Stores Co 271 9,146 2,122 71,618
AMP Inc 209 11,116 1,670 88,823
AMR Corp * 244 13,527 1,367 75,783
Anadarko Petroleum Corp 162 4,455 905 24,888
Andrew Corp * 90 1,361 717 10,845
Aon Corp 237 13,968 1,295 76,324
Apache Corp 96 1,914 818 16,309
Apple Computer Inc * 125 4,352 1,035 36,031
Applied Materials Inc * 415 23,084 2,836 157,753
Archer-Daniels-Midland Co 705 10,663 4,589 69,409
Armstrong World Industries Inc 92 4,525 284 13,969
ASARCO Inc 25 353 307 4,336
Ashland Inc 99 4,406 581 25,855
Associates First Capital Corp 782 31,769 5,256 213,525
AT & T Corp 2,246 184,453 15,047 1,235,735
Atlantic Richfield Corp 333 18,190 2,485 135,743
Autodesk Inc 76 3,050 296 11,877
AutoZone Inc * 226 7,910 1,101 38,535
Baker Hughes Inc 299 5,382 2,430 43,740
Ball Corp 44 1,843 281 11,767
Baltimore Gas and Electric Co 167 4,279 1,069 27,393
Bank Of New York Inc 788 27,531 5,789 202,253
Bank One Corp 1,285 69,074 8,973 482,299
BankAmerica Corp 1,883 122,983 13,386 874,273
BankBoston Corp 322 13,021 2,229 90,135
Bankers Trust Corp 84 7,308 729 63,423
Bard (C R) Inc 43 2,424 435 24,523
Barrick Gold Corp 423 7,482 2,838 50,197
Battle Mountain Gold Co 247 834 1,807 6,099
Bausch & Lomb Inc 46 2,774 461 27,804
BB&T Corp 310 11,741 2,189 82,908
Bear Stearns Co Inc 189 8,092 950 40,672
Bell Atlantic Corp 1,954 112,233 10,335 593,617
Bellsouth Corp 2,100 97,125 15,179 702,029
Bemis Co 42 1,431 428 14,579
Berkshire Hathaway Inc Class B * 9 21,411 3 7,137
</TABLE>
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Shares Value Shares Value Shares Value
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Alcoa Inc 6,702 $ 271,431 6,516 $ 263,898 13,384 $ 542,052
Allegheny Teledyne Inc 3,583 73,899 3,323 68,537 6,658 137,321
Allergan Inc 1,169 95,274 1,093 89,080 2,178 177,507
Allied Signal Inc 10,116 418,550 9,422 389,835 19,237 795,931
Allstate Corp 14,921 559,538 13,771 516,413 28,389 1,064,588
Alltel Corp 4,912 294,092 4,555 272,731 9,384 561,867
Amerada Hess Corp 1,694 76,865 1,531 69,469 3,073 139,437
Ameren Corp 2,446 91,266 2,295 85,632 4,650 173,503
American Electric Power Inc 3,396 141,359 3,175 132,159 6,475 269,522
American General Corp 4,532 331,969 4,216 308,822 8,668 634,931
American Greetings Corp Class A 1,311 31,054 1,177 27,880 2,455 58,153
American Stores Co 4,999 168,716 4,560 153,900 9,375 316,406
AMP Inc 3,949 210,037 3,595 191,209 7,348 390,822
AMR Corp * 3,269 181,225 3,072 170,304 6,249 346,429
Anadarko Petroleum Corp 2,132 58,630 1,963 53,983 3,942 108,405
Andrew Corp * 1,624 24,563 1,410 21,326 2,963 44,815
Aon Corp 3,019 177,932 2,839 167,324 5,814 342,663
Apache Corp 1,806 36,007 1,638 32,658 3,179 63,381
Apple Computer Inc * 2,452 85,360 2,308 80,347 4,489 156,273
Applied Materials Inc * 6,637 369,183 6,129 340,926 12,565 698,928
Archer-Daniels-Midland Co 10,827 163,758 10,062 152,188 20,567 311,076
Armstrong World Industries Inc 723 35,563 684 33,644 1,348 66,305
ASARCO Inc 800 11,300 636 8,984 1,410 19,916
Ashland Inc 1,385 61,633 1,285 57,183 2,584 114,988
Associates First Capital Corp 12,417 504,441 11,564 469,788 23,711 963,259
AT & T Corp 34,292 2,816,231 30,994 2,545,382 61,840 5,078,610
Atlantic Richfield Corp 5,837 318,846 5,367 293,172 11,015 601,694
Autodesk Inc 761 30,535 659 26,442 1,667 66,888
AutoZone Inc * 2,721 95,235 2,613 91,455 5,173 181,055
Baker Hughes Inc 5,788 104,184 5,346 96,228 15,401 277,218
Ball Corp 532 22,278 528 22,110 939 39,321
Baltimore Gas and Electric Co 2,673 68,496 2,479 63,524 4,947 126,767
Bank Of New York Inc 13,500 471,656 12,471 435,706 25,651 896,182
Bank One Corp 21,066 1,132,298 19,367 1,040,976 40,087 2,154,676
BankAmerica Corp 31,314 2,045,196 28,827 1,882,763 59,532 3,888,184
BankBoston Corp 5,338 215,855 4,933 199,478 10,119 409,187
Bankers Trust Corp 1,769 153,903 1,612 140,244 3,275 284,925
Bard (C R) Inc 993 55,980 987 55,642 1,951 109,988
Barrick Gold Corp 6,737 119,161 6,287 111,201 12,524 221,518
Battle Mountain Gold Co 4,136 13,959 3,980 13,433 7,716 26,042
Bausch & Lomb Inc 1,025 61,820 965 58,202 1,815 109,467
BB&T Corp 5,164 195,587 4,787 181,308 9,789 370,758
Bear Stearns Co Inc 2,172 92,989 2,051 87,808 3,993 170,950
Bell Atlantic Corp 24,592 1,412,503 22,238 1,277,295 50,344 2,891,634
Bellsouth Corp 35,381 1,636,371 32,755 1,514,919 67,338 3,114,383
Bemis Co 960 32,700 882 30,043 1,789 60,938
Berkshire Hathaway Inc Class B * 21 49,959 4 9,516 19 45,201
</TABLE>
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<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
Bethlehem Steel Corp * 17 $ 150 843 $ 7,429
Biomet Inc 112 4,109 776 28,470
Black & Decker Corp 116 5,655 716 34,905
Block (H R) Inc 105 4,764 788 35,756
Boeing Co 1,102 39,190 7,737 275,147
Boise Cascade Corp 59 1,833 473 14,693
Briggs & Stratton Corp 42 2,050 158 7,712
Brown-Forman Corp Class B 64 4,220 518 34,156
Browning-Ferris Industries Inc 167 5,261 1,308 41,202
Brunswick Corp 126 2,685 795 16,943
Burlington Northern Santa Fe 478 15,834 3,689 122,198
Burlington Resources Inc 204 6,605 1,301 42,120
Cabletron Systems Inc * 177 1,438 1,214 9,864
Canadian National Railway Co 4 193 6 290
Capital One Financial Corp -- -- 475 60,622
Carnival Corp Class A 1,600 71,200 5,212 231,934
Carolina Power & Light Co 143 5,702 1,163 46,375
Case Corp 43 839 579 11,291
Caterpillar Inc 420 19,136 2,759 125,707
CBS Corp * 760 28,025 5,472 201,780
Cendant Corp * 952 15,768 6,572 108,849
Centex Corp 104 3,829 468 17,228
Central & South West Corp 170 4,218 1,658 41,139
Champion International Corp 122 4,514 761 28,157
Chase Manhattan Bank 1,078 85,836 5,573 443,750
Chevron Corp 770 59,194 4,980 382,838
Chubb Corp 195 11,651 1,204 71,939
CIGNA Corp 217 17,035 1,613 126,621
Cincinnati Financial Corp 120 4,208 1,218 42,706
Cinergy Corp 157 4,477 1,207 35,115
Circuit City Stores Inc 127 6,890 744 40,362
Citigroup Inc 2,505 147,169 17,540 1,030,475
Clear Channel Communications Inc * 228 13,680 1,934 116,040
Coastal Corp 244 7,808 1,568 50,176
Columbia Gas System Inc 142 7,146 642 32,396
Columbia/HCA Healthcare Corp 650 11,619 4,984 89,089
Comerica Inc 194 12,853 1,172 77,645
Compaq Computer Corp 1,877 66,164 12,877 453,914
Computer Sciences Corp 242 16,123 1,027 68,424
ConAgra Inc 758 22,835 3,222 97,063
Conseco Inc 302 9,041 2,422 72,509
Consolidated Edison Inc 255 11,921 1,799 84,103
Consolidated Natural Gas Co 122 6,702 711 39,061
Consolidated Stores Corp * 58 1,461 828 20,855
Cooper Industries Inc 123 5,381 934 40,863
Cooper Tire & Rubber Co 65 1,284 614 12,127
Coors (Adolph) Co Class B 59 3,514 318 18,941
</TABLE>
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Shares Value Shares Value Shares Value
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Bethlehem Steel Corp * 2,356 $ 20,762 2,192 $ 19,317 4,179 $ 36,827
Biomet Inc 1,831 67,175 1,647 60,424 3,780 138,679
Black & Decker Corp 1,722 83,948 1,544 75,270 3,229 157,414
Block (H R) Inc 1,849 83,898 1,733 78,635 3,500 158,813
Boeing Co 18,248 648,945 16,842 598,944 34,605 1,230,640
Boise Cascade Corp 1,022 31,746 986 30,628 1,883 58,491
Briggs & Stratton Corp 452 22,063 459 22,405 854 41,686
Brown-Forman Corp Class B 1,230 81,103 1,140 75,169 2,270 149,678
Browning-Ferris Industries Inc 3,078 96,957 2,876 90,594 6,104 192,276
Brunswick Corp 1,822 38,831 1,645 35,059 3,245 69,159
Burlington Northern Santa Fe 8,527 282,457 7,945 263,178 16,252 538,348
Burlington Resources Inc 3,213 104,021 2,984 96,607 5,922 191,725
Cabletron Systems Inc * 2,989 24,286 2,632 21,385 5,051 41,039
Canadian National Railway Co 12 580 11 531 23 1,111
Capital One Financial Corp 140 17,868 905 115,501 370 47,221
Carnival Corp Class A 8,710 387,595 8,399 373,756 15,128 673,196
Carolina Power & Light Co 2,719 108,420 2,564 102,240 5,114 203,921
Case Corp 1,368 26,676 1,301 25,370 2,488 48,516
Caterpillar Inc 6,630 302,079 6,118 278,751 12,494 569,258
CBS Corp * 12,879 474,913 11,932 439,993 24,561 905,687
Cendant Corp * 15,512 256,918 14,382 238,202 29,398 486,904
Centex Corp 1,070 39,389 999 36,776 1,977 72,778
Central & South West Corp 3,795 94,163 3,497 86,769 7,053 175,003
Champion International Corp 1,702 62,974 1,628 60,236 3,214 118,918
Chase Manhattan Bank 13,385 1,065,781 12,130 965,851 27,482 2,188,254
Chevron Corp 11,763 904,281 10,931 840,321 22,389 1,721,154
Chubb Corp 2,963 177,039 2,820 168,495 5,642 337,110
CIGNA Corp 3,781 296,809 3,586 281,501 7,250 569,125
Cincinnati Financial Corp 3,030 106,239 2,805 98,350 5,715 200,382
Cinergy Corp 2,876 83,863 2,626 76,231 5,284 154,319
Circuit City Stores Inc 1,848 100,254 1,663 90,218 3,275 177,669
Citigroup Inc 41,178 2,419,208 37,434 2,199,248 78,338 4,602,358
Clear Channel Communications Inc * 4,476 268,560 4,168 250,080 8,528 511,680
Coastal Corp 3,827 122,464 3,540 113,280 7,265 232,480
Columbia Gas System Inc 1,574 79,487 1,375 69,438 2,826 142,713
Columbia/HCA Healthcare Corp 11,571 206,832 10,797 192,996 22,144 395,824
Comerica Inc 2,817 186,626 2,610 172,913 5,334 353,378
Compaq Computer Corp 30,147 1,062,682 27,909 983,792 57,356 2,021,799
Computer Sciences Corp 2,492 166,030 2,311 153,970 5,212 347,250
ConAgra Inc 7,827 235,788 7,023 211,568 16,046 483,386
Conseco Inc 5,611 167,979 5,205 155,825 10,725 321,080
Consolidated Edison Inc 4,203 196,490 3,887 181,717 7,953 371,803
Consolidated Natural Gas Co 1,785 98,063 1,626 89,328 3,213 176,514
Consolidated Stores Corp * 1,939 48,839 1,765 44,456 3,602 90,725
Cooper Industries Inc 2,093 91,569 1,930 84,438 4,047 177,056
Cooper Tire & Rubber Co 1,401 27,670 1,318 26,031 2,587 51,093
Coors (Adolph) Co Class B 633 37,703 651 38,775 1,199 71,415
</TABLE>
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Shares Value Shares Value
- -----------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS(continued)
Costco Co Inc * 285 22,889 1,676 134,604
Countrywide Credit Industries Inc 94 $ 3,560 895 $ 33,898
Crane Co 120 3,293 607 16,655
Crown Cork & Seal Co 165 4,579 1,014 28,139
CSX Corp 197 7,732 1,673 65,665
Cummins Engine Co Inc 25 1,025 288 11,808
Cyprus Amax Minerals 70 788 755 8,494
Dana Corp 219 8,267 1,231 46,470
Darden Restaurants Inc 90 1,980 1,024 22,528
Data General Corp * 4 55 424 5,857
Deere & Co 289 9,447 2,044 66,813
Delta Air Lines Inc 252 15,325 1,253 76,198
Deluxe Corp 64 2,168 614 20,799
Dillards Inc Class A 118 2,935 898 22,338
Disney (Walt) Co 2,279 80,192 15,761 554,590
Dominion Resources Inc 198 7,648 1,515 58,517
Donnelley (R R) & Sons Co 139 4,761 1,045 35,791
Dow Chemical Co 301 29,611 1,744 171,566
Dow Jones & Co Inc 94 4,418 748 35,156
DTE Energy Co 218 8,611 1,170 46,215
Duke Power Co 351 19,963 2,790 158,681
DuPont (E I) de Nemours 1,400 71,838 7,508 385,254
Eastern Enterprises 39 1,499 180 6,919
Eastman Chemical Co 114 5,379 611 28,832
Eastman Kodak Co 343 22,702 2,682 177,515
Eaton Corp 76 5,273 559 38,781
Edison International 337 8,594 2,733 69,692
EG & G Inc 25 663 333 8,825
Electronic Data Systems Corp 568 26,412 3,725 173,213
Emerson Electric Co 565 32,452 2,943 169,039
Engelhard Corp 100 1,781 1,056 18,810
Enron Corp 338 21,970 2,538 164,970
Entergy Corp 250 7,063 1,881 53,138
Exxon Corp 3,057 203,482 20,228 1,346,426
FDX Corp * 212 20,246 1,127 107,629
Federal National Mortgage Assn 1,121 78,470 7,954 556,780
Federated Department Stores Inc * 179 6,813 1,563 59,492
Fifth Third Bancorp 349 23,056 1,768 116,799
First Data Corp 453 17,327 3,465 132,536
First Union Corp of New England 1,011 53,899 7,443 396,807
FirstEnergy Corp 260 7,605 1,765 51,626
Fleet Financial Group Inc 602 25,848 4,312 185,147
Fleetwood Enterprises Inc 32 1,038 313 10,153
Fluor Corp 113 3,976 614 21,605
FMC Corp * 2 102 223 11,415
Ford Motor Co 1,481 87,842 10,027 594,726
Fortune Brands Inc 180 5,423 1,301 39,193
</TABLE>
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<S> <C> <C> <C> <C> <C> <C>
Costco Co Inc * 3,943 316,672 3,559 285,832 7,376 592,385
Countrywide Credit Industries Inc 2,067 $ 78,288 1,861 $ 70,485 3,684 $ 139,532
Crane Co 1,317 36,135 1,216 33,364 2,322 63,710
Crown Cork & Seal Co 2,239 62,132 2,040 56,610 4,167 115,634
CSX Corp 3,923 153,978 3,608 141,614 7,462 292,884
Cummins Engine Co Inc 731 29,971 619 25,379 1,301 53,341
Cyprus Amax Minerals 1,676 18,855 1,580 17,775 3,129 35,201
Dana Corp 2,960 111,740 2,783 105,058 5,572 210,343
Darden Restaurants Inc 2,479 54,538 2,351 51,722 4,803 105,666
Data General Corp * 881 12,169 772 10,663 1,577 21,782
Deere & Co 4,645 151,833 4,222 138,007 8,210 268,364
Delta Air Lines Inc 2,776 168,816 2,525 153,552 5,105 310,448
Deluxe Corp 1,491 50,508 1,367 46,307 2,684 90,921
Dillards Inc Class A 2,035 50,621 1,858 46,218 3,795 94,401
Disney (Walt) Co 36,923 1,299,228 34,124 1,200,738 70,223 2,470,972
Dominion Resources Inc 3,489 134,763 3,274 126,458 6,671 257,667
Donnelley (R R) & Sons Co 2,523 86,413 2,313 79,220 4,750 162,688
Dow Chemical Co 4,081 401,468 3,703 364,283 7,682 755,717
Dow Jones & Co Inc 1,700 79,900 1,589 74,683 3,115 146,405
DTE Energy Co 2,648 104,596 2,432 96,064 4,876 192,602
Duke Power Co 6,556 372,873 6,059 344,606 12,336 701,610
DuPont (E I) de Nemours 17,871 917,006 16,153 828,851 36,475 1,871,623
Eastern Enterprises 421 16,182 382 14,683 711 27,329
Eastman Chemical Co 1,485 70,073 1,365 64,411 2,670 125,991
Eastman Kodak Co 6,176 408,774 5,566 368,400 11,026 729,783
Eaton Corp 1,349 93,587 1,179 81,793 2,394 166,084
Edison International 6,422 163,761 5,920 150,960 12,107 308,729
EG & G Inc 852 22,578 718 19,027 1,517 40,201
Electronic Data Systems Corp 8,826 410,409 8,176 380,184 16,875 784,688
Emerson Electric Co 6,950 399,191 6,336 363,924 14,348 824,113
Engelhard Corp 2,606 46,419 2,457 43,765 4,731 84,271
Enron Corp 5,925 385,125 5,501 357,565 11,240 730,600
Entergy Corp 4,445 125,571 4,059 114,667 8,224 232,328
Exxon Corp 46,376 3,086,903 41,911 2,789,701 83,542 5,560,764
FDX Corp * 2,663 254,317 2,474 236,267 5,118 488,769
Federal National Mortgage Assn 18,681 1,307,670 17,273 1,209,110 35,481 2,483,670
Federated Department Stores Inc * 3,836 146,008 3,452 131,392 7,181 273,327
Fifth Third Bancorp 4,242 280,237 3,834 253,284 8,710 575,404
First Data Corp 8,093 309,557 7,409 283,394 15,274 584,231
First Union Corp of New England 17,453 930,463 16,213 864,353 33,232 1,771,681
FirstEnergy Corp 4,320 126,360 3,935 115,099 8,125 237,656
Fleet Financial Group Inc 10,271 441,011 9,500 407,906 19,398 832,902
Fleetwood Enterprises Inc 608 19,722 565 18,327 1,200 38,925
Fluor Corp 1,409 49,579 1,276 44,899 2,708 95,288
FMC Corp * 618 31,634 576 29,484 1,133 57,995
Ford Motor Co 22,992 1,363,713 20,758 1,231,209 41,520 2,462,655
Fortune Brands Inc 3,084 92,906 2,819 84,922 5,727 172,526
</TABLE>
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COMMON STOCKS (continued)
Foster Wheeler Corp 42 525 316 3,950
FPL Group Inc 221 $ 11,368 1,403 $ 72,167
Franklin Resources Inc 328 10,435 1,650 52,491
Fred Myer Inc * 180 11,565 1,230 79,028
Frontier Corp 250 8,984 1,175 42,227
Fruit of the Loom Inc Class A * 97 1,231 530 6,724
Gannett Co Inc 408 25,908 1,880 119,380
General Dynamics Corp 116 7,011 959 57,960
General Motors Corp Class A 761 62,830 5,052 417,106
Genuine Parts Co 179 5,359 1,319 39,488
Georgia-Pacific Corp 127 9,303 748 54,791
Golden West Financial 54 5,073 470 44,151
Goodrich (B F) Co 82 2,798 591 20,168
Goodyear Tire & Rubber Co 247 11,424 1,225 56,656
GPU Inc 122 4,865 1,018 40,593
Grainger (W W) Inc 72 3,204 754 33,553
Great Atlantic & Pacific Tea Co 59 1,862 278 8,774
Great Lakes Chemical Corp 67 2,609 418 16,276
GTE Corp 1,256 81,483 6,413 416,043
Halliburton Co 575 16,244 3,195 90,259
Harcourt General Inc 79 3,619 557 25,518
Harnischfeger Industries Inc 50 384 385 2,960
Harrah's Entertainment Inc * 48 801 712 11,882
Harris Corp Inc 104 3,237 707 22,005
Hartford Financial Services Group 192 10,380 1,807 97,691
Hasbro Inc 178 6,586 1,050 38,850
Healthsouth Corp * 500 5,813 3,260 37,898
Helmerich & Payne Inc 30 489 400 6,525
Hercules Inc 82 2,270 738 20,433
Hewlett-Packard Co 1,134 75,340 8,013 532,364
Hilton Hotels Corp 264 4,175 1,761 27,846
Homestake Mining Co 152 1,397 1,652 15,178
Honeywell Inc 164 11,470 984 68,819
Household International Inc 549 22,303 3,761 152,791
Humana Inc * 177 3,098 1,250 21,875
Huntington Bancshares Inc 199 6,318 1,649 52,356
Ikon Office Solutions Inc 124 1,752 923 13,037
Illinois Tool Works Inc 309 21,244 1,658 113,988
Inco Ltd 166 2,096 1,159 14,632
Ingersoll-Rand Co 172 8,170 1,330 63,175
International Flavors & Fragrances 156 6,425 703 28,955
International Paper Co 332 13,944 2,336 98,112
ITT Industries Inc 126 4,922 931 36,367
JC Penney Co Inc 266 9,609 1,913 69,107
Jefferson-Pilot Corp 140 9,494 818 55,471
Johnson Controls Inc 86 5,289 665 40,898
K Mart Corp * 584 10,220 3,762 65,835
</TABLE>
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<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS (continued)
Foster Wheeler Corp 717 8,963 678 8,475 1,299 16,238
FPL Group Inc 3,229 $ 166,092 3,010 $ 154,827 6,234 $ 320,661
Franklin Resources Inc 3,163 100,623 3,609 114,811 6,620 210,599
Fred Myer Inc * 2,800 179,900 2,580 165,765 5,265 338,276
Frontier Corp 2,757 99,080 2,459 88,370 5,557 199,705
Fruit of the Loom Inc Class A * 1,277 16,202 1,006 12,764 2,368 30,044
Gannett Co Inc 4,471 283,909 3,996 253,746 9,169 582,232
General Dynamics Corp 2,212 133,688 2,114 127,765 4,327 261,513
General Motors Corp Class A 11,767 971,513 10,899 899,849 22,415 1,850,638
Genuine Parts Co 3,169 94,872 2,878 86,160 5,991 179,356
Georgia-Pacific Corp 1,654 121,156 1,531 112,146 3,092 226,489
Golden West Financial 1,077 101,171 987 92,716 1,961 184,211
Goodrich (B F) Co 1,393 47,536 1,201 40,984 2,433 83,026
Goodyear Tire & Rubber Co 2,958 136,808 2,747 127,049 5,436 251,415
GPU Inc 2,252 89,799 2,171 86,569 4,302 171,542
Grainger (W W) Inc 1,772 78,854 1,655 73,648 3,286 146,227
Great Atlantic & Pacific Tea Co 717 22,630 607 19,158 1,217 38,412
Great Lakes Chemical Corp 1,080 42,053 1,040 40,495 1,977 76,979
GTE Corp 15,277 991,095 13,779 893,913 31,307 2,031,042
Halliburton Co 6,964 196,733 6,311 178,286 14,439 407,902
Harcourt General Inc 1,294 59,281 1,196 54,792 2,328 106,652
Harnischfeger Industries Inc 833 6,404 804 6,181 1,480 11,378
Harrah's Entertainment Inc * 1,762 29,403 1,652 27,568 3,353 55,953
Harris Corp Inc 1,520 47,310 1,363 42,423 2,612 81,299
Hartford Financial Services Group 4,200 227,063 3,906 211,168 8,000 432,500
Hasbro Inc 2,328 86,136 2,202 81,474 4,401 162,837
Healthsouth Corp * 7,637 88,780 7,124 82,817 14,005 162,808
Helmerich & Payne Inc 905 14,763 840 13,703 1,675 27,323
Hercules Inc 1,691 46,820 1,551 42,943 3,133 86,745
Hewlett-Packard Co 18,775 1,247,364 17,381 1,154,750 35,559 2,362,451
Hilton Hotels Corp 4,192 66,286 3,563 56,340 8,603 136,035
Homestake Mining Co 3,856 35,427 3,526 32,395 7,031 64,597
Honeywell Inc 2,299 160,786 2,142 149,806 4,307 301,221
Household International Inc 8,863 360,059 8,192 332,800 16,921 687,416
Humana Inc * 2,972 52,010 2,757 48,248 5,345 93,538
Huntington Bancshares Inc 3,773 119,793 3,440 109,220 7,043 223,615
Ikon Office Solutions Inc 2,571 36,315 2,255 31,852 4,411 62,305
Illinois Tool Works Inc 3,997 274,794 3,569 245,369 8,197 563,544
Inco Ltd 2,905 36,676 2,785 35,161 5,363 67,708
Ingersoll-Rand Co 3,162 150,195 2,827 134,283 5,592 265,620
International Flavors & Fragrances 1,764 72,655 1,498 61,699 3,504 144,321
International Paper Co 5,533 232,386 5,143 216,006 10,544 442,848
ITT Industries Inc 2,161 84,414 2,024 79,063 3,952 154,375
JC Penney Co Inc 4,536 163,863 4,177 150,894 8,645 312,301
Jefferson-Pilot Corp 1,895 128,505 1,792 121,520 3,584 243,040
Johnson Controls Inc 1,556 95,694 1,430 87,945 2,840 174,660
K Mart Corp * 8,852 154,910 8,327 145,723 16,901 295,768
</TABLE>
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COMMON STOCKS (continued)
Kaufman & Broad Home Corp 49 1,103 298 6,705
Kerr - McGee Corp 43 $ 1,228 328 $ 9,369
KeyCorp 454 14,642 3,353 108,134
