N-CSR 1 ncsr-1203.txt CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND ========================= OMB APPROVAL ------------------------- OMB Number: 3235-0570 Expires: Nov. 30, 2005 Estimated average burden hours per response: 5.0 ========================= UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-08749 --------------------------------------------- The Capstone Social Ethics & Religious Values Fund -------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 5847 San Felipe, Suite #4100 Houston, TX 77057 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) InCap Service Company, Willow Grove, PA 19090-1904 -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 954-217-7999 ---------------------------- Date of fiscal year end: 09/30/2003 --------------------- Date of reporting period: 09/30/2003 --------------------- ITEM 1. REPORTS TO SHAREHOLDERS CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND Dear Shareholder: We are pleased to present the annual report for Capstone Social Ethics and Religious Values Fund for the year ended September 30, 2003. ECONOMIC OVERVIEW The third quarter 2003 was one in which it appeared that both the economy and the equity market demonstrated that the signs of recovery were indeed pointing toward continued growth, but there were also many financial markets and world events about which the U.S. stock and bond markets could find reason to worry. These issues include some familiar themes such as: events in the Middle East, an over extended consumer, rising mortgage rates, a falling dollar, and the lack of job growth. We expect the economic stimulus that began to take place months ago (and continues now) to pave the way for continued economic growth, increased earnings, and a rising equity market. Evidence that job growth is beginning to pick up is becoming more visible. For example, the demand for temporary help is rising. This is usually a precursor to establishment of permanent jobs. Hiring plans by the small business sector have risen sharply. In addition, it would appear that new claims for unemployment have peaked. A concern parallel to employment has been business capital spending. In this area as well, signs of life are beginning to appear. During the second quarter, spending on Information Technology ("IT") grew at an annual rate of 16%. This is important for two reasons: 1) IT spending now constitutes a significant portion of all capital spending, and 2) IT spending represents the bulk of capital expenditures in the service sector. IT spending in the service sector is important because services have long replaced manufacturing as the most significant component of economic activity. Secondly, increased IT spending will lead to increased productivity which contributes to maintaining a stable price level. Equity markets responded positively in anticipation of better economic times to come. For the third quarter, the S&P 500 was up 2.64%, bringing the year-to-date increase up to 14.71%. The third quarter also brought a reversal of the results from the second quarter in that higher-quality, more profitable companies out performed lower-quality, less profitable companies. As this commentary is written, the equity market is up 20% year-to-date, and is up 34% from the bear market low reached in October of last year. The S&P 500 is still 30% below its all time high reached in March of 2000. We find the markets recovery encouraging, and its drop from those highs as an opportunity to capture more upside going forward. The economic and equity market recovery have taken place against a backdrop of continued low inflation and an accommodating Federal Reserve. The prospect of rising rates as the economy improves remains one of our concerns. Domestic credit markets were extremely volatile during the third quarter of this year and posted negative returns. While not producing substantial losses, the negative returns are significant because they break an impressive string of positive U.S. bond market quarters. The last negative quarter for bond investors was the first quarter of 2002. The Lehman Brothers Government/Credit Bond Index reported a -0.50% total return last quarter, but is still up 4.70% year-to-date. The negative price changes were the result of wild swings in interest rates during the past three months. Specifically, the ten-year U.S. Treasury