10-K 1 0001.txt ANNUAL REPORT ------------------------------------------------------------------------------- | | | ANNUAL REPORT | | SEPTEMBER 30, 2000 | | | ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- | [CHURCH AND CROSS LOGO] | | | | | | CAPSTONE | | SOCIAL ETHICS | | AND | | RELIGIOUS VALUES FUND | | | ------------------------------------------------------------------------------- ------------------------------------------------------------------------------- | | | [LOGO] A Member of | | THE CAPSTONE GROUP | | OF MUTUAL FUNDS | | | ------------------------------------------------------------------------------- CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- Dear Shareholder: We are pleased to present the annual report for Capstone Social Ethics and Religious Values Fund for the period ended September 30, 2000. ECONOMIC OVERVIEW The highlights of the third quarter were the efforts by economic policymakers to stem the rise in oil prices and to halt the decline in the euro. The quarter was also marked by weaker than expected earnings reports which pushed the S&P 500 to a 0.97% decline for the quarter. The tech-heavy NASDAQ index dropped 7.36% for the quarter. Bonds are actually on track to outperform stocks for the first year since 1990; the Lehman Aggregate Bond Index is up 7.12% since the start of the year while the S&P is down 1.39% year-to-date. The euro was launched on January 1st 1999 and was hailed by some as a currency that could ultimately challenge the dominance of the U.S. dollar. Eleven countries (including Germany and France) use the euro as their official currency and coordinate their monetary policy through the European Central Bank (ECB). Upon its launch 19 months ago, the euro was pegged at 1.18 dollars per euro. The currency has been unable to "challenge" the dollar as it dropped to an all time low of .8443 ($/euro) prior to a coordinated effort on the part of the U.S., Japan, Great Britain, Canada, and the ECB to establish a floor for the currency. The precipitous decline in the euro has eroded the purchasing power of the almost 300 million people living within the eurozone. With crude oil changing hands in dollars, the nearly three-fold increase in U.S. oil prices since early 1999 amounts to an almost four-fold increase in oil prices for much of Europe. When one adds in the high government taxes on gasoline in Europe, it is easy to see why Europeans have little sympathy for Americans who complain about high gas prices. One of the primary reasons for the intervention was to tame eurozone inflation which rose 2.3% year-over-year in August. A secondary reason was to help garner support from Danish voters who faced a referendum regarding Denmark's inclusion as the twelfth country in the eurozone. The move was "too little, too late" as the Danes rejected the measure by a 53-47 margin. So far, the euro has not dropped below the intervention level. While a stronger euro will make U.S. imports more expensive in the long-run the U.S. economy will benefit from a European economy with a healthy currency, stable growth and little inflation. Following the intervention to raise the price of the euro, President Clinton announced his plan to release 30 million barrels of oil from the 571 million barrel Strategic Petroleum Reserve (SPR). Technically, the release is a "swap" since the buyers will be required to replace the oil. The SPR was created after the oil shocks of the 1970's to prevent supply disruptions in times of emergencies. The SPR was last tapped in a major way in 1991 during the Persian Gulf War. There have been other instances of minor releases (each less than 1 million barrels) during recent years due to regional pipeline disruptions. In the days leading up to the President's announcement, the price of oil hit $37.80, the highest price since Iraq invaded Kuwait in October 1990. By the end of September, ------------------------------------------------------- | | | [GRAPHIC] | | EURO PLUNGES VS. U.S. DOLLAR | | 1/1/99 - 9/30/00 | | | | 1.15 | | | | 1.10 | | | | 1.05 | | | | 1.00 | | | | 0.95 | | | | 0.90 | | | | 0.85 | | | | 1/99 3/99 6/99 9/99 12/99 3/00 6/00 9/00 | | | | Source: Bloomberg | ------------------------------------------------------- 2 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- prices had dropped to just under $31 per barrel. It is unlikely that the administration's move will have a lasting impact on energy prices. The President expressed concern that supplies of home heating oil for Northeasterners were at very low levels, but the American Petroleum Institute (API) stated that refineries are running at 94.7% capacity so supplies are likely to remain tight for some time. The situation could become very serious if we experience a harsh or early winter. The President failed to mention the 100% year-to-date rise in natural gas prices. Only 8% of households use oil to heat their homes, while natural gas is used by more than 30% of Americans. Natural gas is also the fuel for 50% of the electricity generated in the U.S. We are becoming increasingly concerned that energy prices could drain some of the strength from consumer spending in the next six months. For some time, we have been advising investors to anticipate equity returns that are closer to the long-run market averages rather than the returns that we witnessed in the late 90's. With the uncertainty looming over the global economy, a more cautious tone may be warranted for investors. EQUITY MARKET OVERVIEW During the third quarter, we expected corporate earnings to have a significant impact with growing potential for volatility and amplified market excitement. Indeed, our expectations were realized. September brought with it a reversal from August for all the major indices. The Nasdaq, the Dow Jones Industrial Average and the S&P 500 Index were down 12.7%, 5.0%, and 5.3% respectively for the month of September. This poor performance resulted in all three indices turning negative on the year. By the end of the quarter, the Nasdaq, the Dow and the S&P 500 were down 9.7%, 7.4% and 1.4% respectively, year-to-date. Unlike recent quarters, when the great majority of the negative pre-announcements were more company specific rather than indicative of industry or macro problems, this time the three "e's" have been the common thread causing this market downturn. Those are the slowing US economy, high energy prices and the weak euro. Looking forward, we try to dissect "what the market is saying" but it has been especially slippery in the past few years with the "new" and the "old" economy segments moving in opposite directions. That dichotomy remains very much in place. Since the middle of the third quarter, measures (including the Nasdaq and the S&P 500 Index) have fallen more than 20% yet the old economy is doing much better. The NYSE Index has fallen just 3% since mid quarter and the old-economy segments of the S&P 500 have actually risen. These old-economy stocks are often the better guides to the future of our economy and stock market performance. As a blend of the old and new, the large cap portfolio is ideally suited to participate in market sector rotation. ------------------------------------------------------- | | | [GRAPHIC] | | OIL PRICES MOVE HIGHER | | WEST TEXAS INTERMEDIATE CRUDE | | | | | | | | 35 | | | | 30 | | | | 25 | | | | 20 | | | | 15 | | | | 12/98 3/99 6/99 9/99 12/99 3/00 6/00 9/00 | | | | Source: Bloomberg | ------------------------------------------------------- 3 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- FIXED INCOME MARKET OVERVIEW During the third quarter the U.S. Treasury yield curve made some progress in returning to a more normal shape. Under normal circumstances, the yield curve is "upward sloping" as investors demand a higher interest rate in return for the risk of holding longer dated securities. The yield curve inverted in January when the yield on the thirty-year bond dipped below the yield on both ten-year and two-year Treasuries. Through the first six months of the year the inversion became more pronounced, and by the end of the second quarter the yield on two-year Treasuries (6.36%) was 46 basis points (or 0.46%) above the thirty-year bond (5.90%). For ten-year Treasuries the inversion was a less pronounced 12 basis points at the end of the second quarter, with ten-year securities sporting a 6.02% yield. During the third quarter, investors witnessed a partial unwinding of the inversion as yields on two-year Treasuries dropped to 5.97% while thirty-year Treasuries finished the quarter with a yield of 5.88%, shrinking the inversion between two's and thirty's to just nine basis points. The inversion between ten's and thirty's was completely erased during the third quarter. This process of a yield curve moving from an inverted shape to a more normal shape is commonly referred to as "disinversion." The disinversion of the third quarter was driven by a decline in shorter-term interest rates as investors became increasingly convinced that the Federal Reserve was close to the conclusion of the effort to raise the Fed Funds rate. At the same time, long-term interest rates were basically unchanged as investors worried about inflation from higher energy prices and also the prospect of a reduction in the retirement of outstanding Treasury debt. The primary catalyst to lower long-term interest rates this year has been the effort by the government to retire outstanding debt. The budget proposals from both presidential candidates appear to be less accommodative to this goal. Fixed income investors also fear the possibility that one party could end up with control of both the executive and legislative branches of government. Under such a scenario the "gridlock" of recent years would be weakened possibly leading to smaller surpluses (or even deficits). For the bond market, "gridlock" is a good thing. Corporate bonds and U.S. Agency bonds were beneficiaries of the disinversion of the Treasury yield curve. Ten-year agency yield spreads narrowed by 10 basis points during the third quarter, leading to almost 100 basis points of excess total return (both appreciation and income) over comparable maturity Treasuries. As detailed on the corporate spread table below, the performance of the corporate market was "mixed." Industrial yield spreads moved 11 basis points wider during the third quarter on weaker-than-expected earnings reports and concerns of increased supply in the telecommunications sector. The move to a more normally shaped yield curve helped bank and finance spreads to rally, bank spreads tightened by 27 basis points while finance spreads rallied 5 basis points. The 27 basis point rally in bank spreads translates into more than 200 basis points (or 2.00%) of excess total return over ten-year U.S. Treasuries. Merger announcements also helped to push bank and finance spreads tighter as Citigroup announced their intention to purchase Associates, and Chase Manhattan agreed to merge with J.P. Morgan. Both marriages seem poised to provide investors with valuable synergies. ------------------------------------------------------------------- | | | [GRAPHIC] | | TREASURY YIELD CURVE BEGINS TO "DISINVERT", BUT | | REMAINS INVERTED | | | | 6.40 | | | | Y 6.30 | | | | I 6.20 | | | | E 6.10 | | | | L 6.00 | | | | D 5.90 | | | | 5.80 | | | | 3 6 1 2 5 Yr. 10 Yr. 30 Yr. | | | | Source: Bloomberg | ------------------------------------------------------------------- 4 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- While we witnessed a partial unwinding of the inversion of the Treasury yield curve during the third quarter, the Treasury curve remains inverted. The inverted curve will continue to provide a unique challenge for fixed income investors. With almost nine months since the inversion began, the surprise for investors may be the number of months that this inversion ultimately lasts. At the last two meetings of the Federal Reserve, members voted to maintain the bias that the risks of higher inflation outweigh the evidence that slower growth is on the horizon. So the short-end of the curve is unlikely to move lower until the Fed adopts a "neutral bias." At the same time, rates at the long-end of the yield curve are unlikely to move significantly higher unless we begin to see inflation in other sectors besides energy prices. Corporate bonds and agency securities should benefit from any additional disinversion. For your reference, we have included tables showing the total returns for each Capstone Social Ethics and Religious Values Fund. If you have any questions, please feel free to contact us at (800) 262-6631. We thank you for your continued support.
------------------------------------------------------------------------------- | TEN YEAR "A" RATED CORPORATE BONDS | | AVERAGE YIELD SPREAD OVER COMPARABLE U.S. TREASURIES | | (BASIS POINTS*) | | | | CHANGE CHANGE | | ------ ------ | | SECTOR 12/31/99 6/30/00 9/30/00 12/99 - 9/00 6/00 - 9/00 | | ------ -------- ------- ------- ------------ ----------- | | | | Industrial 115 149 160 +45 +11 | | Utilities 101 172 173 +72 +1 | | Banks 118 186 159 +41 -27 | | Finance 120 188 183 +63 -5 | | | | Source: Lehman Brothers | -------------------------------------------------------------------------------
*A basis point (bp) is equal to one one-hundredth of one percent of yield and represents the smallest unit measure for quoting bond yields. One hundred basis points is equal to 1.00%. Sincerely, /S/___________________________ /s/__________________________ Edward L. Jaroski Dan E. Watson President and Chairman of the Board Executive Vice President 5 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- | | | COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL | | ETHICS AND RELIGIOUS VALUES FUND | | (SHORT TERM BOND FUND AND THE "CUSTOM" INDEX*) | | ----------------------------------------------------------- | | | AVERAGE ANNUAL TOTAL RETURN | | | | AS OF 9-30-00 | | | ----------------------------------------------------------- | | | | Class A | Class C | Custom | | | | |----------|----------|----------| | | | 1 yr. | 5.42% | 5.63% | 6.14% | | | | |----------|----------|----------| | | | Inception to date | 4.17% | 4.42% | 4.40% | | | ----------------------------------------------------------- | | Past performance is not predictive of future performance. | | | | | | $11,000 | | $10,899 | | $10,800 | | $10,779 | | $10,600 $10,735 | | | | $10,400 | | | | $10,200 | | | | $10,000 | | | | $9,800 | | | | 1/5/99 3/31/99 6/30/99 9/30/99 12/31/99 3/31/00 6/30/00 9/30/00 | | | | -----SERV Short Term --- --- SERV Short Term --- -- --- Short Term | | Class A Class C Custom Index | | | -------------------------------------------------------------------------------- * 1/3 Merrill 1-3 yr. Treasury Index. * 1/3 Merrill 1-3 yr. Agency Index. * 1/3 Merrill 1-3 yr. Corporate Index. 6 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- | | | COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL | | ETHICS AND RELIGIOUS VALUES FUND | | (BOND FUND AND THE LEHMAN BROTHERS GOV'T/CREDIT BOND INDEX) | | | | ------------------------------------------------------------ | | | AVERAGE ANNUAL TOTAL RETURN | | | | AS OF 9-30-00 | | | ------------------------------------------------------------ | | | | Class A | Class C |Lehman Bros| | | | |----------|----------|-----------| | | | 1 yr. | 6.08% | 6.34% | 6.72% | | | | |----------|----------|-----------| | | | Inception to date | 1.94% | 2.17% | 2.46% | | | ------------------------------------------------------------ | | Past performance is not predictive of future performance. | | | | $10,600 | | $10,498 | | $10,400 | | $10,438 | | $10,200 | | $10,391 | | $10,000 | | | | $9,800 | | | | $9,600 | | | | 10/1/98 12/31/98 3/31/99 6/30/99 9/30/99 12/31/99 3/31/00 6/30/00 9/30/00| | | | -----SERV Bond Fund --- --- SERV Bond Fund --- -- --- Lehman Brothers | | Class A Class C Gov't./Credit | | Bond Index | | | -------------------------------------------------------------------------------- 7 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- | | | COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL | | ETHICS AND RELIGIOUS VALUES FUND | | (LARGE CAP EQUITY FUND AND THE S&P 500 INDEX) | | | | | | ----------------------------------------------------------- | | | AVERAGE ANNUAL TOTAL RETURN | | | | AS OF 9-30-00 | | | ----------------------------------------------------------- | | | | Class A | Class C | S&P 500 | | | | |----------|----------|----------| | | | 1 yr. | 12.07% | 12.34% | 13.28% | | | | |----------|----------|----------| | | | Inception to date | 19.82% | 20.08% | 20.32% | | | ----------------------------------------------------------- | | Past performance is not predictive of future performance. | | | | | | $16,000 | | | | $15,000 | | $14,478 | | $14,000 $14,419 | | $14,357 | | $13,000 | | | | $12,000 | | | | $11,000 | | | | $10,000 | | | | 10/1/98 12/31/98 3/31/99 6/30/99 9/30/99 12/31/99 3/31/00 6/30/00 9/30/00| | | | -----SERV Large Cap --- --- SERV Large Cap --- -- --- S&P 500 Index | | Class A Class C | -------------------------------------------------------------------------------- 8 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- | | | COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL | | ETHICS AND RELIGIOUS VALUES FUND | | (SMALL CAP EQUITY FUND AND THE S&P 600 INDEX) | | | | ----------------------------------------------------------- | | | AVERAGE ANNUAL TOTAL RETURN | | | | AS OF 9-30-00 | | | ----------------------------------------------------------- | | | | Class A | Class C | S&P 600 | | | | |----------|----------|----------| | | | 1 yr. | 24.68% | 24.98% | 24.18% | | | | |----------|----------|----------| | | | Inception to date | 20.92% | 21.17% | 20.81% | | | ----------------------------------------------------------- | | Past performance is not predictive of future performance. | | | | | | $15,000 | | $14,683 | | $14,000 $14,621 | | $14,595 | | $13,000 | | | | $12,000 | | | | $11,000 | | | | $10,000 | | | | 10/1/98 12/31/98 3/31/99 6/30/99 9/30/99 12/31/99 3/31/00 6/30/00 9/30/00| | | | -----SERV Small Cap --- --- SERV Small Cap --- -- --- S&P 600 Index | | Class A Class C | -------------------------------------------------------------------------------- 9 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- | | | COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL | | ETHICS AND RELIGIOUS VALUES FUND | | (INTERNATIONAL FUND AND THE MSCI EAFE INDEX) | | | | ------------------------------------------------------------ | | | AVERAGE ANNUAL TOTAL RETURN | | | | AS OF 9-30-00 | | | ------------------------------------------------------------ | | | | Class A | Class C | MSCI EAFE | | | | |----------|----------|-----------| | | | 1 yr. | (1.22)% | (0.98)% | 3.43% | | | | |----------|----------|-----------| | | | Inception to date | 14.23% | 14.48% | 16.54% | | | ------------------------------------------------------------ | | Past performance is not predictive of future performance. | | | | | | $16,000 | | | | $15,000 | | | | $14,000 $13,581 | | | | $13,000 $13,108 | | $13,049 | | $12,000 | | | | $11,000 | | | | $10,000 | | | | 10/1/98 12/31/98 3/31/99 6/30/99 9/30/99 12/31/99 3/31/00 6/30/00 9/30/00| | | |-----SERV International --- --- SERV International --- -- --- MSCI EAFE Index | | Class A Class C | -------------------------------------------------------------------------------- 10 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND MONEY MARKET FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------------------------------------- SHARES VALUE ----------- ----------- SHORT-TERM INVESTMENTS (95.51%) AIM Prime Portfolio Money Market, Institutional Class ............................ 18,947,554 $18,947,554 ----------- REPURCHASE AGREEMENTS (1.33%) Fifth Third Bank, 5.78%, dated 09/29/00, due 10/02/00, repurchase price $264,452 (collateralized by FNMA Pool #413,208, 6.50%, due 3/01/18, market value $269,612) (Cost $264,325) ........................................... 264,325 264,325 ----------- TOTAL INVESTMENTS (Cost $19,211,879) (96.84%) .............................. 19,211,879 OTHER ASSETS & LIABILITIES, NET (3.16%) .................................... 627,592 ----------- NET ASSETS (100%) ................................... $19,839,471 =========== SEE NOTES TO FINANCIAL STATEMENTS. 11
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 --------------------------------------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- AGENCY OBLIGATIONS (32.71%) FEDERAL FARM MORTGAGE CO. (9.21%) 5.50%, 03/26/02 ................................................................ $1,700,000 $ 1,669,978 6.10%, 11/19/01 ................................................................ 1,000,000 994,530 ----------- 2,664,508 ----------- FEDERAL HOME LOAN BANK (12.77%) 7.65%, 06/13/03 ................................................................ 750,000 751,170 5.25%, 04/25/02 ................................................................ 3,000,000 2,943,750 ----------- 3,694,920 ----------- FEDERAL HOME LOAN MORTGAGE CO. (7.28%) 4.75%, 12/14/01 ................................................................ 2,150,000 2,107,666 ----------- FEDERAL NATIONAL MORTGAGE ASSOC. (3.45%) 6.52%, 09/05/02 ................................................................ 1,000,000 998,750 ----------- TOTAL AGENCY OBLIGATIONS (Cost $9,501,837) ..................................... 9,465,844 ----------- CORPORATE BONDS (38.18%) APPAREL (2.32%) VF Corp., 9.50%, 05/01/01 ...................................................... 665,000 671,916 ----------- AUTOMOBILES (2.46%) Ford Motor Co., 9.00%, 09/15/01 ................................................ 700,000 711,865 ----------- BANKS (2.03%) Mercantile Bancorp, 6.80%, 06/15/01 ............................................ 590,000 588,153 ----------- CHEMICALS (2.28%) Air Products & Chemicals, Inc., 8.35%, 01/15/02 ................................ 650,000 658,600 ----------- FINANCIAL SERVICES (14.11%) Associates Corp. of North America, 6.05%, 05/01/03 ............................. 1,000,000 999,620 Citicorp, 6.38%, 11/12/02 ...................................................... 700,000 695,247 Donaldson, Lufkin, & Jenrette, Inc., 5.875%, 04/01/02 .......................... 750,000 738,578 GMAC, 9.625%, 12/15/01 ......................................................... 150,000 154,222 Lehman Brothers Holdings, Inc., 6.20%, 01/15/02 ................................ 600,000 593,202 Merrill Lynch & Co., 6.06%, 10/15/01 ........................................... 500,000 495,450 Sears Credit Account Trust, 9.00%, 10/01/01 .................................... 400,000 408,024 ----------- 4,084,343 ----------- RAILROADS (2.58%) Union Pacific Railroad C. Equipment Trust, 7.32%, 02/01/02 ..................... 750,000 747,300 -----------
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CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- RETAIL STORES (2.50%) Penney (J.C.) Co., Inc., 7.25%, 04/01/02 ....................................... $ 500,000 $ 475,445 Penney (J.C.) Co., Inc., 9.05%, 03/01/01 ....................................... 250,000 247,998 ----------- 723,443 ----------- TELECOMMUNICATIONS (6.94%) 360 Communications Co., 7.125%, 03/01/03 ....................................... 1,000,000 1,000,230 Southwestern Bell Telephone, 7.00%, 08/19/02 ................................... 1,000,000 1,006,800 ----------- 2,007,030 ----------- UTILITIES (2.96%) Mississippi Power Co., 6.05%, 05/01/03 ......................................... 875,000 855,794 ----------- TOTAL CORPORATE BONDS (Cost $11,106,512) ....................................... 11,048,444 ----------- U.S. TREASURY OBLIGATIONS (26.66%) U.S. TREASURY NOTES 6.625%, 07/31/01 ............................................................... 200,000 200,438 6.25%, 08/31/02 ................................................................ 2,500,000 2,508,975 5.75%, 08/15/03 ................................................................ 2,000,000 1,988,740 6.25%, 12/15/03 ................................................................ 3,000,000 3,016,860 ----------- 5,005,600 ----------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $7,662,251) .............................. 7,715,013 ----------- REPURCHASE AGREEMENTS (0.91%) Fifth Third Bank, 5.78%, dated 09/29/00, due 10/02/00, repurchase price $264,011 (collateralized by FNMA Pool #765081, 7.277%, due 05/01/26, market value $269,162) (Cost $263,884) ...................................................... 263,884 263,884 ----------- TOTAL INVESTMENTS (Cost $28,534,484) (98.46%) ............................ 28,493,185 OTHER ASSETS & LIABILITIES, NET (1.54%) .................................. 446,606 ----------- NET ASSETS (100%) ........................................................ $28,939,791 ----------- Cost for federal income tax at September 30, 2000 was $28,534,484 and net unrealized depreciation consisted of: Gross unrealized appreciation ............................................ $ 99,475 Gross unrealized depreciation ............................................ (140,774) ----------- Net unrealized depreciation .............................................. $ (41,299) ===========