KingWorld Productions * 94 2,485 555 14,673
KLA Instruments Corp * 94 4,870 701 36,321
Knight-Ridder Inc 124 6,223 662 33,224
Laidlaw Inc 395 3,037 2,494 19,173
Lehman Brothers Holdings 180 9,540 950 50,350
Limited Inc 197 6,994 1,764 62,622
Lincoln National Corp 124 11,741 796 75,371
Liz Claiborne Inc 81 2,729 555 18,697
Lockheed Martin Corp 410 15,452 2,983 112,422
Loews Corp 135 10,555 933 72,949
Longs Drug Stores Corp 66 2,388 324 11,725
Louisiana-Pacific Corp 63 1,158 892 16,391
Lowe's Co Inc 414 24,555 2,690 159,551
LSI Logic Corp * 118 3,061 1,099 28,505
Mallinckrodt Group Inc 77 2,382 559 17,294
Marriott International Class A 306 11,016 1,662 59,832
Marsh & McLennan Co Inc 220 15,579 1,927 136,456
Masco Corp 322 8,453 2,583 67,804
Mattel Inc 321 8,466 1,949 51,405
May Department Stores Co 214 12,680 1,773 105,050
Maytag Corp 96 5,382 634 35,544
MBIA Inc 94 5,787 824 50,728
McDermott International Inc 46 917 436 8,693
McDonald's Corp 729 61,965 5,300 450,500
McGraw-Hill Inc 156 17,072 800 87,550
Mead Corp 102 3,105 835 25,415
Mediaone Group Inc * 680 37,060 4,685 255,333
Mellon Bank Corp 247 16,703 2,013 136,129
Mercantile Bancorp 134 6,114 1,095 49,959
Meredith Corp 82 2,768 404 13,635
Merrill Lynch & Co 340 26,095 2,684 205,997
MGIC Investment Corp 95 3,236 934 31,814
Micron Technology Inc * 245 14,118 1,582 91,163
Milacron Inc 51 908 337 6,003
Minnesota Mining & Manufacturing Co 505 37,402 2,655 196,636
Mirage Resorts Inc * 217 4,232 1,351 26,345
Mobil Corp 869 72,290 5,990 498,293
Monsanto Co 720 32,805 4,041 184,118
Moore Corp Ltd 44 462 738 7,749
Morgan Stanley Dean Witter
Discover & Co 654 59,187 4,466 404,173
Morgan (J P) & Co Inc 216 24,071 1,359 151,444
Morton International Inc 128 4,624 1,017 36,739
Motorola Inc 776 54,514 4,916 345,349
NACCO Industries Inc Class A 18 1,584 48 4,224
</TABLE>
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-----------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Kaufman & Broad Home Corp 724 16,290 647 14,558 1,239 27,878
Kerr - McGee Corp 852 $ 24,335 784 $ 22,393 1,624 $ 46,386
KeyCorp 7,934 255,872 7,317 235,973 15,109 487,265
KingWorld Productions * 1,373 36,299 1,258 33,258 2,404 63,556
KLA Instruments Corp * 1,559 80,776 1,455 75,387 3,023 156,629
Knight-Ridder Inc 1,394 69,961 1,371 68,807 2,588 129,885
Laidlaw Inc 5,928 45,572 5,557 42,719 10,717 82,387
Lehman Brothers Holdings 2,155 114,215 1,985 105,205 4,025 213,325
Limited Inc 4,092 145,266 3,797 134,794 7,821 277,646
Lincoln National Corp 1,844 174,604 1,660 157,181 3,461 327,713
Liz Claiborne Inc 1,179 39,718 1,109 37,359 2,198 74,045
Lockheed Martin Corp 6,950 261,928 6,436 242,557 13,364 503,656
Loews Corp 2,047 160,050 1,897 148,322 3,933 307,511
Longs Drug Stores Corp 679 24,571 666 24,101 1,296 46,899
Louisiana-Pacific Corp 1,931 35,482 1,864 34,251 3,631 66,720
Lowe's Co Inc 6,333 375,626 5,889 349,291 12,043 714,300
LSI Logic Corp * 2,542 65,933 2,426 62,924 4,610 119,572
Mallinckrodt Group Inc 1,318 40,776 1,190 36,816 2,367 73,229
Marriott International Class A 4,035 145,260 3,616 130,176 8,322 299,592
Marsh & McLennan Co Inc 4,630 327,862 4,203 297,625 8,700 616,069
Masco Corp 6,168 161,910 5,644 148,155 11,657 305,996
Mattel Inc 4,628 122,064 4,125 108,797 9,523 251,169
May Department Stores Co 4,165 246,776 3,854 228,350 7,897 467,897
Maytag Corp 1,489 83,477 1,344 75,348 3,059 171,495
MBIA Inc 1,832 112,783 1,700 104,656 3,310 203,772
McDermott International Inc 1,073 21,393 1,042 20,775 1,958 39,038
McDonald's Corp 12,306 1,046,010 11,457 973,845 23,469 1,994,865
McGraw-Hill Inc 1,830 200,271 1,627 178,055 3,395 371,540
Mead Corp 1,876 57,101 1,730 52,657 3,422 104,157
Mediaone Group Inc * 10,984 598,628 10,182 554,919 20,835 1,135,508
Mellon Bank Corp 4,726 319,596 4,352 294,304 8,891 601,254
Mercantile Bancorp 2,703 123,324 2,576 117,530 5,280 240,900
Meredith Corp 921 31,084 808 27,270 1,701 57,409
Merrill Lynch & Co 6,278 481,837 5,809 445,841 11,942 916,549
MGIC Investment Corp 2,051 69,862 1,893 64,480 3,809 129,744
Micron Technology Inc * 3,910 225,314 3,570 205,721 7,103 409,310
Milacron Inc 687 12,237 662 11,792 1,255 22,355
Minnesota Mining & Manufacturing Co 6,337 469,334 5,799 429,488 13,036 965,479
Mirage Resorts Inc * 3,265 63,668 3,059 59,651 5,814 113,373
Mobil Corp 14,116 1,174,275 12,983 1,080,023 26,800 2,229,425
Monsanto Co 9,729 443,278 8,714 397,032 19,770 900,771
Moore Corp Ltd 1,538 16,149 1,481 15,551 3,019 31,700
Morgan Stanley Dean Witter
Discover & Co 10,591 958,486 9,808 887,624 19,972 1,807,466
Morgan (J P) & Co Inc 3,162 352,365 3,005 334,870 6,082 677,763
Morton International Inc 2,426 87,639 2,219 80,161 4,244 153,315
Motorola Inc 11,342 796,776 10,288 722,732 20,439 1,435,840
NACCO Industries Inc Class A 147 12,936 149 13,112 279 24,552
</TABLE>
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COMMON STOCKS (continued)
Nalco Chemical Co 64 $ 1,800 509 $ 14,316
National City Corp 376 26,273 2,211 154,494
National Semiconductor * 186 1,953 1,192 12,516
National Service Industries Inc 39 1,253 332 10,666
Navistar International Corp * 124 5,332 556 23,908
New Century Energies Inc -- -- 20 811
New York Times Co Class A 162 5,022 1,463 45,353
Newmont Mining Corp 187 3,217 1,421 24,512
NEXTEL Communications Class A * 278 8,357 2,205 66,288
Niagara Mohawk Power Corp * 71 1,038 1,372 20,066
NICOR Inc 44 1,680 330 12,602
Nike Inc Class B 293 15,712 2,236 119,906
Nordstrom Inc 224 9,016 1,080 43,470
Norfolk Southern Corp 392 11,001 2,895 81,241
Northern States Power Co 190 4,904 1,260 32,524
Northern Trust Corp 124 11,083 870 77,756
Northrop Grumman Corp 129 8,038 529 32,963
Novell Inc * 425 8,234 2,746 53,204
Nucor Corp 121 5,392 699 31,149
Occidental Petroleum Corp 400 6,025 2,755 41,497
ONEOK Inc 49 1,320 225 6,061
Owens Illinois Inc * 136 3,256 1,148 27,480
P P & L Resources Inc 87 2,219 1,160 29,580
PACCAR Inc 93 3,894 652 27,303
PacifiCorp 317 5,686 2,318 41,579
Pall Corp 113 2,394 942 19,959
Parker-Hannifin Corp 138 5,123 837 31,074
Peco Energy Co 242 8,576 1,653 58,578
Peoples Energy Corp 53 1,799 245 8,315
PG & E Corp 446 14,049 2,915 91,823
Pharmacia & Upjohn Inc 517 28,177 3,860 210,370
Phelps Dodge Corp 66 3,201 420 20,370
Phillips Petroleum Co 269 10,407 2,179 84,300
Pioneer Hi Bred International 345 8,086 1,592 37,313
Placer Dome Inc 263 2,877 1,964 21,481
PNC Bank Corp 329 17,129 2,345 122,087
Polaroid Corp 34 812 327 7,807
Potlatch Corp 2 69 230 7,978
PPG Industries Inc 185 9,632 1,339 69,712
Praxair Inc 198 6,918 1,171 40,912
Progressive Corp 75 9,638 525 67,463
Provident Co Inc 174 5,699 1,077 35,272
Public Service Ent Group Inc 208 7,904 1,790 68,020
Pulte Corp 90 2,166 354 8,518
Raychem Corp 44 1,004 674 15,376
Raytheon Co Class B 384 20,520 2,578 137,762
Reebok International Ltd * 37 597 409 6,595
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<S> <C> <C> <C> <C> <C> <C>
Nalco Chemical Co 1,168 $ 32,850 1,147 $ 32,259 2,169 $ 61,003
National City Corp 5,264 367,822 4,776 333,723 10,759 751,785
National Semiconductor * 2,984 31,332 2,779 29,180 5,376 56,448
National Service Industries Inc 756 24,287 669 21,492 1,364 43,819
Navistar International Corp * 1,197 51,471 1,154 49,622 2,254 96,922
New Century Energies Inc 1,421 57,639 45 1,825 120 4,868
New York Times Co Class A 3,427 106,237 3,174 98,394 6,411 198,741
Newmont Mining Corp 3,013 51,966 2,833 48,869 6,306 108,779
NEXTEL Communications Class A * 5,143 154,611 4,621 138,919 9,780 294,011
Niagara Mohawk Power Corp * 3,417 49,974 3,116 45,572 6,359 93,000
NICOR Inc 889 33,949 801 30,588 1,559 59,534
Nike Inc Class B 5,174 277,456 4,806 257,722 9,857 528,582
Nordstrom Inc 2,701 108,715 2,411 97,043 5,112 205,758
Norfolk Southern Corp 6,821 191,414 6,348 178,141 13,012 365,149
Northern States Power Co 2,844 73,411 2,646 68,300 5,113 131,979
Northern Trust Corp 2,016 180,180 1,861 166,327 3,750 335,156
Northrop Grumman Corp 1,243 77,454 1,169 72,843 2,348 146,310
Novell Inc * 6,380 123,613 5,922 114,739 11,708 226,843
Nucor Corp 1,646 73,350 1,455 64,838 2,932 130,657
Occidental Petroleum Corp 6,362 95,828 5,794 87,272 12,205 183,838
ONEOK Inc 593 15,974 497 13,388 955 25,725
Owens Illinois Inc * 2,741 65,613 2,531 60,586 5,180 123,996
P P & L Resources Inc 2,677 68,264 2,513 64,082 5,587 142,469
PACCAR Inc 1,433 60,007 1,318 55,191 2,603 109,001
PacifiCorp 5,355 96,055 5,031 90,244 9,944 178,371
Pall Corp 2,260 47,884 2,113 44,769 4,078 86,403
Parker-Hannifin Corp 1,978 73,433 1,828 67,865 3,624 134,541
Peco Energy Co 3,982 141,112 3,655 129,524 7,577 268,510
Peoples Energy Corp 659 22,365 577 19,582 1,181 40,080
PG & E Corp 6,859 216,059 6,331 199,427 13,132 413,658
Pharmacia & Upjohn Inc 9,119 496,986 8,449 460,471 17,453 951,189
Phelps Dodge Corp 1,070 51,895 1,028 49,858 1,972 95,642
Phillips Petroleum Co 4,961 191,929 4,425 171,192 8,724 337,510
Pioneer Hi Bred International 3,920 91,875 3,464 81,188 7,973 186,867
Placer Dome Inc 4,539 49,645 4,233 46,298 8,593 93,986
PNC Bank Corp 5,467 284,626 5,006 260,625 10,340 538,326
Polaroid Corp 796 19,005 742 17,715 1,447 34,547
Potlatch Corp 530 18,384 522 18,107 895 31,045
PPG Industries Inc 3,138 163,372 2,971 154,678 6,061 315,551
Praxair Inc 2,840 99,223 2,672 93,353 5,470 191,108
Progressive Corp 1,344 172,704 1,238 159,083 2,541 326,519
Provident Co Inc 2,417 79,157 2,282 74,736 4,611 151,010
Public Service Ent Group Inc 4,209 159,942 3,836 145,768 7,759 294,842
Pulte Corp 776 18,673 737 17,734 1,411 33,952
Raychem Corp 1,493 34,059 1,356 30,934 2,847 64,947
Raytheon Co Class B 6,135 327,839 5,633 301,013 11,561 617,791
Reebok International Ltd * 1,016 16,383 913 14,722 1,854 29,896
</TABLE>
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COMMON STOCKS (continued)
Regions Financial Corp 170 $ 6,460 1,587 $ 60,306
Reliant Energy Inc 344 9,224 2,243 60,140
Republic New York Corp 94 4,259 832 37,700
Reynolds Metals Co 49 2,095 576 24,624
Rite Aid Corp 238 9,847 2,018 83,495
RJR Holdings Group Inc 370 10,106 2,453 66,998
Rockwell International Corp 220 9,776 1,564 69,500
Rohm & Haas Co 143 4,469 1,375 42,969
Rowan Cos Inc * 66 569 669 5,770
Rubbermaid Inc 142 4,695 1,119 36,997
Russell Corp 65 1,268 283 5,519
Ryder System 129 3,483 562 15,174
Safeco Corp 156 6,269 1,143 45,934
Schlumberger Ltd 781 37,927 3,655 177,496
Scientific Atlanta Inc 75 2,433 649 21,052
Seagate Technology Inc * 217 6,279 1,824 52,782
Seagrams Co Ltd 344 15,953 2,690 124,749
Sears Roebuck & Co 458 18,606 3,230 131,219
Sempra Energy 248 5,208 1,813 38,073
Service Corp International 229 3,521 1,958 30,104
Shared Medical 42 2,142 150 7,650
Sherwin Williams Co 181 4,355 1,304 31,378
Sigma Aldrich Corp 118 3,112 758 19,992
Silicon Graphics * 204 3,251 1,414 22,536
Snap-On Inc 38 1,074 447 12,628
Sonat Inc 122 3,088 886 22,427
Southern Co 765 19,173 5,375 134,711
Springs Indust Inc 33 1,097 185 6,151
Sprint Corp 485 41,619 3,298 283,010
Sprint Corp (PCS Group) * 217 6,944 1,661 53,152
St Jude Medical Inc * 132 3,317 661 16,608
St Paul Cos 264 8,547 1,820 58,923
Stanley Works 92 2,237 631 15,341
State Street Corp 205 15,721 1,047 80,292
Summit BanCorp 184 7,107 1,330 51,371
Sunoco Inc 105 3,196 718 21,854
Suntrust Banks Inc 748 50,817 2,868 194,845
Supervalu Inc 86 2,069 941 22,643
Tandy Corp 116 6,453 755 41,997
Tektronix Inc 3 59 356 6,942
Temple Inland Inc 49 2,937 455 27,272
Tenet Healthcare Corp * 334 6,576 2,402 47,289
Tenneco Inc 108 3,233 1,315 39,368
Texaco Inc 612 28,496 4,071 189,556
Texas Instruments 450 40,134 2,982 265,957
Texas Utilities Co 261 11,076 2,099 89,076
Textron Inc 237 18,486 1,249 97,422
</TABLE>
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<S> <C> <C> <C> <C> <C> <C>
Regions Financial Corp 3,810 $ 144,780 3,715 $ 141,170 7,373 $ 280,174
Reliant Energy Inc 5,309 142,348 4,890 131,113 10,077 270,190
Republic New York Corp 1,950 88,359 1,794 81,291 3,613 163,714
Reynolds Metals Co 1,274 54,464 1,191 50,915 2,424 103,626
Rite Aid Corp 4,697 194,338 4,324 178,906 8,831 365,383
RJR Holdings Group Inc 5,845 159,642 5,466 149,290 15,413 420,968
Rockwell International Corp 3,639 161,708 3,323 147,666 6,506 289,110
Rohm & Haas Co 3,165 98,906 2,974 92,938 6,046 188,938
Rowan Cos Inc * 1,489 12,843 1,417 12,222 2,819 24,314
Rubbermaid Inc 2,656 87,814 2,500 82,656 5,086 168,156
Russell Corp 647 12,617 616 12,012 1,146 22,347
Ryder System 1,342 36,234 1,293 34,911 2,535 68,445
Safeco Corp 2,507 100,750 2,378 95,566 4,768 191,614
Schlumberger Ltd 8,691 422,057 7,783 377,962 17,813 865,044
Scientific Atlanta Inc 1,429 46,353 1,355 43,953 2,634 85,440
Seagate Technology Inc * 4,383 126,833 3,963 114,679 8,176 236,593
Seagrams Co Ltd 6,201 287,571 5,770 267,584 11,899 551,816
Sears Roebuck & Co 7,432 301,925 6,726 273,244 13,435 545,797
Sempra Energy 4,323 90,783 3,979 83,559 8,220 172,620
Service Corp International 4,687 72,063 4,271 65,667 8,849 136,053
Shared Medical 456 23,256 374 19,074 934 47,634
Sherwin Williams Co 3,152 75,845 2,843 68,410 5,805 139,683
Sigma Aldrich Corp 1,814 47,844 1,709 45,075 3,279 86,484
Silicon Graphics * 3,419 54,490 3,198 50,968 6,411 102,175
Snap-On Inc 1,041 29,408 982 27,742 1,973 55,737
Sonat Inc 2,020 51,131 1,854 46,929 3,646 92,289
Southern Co 12,575 315,161 11,671 292,504 23,910 599,244
Springs Indust Inc 293 9,742 324 10,773 670 22,278
Sprint Corp 7,785 668,050 7,144 613,045 14,791 1,269,253
Sprint Corp (PCS Group) * 3,970 127,040 3,619 115,808 7,585 242,720
St Jude Medical Inc * 1,510 37,939 1,424 35,778 2,825 70,978
St Paul Cos 4,268 138,177 3,880 125,615 8,118 262,820
Stanley Works 1,444 35,107 1,292 31,412 3,065 74,518
State Street Corp 2,567 196,857 2,330 178,682 5,301 406,520
Summit BanCorp 3,147 121,553 2,946 113,789 5,952 229,896
Sunoco Inc 1,683 51,226 1,611 49,035 3,187 97,004
Suntrust Banks Inc 5,719 388,535 5,447 370,056 11,362 771,906
Supervalu Inc 2,198 52,889 2,073 49,882 3,966 95,432
Tandy Corp 1,787 99,402 1,707 94,952 3,363 187,067
Tektronix Inc 904 17,628 808 15,756 1,724 33,618
Temple Inland Inc 1,016 60,897 949 56,881 1,895 113,582
Tenet Healthcare Corp * 5,533 108,931 5,074 99,894 10,600 208,688
Tenneco Inc 3,053 91,399 2,782 83,286 5,672 169,806
Texaco Inc 9,697 451,517 8,918 415,244 18,423 857,821
Texas Instruments 7,051 628,861 6,545 583,732 13,322 1,188,156
Texas Utilities Co 5,018 212,951 4,656 197,589 9,536 404,684
Textron Inc 2,976 232,128 2,724 212,472 5,638 439,764
</TABLE>
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COMMON STOCKS(continued)
The Pep Boys 49 $ 894 469 $ 8,559
Thermo Electron Corp * 169 2,334 1,216 16,796
Thomas & Betts Corp 58 2,418 434 18,092
Time Warner Inc 1,474 95,073 9,831 634,100
Timken Co 42 743 470 8,313
Torchmark Corp 142 4,722 1,132 37,639
Toys "R" Us Inc Holding Co * 281 3,969 1,961 27,699
Transamerica Corp 132 9,578 1,029 74,667
Tribune Co 121 8,024 922 61,140
TRW Inc 121 5,717 915 43,234
Tupperware Corp 63 1,103 380 6,650
Unicom Corp 228 8,108 1,604 57,042
Union Camp Corp 65 4,347 519 34,708
Union Carbide Corp 125 5,500 1,016 44,704
Union Pacific Corp 278 13,031 1,889 88,547
Union Pacific Resources Group 242 2,163 1,903 17,008
Union Planters Corp 173 7,817 1,032 46,634
Unisys Corp * 240 7,155 1,642 48,952
United Healthcare Corp 267 13,166 1,504 74,166
United Technologies 266 32,951 1,456 180,362
Unocal Corp 204 5,750 1,836 51,752
Unum Corp 152 6,802 1,091 48,822
US West Inc 569 30,335 3,863 205,946
USX-Marathon Group 365 7,551 2,430 50,271
USX-US Steel Group Inc 126 3,189 655 16,580
U.S. Air Group * 113 5,353 628 29,752
VF Corp 120 5,775 956 46,008
Viacom Inc 387 34,201 2,705 239,054
Wachovia Corp 282 23,988 1,604 136,440
Washington Mutual Inc 604 24,160 4,553 182,120
Wendy's International Inc 141 3,375 1,015 24,297
Westvaco Corp 56 1,253 852 19,064
Weyerhaeuser Co 269 14,997 1,609 89,702
Whirlpool Corp 73 3,176 580 25,230
Willamette Industries Inc 109 3,972 870 31,701
Williams Co Inc 560 20,720 3,558 131,646
Winn Dixie 146 6,397 1,149 50,341
Worthington Indust 77 977 752 9,541
WR Grace * 42 564 601 8,076
Xerox Corp 830 45,806 4,312 237,969
--------- ----------
TOTAL LARGE CAP VALUE STOCKS
- VALUE $ 5,289,245 $35,037,838
- COST $ 4,391,589 $26,814,612
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The Pep Boys 1,147 $ 20,933 999 $ 18,232 2,115 $ 38,599
Thermo Electron Corp * 2,961 40,899 2,676 36,962 5,691 78,607
Thomas & Betts Corp 995 41,479 963 40,145 1,814 75,621
Time Warner Inc 22,773 1,468,859 20,494 1,321,863 41,052 2,647,854
Timken Co 1,120 19,810 1,073 18,979 2,049 36,242
Torchmark Corp 2,506 83,325 2,403 79,900 4,694 156,076
Toys "R" Us Inc Holding Co * 4,730 66,811 4,337 61,260 9,243 130,557
Transamerica Corp 2,308 167,474 2,078 150,785 4,309 312,672
Tribune Co 2,254 149,468 2,080 137,930 4,124 273,473
TRW Inc 2,215 104,659 2,025 95,681 4,133 195,284
Tupperware Corp 1,126 19,705 914 15,995 2,267 39,673
Unicom Corp 3,867 137,520 3,609 128,345 7,337 260,922
Union Camp Corp 1,249 83,527 1,146 76,639 2,276 152,208
Union Carbide Corp 2,409 105,996 2,259 99,396 4,594 202,136
Union Pacific Corp 4,475 209,766 4,083 191,391 8,450 396,094
Union Pacific Resources Group 4,508 40,290 4,237 37,868 8,313 74,297
Union Planters Corp 2,298 103,841 2,171 98,109 7,397 334,252
Unisys Corp * 4,141 123,454 3,660 109,114 8,421 251,051
United Healthcare Corp 3,509 173,038 3,217 158,638 6,712 330,986
United Technologies 3,582 443,720 3,200 396,400 7,305 904,907
Unocal Corp 4,350 122,616 3,991 112,496 8,254 232,660
Unum Corp 2,474 110,712 2,276 101,851 4,609 206,253
US West Inc 9,084 484,291 8,380 446,759 17,250 919,641
USX-Marathon Group 5,589 115,622 5,036 104,182 9,937 205,572
USX-US Steel Group Inc 1,629 41,234 1,489 37,690 2,787 70,546
U.S. Air Group * 1,478 70,020 1,275 60,403 2,952 139,851
VF Corp 2,209 106,308 2,016 97,020 4,121 198,323
Viacom Inc 6,427 567,986 5,944 525,301 12,300 1,087,013
Wachovia Corp 3,675 312,605 3,518 299,250 7,093 603,348
Washington Mutual Inc 10,758 430,320 9,862 394,480 20,344 813,760
Wendy's International Inc 2,244 53,716 2,153 51,537 4,386 104,990
Westvaco Corp 1,968 44,034 1,747 39,089 3,384 75,717
Weyerhaeuser Co 3,779 210,679 3,366 187,655 6,657 371,128
Whirlpool Corp 1,430 62,205 1,288 56,028 2,529 110,012
Willamette Industries Inc 2,022 73,677 1,843 67,154 3,696 134,673
Williams Co Inc 8,024 296,888 7,344 271,728 14,552 538,424
Winn Dixie 2,663 116,673 2,490 109,093 5,026 220,202
Worthington Indust 1,745 22,140 1,624 20,605 3,192 40,499
WR Grace * 1,316 17,684 1,126 15,131 2,478 33,298
Xerox Corp 10,400 573,950 9,444 521,191 21,270 1,173,838
---------- --------- -----------
TOTAL LARGE CAP VALUE STOCKS
- VALUE $81,898,548 $75,301,494 $155,596,531
- COST $61,398,103 $55,664,589 $127,645,903
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COMMON STOCKS(continued)
MEDIUM CAP GROWTH STOCKS
Percent of Net Assets 1.84% 2.13%
20th Century Industries -- $ -- 1,244 $ 23,792
Abercrombie & Fitch Co * 6 456 642 48,792
ADC Telecommunications * 772 31,266 1,561 63,221
Allied Waste Industries Inc * 500 9,750 1,420 27,690
Altera Corp * 420 20,423 1,262 61,365
Amazon.com Inc * 300 38,438 528 67,650
American Management Systems Inc * -- -- -- --
American Power Conversion * 400 14,350 962 34,512
American Tower Corp * -- -- 1,156 30,995
Apollo Group Inc * 200 6,013 572 17,196
Aspect Telecommunication Corp * -- -- 540 4,151
At Home Corp * 100 10,625 264 28,017
Barnes & Noble * 400 11,825 616 18,211
Bea Systems Inc * -- -- 88 1,507
Beckman Coulter Inc 194 9,373 396 19,132
Bed Bath & Beyond Inc * 500 14,719 1,420 41,801
Best Buy Co Inc * 500 46,375 880 81,620
Biogen Inc * 418 40,180 757 72,767
Cablevision Systems Corp * -- -- 880 57,200
Cadence Design Systems Inc * 1,164 28,009 2,409 57,967
Cambridge Technology Partners Inc * -- -- 352 8,844
Carlisle Corp 200 8,275 352 14,564
Catellus Development Corp * 300 4,331 1,068 15,419
Centocor Inc * 446 18,537 739 30,715
Central Newspapers Class A 200 7,000 176 6,160