note rose from a low of 3.52% to a high of 4.60%, only to settle in the middle of the range at 3.94%. The driving positive force behind the bond market's steady performance the last couple of quarters has been the corporate sector. Year-to-date, the corporate sector of the Lehman Bond Index has risen 7.62%, and was relatively unchanged last quarter. By comparison, the mortgage-back sector has only returned 2.11% year-to-date. Within the corporate sector, lower rated issues have dramatically outperformed higher rated issues. While AA-rated bonds have returned a healthy 4.79% year-to-date, in line with the overall market, BAA-rated securities have returned 10.46% year-to-date, with an additional 0.27% last quarter. The volatility the past quarter may be indicative of the key element of the near-term bond market. At this time, the Federal Reserve Board policymakers have officially stated their intentions to keep short-term interest rate targets steady at current levels. The Federal Reserve is mainly responsible for assuring financial integrity and fostering a climate of economic growth. In this regard, policymakers have determined that the risks of economic stagnation and 'disinflation' are greater risks than inflation, and this is why they voted to reduce short-term rate targets 0.25% at their June meeting and to signal the markets that the Board's bias was to hold rates at that level for a period of time going forward. As long as the Federal Reserve Board maintains this position, short-term interest rates will remain at historically low levels. This monetary policy does not necessarily lock longer rates in place. In an attempt to 'get ahead of the market,' Bond market participants will try to anticipate when the policymakers will alter their current position and reverse short-term interest rate targets. As a result, we expect bond market prices to fluctuate widely as economic data is filtered by the market as to the future growth and well being of economic activity. We sincerely appreciate your trust and confidence in us and look forward to continuing our relationship with you for many years to come. Sincerely, /s/ Edward L. Jaroski /s/ Dan E. Watson Edward L. Jaroski Dan E. Watson President and Chairman of the Board Executive Vice President COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND (SHORT-TERM BOND FUND VS. A CUSTOM INDEX*) [GRAPH] FUND - CLASS A FUND - CLASS C CUSTOM INDEX 1/5/1999 10,000 10,000 10,000 03/31/99 9,985 10,046 10,088 06/30/99 10,089 10,100 10,151 09/30/99 10,184 10,205 10,269 12/31/99 10,238 10,262 10,349 03/31/00 10,345 10,377 10,477 06/30/00 10,504 10,542 10,648 09/30/00 10,735 10,779 10,899 12/31/00 10,993 11,045 11,180 03/31/01 11,309 11,368 11,513 06/30/01 11,434 11,502 11,667 09/30/01 11,781 11,855 12,073 12/31/01 11,839 11,929 12,169 03/31/02 11,840 11,934 12,171 06/30/02 12,109 12,211 12,458 09/30/02 12,329 12,441 12,742 12/31/02 12,440 12,560 12,916 03/31/03 12,511 12,638 13,048 06/30/03 12,558 12,695 13,212 09/30/03 12,528 12,672 13,283 Past performance can not guarantee future results. Average Annual Total Return as of September 30, 2003 One Year Since Inception 01/04/99 Class A 1.61% 4.87% Class C 1.86% 5.13% Custom Index 4.24% 6.17% * The 1-3 Year Blended Index is calculated by weighting each of the following indexes equally: (1) Merrill Lynch 1-3 Year Treasury Index, an unmanaged index consisting of coupon-bearing Treasury Issues exclusive of flower bonds with a maturity of 1-2.9 years; (2) Merrill Lynch 1-3 year Government Agency Index, an unmanaged index consisting of coupon-bearing debt of agencies of the U.S. Government with a maturity of 1-2.9 years, excluding agency pass-throughs, CMOs and flower bonds; and (3) Merrill Lynch 1-3 Year Investment Grade Corporate Index, an unmanaged index consisting of investment grade (BB/Baa or better) corporate debt representing a cross-section of industries with maturities ranging from 1-2.9 years. The investment return and principal value of an investment will fluctuate and, therefore, an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund's performance includes reinvestment of income and capital gains distributions, if any. All market indices are unmanaged. It is not possible to invest directly in any index. COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND (BOND FUND VS. THE LEHMAN BROTHERS GOVERNMENT/CREDIT