SEE NOTES TO FINANCIAL STATEMENTS. 13
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- AGENCY OBLIGATIONS (16.73%) FEDERAL FARM CREDIT BANK (2.50%) 5.25%, 05/01/02 ................................................................ $2,000,000 $ 1,963,486 ----------- FEDERAL HOME LOAN BANK (1.79%) 5.80%, 09/02/08 ................................................................ 1,500,000 1,409,480 ----------- FEDERAL HOME LOAN MORTGAGE CO. (6.57%) 4.75%, 12/14/01 ................................................................ 1,000,000 980,197 6.30%, 04/29/09 ................................................................ 3,000,000 2,946,453 6.45%, 04/29/09 ................................................................ 1,300,000 1,232,609 ----------- 5,159,259 ----------- FEDERAL NATIONAL MORTGAGE ASSOC. (5.29%) 6.00%, 05/15/08 ................................................................ 1,500,000 1,432,118 6.375%, 06/15/09 ............................................................... 2,800,000 2,723,627 ----------- 4,155,745 ----------- UTILITIES (0.58%) Tennessee Valley Authority, 6.00%, 03/15/13 .................................... 500,000 458,860 ----------- TOTAL AGENCY OBLIGATIONS (Cost $13,217,602) .................................... 13,146,830 ----------- CORPORATE BONDS (29.97%) AEROSPACE (0.38%) McDonnell Douglas Corp., 6.875%, 11/01/06 ...................................... 300,000 296,150 ----------- AIRLINES (0.79%) AMR Corp., 9.00%, 08/01/12 ..................................................... 300,000 306,995 Delta Air Lines, Inc., 9.75%, 05/15/21 ......................................... 300,000 314,690 ----------- 621,685 ----------- AUTO PARTS & EQUIPMENT (0.33%) Autozone, Inc., 6.50%, 07/15/08 ................................................ 300,000 263,038 ----------- AUTOMOBILE MANUFACTURERS (0.39%) Daimler Chrysler, 7.40%, 01/20/05 .............................................. 300,000 302,639 -----------
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CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- BANKS (4.06%) BankBoston NA, 6.375%, 04/15/08 ................................................ $ 300,000 $ 281,414 Bankers Trust Corp., 8.125%, 05/15/02 .......................................... 110,000 111,886 First Union Corp., 8.125%, 06/24/02 ............................................ 300,000 304,626 Keycorp, 7.50%, 06/15/06 ....................................................... 300,000 300,832 Mellon Financial Co., 6.875%, 03/01/03 ......................................... 300,000 299,897 National City Corp., 5.75%, 02/01/09 ........................................... 300,000 265,006 Nationsbank Corp., 6.875%, 02/15/05 ............................................ 100,000 99,177 Norwest Financial, Inc., 7.00%, 01/15/03 ....................................... 100,000 100,392 PNC Funding Corp., 6.875%, 03/01/03 ............................................ 300,000 298,774 Republic NY Corp., 7.75%, 05/15/02 ............................................. 290,000 293,077 Southtrust Bank, Inc., 6.125%, 01/09/28 ........................................ 175,000 159,694 SunTrust Bank, Inc., 7.375%, 07/01/06 .......................................... 300,000 302,382 Wachovia Corp., 6.605%, 10/01/25 ............................................... 175,000 171,776 Wells Fargo Co., 6.875%, 04/01/06 .............................................. 200,000 198,469 ----------- 3,187,402 ----------- CHEMICALS (1.02%) Dow Chemical Co., 6.85%, 08/15/13 .............................................. 300,000 284,383 Dupont De Nemours (E. I.) Co., 8.125%, 03/15/04 ................................ 235,000 244,109 Lubrizol Corp., 5.875%, 12/01/08 ............................................... 300,000 274,260 ----------- 802,752 ----------- COMPUTER SERVICES & SOFTWARE (0.38%) Electronic Data Systems Corp., 7.125%, 10/15/09 ................................ 300,000 296,250 ----------- COMPUTER SYSTEMS (1.12%) Hewlett-Packard Co., 7.15%, 06/15/05 ........................................... 300,000 304,234 Honeywell International, Inc., 7.50%, 03/01/10 ................................. 300,000 306,123 International Business Machines Corp., 5.375%, 02/01/09 ........................ 300,000 268,690 ----------- 879,047 ----------- COSMETICS & TOILETRIES (0.76%) Procter & Gamble Co., 8.00%, 10/26/29 .......................................... 300,000 320,566 Scott Paper Co., 7.00%, 08/15/23 ............................................... 300,000 273,069 ----------- 593,635 ----------- DIVERSIFIED CONGLOMERATES (0.31%) PPG Industries., Inc., 7.375%, 06/01/16 ........................................ 250,000 245,166 ----------- ELECTRONIC EQUIPMENT (0.72%) Emerson Electric Co., 5.85%, 03/15/09 .......................................... 300,000 276,599 Motorola, Inc., 6.50%, 03/01/08 ................................................ 300,000 287,695 ----------- 564,294 -----------
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CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- FINANCIAL SERVICES (6.12%) Allstate Corp., 6.75%, 05/15/18 ................................................ $ 300,000 $ 268,967 Associates Corp. of N.A., 6.50%, 10/15/02 ...................................... 300,000 298,710 Bear Stearns Co., Inc., 6.625%, 01/15/04 ....................................... 300,000 295,048 Charles Schwab Corp., 8.05%, 03/01/10 .......................................... 230,000 237,856 Citigroup, Inc., 5.80%, 03/15/04 ............................................... 300,000 291,484 Duke Capital, 7.50%, 10/01/09 .................................................. 300,000 300,776 Ford Motor Credit Co., 8.00%, 06/15/02 ......................................... 300,000 305,256 General Electric Capital Corp., 5.50%, 11/01/01 ................................ 200,000 197,340 General Electric Capital Corp., 7.00%, 02/03/03 ................................ 300,000 302,218 General Motors Acceptance Corp., 6.75%, 02/07/02 ............................... 300,000 299,409 Hartford Life, Inc., 7.10%, 06/15/07 ........................................... 175,000 173,096 Hartford Life, Inc., 7.65%, 06/15/27 ........................................... 200,000 192,478 Household Finance Corp., 6.00%, 05/01/04 ....................................... 300,000 288,784 Lehman Bros. Holdings, 8.875%, 03/01/02 ........................................ 200,000 188,788 Merrill Lynch & Co., Inc., 6.25%, 01/15/06 ..................................... 100,000 95,889 Merrill Lynch & Co., Inc., 8.00%, 06/01/07 ..................................... 200,000 207,223 Morgan Stanley Dean Witter, 6.875%, 03/01/07 ................................... 300,000 295,660 Morgan, (J.P.) Co., Inc., 7.625%, 09/15/04 ..................................... 300,000 305,899 Toyota Motor Credit Corp., 5.50%, 12/15/08 ..................................... 300,000 268,940 ----------- 4,813,821 ----------- FOOD & BEVERAGE (1.66%) Albertson's, Inc., 7.45%, 08/01/29 ............................................. 300,000 269,156 Archer Daniels ADM., 7.125%, 03/01/13 .......................................... 300,000 285,080 Campbell Soup Co., 6.90%, 10/15/06 ............................................. 300,000 299,408 Heinz, (H. J.) Co., 6.00%, 03/15/08 ............................................ 300,000 281,050 Kroger Co., 7.00%, 05/01/18 .................................................... 200,000 173,528 ----------- 1,308,222 ----------- MEDICAL PRODUCTS (0.94%) American Home Products Corp., 7.90%, 02/15/05 .................................. 300,000 310,552 Bausch & Lomb, Inc., 6.75%, 12/15/04 ........................................... 200,000 177,345 Baxter International, Inc., 6.625%, 02/15/28 ................................... 300,000 249,852 ----------- 737,749 ----------- MULTIMEDIA (0.34%) Time Warner, Inc., 6.875%, 06/15/18 ............................................ 300,000 268,035 ----------- OFFICE EQUIPMENT (0.33%) Xerox Corp., 7.20%, 04/01/16 ................................................... 300,000 256,438 ----------- OIL & GAS (1.27%) Atlantic Richfield Co., 8.25%, 02/01/22 ........................................ 200,000 219,776 Chevron Capital USA, Inc., 7.45%, 08/15/04 ..................................... 300,000 302,292 Southern Union Co., 7.60%, 02/01/24 ............................................ 175,000 161,395 Texaco Capital, Inc., 8.50%, 02/15/03 .......................................... 300,000 311,219 ----------- 994,682 -----------
16
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- PAPER AND FOREST PRODUCTS (0.68%) International Paper Co., 7.625%, 01/15/07 ...................................... $ 250,000 $ 248,445 Weyerhaeuser Co., 7.25%, 07/01/13 .............................................. 300,000 285,844 ----------- 534,289 ----------- PHARMACEUTICAL (0.36%) Bristol-Myers Squibb Co., 6.80%, 11/15/26 ...................................... 300,000 286,360 ----------- PIPELINES (0.23%) Enron Corp., 8.25%, 09/15/12 ................................................... 175,000 183,095 ----------- RAILROADS (0.75%) Norfolk South Corp., 6.95%, 05/01/02 ........................................... 300,000 298,886 Union Pacific Corp., 6.125%, 01/15/04 .......................................... 300,000 289,245 ----------- 588,131 ----------- REAL ESTATE INVESTMENT TRUST (0.25%) EOP Operating L.P., 7.25%, 02/15/18 ............................................ 225,000 197,478 ----------- RETAIL STORES (1.23%) Penney, (J. C.) Co., Inc., 7.25%, 04/01/02 .................................... 100,000 96,308 Safeway, Inc., 7.00%, 09/15/07 ................................................. 300,000 290,242 Sears Roebuck & Co., 6.50%, 06/15/00 ........................................... 300,000 291,490 Wal-Mart Stores, Inc., 5.875%, 10/15/05 ........................................ 300,000 289,822 ----------- 967,862 ----------- TELECOMMUNICATIONS (2.67%) AT&T Corp., 7.50%, 06/01/06 .................................................... 300,000 304,549 Bell Tel-Penn Co., 6.625%, 09/15/02 ............................................ 175,000 174,749 GTE Florida, Inc., 6.86%, 02/01/28 ............................................. 300,000 267,887 Lucent Technologies, Inc., 7.25%, 07/15/06 ..................................... 300,000 301,082 New York Telephone Co., 6.25%, 02/15/04 ........................................ 100,000 97,230 New York Telephone Co., 7.25%, 02/15/24 ........................................ 100,000 89,638 Pacific Bell, 6.25%, 03/01/05 .................................................. 200,000 194,916 Southern New England Telecommunications Corp., 7.00%, 08/15/05 ................. 100,000 100,126 US WEST Communications, Inc., 6.375%, 10/15/02 ................................. 300,000 295,736 WorldCom, Inc., 6.95%, 08/15/28 ................................................ 300,000 271,576 ----------- 2,097,489 ----------- UTILITIES (2.66%) Carolina Power & Light Co., 5.95%, 03/01/09 .................................... 300,000 271,910 Central Power & Light Co., 6.625%, 07/01/05 .................................... 270,000 263,948 Commonwealth Edison, 8.625%, 02/01/22 .......................................... 150,000 151,467 Consolidated Edison, Inc., 6.375%, 04/01/03 .................................... 300,000 296,354 Consolidated Natural Gas Co., 6.625%, 12/01/08 ................................. 300,000 282,794 Florida Power & Light Co., 7.00%, 09/01/24 ..................................... 300,000 264,714 Philadelphia Electric Co., 5.625%, 11/01/01 .................................... 300,000 295,573 Public Service Electric & Gas Co., 7.00%, 09/01/24 ............................. 300,000 263,808 ----------- 2,090,568 -----------
17
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- WASTE MANAGEMENT (0.22%) WMX Technologies, Inc., 6.70%, 05/01/01 ........................................ $ 175,000 $ 173,421 ----------- TOTAL CORPORATE BONDS (Cost $24,341,936) ....................................... 23,549,698 ----------- FOREIGN BONDS (7.82%) FOREIGN CORPORATE BONDS (4.66%) ABN Amro N.V., 7.55%, 06/28/06[dagger] ......................................... 300,000 305,960 Amoco Canada Petroleum Co., 7.25%, 12/01/02[dagger] ............................ 200,000 202,019 Banque Paribas, 8.35%, 06/15/07[dagger] ........................................ 225,000 229,514 Barclays Bank Plc, 7.40%, 12/15/09[dagger] ..................................... 300,000 295,719 Bayerische Landesbank Ciro, 7.375%, 12/14/02[dagger] ........................... 300,000 303,218 Bell Canada, 9.50%, 10/15/10[dagger] ........................................... 200,000 227,022 Deutsche Bank Financial Inc., 6.70%, 12/31/06[dagger] .......................... 175,000 169,830 Dresdner Bank NY, 6.625%, 09/15/05[dagger] ..................................... 300,000 292,171 Hanson Overseas B.V., 7.375%, 01/15/03[dagger] ................................. 300,000 301,044 Lb Baden-Wuerttenberg, 7.625%, 02/01/23[dagger] ................................ 200,000 200,737 National Westminster Bancorp, Inc., 7.375%, 10/01/09[dagger] ................... 300,000 295,518 Norsk Hydro, 6.70%, 01/15/18[dagger] ........................................... 300,000 263,795 Sony Corp., 6.125%, 03/04/03[dagger] ........................................... 300,000 295,647 Swiss Bank Corp., NY, 7.00%, 10/15/15[dagger] .................................. 300,000 279,520 ----------- 3,661,714 ----------- FOREIGN GOVERNMENT REGIONAL (3.16%) Government of Canada, 6.375%, 11/30/04[dagger] ................................. 300,000 297,216 International Bank for Reconstruction & Development, 7.00%, 01/27/05[dagger] ... 400,000 406,649 Providence of Saskatchewan, 8.00%, 02/01/13[dagger] ............................ 270,000 281,708 Providence of Manitoba, 8.00%, 04/15/02[dagger] ................................ 175,000 178,168 Providence of Nova Scotia, 7.25%, 07/27/13[dagger] ............................. 100,000 99,376 Providence of Ontario, 5.50%, 10/01/08[dagger] ................................. 300,000 274,456 Province of Quebec, 6.50%, 01/17/06[dagger] .................................... 300,000 294,732 Republic of Finland, 7.875%, 07/28/04[dagger] .................................. 300,000 311,665 Republic of Portugal, 5.75%, 10/08/03[dagger] .................................. 350,000 340,131 ----------- 2,484,101 ----------- TOTAL FOREIGN BONDS (Cost $6,333,564) .......................................... 6,145,815 ----------- U.S. TREASURY OBLIGATIONS (43.54%) TREASURY BONDS (17.24%) 6.25%, 08/15/23 ................................................................ 3,500,000 3,564,533 6.75%, 08/15/26 ................................................................ 2,000,000 2,175,626 7.50%, 11/15/16 ................................................................ 2,600,000 2,962,374 7.875%, 02/15/21 ............................................................... 2,000,000 2,405,000 8.125%, 08/15/19 ............................................................... 2,000,000 2,441,875 ----------- 13,549,408 -----------
18
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- TREASURY NOTES (26.30%) 12/31/02, 5.625% ............................................................... $2,500,000 $ 2,481,250 4.75%, 11/15/08 ................................................................ 300,000 277,594 5.75%, 08/15/03 ................................................................ 1,700,000 1,690,970 5.875%, 02/15/04 ............................................................... 2,300,000 2,296,407 6.375%, 08/15/02 ............................................................... 4,200,000 4,224,940 6.50%, 08/15/05 ................................................................ 2,550,000 2,614,548 7.25%, 05/15/04 ................................................................ 1,900,000 1,980,750 7.50%, 02/15/05 ................................................................ 2,800,000 2,970,626 7.50%, 11/15/01 ................................................................ 2,100,000 2,127,561 ----------- 20,664,646 ----------- TOTAL U.S. TREASURY OBLIGATIONS (Cost $35,362,817) ............................. 34,214,054 ----------- REPURCHASE AGREEMENTS (0.42%) Fifth Third Bank, 5.78%, dated 09/29/00, due 10/02/00, repurchase price $326,681 (collateralized by FNMA Pool #421910, 8.371%, due 04/01/28, market value $333,054) (Cost $326,524) ...................................................... 326,524 326,524 ----------- TOTAL INVESTMENTS (Cost $79,582,443) (98.48%) ............................ 77,382,921 OTHER ASSETS & LIABILITIES, NET (1.52%) .................................. 1,193,574 ----------- NET ASSETS (100%) ........................................................ $78,576,495 =========== [dagger]Denominated in U.S. Dollars ............................................ Cost for federal income tax at September 30, 2000 was $79,582,443 and net unrealized depreciation consisted of: Gross unrealized appreciation ............................................ $ 422,712 Gross unrealized depreciation ............................................ (2,622,234) ----------- Net unrealized depreciation .............................................. $(2,199,522) ===========
SEE NOTES TO FINANCIAL STATEMENTS 19
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK (99.19%) ADVERTISING (0.25%) Interpublic Group of Cos., Inc. ................................................ 4,954 $ 168,746 Omnicom Group, Inc. ............................................................ 3,630 264,763 Young & Rubicam, Inc. .......................................................... 1,210 59,895 ------------ 493,404 ------------ AEROSPACE (1.11%) BF Goodrich Co. ................................................................ 1,631 63,915 Boeing Co. ..................................................................... 15,219 958,797 General Dynamics Corp. ......................................................... 3,180 199,744 Lockheed Martin Corp. .......................................................... 6,256 206,198 Northrop Grumman Corp. ......................................................... 970 88,149 Raytheon Co. Cl B .............................................................. 5,103 145,117 United Technologies Corp. ...................................................... 7,910 547,768 ------------ 2,209,688 ------------ AIRLINES (0.24%) AMR Corp. ...................................................................... 2,954 96,559 Delta Air Lines, Inc. .......................................................... 2,720 120,700 Southwest Airlines Co. ......................................................... 9,006 218,396 US Airways Group, Inc.* ........................................................ 1,293 39,356 ------------ 475,011 ------------ APPAREL (0.14%) Liz Claiborne, Inc. ............................................................ 1,040 40,040 Nike, Inc. Cl B ................................................................ 4,592 183,967 Russell Corp. .................................................................. 320 5,080 VF Corp. ....................................................................... 2,168 53,522 ------------ 282,609 ------------ APPLIANCES (0.05%) Maytag Corp. ................................................................... 1,390 43,177 Whirlpool Corp. ................................................................ 1,394 54,192 ------------ 97,369 ------------ AUTO PARTS & EQUIPMENT (0.22%) Autozone, Inc. ................................................................. 2,297 52,113 Dana Corp. ..................................................................... 2,765 59,448 Delphi Automotive Systems Corp. ................................................ 7,784 117,733 Genuine Parts Co. .............................................................. 2,920 55,662 Navistar International Corp.* .................................................. 720 21,555 TRW Corp. ...................................................................... 1,975 80,234 Visteon Corp. .................................................................. 2,698 40,807 ------------ 427,552 ------------
20
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- AUTOMOBILE MANUFACTURERS (0.79%) Ford Motor Co. ................................................................. 36,026 $ 911,908 General Motors Corp. ........................................................... 9,094 591,110 Paccar, Inc. ................................................................... 1,586 58,781 ------------ 1,561,799 ------------ BANKS (5.73%) AmSouth Bancorp ................................................................ 5,340 66,750 Bank of America Corp. .......................................................... 29,338 1,536,578 Bank of New York Co., Inc. ..................................................... 12,178 682,729 Bank One Corp. ................................................................. 18,604 718,580 BB&T Corp. ..................................................................... 5,540 166,892 Chase Manhattan Corp. .......................................................... 20,088 927,814 Comerica, Inc. ................................................................. 2,708 158,249 Fifth Third Bancorp ............................................................ 8,082 435,418 First Union Corp. .............................................................. 16,464 529,935 Firstar Corp. .................................................................. 15,471 346,164 Fleet Boston Financial Corp. ................................................... 17,301 674,739 Golden West Financial Corp. .................................................... 3,640 195,195 Keycorp ........................................................................ 6,330 160,228 Mellon Financial Corp. ......................................................... 8,430 390,941 Morgan, (J.P.) & Co., Inc. ..................................................... 3,052 498,620 National City Corp. ............................................................ 9,284 205,408 Northern Trust Corp. ........................................................... 4,220 375,052 Old Kent Financial Corp.* ...................................................... 2,163 62,592 PNC Bank Corp. ................................................................. 6,955 452,075 Regions Financial Corp. ........................................................ 2,960 67,155 SouthTrust Corp. ............................................................... 2,320 72,935 State Street Boston Corp. ...................................................... 2,930 380,900 Summit Bancorp ................................................................. 2,590 89,355 Suntrust Banks, Inc. ........................................................... 5,665 282,188 Synovus Financial Corp. ........................................................ 3,735 79,135 U.S. Bancorp ................................................................... 11,862 269,860 Union Planters Corp. ........................................................... 2,310 76,374 Wachovia Corp. ................................................................. 4,052 229,698 Wells Fargo & Co. .............................................................. 26,814 1,231,768 ------------ 11,363,327 ------------ BROADCASTING (1.26%) Clear Channel Communications, Inc.* ............................................ 10,520 594,380 Meredith Corp. ................................................................. 2,178 64,251 Time Warner, Inc. .............................................................. 23,570 1,844,352 ------------ 2,502,983 ------------
21