Champion Enterprises Inc * -- -- -- --
Chancellor Media Corp * 600 26,250 1,420 62,125
Ciber Inc * 200 5,025 440 11,055
CIENA Corp * 100 2,788 628 17,506
Cintas Corp 420 29,715 880 62,260
Citrix Systems Inc 200 15,425 396 30,542
CNB BancShares Inc -- -- 352 14,146
Comair Holdings Inc 300 11,288 704 26,488
Comverse Technology Inc * 300 21,525 440 31,570
Concord EFS Inc * 350 11,178 1,244 39,730
Convergys Corp * -- -- 100 1,731
Covance Inc * 90 2,481 511 14,084
Cox Communications Inc Class A * 413 29,220 769 54,407
Crompton & Knowles Corp 350 6,475 1,103 20,406
Delta & Pine Land Co -- -- 440 14,245
DeVry Inc * -- -- -- --
Dial Corp 536 15,645 1,226 35,784
Dole Food Co 346 10,899 625 19,688
Dollar Tree Stores Inc * 200 8,000 484 19,360
Electronic Arts Inc * 400 15,950 616 24,563
</TABLE>
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COMMON STOCKS(continued)
MEDIUM CAP GROWTH STOCKS
Percent of Net Assets 2.31% 3.09% 3.71%
20th Century Industries 2,116 $ 40,469 1,964 $ 37,562 88 $ 1,683
Abercrombie & Fitch Co * 1,289 97,964 1,217 92,492 188 14,288
ADC Telecommunications * 2,463 99,752 2,336 94,608 6,730 272,565
Allied Waste Industries Inc * 2,642 51,519 2,500 48,750 5,123 99,899
Altera Corp * 1,885 91,658 2,229 108,385 4,575 222,459
Amazon.com Inc * 789 101,091 804 103,013 1,855 237,672
American Management Systems Inc * -- -- -- -- 88 2,937
American Power Conversion * 1,585 56,862 1,437 51,552 4,116 147,662
American Tower Corp * 2,028 54,376 1,875 50,273 88 2,360
Apollo Group Inc * 964 28,980 1,027 30,874 2,031 61,057
Aspect Telecommunication Corp * 100 769 -- -- 1,060 8,149
At Home Corp * 526 55,822 536 56,883 1,148 121,832
Barnes & Noble * 1,227 36,273 1,161 34,322 2,473 73,108
Bea Systems Inc * 263 4,504 179 3,065 353 6,045
Beckman Coulter Inc 745 35,993 719 34,737 1,484 71,696
Bed Bath & Beyond Inc * 2,379 70,032 2,232 65,705 4,593 135,206
Best Buy Co Inc * 1,402 130,036 1,339 124,192 4,063 376,843
Biogen Inc * 1,211 116,407 1,180 113,428 3,436 330,286
Cablevision Systems Corp * 1,590 103,350 1,786 116,090 88 5,720
Cadence Design Systems Inc * 3,825 92,039 3,652 87,876 10,184 245,053
Cambridge Technology Partners Inc * 614 15,427 625 15,703 1,325 33,291
Carlisle Corp 701 29,004 714 29,542 1,413 58,463
Catellus Development Corp * 1,941 28,023 1,875 27,070 3,798 54,834
Centocor Inc * 1,311 54,488 1,220 50,706 3,551 147,588
Central Newspapers Class A 351 12,285 893 31,255 1,943 68,005
Champion Enterprises Inc * 100 1,969 -- -- 88 1,733
Chancellor Media Corp * 2,204 96,425 2,054 89,863 6,006 262,763
Ciber Inc * 789 19,824 714 17,939 1,590 39,949
CIENA Corp * 1,240 34,565 1,071 29,854 2,561 71,388
Cintas Corp 1,350 95,513 1,634 115,606 3,339 236,234
Citrix Systems Inc 745 57,458 937 72,266 2,031 156,641
CNB BancShares Inc -- -- -- -- -- --
Comair Holdings Inc 1,402 52,750 1,339 50,380 2,826 106,328
Comverse Technology Inc * 789 56,611 1,071 76,844 2,296 164,738
Concord EFS Inc * 2,248 71,796 2,098 67,005 4,416 141,036
Convergys Corp * 100 1,731 -- -- -- --
Covance Inc * 902 24,861 783 21,581 1,454 40,076
Cox Communications Inc Class A * 1,134 80,231 1,185 83,839 3,311 234,253
Crompton & Knowles Corp 1,928 35,668 1,848 34,188 3,736 69,116
Delta & Pine Land Co -- -- -- -- 88 2,849
DeVry Inc * 100 2,513 -- -- 88 2,211
Dial Corp 1,977 57,704 2,614 76,296 5,306 154,869
Dole Food Co 1,234 38,871 1,132 35,658 2,407 75,821
Dollar Tree Stores Inc * 920 36,800 937 37,480 1,943 77,720
Electronic Arts Inc * 1,402 55,905 1,429 56,981 2,915 116,236
</TABLE>
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COMMON STOCKS(comntinued)
Estee Lauder Co Class A 200 $ 17,363 176 $ 15,279
Ethan Allen Interiors Inc 200 9,000 352 15,840
Family Dollar Stores Inc 660 13,200 1,807 36,140
Fastenal Co 200 7,600 352 13,376
Federal Mogul Corp 396 19,478 616 30,300
First American Corp 600 24,338 1,304 52,894
First Health Group Corp * 468 7,488 962 15,392
First Tennessee National Corp 716 27,253 1,578 60,063
Fiserv Inc * 425 19,975 876 41,172
Flowers Industries Inc 409 9,969 1,262 30,761
Forest Labs Inc Class A * 464 22,939 739 36,534
Galileo International Inc 200 10,100 440 22,220
Gartner Group Inc Class A * 200 4,488 616 13,822
General Nutrition Co Inc * 300 4,013 1,244 16,639
Global Telesystems Group Inc * 200 11,075 440 24,420
Gulfstream Aerospace Corp * 300 13,425 528 23,628
Harley-Davidson Inc 836 48,331 1,860 107,531
Health Management Associates
Inc Class A * 1,262 16,327 2,595 33,573
Hearst-Argyle Television Inc * 300 7,913 704 18,568
Hillenbrand Industries Inc 300 12,563 528 22,110
HON Industries Inc 206 4,893 751 17,836
Howmet International Inc * -- -- 176 2,838
I2 Technologies Inc * -- -- 176 4,389
Immunex Corp 100 14,100 264 37,356
Intermedia Communications Inc * -- -- 100 1,813
International Game Technology 597 11,343 1,244 23,636
International Home Foods Inc * 200 3,125 352 5,500
Interstate Bakeries Corp 200 4,800 528 12,672
Interstate Energy Corp 241 6,643 1,121 30,898
Intuit Inc * 300 29,681 528 52,239
JD Edwards & Co * 200 3,163 352 5,566
Jones Apparel Group Inc * 300 8,381 1,068 29,837
Kansas City Southern Industries 643 30,060 1,341 62,692
Keane Inc * 300 9,281 792 24,503
Keebler Food Co * 200 7,800 88 3,432
Knoll Inc * -- -- 176 3,366
Lancaster Colony Corp 207 5,693 431 11,853
Legato Systems Inc * -- -- 440 21,670
Leggett & Platt Inc 1,016 21,273 2,300 48,156
Lexmark International Group
Class A * 400 41,275 792 81,725
LHS Group Inc * 100 4,300 176 7,568
Lincare Holdings Inc * 200 7,125 440 15,675
Linear Technology Corp 972 42,586 1,796 78,687
Mail-Well Inc * -- -- 100 1,413
Martin Marietta Inc 100 5,131 88 4,516
Maxim Intergrated Products Inc * 700 29,181 1,420 59,196
McCormick & Co Inc 388 11,107 892 25,534
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<S> <C> <C> <C> <C> <C> <C>
COMMON STOCKS(comntinued)
Estee Lauder Co Class A 351 $ 30,471 625 $ 54,258 1,237 $ 107,387
Ethan Allen Interiors Inc 701 31,545 714 32,130 1,413 63,585
Family Dollar Stores Inc 3,317 66,340 3,107 62,140 6,433 128,660
Fastenal Co 701 26,638 714 27,132 1,413 53,694
Federal Mogul Corp 1,011 49,729 1,337 65,764 2,720 133,790
First American Corp 2,133 86,520 1,981 80,354 5,790 234,857
First Health Group Corp * 1,706 27,296 1,600 25,600 3,294 52,704
First Tennessee National Corp 2,502 95,232 2,411 91,769 6,942 264,230
Fiserv Inc * 1,588 74,636 1,422 66,834 3,923 184,381
Flowers Industries Inc 2,219 54,088 2,175 53,016 4,341 105,812
Forest Labs Inc Class A * 1,255 62,044 1,225 60,561 3,904 193,004
Galileo International Inc 877 44,289 893 45,097 1,855 93,678
Gartner Group Inc Class A * 1,140 25,579 1,161 26,050 2,385 53,513
General Nutrition Co Inc * 2,204 29,479 2,054 27,472 4,151 55,520
Global Telesystems Group Inc * 877 48,674 893 49,562 1,766 98,013
Gulfstream Aerospace Corp * 1,152 51,552 982 43,945 2,120 94,870
Harley-Davidson Inc 2,921 168,870 2,757 159,389 5,900 341,094
Health Management Associates
Inc Class A * 4,264 55,166 3,976 51,440 11,490 148,652
Hearst-Argyle Television Inc * 1,227 32,362 1,250 32,969 2,473 65,225
Hillenbrand Industries Inc 789 33,039 804 33,668 2,473 103,557
HON Industries Inc 1,299 30,851 1,168 27,740 2,535 60,206
Howmet International Inc * 351 5,660 268 4,322 795 12,819
I2 Technologies Inc * 263 6,559 268 6,683 618 15,411
Immunex Corp 438 61,977 446 63,109 883 124,945
Intermedia Communications Inc * 100 1,813 -- -- 88 1,595
International Game Technology 2,004 38,076 2,783 52,877 5,781 109,839
International Home Foods Inc * 701 10,953 714 11,156 1,413 22,078
Interstate Bakeries Corp 1,052 25,248 1,071 25,704 2,120 50,880
Interstate Energy Corp 1,829 50,412 1,735 47,821 677 18,660
Intuit Inc * 789 78,062 804 79,546 2,561 253,379
JD Edwards & Co * 614 9,709 625 9,883 1,413 22,343
Jones Apparel Group Inc * 1,853 51,768 1,786 49,896 3,621 101,162
Kansas City Southern Industries 2,112 98,736 1,924 89,947 5,723 267,550
Keane Inc * 1,327 41,054 1,696 52,470 3,533 109,302
Keebler Food Co * 175 6,825 893 34,827 1,766 68,874
Knoll Inc * 263 5,030 268 5,126 530 10,136
Lancaster Colony Corp 881 24,228 857 23,568 1,759 48,373
Legato Systems Inc * 789 38,858 804 39,597 88 4,334
Leggett & Platt Inc 3,648 76,380 3,454 72,318 9,239 193,442
Lexmark International Group
Class A * 1,140 117,634 1,161 119,801 3,003 309,872
LHS Group Inc * 351 15,093 357 15,351 707 30,401
Lincare Holdings Inc * 701 24,973 714 25,436 1,700 60,563
Linear Technology Corp 2,804 122,850 2,696 118,119 8,038 352,165
Mail-Well Inc * 100 1,413 -- -- 88 1,243
Martin Marietta Inc 175 8,980 179 9,185 442 22,680
Maxim Intergrated Products Inc * 2,291 95,506 2,054 85,626 6,359 265,091
McCormick & Co Inc 1,551 44,397 1,433 41,020 2,963 84,816
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COMMON STOCKS (continued)
McLeod Inc Class A * 200 $ 7,700 440 $ 16,940
MedImmune Inc * -- -- 528 29,040
Meritor Automotive Inc 270 4,286 1,094 17,367
Metris Companies Inc 160 6,880 112 4,816
Miller (Herman) Inc 476 8,092 1,279 21,743
Mylan Laboratories 703 19,201 1,482 40,477
National Commerce Bancorp 400 8,300 1,244 25,813
National Data Corp 200 9,663 440 21,258
Netscape Communications Corp * 401 31,052 884 68,455
Network Appliance Inc * -- -- 704 29,568
Network Associates Inc * 725 34,075 1,574 73,978
North Fork BanCorp Inc 800 17,600 1,596 35,112
NTL Inc * -- -- 528 41,019
Office Depot Inc 1,338 47,750 2,950 105,278
Omnicare Inc 400 9,575 1,244 29,778
Outdoor Systems Inc * 450 12,572 980 27,379
Pittston Brink's Group 323 7,914 546 13,377
Pixar Inc * -- -- 88 3,619
Platinum Technology Inc * 300 3,975 1,068 14,151
Policy Management System Corp * 496 18,135 299 10,932
Primedia Inc * -- -- 276 3,674
Protection One Inc * -- -- 100 813
Quintiles Transnational Corp * 300 12,938 704 30,360
Qwest Communications
International Inc * 700 43,006 1,596 98,054
Readers Digest Association Inc 400 13,600 1,156 39,304
Rexall Sundown Inc * 100 1,431 628 8,988
Reynolds & Reynolds Inc 246 4,643 910 17,176
Robert Half International Inc * 300 10,800 1,024 36,864
Ross Stores Inc 300 13,725 528 24,156
Rouse Co 300 7,013 980 22,908
Safeskin Corp * 200 4,650 616 14,322
Sanmina Corp * 200 10,425 440 22,990
Sepracor Inc * -- -- 352 43,912
Servicemaster Co 1,000 18,688 2,688 50,232
Shaw Inds * 1,160 25,448 1,622 35,583
Siebel Systems Inc * 300 13,200 706 31,064
Snyder Communications Inc * 200 6,850 352 12,056
Sonoco Products Co 526 12,887 1,212 29,694
Southdown Inc 275 12,977 440 20,763
Starbucks Corp 500 26,438 1,068 56,471
Starwood Hotels & Resorts
Worldwide Inc 1,064 32,984 2,182 67,642
Steris Corp * 300 9,863 880 28,930
Sterling Commerce Inc * 377 9,802 1,189 30,914
Stryker Corp 448 21,168 810 38,273
Suiza Foods Corp * 200 7,400 352 13,024
Sundstrand Corp 326 22,066 669 45,283
Sungard Data Sys Inc * 500 19,813 1,156 45,807
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COMMON STOCKS (continued)
McLeod Inc Class A * 877 $ 33,765 804 $ 30,954 1,766 $ 67,991
MedImmune Inc * -- -- -- -- -- --
Meritor Automotive Inc 1,868 29,655 1,814 28,797 3,630 57,626
Metris Companies Inc 227 9,605 145 6,235 139 5,881
Miller (Herman) Inc 2,376 40,392 2,246 38,182 4,540 77,180
Mylan Laboratories 2,348 64,130 2,256 61,617 6,229 170,130
National Commerce Bancorp 2,291 47,538 2,143 44,467 4,416 91,632
National Data Corp 877 42,370 893 43,143 1,766 85,320
Netscape Communications Corp * 1,592 123,281 1,625 125,836 3,308 256,163
Network Appliance Inc * -- -- -- -- -- --
Network Associates Inc * 2,467 115,949 2,332 109,604 6,779 318,613
North Fork BanCorp Inc 2,554 56,188 3,393 74,646 7,022 154,484
NTL Inc * 964 74,891 893 69,375 88 6,837
Office Depot Inc 4,839 172,692 4,453 158,916 11,870 423,611
Omnicare Inc 1,765 42,250 2,143 51,298 4,328 103,602
Outdoor Systems Inc * 1,524 42,577 2,254 62,971 4,615 128,932
Pittston Brink's Group 1,102 26,999 1,020 24,990 2,212 54,194
Pixar Inc * 263 10,816 268 11,022 530 21,796
Platinum Technology Inc * 1,853 24,552 1,786 23,665 3,621 47,978
Policy Management System Corp * 531 19,415 461 16,855 866 31,663
Primedia Inc * 351 4,673 268 3,568 795 10,583
Protection One Inc * 100 813 -- -- -- --
Quintiles Transnational Corp * 1,315 56,709 1,339 57,744 2,738 118,076
Qwest Communications
International Inc * 2,553 156,850 2,321 142,618 6,536 401,556
Readers Digest Association Inc 2,028 68,952 1,875 63,750 3,798 129,132
Rexall Sundown Inc * 1,064 15,229 893 12,781 1,943 27,809
Reynolds & Reynolds Inc 1,688 31,861 1,475 27,841 3,268 61,684
Robert Half International Inc * 1,853 66,708 1,741 62,676 3,621 130,356
Ross Stores Inc 1,315 60,161 1,250 57,188 2,561 117,166
Rouse Co 1,678 39,223 1,518 35,483 3,180 74,333
Safeskin Corp * 1,052 24,459 1,071 24,901 2,208 51,336
Sanmina Corp * 701 36,627 714 37,307 1,590 83,078
Sepracor Inc * -- -- 536 66,866 -- --
Servicemaster Co 5,045 94,278 4,728 88,355 9,790 182,951
Shaw Inds * 2,918 64,014 2,772 60,811 5,829 127,874
Siebel Systems Inc * 1,234 54,296 1,166 51,304 2,576 113,344
Snyder Communications Inc * 614 21,030 625 21,406 1,413 48,395
Sonoco Products Co 1,923 47,114 2,218 54,341 5,317 130,267
Southdown Inc 660 31,144 962 45,394 2,031 95,838
Starbucks Corp 1,678 88,724 1,518 80,264 4,504 238,149
Starwood Hotels & Resorts
Worldwide Inc 3,490 108,190 3,297 102,207 8,793 272,583
Steris Corp * 1,678 55,164 1,607 52,830 3,268 107,436
Sterling Commerce Inc * 2,076 53,976 1,961 50,986 3,952 102,752
Stryker Corp 1,387 65,536 1,239 58,543 3,886 183,614
Suiza Foods Corp * 701 25,937 714 26,418 1,502 55,574
Sundstrand Corp 1,043 70,598 1,366 92,461 2,818 190,743
Sungard Data Sys Inc * 1,765 69,938 2,321 91,970 4,769 188,972
</TABLE>
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COMMON STOCKS (continued)
Sybron Corp * 500 $ 12,281 1,244 $ 30,556
Symantec * 278 5,021 892 16,112
Symbol Technologies Inc 285 15,105 679 35,987
Synopsys Inc * 400 18,500 792 36,630
T Rowe Price Assoc Inc 500 15,406 1,244 38,331
TCA Cable TV Inc 532 23,475 616 27,181
Tel-Save Holdings Inc * 100 994 540 5,366
The Learning Company Inc * 160 4,650 669 19,443
Tiffany & Co 226 12,924 440 25,163
Total Renal Care Holdings Inc * -- -- 980 8,698
Total System Services Inc 450 10,238 484 11,011
Uniphase Corp * -- -- 440 38,775
United Asset Mgmt Corp 400 9,075 980 22,234
Univision Communications Inc * 100 4,075 264 10,758
USG Corp 200 10,025 440 22,055
Valspar 200 6,500 528 17,160
Vastar Resources Inc 200 7,700 264 10,164
Veritas Software Corp * 300 21,300 528 37,488
Viad Corp 536 14,171 1,314 34,739
Vitesse Semiconductor Corp * 300 13,763 792 36,383
Vulcan Materials Co 200 26,950 352 47,432
Waters Corp -- -- 352 32,758
Watson Pharmaceutical Inc * 500 24,156 980 47,346
West Point Stevens * 200 5,100 528 13,464
Whitman Corp 464 8,816 1,224 23,256
Whole Foods Market Inc * 200 6,175 352 10,868
Williams-Sonoma Inc * -- -- -- --
Xilinx Inc 447 31,178 792 55,242
Yahoo! Inc * 400 61,400 1,684 258,494
Young & Rubicam Inc * 100 3,775 264 9,966
Zions BanCorp 400 25,600 880 56,320
---------- ----------
TOTAL MEDIUM CAP GROWTH STOCKS
- VALUE $2,146,526 $5,176,543
- COST $1,455,274 $4,015,016
MEDIUM CAP VALUE STOCKS
Percent of Net Assets 2.24% 2.55%
Acnielson Corp * 73 $ 1,898 399 $ 10,374
Adaptec Inc * 600 11,963 1,684 33,575
AFLAC Corp 1,592 70,247 3,127 137,979
AG Edwards Inc 482 15,695 1,270 41,354
Airborne Freight Corp 300 11,700 704 27,456
Albemarle Corp 313 7,395 229 5,410
Alexander & Baldwin Inc 204 4,029 607 11,988
Alleghany Corp * 2 362 102 18,462
Allmerica Financial Corp 124 6,619 730 38,964
AMB Property Corp -- -- 980 20,580
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COMMON STOCKS (continued)
Sybron Corp * 1,941 $ 47,676 2,589 $ 63,592 5,299 $ 130,157
Symantec * 1,622 29,297 1,394 25,179 3,003 54,242
Symbol Technologies Inc 1,295 68,635 1,279 67,787 2,550 135,150
Synopsys Inc * 1,490 68,913 1,518 70,208 3,003 138,889
T Rowe Price Assoc Inc 1,941 59,807 2,411 74,289 5,034 155,110
TCA Cable TV Inc 650 28,681 493 21,754 88 3,883
Tel-Save Holdings Inc * 977 9,709 893 8,874 1,855 18,434
The Learning Company Inc * 240 6,975 143 4,156 442 12,846
Tiffany & Co 771 44,092 768 43,920 1,590 90,928
Total Renal Care Holdings Inc * 100 888 -- -- 88 781
Total System Services Inc 964 21,931 893 20,316 1,943 44,203
Uniphase Corp * -- -- -- -- 88 7,755
United Asset Mgmt Corp 1,765 40,043 1,696 38,478 3,445 78,158
Univision Communications Inc * 438 17,849 446 18,175 883 35,982
USG Corp 877 43,960 804 40,301 1,766 88,521
Valspar 964 31,330 982 31,915 2,031 66,008
Vastar Resources Inc 438 16,863 446 17,171 883 33,996
Veritas Software Corp * 1,052 74,692 1,027 72,917 2,120 150,520
Viad Corp 1,801 47,614 2,257 59,669 4,512 119,286
Vitesse Semiconductor Corp * 1,678 77,083 1,518 69,733 3,180 146,081
Vulcan Materials Co 526 70,879 536 72,226 1,590 214,253
Waters Corp 701 65,237 625 58,164 -- --
Watson Pharmaceutical Inc * 1,590 76,817 1,429 69,039 3,975 192,042
West Point Stevens * 1,152 29,376 1,071 27,311 2,120 54,060
Whitman Corp 2,687 51,053 2,584 49,096 5,357 101,783
Whole Foods Market Inc * 701 21,643 625 19,297 1,325 40,909
Williams-Sonoma Inc * -- -- -- -- 442 15,111
Xilinx Inc 1,367 95,348 1,673 116,692 3,462 241,475
Yahoo! Inc * 2,554 392,039 2,322 356,427 2,296 352,436
Young & Rubicam Inc * 438 16,535 446 16,837 883 33,333
Zions BanCorp 1,502 96,128 1,339 85,696 3,621 231,744
---------- ---------- -----------
TOTAL MEDIUM CAP GROWTH STOCKS
- VALUE $8,455,274 $8,545,946 $18,286,357
- COST $6,660,946 $6,860,847 $14,899,261
MEDIUM CAP VALUE STOCKS
Percent of Net Assets 2.89% 3.78% 4.67%
Acnielson Corp * 805 $ 20,930 631 $ 16,406 1,440 $ 37,440
Adaptec Inc * 3,080 61,408 2,946 58,736 6,094 121,499
AFLAC Corp 5,138 226,714 4,798 211,712 10,381 458,062
AG Edwards Inc 2,313 75,317 2,201 71,670 4,449 144,871
Airborne Freight Corp 1,315 51,285 1,250 48,750 2,650 103,350
Albemarle Corp 536 12,663 386 9,119 871 20,577
Alexander & Baldwin Inc 1,064 21,014 990 19,553 2,190 43,253
Alleghany Corp * 104 18,824 104 18,824 304 55,024
Allmerica Financial Corp 1,384 73,871 1,314 70,135 1,151 61,435
AMB Property Corp 363 7,623 268 5,628 707 14,847
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COMMON STOCKS(continued)
AMBAC Inc 400 $ 22,400 616 $ 34,496
American Bankers Insurance Group Inc -- -- 352 16,896
American Financial Group Inc 304 11,229 343 12,670
American National Insurance Co 100 7,525 88 6,622
American Standard Co Inc * 200 6,713 716 24,031
American Water Works Co Inc 300 9,075 880 26,620
AmSouth Bancorp 600 28,200 1,354 63,638
Analog Devices Inc * 901 22,581 1,883 47,193
Apartment Investment & Management Co -- -- 616 24,101
Archstone Communities Trust 600 11,738 1,156 22,614
Arden Realty Group Inc 200 4,675 892 20,851
Arrow Electronics Inc * 386 5,476 1,237 17,550
Associated Banc Corp 350 10,872 638 19,818
Astoria Financial Corp 430 19,484 581 26,327
Autoliv Inc 544 20,672 1,243 47,234
Avalonbay Communities Inc -- -- 792 24,998
Avnet Inc 230 9,128 484 19,209
AVX Corp 300 4,106 364 4,982
Bancwest Corp 200 7,838 264 10,346
Belo (A H) Corp 412 7,468 1,050 19,031
Bergen Brunswig Corp Class A 650 15,884 1,411 34,481
Berkshire Hathaway Inc Class A * -- -- 20 142,200
BJ Services Co * 300 4,219 1,068 15,019
BJ's Wholesale Club Inc 365 15,900 440 19,168
Borders Group Inc * 300 4,144 980 13,536
Boston Properties Inc 200 6,463 528 17,061
Bowater Inc 295 12,427 713 30,035
Brinker International Inc * 956 27,664 971 28,098
Cabot Corp 310 7,808 927 23,349
Cali Realty Corp 300 8,681 792 22,919
Camden Property Trust -- -- 528 12,936
CarrAmercia Realty Corp 300 6,450 440 9,460
CBRL Group Inc 249 4,669 901 16,894
CCB Financial Corp 200 10,388 352 18,282
Centura Banks Inc 200 12,800 352 22,528
Charter One Financial Inc 742 21,379 1,598 46,042
Chiron Corp * 396 8,341 1,237 26,054
Circus Circus Entertainment Inc * 529 9,059 1,270 21,749
City National Corp 200 6,450 528 17,028
CKE Restaurants Inc 220 5,844 484 12,856
Clayton Homes Inc 657 8,130 1,621 20,060
CNA Financial Corp * 200 6,788 176 5,973