BOND INDEX*) [GRAPH] FUND - CLASS A FUND - CLASS C LEHMAN BROTHERS 10/1/1998 10,000 10,000 10,000 12/31/98 9,964 10,017 10,013 03/31/99 9,748 9,878 9,893 06/30/99 9,738 9,751 9,785 09/30/99 9,795 9,816 9,838 12/31/99 9,736 9,763 9,797 03/31/00 9,990 10,027 10,059 06/30/00 10,121 10,163 10,205 09/30/00 10,391 10,438 10,498 12/31/00 10,837 10,896 10,959 03/31/01 11,157 11,222 11,309 06/30/01 11,160 11,236 11,343 09/30/01 11,696 11,781 11,883 12/31/01 11,667 11,758 11,890 03/31/02 11,608 11,705 11,835 06/30/02 12,061 12,168 12,278 09/30/02 12,717 12,835 12,978 12/31/02 12,873 13,010 12,916 03/31/03 13,064 13,209 13,048 06/30/03 13,424 13,579 13,212 09/30/03 13,268 13,430 13,283 Past performance can not guarantee future results. Average Annual Total Return as of September 30, 2003 One Year Since Inception 09/30/98 Class A 4.33% 5.82% Class C 4.64% 6.08% Lehman Brothers Government/ Credit Bond Index 2.35% 5.84% * The Lehman Brothers Government/Credit Bond Index is comprised of U.S. Treasury obligations, U.S. government agency/instrumentality obligations, investment grade corporate obligations (industrial, utility, and finance, including both U.S. and non-U.S. corporations) and non-corporates (sovereign, supranational, foreign agencies, and foreign local governments). The investment return and principal value of an investment will fluctuate and, therefore, an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund's performance includes reinvestment of income and capital gains distributions, if any. All market indices are unmanaged. It is not possible to invest directly in any index. COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND (LARGE CAP EQUITY FUND VS. THE S&P 500 COMPOSITE STOCK PRICE INDEX*) [GRAPH] FUND - CLASS A FUND - CLASS C S&P 500 10/1/1998 10,000 10,000 10,000 12/31/98 12,090 12,082 12,130 03/31/99 12,715 12,727 12,734 06/30/99 13,616 13,633 13,632 09/30/99 12,810 12,835 12,780 12/31/99 14,697 14,731 14,682 03/31/00 14,983 15,032 15,018 06/30/00 14,468 14,519 14,619 09/30/00 14,357 14,419 14,478 12/31/00 13,250 13,319 13,345 03/31/01 11,711 11,778 11,763 06/30/01 12,367 12,448 12,451 09/30/01 10,531 10,608 10,623 12/31/01 11,642 11,735 11,758 03/31/02 11,638 11,735 11,790 06/30/02 10,027 10,118 10,210 09/30/02 8,322 8,401 8,446 12/31/02 9,048 9,145 9,159 03/31/03 8,765 8,864 8,871 06/30/03 10,020 10,143 10,236 09/30/03 10,284 10,410 10,507 Past performance can not guarantee future results. Average Annual Total Return as of September 30, 2003 One Year Since Inception 09/30/98 Class A 23.57% 0.56% Class C 23.92% 0.81% S&P Composite Stock Price Index 24.40% 0.99% * The S&P 500 Index consists of 500 common stocks of large companies whose securities are widely held and have an active trading market. Each security's weight in index is proportional to its market value. Thus, the largest stocks included in the index will comprise a disproportionate portion of the value of the index. The securities in the index represent a variety of industries. Most securities in the index are listed on the New York Stock Exchange, but NASDAQ and American Stock Exchange securities are also represented. "Equity securities" include common stocks (including SPDRs), preferred stocks and securities convertible or exchangeable for common stock. The investment return and principal value of an investment will fluctuate and, therefore, an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund's performance includes reinvestment of income and capital gains distributions, if any. All market indices are unmanaged. It is not possible to invest directly in any index. COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND (SMALL CAP EQUITY FUND VS. THE S&P SMALLCAP 600 INDEX*) [GRAPH] FUND - CLASS A FUND - CLASS C S&P 600 10/1/1998 10,000 10,000 10,000 12/31/98 11,699 11,731 11,760 03/31/99 10,656 10,688 10,702 06/30/99 12,286 12,303 12,352 09/30/99 11,727 11,749 11,754 12/31/99 13,310 13,341 13,219 03/31/00 14,083 14,127 13,987 06/30/00 14,183 14,237 14,129 09/30/00 14,621 14,683 14,595 12/31/00 14,881 14,958 14,778 03/31/01 13,202 13,784 13,809 06/30/01 15,523 15,619 15,699 09/30/01 12,866 12,958 13,049 12/31/01 15,531 15,652 15,746 03/31/02 16,559 16,693 16,842 06/30/02 15,456 15,593 15,744 09/30/02 12,653 12,767 12,816 12/31/02 13,248 13,405 13,445 03/31/03 12,490 12,644 12,665 06/30/03 14,804 14,998 15,182 