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- BUILDING (0.11%) Armstrong Holdings, Inc. ........................................................ 460 $ 5,491 Centex Corp. ................................................................... 250 8,031 Masco Corp. .................................................................... 6,840 127,395 Owens Corning .................................................................. 926 2,431 Vulcan Materials ............................................................... 1,760 70,730 ------------ 214,078 ------------ CHEMICALS (0.82%) Air Products & Chemicals, Inc. ................................................. 3,698 133,128 Ashland, Inc. .................................................................. 1,015 34,193 Dow Chemical Co. ............................................................... 11,733 292,592 Dupont, (E. I.) De Nemours & Co. ............................................... 17,054 706,675 Eastman Chemical Co. ........................................................... 1,360 50,235 Engelhard Corp. ................................................................ 984 15,990 FMC Corp. ...................................................................... 320 21,460 Grace, (W.R.) & Co. ............................................................ 444 3,052 Great Lakes Chemical Corp. ..................................................... 570 16,708 Hercules, Inc. ................................................................. 1,153 16,286 Praxair, Inc. .................................................................. 2,531 94,596 Rohm & Haas Co. ................................................................ 3,498 101,661 Sigma Aldrich Corp. ............................................................ 1,948 64,284 Union Carbide Corp. ............................................................ 2,146 81,012 ------------ 1,631,872 ------------ COMMERCIAL SERVICES (0.19%) Block, (H & R), Inc. ........................................................... 1,370 50,776 Cendant Corp.* ................................................................. 10,146 110,338 Convergys Corp.* ............................................................... 1,870 72,696 Deluxe Corp. ................................................................... 2,617 53,158 Ecolab, Inc. ................................................................... 2,136 77,030 Quintiles Transnational Corp. .................................................. 1,350 21,516 ------------ 385,514 ------------ COMPONENTS (0.07%) Johnson Controls, Inc. ......................................................... 1,564 83,185 Parker Hannifin Corp. .......................................................... 1,901 64,159 ------------ 147,344 ------------ COMPUTER HARDWARE (7.31%) Apple Computer, Inc. ........................................................... 5,258 135,394 Compaq Computer Corp. .......................................................... 26,440 729,215 Dell Computer Corp.* ........................................................... 40,272 1,240,881 EMC Corp.* ..................................................................... 34,158 3,385,912 Gateway 2000, Inc.* ............................................................ 5,060 236,555
22
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- Hewlett-Packard Co. ............................................................ 15,883 $ 1,540,651 International Business Machines Corp. .......................................... 28,306 3,184,425 Seagate Technology, Inc.* ...................................................... 3,595 248,055 Sun Microsystems, Inc.* ........................................................ 24,982 2,916,648 VERITAS Software Co. ........................................................... 6,300 894,600 ------------ 14,512,336 ------------ COMPUTER SERVICES & SOFTWARE (8.58%) Adaptec, Inc.* ................................................................. 1,370 27,400 Adobe Systems, Inc. ............................................................ 1,880 291,870 America Online, Inc. ........................................................... 36,170 1,944,138 Autodesk, Inc. ................................................................. 1,220 30,958 Automatic Data Processing, Inc. ................................................ 11,140 744,988 BMC Software, Inc. ............................................................. 4,130 78,986 Cabletron Systems, Inc.* ....................................................... 2,760 81,075 Ceridian Corp.* ................................................................ 2,290 64,263 Citrix Systems, Inc.* .......................................................... 2,950 59,184 Computer Associates International, Inc. ........................................ 10,075 253,764 Computer Sciences Corp.* ....................................................... 2,938 218,146 Compuware Corp.* ............................................................... 5,090 42,629 Comverse Technology, Inc.* ..................................................... 2,360 254,880 Electronic Data Systems Corp. .................................................. 8,320 345,280 First Data Corp. ............................................................... 7,681 300,039 Intuit, Inc. ................................................................... 18,060 739,331 Mercury Interactive Corp.* ..................................................... 1,240 194,370 Microsoft Corp.* ............................................................... 82,274 4,957,008 NCR Corp.* ..................................................................... 1,740 65,794 Network Appliance, Inc.* ....................................................... 4,840 616,495 Novell, Inc.* .................................................................. 4,239 42,125 Oracle Corp.* .................................................................. 44,326 3,490,672 Parametric Technology Corp. .................................................... 3,530 38,609 PE Corp. - PE Biosystems Group ................................................. 3,410 397,265 Peoplesoft, Inc.* .............................................................. 4,050 113,147 Sapient Corp. .................................................................. 1,640 66,728 Siebel Systems, Inc.* .......................................................... 6,470 720,192 Unisys Corp.* .................................................................. 5,100 57,375 Yahoo, Inc. .................................................................... 8,740 795,340 ------------ 17,032,051 ------------ CONSUMER PRODUCTS (0.41%) American Greetings Corp. Cl A .................................................. 1,610 28,175 The Clorox Co. ................................................................. 4,752 188,001 Tupperware Corp. ............................................................... 1,721 30,978 Unilever NV .................................................................... 11,840 571,280 ------------ 818,434 ------------
23
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONTAINERS (0.08%) Ball Corp. ..................................................................... 290 $ 9,189 Bemis Inc. ..................................................................... 755 24,254 Crown Cork & Seal Co., Inc. .................................................... 1,796 19,195 Owens Illinois, Inc.* .......................................................... 2,120 19,610 Pactiv Corporation ............................................................. 2,248 25,150 Sealed Air Corp.* .............................................................. 1,225 55,431 ------------ 152,829 ------------ COSMETICS & TOILETRIES (1.76%) Alberto-Culver Co. ............................................................. 1,630 46,964 Avon Products, Inc. ............................................................ 4,478 183,038 Colgate-Palmolive Co. .......................................................... 10,918 515,330 Gillette Co. ................................................................... 18,708 577,610 Int'l Flavors & Fragrance, Inc. ................................................ 4,216 76,942 Kimberly Clark Corp. ........................................................... 9,916 553,437 Procter & Gamble Co. ........................................................... 22,972 1,539,124 ------------ 3,492,445 ------------ DIVERSIFIED CONGLOMERATES (6.39%) Cooper Industries, Inc. ........................................................ 1,264 44,556 Corning, Inc. .................................................................. 4,663 1,384,911 Crane Co. ...................................................................... 720 16,470 Danaher Corp. .................................................................. 2,220 110,445 Eaton Corp. .................................................................... 1,030 63,474 General Electric ............................................................... 157,118 9,063,745 Illinois Tool Works, Inc. ...................................................... 5,346 298,708 ITT Industries, Inc. ........................................................... 1,258 40,806 National Service Industries, Inc. .............................................. 1,400 27,388 PPG Industries, Inc. ........................................................... 3,265 129,580 Textron, Inc. .................................................................. 2,610 120,386 Tyco International Ltd. ........................................................ 26,708 1,385,478 ------------ 12,685,947 ------------ ELECTRONIC EQUIPMENT (6.41%) Advanced Micro Devices, Inc.* .................................................. 5,978 141,230 Agilent Technologies, Inc. ..................................................... 6,740 329,839 Altera Corp.* .................................................................. 5,940 283,635 Analog Devices, Inc.* .......................................................... 5,590 461,524 Conexant Systems, Inc.* ........................................................ 3,410 142,794 Emerson Electric Co. ........................................................... 7,396 495,532 Intel Corp. .................................................................... 105,324 4,384,112 KLA-Tencor Corp.* .............................................................. 2,810 115,737 Linear Technology Corp. ........................................................ 5,100 330,225 LSI Logic Corp.* ............................................................... 4,740 138,645 Maxim Integrated Products, Inc. ................................................ 4,350 349,903 Micron Technology, Inc.* ....................................................... 8,646 397,716 Molex, Inc. .................................................................... 3,112 169,410 Motorola Rights, Inc. .......................................................... 33,498 946,318
24
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- National Semiconductor Corp.* .................................................. 2,700 $ 108,675 Novellus Systems* .............................................................. 1,660 77,294 Sanmina Corp.* ................................................................. 2,080 194,740 Solectron Corp.* ............................................................... 9,060 417,892 Tektronix, Inc. ................................................................ 570 43,783 Teradyne, Inc. ................................................................. 2,660 93,100 Texas Instruments, Inc. ........................................................ 27,048 1,276,328 Thomas & Betts Corp. ........................................................... 605 10,550 Uniphase Corp. ................................................................. 14,580 1,380,544 Xilinx, Inc.* .................................................................. 5,080 434,975 ------------ 12,724,501 ------------ ENGINEERING (0.02%) Fluor Corp. .................................................................... 1,350 40,500 ------------ ENGINES (0.01%) Briggs & Stratton Corp. ........................................................ 180 6,806 Cummins Engine Co., Inc. ....................................................... 460 13,771 ------------ 20,577 ------------ ENTERTAINMENT & LEISURE (0.07%) Brunswick Corp. ................................................................ 1,744 31,828 Hasbro, Inc. ................................................................... 3,175 36,314 Mattel, Inc. ................................................................... 6,541 73,177 ------------ 141,319 ------------ FINANCIAL SERVICES (7.05%) American Express Co. ........................................................... 21,498 1,306,004 Associates First Capital Corp. ................................................. 11,452 435,176 Bear Stearns Co., Inc. ......................................................... 1,037 65,331 Capital One Financial Corp. .................................................... 3,110 217,894 Citigroup, Inc. ................................................................ 73,178 3,956,186 Countrywide Credit Industries, Inc. ............................................ 1,500 56,625 Dun & Bradstreet Corp. ......................................................... 3,266 112,473 Equifax, Inc. .................................................................. 2,260 60,879 Fannie Mae ..................................................................... 16,781 1,199,842 Federal Home Loan Mortgage Corp. ............................................... 11,228 607,014 Franklin Resources, Inc. ....................................................... 3,610 160,392 Household International, Inc. .................................................. 7,669 434,257 Huntington Bancshares, Inc. .................................................... 3,412 50,114 Lehman Brothers Holding, Inc. .................................................. 1,680 248,220 MBNA Corp. ..................................................................... 12,755 491,068 Merrill Lynch & Co., Inc. ...................................................... 11,904 785,664 Morgan Stanley Dean Witter & Co. ............................................... 17,734 1,621,553 Paine Webber Group, Inc. ....................................................... 1,820 123,988 Paychex, Inc. .................................................................. 6,362 334,005 Providian Financial Corp. ...................................................... 2,306 292,862 Schwab, (Charles) Corp. ........................................................ 19,215 682,132 Stillwell Financial, Inc. ...................................................... 3,420 148,770
25
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- T. Rowe Price Associates, Inc. ................................................. 1,610 $ 75,569 USA Education, Inc. ............................................................ 2,370 114,204 Washington Mutual Financial Services, Inc. ..................................... 10,131 403,340 ------------ 13,983,562 ------------ FOOD & BEVERAGE (2.28%) Albertson's, Inc. .............................................................. 7,812 164,052 Archer-Daniels-Midland Co. ..................................................... 15,982 137,845 Best Foods Co. ................................................................. 6,938 504,740 Campbell Soup Co. .............................................................. 8,854 229,097 General Mills, Inc. ............................................................ 8,008 284,284 Heinz, (H.J.) Co. .............................................................. 8,897 329,745 Hershey Foods Corp. ............................................................ 4,300 232,738 Kellogg Co. .................................................................... 9,190 222,283 Kroger Co.* .................................................................... 16,954 382,525 Nabisco Group Holdings Corp. ................................................... 8,330 237,405 Quaker Oats Co. ................................................................ 4,501 356,142 Ralston-Ralston Purina Group ................................................... 6,368 150,842 Safeco Corp. ................................................................... 9,600 448,200 Supervalu, Inc. ................................................................ 4,340 65,371 Sysco Corp. .................................................................... 7,948 368,092 Winn Dixie Stores, Inc. ........................................................ 3,390 48,731 Wrigley, (Wm.) Jr. Co. ......................................................... 4,745 355,282 ------------ 4,517,374 ------------ FOREST & PAPER PRODUCTS (0.36%) Boise Cascade Corp. ............................................................ 485 12,883 Fort James Corp. ............................................................... 3,102 94,805 Georgia-Pacific Group .......................................................... 2,196 51,606 International Paper Co. ........................................................ 7,541 216,332 Louisiana-Pacific Corp. ........................................................ 970 8,912 The Mead Corp. ................................................................. 1,360 31,790 Potlatch Corp. ................................................................. 360 11,385 Temple Inland, Inc. ............................................................ 820 31,058 Westvaco Corp. ................................................................. 1,436 38,323 Weyerhaeuser Co. ............................................................... 3,974 160,450 Willamette Industries, Inc. .................................................... 1,666 46,648 ------------ 704,192 ------------ HEALTH CARE (0.59%) Bard, (C. R.) Inc. ............................................................. 1,180 49,855 HCA - The Healthcare Co. ....................................................... 9,872 366,498 Healthsouth Rehabilitation Corp.* .............................................. 5,860 47,612 Manor Care, Inc.* .............................................................. 1,785 28,002 McKesson HBOC, Inc. ............................................................ 4,069 124,359 Tenet Healthcare Corp.* ........................................................ 5,613 204,173 Unitedhealth Group, Inc. ....................................................... 2,720 268,600 Wellpoint Health Networks, Inc.* ............................................... 930 89,280 ------------ 1,178,379 ------------
26
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- HOME FURNISHINGS (0.12%) Leggett & Platt, Inc. .......................................................... 2,800 $ 44,275 Newell Rubbermaid, Inc. ........................................................ 7,588 173,101 Springs Industries, Inc. Cl A .................................................. 460 12,966 ------------ 230,342 ------------ HOTELS (0.14%) Hilton Hotels Corp. ............................................................ 5,520 63,825 Marriott International, Inc. ................................................... 5,853 213,269 ------------ 277,094 ------------ INDUSTRIAL (0.05%) Rockwell International Corp. ................................................... 3,026 91,536 ------------ INSURANCE (3.82%) Aetna, Inc. .................................................................... 2,574 149,453 AFLAC, Inc. .................................................................... 4,640 297,250 Allstate Corp. ................................................................. 15,176 527,366 American General Corp. ......................................................... 4,487 349,986 American International Group, Inc. ............................................. 37,615 3,599,285 AON Corp. ...................................................................... 4,274 167,754 Chubb Corp. .................................................................... 2,710 214,429 Cigna Corp. .................................................................... 3,008 314,035 Cincinnati Financial Corp. ..................................................... 2,770 98,335 Conseco Co., Inc. .............................................................. 3,316 25,284 Hartford Financial Services Group, Inc. ........................................ 3,598 262,429 Humana, Inc.* .................................................................. 2,525 27,144 Jefferson Pilot Corp. .......................................................... 1,979 134,325 Lincoln National Corp. ......................................................... 3,408 164,010 Marsh & McLennan Co., Inc. ..................................................... 4,593 609,721 MBIA, Inc. ..................................................................... 1,300 92,462 MGIC Investment Corp. .......................................................... 1,460 89,242 Progressive Corp. .............................................................. 900 73,688 Safeco Corp. ................................................................... 1,779 48,478 St. Paul Cos., Inc. ............................................................ 3,490 172,101 Torchmark Corp. ................................................................ 2,020 56,181 Unum Provident Corp. ........................................................... 3,560 97,010 ------------ 7,569,968 ------------ MACHINERY, GENERAL INDUSTRIAL (0.37%) Black & Decker Corp. ........................................................... 1,341 45,845 Caterpillar, Inc. .............................................................. 6,012 202,905 Deere & Co. .................................................................... 4,008 133,266 Dover Corp. .................................................................... 3,200 150,200 Grainger (W. W.), Inc. ......................................................... 1,660 43,679 Ingersoll-Rand Co. ............................................................. 2,753 93,258 McDermott International, Inc. .................................................. 440 4,840 Thermo Electron Corp.* ......................................................... 2,082 54,132 ------------ 728,125 ------------
27
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- MATERIALS (0.26%) Alcoa Inc. ..................................................................... 14,758 $ 373,562 Barrick Gold Corp. ............................................................. 5,991 91,363 Homestake Mining Co. ........................................................... 3,400 17,638 Newmont Mining Corp. ........................................................... 2,258 38,386 ------------ 520,949 ------------ MEDICAL PRODUCTS (1.17%) Baxter International., Inc. .................................................... 5,663 451,978 Becton, Dickinson & Co. ........................................................ 4,460 117,911 Biomet, Inc. ................................................................... 3,255 113,925 Boston Scientific Corp.* ....................................................... 6,822 112,137 Guidant Corp. .................................................................. 5,226 369,413 Medtronic, Inc. ................................................................ 19,642 1,017,701 PerkinElmer, Inc. .............................................................. 660 68,888 St. Jude Medical, Inc.* ........................................................ 1,557 79,407 ------------ 2,331,360 ------------ METALS (0.15%) Alcan Aluminum Ltd. ............................................................ 3,667 106,114 Freeport-McMoran Copper & Gold, Inc.* .......................................... 1,590 14,012 Inco Ltd. ...................................................................... 3,457 55,744 Phelps Dodge Corp. ............................................................. 1,475 61,581 Placer Dome, Inc. .............................................................. 4,407 41,591 Timken Co. ..................................................................... 670 9,171 ------------ 288,213 ------------ MISCELLANEOUS MANUFACTURING (0.36%) Millipore Corp. ................................................................ 550 26,641 Minnesota Mining & Manufacturing Co. ........................................... 7,202 656,282 Pall Corp. ..................................................................... 1,589 31,681 ------------ 714,604 ------------ MOTORCYCLE MANUFACTURERS (0.13%) Harley-Davidson, Inc. .......................................................... 5,590 267,621 ------------ OFFICE EQUIPMENT (0.27%) Avery Dennison Corp. ........................................................... 2,001 92,796 Lexmark International Group, Inc. Cl A ......................................... 1,970 73,875 Office Depot, Inc.* ............................................................ 4,880 38,125 Pitney Bowes, Inc. ............................................................. 4,524 178,415 Xerox Corp. .................................................................... 10,532 158,638 ------------ 541,849 ------------
28