CNF Transportation Inc 262 11,070 670 28,308
Colonial BancGroup Inc -- -- 188 2,327
Coltec Industries * 100 1,800 716 12,888
Comdisco Inc 548 6,576 1,362 16,344
Commerce Bancshares Inc 352 14,332 679 27,659
</TABLE>
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COMMON STOCKS(continued)
AMBAC Inc 1,052 $ 58,912 1,071 $ 59,976 3,180 178,080
American Bankers Insurance Group Inc 614 29,472 536 25,728 1,413 67,824
American Financial Group Inc 888 32,801 900 33,244 1,837 67,854
American National Insurance Co 263 19,791 268 20,167 530 39,883
American Standard Co Inc * 1,327 44,537 1,161 38,966 2,473 83,000
American Water Works Co Inc 1,765 53,391 1,607 48,612 3,356 101,519
AmSouth Bancorp 2,160 101,520 1,987 93,389 5,940 279,180
Analog Devices Inc * 3,026 75,839 2,822 70,726 8,240 206,515
Apartment Investment & Management Co 1,052 41,160 1,071 41,903 88 3,443
Archstone Communities Trust 1,853 36,249 2,768 54,149 5,741 112,308
Arden Realty Group Inc 1,502 35,109 1,339 31,299 2,826 66,058
Arrow Electronics Inc * 2,290 32,489 2,161 30,659 4,372 62,028
Associated Banc Corp 986 30,628 937 29,106 3,180 98,779
Astoria Financial Corp 881 39,920 1,344 60,900 2,747 124,473
Autoliv Inc 2,001 76,038 1,815 68,970 5,397 205,086
Avalonbay Communities Inc 1,590 50,184 1,429 45,103 88 2,778
Avnet Inc 889 35,282 946 37,544 1,956 77,629
AVX Corp 626 8,568 536 7,337 1,148 15,713
Bancwest Corp 526 20,613 446 17,478 1,148 44,987
Belo (A H) Corp 1,878 34,039 1,775 32,172 3,692 66,918
Bergen Brunswig Corp Class A 2,004 48,973 2,634 64,368 5,211 127,344
Berkshire Hathaway Inc Class A * 40 284,400 40 284,400 80 568,800
BJ Services Co * 1,941 27,295 1,696 23,850 3,710 52,172
BJ's Wholesale Club Inc 436 18,993 328 14,289 88 3,834
Borders Group Inc * 1,765 24,379 1,696 23,426 3,445 47,584
Boston Properties Inc 1,052 33,993 1,071 34,607 2,120 68,503
Bowater Inc 1,360 57,290 1,346 56,700 2,804 118,119
Brinker International Inc * 1,740 50,351 1,045 30,240 1,970 57,007
Cabot Corp 1,916 48,259 1,814 45,690 3,701 93,219
Cali Realty Corp 1,402 40,570 1,429 41,352 2,915 84,353
Camden Property Trust -- -- -- -- 88 2,156
CarrAmercia Realty Corp 1,402 30,143 1,339 28,789 2,826 60,759
CBRL Group Inc 1,600 30,000 1,492 27,975 3,113 58,369
CCB Financial Corp 701 36,408 714 37,083 1,678 87,151
Centura Banks Inc 438 28,032 625 40,000 1,325 84,800
Charter One Financial Inc 2,545 73,322 2,338 67,364 6,919 199,354
Chiron Corp * 2,225 46,864 2,143 45,137 4,374 92,127
Circus Circus Entertainment Inc * 2,311 39,576 2,198 37,641 4,412 75,556
City National Corp 964 31,089 982 31,670 2,031 65,500
CKE Restaurants Inc 968 25,713 786 20,878 1,749 46,458
Clayton Homes Inc 2,888 35,739 2,812 34,799 5,638 69,770
CNA Financial Corp * 351 11,912 714 24,231 1,502 50,974
CNF Transportation Inc 1,236 52,221 1,226 51,799 2,418 102,161
Colonial BancGroup Inc 100 1,238 -- -- 88 1,089
Coltec Industries * 1,327 23,886 1,161 20,898 2,650 47,700
Comdisco Inc 3,100 37,200 2,953 35,436 6,029 72,348
Commerce Bancshares Inc 1,070 43,607 1,054 42,959 3,265 133,061
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COMMON STOCKS(continued)
Commercial Federal Corp -- $ -- 804 $ 17,537
Compass Bancshares Inc 400 14,650 792 29,007
CompUSA Inc * 400 4,200 1,332 13,986
Comsat Corp 510 14,918 704 20,592
Conexant Systems Inc * 110 1,870 890 15,122
Conoco Inc -- -- 100 2,031
Consolidated Papers Inc 372 8,277 857 19,068
Continental Airlines Class B * 300 10,388 528 18,282
Cooper Cameron Corp * 300 6,938 616 14,245
Cordant Technologies Inc 232 9,034 440 17,133
Cornerstone Properties Inc 400 6,050 1,420 21,478
Corporate Express Inc * 550 2,956 1,200 6,450
Crescent Real Estate Equities Co 600 12,525 1,332 27,806
Cullen/Frost Bankers Inc -- -- 352 16,654
Cytec Industries Inc * 200 5,363 440 11,798
Dean Foods Co 224 8,162 475 17,308
Dentsply International Inc 400 10,200 616 15,708
Diamond Offshore Driling Inc 300 6,206 980 20,274
Diebold Inc 366 10,683 1,011 29,509
Dime Bancorp Inc 700 17,325 1,420 35,145
Donaldson Lufkin & Jenrette Inc 200 11,400 352 20,064
DST Systems Inc * 200 10,850 352 19,096
Duke Realty Investments 300 6,544 1,156 25,215
Earthgrains Co 56 1,376 257 6,313
Enron Oil & Gas Co 200 3,300 980 16,170
Ensco International Inc 600 5,325 1,948 17,289
Equitable Co Inc 400 27,025 1,156 78,102
Equity Office Properties 1,200 30,900 2,971 76,503
Equity Residential Properties Trust 500 20,500 1,332 54,612
Everest Reinsurance Holdings Inc 300 9,956 616 20,444
EW Scripps Co 200 8,200 264 10,824
Felcor Lodging Trust Inc 300 7,088 892 21,074
Fingerhut Co 405 9,948 352 8,646
Finova Group Inc 300 15,244 616 31,301
First American Financial Corp -- -- 616 14,438
First Security Corp 1,041 19,324 1,820 33,784
First Virginia Banks Inc 338 16,118 590 28,136
Firstmerit Corp 300 7,331 804 19,648
Food Lion Inc Class A 900 8,578 2,400 22,875
Food Lion Inc Class B 1,300 12,675 2,564 24,999
FORE Systems Inc * 400 5,800 1,244 18,038
Foundation Health Systems * 391 3,128 1,443 11,544
Fox Entertainment Group Inc * -- -- 100 2,600
Franchise Finance Corp -- -- 88 1,936
Fremont General Corp 400 7,900 804 15,879
Fulton Financial Corp -- -- 716 15,842
Furniture Brands International Inc * -- -- -- --
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COMMON STOCKS(continued)
Commercial Federal Corp 100 $ 2,181 -- $ -- 88 $ 1,920
Compass Bancshares Inc 1,371 50,213 1,741 63,764 3,577 131,008
CompUSA Inc * 2,291 24,056 2,143 22,502 4,416 46,368
Comsat Corp 1,331 38,932 1,352 39,546 2,729 79,823
Conexant Systems Inc * 1,882 31,994 1,624 27,608 3,175 53,975
Conoco Inc 100 2,031 -- -- 265 5,383
Consolidated Papers Inc 1,538 34,221 1,411 31,395 2,862 63,680
Continental Airlines Class B * 1,227 42,485 1,250 43,281 2,561 88,675
Cooper Cameron Corp * 1,140 26,363 1,161 26,848 2,385 55,153
Cordant Technologies Inc 868 33,798 821 31,968 1,766 68,764
Cornerstone Properties Inc 2,554 38,629 2,500 37,813 5,123 77,485
Corporate Express Inc * 2,247 12,078 2,009 10,798 4,416 23,736
Crescent Real Estate Equities Co 2,028 42,335 2,768 57,782 5,741 119,843
Cullen/Frost Bankers Inc -- -- -- -- -- --
Cytec Industries Inc * 877 23,515 804 21,557 1,766 47,351
Dean Foods Co 1,058 38,551 1,015 36,984 2,124 77,393
Dentsply International Inc 1,052 26,826 1,071 27,311 2,296 58,548
Diamond Offshore Driling Inc 1,765 36,513 1,607 33,245 3,356 69,427
Diebold Inc 1,335 38,965 1,778 51,895 3,582 104,550
Dime Bancorp Inc 2,291 56,702 3,036 75,141 6,183 153,029
Donaldson Lufkin & Jenrette Inc 614 34,998 625 35,625 1,325 75,525
DST Systems Inc * 789 42,803 714 38,735 1,501 81,429
Duke Realty Investments 2,028 44,236 1,875 40,898 3,886 84,763
Earthgrains Co 586 14,394 479 11,765 1,169 28,714
Enron Oil & Gas Co 1,765 29,123 1,518 25,047 3,445 56,843
Ensco International Inc 3,519 31,231 3,393 30,113 6,889 61,140
Equitable Co Inc 1,765 119,248 1,964 132,693 4,063 274,506
Equity Office Properties 4,815 123,986 5,254 135,291 10,835 279,001
Equity Residential
Properties Trust 2,291 93,931 2,232 91,512 4,593 188,313
Everest Reinsurance Holdings Inc 1,140 37,834 1,071 35,544 2,296 76,199
EW Scripps Co 614 25,174 625 25,625 1,237 50,717
Felcor Lodging Trust Inc 1,590 37,564 1,429 33,760 3,003 70,946
Fingerhut Co 626 15,376 454 11,151 247 6,067
Finova Group Inc 964 48,983 1,339 68,038 2,826 143,596
First American Financial Corp 1,140 26,719 1,161 27,211 88 2,063
First Security Corp 2,898 53,799 2,704 50,193 9,352 173,592
First Virginia Banks Inc 952 45,398 1,376 65,618 2,841 135,480
Firstmerit Corp 1,853 45,283 1,696 41,446 3,533 86,338
Food Lion Inc Class A 4,320 41,175 4,018 38,297 8,391 79,977
Food Lion Inc Class B 4,758 46,391 4,553 44,392 9,274 90,422
FORE Systems Inc * 2,204 31,958 2,143 31,074 4,328 62,756
Foundation Health Systems * 2,602 20,816 2,422 19,376 5,071 40,568
Fox Entertainment Group Inc * 100 2,600 -- -- 177 4,602
Franchise Finance Corp -- -- -- -- 265 5,830
Fremont General Corp 1,327 26,208 1,250 24,688 2,473 48,842
Fulton Financial Corp 100 2,213 -- -- 88 1,947
Furniture Brands
International Inc * -- -- -- -- 88 1,881
</TABLE>
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COMMON STOCKS(continued)
GATX Corp 346 $ 11,959 651 $ 22,500
General Growth Properties Inc -- -- -- --
General Motors Corp Class H * 600 28,313 1,332 62,854
Genzyme Corp - General Division * 326 14,670 898 40,410
Georgia Pacific Corp 437 8,904 1,326 27,017
Global Marine Inc * 800 6,200 2,189 16,965
Greenpoint Financial Corp 500 15,344 980 30,074
GTech Holdings Corp * 200 4,525 440 9,955
Hannaford Brothers Co 236 11,092 405 19,035
Harsco Corp 338 9,485 634 17,792
Harte-Hanks Inc 200 5,175 528 13,662
Hawaiian Electric Industries Inc 192 6,696 387 13,497
Heftel Broadcasting Corp * 100 4,100 352 14,520
Hertz Corp Class A 100 3,981 264 10,511
Hibernia Corp Class A 900 14,569 1,772 28,684
Highwoods Properties Inc 300 7,181 892 21,352
Horace Mann Educators 300 7,031 616 14,438
Hormel Foods Corp 300 10,800 616 22,176
Hospitalities Properties Trust -- -- -- --
Host Marriott Corp 1,087 11,753 2,108 22,793
HRPT Properties Trust 700 9,581 1,596 21,845
HSB Group Inc 345 12,765 370 13,690
Hubbell Inc Class B 332 12,367 674 25,107
IBP Inc 432 9,720 1,086 24,435
ICN Pharmaceuticals Inc 400 8,750 1,073 23,472
IMC Global Inc 536 10,687 1,443 28,770
Indymac Mortgage Holdings 200 2,125 892 9,478
Infinity Broadasting Corp * -- -- 100 2,375
Ingram Micro Inc * 100 2,200 176 3,872
International Specialty
Products Inc *-- -- 276 2,432
Iomega Corp * 1,000 6,063 3,469 21,031
Jacor Communications Inc * 100 6,975 176 12,276
Johns Manville Corp 100 1,756 440 7,728
Keystone Financial Inc 300 10,838 704 25,432
Kimco Realty Corp 300 11,381 484 18,362
Lafarge Corp 300 9,563 440 14,025
Lear Corp * 300 10,594 616 21,753
Legg Mason Inc 400 11,325 704 19,932
Leucadia National Corp * 200 5,963 528 15,741
Liberty Media Group-Class A * 1,853 99,830 3,812 205,372
Liberty Property Trust -- -- 892 19,513
Litton Industries Inc * 201 11,281 343 19,251
Loral Space & Communications * 1,042 18,756 2,626 47,268
Lubrizol Corp 329 6,272 857 16,337
Lyondell PetroChemical 76 1,017 698 9,336
M & T Bank Corp -- -- 88 41,866
Manpower Inc 300 7,181 1,156 27,672
</TABLE>
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COMMON STOCKS(continued)
GATX Corp 1,231 $ 42,546 1,191 $ 41,164 2,579 $ 89,137
General Growth Properties Inc -- -- -- -- 88 2,970
General Motors Corp Class H * 2,028 95,696 1,875 88,477 5,476 258,399
Genzyme Corp - General Division * 831 37,395 664 29,880 1,501 67,545
Georgia Pacific Corp 2,457 50,061 1,639 33,395 4,678 95,314
Global Marine Inc * 4,007 31,054 3,764 29,171 7,923 61,403
Greenpoint Financial Corp 1,502 46,093 1,429 43,852 4,593 140,948
GTech Holdings Corp * 877 19,842 804 18,191 1,766 39,956
Hannaford Brothers Co 828 38,916 772 36,284 1,537 72,239
Harsco Corp 1,182 33,170 1,212 34,012 2,491 69,904
Harte-Hanks Inc 1,052 27,221 982 25,409 2,120 54,855
Hawaiian Electric Industries Inc 809 28,214 806 28,109 1,572 54,824
Heftel Broadcasting Corp * 614 25,328 625 25,781 1,237 51,026
Hertz Corp Class A 526 20,941 536 21,340 1,060 42,201
Hibernia Corp Class A 2,905 47,025 3,928 63,585 7,949 128,674
Highwoods Properties Inc 1,590 38,061 1,518 36,337 3,091 73,991
Horace Mann Educators 1,140 26,719 1,161 27,211 2,385 55,898
Hormel Foods Corp 1,140 41,040 1,161 41,796 2,385 85,860
Hospitalities Properties Trust -- -- -- -- 88 2,266
Host Marriott Corp 3,339 36,103 4,658 50,365 9,696 104,838
HRPT Properties Trust 3,519 48,166 3,393 46,442 6,889 94,293
HSB Group Inc 756 27,972 746 27,602 1,528 56,536
Hubbell Inc Class B 1,409 52,485 1,459 54,348 2,916 108,621
IBP Inc 1,636 36,810 2,270 51,075 4,593 103,343
ICN Pharmaceuticals Inc 1,907 41,716 1,839 40,228 3,763 82,316
IMC Global Inc 2,594 51,718 2,494 49,724 5,132 102,319
Indymac Mortgage Holdings 1,678 17,829 1,518 16,129 3,091 32,842
Infinity Broadasting Corp * 100 2,375 -- -- -- --
Ingram Micro Inc * 351 7,722 357 7,854 618 13,596
International Specialty
Products Inc * 363 3,199 268 2,362 618 5,446
Iomega Corp * 6,267 37,994 5,967 36,175 12,203 73,981
Jacor Communications Inc * 263 18,344 268 18,693 618 43,106
Johns Manville Corp 789 13,857 804 14,120 1,678 29,470
Keystone Financial Inc 1,315 47,504 1,250 45,156 2,650 95,731
Kimco Realty Corp 745 28,263 1,250 47,422 2,473 93,819
Lafarge Corp 789 25,149 714 22,759 1,590 50,681
Lear Corp * 1,227 43,328 1,161 40,998 2,473 87,328
Legg Mason Inc 1,227 34,739 1,250 35,391 2,561 72,508
Leucadia National Corp * 1,052 31,363 1,071 31,929 2,208 65,826
Liberty Media Group-Class A * 6,105 328,907 5,666 305,256 12,494 673,114
Liberty Property Trust 100 2,188 -- -- 88 1,925
Litton Industries Inc * 621 34,854 896 50,288 1,836 103,046
Loral Space & Communications * 4,919 88,542 4,657 83,826 9,620 173,160
Lubrizol Corp 1,517 28,918 1,466 27,946 3,003 57,245
Lyondell PetroChemical 1,167 15,609 975 13,041 2,160 28,890
M & T Bank Corp 88 41,866 89 42,342 265 126,074
Manpower Inc 2,116 50,652 1,964 47,013 4,063 97,258
</TABLE>
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COMMON STOCKS(continued)
Marshall & Ilsley Corp 558 $ 31,248 1,279 $ 71,624
Meditrust Co 602 7,375 1,226 15,019
Mercantile Bankshares 454 16,543 823 29,988
Mercury General Corp 200 6,975 352 12,276
Metro-Goldwyn-Mayer Inc * -- -- 503 5,250
MGM Grand Inc * 145 5,461 128 4,820
Microchip Technology Inc * 400 10,900 704 19,184
Millenium Chemicals Inc 410 7,406 1,099 19,851
Modis Professional Services * 500 6,844 1,420 19,436
Mohawk Industries Inc * -- -- -- --
Molex Inc 316 8,453 524 14,017
Molex Inc Class A 312 7,332 1,049 24,652
Mony Group Inc -- -- -- --
Murphy Oil Corp 293 10,017 510 17,436
Nabisco Holdings Corp Class A 200 8,875 176 7,810
Nabors Industries Inc * 500 5,750 1,332 15,318
NCR Corp 571 23,375 1,208 49,453
Neiman Marcus Group Inc * 100 2,588 264 6,831
Noble Affiliates Inc 238 5,385 742 16,788
Noble Drilling Corp * 700 8,663 1,860 23,018
Northwest Airlines Corp Class A * 300 7,500 616 15,400
Ocwen Financial Corp * -- -- 364 2,912
Officemax Inc * 700 5,425 1,816 14,074
Ogden Corp 301 7,356 638 15,591
Ohio Casualty Corp 200 8,075 352 14,212
Old Kent Financial Corp 522 22,903 1,319 57,871
Old National Bancorp 362 16,788 213 9,878
Old Republic International Corp 625 11,758 1,706 32,094
Olin Corp 270 3,426 669 8,488
Outback Steakhouse Inc 200 8,775 528 23,166
Pacific Century Financial Corp 648 14,216 998 21,894
PacifiCare Health Systems
Inc Class B * 174 12,572 260 18,785
Paine Webber Group Inc 600 22,425 1,332 49,784
Panasmat Corp * 100 3,588 176 6,314
Park Place Entertainment Corp * 364 2,730 2,013 15,098
Patriot American Hospitality Inc 751 4,084 1,911 10,391
Payless Shoesource Inc * 217 11,908 362 19,865
Pentair Inc 200 7,575 440 16,665
Peoples Bank Bridgeport 100 2,794 352 9,856
Peoples Heritage Financial
Group Inc -- -- 1,244 21,148
Pier 1 Imports Inc 550 4,744 1,552 13,386
Pioneer Natural Resources Co 476 2,469 1,329 6,894
Post Properties Inc -- -- 440 15,703
Premark International Inc 461 14,723 533 17,023
Promus Hotel Corp * 441 15,518 1,084 38,143
Protective Life Corp 300 10,350 792 27,324
Provident Financial Group 100 3,881 264 10,296
</TABLE>
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COMMON STOCKS(continued)
Marshall & Ilsley Corp 2,031 $ 113,736 1,860 $ 104,160 5,582 $ 312,592
Meditrust Co 2,686 32,904 2,329 28,530 5,401 66,162
Mercantile Bankshares 1,870 68,138 1,752 63,839 3,639 132,596
Mercury General Corp 701 24,447 714 24,901 1,325 46,209
Metro-Goldwyn-Mayer Inc * 903 9,425 613 6,398 1,617 16,877
MGM Grand Inc * 253 9,563 258 9,752 575 21,706
Microchip Technology Inc * 1,315 35,834 1,295 35,289 2,738 74,611
Millenium Chemicals Inc 2,039 36,829 1,916 34,608 3,927 70,931
Modis Professional Services * 2,554 34,958 2,500 34,219 4,946 67,698
Mohawk Industries Inc * -- -- -- -- 88 2,860
Molex Inc 1,087 29,077 998 26,697 2,193 58,663
Molex Inc Class A 1,805 42,418 1,686 39,621 3,512 82,532
Mony Group Inc -- -- -- -- 88 2,228
Murphy Oil Corp 1,032 35,282 979 33,470 2,093 71,554
Nabisco Holdings Corp Class A 263 11,671 268 11,893 530 23,519
Nabors Industries Inc * 2,366 27,209 2,258 25,967 4,593 52,820
NCR Corp 1,924 78,764 1,843 75,448 5,321 217,828
Neiman Marcus Group Inc * 526 13,610 536 13,869 1,060 27,428
Noble Affiliates Inc 1,391 31,471 1,212 27,422 2,579 58,350
Noble Drilling Corp * 3,256 40,293 3,125 38,672 6,448 79,794
Northwest Airlines Corp Class A * 1,152 28,800 1,786 44,650 3,710 92,750
Ocwen Financial Corp * 626 5,008 536 4,288 972 7,776
Officemax Inc * 3,343 25,908 3,170 24,568 6,492 50,313
Ogden Corp 1,213 29,643 1,166 28,494 2,424 59,237
Ohio Casualty Corp 701 28,303 714 28,828 1,502 60,643
Old Kent Financial Corp 2,035 89,286 1,946 85,381 5,314 233,152
Old National Bancorp 426 19,756 325 15,072 751 34,828
Old Republic International Corp 3,124 58,770 2,924 55,008 6,138 115,471
Olin Corp 1,208 15,327 1,212 15,377 2,438 30,932
Outback Steakhouse Inc 877 38,478 893 39,180 1,855 81,388
Pacific Century Financial Corp 1,602 35,144 1,387 30,427 4,125 90,492
PacifiCare Health Systems
Inc Class B * 549 39,665 546 39,449 1,055 76,224
Paine Webber Group Inc 2,072 77,441 1,875 70,078 5,520 206,310
Panasmat Corp * 263 9,435 268 9,615 618 22,171
Park Place Entertainment Corp * 4,361 32,708 3,584 26,880 8,493 63,698
Patriot American Hospitality Inc 3,424 18,618 3,187 17,329 6,791 36,926
Payless Shoesource Inc * 1,002 54,985 996 54,656 2,035 111,671
Pentair Inc 856 32,421 809 30,641 1,766 66,887
Peoples Bank Bridgeport 701 19,628 625 17,500 1,325 37,100
Peoples Heritage Financial
Group Inc 100 1,700 -- -- 88 1,496
Pier 1 Imports Inc 2,730 23,546 2,589 22,330 5,299 45,704
Pioneer Natural Resources Co 2,409 12,497 2,219 11,511 4,648 24,112
Post Properties Inc -- -- -- -- 88 3,141
Premark International Inc 1,431 45,703 1,425 45,511 2,959 94,503
Promus Hotel Corp * 1,665 58,587 2,222 78,187 4,456 156,796
Protective Life Corp 1,402 48,369 1,339 46,196 2,826 97,497
Provident Financial Group 526 20,514 446 17,394 972 37,908
</TABLE>
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COMMON STOCKS (continued)
Public Storage Inc 400 $ 10,200 892 $ 22,746
Qualcom Inc * 400 29,200 792 57,816
Quantum Corp * 700 11,506 1,860 30,574
Questar Corp 354 6,328 1,138 20,342
Quorum Health Group Inc * 50 463 584 5,402
Rayonier Inc 156 6,386 396 16,211
Reinsurance Group of America Inc -- -- 352 22,682
Reliance Group Holdings 200 2,063 892 9,199
Reliastar Financial Corp 500 22,688 1,156 52,454
Republic Industries Inc * 2,000 24,500 4,816 58,996
Republic Services Inc Class A * -- -- -- --
RPM Inc 372 5,138 1,383 19,103
R&B Falcon Corp * 372 2,046 1,531 8,421
Saks Inc * 564 20,269 1,445 51,930
SCI Sys Inc * 400 12,375 704 21,780
Simon Property Group Inc 400 10,175 1,156 29,406
Smurfit-Stone Container Corp * 686 12,391 1,104 19,941
Sodexho Marriott Services Inc * 44 1,029 221 5,166
Solutia Inc 643 11,453 1,372 24,439
Southtrust Corp 906 36,297 1,922 77,000
Sovereign Bancorp Inc 800 9,800 1,948 23,863
Spieker Properties Inc 300 10,725 704 25,168
St Joe Corp 300 6,469 352 7,590
Sterling Software * 300 7,650 980 24,990
Stewart Enterprises Inc 400 6,000 892 13,380
Storage Technology Corp * 618 21,514 1,218 42,402
TCF Financial Corp 500 12,031 1,156 27,816
Tech Data Corp * 300 5,100 616 10,472
Tele-Communications TCI Ventures
Group Class A * 2,216 61,356 4,636 128,359
Teleflex Inc 350 12,447 440 15,648
Teradyne Inc * 476 22,670 898 42,767
The PMI Group Inc 100 4,313 352 15,180
Thermo Instrument Systems * 250 3,703 225 3,333
Tidewater Inc 265 4,985 848 15,953
Tootsie Roll Inds Inc 436 20,056 209 9,614
Tosco Corp 771 15,950 1,895 39,203
Transatlantic Holdings Inc 126 9,411 220 16,431
Transocean Offshore Inc 400 8,250 1,244 25,658
Travelers Property Casualty 100 3,794 88 3,339
Trigon Healthcare Inc * -- -- 528 18,513
Trinity Industries 322 10,606 563 18,544
Trustmark Corp 300 6,356 716 15,170
Tyson Food Inc 491 10,066 883 18,102
UAL Corp * 400 23,900 704 42,064