09/30/03 15,855 16,067 16,255 Past performance can not guarantee future results. Average Annual Total Return as of September 30, 2003 One Year Since Inception 09/30/98 Class A 25.31% 9.66% Class C 25.85% 9.95% S&P SmallCap 600 Index 26.83% 10.20% * The S&P SmallCap 600 Index is a broadly diversified unmanaged index consisting of 600 stocks with smaller market capitalization than those included in the S&P 500 Index. The investment return and principal value of an investment will fluctuate and, therefore, an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund's performance includes reinvestment of income and capital gains distributions, if any. All market indices are unmanaged. It is not possible to invest directly in any index. COMPARISON OF CHANGE IN VALUE OF A $10,000 INVESTMENT IN CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND (INTERNATIONAL FUND VS. THE MSCI EAFE INDEX*) [GRAPH] FUND - CLASS A FUND - CLASS C MSCI EAFE 10/1/1998 10,000 10,000 10,000 12/31/98 11,961 11,973 12,075 03/31/99 12,363 12,384 12,251 06/30/99 13,157 13,173 12,571 09/30/99 13,210 13,236 13,132 12/31/99 15,122 15,159 15,371 03/31/00 15,065 15,114 15,364 06/30/00 14,156 14,194 14,764 09/30/00 13,049 13,106 13,581 12/31/00 12,512 12,575 13,174 03/31/01 10,778 10,846 11,325 06/30/01 10,595 10,663 11,135 09/30/01 9,083 9,150 9,541 12/31/01 9,691 9,772 10,194 03/31/02 9,784 9,870 10,200 06/30/02 9,556 9,641 9,912 09/30/02 7,597 7,669 7,918 12/31/02 8,077 8,163 8,409 03/31/03 7,517 7,613 7,666 06/30/03 8,323 8,436 9,054 09/30/03 8,636 8,762 9,739 Past performance can not guarantee future results. Average Annual Total Return as of September 30, 2003 One Year Since Inception 09/30/98 Class A 13.68% (2.89)% Class C 14.26% (2.61)% EAFE Index 23.00% (0.53)% * The Morgan Stanley Capital International Europe, Australia, Far East Index ("EAFE Index") is based on the prices of more than 1,000 companies listed on the stock exchanges of Europe, Australia, New Zealand and the Far East. Europe includes Austria, Belgium, Denmark, Finland, France, Germany, Italy, The Netherlands, Norway, Spain, Sweden, Switzerland, and the United Kingdom. The Far East includes Japan, Hong Kong, and Singapore/Malaysia. The index is translated into U.S. dollars and includes reinvestment of all dividends and capital gain distributions. The investment return and principal value of an investment will fluctuate and, therefore, an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund's performance includes reinvestment of income and capital gains distributions, if any. All market indices are unmanaged. It is not possible to invest directly in any index. CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- AGENCY OBLIGATIONS (31.05%) FEDERAL HOME LOAN BANK (7.56%) 3.00%, 08/15/05 $ 1,000,000 $ 1,025,614 4.125%, 05/13/05 1,000,000 1,041,545 5.19%, 10/20/03 200,000 200,428 ------------ 2,267,587 ------------ FHLMC - SINGLE FAMILY (13.46%) 2.375%, 4/15/06 4,000,000 4,036,900 ------------ FANNIE MAE - SINGLE FAMILY (10.03%) 2.55%, 02/27/06 3,000,000 3,007,710 ------------ TOTAL AGENCY OBLIGATIONS (COST $9,312,108) 9,312,197 ------------ CORPORATE BONDS (33.83%) BANKS (2.76%) Banks One Corp., 7.625%, 08/01/05 750,000 828,728 ------------ COMMUNICATIONS SERVICES (1.80%) Ameritech Capital Funding, 6.30%, 10/15/04 515,000 539,342 ------------ COMPUTER HARDWARE (2.72%) Hewlett-Packard Co., 7.15%, 06/15/05 750,000 816,402 ------------ DIVERSIFIED FINANCIAL SERVICES (17.55%) American Express Credit Corp., 4.25%, 02/07/05 1,000,000 1,036,680 Countrywide Home Loans, Inc., 6.84%, 10/22/04 1,000,000 1,054,254 Duke Capital Corp., 7.25%, 10/01/04 1,000,000 1,044,436 General Electric Capital Corp., 6.80%, 11/01/05 1,000,000 1,102,351 Household Finance Corp., 6.00%, 05/01/04 1,000,000 1,027,243 ------------ 5,264,964 ------------ MINING (3.67%) Alcoa, Inc., 7.25%, 08/01/05 1,000,000 1,099,459 ------------ PUBLISHING (2.60%) Tribune Co., 6.30%, 07/30/04 750,000 780,324 ------------ RETAIL STORES (2.73%) May Department Stores Co., 6.875%, 11/01/05 750,000 818,573 ------------ TOTAL CORPORATE BONDS (COST $9,992,957) 10,147,792 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SHORT-TERM BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- U.S. TREASURY OBLIGATIONS (33.26%) U.S. TREASURY NOTES 1.50%, 07/31/05 $ 3,000,000 $ 3,006,915 5.875%, 11/15/04 3,500,000 3,685,255 6.50%, 