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- OIL & GAS (6.90%) Amerada Hess Corp. ............................................................. 1,308 $ 87,554 Anadarko Petroleum Corp. ....................................................... 3,153 209,548 Apache Corp. ................................................................... 1,260 74,498 Baker Hughes, Inc. ............................................................. 3,960 147,015 Burlington Resources, Inc. ..................................................... 2,807 103,333 Chevron Oil Corp. .............................................................. 11,767 1,003,137 The Coastal Corp. .............................................................. 3,820 283,158 Columbia Gas System, Inc. ...................................................... 1,748 124,108 Conoco, Inc. Cl B .............................................................. 9,850 265,334 Devon Energy Corp. ............................................................. 1,180 70,977 Eastern Enterprises ............................................................ 870 55,517 El Paso Energy Corp. ........................................................... 4,176 257,346 Enron Corp. .................................................................... 11,682 1,023,635 Exxon Mobil Corp. .............................................................. 56,031 4,993,763 Halliburton Co. ................................................................ 6,068 296,953 Kerr-McGee Corp. ............................................................... 1,250 82,812 NICOR, Inc. .................................................................... 1,490 53,919 Occidental Petroleum Corp. ..................................................... 5,063 110,437 Phillips Petroleum Co. ......................................................... 3,474 217,994 Rowan Cos., Inc. ............................................................... 220 6,380 Royal Dutch Petroleum Co. ...................................................... 34,410 2,062,449 Schlumberger, Ltd. ............................................................. 9,540 785,261 Sempra Energy .................................................................. 3,995 83,146 Sunoco, Inc. ................................................................... 1,790 48,218 Texaco, Inc. ................................................................... 9,532 500,430 Tosco Corp. .................................................................... 1,280 39,920 Transocean Sedco Forex, Inc. ................................................... 2,617 153,422 Unocal Corp. ................................................................... 3,442 121,976 USX Marathon Group, Inc. ....................................................... 4,876 138,356 Williams Cos., Inc. ............................................................ 6,680 282,230 ------------ 13,682,826 ------------ PAINT & RELATED PRODUCTS (0.02%) Sherwin Williams Co. ........................................................... 2,316 49,504 ------------ PHARMACEUTICALS (10.31%) Abbott Laboratories ............................................................ 25,396 1,207,897 Allergan, Inc. ................................................................. 2,380 200,961 Alza Corp. ..................................................................... 1,830 158,295 American Home Products Corp. ................................................... 21,540 1,218,356 Amgen, Inc. .................................................................... 16,560 1,156,353 Bausch & Lomb, Inc. ............................................................ 1,055 41,079 Biogen, Inc. ................................................................... 2,460 150,060 Bristol-Myers Squibb Co. ....................................................... 32,478 1,855,306 Cardinal Health, Inc. .......................................................... 4,810 424,182 IMS Health, Inc. ............................................................... 4,862 100,886 Johnson & Johnson .............................................................. 23,436 2,201,519
29
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- Lilly, (Eli) & Co. ............................................................. 19,155 $ 1,553,949 Mallinckrodt, Inc. ............................................................. 1,410 64,331 Medimmune, Inc.* ............................................................... 3,250 251,062 Merck & Co. .................................................................... 38,020 2,830,114 Pfizer, Inc. ................................................................... 101,922 4,580,120 Pharmacia Corp. ................................................................ 20,445 1,230,533 Schering-Plough Corp. .......................................................... 24,010 1,116,465 SYNAVANT, Inc. ................................................................. 243 1,625 Watson Pharmaceuticals, Inc.* .................................................. 1,680 108,990 ------------ 20,452,083 ------------ PHOTOGRAPHY EQUIPMENT (0.15%) Eastman Kodak Co. .............................................................. 7,144 292,011 Polaroid Corp. ................................................................. 840 11,288 ------------ 303,299 ------------ PRINTING (0.05%) R.R. Donnelley & Sons Co. ...................................................... 3,648 89,604 ------------ PUBLISHING (0.69%) Dow Jones & Co. ................................................................ 2,325 140,662 Gannett, Inc. .................................................................. 6,964 369,092 Knight-Ridder, Inc. ............................................................ 2,209 112,245 McGraw-Hill Cos., Inc. ......................................................... 4,240 269,505 New York Times Co. Cl A ........................................................ 4,274 168,022 Tribune Co. .................................................................... 7,057 307,862 ------------ 1,367,388 ------------ RETAIL STORES (4.94%) Bed Bath & Beyond, Inc. ........................................................ 4,760 116,099 Best Buy Co.* .................................................................. 3,360 213,780 Circuit City Stores, Inc. ...................................................... 3,410 78,430 Consolidated Stores Corp.* ..................................................... 1,330 17,955 Costco Cos., Inc.* ............................................................. 7,690 268,669 CVS Corp. ...................................................................... 6,624 306,774 Dillard's, Inc. ................................................................ 1,090 11,581 Dollar General Corp. ........................................................... 5,191 86,949 Federated Department Stores, Inc.* ............................................. 3,617 94,494 Gap, Inc. ...................................................................... 13,715 276,014 Harcourt General, Inc. ......................................................... 1,784 105,256 Home Depot, Inc. ............................................................... 36,759 1,950,524 K-Mart Corp.* .................................................................. 6,188 37,128 Kohl's Corp.* .................................................................. 5,530 319,012 Limited (The), Inc. ............................................................ 7,630 168,337 Longs Drug Stores Corp. ........................................................ 690 13,196 Lowe's Cos ..................................................................... 6,338 284,418 May Department Store Co. ....................................................... 6,248 128,084 Nordstrom, Inc. ................................................................ 2,290 35,638
30
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- Penney, (J.C.) Co. ............................................................. 4,497 $ 53,121 Radioshack Corp. ............................................................... 3,250 210,031 Reebok International Ltd.* ..................................................... 690 12,981 Sears, Roebuck & Co. ........................................................... 6,514 211,184 Staples, Inc.* ................................................................. 7,200 102,150 Target Corp. ................................................................... 15,148 388,168 Tiffany & Co. .................................................................. 1,710 65,942 TJX Companies, Inc. ............................................................ 4,910 110,475 Toys `R' Us, Inc.* ............................................................. 3,481 56,566 Wal Mart Stores, Inc. .......................................................... 71,628 3,447,098 Walgreen Co. ................................................................... 16,576 628,852 ------------ 9,798,906 ------------ STEEL (0.06%) Allegheny Technologies, Inc. ................................................... 1,316 23,852 Bethlehem Steel Corp. .......................................................... 2,390 7,170 Nucor Corp. .................................................................... 1,571 47,326 USX-U.S. Steel Group ........................................................... 1,213 18,422 Worthington Industries, Inc. ................................................... 1,410 13,219 ------------ 109,989 ------------ TECHNOLOGY (1.04%) Applied Materials, Inc. ........................................................ 12,720 754,455 Broadcom Corp.* ................................................................ 3,520 858,000 Honeywell International, Inc. .................................................. 12,908 459,848 ------------ 2,072,303 ------------ TELECOMMUNICATIONS (12.52%) ADC Telecommunications, Inc. ................................................... 9,840 264,604 Alltel Corp. ................................................................... 5,368 280,142 Andrew Corp.* .................................................................. 1,062 27,811 AT&T Corp. ..................................................................... 63,532 1,866,252 BellSouth Corp. ................................................................ 30,786 1,239,136 CenturyTel, Inc. ............................................................... 2,080 56,680 Cisco Systems, Inc. ............................................................ 110,608 6,111,092 Global Crossing Ltd. ........................................................... 12,943 401,233 Lucent Technologies, Inc. ...................................................... 50,451 1,541,909 Nextel Communications, Inc. Cl A* .............................................. 11,580 541,365 Nortel Networks Corp. .......................................................... 46,588 2,774,898 QUALCOMM, Inc.* ................................................................ 11,520 820,800 Qwest Communications International, Inc.* ...................................... 25,466 1,223,960 SBC Communications, Inc. ....................................................... 55,565 2,778,250 Scientific Atlanta, Inc. ....................................................... 2,410 153,336 Sprint Corp. ................................................................... 15,842 464,369 Sprint Corp. (PCS Group) ....................................................... 12,570 440,736 Tellabs, Inc.* ................................................................. 6,242 298,056 Verizon Communications ......................................................... 45,591 2,208,314 Worldcom, Inc. ................................................................. 44,669 1,356,821 ------------ 24,849,764 ------------
31
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- TIRE & RUBBER (0.02%) Cooper Tire & Rubber Co. ....................................................... 330 $ 3,321 Goodyear Tire & Rubber Co. ..................................................... 2,360 42,480 ------------ 45,801 ------------ TOOLS (0.02%) Snap-On, Inc. .................................................................. 560 13,195 Stanley Works .................................................................. 1,400 32,288 ------------ 45,483 ------------ TRANSPORTATION (0.35%) Burlington Northern Santa Fe Corp. ............................................. 6,624 142,830 CSX Corp. ...................................................................... 3,215 70,127 FedEx Corp. .................................................................... 4,396 194,919 Norfolk Southern Corp. ......................................................... 5,636 82,426 Union Pacific Corp. ............................................................ 5,273 204,988 ------------ 695,290 ------------ TRAVEL SERVICES (0.04%) Sabre Group Holdings, Inc. ..................................................... 2,784 80,562 ------------ TRUCKING & LEASING (0.01%) Ryder Systems, Inc. ............................................................ 1,280 23,600 ------------ UTILITIES (2.60%) AES Corp. ...................................................................... 7,140 489,090 Ameren Corp. ................................................................... 2,978 124,704 American Electric Power Co., Inc. .............................................. 6,034 236,080 American Power Conversion Corp.* ............................................... 1,840 35,305 C P & L Energy Co. ............................................................. 3,224 134,400 Cinergy Corp. .................................................................. 2,564 84,772 CMS Energy Corp. ............................................................... 1,860 50,104 Consolidated Edison, Inc. ...................................................... 4,569 155,917 Constellation Energy Group ..................................................... 3,059 152,185 Dominion Resources, Inc. - Va .................................................. 4,494 260,933 DTE Energy Co. ................................................................. 2,749 105,149 Duke Energy Co. ................................................................ 6,523 559,347 Edison International ........................................................... 5,376 103,824 Entergy Corp. .................................................................. 4,265 158,871 Firstenergy Corp. .............................................................. 3,775 101,689 Florida Progress Corp. ......................................................... 2,010 106,404 FPL Group, Inc. ................................................................ 3,599 236,634 GPU, Inc. ...................................................................... 1,905 61,793 Niagara Mohawk Holdings, Inc. .................................................. 3,710 58,432 PECO Energy Co. ................................................................ 3,116 188,713 Peoples Energy Corp. ........................................................... 1,290 43,054 PG&E Corp. ..................................................................... 6,899 166,870 Pinnacle West Capital Corp. .................................................... 1,290 65,629
32
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- PPL Corp. ...................................................................... 1,495 $ 62,416 Public Service Enterprise, Inc. ................................................ 4,457 199,172 Reliant Energy, Inc. ........................................................... 5,360 249,240 Southern Co. ................................................................... 11,830 383,736 TXU Corp. ...................................................................... 4,991 197,768 Unicom Corp. ................................................................... 3,952 222,053 Xcel Energy, Inc. .............................................................. 5,780 158,950 ------------ 5,153,234 ------------ WASTE MANAGEMENT (0.10%) Allied Waste Industries, Inc. .................................................. 1,870 17,181 Waste Management Services, Inc. ................................................ 10,023 174,776 ------------ 191,957 ------------ WIRELESS EQUIPMENT (0.23%) Palm Inc. ...................................................................... 8,467 448,222 ------------ TOTAL COMMON STOCK (Cost $187,553,417) ......................................... 196,818,472 ------------ MISCELLANEOUS ASSETS (0.49%) S & P 500 Depositary Receipt (Cost $991,562) ................................... 6,800 976,650 ------------ PRINCIPAL --------- REPURCHASE AGREEMENTS (0.27%) Fifth Third Bank, 5.78%, dated 09/29/00, due 10/02/00, repurchase price $524,827 (collateralized by FNMA Pool #409855, 8.218%, due 03/01/28, market value $535,065) (Cost $524,574) ...................................................... $524,574 524,574 ------------ TOTAL INVESTMENTS (Cost $189,069,553) (99.95%) ........................... 198,319,696 OTHER ASSETS & LIABILITIES, NET (0.05%) .................................. 105,968 ------------ NET ASSETS (100%) ........................................................ $198,425,664 ============ *Non-income producing investment Cost for federal income tax at September 30, 2000 was $189,069,553 and net unrealized appreciation consisted of: Gross unrealized appreciation ............................................ $ 31,035,725 Gross unrealized depreciation ............................................ (21,785,582) ------------ Net unrealized appreciation .............................................. $ 9,250,143 ============
SEE NOTES TO FINANCIAL STATEMENTS 33
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK (98.23%) ADVERTISING (1.10%) Ha-Lo Industries, Inc.* ........................................................ 8,570 $ 34,280 Havas Advertising SA ADR* ...................................................... 22,471 328,634 Penton Media, Inc.* ............................................................ 7,650 210,375 True North Communications, Inc. ................................................ 11,859 423,959 ------------ 997,248 ------------ AEROSPACE (0.55%) AAR Corp. ...................................................................... 6,022 68,877 Esterline Technologies Corp.* .................................................. 4,390 86,428 Kaman Corp.* ................................................................... 4,593 57,987 Orbital Sciences Corp.* ........................................................ 9,222 77,234 Teledyne Technologies, Inc. .................................................... 7,250 211,156 ------------ 501,682 ------------ AEROSPACE & DEFENSE (0.39%) Alliant Techsystems, Inc.* ..................................................... 3,093 254,013 BE Aerospace, Inc. ............................................................. 5,910 95,299 ------------ 349,312 ------------ AGRICULTURAL (0.44%) Agribrands International, Inc.* ................................................ 3,740 163,158 Delta & Pine Land Co. .......................................................... 9,196 236,222 ------------ 399,380 ------------ AIRLINES (0.62%) Atlantic Coast Airlines Holdings ............................................... 4,830 155,466 Midwest Express Holdings, Inc.* ................................................ 3,380 68,022 Skywest, Inc. .................................................................. 6,630 339,788 ------------ 563,276 ------------ APPAREL (1.37%) The Dress Barn, Inc. ........................................................... 5,596 117,516 Haggar Corp. ................................................................... 2,730 34,125 K-Swiss, Inc. Cl A ............................................................. 3,120 70,200 Kellywood Co. .................................................................. 6,900 125,925 Nautica Enterprises, Inc. ...................................................... 7,636 98,791 Oshkosh B'Gosh, Inc. Cl A ...................................................... 3,700 56,310 Oxford Industries, Inc. ........................................................ 3,770 67,389 Phillips-Van Heusen Corp. ...................................................... 3,810 39,291 Quiksilver, Inc.* .............................................................. 5,110 98,368 Timberland Co. Cl A ............................................................ 9,796 401,636 Wet Seal (The), Inc.* .......................................................... 3,460 54,279 Wolverine World Wide, Inc. ..................................................... 8,148 75,878 ------------ 1,239,708 ------------
34
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- APPLIANCES (0.14%) Applica, Inc. .................................................................. 4,930 $ 30,504 Salton, Inc.* .................................................................. 2,940 94,999 ------------ 125,503 ------------ AUTO PARTS & EQUIPMENT (0.49%) Discount Auto Parts, Inc.* ..................................................... 4,221 32,449 Midas, Inc. .................................................................... 4,590 64,260 O'Reilly Automotive, Inc.* ..................................................... 11,240 164,385 Pep Boys--Manny Moe & Jack ..................................................... 9,730 48,650 Standard Motor Products, Inc. .................................................. 3,956 31,648 Tower Automotive, Inc.* ........................................................ 10,610 99,469 ------------ 440,861 ------------ AUTOS & TRUCKS (0.44%) Copart, Inc.* .................................................................. 11,880 164,835 Oshkosh Truck Corp. ............................................................ 4,630 179,412 Wabash National Corp. .......................................................... 6,050 55,206 ------------ 399,453 ------------ BANKS (6.96%) Anchor Bancorp Wisconsin, Inc. ................................................. 4,470 70,123 Centura Banks, Inc. ............................................................ 10,786 413,239 Chittenden Corp. ............................................................... 7,490 192,399 Commerce Bancorp, Inc. ......................................................... 7,989 464,860 Commercial Federal Corp. ....................................................... 13,050 249,581 Community First Bankshares ..................................................... 10,120 177,732 Cullen Frost Bankers, Inc. ..................................................... 12,612 409,890 Downey Financial Corp. ......................................................... 7,416 292,932 First Bancorp .................................................................. 5,800 141,738 First Midwest Bancorp, Inc. .................................................... 9,585 255,201 GBC Bancorp .................................................................... 3,220 109,681 Hudson United Bancorp .......................................................... 12,743 352,025 Imperial Bancorp* .............................................................. 10,190 194,884 Investors Financial Services Corp. Cl A ........................................ 7,150 451,344 MAF Bancorp, Inc. .............................................................. 6,330 157,459 Provident Bankshares Corp. ..................................................... 5,843 97,870 Queens County Bancorp, Inc. .................................................... 6,025 173,972 Riggs National Corp. ........................................................... 5,966 73,084 Silicon Valley Bancshares ...................................................... 10,700 623,108 South Financial Group, Inc. .................................................... 9,350 118,044 Southwest Bancorporation of Texas, Inc.* ....................................... 6,750 220,641 Staten Island Bancorp, Inc. .................................................... 7,990 159,800 Susquehanna Bancshares, Inc. ................................................... 6,055 92,339 Trustco Bank Corp. ............................................................. 8,896 109,532 United Bankshares, Inc. ........................................................ 9,470 185,849 Washington Federal, Inc. ....................................................... 12,100 275,275 Whitney Holdings Corp. ......................................................... 6,918 251,210 ------------ 6,313,812 ------------
35