Ultramar Diamond Shamrock Corp 510 10,073 1,116 22,041
Unifi Inc 168 2,027 892 10,760
</TABLE>
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COMMON STOCKS (continued)
Public Storage Inc 1,327 $ 33,839 1,964 $ 50,082 4,063 $ 103,607
Qualcom Inc * 1,227 89,571 1,518 110,814 3,180 232,140
Quantum Corp * 3,413 56,101 3,277 53,866 6,801 111,791
Questar Corp 1,958 34,999 1,857 33,194 3,763 67,264
Quorum Health Group Inc * 1,064 9,842 848 7,844 1,943 17,973
Rayonier Inc 756 30,949 737 30,171 1,518 62,143
Reinsurance Group of America Inc -- -- -- -- -- --
Reliance Group Holdings 1,678 17,304 1,518 15,654 3,356 34,609
Reliastar Financial Corp 1,765 80,087 1,696 76,956 4,681 212,400
Republic Industries Inc * 7,789 95,415 7,322 89,695 18,698 229,051
Republic Services Inc Class A * -- -- -- -- 88 1,535
RPM Inc 2,552 35,250 2,417 33,385 5,021 69,353
R&B Falcon Corp * 2,744 15,092 2,587 14,229 5,337 29,354
Saks Inc * 2,532 90,994 2,477 89,017 5,077 182,455
SCI Sys Inc * 1,402 43,374 1,429 44,210 2,915 90,183
Simon Property Group Inc 2,028 51,587 1,875 47,695 3,975 101,114
Smurfit-Stone Container Corp * 3,338 60,290 2,912 52,598 6,114 110,434
Sodexho Marriott Services Inc * 515 12,038 441 10,308 1,181 27,606
Solutia Inc 2,201 39,205 2,875 51,211 6,040 107,588
Southtrust Corp 2,997 120,067 2,839 113,737 7,774 311,446
Sovereign Bancorp Inc 3,519 43,108 3,393 41,564 6,978 85,481
Spieker Properties Inc 1,315 47,011 1,339 47,869 2,738 97,884
St Joe Corp 701 15,115 714 15,396 1,502 32,387
Sterling Software * 1,765 45,008 1,607 40,979 3,356 85,578
Stewart Enterprises Inc 1,415 21,225 1,250 18,750 4,593 68,895
Storage Technology Corp * 1,913 66,596 1,816 63,220 5,609 195,263
TCF Financial Corp 2,116 50,916 2,411 58,015 4,858 116,896
Tech Data Corp * 1,052 17,884 1,071 18,207 2,208 37,536
Tele-Communications TCI Ventures
Group Class A * 7,348 203,448 6,941 192,179 15,007 415,506
Teleflex Inc 796 28,308 793 28,201 1,678 59,674
Teradyne Inc * 1,581 75,295 2,054 97,822 4,284 204,026
The PMI Group Inc 614 26,479 536 23,115 1,148 49,508
Thermo Instrument Systems * 394 5,836 457 6,769 814 12,057
Tidewater Inc 1,524 28,670 1,326 24,945 2,884 54,255
Tootsie Roll Inds Inc 573 26,358 390 17,940 975 44,850
Tosco Corp 3,490 72,199 3,372 69,758 6,920 143,158
Transatlantic Holdings Inc 466 34,804 437 32,638 936 69,908
Transocean Offshore Inc 2,204 45,458 2,054 42,364 4,240 87,450
Travelers Property Casualty 263 9,978 268 10,167 530 20,107
Trigon Healthcare Inc * -- -- -- -- 88 3,086
Trinity Industries 1,056 34,782 1,103 36,330 2,213 72,891
Trustmark Corp 1,765 37,396 1,696 35,934 3,445 72,991
Tyson Food Inc 1,337 27,409 1,226 25,133 4,809 98,585
UAL Corp * 1,052 62,857 1,071 63,992 3,091 184,687
Ultramar Diamond Shamrock Corp 1,715 33,871 2,264 44,714 4,527 89,408
Unifi Inc 1,574 18,986 1,412 17,032 2,950 35,584
</TABLE>
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COMMON STOCKS (continued)
Unionbancal Corp 300 $ 9,431 264 $ 8,300
United Dominion Realty Trust 400 3,950 1,508 14,892
Unitrin Inc 200 13,075 352 23,012
Universal Corp 181 4,921 528 14,355
Universal Foods Corp 558 12,660 663 15,042
Universal Health Services Class B * 200 8,125 352 14,300
USA Networks Inc * 622 24,725 729 28,978
Usec Inc 500 7,094 1,508 21,395
U.S. Filter Corp * 900 22,106 2,124 52,171
U.S. Industries Inc 527 8,564 1,446 23,498
Valassis Communications Inc * 100 4,800 264 12,672
Valero Energy Corp 180 3,161 778 13,664
Valhi Inc -- -- 100 1,150
Valley National Bank 300 7,688 704 18,040
Varian Associates Inc 177 5,664 431 13,792
Vornado Realty Trust 400 13,750 880 30,250
Warnaco Group Inc 300 6,750 892 20,070
Washington Federal Inc 343 7,722 926 20,837
Washington Post Co 27 14,847 88 48,389
Weatherford International Inc * 480 8,160 1,222 20,774
Weismarkets Inc 200 7,275 176 6,402
Wellpoint Health Networks Inc * 100 7,888 440 34,705
Wesco Financial Corp -- -- -- --
Westamerica Bancorp 200 6,700 616 20,636
Westfield America Inc -- -- 176 3,102
Wilmington Trust Corp 192 10,884 449 25,453
Witco Corp 216 3,659 874 14,803
York International Corp 302 10,948 458 16,603
---------- ----------
TOTAL MEDIUM CAP VALUE STOCKS
- VALUE $2,610,456 $6,202,013
- COST $2,283,587 $6,328,204
MEDIUM CAP UTILITY STOCKS
Percent of Net Assets 0.04% 0.01%
Allegheny Energy Inc -- $ -- -- $ --
Calenergy Inc * -- -- -- --
Century Telephone Enterprise -- -- -- --
CMS Energy Corp -- -- -- --
Conectiv Inc 1,067 22,607 752 15,933
Dynegy Inc -- -- -- --
El Paso Energy Corp -- -- -- --
Energy East Corp -- -- -- --
Florida Progress Corp -- -- -- --
Idacorp Inc -- -- -- --
Illinova Corp -- -- -- --
IPALCO Enterprises Inc -- -- -- --
Kansas City Power & Light Co -- -- -- --
</TABLE>
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COMMON STOCKS (continued)
Unionbancal Corp 789 $ 24,804 804 $ 25,276 1,590 $ 49,986
United Dominion Realty Trust 2,730 26,959 2,589 25,566 5,388 53,207
Unitrin Inc 701 45,828 714 46,678 1,413 92,375
Universal Corp 911 24,768 887 24,115 1,912 51,983
Universal Foods Corp 817 18,536 873 19,806 1,449 32,874
Universal Health Services Class B * 701 28,478 714 29,006 1,413 57,403
USA Networks Inc * 1,139 45,275 1,111 44,162 5,045 200,539
Usec Inc 2,642 37,483 2,589 36,731 5,299 75,180
U.S. Filter Corp * 3,080 75,653 3,750 92,109 7,772 190,900
U.S. Industries Inc 2,539 41,259 2,436 39,585 4,979 80,909
Valassis Communications Inc * 526 25,248 536 25,728 1,148 55,104
Valero Energy Corp 1,383 24,289 1,236 21,707 2,703 47,471
Valhi Inc -- -- -- -- 265 3,048
Valley National Bank 1,402 35,926 1,339 34,312 2,738 70,161
Varian Associates Inc 820 26,240 795 25,440 1,559 49,888
Vornado Realty Trust 1,678 57,681 1,607 55,241 3,268 112,338
Warnaco Group Inc 1,502 33,795 1,339 30,128 2,826 63,585
Washington Federal Inc 1,573 35,390 1,469 33,041 3,048 68,582
Washington Post Co 158 86,880 119 65,435 287 157,814
Weatherford International Inc * 2,120 36,040 2,013 34,221 4,067 69,139
Weismarkets Inc 263 9,567 268 9,749 618 22,480
Wellpoint Health Networks Inc * 351 27,685 357 28,158 795 62,706
Wesco Financial Corp -- -- -- -- 88 30,487
Westamerica Bancorp 1,052 35,242 1,071 35,879 2,208 73,968
Westfield America Inc 351 6,186 268 4,724 707 12,461
Wilmington Trust Corp 919 52,096 896 50,792 1,833 103,908
Witco Corp 1,548 26,219 1,359 23,018 2,910 49,288
York International Corp 1,104 40,020 1,084 39,295 2,283 82,759
----------- ----------- -----------
TOTAL MEDIUM CAP VALUE STOCKS
- VALUE $10,565,384 $10,464,456 $22,983,895
- COST $10,782,588 $10,922,717 $24,643,290
MEDIUM CAP UTILITY STOCKS
Percent of Net Assets 0.29% 0.02% 0.01%
Allegheny Energy Inc 1,586 $ 47,084 -- $ -- -- $ --
Calenergy Inc * 789 22,141 -- -- -- --
Century Telephone Enterprise 1,089 67,246 -- -- -- --
CMS Energy Corp 1,152 47,664 -- -- -- --
Conectiv Inc 1 1,337 28,328 973 20,615 907 19,217
Dynegy Inc 1,402 16,824 -- -- -- --
El Paso Energy Corp 1,476 53,782 -- -- -- --
Energy East Corp 953 51,105 -- -- -- --
Florida Progress Corp 1,257 50,437 -- -- -- --
Idacorp Inc 513 15,935 -- -- -- --
Illinova Corp 1,011 24,011 -- -- -- --
IPALCO Enterprises Inc 773 37,056 -- -- -- --
Kansas City Power & Light Co 837 21,344 -- -- -- --
</TABLE>
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COMMON STOCKS(continued)
Keyspan Energy -- $ -- -- $ --
LG & E Energy Corp -- -- -- --
MCN Corp -- -- -- --
Midamerican Energy Co -- -- -- --
Minnesota Power & Light Co 349 14,025 238 9,565
Montana Power Co -- -- -- --
National Fuel Gas Co -- -- -- --
Nevada Power Co 444 10,628 317 7,588
New England Electric System -- -- -- --
NIPSCO Industries Inc -- -- -- --
Northeast Utilities * -- -- -- --
OGE Energy Corp -- -- -- --
Pinnacle West Capital Corp -- -- -- --
Potomac Electric Power -- -- -- --
Puget Sound Power & Light -- -- -- --
Scana Corp -- -- -- --
Teco Energy -- -- -- --
Telephone & Data System -- -- -- --
Utilicorp United Inc -- -- -- --
Wisconsin Energy Corp -- -- -- --
--------- ----------
TOTAL MEDIUM CAP UTILITY STOCKS
- VALUE $ 47,260 $ 33,086
- COST $ 41,139 $ 28,699
SMALL CAP GROWTH STOCKS
Percent of Net Assets 0.25% 0.18%
Adtran Inc * 100 $ 2,050 176 $ 3,608
Advanced Fibre Communication * 300 2,438 616 5,005
Agouron Pharmaceuticals Inc * -- -- 264 15,065
Aliant Communications Inc -- -- -- --
Armco Inc * 111 555 953 4,765
Arrow International Inc -- -- 88 2,162
Bally Total Fitness Holdings Corp * 26 585 67 1,508
C-Cube Microsystems Inc * 100 1,875 264 4,950
CDW Computer Centers Inc * -- -- 88 6,127
Choice Hotels International Inc * 59 804 444 6,050
Choicepoint Inc * 141 7,332 123 6,396
Cognex Corp * -- -- 264 6,600
Coleman Co Inc * -- -- 176 1,650
Commscope Inc * 50 928 304 5,643
Dal Tile International Inc * -- -- -- --
Department 56 Inc * 200 6,638 176 5,841
Donelley (RH) Corp 36 540 252 3,780
DSP Communications Inc * -- -- 440 6,600
EEX Corp * 45 273 355 2,152
Electronics for Imaging Inc * 400 13,975 440 15,373
Etec Systems Inc * -- -- 176 7,799
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COMMON STOCKS(continued)
Keyspan Energy 630 $ 16,695 -- $ -- -- $ --
LG & E Energy Corp 870 19,847 -- -- -- --
MCN Corp 815 14,517 -- -- -- --
Midamerican Energy Co 596 16,092 -- -- -- --
Minnesota Power & Light Co 421 16,919 312 12,539 296 11,896
Montana Power Co 722 43,952 -- -- -- --
National Fuel Gas Co 510 20,559 -- -- -- --
Nevada Power Co 571 13,668 421 10,078 397 9,503
New England Electric System 884 43,040 -- -- -- --
NIPSCO Industries Inc 1,779 46,143 -- -- -- --
Northeast Utilities * 1,679 25,080 -- -- -- --
OGE Energy Corp 1,073 25,618 -- -- -- --
Pinnacle West Capital Corp 1,169 42,230 -- -- -- --
Potomac Electric Power 1,583 38,586 -- -- -- --
Puget Sound Power & Light 851 20,530 -- -- -- --
Scana Corp 1,267 29,775 -- -- -- --
Teco Energy 1,568 33,908 -- -- -- --
Telephone & Data System 725 36,431 -- -- -- --
Utilicorp United Inc 592 20,350 -- -- -- --
Wisconsin Energy Corp 1,442 36,861 -- -- -- --
---------- ----------- -----------
TOTAL MEDIUM CAP UTILITY STOCKS
- VALUE $1,043,758 $ 43,232 $ 40,616
- COST $ 747,150 $ 37,552 $ 35,017
SMALL CAP GROWTH STOCKS
Percent of Net Assets 0.25% 0.27% 0.29%
Adtran Inc * 175 $ 3,588 268 $ 5,494 618 $ 12,669
Advanced Fibre Communication * 1,227 9,969 1,161 9,433 2,473 20,093
Agouron Pharmaceuticals Inc * 438 24,993 446 25,450 972 55,465
Aliant Communications Inc 430 17,146 -- -- -- --
Armco Inc * 1,943 9,715 1,647 8,235 3,846 19,230
Arrow International Inc -- -- -- -- 177 4,348
Bally Total Fitness Holdings Corp * 162 3,645 104 2,340 197 4,433
C-Cube Microsystems Inc * 263 4,931 357 6,694 618 11,588
CDW Computer Centers Inc * 175 12,184 179 12,463 353 24,578
Choice Hotels International Inc * 969 13,203 720 9,810 1,075 14,647
Choicepoint Inc * 319 16,588 238 12,376 427 22,204
Cognex Corp * 614 15,350 536 13,400 1,148 28,700
Coleman Co Inc * -- -- -- -- 177 1,659
Commscope Inc * 694 12,882 546 10,135 1,371 25,449
Dal Tile International Inc * -- -- -- -- 177 1,626
Department 56 Inc * 263 8,728 179 5,941 530 17,589
Donelley (RH) Corp 550 8,250 489 7,335 1,220 18,300
DSP Communications Inc * -- -- 536 8,040 883 13,245
EEX Corp * 564 3,419 697 4,226 1,433 8,688
Electronics for Imaging Inc * 877 30,640 893 31,199 1,766 61,700
Etec Systems Inc * 351 15,554 268 11,876 618 27,385
</TABLE>
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COMMON STOCKS(continued)
Ethyl Corp 1,031 $ 5,026 889 $ 4,334
Federal Signal Corp 498 11,672 431 10,102
Ferro Corp 457 9,768 330 7,054
GenCorp Inc -- -- -- --
General Semiconductor Inc * 37 241 229 1,489
Georgia Gulf Corp 237 3,585 317 4,795
Granite Construction Inc -- -- -- --
Health Care Property Investors Inc 300 8,813 264 7,755
Houghton Mifflin Co 304 13,072 211 9,073
Hussmann International Inc 32 452 385 5,438
Informix Corp * 1,390 12,163 1,161 10,159
IXC Communications Inc * -- -- 176 9,152
Jabil Circuit Inc * 200 6,525 352 11,484
Kaydon Corp -- -- -- --
Lance Inc -- -- -- --
Land's End Inc * -- -- -- --
Lee Enterprises Inc 498 13,757 -- --
Macromedia Inc * 400 12,225 352 10,758
Magne Tek Inc * -- -- -- --
Mascotech Inc -- -- 264 3,993
MAXXAM Inc * -- -- -- --
McMoRan Exploration Co * 46 748 41 666
Media General Inc Class A 280 14,000 194 9,700
Medpartners Inc * 710 4,216 1,662 9,868
Micron Electronics Inc * -- -- 176 2,530
Midas Inc 10 316 128 4,048
Newport News Shipbuilding 64 1,852 257 7,437
Nordson Corp 214 12,733 141 8,390
Novellus System Inc * 200 11,813 440 25,988
Oakley Inc * 600 4,988 528 4,389
Ocean Energy Inc * 500 2,125 1,425 6,056
Omnipoint Corp * 200 2,325 264 3,069
Pairgain Technologies Inc * 300 2,588 616 5,313
Pogo Producing Co 300 2,775 264 2,442
Rambus Inc * -- -- 88 6,397
Rational Software Corp * -- -- 792 23,513
Renaissance Worldwide Inc * 200 1,250 440 2,750
Richfood Holdings Inc -- -- 440 10,450
Rollins Inc 388 6,232 185 2,972
Safety-Kleen Corp * 87 1,213 379 5,282
Schweitzer-Mauduit International 20 235 81 952
Security Dynamics Tech Inc * 200 3,700 528 9,768
Skytel Communications Inc * -- -- 352 6,336
Sotheby's Inc 611 17,108 -- --
SPX Corp * 33 1,885 143 8,169
Sunglass Hut Inc * 600 5,813 440 4,263
Superior Industries International Inc 322 7,970 229 5,668
</TABLE>
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COMMON STOCKS(continued)
Ethyl Corp 1,778 $ 8,668 1,168 $ 5,694 2,235 $ 10,896
Federal Signal Corp 707 16,570 716 16,781 1,572 36,844
Ferro Corp 573 12,248 443 9,469 1,079 23,064
GenCorp Inc 425 8,527 -- -- -- --
General Semiconductor Inc * 521 3,387 410 2,665 1,028 6,682
Georgia Gulf Corp 653 9,877 415 6,277 565 8,546
Granite Construction Inc 355 8,720 -- -- -- --
Health Care Property Investors Inc 351 10,311 446 13,101 618 18,154
Houghton Mifflin Co 403 17,329 277 11,911 786 33,798
Hussmann International Inc 898 12,684 712 10,057 1,353 19,111
Informix Corp * 2,733 23,914 1,909 16,704 4,575 40,031
IXC Communications Inc * 263 13,676 268 13,936 530 27,560
Jabil Circuit Inc * 702 22,903 714 23,294 1,414 46,132
Kaydon Corp 438 13,359 -- -- -- --
Lance Inc 419 6,914 -- -- -- --
Land's End Inc * 479 14,520 -- -- -- --
Lee Enterprises Inc 621 17,155 455 12,569 -- --
Macromedia Inc * 614 18,765 446 13,631 795 24,297
Magne Tek Inc * 322 3,502 -- -- -- --
Mascotech Inc -- -- 357 5,400 707 10,693
MAXXAM Inc * 112 6,552 -- -- -- --
McMoRan Exploration Co * 79 1,284 41 666 79 1,284
Media General Inc Class A 359 17,950 259 12,950 503 25,150
Medpartners Inc * 3,436 20,401 3,528 20,948 6,944 41,230
Micron Electronics Inc * 351 5,046 268 3,853 442 6,354
Midas Inc 299 9,456 237 7,495 450 14,231
Newport News Shipbuilding 539 15,597 415 12,009 747 21,616
Nordson Corp 257 15,292 186 11,067 340 20,230
Novellus System Inc * 877 51,798 804 47,486 1,678 99,107
Oakley Inc * 1,052 8,745 714 5,935 1,060 8,811
Ocean Energy Inc * 2,288 9,724 2,303 9,788 4,584 19,482
Omnipoint Corp * 351 4,080 357 4,150 530 6,161
Pairgain Technologies Inc * 1,139 9,824 1,071 9,237 2,561 22,089
Pogo Producing Co 526 4,866 446 4,126 972 8,991
Rambus Inc * 263 19,117 179 13,011 442 32,128
Rational Software Corp * 1,578 46,847 1,429 42,423 2,826 83,897
Renaissance Worldwide Inc * 789 4,931 803 5,019 1,502 9,388
Richfood Holdings Inc -- -- 536 12,730 883 20,971
Rollins Inc 565 9,075 357 5,734 596 9,573
Safety-Kleen Corp * 865 12,056 773 10,774 1,313 18,300
Schweitzer-Mauduit International 188 2,209 157 1,845 310 3,643
Security Dynamics Tech Inc * 964 17,834 893 16,521 1,855 34,318
Skytel Communications Inc * -- -- -- -- -- --
Sotheby's Inc 743 20,804 556 15,568 -- --
SPX Corp * 455 25,992 317 18,109 640 36,560
Sunglass Hut Inc * 877 8,496 625 6,055 1,148 11,121
Superior Industries International Inc 398 9,851 296 7,326 450 11,138
</TABLE>
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COMMON STOCKS(continued)
Teletech Holdings Inc * -- $ -- 88 $ 616
Thermo Cardiosystems Inc * 150 1,416 220 2,076
UCAR International Inc * 200 3,175 528 8,382
Vanguard Cellular Systems Inc * 411 11,457 290 8,084
Varco International Inc * 584 4,526 440 3,410
Vlasic Foods International * 80 975 318 3,876
Waddell & Reed Financial Inc
Class A 9 170 68 1,284
Waddell & Reed Financial Inc
Class B 39 724 273 5,068
Wausau-Mosinee Paper Corp 392 6,223 278 4,413
West Teleservices * -- -- -- --
Western Digital * 700 6,738 1,232 11,858
Western Wireless Corp * -- -- 88 2,382
Xtra Corp 200 7,975 176 7,018
Xylan Corp * 100 2,650 88 2,332
Zenith Electronics Corp * 44 16 89 32
---------- ------------
TOTAL SMALL CAP GROWTH STOCKS
- VALUE $ 287,222 $ 443,907
- COST $ 352,894 $ 591,745
SMALL CAP VALUE STOCKS
Percent of Net Assets 0.43% 0.29%
A Schulman Inc 403 $ 6,650 369 $ 6,089
AGCO Corp 300 1,969 792 5,198
AGL Resources Inc 538 10,256 387 7,377
Airgas Inc * 400 3,600 704 6,336
AMF Bowling Inc * -- -- 176 803
Anixter International Inc * 500 6,281 440 5,528
AnnTaylor Stores Inc * 247 9,340 172 6,504
Arch Chemicals Inc * 135 2,565 334 6,346
Argonaut Group Inc -- -- 88 2,184
Atmel Corp * 662 11,378 1,373 23,598
Bandag Inc -- -- 88 2,789
Bandag Inc Class A 100 2,688 88 2,365
Bassett Furniture Industries Inc 25 538 44 946
Beverly Enterprises Inc * 575 2,983 1,360 7,055
Bob Evans Farms Inc 468 10,091 317 6,835
Boise Cascade Office Products
Corp * -- -- 88 1,056
Boston Chicken Inc * 600 396 500 330
Burlington Industries Inc * 729 4,511 419 2,593
Callaway Golf Co 296 3,219 950 10,331
Charming Shoppes Inc * 59 199 -- --
ChemFirst Inc 35 665 74 1,406
Chesapeake Corp 256 8,064 176 5,544
Chicago Title Corp 106 3,717 181 6,346
Chris-Craft Industries Inc * 119 5,043 236 10,001
Cirrus Logic Inc * 634 5,151 686 5,574
CMAC Investment Corp 100 4,131 264 10,907
</TABLE>
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COMMON STOCKS (continued)
Teletech Holdings Inc * -- $ -- -- $ -- 265 $ 1,855
Thermo Cardiosystems Inc * 263 2,482 268 2,529 398 3,756
UCAR International Inc * 964 15,304 893 14,176 1,943 30,845
Vanguard Cellular Systems Inc * 522 14,551 381 10,620 344 9,589
Varco International Inc * 919 7,122 846 6,557 1,678 13,005
Vlasic Foods International * 729 8,885 649 7,910 1,592 19,403
Waddell & Reed Financial Inc Class A 138 2,605 122 2,303 258 4,870
Waddell & Reed Financial Inc Class B 608 11,286 572 10,618 1,112 20,642
Wausau-Mosinee Paper Corp 501 7,953 363 5,763 328 5,207
West Teleservices * -- -- -- -- 177 1,748
Western Digital * 2,367 22,782 2,143 20,626 4,593 44,208
Western Wireless Corp * -- -- -- -- 265 7,172
Xtra Corp 263 10,487 179 7,138 442 17,625
Xylan Corp * -- -- 89 2,359 177 4,691
Zenith Electronics Corp * 279 100 230 83 367 132
----------- --------- ----------
TOTAL SMALL CAP GROWTH STOCKS
- VALUE $ 915,198 $ 741,443 $1,449,925
- COST $ 1,047,576 $ 894,682 $1,849,692
SMALL CAP VALUE STOCKS
Percent of Net Assets 0.41% 0.45% 0.49%
A Schulman Inc 601 $ 9,917 550 $ 9,075 1,047 $ 17,276
AGCO Corp 1,490 9,778 1,428 9,371 3,180 20,869
AGL Resources Inc 699 13,325 498 9,493 459 8,750
Airgas Inc * 1,402 12,618 1,250 11,250 2,826 25,434
AMF Bowling Inc * 351 1,601 268 1,223 707 3,226
Anixter International Inc * 438 5,502 625 7,852 1,060 13,316
AnnTaylor Stores Inc * 308 11,646 226 8,546 209 7,903
Arch Chemicals Inc * 604 11,476 606 11,514 1,219 23,161
Argonaut Group Inc -- -- 179 4,441 265 6,575
Atmel Corp * 2,600 44,688 2,400 41,250 5,411 93,002
Bandag Inc 175 5,545 89 2,820 265 8,397
Bandag Inc Class A 175 4,703 179 4,811 353 9,487
Bassett Furniture Industries Inc 175 3,763 107 2,301 182 3,913
Beverly Enterprises Inc * 2,542 13,187 2,359 12,237 5,035 26,119
Bob Evans Farms Inc 659 14,210 421 9,078 1,104 23,805
Boise Cascade Office Products Corp * 701 8,412 179 2,148 353 4,236
Boston Chicken Inc * 700 462 700 462 1,100 726
Burlington Industries Inc * 996 6,163 669 4,139 1,680 10,395
Callaway Golf Co 1,716 18,662 1,746 18,988 3,635 39,531
Charming Shoppes Inc * 2,005 6,767 1,446 4,880 2,971 10,027
ChemFirst Inc 275 5,225 200 3,800 307 5,833
Chesapeake Corp 316 9,954 237 7,466 574 18,081
Chicago Title Corp 361 12,658 725 25,420 717 25,140
Chris-Craft Industries Inc * 444 18,815 307 13,009 205 8,687