08/15/05 3,000,000 3,283,242 ------------ TOTAL U.S. TREASURY OBLIGATIONS (COST $9,794,925) 9,975,412 ------------ SHORT TERM INVESTMENTS (0.52%) Fifth Third Institutional Government Money Market Fund, 0.95% ** (COST $156,456) 156,456 156,456 ------------ TOTAL INVESTMENTS (COST $29,256,446) (98.66%) $ 29,591,857 OTHER ASSETS IN EXCESS OF LIABILITIES (1.34%) 401,980 ------------ NET ASSETS (100%) $ 29,993,837 ============ Cost for federal income tax at September 30, 2003 was $29,265,890 and net unrealized appreciation consisted of: Gross unrealized appreciation $ 381,442 Gross unrealized depreciation (55,475) ------------ Net unrealized appreciation $ 325,967 ============ ** Variable rate security; the rate shown represents the rate at September 30, 2003. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- AGENCY OBLIGATIONS (17.51%) FANNIE MAE (9.05%) 4.375%, 03/15/13 $ 1,000,000 $ 1,003,208 5.00%, 01/15/07 1,000,000 1,082,554 5.50%, 05/02/06 250,000 270,655 6.00%, 05/15/08 1,500,000 1,691,799 6.375%, 06/15/09 1,300,000 1,497,053 ------------ 5,545,269 ------------ FEDERAL HOME LOAN BANK (4.32%) 4.50%, 08/14/09 1,500,000 1,570,169 5.125%, 03/06/06 1,000,000 1,075,243 ------------ 2,645,412 ------------ FREDDIE MAC (4.14%) 3.875%, 02/15/05 1,000,000 1,034,453 5.00%, 05/15/04 1,200,000 1,228,699 6.375%, 08/01/11 250,000 271,973 ------------ 2,535,125 ------------ TOTAL AGENCY OBLIGATIONS (COST $10,068,933) 10,725,806 ------------ CORPORATE BONDS (38.88%) AEROSPACE/DEFENSE (1.69%) Boeing Capital Corp., 6.50%, 02/15/12 640,000 701,584 Lockheed Martin Corp., 7.25%, 05/15/06 150,000 168,698 McDonnell Douglas Corp., 6.875%, 11/01/06 150,000 165,010 ------------ 1,035,292 ------------ AGRICULTURAL BIOTECHNOLOGY (0.29%) Pharmacia Corp., 6.75%, 12/15/27 150,000 176,250 ------------ AIRLINES (0.19%) AMR Corp., 9.00%, 08/01/12 150,000 114,375 ------------ AUTO PARTS & EQUIPMENT (1.55%) AutoZone, Inc., 4.375%, 06/01/13 650,000 617,221 AutoZone, Inc., 6.50%, 07/15/08 150,000 168,457 TRW, Inc., 7.625%, 03/15/06 150,000 166,424 ------------ 952,102 ------------ AUTOMOBILE MANUFACTURERS (0.26%) DaimlerChrysler NA Holding Corp., 7.40%, 01/20/05 150,000 160,101 ------------ BANKS (7.55%) ABN Amro Bank, 7.55%, 06/28/06 150,000 171,312 Bank of America Corp., 7.80%, 02/15/10 150,000 180,187 Bank of America Corp., 4.875%, 09/15/12 500,000 509,729 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- Bank One Corp., 7.60%, 05/01/07 $ 150,000 $ 172,438 BankBoston NA, 6.375%, 04/15/08 150,000 168,949 Deutsche Bank Financial, Inc., 6.70%, 12/13/06 150,000 170,127 Dresdner Bank AG, 6.625%, 09/15/05 150,000 161,551 Dresdner Bank AG, 7.25%, 09/15/15 500,000 576,551 J.P. Morgan Chase & Co., 6.75%, 02/01/11 150,000 172,343 KeyCorp, 7.50%, 06/15/06 150,000 170,186 KFW International Finance, 4.75%, 01/24/07 175,000 188,482 National City Corp., 5.75%, 02/01/09 150,000 168,640 Southtrust Bank NA, 6.125%, 01/09/28 150,000 163,283 SunTrust Banks, Inc., 7.375%, 07/01/06 150,000 171,181 Swiss Bank Corp. NY, 7.00%, 10/15/15 650,000 779,995 Wachovia Corp., 6.605%, 10/01/25 150,000 168,993 Wells Fargo & Co., 5.10%, 05/06/18 350,000 362,590 Wells Fargo & Co., 6.875%, 04/01/06 150,000 167,509 ------------ 4,624,046 ------------ BUILDING PRODUCTS (0.35%) Vulcan Materials Co., 6.40%, 02/01/06 200,000 216,880 ------------ CHEMICALS (1.32%) Dow Chemical Co., 6.85%, 08/15/13 150,000 166,213 Du Pont EI de Nemours & Co., 8.125%, 03/15/04 150,000 154,608 Lubrizol Corp., 5.875%, 12/01/08 150,000 163,600 Rohm & Haas Co., 6.95%, 07/15/04 150,000 155,820 Sherwin-Williams Co., 6.85%, 02/01/07 150,000 169,791 ------------ 810,032 ------------ COMPUTER HARDWARE (0.54%) Hewlett-Packard Co., 7.15%, 06/15/05 150,000 163,280 International Business Machines Corp., 5.375%, 02/01/09 150,000 164,225 ------------ 327,505 ------------ CONSUMER PRODUCTS (0.28%) Clorox Co., 6.125%, 02/01/11 150,000 168,908 ------------ COSMETICS & TOILETRIES (0.32%) Procter & Gamble Co., 8.00%, 10/26/29 150,000 198,028 ------------ DIVERSIFIED FINANCIAL SERVICES (9.29%) American Express Co., 5.50%, 09/12/06 150,000 163,314 Banque Paribas NY, 8.35%, 06/15/07 150,000 175,758 Bear Stearns Cos., Inc., 6.625%, 01/15/04 150,000 152,282 Charles Schwab Corp., 8.05%, 03/01/10 150,000 177,223 CIT Group, Inc., 5.30%, 12/15/07 440,000 457,727 Citigroup, Inc., 5.80%, 03/15/04 150,000 153,093 