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- BROADCASTING (0.05%) 4kids Entertainment, Inc.* ..................................................... 2,910 $ 49,106 ------------ BUILDING (3.02%) Champion Enterprises, Inc.* .................................................... 9,615 40,864 D. R. Horton, Inc. ............................................................. 15,279 262,600 Dycom Industries, Inc.* ........................................................ 9,180 382,118 Elcor Corp. .................................................................... 4,970 72,065 Fleetwood Enterprises, Inc. .................................................... 8,010 108,636 Florida Rock Industries, Inc. .................................................. 4,940 194,821 Insituform Technologies, Inc.* ................................................. 6,080 204,440 M. D. C. Holdings, Inc. ........................................................ 5,900 153,400 NVR, Inc.* ..................................................................... 2,840 230,040 Ryland Group, Inc. ............................................................. 4,599 142,569 Simpson Manufacturing Co. ...................................................... 3,740 167,131 Skyline Corp. .................................................................. 4,520 96,332 Standard Pacific Corp. ......................................................... 6,450 116,100 Thor Industries, Inc. .......................................................... 4,150 95,969 Toll Brothers, Inc. ............................................................ 9,045 310,922 Universal Forest Products, Inc. ................................................ 4,770 54,482 Washington Group Intl., Inc.* .................................................. 9,070 103,738 ------------ 2,736,227 ------------ BUILDING PRODUCTS (0.64%) Butler Manufacturing Co. ....................................................... 3,515 80,625 Hughes Supply, Inc. ............................................................ 6,265 122,919 Lennox International, Inc. ..................................................... 12,530 117,469 Republic Group, Inc. ........................................................... 3,530 64,864 Texas Industries, Inc. ......................................................... 6,150 196,031 ------------ 581,908 ------------ CHEMICALS (1.28%) Arch Chemicals, Inc. ........................................................... 5,330 97,272 Cambrex Corp. .................................................................. 6,264 231,768 Chemfirst, Inc. ................................................................ 5,217 108,579 MacDermid, Inc. ................................................................ 7,590 159,390 OM Group, Inc. ................................................................. 6,281 274,009 Omnova Solutions, Inc. ......................................................... 4,760 26,478 Penford Corp. .................................................................. 2,660 41,230 Polyone Corp. .................................................................. 16,700 122,119 Quaker Chemical Corp. .......................................................... 3,480 59,160 Tetra Technologies, Inc.* ...................................................... 2,640 40,095 ------------ 1,160,100 ------------
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CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMERCIAL SERVICES (2.44%) ABM Industries, Inc. ........................................................... 5,720 $ 155,512 Central Parking Corp. .......................................................... 8,735 173,062 CPI Corp. ...................................................................... 3,780 80,325 F.Y.I., Inc.* .................................................................. 3,930 146,884 G & K Services, Inc. ........................................................... 5,547 155,663 Harland, (John H.) Co. ......................................................... 6,830 104,584 Insurance Auto Auctions, Inc.* ................................................. 3,440 55,685 Kroll-O'Gara Co. ............................................................... 4,960 29,760 Member Works, Inc. ............................................................. 3,940 129,528 New England Business Service, Inc. ............................................. 4,370 79,206 Pegasus Solutions, Inc.* ....................................................... 6,020 117,765 Plexus Corp.* .................................................................. 8,560 603,480 Prepaid Legal Services, Inc.* .................................................. 5,410 174,811 StarTek, Inc.* ................................................................. 3,270 94,830 The Profit Recovery Group International, Inc.* ................................. 11,185 110,452 ------------ 2,211,547 ------------ COMPONENTS (2.48%) C-COR Electronics, Inc.* ....................................................... 7,750 118,672 Checkpoint Systems, Inc.* ...................................................... 5,510 41,669 Coherent, Inc.* ................................................................ 6,240 424,320 Dionex Corp.* .................................................................. 5,668 156,578 Electro Scientific Industries, Inc.* ........................................... 6,290 220,936 Harman International Industries, Inc. .......................................... 9,480 370,668 Silicon Valley Group, Inc.* .................................................... 8,030 211,289 Standard Microsystems Corp.* ................................................... 3,620 78,961 Vicor Corp. .................................................................... 10,019 543,531 Watts Industries, Inc.* ........................................................ 4,950 49,500 X-Rite, Inc. ................................................................... 3,470 30,362 ------------ 2,246,486 ------------ COMPUTER HARDWARE (0.64%) Hutchinson Technology, Inc.* ................................................... 6,530 137,538 InterVoice, Inc.* .............................................................. 7,440 78,120 Kronos, Inc.* .................................................................. 3,330 99,900 Mercury Computer Systems, Inc.* ................................................ 5,040 140,175 Read-Rite Corp.* ............................................................... 11,290 127,012 ------------ 582,745 ------------ COMPUTER SERVICES & SOFTWARE (9.74%) American Management Systems, Inc.* ............................................. 9,618 165,309 Analysts International Corp. ................................................... 4,285 30,933 Anixter International, Inc.* ................................................... 8,736 254,436 Aspen Technology, Inc.* ........................................................ 6,150 277,519 Auspex Systems, Inc. ........................................................... 5,410 66,949 Avant Corp.* ................................................................... 8,700 158,775 Avid Technology, Inc.* ......................................................... 5,540 77,560
37
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- AVT Corp.* ..................................................................... 5,400 $ 30,038 BARRA, Inc.* ................................................................... 3,440 213,495 Bisys Group, Inc.* ............................................................. 6,801 525,802 Black Box Corp. ................................................................ 4,740 221,002 Brooktrout Technology, Inc.* ................................................... 3,020 99,471 ChoicePoint, Inc.* ............................................................. 9,496 435,629 Ciber, Inc.* ................................................................... 12,630 104,198 Concord Communications, Inc. ................................................... 3,960 104,940 Dendrite International, Inc.* .................................................. 8,935 239,570 eLoyalty Corp.* ................................................................ 18,015 229,691 ePresence, Inc.* ............................................................... 4,830 32,602 Factset Research Systems, Inc. ................................................. 7,580 285,008 Fair Issac & Co. ............................................................... 3,659 156,194 FileNet Corp.* ................................................................. 7,622 138,625 Great Plains Software, Inc. .................................................... 4,860 136,688 Henry, (Jack) & Associates ..................................................... 9,662 419,089 HNC Software, Inc.* ............................................................ 6,740 551,416 Hyperion Solutions Corp.* ...................................................... 7,646 197,840 Inter Tel, Inc. ................................................................ 5,980 68,022 Micros Systems, Inc.* .......................................................... 4,090 61,606 Midway Games, Inc.* ............................................................ 7,820 54,740 National Computer Systems, Inc. ................................................ 7,566 551,845 National Data Corp. ............................................................ 8,106 265,978 National Instrument Corp.* ..................................................... 11,805 520,896 Phoenix Technologies Ltd.* ..................................................... 5,810 92,597 Pinnacle Systems, Inc. ......................................................... 11,710 131,738 Progress Software Corp.* ....................................................... 7,436 101,316 Project Software & Development, Inc. ........................................... 4,960 77,113 QRS Corp.* ..................................................................... 3,750 56,484 Radisys Corp.* ................................................................. 4,050 204,778 RSA Security, Inc.* ............................................................ 9,280 400,200 S3, Inc.* ..................................................................... 20,310 209,447 SAGA SYSTEMS, Inc.* ............................................................ 6,100 64,050 Systems & Computer Technology Corp.* ........................................... 7,110 124,869 THQ, Inc.* ..................................................................... 4,570 106,252 Verity, Inc.* .................................................................. 7,400 264,088 Visual Networks, Inc. .......................................................... 5,900 38,719 Xircom, Inc.* .................................................................. 7,120 179,780 Zixit Corp. .................................................................... 3,920 119,560 ------------ 8,846,857 ------------ CONGLOMERATES (0.06%) GenCorp, Inc. .................................................................. 6,920 56,225 ------------ CONSULTING SERVICES (0.27%) MAXIMUS, Inc.* ................................................................. 4,890 108,191 Remedy Corp.* .................................................................. 7,200 135,900 ------------ 244,091 ------------
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CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER PRODUCTS (0.75%) FOSSIL, Inc.* .................................................................. 7,870 $ 104,769 Meade Instruments Corp.* ....................................................... 3,890 78,529 Russ Berrie and Co. ............................................................ 6,148 121,423 Scotts Co.* .................................................................... 7,399 247,866 Toro Co. ....................................................................... 4,059 127,858 ------------ 680,445 ------------ DISTRIBUTION WHOLESALE (0.95%) Brightpoint, Inc.* ............................................................. 11,120 55,948 Insight Enterprises, Inc.* ..................................................... 9,585 261,191 Owens & Minor, Inc. Holding Co. ................................................ 7,304 115,038 SCP Pool Corp.* ................................................................ 4,665 138,201 United Stationers, Inc.* ....................................................... 8,230 221,181 Watsco, Inc. ................................................................... 6,695 68,892 ------------ 860,451 ------------ DIVERSIFIED CONGLOMERATES (1.53%) Chemed Corp. ................................................................... 4,415 140,452 Clarcor, Inc. .................................................................. 5,900 115,050 General Electric Co.* .......................................................... 1,617 93,281 Mascotech, Inc. ................................................................ 11,120 184,175 Myers Industries, Inc. ......................................................... 5,033 63,856 Roper Industries, Inc. ......................................................... 7,526 249,769 SPS Technologies, Inc.* ........................................................ 3,818 185,173 Standex International Corp. .................................................... 4,410 85,168 Tenneco Corp. .................................................................. 6,670 34,601 Tredegar Industries, Inc. ...................................................... 8,844 153,112 Volt Information Sciences, Inc.* ............................................... 4,010 86,215 ------------ 1,390,852 ------------ ELECTRONIC EQUIPMENT (8.44%) Actel Corp. .................................................................... 5,440 195,500 Aeroflex, Inc.* ................................................................ 6,238 303,298 Alliance Semiconductor Corp.* .................................................. 9,890 196,564 Alpha Industries, Inc.* ........................................................ 10,160 346,075 Analogic Corp. ................................................................. 3,760 144,525 APW Ltd. ....................................................................... 17,994 877,208 Artesyn Technologies, Inc.* .................................................... 8,870 258,339 Audiovox Corp Cl A* ............................................................ 5,300 79,831 Axt, Inc. ...................................................................... 4,480 187,320 Benchmark Electronics, Inc.* ................................................... 4,780 248,560 C & D Technology, Inc. ......................................................... 6,180 350,715 C-Cube Microsystems, Inc.* ..................................................... 10,210 209,305 Cohu, Inc. ..................................................................... 4,810 73,653 CTS Corp. ...................................................................... 6,760 342,225 Dallas Semiconductors Corp. .................................................... 14,088 463,143 Electroglas, Inc.* ............................................................. 5,070 86,507 ESS Technology, Inc. ........................................................... 9,350 133,822
39
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- General Semi-Conductors, Inc.* ................................................. 7,980 $ 97,256 Gentex Corp.* .................................................................. 17,360 434,000 Innovex, Inc. .................................................................. 3,350 45,644 Kemet Corp.* ................................................................... 20,190 557,749 Kent Electronics Corp.* ........................................................ 6,693 159,795 Methode Electronics, Inc.* ..................................................... 8,440 373,998 Network Equipment Technologies, Inc. ........................................... 4,520 48,308 Park Electrochemical Co. ....................................................... 3,083 171,492 Photronics, Inc.* .............................................................. 7,060 153,996 Pioneer Standard Electronics, Inc. ............................................. 6,000 81,375 Robotic Vision Systems, Inc.* .................................................. 6,980 41,662 SLI, Inc.* ..................................................................... 7,580 55,429 Technitrol, Inc. ............................................................... 3,910 394,910 Telcom Semiconductor, Inc. ..................................................... 4,130 61,434 Three-Five Systems, Inc.* ...................................................... 4,970 145,372 Trimble Navigation Ltd.* ....................................................... 5,480 122,615 Ultratech Stepper, Inc.* ....................................................... 5,600 89,950 Valence Technology, Inc.* ...................................................... 7,830 135,068 ------------ 7,666,643 ------------ ELECTRONICS & ELECTRICAL EQUIPMENT (0.17%) Baldor Electric Co. ............................................................ 7,820 158,844 ------------ ENGINEERING (0.40%) Foster Wheeler Corp. ........................................................... 7,270 52,708 Tetra Tech, Inc.* .............................................................. 9,067 258,976 URS Corp.* ..................................................................... 4,000 53,000 ------------ 364,684 ------------ ENTERTAINMENT & LEISURE (0.20%) JAKKS Pacific, Inc.* ........................................................... 4,850 45,621 K2, Inc.* ...................................................................... 2,300 20,556 Prime Hospitality Corp.* ....................................................... 11,090 112,286 ------------ 178,463 ------------ FINANCIAL SERVICES (2.92%) Americredit Corp.* ............................................................. 17,190 495,287 Billing Concepts Corp.* ........................................................ 7,230 23,046 Cash America International, Inc. ............................................... 4,430 32,394 Dain Rauscher Corp. ............................................................ 3,538 329,034 Eaton Vance Corp. .............................................................. 8,466 431,766 Jefferies Group, Inc. .......................................................... 6,210 166,894 Morgan Keegan, Inc. ............................................................ 6,390 111,825 National Discount Brokers Group, Inc.* ......................................... 5,030 155,616 Pioneer Group, Inc.* ........................................................... 6,400 281,400 Raymond James Financial, Inc. .................................................. 10,881 358,393 Southwest Securities Group, Inc. ............................................... 4,070 119,048 Tucker Anthony Sutro Corp. ..................................................... 5,800 147,175 ------------ 2,651,878 ------------
40
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- FOOD & BEVERAGES (2.14%) American Italian Pasta Co.* .................................................... 4,870 $ 93,443 Chiquita Brands International, Inc. ............................................ 11,380 35,562 Corn Products International, Inc. .............................................. 9,520 216,580 Earthgrains Co. ................................................................ 9,904 182,605 Fleming Co., Inc. .............................................................. 9,210 120,306 Great Atlantic & Pacific Tea Co., Inc. ......................................... 9,840 108,855 Hain Celestial Group, Inc.* .................................................... 7,030 246,929 J&J Snack Foods Corp.* ......................................................... 2,950 38,166 Michael Foods, Inc. ............................................................ 5,550 129,731 Morrison Management Specialists, Inc. .......................................... 4,360 128,838 Performance Food Group Co.* .................................................... 3,960 148,995 Ralcorp Holdings, Inc. ......................................................... 6,280 88,705 United Natural Foods, Inc.* .................................................... 4,270 52,841 Whole Foods Market, Inc.* ...................................................... 6,579 353,210 ------------ 1,944,766 ------------ FOREST & PAPER PRODUCTS (0.41%) Buckeye Technology, Inc.* ...................................................... 7,870 163,302 Caraustar Industries, Inc.* .................................................... 6,195 68,532 Deltic Timber Corp. ............................................................ 4,010 67,919 Pope & Talbot, Inc. ............................................................ 5,165 73,924 ------------ 373,677 ------------ HEALTH CARE (2.77%) ADAC Laboratories .............................................................. 4,810 100,108 Advance Paradigm, Inc. ......................................................... 6,090 256,922 Mid Atlantic Medical Services, Inc. ............................................ 10,480 158,510 Orthodontic Centers of America, Inc.* .......................................... 11,530 384,093 Pediatrix Medical Group, Inc.* ................................................. 3,460 44,764 Priority Healthcare Corp.* ..................................................... 5,364 409,005 Regeneron Pharmaceuticals, Inc.* ............................................... 8,180 266,872 Renal Care Group, Inc.* ........................................................ 10,680 198,915 Universal Health Services, Inc.* ............................................... 7,464 639,105 US Oncology, Inc.* ............................................................. 13,120 59,451 ------------ 2,517,745 ------------ HOME FURNISHING (1.27%) Bassett Furniture Industries, Inc. ............................................. 4,568 64,808 Ethan Allen Interiors, Inc. .................................................... 9,506 269,139 Interface, Inc. Cl A ........................................................... 8,938 71,225 La-Z Boy Chair Co. ............................................................. 12,963 188,774 Libbey, Inc. ................................................................... 4,600 143,175 National Presto Industries, Inc. ............................................... 5,550 166,153 Pier 1 Imports, Inc. ........................................................... 18,434 250,011 ------------ 1,153,285 ------------
41
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- HUMAN RESOURCES (1.07%) Administaff, Inc.* ............................................................. 3,140 $ 237,698 CDI Corp.* ..................................................................... 5,099 81,584 Edgewater Technology, Inc.* .................................................... 5,120 26,880 Heidrick & Struggles International, Inc.* ...................................... 4,890 251,224 Labor Ready, Inc.* ............................................................. 8,390 35,133 On Assignment, Inc. ............................................................ 5,210 163,464 Spherion Corp.* ................................................................ 14,536 173,524 ------------ 969,507 ------------ INDUSTRIAL (0.60%) Cognex Corp.* .................................................................. 10,247 404,116 Gerber Scientific, Inc. ........................................................ 4,881 42,099 Milacron, Inc. ................................................................. 7,730 102,906 ------------ 549,121 ------------ INSURANCE (3.71%) Arthur J. Gallagher & Co.* ..................................................... 8,714 515,215 Coventry Corp.* ................................................................ 13,235 200,179 Delphi Financial Group, Inc.* .................................................. 5,262 213,111 E.W. Blanch Holdings, Inc. ..................................................... 3,620 75,115 Enhance Financial Services Group, Inc. ......................................... 8,028 104,364 Fidelity National Financial, Inc. .............................................. 14,398 356,350 First American Financial Corp. ................................................. 13,198 275,508 Fremont General Corp. .......................................................... 12,552 43,148 Hilb, Rogal and Hamilton Co. ................................................... 3,550 147,991 Hooper Holmes, Inc. ............................................................ 13,390 127,339 Mutual Risk Management, Ltd. ................................................... 9,836 215,777 Radian Group, Inc. ............................................................. 8,917 601,898 RLI Corp. ...................................................................... 3,150 121,472 SCPIE Holdings, Inc. ........................................................... 2,920 58,765 Selective Insurance Group, Inc. ................................................ 6,088 108,823 Trenwick Group, Inc. ........................................................... 4,567 86,773 Zenith National Insurance Corp. ................................................ 5,208 113,925 ------------ 3,365,753 ------------ MACHINERY, GENERAL INDUSTRIAL (2.30%) Applied Industrial Technologies, Inc.* ......................................... 5,240 90,718 Astec Industries, Inc.* ........................................................ 5,080 55,562 Gardner Denver, Inc.* .......................................................... 4,120 66,950 Graco, Inc. .................................................................... 5,500 177,375 Helix Technologies Corp. ....................................................... 5,540 165,508 IDEX Corp. ..................................................................... 7,590 212,046 JLG Industries, Inc. ........................................................... 9,250 112,734 Kulicke & Soffa Industries, Inc.* .............................................. 13,680 182,115 Lindsay Manufacturing Co. ...................................................... 3,379 62,934 The Manitowac Co., Inc. ........................................................ 6,337 121,987 Regal-Beloit Corp. ............................................................. 4,988 84,596