Cirrus Logic Inc * 1,311 10,652 952 7,735 1,334 10,839
CMAC Investment Corp 526 21,730 536 22,144 1,148 47,427
</TABLE>
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COMMON STOCKS(continued)
Collins & Aikman Corp -- $ -- -- $ --
ContiFinancial Corp * -- -- 88 308
Corn Product International Inc 60 1,410 260 6,110
Credit Acceptance Corp * 200 1,200 176 1,056
Cypress Semiconductor Corp * 800 7,650 739 7,067
Devon Energy Corp -- -- 176 4,125
Dura Pharmaceuticals Inc * -- -- 440 6,188
Enesco Group Inc 220 3,644 150 2,484
Extended Stay America Inc * 400 3,500 880 7,700
Federal Realty Investment Trust -- -- -- --
Firstplus Financial Group * 200 275 440 605
Fleming Co Inc 2 15 256 1,888
Flowserve Corp 200 3,313 528 8,745
Footstar Inc * 46 1,173 216 5,508
Fritz Co Inc * 200 1,488 176 1,309
Fuller (H B) Co -- -- -- --
Gaylord Entertainment Co Class A 105 2,618 92 2,294
Geon Co -- -- -- --
Getchell Gold Corp * 24 623 228 5,914
Glatfelter (P H) Co 486 5,194 246 2,629
Glenayre Technologies Inc * 650 2,295 572 2,020
Global DirectMail Corp * 200 3,288 176 2,893
Golden State Bancorp * 200 3,563 528 9,405
Hanna (M A) Co 280 3,080 572 6,292
Harland (John H) Co 55 739 218 2,929
Heilig Meyers Co 524 3,406 361 2,347
Homestead Village Property Inc * 75 258 76 261
Host Marriott Services Corp * 240 1,680 211 1,477
Hunt (J B) Transport Services -- -- -- --
ICG Communications Inc * 200 3,750 528 9,933
Idexx Laboratories Inc * 400 8,950 440 9,845
Imation Corp * 276 4,278 454 7,037
Indiana Energy Inc -- -- -- --
Information Resources Inc * -- -- -- --
Input/Output Inc * 500 2,813 440 2,475
Integrated Device Technology Inc * 700 4,506 704 4,532
Intergraph Corp * 54 299 322 1,781
International Multifoods Corp -- -- -- --
IVAX Corp * 1,230 18,143 1,091 16,092
Jacobs Engineering Group * -- -- -- --
JM Smucker Co 305 7,244 -- --
Kelly Services Inc Class A 106 2,703 194 4,947
Kennametal Inc 300 6,244 264 5,495
Lakes Gaming Inc * 100 913 88 803
Lam Research Corp * 300 8,869 264 7,805
Lattice Semiconductor Corp * 100 3,975 352 14,036
Lone Star Steakhouse & Saloon * 300 2,719 352 3,190
</TABLE>
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COMMON STOCKS(continued)
Collins & Aikman Corp -- $ -- -- $ -- 353 $ 1,787
ContiFinancial Corp * 175 613 178 623 530 1,855
Corn Product International Inc 610 14,335 508 11,938 1,208 28,388
Credit Acceptance Corp * -- -- 178 1,068 442 2,652
Cypress Semiconductor Corp * 1,196 11,437 1,271 12,154 2,800 26,775
Devon Energy Corp 438 10,266 357 8,367 795 18,633
Dura Pharmaceuticals Inc * 877 12,333 714 10,041 1,502 21,122
Enesco Group Inc 262 4,339 191 3,163 186 3,081
Extended Stay America Inc * 1,665 14,569 1,518 13,283 3,445 30,144
Federal Realty Investment Trust -- -- -- -- 353 7,788
Firstplus Financial Group * 788 1,084 714 982 1,590 2,186
Fleming Co Inc 702 5,177 526 3,879 1,065 7,854
Flowserve Corp 1,052 17,424 982 16,264 2,031 33,638
Footstar Inc * 457 11,654 341 8,696 578 14,739
Fritz Co Inc * 263 1,956 -- -- 353 2,625
Fuller (H B) Co 197 8,348 -- -- -- --
Gaylord Entertainment Co Class A 123 3,067 153 3,815 221 5,511
Geon Co -- -- -- -- 265 6,045
Getchell Gold Corp * 195 5,058 409 10,608 571 14,810
Glatfelter (P H) Co 674 7,203 437 4,670 680 7,268
Glenayre Technologies Inc * 1,030 3,637 714 2,521 1,259 4,446
Global DirectMail Corp * 263 4,323 179 2,942 353 5,802
Golden State Bancorp * 1,052 18,739 1,071 19,077 2,208 39,330
Hanna (M A) Co 1,111 12,221 1,161 12,771 2,351 25,861
Harland (John H) Co 543 7,297 550 7,391 897 12,053
Heilig Meyers Co 731 4,752 486 3,159 1,148 7,462
Homestead Village Property Inc * 88 303 101 347 166 571
Host Marriott Services Corp * 333 2,331 286 2,002 601 4,207
Hunt (J B) Transport Services 522 12,267 -- -- -- --
ICG Communications Inc * 1,052 19,791 982 18,474 2,031 38,208
Idexx Laboratories Inc * 701 15,685 536 11,993 883 19,757
Imation Corp * 615 9,533 653 10,122 1,428 22,134
Indiana Energy Inc 411 8,226 -- -- -- --
Information Resources Inc * 353 2,956 -- -- -- --
Input/Output Inc * 876 4,928 625 3,516 972 5,468
Integrated Device Technology Inc * 1,490 9,592 714 4,596 1,855 11,942
Intergraph Corp * 755 4,176 523 2,893 876 4,845
International Multifoods Corp 240 5,190 -- -- -- --
IVAX Corp * 2,036 30,031 1,753 25,857 3,529 52,053
Jacobs Engineering Group * 327 12,937 -- -- -- --
JM Smucker Co 382 9,073 295 7,006 -- --
Kelly Services Inc Class A 341 8,696 374 9,537 782 19,941
Kennametal Inc 360 7,493 268 5,578 530 11,031
Lakes Gaming Inc * 153 1,396 112 1,022 199 1,816
Lam Research Corp * 438 12,948 446 13,185 1,060 31,336
Lattice Semiconductor Corp * 614 24,483 625 24,922 1,237 49,325
Lone Star Steakhouse & Saloon * 614 5,564 446 4,042 795 7,205
</TABLE>
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COMMON STOCKS (continued)
Longview Fibre Co 554 $ 6,267 475 $ 5,373
LTV Corp 900 4,950 1,408 7,744
Luby's Cafeteria Inc 45 638 193 2,738
Mark IV Industries Inc 247 3,720 556 8,375
Medaphis Corp * 800 2,600 792 2,574
Mentor Graphics Corp * 600 8,400 616 8,624
Michael Foods Inc -- -- -- --
Michaels Stores Inc * -- -- -- --
Micro Warehouse Inc * 300 5,925 264 5,214
Mid Atlantic Medical Services * 400 3,125 440 3,438
Mississippi Chemical Corp 11 113 24 246
Mobile Media Corp * 300 -- 200 --
Modine Manufacturing Co 309 8,652 220 6,160
NCH Corp -- -- -- --
New Plan Excel Realty Trust 400 8,300 792 16,434
Nielson Media Research Corp 60 1,178 391 7,673
Nine West Group Inc * 200 4,488 264 5,924
Novacare Inc * -- -- -- --
Oakwood Homes Corp 200 3,225 616 9,933
Olsten Corp 291 1,801 462 2,859
Overseas Shipholding Group 393 4,790 273 3,327
Oxford Health Plans Inc * 500 9,469 880 16,665
PacifiCare Health Systems Inc Class A * 112 7,378 62 4,084
Paging Network Inc * 500 2,000 616 2,464
Parker Drilling * -- -- -- --
Paymentech Inc * -- -- 88 1,683
PennzEnergy Co 32 300 408 3,825
Pennzoil-Quaker State Co 32 398 408 5,075
Perrigo Co * 812 6,801 484 4,054
Petsmart Inc * 1,200 9,450 1,144 9,009
PharMerica Inc * 35 197 297 1,671
Phycor Inc * 300 1,631 704 3,828
Planet Hollywood International * -- -- 176 429
Precision Castparts Corp 100 3,713 264 9,801
Pride International Inc * -- -- 352 1,760
Prison Realty Corporation REIT 262 5,224 924 18,422
Public Service Co Of New Mexico -- -- -- --
Quest Diagnostics Inc * 46 983 211 4,510
Readers Digest Association Inc 200 6,463 264 8,531
Roadway Express Inc 46 707 139 2,137
Ruby Tuesday Inc 384 7,152 176 3,278
Ruddick Corp -- -- -- --
Ryans Family Steak House * 119 1,354 454 5,164
Ryerson Tull Inc 207 3,778 381 6,953
Sabre Group Holdings Inc * -- -- 176 6,908
Santa Fe Energy Resources Inc * 83 436 712 3,738
Sbarro Inc * -- -- -- --
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COMMON STOCKS (continued)
Longview Fibre Co 780 $ 8,824 513 $ 5,803 1,175 $13,292
LTV Corp 2,630 14,465 2,411 13,261 5,653 31,092
Luby's Cafeteria Inc 421 5,973 329 4,668 549 7,789
Mark IV Industries Inc 1,026 15,454 948 14,279 2,098 31,601
Medaphis Corp * 964 3,133 1,071 3,481 1,767 5,743
Mentor Graphics Corp * 747 10,458 893 12,502 1,413 19,782
Michael Foods Inc 201 3,719 -- -- -- --
Michaels Stores Inc * -- -- -- -- 177 3,031
Micro Warehouse Inc * 526 10,389 357 7,051 618 12,206
Mid Atlantic Medical Services * 614 4,797 446 3,484 1,148 8,969
Mississippi Chemical Corp 92 943 66 677 103 1,056
Mobile Media Corp * 400 -- 300 -- 700 1
Modine Manufacturing Co 408 11,424 299 8,372 442 12,376
NCH Corp 109 5,505 79 3,990 -- --
New Plan Excel Realty Trust 1,490 30,918 1,429 29,652 2,915 60,486
Nielson Media Research Corp 897 17,610 793 15,569 1,872 36,738
Nine West Group Inc * 263 5,901 357 8,010 883 19,812
Novacare Inc * 854 1,815 634 1,347 -- --
Oakwood Homes Corp 1,139 18,366 1,071 17,270 2,208 35,604
Olsten Corp 979 6,058 882 5,457 1,957 12,109
Overseas Shipholding Group 482 5,874 362 4,412 331 4,034
Oxford Health Plans Inc * 1,665 31,531 1,696 32,118 3,268 61,888
PacifiCare Health Systems Inc Class A * 402 26,482 121 7,971 214 14,097
Paging Network Inc * 1,315 5,260 1,161 4,644 2,561 10,244
Parker Drilling * 740 1,850 552 1,380 -- --
Paymentech Inc * -- -- 179 3,423 353 6,751
PennzEnergy Co 882 8,269 767 7,191 1,484 13,913
Pennzoil-Quaker State Co 1,184 14,726 986 12,263 1,484 18,457
Perrigo Co * 1,097 9,187 752 6,298 1,484 12,429
Petsmart Inc * 1,928 15,183 1,428 11,246 2,650 20,869
PharMerica Inc * 837 4,708 707 3,977 1,366 7,684
Phycor Inc * 1,446 7,863 1,473 8,009 3,136 17,052
Planet Hollywood International * 438 1,068 357 870 530 1,292
Precision Castparts Corp 526 19,528 547 20,307 1,060 39,353
Pride International Inc * 701 3,505 714 3,570 1,502 7,510
Prison Realty Corporation REIT 1,687 33,635 1,640 32,698 3,400 67,788
Public Service Co Of New Mexico 570 8,764 420 6,458 -- --
Quest Diagnostics Inc * 451 9,640 347 7,417 729 15,582
Readers Digest Association Inc 263 8,498 268 8,660 530 17,126
Roadway Express Inc 237 3,644 217 3,336 317 4,874
Ruby Tuesday Inc 563 10,486 355 6,612 684 12,740
Ruddick Corp 626 11,542 468 8,629 -- --
Ryans Family Steak House * 887 10,090 606 6,893 918 10,442
Ryerson Tull Inc 1,198 21,864 1,132 20,659 2,171 39,621
Sabre Group Holdings Inc * 351 13,777 268 10,519 442 17,349
Santa Fe Energy Resources Inc * 1,643 8,626 1,106 5,807 2,496 13,104
Sbarro Inc * 280 7,070 196 4,949 -- --
</TABLE>
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COMMON STOCKS (continued)
Scholastic Corp * 200 $ 9,850 176 $ 8,668
Seagull Energy Corp * 391 1,857 536 2,546
Sensormatic Electronics Corp * 535 5,618 765 8,033
Sequa Corp * 110 5,177 -- --
Sequent Computer * 340 3,241 -- --
Smith International Inc * 214 5,203 616 14,977
Southland Corp * 1,800 2,981 1,232 2,041
Spelling Entertainment Group * -- -- -- --
Standard Register 301 8,710 -- --
Steel Dynamics Inc * -- -- 264 4,158
Stewart & Stevenson Services 364 3,049 334 2,797
Stride Rite Corp 63 650 330 3,403
Structural Dynamics Research * 303 5,909 -- --
Sunbeam Corp 300 1,744 1,056 6,138
Sybase Inc * 700 5,688 616 5,005
Talbots Inc 200 4,838 176 4,257
Tecumseh Products Co 241 11,869 167 8,225
Terra Industries Inc 500 2,469 352 1,738
The Fund American Co -- -- -- --
TIG Holdings Inc 200 3,200 616 9,856
UICI * 200 4,563 528 12,144
Unisource Worldwide Inc 94 658 585 4,095
UNOVA Inc * 34 493 382 5,539
Venator Group Inc * 187 923 1,047 5,170
Ventas Inc 500 4,031 792 6,386
Vishay Intertechnology Inc * 463 5,990 412 5,330
VLSI Technology * 200 3,100 352 5,456
Wallace Computer Services 90 2,036 176 3,982
Washington Gas Light 464 11,107 317 7,588
Watts Industries Inc 308 4,293 -- --
Weingarten 200 8,388 176 7,381
Wellman Inc 363 3,380 246 2,291
Wisconsin Central Transport * 400 5,500 704 9,680
Yellow Corp * 49 876 196 3,504
Ziff Davis Inc * -- -- 352 5,918
---------- ----------
TOTAL SMALL CAP VALUE STOCKS
- VALUE $ 502,250 $ 710,497
- COST $ 906,151 $1,242,539
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COMMON STOCKS (continued)
Scholastic Corp * 175 $ 8,619 179 $ 8,816 353 $ 17,385
Seagull Energy Corp * 1,094 5,197 985 4,679 2,010 9,548
Sensormatic Electronics Corp * 1,510 15,855 936 9,828 1,665 17,483
Sequa Corp * 120 5,648 91 4,283 -- --
Sequent Computer * 413 3,936 304 2,898 -- --
Smith International Inc * 1,137 27,643 1,095 26,622 2,296 55,822
Southland Corp * 2,279 3,775 1,607 2,662 3,710 6,145
Spelling Entertainment Group * -- -- -- -- 353 2,537
Standard Register 379 10,967 279 8,074 -- --
Steel Dynamics Inc * 526 8,285 357 5,623 883 13,907
Stewart & Stevenson Services 434 3,635 326 2,730 746 6,248
Stride Rite Corp 783 8,075 631 6,507 1,281 13,210
Structural Dynamics Research * 380 7,410 285 5,558 -- --
Sunbeam Corp 1,928 11,207 1,875 10,898 3,975 23,105
Sybase Inc * 1,227 9,969 1,071 8,702 2,208 17,940
Talbots Inc -- -- 179 4,330 353 8,538
Tecumseh Products Co 302 14,874 222 10,934 381 18,764
Terra Industries Inc 614 3,032 446 2,202 972 4,799
The Fund American Co -- -- -- -- 100 13,150
TIG Holdings Inc 1,139 18,224 1,071 17,136 2,385 38,160
UICI * 877 20,171 804 18,492 1,943 44,689
Unisource Worldwide Inc 1,029 7,203 975 6,825 2,362 16,534
UNOVA Inc * 927 13,442 730 10,585 1,467 21,272
Venator Group Inc * 2,578 12,729 2,311 11,411 4,309 21,276
Ventas Inc 1,490 12,013 1,411 11,376 2,980 24,026
Vishay Intertechnology Inc * 812 10,505 722 9,341 1,529 19,781
VLSI Technology * 877 13,594 714 11,067 1,502 23,281
Wallace Computer Services 263 5,950 277 6,267 618 13,982
Washington Gas Light 547 13,094 405 9,695 389 9,312
Watts Industries Inc 407 5,673 298 4,153 -- --
Weingarten 351 14,720 357 14,972 795 33,340
Wellman Inc 434 4,042 326 3,036 746 6,947
Wisconsin Central Transport * 1,315 18,081 1,250 17,188 2,650 36,438
Yellow Corp * 513 9,170 267 4,773 386 6,900
Ziff Davis Inc * 614 10,323 625 10,508 1,413 23,756
---------- ---------- ----------
TOTAL SMALL CAP VALUE STOCKS
- VALUE $1,484,373 $1,255,317 $2,398,010
- COST $2,447,802 $2,112,212 $4,156,727
</TABLE>
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COMMON STOCKS (continued)
MICRO CAP STOCKS
Percent of Net Assets 0.05% 0.03%
Advanta Corp Class B 163 $ 1,477 143 $ 1,296
AirTran Holdings Inc * 300 1,013 176 594
Alliance Semiconductor Corp * -- -- -- --
American Oncology Resources Corp * -- -- 176 1,760
APAC Teleservices Inc * 100 306 176 539
Apria Healthcare Group Inc * 500 4,469 528 4,719
Ascent Entertainment Group Inc * 249 2,708 258 2,806
Aztec Technology Partners Corp * -- -- 161 746
Boyd Gaming Corp * -- -- 176 726
Breed Technologies Inc * -- -- -- --
Brown Group Inc 31 484 158 2,469
Capstead Mortgage Corp -- -- 352 1,738
Castle & Cooke Inc * 215 3,333 120 1,860
Chesapeake Energy Corp -- -- 352 242
Consolidated Freightways * 31 450 159 2,306
Crescent Operating Inc * -- -- 70 247
Crestline Capital Corp * 100 1,275 185 2,359
Crown Vantage Inc * 21 37 42 74
Dave & Buster's Inc * -- -- -- --
Deltic Timber Corp 140 3,343 145 3,462
Echelon International Corp * 68 1,411 47 975
Ennis Business Forms -- -- -- --
Exabyte Corp * -- -- -- --
Genzyme Corp - Tissue Repair * 44 116 10 26
Genzyme Molecular Oncology * 35 131 96 366
Gibson Greetings Inc * -- -- -- --
Golden Books Family Entertainment Inc * 234 110 -- --
Halter Marine Group Inc * 273 1,092 261 1,044
Hancock Fabrics Inc -- -- -- --
Handleman Co * 59 763 116 1,501
Hartmarx Corp * 81 349 202 871
Highlands Insurance Group * 37 502 67 909
Homebase Inc * 365 1,893 -- --
Imperial Sugar Co -- -- -- --
International Rectifier Corp * 500 3,438 440 3,025
Interneuron Pharmaceuticals Corp * -- -- 352 1,430
IT Group Inc * -- -- -- --
John Nuveen & Co Inc Class A -- -- 88 3,476
Komag Inc * 400 2,800 528 3,696
Laboratory Corp America Holdings * 660 1,196 367 665
Lawson Products Inc -- -- -- --
Lawter International Inc -- -- -- --
Leap Wireless International Inc * 100 594 198 1,176
Marvel Entertainment Group Inc * -- -- 200 30
MEMC Electronic Materials Inc * 300 2,175 264 1,914
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COMMON STOCKS (continued)
MICRO CAP STOCKS
Percent of Net Assets 0.05% 0.05% 0.04%
Advanta Corp Class B 238 $ 2,157 194 $ 1,758 336 $ 3,045
AirTran Holdings Inc * 350 1,181 178 601 619 2,089
Alliance Semiconductor Corp * -- -- -- -- 221 774
American Oncology Resources Corp * -- -- 179 1,790 353 3,530
APAC Teleservices Inc * 351 1,075 357 1,093 530 1,623
Apria Healthcare Group Inc * 701 6,265 714 6,381 1,148 10,260
Ascent Entertainment Group Inc * 351 3,817 354 3,850 600 6,525
Aztec Technology Partners Corp * 336 1,554 288 1,330 644 2,980
Boyd Gaming Corp * -- -- 268 1,106 619 2,553
Breed Technologies Inc * -- -- -- -- 89 362
Brown Group Inc 296 4,625 197 3,078 224 3,500
Capstead Mortgage Corp 701 3,461 625 3,086 1,325 6,542
Castle & Cooke Inc * 294 4,557 198 3,069 301 4,666
Chesapeake Energy Corp 876 602 446 307 884 608
Consolidated Freightways * 355 5,148 255 3,698 503 7,294
Crescent Operating Inc * -- -- -- -- 177 625
Crestline Capital Corp * 298 3,800 428 5,457 892 11,373
Crown Vantage Inc * 91 159 72 126 117 205
Dave & Buster's Inc * 90 1,772 -- -- -- --
Deltic Timber Corp 269 6,422 178 4,250 295 7,043
Echelon International Corp * 84 1,743 62 1,287 57 1,183
Ennis Business Forms 216 1,931 -- -- -- --
Exabyte Corp * 298 1,490 -- -- -- --
Genzyme Corp - Tissue Repair * 62 163 46 121 48 126
Genzyme Molecular Oncology * 79 301 71 271 152 580
Gibson Greetings Inc * 214 1,772 -- -- -- --
Golden Books Family Entertainment Inc * 274 129 208 98 -- --
Halter Marine Group Inc * 340 1,360 307 1,228 584 2,336
Hancock Fabrics Inc 300 2,081 -- -- -- --
Handleman Co * 409 5,291 274 3,545 460 5,951
Hartmarx Corp * 341 1,471 316 1,363 546 2,355
Highlands Insurance Group * 151 2,048 121 1,641 191 2,590
Homebase Inc * 436 2,262 328 1,702 -- --
Imperial Sugar Co 117 841 84 604 -- --
International Rectifier Corp * 877 6,029 625 4,297 972 6,683
Interneuron Pharmaceuticals Corp * -- -- 536 2,178 795 3,230
IT Group Inc * 120 1,575 -- -- -- --
John Nuveen & Co Inc Class A -- -- -- -- -- --
Komag Inc * 964 6,748 714 4,998 972 6,804
Laboratory Corp America Holdings * 914 1,657 610 1,106 1,181 2,141
Lawson Products Inc 173 3,644 -- -- -- --
Lawter International Inc 593 4,225 -- -- -- --
Leap Wireless International Inc * 394 2,339 379 2,250 773 4,590
Marvel Entertainment Group Inc * 1,400 210 200 30 600 90
MEMC Electronic Materials Inc * 351 2,545 357 2,588 707 5,126
</TABLE>
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COMMON STOCKS (continued)
Momentum Business Applications * 17 $ 147 31 $ 267
Morrison Health Care Inc 128 2,504 58 1,135
National Presto Industries -- -- -- --
Navigant International Inc * -- -- 81 456
NPC International Inc * -- -- -- --
Objective Systems Integrator Corp * -- -- 88 264
Octel Corp * 19 255 118 1,586
OEA Inc -- -- -- --
Oregon Steel Mills Inc -- -- -- --
OshKosh B'Gosh Class A 52 988 86 1,634
Phillips-Van Heusen -- -- -- --
Picturetel Corp * 400 3,269 352 2,877
Pittston Burlington Group 61 438 141 1,013
Presstek Inc * 200 1,650 352 2,904
Primadonna Resorts Inc * -- -- -- --
Primex Technologies Inc 47 1,953 49 2,037
Read-Rite Corp * 400 3,400 440 3,740
School Specialty Inc * -- -- 90 1,986
Service Merchandise Co * 771 482 -- --
Shiva Corp * 300 1,791 264 1,576
Shoneys Inc * 97 224 325 752
Sizzler International Inc * 254 540 -- --
Skyline Corp 20 585 39 1,141
Strattec Security Corp * 10 315 25 788
Sunburst Hospitality Corp * 19 91 147 707
TCI Satellite Entertainment * 107 87 477 388
Thermolase Corp * -- -- 88 286
Topp Inc (The) * 512 2,240 -- --
Transtexas Gas Corp * -- -- -- --
US Office Products Co * -- -- 203 1,000
Vencor Inc * 500 938 616 1,155
Vornado Operating Inc * 20 138 44 303
Workflow Management Inc * -- -- 107 756
Xoma Ltd * 188 658 -- --
TOTAL MICRO CAP STOCKS
- VALUE $ 58,158 $ 77,798
- COST $190,758 $230,238
INTERNATIONAL STOCKS
(except Japan)
Percent of Net Assets 4.70% 8.28%
Aegon NV ADR (Netherlands) 22 $ 2,302 291 $ 30,414
Alcatel Alsthom Compagnie
Generale d'electricite ADR (France) 3,689 80,005 13,392 290,439
Allied Irish Banks PLC ADR (Ireland) 1,746 180,275 6,202 640,357
Allied Zurich PLC ADR (Switzerland)* 2,120 62,593 8,258 243,816
Astra AB ADR Series B (Sweden) 4,498 87,992 16,204 316,991
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COMMON STOCKS (continued)
Momentum Business Applications * 72 $ 621 66 $ 569 148 $ 1,277
Morrison Health Care Inc 188 3,678 118 2,308 228 4,460
National Presto Industries 102 3,774 72 2,664 -- --
Navigant International Inc * 168 945 144 810 322 1,811
NPC International Inc * 328 4,715 253 3,637 -- --
Objective Systems Integrator Corp * -- -- -- -- 177 531
Octel Corp * 263 3,534 233 3,131 422 5,671
OEA Inc 270 3,004 199 2,214 -- --
Oregon Steel Mills Inc 262 2,505 178 1,702 -- --
OshKosh B'Gosh Class A 400 7,600 152 2,888 392 7,448
Phillips-Van Heusen 359 2,176 259 1,570 -- --
Picturetel Corp * 614 5,018 446 3,645 707 5,778
Pittston Burlington Group 287 2,063 197 1,416 355 2,552
Presstek Inc * 351 2,896 357 2,945 530 4,373
Primadonna Resorts Inc * -- -- -- -- 353 4,280
Primex Technologies Inc 94 3,907 76 3,159 111 4,613