Citigroup, Inc., 6.75%, 12/01/05 150,000 165,077 Countrywide Home Loans, Inc., 5.50%, 08/01/06 150,000 161,617 Credit Suisse First Boston USA, Inc., 6.125%, 11/15/11 150,000 164,315 General Electric Capital Corp., 4.00%, 05/30/18 500,000 481,019 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- General Motors Acceptance Corp., 6.125%, 02/01/07 $ 150,000 $ 158,810 General Motors Corp., 7.20%, 01/15/11 150,000 158,061 Goldman Sachs Group, Inc., 5.70%, 09/01/12 500,000 534,855 Goldman Sachs Group, Inc., 6.875%, 01/15/11 150,000 172,477 Household Finance Corp., 6.00%, 05/01/04 150,000 154,086 Household Finance Corp., 6.375%, 10/15/11 150,000 166,776 Household Finance Corp., 6.75%, 05/15/11 150,000 171,076 John Deere Capital Corp., 7.00%, 03/15/12 500,000 584,810 J.P. Morgan & Co., Inc., 7.625%, 09/15/04 150,000 158,710 Lehman Brothers Holdings, Inc., 6.25%, 05/15/06 150,000 165,434 Lehman Brothers, Inc., 6.625%, 02/15/08 150,000 168,663 Merrill Lynch & Co., Inc., 6.15%, 01/26/06 150,000 164,029 Merrill Lynch & Co., Inc., 8.00%, 06/01/07 150,000 172,875 Morgan Stanley, 6.75%, 04/15/11 150,000 170,263 Morgan Stanley Group, Inc., 6.875%, 03/01/07 150,000 171,378 Toyota Motor Credit Corp., 5.50%, 12/15/08 150,000 167,133 ------------ 5,690,861 ------------ DIVERSIFIED MANUFACTURING (0.58%) Honeywell International, Inc., 7.50%, 3/01/10 150,000 180,393 PPG Industries, Inc., 7.375%, 06/01/16 150,000 176,294 ------------ 356,687 ------------ FOOD & BEVERAGE (2.23%) Albertson's, Inc., 7.45%, 08/01/29 150,000 169,134 Archer-Daniels-Midland Co., 7.125%, 03/01/13 150,000 178,787 Campbell Soup Co., 6.75%, 02/15/11 150,000 173,643 General Mills, Inc., 6.00%, 02/15/12 150,000 164,547 H.J. Heinz Co., 6.00%, 03/15/08 150,000 166,960 Kellogg Co., 6.60%, 04/01/11 150,000 171,326 Kroger Co., 7.00%, 05/01/18 150,000 172,515 Safeway, Inc., 7.00%, 09/15/07 150,000 169,551 ------------ 1,366,463 ------------ FOREST PRODUCTS & PAPER (0.56%) International Paper Co., 7.625%, 01/15/07 150,000 171,806 Weyerhaeuser Co., 7.25%, 07/01/13 150,000 171,223 ------------ 343,029 ------------ HEALTHCARE PRODUCTS (0.52%) Bausch & Lomb, Inc., 6.75%, 12/15/04 150,000 156,187 Baxter International, Inc., 6.625%, 02/15/28 150,000 164,982 ------------ 321,169 ------------ INSURANCE (2.26%) Allstate Corp., 6.75%, 05/15/18 650,000 753,128 Chubb Corp., 7.125%, 12/15/07 250,000 287,311 Hartford Life, Inc., 7.65%, 06/15/27 150,000 179,132 John Hancock Financial Services, Inc., 5.625%, 12/01/08 150,000 164,742 ------------ 1,384,313 ------------ MINING (0.29%) Alcoa, Inc., 7.375%, 08/01/10 150,000 178,159 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- MULTIMEDIA (0.27%) Time Warner, Inc., 6.875%, 06/15/18 $ 150,000 $ 166,418 ------------ PHARMACEUTICALS (0.81%) Abbott Laboratories, 5.625%, 07/01/06 150,000 164,000 Bristol-Myers Squibb Co., 6.80%, 11/15/26 150,000 168,745 Wyeth, 7.90%, 02/15/05 150,000 162,278 ------------ 495,023 ------------ PIPELINES (0.76%) Consolidated Natural Gas Co., 6.625%, 12/01/08 150,000 170,507 Duke Capital Corp., 7.50%, 10/01/09 150,000 168,800 El Paso Corp., 7.00%, 05/15/11 150,000 123,750 ------------ 463,057 ------------ REAL ESTATE INVESTMENT TRUST (0.55%) EOP Operating LP, 7.25%, 02/15/18 150,000 172,655 Simon Property Group LP, 6.375%, 11/15/07 150,000 166,871 ------------ 339,526 ------------ RESEARCH & DEVELOPMENT (1.08%) Science Applications International Corp., 6.25%, 07/01/12 600,000 663,403 ------------ RETAIL STORES (0.28%) Sears Roebuck Acceptance Corp., 7.00%, 02/01/11 150,000 171,642 ------------ TELECOMMUNICATIONS (1.37%) AT&T Corp., 7.50%, 06/01/06 150,000 168,665 Bellsouth Capital Funding, 7.75%, 02/15/10 150,000 182,139 GTE Florida, Inc., 6.86%, 02/01/28, 150,000 162,530 Motorola, Inc., 6.50%, 03/01/08 150,000 163,500 Pacific Bell, 6.25%, 03/01/05 150,000 159,619 ------------ 836,453 ------------ TRANSPORTATION (0.87%) Norfolk Southern Corp., 7.35%, 05/15/07 150,000 171,519 Union Pacific Corp., 6.40%, 02/01/06 150,000 163,491 United Parcel Service, Inc., 8.375%, 04/01/20 150,000 196,562 ------------ 531,572 ------------ UTILITIES (2.82%) Carolina Power & Light Co., 5.95%, 03/01/09 150,000 166,430 Constellation Energy Group, Inc., 6.35%, 04/01/07 150,000 165,178 DTE Energy Co., 6.45%, 06/01/06 150,000 163,471 Emerson Electric Co., 5.85%, 03/15/09 150,000 168,351 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- Florida