42
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- Robbins & Myers, Inc. .......................................................... 3,490 $ 82,451 Specialty Equipment Co. ........................................................ 5,290 130,597 SpeedFam-IPEC, Inc.* ........................................................... 6,920 79,148 Thomas Industries, Inc. ........................................................ 4,370 88,492 Zebra Technologies Corp. Cl A* ................................................. 7,716 370,850 ------------ 2,084,063 ------------ MARKETING SERVICES (0.72%) ADVO, Inc. ..................................................................... 4,915 162,195 Catalina Marketing Corp.* ...................................................... 12,995 488,937 ------------ 651,132 ------------ MEDICAL PRODUCTS (6.14%) Advanced Tissue Sciences, Inc.* ................................................ 11,830 87,986 Cerner Corp.* .................................................................. 7,930 368,249 CONMED Corp. ................................................................... 4,540 62,141 Cooper (The) Cos., Inc.* ....................................................... 3,710 131,241 Cygnus, Inc.* .................................................................. 6,270 68,970 Datascope Corp.* ............................................................... 4,340 145,390 Diagnostic Products Corp. ...................................................... 4,170 223,616 Enzo Biochem, Inc.* ............................................................ 6,026 292,261 Idexx Labs, Inc.* .............................................................. 8,549 228,686 Immune Response Corp.* ......................................................... 5,620 38,638 Invacare Corp. ................................................................. 7,606 244,343 Mentor Corp.* .................................................................. 5,693 89,665 Organogenesis, Inc.* ........................................................... 8,040 118,188 Osteotech, Inc.* ............................................................... 2,880 27,540 Patterson Dental Co.* .......................................................... 16,194 364,365 PolyMedica Corp. ............................................................... 3,080 132,055 Protein Design Labs, Inc.* ..................................................... 9,110 1,097,755 ResMed, Inc.* .................................................................. 7,240 226,250 Respironics, Inc.* ............................................................. 6,790 113,308 Scott Technologies, Inc.* ...................................................... 4,150 73,533 Spacelabs Medical, Inc.* ....................................................... 3,060 30,218 Syncor International Corp.* .................................................... 5,740 211,304 Techne Corp.* .................................................................. 4,860 544,320 Theragenics Corp.* ............................................................. 5,310 34,515 Varian Medical Systems, Inc. ................................................... 7,660 346,136 Vital Signs, Inc. .............................................................. 3,443 91,240 Wesley Jessen VisionCare, Inc.* ................................................ 4,780 183,731 ------------ 5,575,644 ------------ METALS (1.74%) Amcast Industrial Corp. ........................................................ 3,730 35,202 Brush Engineered Materials, Inc. ............................................... 4,780 103,368 Castle, (A. M.) & Co. .......................................................... 3,507 33,755 Commercial Metals Co. .......................................................... 4,965 126,608 Commonwealth Industries, Inc. .................................................. 4,320 24,030
43
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- Intermet Corp. ................................................................. 5,394 $ 39,106 Material Sciences Co.* ......................................................... 2,930 33,329 Mueller Industries, Inc.* ...................................................... 8,642 193,905 Quanex Corp. ................................................................... 4,558 86,887 Reliance Steel & Aluminum Co. .................................................. 6,555 138,065 RTI International, Inc.* ....................................................... 4,530 65,402 Shaw Group, Inc.* .............................................................. 4,350 306,675 Steel Dynamics, Inc.* .......................................................... 9,310 85,536 Stillwater Mining Co.* ......................................................... 9,347 253,023 Wolverine Corp.* ............................................................... 3,825 56,897 ------------ 1,581,788 ------------ MISCELLANEOUS MANUFACTURING (1.15%) AptarGroup, Inc. ............................................................... 8,778 210,123 Barnes Group, Inc. ............................................................. 4,850 89,119 Brady Corp. Cl A ............................................................... 6,050 183,012 Cuno Inc.* ..................................................................... 4,250 94,562 Huffy Corp. .................................................................... 2,090 21,945 Intermagnetics General Corp. ................................................... 3,244 86,372 Lawson Products, Inc. .......................................................... 4,270 103,281 Paxar Corp.* ................................................................... 7,719 68,989 Smith, (A. O.) Corp. ........................................................... 6,212 78,038 Valmont Industries, Inc. ....................................................... 5,540 110,108 ------------ 1,045,549 ------------ OIL & GAS (6.12%) Atwood Oceanics, Inc.* ......................................................... 3,800 158,412 Barrett Resource Corp.* ........................................................ 8,039 303,975 Cabot Oil & Gas Corp. .......................................................... 7,091 144,479 Cal Dive International, Inc. ................................................... 4,030 230,466 Cascade Natural Gas Corp. ...................................................... 3,040 53,200 Cross Timbers Oil Co. .......................................................... 16,345 313,620 Dril-Quip, Inc.* ............................................................... 4,320 172,260 Eagle Hardware & Garden, Inc.* ................................................. 315 2 Energen Corp. .................................................................. 7,070 210,332 Friede Goldman International, Inc.* ............................................ 8,740 61,726 HS Resources, Inc.* ............................................................ 4,740 159,382 Input/Output, Inc.* ............................................................ 9,974 96,000 Laclede Gas Co. ................................................................ 4,830 104,449 Louis Dreyfus Natural Gas Corp. ................................................ 9,830 389,514 New Jersey Resources Corp. ..................................................... 5,076 206,212 Newfield Exploration Co.* ...................................................... 10,102 471,637 Northwest Natural Gas Co. ...................................................... 5,182 117,890 Nuevo Energy Co. ............................................................... 4,400 80,850 Oceaneering International, Inc.* ............................................... 5,206 86,550 Patina Oil & Gas Corp. ......................................................... 3,880 77,600 Piedmont Natural Gas, Inc. ..................................................... 7,249 222,001 Plains Resources, Inc.* ........................................................ 4,910 92,676
44
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- Pogo Producing Co. ............................................................. 9,496 $ 240,961 Pride International, Inc.* ..................................................... 14,155 375,108 Seacor Smit, Inc. .............................................................. 4,620 215,408 Seitel, Inc.* .................................................................. 4,570 65,694 St. Mary Land & Exploration Co. ................................................ 6,500 149,906 Stone Energy Corp.* ............................................................ 4,710 259,050 Veritas DGC, Inc. .............................................................. 6,050 175,072 Vintage Petroleum, Inc. ........................................................ 14,116 321,139 ------------ 5,555,571 ------------ PAINT & RELATED PRODUCTS (0.30%) Lilly Industries, Inc. ......................................................... 5,619 165,760 WD-40 Co. ...................................................................... 4,910 104,338 ------------ 270,098 ------------ PHARMACEUTICALS (5.75%) Alliance Pharmaceutical Corp. .................................................. 10,680 162,870 Alpharma, Inc. ................................................................. 9,698 592,790 Barr Laboratories, Inc.* ....................................................... 8,270 548,404 Bindley Western Industries, Inc. ............................................... 8,336 266,752 Bio-Technology General Corp.* .................................................. 11,830 135,306 Biomatrix, Inc.* ............................................................... 5,490 96,075 Cephalon, Inc.* ................................................................ 8,020 388,970 Cor Therapeutics, Inc.* ........................................................ 12,300 766,444 Dura Pharmaceuticals, Inc.* .................................................... 10,490 371,084 Elan Corporation Plc Contingent Value Rights* .................................. 7,790 7,547 Medicis Pharmaceutical Corp. ................................................... 6,900 424,350 Noven Pharmaceuticals, Inc. .................................................... 5,190 221,872 Parexel International Corp.* ................................................... 5,380 45,730 Pharmaceutical Product Development, Inc. ....................................... 5,920 157,250 Vertex Pharmaceuticals, Inc.* .................................................. 12,274 1,037,153 ------------ 5,222,597 ------------ PRINTING (0.13%) Bowne & Co., Inc. .............................................................. 7,404 72,189 Consolidated Graphic, Inc.* .................................................... 3,930 46,178 ------------ 118,367 ------------ RECREATION VEHICLE MANUFACTURING (0.54%) Arctic Cat, Inc. ............................................................... 3,900 49,238 Coachmen Industries, Inc. ...................................................... 3,930 41,019 Monaco Coach Corp.* ............................................................ 4,850 80,025 Polaris Industries, Inc. ....................................................... 7,330 258,382 Winnebago Industries, Inc. ..................................................... 5,090 63,625 ------------ 492,289 ------------ RENTAL EQUIPMENT (0.06%) Aaron Rents, Inc. Cl B* ........................................................ 4,420 56,908 ------------
45
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- RESTAURANT - RETAIL (1.22%) CEC Entertainment, Inc.* ....................................................... 7,392 $ 236,544 Cheesecake Factory, Inc.* ...................................................... 8,128 351,514 IHOP Corp.* .................................................................... 6,670 127,564 Landry's Restaurants, Inc.* .................................................... 7,000 47,688 Luby's Cafeterias, Inc. ........................................................ 6,810 36,178 Panera Bread Co. Cl A* ......................................................... 3,900 81,412 Ruby Tuesday, Inc. ............................................................. 20,500 230,625 ------------ 1,111,525 ------------ RETAIL STORES (3.74%) 99 Cents Only Stores* .......................................................... 8,110 407,021 Ames Department Stores, Inc.* .................................................. 6,590 38,099 Ann Taylor Stores Corp.* ....................................................... 7,690 295,584 Brown Group, Inc. .............................................................. 4,799 44,091 Casey's General Stores, Inc. ................................................... 10,762 139,906 Cato Corp. Cl A ................................................................ 5,660 70,750 Chico's FAS, Inc.* ............................................................. 4,280 145,520 Cost Plus, Inc.* ............................................................... 5,090 153,336 Damark International, Inc. Cl A* ............................................... 1,550 18,988 Department 56, Inc.* ........................................................... 4,000 52,750 Factory 2-U Stores, Inc.* ...................................................... 3,080 94,132 Footstar, Inc.* ................................................................ 5,240 169,318 Goody's Family Clothing, Inc.* ................................................. 4,950 19,491 Jo-Ann Stores, Inc.* ........................................................... 4,745 34,401 Linens 'N Things, Inc.* ........................................................ 9,500 242,250 Men's Wearhouse, Inc.* ......................................................... 10,305 291,760 Michaels Stores, Inc.* ......................................................... 8,100 324,000 Pacific Sunwear of California, Inc.* ........................................... 7,345 137,719 Regis Corp. .................................................................... 8,765 131,475 School Specialty, Inc.* ........................................................ 4,230 90,152 Shopko Stores, Inc.* ........................................................... 7,414 76,920 Stein Mart, Inc.* .............................................................. 8,760 94,718 Stride Rite Corp. .............................................................. 7,880 39,892 Zale Corp.* .................................................................... 8,740 283,504 ------------ 3,395,777 ------------ TELECOMMUNICATIONS (1.49%) Adaptive Broadband Corp.* ...................................................... 8,830 172,185 Aspect Communication Corp.* .................................................... 11,924 245,932 Aware, Inc.* ................................................................... 5,320 204,820 Davox Corp.* ................................................................... 3,090 31,093 Plantronics, Inc.* ............................................................. 11,450 435,100 SymmetriCom, Inc.* ............................................................. 5,415 84,609 TALK.com, Inc.* ................................................................ 15,280 67,328 Viasat, Inc.* .................................................................. 5,120 114,560 ------------ 1,355,627 ------------
46
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- TRANSPORTATION (2.57%) American Freightways Corp.* .................................................... 7,070 $ 112,236 Arkansas Best Corp.* ........................................................... 3,980 61,192 Circle International Group, Inc. ............................................... 4,400 133,100 EGL, Inc.* ..................................................................... 6,730 203,582 Expeditors International, Inc. ................................................. 11,992 540,390 Forward Air Corp.* ............................................................. 4,760 167,492 Fritz Co., Inc.* ............................................................... 7,293 87,516 Group 1 Automotive, Inc.* ...................................................... 5,200 56,550 Heartland Express, Inc.* ....................................................... 6,270 108,941 Kirby Corp.* ................................................................... 5,797 113,766 Landstar Systems, Inc.* ........................................................ 2,495 111,339 MS Carriers, Inc.* ............................................................. 3,610 56,406 Offshore Logistics, Inc.* ...................................................... 5,150 92,055 Roadway Express, Inc. .......................................................... 4,670 83,767 Rollins Truck Leasing Corp. .................................................... 8,589 54,218 USFreightways Corp. ............................................................ 6,722 152,504 Werner Enterprises, Inc. ....................................................... 9,148 107,488 Yellow Corp.* .................................................................. 5,916 89,480 ------------ 2,332,022 ------------ UTILITIES (2.28%) American States Water Co. ...................................................... 3,160 95,590 Atmos Energy Corp. ............................................................. 6,656 137,280 Avista Corp. ................................................................... 9,780 220,050 Bangor Hydro-Electric Co. ...................................................... 2,380 57,566 CH Energy Group, Inc. .......................................................... 5,530 220,509 General Communication, Inc. Cl A ............................................... 7,450 53,314 Northwestern Corp. ............................................................. 6,380 124,410 NUI Corp. ...................................................................... 4,130 124,674 Philadelphia Suburban Corp. .................................................... 8,652 200,618 Southern Union ................................................................. 9,680 191,785 Southwest Gas Corp. ............................................................ 7,049 147,588 UGI Corp. ...................................................................... 5,850 141,862 Uil Holdings Corp. ............................................................. 4,991 256,725 UniSource Energy Corp. ......................................................... 6,100 99,888 ------------ 2,071,859 ------------ VITAMINS & NUTRITION PRODUCTS (0.10%) NBTY, Inc.* .................................................................... 13,993 91,392 ------------ WATER TREATMENT (0.11%) Ionics, Inc.* .................................................................. 4,655 99,210 ------------ WIRE & CABLE PRODUCTS (0.43%) Belden, Inc. ................................................................... 6,220 146,948 Cable Design Technologies Corp.* ............................................... 10,080 245,070 ------------ 392,018 ------------
47
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- WIRELESS EQUIPMENT (0.89%) Allen Telecom, Inc.* ........................................................... 6,840 $ 109,755 DMC Stratex Networks, Inc.* .................................................... 16,190 260,052 P-Com, Inc.* ................................................................... 14,520 96,195 Proxim, Inc.* .................................................................. 6,000 267,000 Telxon Corp.* .................................................................. 4,100 71,750 ------------ 804,752 ------------ TOTAL COMMON STOCK (Cost $77,567,479) .......................................... 89,179,829 ------------ MISCELLANEOUS INVESTMENTS (1.05%) S & P Mid-Cap 400 Depository Receipts (Cost $961,629) .......................... 9,700 953,025 ------------ PRINCIPAL --------- REPURCHASE AGREEMENTS (0.86%) Fifth Third Bank, 5.78%, dated 09/29/00, due 10/02/00, repurchase price $785,313 (collateralized by FNMA Pool #505080, 7.177%, due 12/01/33, market value $800,634) (Cost $784,935) ...................................................... $784,935 784,935 ------------ TOTAL INVESTMENTS (Cost $79,314,043) (100.14%) ................................. 90,917,789 OTHER ASSETS & LIABILITIES, NET (-0.14%) ....................................... (128,659) ------------ NET ASSETS (100%) .............................................................. $ 90,789,130 ============ *Non-income producing investment ............................................... ADR -- American Depository Receipt Cost for federal income tax at September 30, 2000 was $79,314,043 and net unrealized appreciation consisted of: Gross unrealized appreciation ............................................ $ 22,890,430 Gross unrealized depreciation (11,286,684) ------------ Net unrealized appreciation .............................................. $ 11,603,746 ============ SEE NOTES TO FINANCIAL STATEMENTS.
48
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK (34.41%) AUSTRALIA (2.42%) World Equity Benchmark Securities - Australia Series ........................... 187,763 $ 1,783,748 ----------- AUSTRIA (0.22%) World Equity Benchmark Securities - Austria Series ............................. 21,135 162,475 ----------- BELGIUM (0.84%) Electrabel SA* ................................................................. 580 121,763 Fortis (B) ..................................................................... 8,570 263,559 KBC Bancassurance Holding NV* .................................................. 2,690 112,756 Solvay SA ...................................................................... 700 41,542 UCB SA ......................................................................... 1,340 46,578 World Equity Benchmark Securities - Belgium Series ............................. 2,820 36,308 ----------- 622,506 ----------- FRANCE (1.21%) World Equity Benchmark Securities - France Series .............................. 36,220 896,445 ----------- GERMANY (0.62%) World Equity Benchmark Securities - Germany Series ............................. 23,674 457,204 ----------- HONG KONG (2.24%) World Equity Benchmark Securities - Hong Kong Series ........................... 136,525 1,655,366 ----------- ITALY (1.48%) World Equity Benchmark Securities - Italy Series ............................... 51,536 1,095,140 ----------- JAPAN (9.41%) World Equity Benchmark Securities - Japan Series ............................... 524,760 6,953,070 ----------- NETHERLANDS (5.60%) ABN AMRO Holdings NV Sponsored ADR ............................................. 12,811 296,254 Akzo Nobel NV Sponsored ADR .................................................... 3,852 162,266 Elsevier NV Sponsored ADR ...................................................... 4,184 94,924 ING Groep NV Sponsored ADR ..................................................... 4,614 303,947 KLM Royal Dutch Air Lines NV ADR ............................................... 3,539 66,135 Koninklijke Ahold NV Sponsored ADR ............................................. 10,443 294,362 Koninklijke Philips Electronics ADR ............................................ 15,683 666,528 Oce NV Sponsored ADR ........................................................... 8,325 132,159 Royal Dutch Petroleum Co. ADR .................................................. 24,778 1,485,131 Royal PTT Nederland NV ADR ..................................................... 9,042 195,534 Unilever NV ADR ................................................................ 6,385 308,076 Wolters Kluwer NV Sponsored ADR ................................................ 4,740 96,202 World Equity Benchmark Securities - Netherlands Series ......................... 1,590 35,775 ----------- 4,137,293 -----------