Read-Rite Corp * 526 4,471 714 6,069 1,502 12,767
School Specialty Inc * 187 4,126 160 3,530 358 7,898
Service Merchandise Co * 1,328 830 991 619 -- --
Shiva Corp * 526 3,140 357 2,131 530 3,163
Shoneys Inc * 658 1,522 532 1,230 1,152 2,664
Sizzler International Inc * 380 808 284 604 -- --
Skyline Corp 195 5,704 70 2,048 117 3,422
Strattec Security Corp * 63 1,985 44 1,386 -- --
Sunburst Hospitality Corp * 322 1,550 240 1,155 358 1,723
TCI Satellite Entertainment * 1,008 819 788 640 1,649 1,340
Thermolase Corp * -- -- -- -- 265 861
Topp Inc (The) * 633 2,769 470 2,056 -- --
Transtexas Gas Corp * -- -- -- -- 265 282
US Office Products Co * 421 2,079 360 1,779 806 3,978
Vencor Inc * 1,315 2,466 1,053 1,974 2,185 4,097
Vornado Operating Inc * 90 619 80 550 159 1,093
Workflow Management Inc * 223 1,575 192 1,356 429 3,030
Xoma Ltd * 169 592 172 602 -- --
TOTAL MICRO CAP STOCKS
- VALUE $179,941 $130,674 $208,494
- COST $490,824 $393,409 $616,566
INTERNATIONAL STOCKS
(except Japan)
Percent of Net Assets 11.07% 14.22% 15.27%
Aegon NV ADR (Netherlands) 1,324 $138,524 528 $ 55,242 807 $ 84,432
Alcatel Alsthom Compagnie
Generale d'electricite ADR (France) 26,784 580,878 26,080 565,610 52,153 1,131,068
Allied Irish Banks PLC ADR (Ireland) 12,323 1,272,350 12,015 1,240,549 23,911 2,468,811
Allied Zurich PLC ADR (Switzerland)* 17,502 516,743 16,798 495,958 29,971 884,888
Astra AB ADR Series B (Sweden) 32,190 629,717 31,444 615,123 62,718 1,226,921
</TABLE>
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COMMON STOCKS (continued)
Axa UAP ADR (France) 2,275 $ 151,288 7,608 $ 505,932
Banco Bilbao Vizcaya ADR (Spain) 4,210 62,098 15,108 222,843
Banco Central Hispanoamericano SA ADR (Spain) 5,788 69,094 20,917 249,697
Banco Santander SA ADR (Spain) 2,005 39,466 7,324 144,191
Benetton SpA ADR (Italy) 2,207 72,003 8,062 263,023
BP Amoco PLC ADR (UK) 1,954 166,090 9,350 794,750
British Airways PLC ADR (UK) 690 51,060 2,500 185,000
British American Tobacco PLC ADR (UK) 2,121 39,504 8,258 153,805
British Sky Broadcasting Group PLC ADR (UK) 747 41,318 2,685 148,514
British Steel PLC ADR (UK) 618 12,167 2,172 42,761
British Telecommunications PLC ADR (UK) 2,164 380,053 7,923 1,391,477
Broken Hill Proprierty Co Ltd ADR (Australia) 720 10,845 2,578 38,831
Cadbury Schweppes PLC ADR (UK) 1,417 88,385 5,062 315,742
Coles Myer Ltd ADR (Australia) 1,114 47,206 3,932 166,619
Daimler-Chrysler ADR AG (Germany) * 4,689 440,472 18,698 1,756,443
Deutsche Telekom ADR (Germany) 4,626 211,061 16,858 769,146
Diageo PLC ADR (UK) 3,787 171,362 13,795 624,224
Elf Aquitaine ADR (France) 1,556 80,329 5,612 289,720
Elsevier NV ADR (Netherlands) 3,727 120,196 13,661 440,567
Fiat SpA ADR (Italy) 3,998 59,470 14,430 214,646
Glaxo Holdings PLC ADR (UK) 3,560 228,063 12,692 813,081
Hanson PLC ADR (UK) 2,399 97,459 8,556 347,588
Hong Kong Telecommunications Ltd ADR
(Hong Kong) 11,724 197,107 42,354 712,076
Imperial Chemical Industries PLC ADR (UK) 1,149 40,359 4,141 145,453
Jefferson Smurfit Group PLC ADR (Ireland) 805 17,609 2,860 62,563
KLM Royal Dutch Airlines NV ADR (Netherlands) 294 8,221 1,156 32,358
Koninklijke Ahold NV ADR (Netherlands) 2,910 112,399 10,505 405,759
LVMH ADR (France) 947 40,248 3,521 149,643
Montedison SpA ADR (Italy) 4,884 48,230 17,507 172,882
National Australia Bank Ltd ADR (Australia) 1,103 91,411 4,031 334,069
National Power PLC ADR (UK) 938 30,720 3,300 108,075
Nokia Corp ADR (Finland) 556 75,408 1,988 269,623
Novo Nordisk A/S ADR (Denmark) 2,492 142,356 8,861 506,185
Philips Electronics NV ADR (Netherlands) 583 40,591 1,947 135,560
Premier Farnell PLC ADR (UK) 2,599 15,594 9,419 56,514
Repsol SA ADR (Spain) 767 40,268 2,800 147,000
Reuters Group PLC ADR (UK) 684 56,772 2,513 208,579
Rhone Poulenc SA ADR (France) 2,214 101,844 8,155 375,130
Royal Dutch Petroleum NV ADR (Netherlands) 3,876 170,060 13,868 608,459
SKF AB ADR (Sweden) 721 10,094 2,631 36,834
Smithkline Beecham PLC ADR (UK) 2,145 152,563 7,895 561,532
Swedish Match AB ADR (Sweden) 852 28,329 2,502 83,192
Tele Danmark A/S ADR (Denmark) 1,649 99,352 5,878 354,150
Telecom of New Zealand ADR (New Zealand) 1,159 46,360 4,058 162,320
Telefonaktiebolaget LM Ericsson ADR (Sweden) 2,532 65,832 9,126 237,276
Telefonica De Espana SA ADR (Spain) 569 78,260 2,066 284,006
</TABLE>
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<S> <C> <C> <C> <C> <C> <C>
Axa UAP ADR (France) 15,497 $1,030,551 14,778 $ 982,737 29,460 $1,959,090
Banco Bilbao Vizcaya ADR (Spain) 30,095 443,901 29,503 435,169 58,781 867,020
Banco Central Hispanoamericano SA ADR (Spain) 41,541 495,896 40,636 485,092 80,938 966,197
Banco Santander SA ADR (Spain) 14,690 289,209 14,363 282,772 28,646 563,968
Benetton SpA ADR (Italy) 16,032 523,044 15,716 512,735 31,276 1,020,380
BP Amoco PLC ADR (UK) 19,994 1,699,490 18,554 1,577,090 16,981 1,443,385
British Airways PLC ADR (UK) 4,895 362,230 4,829 357,346 9,499 702,926
British American Tobacco PLC ADR (UK) 17,503 325,993 16,800 312,900 29,974 558,266
British Sky Broadcasting Group PLC ADR (UK) 5,277 291,884 5,158 285,302 10,213 564,907
British Steel PLC ADR (UK) 4,442 87,452 4,020 79,144 8,673 170,750
British Telecommunications PLC ADR (UK) 15,823 2,778,914 15,465 2,716,041 30,697 5,391,161
Broken Hill Proprierty Co Ltd ADR (Australia) 5,201 78,340 5,012 75,493 10,187 153,442
Cadbury Schweppes PLC ADR (UK) 10,011 624,436 9,878 616,140 19,634 1,224,671
Coles Myer Ltd ADR (Australia) 7,865 333,279 7,659 324,550 15,449 654,651
Daimler-Chrysler ADR AG (Germany) * 37,849 3,555,440 36,455 3,424,492 59,189 5,560,067
Deutsche Telekom ADR (Germany) 33,615 1,533,684 32,780 1,495,588 65,430 2,985,244
Diageo PLC ADR (UK) 27,602 1,248,991 26,926 1,218,402 53,728 2,431,192
Elf Aquitaine ADR (France) 11,129 574,535 10,865 560,906 21,650 1,117,681
Elsevier NV ADR (Netherlands) 27,206 877,394 26,521 855,302 52,906 1,706,219
Fiat SpA ADR (Italy) 28,800 428,400 28,177 419,133 56,051 833,759
Glaxo Holdings PLC ADR (UK) 25,331 1,622,767 24,736 1,584,650 49,292 3,157,769
Hanson PLC ADR (UK) 17,127 695,784 16,792 682,170 33,366 1,355,494
Hong Kong Telecommunications Ltd ADR
(Hong Kong) 82,296 1,383,602 82,729 1,390,878 160,192 2,693,222
Imperial Chemical Industries PLC ADR (UK) 8,233 289,184 8,073 283,564 16,147 567,163
Jefferson Smurfit Group PLC ADR (Ireland) 5,640 123,375 5,151 112,678 11,094 242,681
KLM Royal Dutch Airlines NV ADR (Netherlands) 2,272 63,602 1,997 55,926 4,179 117,001
Koninklijke Ahold NV ADR (Netherlands) 20,963 809,699 20,424 788,896 40,394 1,560,206
LVMH ADR (France) 7,032 298,860 7,033 298,903 13,627 579,148
Montedison SpA ADR (Italy) 34,799 343,640 34,122 336,955 67,810 669,624
National Australia Bank Ltd ADR (Australia) 8,102 671,453 7,797 646,176 15,645 1,296,579
National Power PLC ADR (UK) 6,631 217,165 6,621 216,838 12,915 422,966
Nokia Corp ADR (Finland) 3,966 537,889 4,011 543,992 7,751 1,051,229
Novo Nordisk A/S ADR (Denmark) 17,736 1,013,169 17,364 991,919 34,507 1,971,212
Philips Electronics NV ADR (Netherlands) 3,881 270,215 3,858 268,613 7,625 530,891
Premier Farnell PLC ADR (UK) 18,699 112,194 17,176 103,056 36,409 218,454
Repsol SA ADR (Spain) 5,675 297,938 5,650 296,625 11,013 578,183
Reuters Group PLC ADR (UK) 5,104 423,632 4,956 411,348 9,781 811,823
Rhone Poulenc SA ADR (France) 16,306 750,076 15,942 733,332 31,745 1,460,270
Royal Dutch Petroleum NV ADR (Netherlands) 27,612 1,211,477 26,930 1,181,554 53,872 2,363,634
SKF AB ADR (Sweden) 5,177 72,478 5,064 70,896 10,261 143,654
Smithkline Beecham PLC ADR (UK) 15,771 1,121,712 15,418 1,096,605 30,717 2,184,747
Swedish Match AB ADR (Sweden) 5,527 183,773 5,155 171,404 10,793 358,867
Tele Danmark A/S ADR (Denmark) 11,681 703,780 11,412 687,573 22,626 1,363,217
Telecom of New Zealand ADR (New Zealand) 7,973 318,920 7,771 310,840 15,640 625,600
Telefonaktiebolaget LM Ericsson ADR (Sweden) 18,184 472,784 17,728 460,928 35,471 922,246
Telefonica De Espana SA ADR (Spain) 4,216 579,653 4,165 572,630 7,997 1,099,615
</TABLE>
99
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<TABLE>
<CAPTION>
LifePath Funds LifePath Master Portfolios - February 28, 1999
- ----------------------------------------------------------------------------------------
LifePath 2000 LifePath 2010
---------------------- ----------------------
Shares Value Shares Value
- ----------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
COMMON STOCKS (continued)
The News Corp Limited ADR (Australia) 874 $ 24,800 3,280 $ 93,070
Total SA ADR (France) 2,028 104,696 7,375 380,734
Unilever NV ADR (Netherlands) 3,712 268,888 13,512 978,776
Vodafone Group PLC ADR (UK) 1,008 183,645 3,682 670,814
Westpac Banking Ltd ADR (Australia) 1,636 54,602 5,958 198,848
WMC Limited Sponsored ADR (Australia) 1,130 14,054 3,937 48,966
Zeneca Group PLC ADR (UK) 1,704 69,971 6,131 251,754
----------- -----------
TOTAL INTERNATIONAL STOCKS
(except Japan)
- VALUE $ 5,482,799 $20,172,817
- COST $ 3,836,368 $13,478,952
JAPANESE STOCKS
Percent of Net Assets 1.20% 2.32%
Canon Inc ADR 1,390 30,059 6,130 132,561
CSK Corp ADR 1,916 54,606 7,720 220,020
Fuji Photo Film Co Ltd ADR 975 36,075 3,960 146,520
Hitachi Ltd ADR 732 45,521 3,124 194,274
Honda Motor Co Ltd ADR 533 40,441 2,285 173,374
Ito Yokado Co Ltd ADR 1,720 101,910 6,410 379,793
Japan Air Lines Co ADR 9,808 51,492 39,440 207,060
Kirin Brewery Co ADR 1,597 184,254 6,282 724,786
Kubota Corp ADR 1,434 69,191 5,943 286,750
Kyocera Corp ADR 860 41,011 3,258 155,366
Makita Corp ADR 1,420 14,023 5,593 55,231
Matsushita Corp ADR 257 42,260 1,133 186,308
Mitsubishi Corp ADR 3,294 35,536 18,425 198,769
Mitsui & Co Ltd ADR 660 71,610 2,475 268,538
NEC Corp ADR 1,183 59,002 4,713 235,061
Nippon Telegraph & Telegraph ADR 1,824 73,986 7,069 286,736
Nissan Motor Co Ltd ADR 3,635 27,831 14,626 111,981
Pioneer Electronics ADR 2,192 40,415 8,917 164,407
Ricoh Co Ltd ADR 677 29,899 2,699 119,197
Sony Corp ADR 468 34,954 1,882 140,562
Tokio Marine & Fire Insurance ADR 3,718 199,378 14,760 791,505
Toyota Motor Corp ADR 2,178 113,801 8,861 462,987
----------- -----------
TOTAL JAPANESE STOCKS
- VALUE $ 1,397,255 $ 5,641,786
- COST $ 1,561,640 $ 5,943,582
</TABLE>
100
<PAGE>
<TABLE>
<CAPTION>
LifePath Master Portfolios - February 28, 1999 LifePath Funds
- --------------------------------------------------------------------------------------------------------------------------
LifePath 2020 LifePath 2030 LifePath 2040
--------------------- -------------------- --------------------
Shares Value Shares Value Shares Value
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
The News Corp Limited ADR (Australia) 6,604 $ 187,389 6,325 $ 179,472 12,875 $ 365,328
Total SA ADR (France) 14,814 764,773 14,367 741,696 28,765 1,484,993
Unilever NV ADR (Netherlands) 27,000 1,955,813 26,329 1,907,207 52,563 3,807,532
Vodafone Group PLC ADR (UK) 7,306 1,331,062 7,058 1,285,879 14,188 2,584,876
Westpac Banking Ltd ADR (Australia) 11,939 398,464 11,613 387,584 23,232 775,368
WMC Limited Sponsored ADR (Australia) 7,849 97,622 7,695 95,707 15,318 190,518
Zeneca Group PLC ADR (UK) 12,197 500,839 11,993 492,463 23,804 977,452
----------- ----------- -----------
TOTAL INTERNATIONAL STOCKS
(except Japan)
- VALUE $40,546,058 $39,377,773 $75,202,658
- COST $27,179,960 $27,513,090 $56,541,373
JAPANESE STOCKS
Percent of Net Assets 3.57% 4.66% 5.21%
Canon Inc ADR 14,245 308,048 14,105 305,021 28,020 605,933
CSK Corp ADR 17,920 510,720 17,611 501,914 35,252 1,004,682
Fuji Photo Film Co Ltd ADR 9,224 341,288 9,036 334,332 18,050 667,850
Hitachi Ltd ADR 7,158 445,138 7,064 439,293 14,076 875,351
Honda Motor Co Ltd ADR 5,277 400,392 5,342 405,324 10,544 800,026
Ito Yokado Co Ltd ADR 14,810 877,493 14,712 871,686 29,104 1,724,412
Japan Air Lines Co ADR 91,775 481,819 90,874 477,089 180,587 948,082
Kirin Brewery Co ADR 14,466 1,669,015 14,380 1,659,093 28,452 3,282,470
Kubota Corp ADR 13,676 659,867 13,585 655,476 26,860 1,295,995
Kyocera Corp ADR 7,252 345,830 7,260 346,211 14,454 689,275
Makita Corp ADR 12,909 127,476 12,897 127,358 25,633 253,126
Matsushita Corp ADR 2,561 421,124 2,521 414,547 4,966 816,597
Mitsubishi Corp ADR 42,918 462,999 42,450 457,951 84,290 909,321
Mitsui & Co Ltd ADR 5,822 631,687 5,734 622,139 11,395 1,236,357
NEC Corp ADR 11,010 549,124 10,914 544,336 21,549 1,074,756
Nippon Telegraph & Telegraph ADR 16,440 666,848 16,358 663,521 32,374 1,313,170
Nissan Motor Co Ltd ADR 34,054 260,728 33,799 258,775 67,357 515,705
Pioneer Electronics ADR 20,694 381,546 20,537 378,651 40,856 753,283
Ricoh Co Ltd ADR 6,359 280,836 5,625 248,420 12,383 546,877
Sony Corp ADR 4,350 324,891 4,233 316,152 8,466 632,304
Tokio Marine & Fire Insurance ADR 34,186 1,833,224 33,869 1,816,225 67,208 3,604,029
Toyota Motor Corp ADR 20,581 1,075,357 20,469 1,069,505 40,544 2,118,424
----------- ----------- -----------
TOTAL JAPANESE STOCKS
- VALUE $13,055,450 $12,913,019 $25,668,025
- COST $13,881,410 $13,794,860 $26,903,725
</TABLE>
101
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<TABLE>
<CAPTION>
LifePath Funds LifePath Master Portfolios - February 28, 1999
- -----------------------------------------------------------------------------------------------
LifePath 2000 LifePath 2010
---------------------- -----------------------
Shares Value Shares Value
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
WARRANTS
Percent of Net Assets 0.00% 0.00%
Edison Brothers Stores Inc (09/25/05)* -- $ -- -- $ --
Golden State Bancorp (01/01/01)* 200 1,006 500 2,531
Marvel Enterprises Inc Class A (10/02/02)* -- -- 5 --
Marvel Enterprises Inc Class C (10/02/01)* -- -- 3 --
Marvel Enterprises Inc Class B (10/02/01)* -- -- 9 --
Morrison Knudsen Corp (03/11/03)* 4 15 17 64
Petrofina SA (Spain) (08/05/03)* -- -- 100 888
----------- ------------
TOTAL WARRANTS
- VALUE $ 1,021 $ 3,483
- COST $ 1,154 $ 2,258
RIGHTS
Percent of Net Assets 0.00% 0.00%
MEMC Electronic Materials Inc * 300 $ -- 264 $ --
----------- ------------
TOTAL RIGHTS
- VALUE $ -- $ --
- COST $ -- $ --
TOTAL COMMON STOCKS
- VALUE $24,095,120 $109,664,322
- COST $18,265,855 $ 76,786,629
</TABLE>
102
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<TABLE>
<CAPTION>
LifePath Master Portfolios - February 28, 1999 LifePath Funds
- --------------------------------------------------------------------------------------------------------------------------------
LifePath 2020 LifePath 2030 LifePath 2040
----------------------- ---------------------- ----------------------
Shares Value Shares Value Shares Value
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
WARRANTS
Percent of Net Assets 0.00% 0.00% 0.00%
Edison Brothers Stores Inc (09/25/05)* 16 $ 5 -- $ -- -- $ --
Golden State Bancorp (01/01/01)* 800 4,025 900 4,556 1,900 9,559
Marvel Enterprises Inc Class A (10/02/02)* 39 -- 5 -- 16 --
Marvel Enterprises Inc Class C (10/02/01)* 25 -- 3 -- 10 --
Marvel Enterprises Inc Class B (10/02/01)* 66 1 9 -- 28 --
Morrison Knudsen Corp (03/11/03)* 27 101 25 94 42 158
Petrofina SA (Spain) (08/05/03)* 100 888 100 888 200 1,775
------------ ------------ ------------
TOTAL WARRANTS
- VALUE $ 5,020 $ 5,538 $ 11,492
- COST $ 9,202 $ 4,846 $ 7,982
RIGHTS
Percent of Net Assets 0.00% 0.00% 0.00%
MEMC Electronic Materials Inc * 351 $ -- 357 $ -- 707 $ --
------------ ------------ ------------
TOTAL RIGHTS
- VALUE $ -- $ -- $ --
- COST $ -- $ -- $ --
TOTAL COMMON STOCKS
- VALUE $244,592,651 $226,659,217 $480,714,636
- COST $166,717,305 $156,199,345 $355,254,371
</TABLE>
103
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<TABLE>
<CAPTION>
LifePath Funds LifePath Master Portfolios - February 28, 1999
- ---------------------------------------------------------------------------------------------
LifePath 2000 LifePath 2010
---------------------- ----------------------
Shares Value Shares Value
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
LONG-TERM
GOVERNMENT BONDS
Percent of Net Assets 10.23% 6.12%
U.S. Treasury Bonds, 6.00%-13.75%,
02/15/01-11/15/28 $ 9,800,000 $11,939,748 $12,350,000 $14,912,827
----------- -----------
TOTAL LONG-TERM GOVERNMENT
BONDS
- VALUE $11,939,748 $14,912,827
- COST $12,054,628 $15,066,890
INTERMEDIATE-TERM
GOVERNMENT BONDS
Percent of Net Assets 44.66% 36.89%
U.S. Treasury Notes, 4.00%-8.75%,
03/31/00-11/15/08 $50,650,000 $52,141,836 $86,870,000 $89,839,897
----------- -----------
TOTAL INTERMEDIATE-TERM
GOVERNMENT BONDS
- VALUE $52,141,836 $89,839,897
- COST $51,684,430 $89,030,801
</TABLE>
104
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<TABLE>
<CAPTION>
LifePath Master Portfolios - February 28, 1999 LifePath Funds
- ------------------------------------------------------------------------------------------------------------------------
LifePath 2020 LifePath 2030 LifePath 2040
---------------------- --------------------- ---------------------
Shares Value Shares Value Shares Value
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
LONG-TERM
GOVERNMENT BONDS
Percent of Net Assets 5.19% 12.69% 1.71%
U.S. Treasury Bonds, 6.00%-13.75%,
02/15/01-11/15/28 $15,700,000 $19,020,254 $28,240,000 $35,134,246 $ 6,400,000 $ 8,431,605
----------- ----------- -----------
TOTAL LONG-TERM GOVERNMENT
BONDS
- VALUE $19,020,254 $35,134,246 $ 8,431,605
- COST $18,674,330 $33,690,726 $ 8,846,945
INTERMEDIATE-TERM
GOVERNMENT BONDS
Percent of Net Assets 21.10% 1.86% 0.00%
U.S. Treasury Notes, 4.00%-8.75%,
03/31/00-11/15/08 $74,555,000 $77,275,058 $ 5,000,000 $ 5,165,321 $ -- $ --
----------- ----------- -----------
TOTAL INTERMEDIATE-TERM
GOVERNMENT BONDS
- VALUE $77,275,058 $ 5,165,321 $ --
- COST $76,868,767 $ 5,265,683 $ --
</TABLE>
105
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<TABLE>
<CAPTION>
LifePath Funds LifePath Master Portfolios - February 28, 1999
- --------------------------------------------------------------------------------------------------------------
LifePath 2000 LifePath 2010
------------------------------ ------------------------------
Principal/ Principal/
Shares Value Shares Value
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
U.S. TREASURY BILLS
Percent of Net Assets 22.92% 10.23%
U.S. Treasury Bills, 4.30% - 4.45%**
04/01/99-05/13/99 26,864,000 $ 26,754,965 25,023,000 $ 24,918,853
------------- -------------
TOTAL U.S. TREASURY BILLS
- VALUE $ 26,754,965 $ 24,918,853
- COST $ 26,755,729 $ 24,919,688
CASH EQUIVALENTS
Percent of Net Assets 7.60% 8.75%
Dreyfus Institutional Money Market Fund# 775,364 $ 775,364 1,010,585 $ 1,010,585
Janus Institutional Money Market Fund# 3,100,000 3,100,000 9,300,000 9,300,000
Merrimac Cash Fund - Premium Class # 5,000,000 5,000,000 11,000,000 11,000,000
------------- -------------
TOTAL CASH EQUIVALENTS
- VALUE $ 8,875,364 $ 21,310,585
- COST $ 8,875,364 $ 21,310,585
TOTAL INVESTMENTS IN SECURITIES
(Notes 1 and 3)
- VALUE $ 123,807,033 $ 260,646,485
- COST## $ 117,636,006 $ 227,114,593
------------- -------------
TOTAL INVESTMENTS IN SECURITIES 106.05% $ 123,807,033 107.02% $ 260,646,485
Other Assets and Liabilities, Net (6.05)% (7,066,623) (7.02)% (17,085,423)
--------- ------------- --------- -------------
TOTAL NET ASSETS 100.00% $ 116,740,410 100.00% $ 243,561,062
========= ============= ========= =============
- --------------------------------------------------------------------------------------------------------------
</TABLE>
* Non-income earning securities
# Represent investment of collateral received from securities lending
transactions (see Note 4 of the notes to the financial statements)
** Yield to maturity
<TABLE>
<S> <C> <C>
## Cost for federal income tax purposes is: $ 117,642,542 $ 227,165,080
Net unrealized appreciation consists of:
Gross Unrealized Appreciation 8,302,397 38,682,689
Gross Unrealized Depreciation (2,137,906) (5,201,284)
------------- -------------
Net Unrealized Appreciation $ 6,164,491 $ 33,481,405
============= =============
</TABLE>
The accompanying notes are an integral part of these financial statements.