Power & Light Co., 7.00%, 09/01/25 $ 150,000 $ 155,968 Penn Electric Co., 6.125%, 04/01/09 125,000 139,580 Public Service Electric & Gas, 7.00%, 09/01/24 150,000 154,660 Southern Union Co., 7.60%, 02/01/24 150,000 165,918 Tennessee Valley Authority, 6.00%, 03/15/13 250,000 281,884 Wisconsin Energy Corp., 6.50%, 04/01/11 150,000 167,995 ------------ 1,729,435 ------------ TOTAL CORPORATE BONDS (COST $22,056,675) 23,820,729 ------------ FOREIGN BONDS (6.69%) FOREIGN CORPORATE BONDS (3.08%) Barclays Bank Plc, 7.40%, 12/15/09 150,000 181,896 Bell Canada, 9.50%, 10/15/10 150,000 189,710 British Telecommunications Plc, 8.375%, 12/15/10 150,000 184,564 Hydro-Quebec, 6.30%, 05/11/11 175,000 200,544 Inter-American Development Bank, 6.125%, 03/08/06 175,000 192,723 International Bank for Reconstruction & Development, 7.00%, 01/27/05 175,000 187,995 Landesbank Baden-Wuerttemberg Girozentrale, 7.625%, 02/01/23 175,000 218,974 National Westminster Bank Plc, 7.375%, 10/01/09 150,000 178,047 Norsk Hydro ASA, 6.70%, 01/15/18 150,000 170,999 Telefonica Europe BV, 7.75%, 09/15/10 150,000 180,302 ------------ 1,885,754 ------------ FOREIGN GOVERNMENT REGIONAL (3.61%) Canadian Government Bond, 6.375%, 11/30/04 175,000 185,559 Finland Government International Bond, 7.875%, 07/28/04 175,000 184,841 Italy Government International Bond, 7.25%, 02/07/05 175,000 188,035 Portugal Government International Bond, 5.75%, 10/08/03 175,000 175,117 Province of British Columbia, 5.375%, 10/29/08 175,000 192,497 Province of Manitoba, 4.25%, 11/20/06 175,000 184,671 Province of New Brunswick, 7.625%, 06/29/04 175,000 183,220 Province of Nova Scotia, 7.25%, 07/27/13 100,000 122,602 Province of Ontario, 5.50%, 10/01/08 175,000 192,662 Province of Quebec, 6.50%, 01/17/06 175,000 192,014 Province of Saskatchewan, 8.00%, 02/01/13 175,000 222,143 Spain Government International Bond, 7.00%, 07/19/05 175,000 191,566 ------------ 2,214,927 ------------ TOTAL FOREIGN BONDS (COST $3,702,933) 4,100,681 ------------ U.S. TREASURY OBLIGATIONS (34.84%) TREASURY BONDS (17.45%) 3.625%, 05/15/13 500,000 490,761 5.75%, 08/15/10 2,000,000 2,289,766 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND BOND FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- PRINCIPAL VALUE --------- ----- 6.25%, 08/15/23 $ 2,250,000 $ 2,630,302 6.75%, 08/15/26 1,000,000 1,243,594 7.50%, 11/15/16 1,000,000 1,305,391 7.875%, 02/15/21 2,000,000 2,732,890 ------------ 10,692,704 ------------ TREASURY NOTES (17.39%) 2.625%, 05/15/08 2,000,000 1,994,766 3.50%, 11/15/06 4,000,000 4,179,532 4.75%, 11/15/08 1,600,000 1,742,813 5.625%, 02/15/06 1,000,000 1,092,852 6.50%, 08/15/05 1,500,000 1,641,621 ------------ 10,651,584 ------------ TOTAL U.S. TREASURY OBLIGATIONS (COST $20,351,883) 21,344,288 ------------ SHORT TERM INVESTMENTS (0.95%) Fifth Third Institutional Government Money Market Fund, 0.95% ** (COST $583,682) 583,682 583,682 ------------ TOTAL INVESTMENTS (COST $56,764,106) (98.87%) $ 60,575,186 OTHER ASSETS IN EXCESS OF LIABILITIES (1.13%) 691,739 ------------ NET ASSETS (100%) $ 61,266,925 ============ Cost for federal income tax at September 30, 2003 was $56,772,276 and net unrealized appreciation consisted of: Gross unrealized appreciation $ 4,019,545 Gross unrealized depreciation (216,635) ------------ Net unrealized appreciation $ 3,802,910 ============ ** Variable rate security; rate shown represents the rate at September 30, 2003. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK (97.73%) ADVERTISING (0.27%) Interpublic Group Cos., Inc. 3,084 $ 43,546 Omnicom Group 2,390 171,722 ------------ 215,268 ------------ AEROSPACE/DEFENSE (1.68%) Boeing Co. 7,379 253,321 General Dynamics Corp. 2,390 186,563 Goodrich Corp. 631 15,295 Lockheed Martin Corp. 4,276 197,337 Northrop Grumman Corp. 2,308 198,996 Raytheon Co. 3,513 98,364 Rockwell Collins, Inc. 1,096 27,674 United Technologies Corp. 4,950 382,536 ------------ 1,360,086 ------------ AGRICULTURE (0.05%) Monsanto Co. 1,675 40,100 ------------ AIRLINES (0.17%) Delta Air Lines, Inc. 2,260 30,058 Southwest Airlines Co. 5,949 105,297 ------------ 135,355 ------------ APPAREL (0.37%) Jones Apparel Group, Inc. 1,050 31,427 Liz Claiborne, Inc. 870 29,624 Nike, Inc. 2,832 172,242 Reebok International Ltd. 470 15,712 VF Corp. 1,218 47,392 ------------ 296,397 ------------ APPLIANCES (0.14%) Maytag