49
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- SHARES VALUE ------ ----- SINGAPORE (1.03%) World Equity Benchmark Securities - Singapore Series ........................... 110,632 $ 760,595 ----------- SPAIN (0.75%) World Equity Benchmark Securities - Spain Series ............................... 22,749 554,507 ----------- SWEDEN (0.37%) World Equity Benchmark Securities - Sweden Series .............................. 12,440 272,125 ----------- SWITZERLAND (6.10%) Adecco SA Sponsored ADR ........................................................ 2,486 204,101 Credit Suisse Group Sponsored ADR .............................................. 7,895 368,842 Nestle SA Sponsored ADR ........................................................ 7,927 825,519 Novartis AG ADR ................................................................ 42,362 1,638,880 Roche Holdings Ltd. Sponsored ADR .............................................. 10,098 888,024 UBS AG Sponsored ADR ........................................................... 4,290 581,038 ----------- 4,506,404 ----------- UNITED KINGDOM (2.12%) World Equity Benchmark Securities - United Kingdom Series ...................... 87,460 1,563,348 ----------- TOTAL COMMON STOCK (Cost $25,150,687) .......................................... 25,420,226 ----------- PRINCIPAL --------- SHORT-TERM INVESTMENTS (51.23%) FEDERAL NATIONAL MORTGAGE ASSOCIATION (20.17%).................................. due 11/09/00 ................................................................... $15,000,000 14,896,488 ----------- FEDERAL HOME LOAN MORTGAGE CORP. (31.06%) due 11/07/00 ................................................................... 3,000,000 2,980,359 due 10/10/00 ................................................................... 20,000,000 19,969,135 ----------- 22,949,494 ----------- TOTAL SHORT-TERM INVESTMENTS (Cost $37,845,982) ................................ 37,845,982 ----------- REPURCHASE AGREEMENT (2.75%) Fifth Third Bank, 5.78%, dated 09/29/00, due 10/02/00, repurchase price $2,030,869 (collateralized by FNMA Pool #505087, 6.50%, due 03/01/29, market value $2,070,489) (Cost $2,029,891) ............................................ 2,029,891 2,029,891 ----------- TOTAL INVESTMENTS (Cost $65,026,560) (88.39%) .................................. 65,296,099 OTHER ASSETS & LIABILITIES, NET (11.61%) ....................................... 8,574,371 ----------- NET ASSETS (100%) .............................................................. $73,870,470 ===========
50
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------- VALUE ----- *Non-income producing investment ADR - American Depository Receipt Cost for federal income tax at September 30, 2000 was $65,026,560 and net unrealized appreciation consisted of: Gross unrealized appreciation ............................................ $ 1,231,277 Gross unrealized depreciation ............................................ (961,738) ----------- Net unrealized appreciation .............................................. $ 269,539 ===========
FUTURES CONTRACTS OUTSTANDING - SEPTEMBER 30, 2000 ---------------------------------------------------------------------------------------------------------------- Unrealized Total Value Appreciation Number of Contracts (U.S. Dollars) (Depreciation) -------------------- -------------- -------------- 117 CAC 40, delivery date 10/31/00 ............................................. $ 6,496,845 $ (457,220) 34 DAX, delivery date 12/15/00 ................................................. 5,156,107 (267,582) 139 FTSE 100, delivery date 12/15/00 ........................................... 13,063,616 (571,693) 15 IBEX, delivery date 10/20/00 ................................................ 1,447,317 (56,680) 9 MIB 30, delivery date 12/15/00 ............................................... 1,814,375 (121,706) 182 NIKKEI 225, delivery date 12/7/00 .......................................... 13,284,518 (906,983) 137 OMX, delivery date 10/27/00 ................................................ 1,742,899 (132,340) 136 Currency futures expire 12/18/00-Euro ...................................... 15,051,800 249,900 111 Currency futures expire 12/18/00-Japanese Yen .............................. 13,005,038 (160,950) 140 Currency futures expire 12/18/00-British Pound ............................. 12,923,750 565,750 ----------- ----------- $83,986,265 $(1,859,504) =========== ===========
SEE NOTES TO FINANCIAL STATEMENTS. 51
THE CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------------------------------ MONEY MARKET SHORT-TERM BOND LARGE CAP SMALL CAP INTERNATIONAL FUND BOND FUND FUND EQUITY FUND EQUITY FUND FUND ------------------------------------------------------------------------------- ASSETS: Investments, at value (identified cost $19,211,879, $28,534,484, $79,582,443, $189,069,553, $79,314,043 and $65,026,560 respectively) (Note 2) $19,211,879 $28,493,185 $77,382,921 $198,319,696 $90,917,789 $65,296,099 Deposits with brokers -- -- -- -- -- 3,328,059 Receivables: Investments sold -- -- -- -- 196,422 -- Funds shares sold 527,301 -- 131 9,574 162,873 12,000,515 Dividends and interest 102,132 447,127 1,207,792 149,438 44,745 14,356 Variation margin receivable -- -- -- -- -- 75,875 Prepaid expenses 15,387 14,581 23,468 28,607 21,698 17,259 ----------- ----------- ----------- ------------ ----------- ----------- Total assets 19,856,699 28,954,893 78,614,312 198,507,315 91,343,527 80,732,163 ----------- ----------- ----------- ------------ ----------- ----------- LIABILITIES: Payables: Investments purchased $ -- $ -- $ -- $ -- $ -- $ 6,836,589 Distributions payable 3,232 -- -- -- -- -- 12b-1 fees 2 4 1,163 1,960 444 326 Fund shares redeemed -- -- 3,831 6,529 525,530 988 Due to Advisor 1,117 3,817 2,862 14,054 9,114 5,511 Accrued expenses 12,877 11,281 29,961 59,108 19,309 18,279 ----------- ----------- ----------- ------------ ----------- ----------- Total liabilities 17,228 15,102 37,817 81,651 554,397 6,861,693 ----------- ----------- ----------- ------------ ----------- ----------- NET ASSETS $19,839,471 $28,939,791 $78,576,495 $198,425,664 $90,789,130 $73,870,470 =========== =========== =========== ============ =========== =========== NET ASSETS CONSIST OF: Paid-in capital $19,839,471 $29,170,170 $81,344,775 $182,482,467 $69,303,234 $74,719,394 Undistributed net investment income -- 41,772 97,249 9,636 -- 47,303 Undistributed realized gain (loss) on investments -- (230,852) (666,007) 6,683,418 9,882,150 696,925 Net unrealized appreciation (depreciation) on: Investments -- (41,299) (2,199,522) 9,250,143 11,603,746 (1,589,965) Translation of assets and liabilities in foreign currencies -- -- -- -- -- (3,187) ----------- ----------- ----------- ------------ ----------- ----------- Net Assets $19,839,471 $28,939,791 $78,576,495 $198,425,664 $90,789,130 $73,870,470 =========== =========== =========== ============ =========== =========== CLASS A SHAARES (NOTE 1) Net assets for 34,379, 1,076, 277,431, 307,924, 70,354 and 67,191 shares outstanding, respectively $ 34,379 $ 26,583 $ 6,521,024 $ 10,619,367 $ 2,428,801 $ 1,748,773 Net asset value, offering and redemption price per Class A Share $ 1.00 $ 24.70 $ 23.51 $ 34.49 $ 34.52 $ 26.03 CLASS C SHARES (NOTE 1): Net assets for 19,805,092, 1,168,750, 3,057,231, 5,433,299, 2,554,399, and 2,767,454 shares outstanding, respectively $19,805,092 $28,913,208 $72,055,471 $187,806,297 $88,360,329 $72,121,697 Net asset value, offering and redemption price per Class C share $ 1.00 $ 24.74 $ 23.57 $ 34.57 $ 34.59 $ 26.06
SEE NOTES TO FINANCIAL STATEMENTS. 52
THE CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND STATEMENTS OF OPERATIONS FOR THE YEAR ENDED SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------------------------------ MONEY MARKET SHORT-TERM BOND LARGE CAP SMALL CAP INTERNATIONAL FUND BOND FUND FUND EQUITY FUND EQUITY FUND FUND ------------------------------------------------------------------------------- INVESTMENT INCOME: Interest $ 1,221,493 $ 1,605,694 $ 4,331,525 $ 38,343 $ 22,020 $ 1,680,902 Dividends (net of foreign taxes withheld of $2,806 for the International Fund) -- -- -- 1,913,418 566,612 665,033 Other income -- -- 1,000 -- -- -- ----------- ----------- ----------- ------------ ----------- ----------- Total Investment Income 1,221,493 1,605,694 4,332,525 1,951,761 588,632 2,345,935 ----------- ----------- ----------- ------------ ----------- ----------- EXPENSES: Investment advisory fees (Note 4) 20,470 40,290 108,940 248,902 116,748 68,290 Administration fee (Note 4) 10,235 13,430 36,313 82,968 38,916 22,763 Accounting fee (Note 4) 25,500 25,290 25,290 25,500 25,500 25,500 Custodian fees 2,347 3,018 8,763 35,463 30,829 8,953 Transfer agency fees 11,607 6,810 12,154 18,952 11,763 6,621 Distribution fees - Class A (Note 4) 21 29 5,532 9,798 2,075 1,613 Trustee expense (Note 4) 3,049 1,216 6,507 18,105 4,513 7,621 Audit fees 754 1,011 11,686 29,241 13,977 4,213 Legal fees 4,513 4,513 6,582 13,245 7,115 4,513 Consulting fees 5,547 5,628 16,297 35,528 17,474 14,106 Pricing fees -- 2,979 13,317 17,464 8,907 8,544 Registration fees 16,149 17,499 34,504 57,638 27,946 21,094 Reports to shareholders 1,412 501 3,403 11,202 3,628 1,751 Other 6,211 4,828 11,529 37,673 13,779 15,944 ----------- ----------- ----------- ------------ ----------- ----------- Total expenses before waivers 107,815 127,042 300,817 641,679 323,170 211,526 Fees waived (Note 4) (7,813) -- -- -- -- -- ----------- ----------- ----------- ------------ ----------- ----------- Total expenses, net 100,002 127,042 300,817 641,679 323,170 211,526 ----------- ----------- ----------- ------------ ----------- ----------- Net investment income 1,121,491 1,478,652 4,031,708 1,310,082 265,462 2,134,409 ----------- ----------- ----------- ------------ ----------- ----------- REALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: Net realized gain (loss) on: Investments -- (192,748) (531,539) 6,749,842 10,836,022 70,225 Foreign currency transactions -- -- -- -- -- (39,062) Net unrealized appreciation (depreciation) during the period on: Investments -- 211,860 1,626,881 9,497,975 5,625,757 (3,516,520) Translation of assets and liabilities in foreign currencies -- -- -- -- -- (13,237) ----------- ----------- ----------- ------------ ----------- ----------- Net gain (loss) on investments and currency -- 19,112 1,095,342 16,247,817 16,461,779 (3,498,594) ----------- ----------- ----------- ------------ ----------- ----------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 1,121,491 $ 1,497,764 $ 5,127,050 $ 17,557,899 $16,727,241 $(1,364,185) =========== =========== =========== ============ =========== ===========
SEE NOTES TO FINANCIAL STATEMENTS. 53
THE CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND STATEMENTS OF CHANGES IN NET ASSETS ------------------------------------------------------------------------------------------------------------------------------------ MONEY MARKET SHORT-TERM BOND LARGE CAP SMALL CAP INTERNATIONAL FUND BOND FUND FUND EQUITY FUND EQUITY FUND FUND ------------------------------------------------------------------------------- FOR THE YEAR ENDED SEPTEMBER 30, 2000 INCREASE IN NET ASSETS Operations: Net investment income $ 1,121,491 $ 1,478,652 $ 4,031,708 $ 1,310,082 $ 265,462 $ 2,134,409 Net realized gain (loss) on: Investments -- (192,748) (531,539) 6,749,842 10,836,022 70,225 Foreign currency transactions -- -- -- -- -- (39,062) Net unrealized appreciation (depreciation) during the period on: Investments -- 211,860 1,626,881 9,497,975 5,625,757 (3,516,520) Translation of assets and liabilities in foreign currencies -- -- -- -- -- (13,237) ----------- ----------- ----------- ------------ ----------- ----------- Net increase (decrease) in net assets resulting from operations 1,121,491 1,497,764 5,127,050 17,557,899 16,727,241 (1,364,185) ----------- ----------- ----------- ------------ ----------- ----------- Distributions to shareholders from: Net investment income Class A (1,165) (774) (162,134) (27,913) (1,305) (38,459) Class C (1,120,326) (1,460,726) (3,835,110) (1,298,174) (266,279) (2,069,701) Net realized gain Class A -- -- -- (6,284) (1,392) (2,594) Class C -- -- (249) (3,639,024) (3,485,889) (4,700,568) ----------- ----------- ----------- ------------ ----------- ----------- Total Distributions (1,121,491) (1,461,500) (3,997,493) (4,971,395) (3,754,865) (6,811,322) ----------- ----------- ----------- ------------ ----------- ----------- Increase (decrease) in net assets from Fund share transactions (Note 5) (3,344,992) 2,975,691 17,103,245 53,357,287 10,244,483 40,197,759 ----------- ----------- ----------- ------------ ----------- ----------- Increase (decrease) in net assets (3,344,992) 3,011,955 18,232,802 65,943,791 23,216,859 32,022,252 NET ASSETS: Beginning of period 23,184,463 25,927,836 60,343,693 132,481,873 67,572,271 41,848,218 ----------- ----------- ----------- ------------ ----------- ----------- End of period $19,839,471 $28,939,791 $78,576,495 $198,425,664 $90,789,130 $73,870,470 =========== =========== =========== ============ =========== ===========
SEE NOTES TO FINANCIAL STATEMENTS. 54
THE CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND STATEMENTS OF CHANGES IN NET ASSETS ------------------------------------------------------------------------------------------------------------------------------------ MONEY MARKET SHORT-TERM BOND LARGE CAP SMALL CAP INTERNATIONAL FUND BOND FUND FUND EQUITY FUND EQUITY FUND FUND ------------------------------------------------------------------------------- FOR THE YEAR ENDED SEPTEMBER 30, 1999 INCREASE IN NET ASSETS Operations: Net investment income $ 1,102,144 $ 765,470 $ 2,889,613 $ 649,519 $ 347,618 $ 1,341,924 Net realized gain (loss) on: Investments -- (38,104) (134,219) 3,578,884 2,533,409 929,505 Foreign currency transactions -- -- -- -- -- 6,307,728 Net unrealized appreciation (depreciation) during the period on: Investments -- (253,159) (3,826,403) (247,832) 5,977,989 1,926,555 Translation of assets and liabilities in foreign currencies -- -- -- -- -- 10,050 ----------- ----------- ----------- ------------ ----------- ----------- Net increase (decrease) in net assets resulting from operations 1,102,144 474,207 (1,071,009) 3,980,571 8,859,016 10,515,762 ----------- ----------- ----------- ------------ ----------- ----------- Distributions to shareholders from: Net investment income Class A (92) (9) (106) (367) (16) (120) Class C (1,102,052) (740,841) (2,826,722) (623,511) (345,480) (1,320,750) Net realized gain Class A -- -- -- -- -- (1) Class C -- -- -- -- -- (1,868,308) ----------- ----------- ----------- ------------ ----------- ----------- Total Distributions (1,102,144) (740,850) (2,826,828) (623,878) (345,496) (3,189,179) ----------- ----------- ----------- ------------ ----------- ----------- Increase in net assets from Fund share transaction (Note 5) 23,184,463 26,194,479 64,241,530 129,125,180 59,058,751 34,521,635 ----------- ----------- ----------- ------------ ----------- ----------- Increase in net assets 23,184,463 25,927,836 60,343,693 132,481,873 67,572,271 41,848,218 NET ASSETS: Beginning of period -- -- -- -- -- -- ----------- ----------- ----------- ------------ ----------- ----------- End of period $23,184,463 $25,927,836 $60,343,693 $132,481,873 $67,572,271 $41,848,218 =========== =========== =========== ============ =========== ===========
SEE NOTES TO FINANCIAL STATEMENTS. 55
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------------------------------------------------- The following tables include selected data for a share outstanding throughout each fiscal year or period and other performance information derived from financial statements. They should be read in conjunction with the financial statements and notes thereto. MONEY MARKET FUND ------------------------------------------------------------------- CLASS A CLASS C --------- --------- FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2000 1999 2000 1999 ------------- ------------- ------------- ------------- NET ASSET VALUE -- BEGINNING OF PERIOD ............. $ 1.00 $ 1.00 $ 1.00 $ 1.00 ------ ------ ------ ------ INVESTMENT OPERATIONS: Net investment income ............................ 0.05 0.05 0.06 0.05 Net realized and unrealized gain (loss) on investments and foreign currency transactions ......................... -- -- -- -- ------ ------ ------ ------ Total from investment operations ............... 0.05 0.05 0.06 0.05 ------ ------ ------ ------ Distributions: From net investment income ....................... (0.05) (0.05) (0.06) (0.05) From net realized capital gain ................... -- -- -- -- ------ ------ ------ ------ Total distributions ............................ (0.05) (0.05) (0.06) (0.05) ------ ------ ------ ------ NET ASSET VALUE -- END OF PERIOD ................... $ 1.00 $ 1.00 $ 1.00 $ 1.00 ====== ====== ====== ====== TOTAL RETURN ....................................... 5.52% 4.80% 5.64% 4.90% Ratios of expenses to average net assets: before fee waivers ............................... 0.63% 0.52% 0.53% 0.42% after fee waivers ................................ 0.59% 0.36% 0.49% 0.26% Ratios of net investment income to average net assets: before fee waivers ............................... 5.35% 4.50% 5.45% 4.60% after fee waivers ................................ 5.39% 4.66% 5.49% 4.76% Portfolio turnover rate ............................ N/A N/A N/A N/A Net assets, end of period .......................... $34,379 $14,356 $19,805,092 $23,170,107 SHORT-TERM BOND FUND ------------------------------------------------------------------- CLASS A CLASS C --------- --------- FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2000 1999 2000 1999 ------------- ------------- ------------- ------------- NET ASSET VALUE -- BEGINNING OF PERIOD ............. $24.68 $25.00 $24.72 $25.00 ------ ------ ------ ------ INVESTMENT OPERATIONS: Net investment income ............................ 1.35* 0.68 1.35 0.80 Net realized and unrealized gain (loss) on investments and foreign currency transactions ... (0.05)* (0.23) -- (0.30) ------ ------ ------ ------ Total from investment operations ............... 1.30 0.45 1.35 0.50 ------ ------ ------ ------ Distributions: From net investment income ....................... (1.28) (0.77) (1.33) (0.78) From net realized capital gains .................. -- -- -- -- ------ ------ ------ ------ Total distributions ............................ (1.28) (0.77) (1.33) (0.78) ------ ------ ------ ------ NET ASSET VALUE -- END OF PERIOD ................... $24.70 $24.68 $24.74 $24.72 ====== ====== ====== ====== TOTAL RETURN ....................................... 5.42% 1.84% 5.63% 2.05% Ratios of expenses to average net assets: before fee waivers ............................... 0.72% 0.79%(1) 0.47% 0.54%(1) after fee waivers ................................ 0.72% 0.61%(1) 0.47% 0.36%(1) Ratios of net investment income to average net assets: before fee waivers ............................... 5.25% 4.34%(1) 5.50% 4.59%(1) after fee waivers ................................ 5.25% 4.52%(1) 5.50% 4.77%(1) Portfolio turnover rate ............................ 55.28% 47.85% 55.28% 47.85% Net assets, end of period .......................... $26,583 $727 $28,913,208 $25,927,109
[FN] (1)Annualized *Based on average shares outstanding SEE NOTES TO FINANCIAL STATEMENTS 56
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------------------------------------------------- BOND FUND ------------------------------------------------------------------- CLASS A CLASS C --------- --------- FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2000 1999 2000 1999 ------------- ------------- ------------- ------------- NET ASSET VALUE -- BEGINNING OF PERIOD ............. $23.36 $25.00 $23.40 $25.00 ------ ------ ------ ------ INVESTMENT OPERATIONS: Net investment income ............................ 1.27* 1.06 1.30 1.16 Net realized and unrealized gain (loss) on investments and foreign currency transactions .. 0.11* (1.57) 0.14 (1.62) ------ ------ ------ ------ Total from investment operations ............... 1.38 (0.51) 1.44 (0.46) Distributions: From net investment income ....................... (1.23) (1.13) (1.27) (1.14) From net realized capital gain ................... -- -- -- -- ------ ------ ------ ------ Total distributions ............................ (1.23) (1.13) (1.27) (1.14) NET ASSET VALUE -- END OF PERIOD ................... $23.51 $23.36 $23.57 $23.40 ====== ====== ====== ====== TOTAL RETURN ....................................... 6.08% (2.04)% 6.34% (1.83)% Ratios of expenses to average net assets: before fee waivers ............................... 0.66% 0.62% 0.41% 0.37% after fee waivers ................................ 0.66% 0.62% 0.41% 0.37% Ratios of net investment income to average net assets: before fee waivers ............................... 5.31% 4.69% 5.56% 4.94% after fee waivers ................................ 5.31% 4.69% 5.56% 4.94% Portfolio turnover rate ............................ 25.64% 17.09% 25.64% 17.09% Net assets, end of period .......................... $6,521,024 $8,466 $72,055,471 $60,335,227 *Based on average shares outstanding LARGE CAP EQUITY FUND ------------------------------------------------------------------- CLASS A CLASS C --------- --------- FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2000 1999 2000 1999 ------------- ------------- ------------- ------------- NET ASSET VALUE -- BEGINNING OF PERIOD ............. $31.75 $25.00 $31.79 $25.00 ------ ------ ------ ------ INVESTMENT OPERATIONS: Net investment income ............................ 0.16* 0.22 0.26 0.30 Net realized and unrealized gain (loss) on investments and foreign currency transactions .. (3.68)* 6.80 3.67 6.79 ------ ------ ------ ------ Total from investment operations ............... 3.84 7.02 3.93 7.09 Distributions: From net investment income ....................... (0.22) (0.27) (0.27) (0.30) From net realized capital gain ................... (0.88) -- (0.88) -- ------ ------ ------ ------ Total distributions ............................ (1.10) (0.27) (1.15) (0.30) NET ASSET VALUE -- END OF PERIOD ................... $34.49 $31.75 $34.57 $31.79 ====== ====== ====== ====== TOTAL RETURN ....................................... 12.07% 28.10% 12.34% 28.35% Ratios of expenses to average net assets: before fee waivers ............................... 0.63% 0.63% 0.38% 0.38% after fee waivers ................................ 0.63% 0.63% 0.38% 0.38% Ratios of net investment income to average net assets: before fee waivers ............................... 0.54% 0.74% 0.79% 0.99% after fee waivers ................................ 0.54% 0.74% 0.79% 0.99% Portfolio turnover rate ............................ 36.64% 142.56% 36.64% 142.56% Net assets, end of period ..........................$10,619,367 $99,888 $187,806,297 $132,381,985
[FN] *Based on average shares outstanding SEE NOTES TO FINANCIAL STATEMENTS 57