106
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<TABLE>
<CAPTION>
LifePath Master Portfolios - February 28, 1999 LifePath Funds
- ----------------------------------------------------------------------------------------------------------------------------------
LifePath 2020 LifePath 2030 LifePath 2040
--------------------------- --------------------------- ---------------------------
Principal/ Principal/ Principal/
Shares Value Shares Value Shares Value
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
U.S. TREASURY BILLS
Percent of Net Assets 5.95% 2.99% 0.74%
U.S. Treasury Bills, 4.30% - 4.45%**
04/01/99-05/13/99 21,868,000 $ 21,772,205 8,305,000 $ 8,266,625 3,688,000 $ 3,666,849
------------- ------------- -------------
TOTAL U.S. TREASURY BILLS
- VALUE $ 21,772,205 $ 8,266,625 $ 3,666,849
- COST $ 21,773,013 $ 8,266,782 $ 3,666,671
CASH EQUIVALENTS
Percent of Net Assets 8.31% 6.63% 9.05%
Dreyfus Institutional Money Market Fund# 33,039 $ 33,039 1,147,440 $ 1,147,440 922,675 $ 922,675
Janus Institutional Money Market Fund# 12,900,000 12,900,000 4,700,000 4,700,000 20,100,000 20,100,000
Merrimac Cash Fund - Premium Class # 17,500,000 17,500,000 12,500,000 12,500,000 23,500,000 23,500,000
------------- ------------- -------------
TOTAL CASH EQUIVALENTS
- VALUE $ 30,433,039 $ 18,347,440 $ 44,522,675
- COST $ 30,433,039 $ 18,347,440 $ 44,522,675
TOTAL INVESTMENTS IN SECURITIES
(Notes 1 and 3)
- VALUE $ 393,093,207 $ 293,572,849 $ 537,335,765
- COST## $ 314,466,454 $ 221,769,976 $ 412,290,662
------------- ------------- -------------
TOTAL INVESTMENTS IN SECURITIES 107.35% $ 393,093,207 106.05% $ 293,572,849 109.10% $ 537,335,765
Other Assets and Liabilities, Net (7.35)% (26,929,574) (6.05)% (16,742,431) (9.10)% (44,816,880)
---------- ------------- ---------- ------------- ---------- -------------
TOTAL NET ASSETS 100.00% $ 366,163,633 100.00% $ 276,830,418 100.00% $ 492,518,885
========== ============= ========== ============= ========== =============
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Non-income earning securities
# Represent investment of collateral received from securities lending
transactions (see Note 4 of the notes to the financial statements)
** Yield to maturity
<TABLE>
<S> <C> <C> <C>
## Cost for federal income tax purposes is: $ 315,139,476 $ 221,836,741 $ 414,678,012
Net unrealized appreciation consists of:
Gross Unrealized Appreciation 88,286,197 81,422,945 144,148,706
Gross Unrealized Depreciation (10,332,466) (9,686,837) (21,490,953)
------------- ------------- -------------
Net Unrealized Appreciation $ 77,953,731 $ 71,736,108 $ 122,657,753
============= ============= =============
</TABLE>
107
<PAGE>
LifePath Funds Statement of Assets and Liabilities - February 28, 1999
- ------------------------------------------------------------------------------
LifePath LifePath
2000 2010
Master Master
Portfolio Portfolio
- ------------------------------------------------------------------------------
ASSETS
Investments:
In securities, at market value
(see cost below) (Note 1) $123,807,033 $260,646,485
Cash 753 575
Receivables:
Investment securities sold 892,310 2,682,375
Dividends and interest 958,274 1,693,284
Total Assets 125,658,370 265,022,719
LIABILITIES
Payables:
Investment securities purchased 0 0
Collateral for securities loaned (Note 4) 8,875,364 21,310,585
Due to BGI (Note 2) 42,596 151,072
Total Liabilities 8,917,960 21,461,657
TOTAL NET ASSETS $116,740,410 $243,561,062
INVESTMENTS AT COST $117,636,006 $227,114,593
- ------------------------------------------------------------------------------
The accompanying notes are an integral part of these financial statements.
108
<PAGE>
<TABLE>
<CAPTION>
Statement of Assets and Liabilities - February 28, 1999 LifePath Funds
- -----------------------------------------------------------------------------------------------
LifePath LifePath LifePath
2020 2030 2040
Master Master Master
Portfolio Portfolio Portfolio
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
ASSETS
Investments:
In securities, at market value
(see cost below) (Note 1) $393,093,207 $293,572,849 $537,335,765
Cash 962 0 41
Receivables:
Investment securities sold 3,078,562 1,886,222 1,985,377
Dividends and interest 1,658,382 712,594 781,689
Total Assets 397,831,113 296,171,665 540,102,872
LIABILITIES
Payables:
Investment securities purchased 1,017,111 813,185 2,735,423
Collateral for securities loaned (Note 4) 30,433,039 18,347,440 44,522,675
Due to BGI (Note 2) 217,330 180,622 325,889
Total Liabilities 31,667,480 19,341,247 47,583,987
TOTAL NET ASSETS $366,163,633 $276,830,418 $492,518,885
INVESTMENTS AT COST $314,466,454 $221,769,976 $412,290,662
- -----------------------------------------------------------------------------------------------
</TABLE>
109
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Statement of Operations For the Year Ended February 28, 1999
- -----------------------------------------------------------------------------------------
LifePath 2000 LifePath 2010
Master Portfolio Master Portfolio
- -----------------------------------------------------------------------------------------
<S> <C> <C>
INVESTMENT INCOME
Dividends+ $ 414,888 $ 1,679,143
Interest++ 4,757,899 6,605,799
Total Investment Income 5,172,787 8,284,942
EXPENSES (NOTE 2)
Advisory Fees 630,133 1,236,989
Total Expenses 630,133 1,236,989
NET INVESTMENT INCOME 4,542,654 7,047,953
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments 4,718,618 13,218,840
Net change in unrealized appreciation
(depreciation) of investments (1,372,957) 2,322,667
Net Gain (Loss) on Investments 3,345,661 15,541,507
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $ 7,888,315 $22,589,460
- -----------------------------------------------------------------------------------------
+ Net of foreign withholding tax of: $ 1,566 $ 3,647
++ Interest income includes securities lending income of: $ 23,722 $ 62,981
</TABLE>
The accompanying notes are an integral part of these financial statements.
110
<PAGE>
<TABLE>
<CAPTION>
Statement of Operations For the Year Ended February 28, 1999 LifePath Funds
- ---------------------------------------------------------------------------------------------------------------
LifePath 2020 LifePath 2030 LifePath 2040
Master Portfolio Master Portfolio Master Portfolio
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
INVESTMENT INCOME
Dividends+ $ 3,765,647 $ 3,421,020 $ 6,932,033
Interest++ 6,029,606 2,457,292 559,542
Total Investment Income 9,795,253 5,878,312 7,491,575
EXPENSES (NOTE 2)
Advisory Fees 1,882,147 1,405,948 2,472,170
Total Expenses 1,882,147 1,405,948 2,472,170
NET INVESTMENT INCOME 7,913,106 4,472,364 5,019,405
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS
Net realized gain (loss) on sale of investments 24,960,119 17,728,114 34,827,042
Net change in unrealized appreciation
(depreciation) of investments 7,187,708 10,724,507 23,947,962
Net Gain (Loss) on Investments 32,147,827 28,452,621 58,775,004
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $40,060,933 $32,924,985 $63,794,409
- ---------------------------------------------------------------------------------------------------------------
+ Net of foreign withholding tax of: $ 5,470 $ 6,903 $ 8,607
++ Interest income includes securities lending income of: $ 110,958 $ 95,289 $ 192,030
</TABLE>
111
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Statements of Changes in Net Assets
- -------------------------------------------------------------------------------------------
LifePath 2000 Master Portfolio
--------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- -------------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Net investment income $ 4,542,654 $ 5,325,967
Net realized gain (loss) on sale of investments 4,718,618 5,800,419
Net change in unrealized appreciation (depreciation) of
investments (1,372,957) 3,089,773
Net increase (decrease) in net assets resulting from
operations 7,888,315 14,216,159
Net increase (decrease) in net assets resulting from
beneficial interests transactions (7,346,906) (29,290,156)
Increase (decrease) in Net Assets 541,409 (15,073,997)
NET ASSETS:
Beginning net assets 116,199,001 131,272,998
Ending net assets $ 116,740,410 $ 116,199,001
- -------------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
112
<PAGE>
<TABLE>
<CAPTION>
Statements of Changes in Net Asstes LifePath Funds
- ------------------------------------------------------------------------------------------------------------------------------------
LifePath 2010 Master Portfolio LifePath 2020 Master Portfolio
------------------------------------- --------------------------------------
For the For the For the For the
Year Ended Year Ended Year Ended Year Ended
February 28, 1999 February 28, 1998 February 28, 1999 February 28, 1998
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Net investment income $ 7,047,953 $ 6,460,247 $ 7,913,106 $ 7,680,647
Net realized gain (loss) on sale of investments 13,218,840 9,734,287 24,960,119 16,445,704
Net change in unrealized appreciation (depreciation) of
investments 2,322,667 16,696,571 7,187,708 39,706,672
Net increase (decrease) in net assets resulting from
operations 22,589,460 32,891,105 40,060,933 63,833,023
Net increase (decrease) in net assets resulting from
beneficial interests transactions 12,753,903 5,815,674 (168,062) 10,995,106
Increase (decrease) in Net Assets 35,343,363 38,706,779 39,892,871 74,828,129
NET ASSETS:
Beginning net assets 208,217,699 169,510,920 326,270,762 251,442,633
Ending net assets $ 243,561,062 $ 208,217,699 $ 366,163,633 $ 326,270,762
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
113
<PAGE>
<TABLE>
<CAPTION>
LifePath Funds Statement of Changes in Net Assets
- ----------------------------------------------------------------------------------------
LifePath 2030 Master Portfolio
-------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- ----------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Net investment income $ 4,472,364 $ 4,066,385
Net realized gain (loss) on investments 17,728,114 9,255,193
Net realized gain (loss) on sale of futures
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments 10,724,507 35,383,133
Net change in unrealized appreciation
(depreciation) of futures contracts 0 0
Net increase (decrease) in net assets resulting from
operations 32,924,985 48,704,711
Net increase (decrease) in net assets resulting from
beneficial interests transactions 10,295,060 26,100,829
Net Increase (decrease) in Net Assets 43,220,045 74,805,540
NET ASSETS:
Beginning net assets 233,610,373 158,804,833
Ending net assets $ 276,830,418 $ 233,610,373
- ----------------------------------------------------------------------------------------
</TABLE>
The accompanying notes are an integral part of these financial statements.
114
<PAGE>
<TABLE>
<CAPTION>
Statements of Changes in Net Assets LifePath Funds
- ----------------------------------------------------------------------------------------
LifePath 2040 Master Portfolio
------------------------------------
For the For the
Year Ended Year Ended
February 28, 1999 February 28, 1998
- ----------------------------------------------------------------------------------------
<S> <C> <C>
INCREASE (DECREASE) IN NET ASSETS
Net investment income $ 5,019,405 $ 4,675,068
Net realized gain (loss) on investments 34,827,042 26,394,931
Net realized gain (loss) on sale of futures
contracts 0 0
Net change in unrealized appreciation
(depreciation) of investments 23,947,962 58,037,494
Net change in unrealized appreciation
(depreciation) of futures contracts 0 (52,500)
Net increase (decrease) in net assets resulting from
operations 63,794,409 89,054,993
Net increase (decrease) in net assets resulting from
beneficial interests transactions 23,995,369 57,589,386
Net Increase (decrease) in Net Assets 87,789,778 146,644,379
NET ASSETS:
Beginning net assets 404,729,107 258,084,728
Ending net assets $ 492,518,885 $ 404,729,107
- ----------------------------------------------------------------------------------------
</TABLE>
115
<PAGE>
LifePath Funds Notes to the Financial Statements
- --------------------------------------------------------------------------------
1. Significant Accounting Policies
Organization
Master Investment Portfolio ("MIP") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end management
investment company. MIP was organized on October 21, 1993, as a Delaware
business trust pursuant to an Agreement and Declaration of Trust dated May 14,
1993, and had no operations prior to May 26, 1994. MIP currently issues the
following separate portfolios (the "Master Portfolios"): the Asset Allocation,
Bond Index, Extended Index, LifePath 2000, LifePath 2010, LifePath 2020,
LifePath 2030, LifePath 2040, Money Market, S&P 500 Index, U.S. Equity Index and
U.S. Treasury Allocation Master Portfolios. These financial statements contain
the LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030 and LifePath 2040
Master Portfolios.
The following significant accounting policies are consistently followed by
MIP in the preparation of its financial statements, and such policies are in
conformity with generally accepted accounting principles for investment
companies. The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities and
disclosure of contingent assets and liabilities at the date of the financial
statements and the reported amounts of revenue and expenses during the reporting
period. Actual results could differ from those estimates.
Investment Policy and Security Valuation
Each Master Portfolio covered by this report follows an asset allocation
strategy among three broad investment classes: equity and debt securities of
issuers located throughout the world and cash in the form of money market
instruments. The equity securities of the Master Portfolios are valued at the
last reported sale price on the primary securities exchange or national
securities market on which such securities are traded. Securities not listed on
an exchange or national securities market, or securities in which there was no
last reported sales price, are valued at the most recent bid prices. U.S.
Government obligations are valued at the last reported bid price. Other debt
securities are generally traded in the over-the-counter market and are valued at
a price deemed best to reflect fair value as quoted by dealers who make markets
in those securities or by an independent pricing source. Debt securities
maturing in 60 days or less are valued at amortized cost, which approximates
market value. Any securities or other assets for which market quotations are not
readily available, are valued at fair value as determined in good faith in
accordance with policies approved by MIP's Board of Trustees.
116
<PAGE>
Notes to the Financial Statements LifePath Funds
- --------------------------------------------------------------------------------
Security Transactions and Income Recognition
Security transactions are accounted for on the date the securities are
purchased or sold (trade date). Dividend income is recognized on the ex-dividend
date, and interest income is recognized on a daily accrual basis. Realized gains
or losses are reported on the basis of identified cost of securities delivered.
Bond discounts and premiums are amortized under provisions of the Internal
Revenue Code of 1986, as amended (the "Code").
Federal Income Taxes
Each Master Portfolio of MIP intends to qualify as a partnership for federal
income tax purposes. Each Master Portfolio therefore believes that it will not
be subject to any federal income tax on its income and net realized capital
gains (if any). However, each investor in a Master Portfolio is allocated its
share of the partnership's income and capital gains. The determination of such
share will be made in accordance with the applicable sections of the Code.
It is intended that each Master Portfolio's assets, income and allocations
will be managed in such a way that a regulated investment company investing in a
Master Portfolio will be able to satisfy the requirements of Subchapter M of the
Code, assuming that the investment company invested all of its assets in the
corresponding Master Portfolio.
Futures Contracts
The LifePath 2000, LifePath 2010, LifePath 2020, LifePath 2030, and LifePath
2040 Master Portfolios may purchase futures contracts to gain exposure to market
changes, as this may be more efficient or cost effective than actually buying
the securities. A futures contract is an agreement between two parties to buy or
sell a security at a set price on a future date and is exchange traded. Upon
entering into a futures contract, the LifePath 2000, LifePath 2010, LifePath
2020, LifePath 2030, and LifePath 2040 Master Portfolios are required to pledge
to the broker an amount of cash, U.S. Government securities or other
high-quality debt securities equal to the minimum "initial margin" requirements
of the exchange. Pursuant to the contract, the Master Portfolios agree to
receive from or pay to the broker an amount of cash equal to the daily
fluctuation in the value of the contract. Such receipts or payments are known as
"variation margin" and are recorded by the Master Portfolios as unrealized gains
or losses. When the contract is closed, the Master Portfolios record a gain or
loss equal to the difference between the value of the contract at the time it
was opened and the value at the time it was closed. Pursuant to regulations
and/or published positions of the Securities and Exchange Commission, the Master
Portfolios are required to segregate cash, U.S. Government
117
<PAGE>
LifePath Funds Notes to the Financial Statements
- --------------------------------------------------------------------------------
obligations or high quality, liquid debt instruments in connection with futures
transactions in an amount generally equal to the entire contract amount. Risks
of entering into futures contracts include the possibility that there may be an
illiquid market and that a change in the value of the contracts may not
correlate with changes in the value of the underlying securities. As of February
28, 1999, the Master Portfolios had no open futures contracts outstanding.
Repurchase Agreements
Transactions involving purchases of securities under agreements to resell
such securities at a specified price and time ("repurchase agreements") are
treated as collateralized financing transactions and are recorded at their
contracted resale amounts. These repurchase agreements, if any, are detailed in
each Master Portfolio's Portfolio of Investments. The adviser to the Master
Portfolios may pool each Master Portfolio's cash and invest in repurchase
agreements entered into by the other Master Portfolios. Each Master Portfolio's
prospectus requires that the cash investments be fully collateralized based on
values that are marked to market daily. The collateral is generally held by an
agent bank under a tri-party agreement. It is the adviser's responsibility to
value collateral daily and to obtain additional collateral as necessary to
maintain the value at equal to or greater than 102% of market value. There were
no repurchase agreements owned by the Master Portfolios as of February 28, 1999.
2. Agreements and Other Transactions with Affiliates
Pursuant to an Investment Advisory Contract with each Master Portfolio,
Barclays Global Fund Advisors ("BGFA") provides investment guidance and policy
direction in connection with the management of each Master Portfolio's assets.
BGFA is entitled to receive 0.55% of the average daily net assets of the
LifePath Master Portfolios as compensation for its advisory services to such
Master Portfolios. BGFA is an indirect subsidiary of Barclays Bank PLC.
Investors Bank & Trust Company ("IBT") serves as the custodian to each Master
Portfolio. IBT will not be entitled to receive fees for its custodial services
so long as it is entitled to receive a separate fee from Barclays Global
Investors, N.A. ("BGI") for its services as SubAdministrator of each Master
Portfolio.
Stephens Inc. ("Stephens"), is the co-administrator, and placement agent for
the Master Portfolios.
Certain officers and directors of MIP are also officers of Stephens. As of
February 28, 1999, these officers of Stephens collectively owned less than 1% of
the Master Portfolios' outstanding shares of beneficial interests.
118
<PAGE>
Notes to the Financial Statements LifePath Funds
- --------------------------------------------------------------------------------
3. Investment Portfolio Transactions
Purchases and sales of investments, exclusive of short-term securities, for
each Master Portfolio for the year ended February 28, 1999, are as follows:
<TABLE>
<CAPTION>
LifePath LifePath LifePath LifePath LifePath
Aggregate 2000 2010 2020 2030 2040
Purchases Master Master Master Master Master
and Sales of: Portfolio Portfolio Portfolio Portfolio Portfolio
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
U.S. Government
Obligations
Purchases at cost $52,774,360 $81,554,989 $89,496,463 $24,870,357 $14,257,406
Sales proceeds 47,552,808 50,708,717 64,163,875 12,715,369 5,390,719
- ---------------------------------------------------------------------------------------
Other Securities:
Purchases at cost $ 3,970,669 $20,912,005 $37,609,060 $34,256,043 $99,989,169
Sales proceeds 10,374,853 26,837,634 52,187,649 34,800,472 80,635,558
</TABLE>
4. Portfolio Securities Loaned
As of February 28, 1999, certain Master Portfolios had loaned securities
which were collateralized by cash. Each Master Portfolio receives transaction
fees for providing services in connection with the securities lending program.
The risks to the Portfolios of securities lending are that the borrower may not
provide additional collateral when required or return the securities when due.
The value of the securities on loan and the value of the related collateral were
as follows:
Securities Collateral
- --------------------------------------------------------------------------------
LifePath 2000 Master Portfolio 8,630,087 8,875,364
- --------------------------------------------------------------------------------
LifePath 2010 Master Portfolio 20,553,970 21,310,585
- --------------------------------------------------------------------------------
LifePath 2020 Master Portfolio 29,389,992 30,433,039
- --------------------------------------------------------------------------------
LifePath 2030 Master Portfolio 17,703,645 18,347,440
- --------------------------------------------------------------------------------
LifePath 2040 Master Portfolio 42,933,747 44,522,675
119
<PAGE>
LifePath Funds Notes to the Financial Statements
- --------------------------------------------------------------------------------
5. Financial Highlights
The portfolio turnover rates, excluding short-term securities, for the
Master Portfolios are as follows:
<TABLE>
<CAPTION>
LifePath LifePath LifePath LifePath LifePath
2000 2010 2020 2030 2040
Master Master Master Master Master
Portfolio Turnover Portfolio Portfolio Portfolio Portfolio Portfolio
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
For the Year Ended February 28, 1999 66% 38% 36% 19% 19%
For the Year Ended February 28, 1998 39% 46% 41% 27% 34%
For the Year Ended February 28, 1997 108% 73% 61% 42% 48%
For the Year Ended February 29, 1996 84% 39% 49% 39% 29%
For the Year Ended February 28, 1995 17% 24% 28% 40% 5%
</TABLE>
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<PAGE>
Independent Auditors' Report Life Path Funds
- --------------------------------------------------------------------------------
To the Shareholders and Board of Trustees
Master Investment Portfolio:
We have audited the accompanying statements of assets and liabilities,
including the portfolios of investments of LifePath 2000 Master Portfolio,
LifePath 2010 Master Portfolio, LifePath 2020 Master Portfolio, LifePath 2030
Master Portfolio and LifePath 2040 Master Portfolio (five of the portfolios
comprising Master Investment Portfolio) as of February 28, 1999, and the related
statements of operations for the year then ended, the statements of changes in
net assets for each of the years in the two-year period then ended, and the
financial highlights for each of the years in the four-year period then ended.
These financial statements and financial highlights are the responsibility of
the Trust's management. Our responsibility is to express an opinion on these
financial statements and financial highlights based on our audits. All periods
indicated in Note 5 ending prior to March 1, 1995, were audited by other
auditors whose report dated April 20, 1995, expressed an unqualified opinion on
this information.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards 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. Our procedures included
confirmation of securities owned as of February 28, 1999 by correspondence with
the custodian and brokers. An audit also includes assessing the accounting
principles used and significant estimates made by management, as well as
evaluating the overall financial statement presentation. We believe that our
audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the aforementioned master portfolios of Master Investment Portfolio as of
February 28, 1999, the results of their operations, the changes in their net
assets and their financial highlights for the periods indicated herein, except
as noted above, in conformity with generally accepted accounting principles.
KPMG LLP
San Francisco, California
April 2, 1999
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LifePath Funds LifePath Master Portfolios - February 28, 1999
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LifePath Funds LifePath Master Portfolios - February 28, 1999
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LifePath Master Portfolios - February 28, 1999 LifePath Funds
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<PAGE>
Wells Fargo Bank, N.A. provides investment advisory services, shareholder
services, and/or certain other services for the Stagecoach Funds. Barclays
Global Fund Advisors ("BGFA") provides investment advisory and sub-advisory
services to certain Stagecoach Funds. Each of the Stagecoach LifePath Funds
invest in a master portfolio which in turn invests in individual securities.
LifePath is a registered trademark of Barclays Global Investors, N.A. The Funds
are distributed by Stephens Inc., Member NYSE/SIPC. Wells Fargo Bank, N.A. and
BGFA are not affiliated with Stephens Inc.
This report and the financial statements contained herein are submitted for the
general information of the shareholders of the Stagecoach Funds. If this report
is used for promotional purposes, distribution of the report must be accompanied
or proceeded by a current prospectus. For a prospectus containing more complete
information, including charges and expenses, call 1-800-222-8222. Read the
prospectus carefully before you invest or send money.
(C)Stagecoach Funds
STAGECOACH FUNDS(R)
P.O. Box 7066
San Francisco, Ca. 94120-7066
Dated Material
Please Expedite
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