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS -------------------------------------------------------------------------------------------------------------------------- SMALL CAP EQUITY FUND ------------------------------------------------------------------- CLASS A CLASS C --------- --------- FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2000 1999 2000 1999 ------------- ------------- ------------- ------------- NET ASSET VALUE -- BEGINNING OF PERIOD ............. $29.17 $25.00 $29.21 $25.00 ------ ------ ------ ------ INVESTMENT OPERATIONS: Net investment income ............................ 0.01* 0.14 0.11 0.16 Net realized and unrealized gain (loss) on investments and foreign currency transactions .. 6.94* 4.17 6.93 4.21 ------ ------ ------ ------ Total from investment operations ............... 6.95 4.31 7.04 4.37 ------ ------ ------ ------ Distributions: From net investment income ....................... (0.05) (0.14) (0.11) (0.16) From net realized capital gain ................... (1.55) -- (1.55) -- ------ ------ ------ ------ Total distributions ............................ (1.60) (0.14) (1.66) (0.16) ------ ------ ------ ------ NET ASSET VALUE -- END OF PERIOD ................... $34.52 $29.17 $34.59 $29.21 ====== ====== ====== ====== TOTAL RETURN ....................................... 24.68% 17.27% 24.98% 17.49% Ratios of expenses to average net assets: before fee waivers ............................... 0.66% 0.66% 0.41% 0.41% after fee waivers ................................ 0.66% 0.66% 0.41% 0.41% Ratios of net investment income to average net assets: before fee waivers ............................... 0.09% 0.31% 0.34% 0.56% after fee waivers ................................ 0.09% 0.31% 0.34% 0.56% Portfolio turnover rate ............................ 53.16% 41.02% 53.16% 41.02% Net assets, end of period .......................... $2,428,801 $28,060 $88,360,329 $67,544,211 *Based on average shares outstanding INTERNATIONAL EQUITY FUND ------------------------------------------------------------------- CLASS A CLASS C --------- --------- FOR THE YEAR FOR THE YEAR FOR THE YEAR FOR THE YEAR ENDED ENDED ENDED ENDED SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, SEPTEMBER 30, 2000 1999 2000 1999 ------------- ------------- ------------- ------------- NET ASSET VALUE -- BEGINNING OF PERIOD ............. $30.54 $25.00 $30.55 $25.00 ------ ------ ------ ------ INVESTMENT OPERATIONS: Net investment income ............................ 1.70* 0.84 1.37* 0.99 Net realized and unrealized gain (loss) on investments and foreign currency transactions .. (1.64)* 7.00 (1.24)* 6.91 ------ ------ ------ ------ Total from investment operations ............... 0.06 7.84 0.13 7.90 ------ ------ ------ ------ Distributions: From net investment income ....................... (1.14) (0.92) (1.19) (0.97) From net realized capital gain ................... (3.43) (1.38) (3.43) (1.38) ------ ------ ------ ------ Total distributions ............................ (4.57) (2.30) (4.62) (2.35) ------ ------ ------ ------ NET ASSET VALUE -- END OF PERIOD ................... $26.03 $30.54 $26.06 $30.55 ====== ====== ====== ====== TOTAL RETURN ....................................... (1.22)% 31.98% (0.98)% 32.23% Ratios of expenses to average net assets: before fee waivers ............................... 0.71% 0.64% 0.46% 0.39% after fee waivers ................................ 0.71% 0.64% 0.46% 0.39% Ratios of net investment income to average net assets: before fee waivers ............................... 4.44% 3.12% 4.69% 3.37% after fee waivers ................................ 4.44% 3.12% 4.69% 3.37% Portfolio turnover rate ............................ 48.13% 52.42% 48.13% 52.42% Net assets, end of period .......................... $1,748,773 $10,038 $72,121,697 $41,838,180
[FN] *Based on average shares outstanding SEE NOTES TO FINANCIAL STATEMENTS. 58 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------- (1) ORGANIZATION The Capstone Social Ethics and Religious Values Fund (the "Trust") was organized as a Massachusetts business trust on April 13, 1998 and is registered under the Investment Company Act of 1940 (the "1940 Act") as a diversified open-end management investment company. The Trust currently consists of six diversified series: the Money Market Fund, the Short-Term Bond Fund, the Bond Fund, the Large Cap Equity Fund, the Small Cap Equity Fund, and the International Fund (each a "Fund" and collectively the "Funds"). Between the date of organization and October 1, 1998, the Funds had no operations other than those relating to organizational matters and the sale of 1 Class A share and 1 Class C share of the Large Cap Equity Fund to Capstone Asset Management Company ("Capstone"), the Trust's adviser and administrator for $50, and the sale of 4,000 Class C shares of the Large Cap Equity Portfolio to another shareholder for $100,000. On October 1, 1998 each of the Funds acquired the net assets of separate Portfolios of a tax-exempt business trust which had been managed by Capstone. Each of these Portfolios had been managed following investment objectives similar to those of the Funds and their net assets consisted principally of investment securities. Class C shares of each Fund issued to affect these acquisitions were distributed to each of the Portfolios' beneficiaries in complete liquidation of the business trust. The trust is authorized to issue an unlimited number of shares of beneficial interest of $1.00 Par value. The Fund currently offers two Classes of shares ("Class A" and "Class C"). Each Class of shares has equal rights as to earnings, assets and voting privileges, except that each Class bears different distribution expenses. Each Class of shares has exclusive voting rights with respect to matters that affect just that Class. Income, expenses (other than expenses attributable to a specific Class) and realized and unrealized gains or losses on investments are allocated to each Class of shares based on its relative net assets. (2) INVESTMENT OBJECTIVES As a matter of fundamental investment policy, each of the Funds will invest in companies that are managed in a socially responsible manner, reflecting certain ethical and religious values. Accordingly, the Funds will not invest in companies whose primary business is the manufacturing, operation or distribution of alcohol, caffeine or tobacco products, meat processing, pornography, or casinos and other gambling concerns. The Money Market Fund's objective is to provide current income, stability of capital and liquidity by investing in other money market funds and short-term money market instruments. It seeks to maintain a constant net asset value of $1.00 per share, although there can be no assurance that this will be achieved. The Short-Term Bond Fund's objective is to provide current income and relative capital stability by attempting to match the price and yield performance (before expenses) of a blended short-term index consisting of one-third U.S. Treasury securities, one-third U.S. government securities and one-third investment grade corporate obligations with maximum maturities of three years. The Bond Fund's objective is to provide current income by attempting to match the price and yield performance (before expenses) of the Lehman Brothers Government/Corporate Bond Index. The Bond Fund will invest primarily in obligations of the U.S. Government, its agencies, and instrumentalities, and investment grade corporate obligations having a broad range of maturities. The Large Cap Equity Fund's objective is to provide capital growth and income by attempting to match the performance (before expenses) of the S & P 500 Index. The Large Cap Equity Fund will invest primarily in the common stocks of large companies whose securities are widely held and have an active trading market. The Small Cap Equity Fund's objective is to provide capital appreciation by attempting to match the performance (after expenses) of the S & P SmallCap 600 Index which consists of 600 stocks with smaller capitalization than those included in the S & P 500 Index. The Small Cap Equity Fund will invest primarily in equity securities of the type that are included in the index. The International Fund's objective is to provide capital appreciation by attempting to match the performance and yield characteristics of the Morgan Stanley Capital International Europe, Australia, Far East Index, net of withholding taxes. The International Fund will invest primarily in securities with characteristics generally comparable to those included in this index or whose performance is expected to be comparable. 59 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------- (3) SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements. A. SECURITY VALUATION Portfolio equity securities which are primarily traded on security exchanges are valued at the last sale price on that exchange or, if there is no recent last sale price available, at the last current bid quotation. A security which is listed or traded on more than one exchange is valued at the quotation on the exchange determined to be the primary market for such security. All other equity securities not so traded are valued at the last current bid quotation prior to the time of valuation. Securities held by the Money Market Fund and other money market securities held by the other Funds are valued using the amortized cost method of valuation, which in the opinion of the Board of Trustees reflects fair value. Other debt securities are valued by using market quotations or independent pricing services which use prices provided by market makers or estimates of market values obtained from yield data relating to instruments or securities with similar characteristics. Other securities, including restricted securities, and other assets are valued at fair value as determined in good faith by the Board of Trustees. B. FOREIGN CURRENCY TRANSLATION Portfolio securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the exchange rate of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities and income items denominated in foreign currencies are translated into U.S. dollars at the exchange rate in effect on the transaction date. The Funds do not separately report the effect of changes in foreign exchange rates from changes in market prices on securities held. Such changes are included in net realized and unrealized gain or loss from investments. Realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions and the difference between the recorded amounts of dividends, interest and foreign withholding taxes, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains or losses arise from changes in foreign exchange rates on foreign currency denominated assets and liabilities other than investments in securities held at the end of the reporting period. C. FEDERAL INCOME TAXES It is the policy of the Funds to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of their taxable income to their shareholders in a manner which results in no tax to the Funds. Therefore, no federal income or excise tax provisions are required. D. SECURITY TRANSACTIONS, INCOME AND DISTRIBUTIONS Security transactions are accounted for on the trade date. Realized gains and losses on security transactions are determined on the specific identification basis. Interest income on debt securities is recorded on the accrual basis. Discounts and premiums on debt securities are amortized to income over their respective lives. Dividends and distributions to shareholders are recorded on the ex-dividend date. 60 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------- E. FORWARD EXCHANGE CONTRACTS The Funds may enter into forward exchange contracts to hedge against foreign currency exchange risks. These contracts are valued daily and any appreciation or depreciation therein is included in the statement of assets and liabilities. Realized and unrealized gains and losses are included in the statement of operations. F. FUTURES CONTRACTS The Funds may invest in financial futures contracts. Upon entering into a futures contract the Fund is required to deposit with its futures broker cash or other securities equal to a certain percentage of the futures contract amount ("initial margin"). During the term of the futures contract payments are exchanged daily between the Fund and the futures broker in amounts equal to the appreciation or depreciation in the value of the futures contract ("variation margin"). The Funds recognize gains or losses equal to the variation margin payments paid or received. Futures contracts involve market risks in excess of the amounts recognized in the statement of assets and liabilities, Additionally, there is a risk that a Fund may not be able to enter into a closing transaction because of an illiquid secondary market. On September 30, 2000 the International Fund had cash of $3,328,059 held by its futures broker as initial margin. G. REPURCHASE AGREEMENTS In connection with transactions in repurchase agreements, it is the Funds' policy that their custodian bank take possession of the underlying collateral securities, the fair value of which must be equal to the principal amount of the repurchase agreement including accrued interest throughout the term of the repurchase agreement. If the seller defaults and the fair value of the collateral declines, realization of the collateral by the Funds may be delayed or limited. H. ORGANIZATION EXPENSES Capstone has agreed to bear all of the costs incurred in connection with the organization and registration of the Trust's shares. I. USE OF ESTIMATES In preparing financial statements in accordance with generally accepted accounting principles, management is required to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements. Actual results could differ from those estimates. 61 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2000 -------------------------------------------------------------------------------- (4) INVESTMENT ADVISER AND ADMINISTRATOR Capstone serves as each Fund's adviser and administrator. Pursuant to the terms of the Investment Advisory Agreement, Capstone shall have full discretion to manage the assets of the Funds in accordance with their investment objectives. As compensation for its services each Fund pays Capstone, on a monthly basis, an investment advisory fee. The advisory fees for the Money Market Fund are calculated at the annual rate of 0.10% of the Money Market Fund's average daily net assets. The advisory fees for all of the other Funds are calculated at the annual rate of 0.15% on the first $500 million of the other Funds' collective average daily net assets and then allocated to each Fund based upon relative net assets. The rate declines to 0.10% on the next $250 million of average daily net assets, 0.075% on the next $250 of average daily net assets, and to 0.05% on collective average daily net assets in excess of $1 billion. Pursuant to the terms of the Administration Agreement, Capstone will supervise the Fund's daily business affairs, coordinate the activities of persons providing services to the Fund, and furnish office space and equipment to the Fund. As compensation for its services Capstone receives a monthly fee from each Fund calculated at the annual rate of 0.05% of each Fund's average daily net assets. Capstone has voluntarily agreed to waive its investment advisory and administrative fees for the Money Market Fund, resulting in waivers of investment advisory fees and administrative fees for the year ended September 30, 2000 of $7,813. These waivers are voluntary and may be discontinued at any time. Upon reaching $25 million in net assets, Capstone discontinued its waiver for the Money Market Fund. (5) DISTRIBUTION PLAN AND OTHER TRANSACTIONS WITH AFFILIATES Capstone Asset Planning Company (the "Distributor") serves as the Trust's principal underwriter pursuant to a Distribution Agreement. The Distributor is an affiliate of Capstone. The Class A shares of each Fund have adopted a Service and Distribution Plan (the "Plan") pursuant to Rule 12(b)-1 under the 1940 Act. The Plan provides that the Class A shares will make payments to the Distributor to compensate the Distributor for expenditures incurred by it in connection with the distribution of Class A shares and for the provision of certain stockholder services including but not limited to the payment of compensation to security dealers and other financial organizations to obtain various distribution related and/or administrative services for the Fund. As compensation for its services the Distributor receives a monthly fee calculated at the annual rate of 0.10% of the average daily net assets of the Class A shares of the Money Market Fund and 0.25% of the average daily net assets of the Class A shares of the other Funds. Certain officers of the Trust are also officers of Capstone and the Distributor. 62
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2000 ----------------------------------------------------------------------------------------------------------------- (6) SHARES OF CAPITAL STOCK All Funds - The authorized capital stock of the funds is unlimited in shares, with a par value of $1.00 per share. Transactions in shares of capital stock, for the period from October 1, 1999, to September 30, 2000, were as follows: CLASS A CLASS C --------- --------- SHARES AMOUNT SHARES AMOUNT ------ ------ ------ ------ MONEY MARKET FUND: Sold 56,950 $ 56,950 9,970,684 $ 9,970,684 Reinvested 1,155 1,155 1,077,053 1,077,053 Redeemed (38,082) (38,082) (14,412,752) (14,412,752) -------- ----------- ----------- ------------ Net Increase 20,023 $ 20,023 (3,365,015) $ (3,365,015) ======== =========== =========== ============ SHORT-TERM BOND FUND: Sold 1,016 $ 25,000 72,906 $ 1,794,706 Reinvested 31 764 54,858 1,346,143 Redeemed -- -- (7,762) (190,922) -------- ----------- ----------- ------------ Net Increase 1,047 $ 25,764 120,002 $ 2,949,927 ======== =========== =========== ============ BOND FUND: Sold 273,829 $ 6,379,865 1,000,227 $ 23,099,540 Reinvested 6,960 162,124 27,587 640,731 Redeemed (3,720) (87,012) (549,366) (13,092,003) -------- ----------- ----------- ------------ Net Increase 277,069 $ 6,454,977 478,448 $ 10,648,268 ======== =========== =========== ============ LARGE CAP EQUITY FUND: Sold 311,752 $10,831,512 1,744,561 $ 59,363,384 Reinvested 978 34,190 20,989 730,756 Redeemed (7,952) (269,548) (496,321) (17,333,007) -------- ----------- ----------- ------------ Net Increase 304,778 $10,596,154 1,269,229 $ 42,761,133 ======== =========== =========== ============ Sold 71,844 $ 2,389,218 475,612 $ 15,562,071 Reinvested 85 2,694 26,454 794,109 Redeemed (2,537) (83,075) (260,031) (8,420,534) -------- ----------- ----------- ------------ Net Increase 69,392 $ 2,308,837 242,035 $ 7,935,646 ======== =========== =========== ============ INTERNATIONAL FUND: Sold 66,408 $ 1,913,764 1,384,544 $ 37,878,929 Reinvested 1,518 41,053 15,283 443,548 Redeemed (1,064) (30,106) (1,767) (49,429) -------- ----------- ----------- ------------ Net Increase 66,862 $ 1,924,711 1,398,060 $ 38,273,048 ======== =========== =========== ============
63
CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2000 ----------------------------------------------------------------------------------------------------------------- All Funds - The authorized capital stock of the funds is unlimited in shares, with a par value of $1.00 per share. Transactions in shares of capital stock, for the period from October 1, 1998 (commencement of operations) to September 30, 1999, were as follows: CLASS A CLASS C --------- --------- SHARES AMOUNT SHARES AMOUNT ------ ------ ------ ------ MONEY MARKET FUND: Shares issued in connection with taxable reorganization $ -- 4,875,832 $ 4,875,832 Sold 20,520 20,520 22,595,027 22,595,027 Reinvested 91 91 1,026,431 1,026,431 Redeemed (6,255) (6,255) (5,327,183) (5,327,183) ------ -------- ---------- ------------ Net Increase 14,356 $ 14,356 23,170,107 $ 23,170,107 ====== ======== ========== ============ SHORT-TERM BOND FUND: Sold 36 $ 925 1,032,003 $ 25,782,734 Reinvested 1 9 27,239 673,311 Redeemed (8) (202) (10,494) (262,298) ------ -------- ---------- ------------ Net Increase 29 $ 732 1,048,748 $ 26,193,747 ====== ======== ========== ============ BOND FUND: Shares issued in connection with taxable reorganization $ -- 2,059,228 $ 51,480,690 Sold 366 8,672 517,213 12,697,515 Reinvested 5 106 8,655 204,413 Redeemed (9) (199) (6,313) (149,667) ------ -------- ---------- ------------ Net Increase 362 $ 8,579 2,578,783 $ 64,232,951 ====== ======== ========== ============ LARGE CAP EQUITY FUND: Shares issued in connection with taxable reorganization $ -- 921,070 $ 23,026,741 Sold 3,648 120,440 3,406,150 111,291,896 Reinvested 6 186 3,414 107,546 Redeemed (508) (17,125) (166,564) (5,404,504) ------ -------- ---------- ------------ Net Increase 3,146 $103,501 4,164,070 $129,021,679 ====== ======== ========== ============ SMALL CAP EQUITY FUND: Shares issued in connection with taxable reorganization $ -- 1,737,033 $ 43,425,834 Sold 1,005 29,884 596,450 16,165,914 Reinvested 1 16 364 10,258 Redeemed (44) (1,270) (21,483) (571,885) ------ -------- ---------- ------------ Net Increase 962 $ 28,630 2,312,364 $ 59,030,121 ====== ======== ========== ============
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CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - SEPTEMBER 30, 2000 ------------------------------------------------------------------------------------------------------------------- CLASS A CLASS C --------- --------- SHARES AMOUNT SHARES AMOUNT ------ ------ ------ ------ INTERNATIONAL FUND: Shares issued in connection with taxable reorganization $ -- 1,282,187 $32,054,682 Sold 331 10,092 83,439 2,350,109 Reinvested 4 120 3,768 106,826 Redeemed (6) (194) -- -- ---- ------- --------- ----------- Net Increase 329 $10,018 1,369,394 $34,511,617 ==== ======= ========= ===========
(7) INVESTMENT TRANSACTIONS Purchases and sales of investment securities (excluding short-term securities) by the Funds for the year ended September 30, 2000 were as follows: Purchases Sales --------- ----- Short-Term Bond Fund $ 16,514,692 $13,664,801 Bond Fund 33,935,443 16,946,558 Large Cap Equity Fund 110,376,334 60,937,763 Small Cap Equity Fund 47,297,439 41,138,887 International Fund 19,462,282 7,638,521 (8) TAX MATTERS Each Fund intends to qualify as a regulated investment company under the Internal Revenue Code and to distribute all of its taxable income, including any net realized gains on investments, to shareholders. Accordingly, no provision for federal income or excise tax has been made. Income and capital gains of the Funds are determined in accordance with both tax regulations and generally accepted accounting principles. Such may result in temporary and permanent differences between tax basis earnings and earnings reported for financial statement purposes. Temporary differences that result in over-distributions for financial statement purposes are classified as distributions in excess of net investment income or accumulated net realized gains. Permanent differences in the recognition of earnings are reclassified to additional paid-in capital. Distributions in excess of tax-basis earnings are recorded as return of capital. At September 30, 2000 the Short-Term Bond Fund had a $38,104 capital loss carryforward for Federal income tax purposes which expires in 2008 and had realized post October 31, 1999 capital losses of $192,748 which, in accordance with Federal income tax requirements, have been deferred until the first day of the Fund's fiscal year ended September 30, 2001. At September 30, 2000 the Bond Fund had a $134,468 capital loss carryforward for Federal income tax purposes which expires in 2008 and had realized post October 31, 1999 capital losses of $531,539 which, in accordance with Federal income tax requirements, have been deferred until the first day of the Fund's next fiscal year ended September 30, 2001. At September 30, 2000 the International Fund had realized post October 31, 1999 capital losses of $1,963,213 and foreign currency losses of $16,156 which, in accordance with Federal income tax requirements, have been deferred until the first day of the Fund's next fiscal year ended September 30, 2001. 65 REPORT OF INDEPENDENT CERTIFIED PUBLIC ACCOUNTANTS -------------------------------------------------------------------------------- TO THE SHAREHOLDERS AND BOARD OF TRUSTEES OF CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND HOUSTON, TEXAS We have audited the accompanying statements of assets and liabilities of Capstone Social Ethics and Religious Values Fund (comprising, respectively, the Money Market Fund, the Short-Term Bond Fund, the Bond Fund, the Large Cap Equity Fund, the Small Cap Equity Fund, and the International Fund), including the portfolios of investments, as of September 30, 2000, the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of periods indicated thereon. These financial statements and financial highlights are the responsibility of the Fund'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. Our procedures included confirmation of securities owned as of September 30, 2000, 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 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 Funds comprising Capstone Social Ethics and Religious Values Fund as of September 30, 2000, the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for for each of the periods presented in conformity with generally accepted accounting principles. BRIGGS, BUNTING & DOUGHERTY, LLP PHILADELPHIA, PENNSYLVANIA OCTOBER 27, 2000 66 [THIS PAGE INTENTIONALLY LEFT BLANK] [LOGO] CAPSTONE SERV FUNDS ------------------------------------ | EQUITY | | *LARGE CAP EQUITY FUND | | *SMALL CAP EQUITY FUND | ------------------------------------ ----------------------------------- | FIXED INCOME | | *MONEY MARKET FUND | | *SHORT-TERM BOND FUND | | *BOND FUND | ----------------------------------- ----------------------------------- | INTERNATIONAL | | *INTERNATIONAL FUND | ----------------------------------- For more complete information about the SERV Funds, including charges and expenses, contact the Distributor at the address below to receive a prospectus. Please read it carefully before you invest or send money. CAPSTONE ASSET PLANNING COMPANY 5847 SAN FELIPE, SUITE 4100 HOUSTON, TEXAS 77057 1-800-262-6631