Corp. 690 17,229 Whirlpool Corp. 1,374 93,116 ------------ 110,345 ------------ AUTO PARTS & EQUIPMENT (0.26%) Cooper Tire & Rubber Co. 110 1,746 Dana Corp. 945 14,581 Delphi Corp. 2,654 24,019 Goodyear Tire & Rubber Co. 910 5,979 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Johnson Controls, Inc. 1,684 $ 159,306 Visteon Corp. 918 6,059 ------------ 211,690 ------------ AUTOMOBILE MANUFACTURERS (0.60%) Ford Motor Co. 12,266 132,105 General Motors Corp. 5,214 213,409 Navistar International Corp. * 710 26,469 Paccar, Inc. 1,514 113,081 ------------ 485,064 ------------ BANKS (8.04%) AmSouth Bancorp 1,820 38,620 Bank of America Corp. 14,408 1,124,400 Bank of New York Co., Inc. 6,578 191,486 Bank One Corp. 10,364 400,569 BB&T Corp. 4,810 172,727 Charter One Financial, Inc. 1,589 48,623 Comerica, Inc. 2,860 133,276 Fifth Third Bancorp 6,142 339,468 First Tennessee National Corp. 1,210 51,377 FleetBoston Financial Corp. 9,052 272,918 Golden West Financial Corp. 2,690 240,782 Huntington Bancshares, Inc. 1,162 22,996 Keycorp 2,860 73,130 Marshall & Ilsley Corp. 2,140 67,453 Mellon Financial Corp. 3,540 106,696 National City Corp. 4,984 146,829 North Fork Bancorporation, Inc. 1,350 46,912 Northern Trust Corp. 2,540 107,798 PNC Financial Services Group, Inc. 3,665 174,381 Regions Financial Corp. 2,060 70,555 SouthTrust Corp. 2,480 72,887 State Street Corp. 3,390 152,550 SunTrust Banks, Inc. 4,115 248,423 Synovus Financial Corp. 1,875 46,856 Union Planters Corp. 1,685 53,313 U.S. Bancorp 15,216 365,032 Wachovia Corp. 12,388 510,262 Washington Mutual, Inc. 8,266 325,432 Wells Fargo & Co. 15,634 805,151 Zions Bancorp 1,770 98,854 ------------ 6,509,756 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- BIOTECHNOLOGY (1.29%) Amgen, Inc. * 11,549 $ 745,719 Biogen, Inc. * 1,560 59,639 Chiron Corp. * 2,110 109,066 Genzyme Corp. * 2,110 97,587 Millipore Corp. * 710 32,703 ------------ 1,044,714 ------------ BUILDING MATERIALS (0.32%) American Standard Cos., Inc. * 1,440 121,320 Masco Corp. 3,660 89,597 Vulcan Materials Co. 1,220 48,690 ------------ 259,607 ------------ CHEMICALS (1.63%) Air Products & Chemicals, Inc. 2,398 108,150 Ashland, Inc. 715 23,488 Dow Chemical Co. 7,476 243,269 Du Pont EI de Nemours & Co. 9,544 381,855 Eastman Chemical Co. 910 30,485 Ecolab, Inc. 2,692 67,973 Engelhard Corp. 674 18,650 Great Lakes Chemical Corp. 190 3,821 Hercules, Inc. * 393 4,453 International Flavors & Fragrances, Inc. 1,436 47,503 PPG Industries, Inc. 2,205 115,145 Praxair, Inc. 2,091 129,537 Rohm & Haas Co. 1,838 61,481 Sherwin-Williams Co. 1,066 31,351 Sigma-Aldrich Corp. 1,028 53,394 ------------ 1,320,555 ------------ COMMERCIAL SERVICES (1.02%) Apollo Group, Inc. * 1,870 123,476 Cendant Corp. * 7,796 145,707 Concord EFS, Inc. * 3,550 48,528 Convergys Corp. * 1,170 21,458 Deluxe Corp. 887 35,604 Equifax, Inc. 1,290 28,728 H&R Block, Inc. 1,740 75,081 McKesson Corp. 2,699 89,850 Moody's Corp. 1,916 105,323 Paychex, Inc. 3,572 121,198 R.R. Donnelley & Sons Co. 1,238 30,789 ------------ 825,742 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMPUTER HARDWARE (4.14%) Apple Computer, Inc. * 3,098 $ 63,912 Dell Computer Corp. * 22,852 763,028 EMC Corp. * 17,118 216,200 ESC Seagate Technology * 1,255 -- Gateway, Inc. * 1,720 9,735 Hewlett-Packard Co. 25,349 490,757 International Business Machines Corp. 16,166 1,427,943 Lexmark International, Inc. * 1,570 98,926 NCR Corp. * 1,240 39,296 Network Appliance, Inc. * 2,850 58,510 Sun Microsystems, Inc. * 19,194 63,532 Veritas Software Corp. * 3,849 120,859 ------------ 3,352,698 ------------ COMPUTER SERVICES (0.44%) Computer Sciences Corp. * 2,058 77,319 Electronic Data Systems Corp. 4,370 88,274 Sungard Data Systems, Inc. * 2,510 66,038 Symantec Corp. * 1,610 101,462 Unisys Corp. * 1,740 23,542 ------------ 356,635 ------------ COMPUTER SOFTWARE (5.38%) Adobe Systems, Inc. 2,360 92,654 Autodesk, Inc. 830 14,127 Automatic Data Processing 5,900 211,515 BMC Software, Inc. * 1,800 25,074 Citrix Systems, Inc. * 1,310 28,925 Computer Associates International, Inc. 4,945 129,114 Compuware Corp. * 1,730 9,273 Electronic Arts, Inc. * 1,630 150,335 First Data Corp. 6,932 277,003 Fiserv, Inc. * 2,035 73,728 IMS Health, Inc. 1,742 36,756 Intuit, Inc. * 2,240 108,058 Mercury Interactive Corp. * 1,120 50,859 Microsoft Corp. 92,728 2,576,911 Novell, Inc. * 1,439 7,670 Oracle Corp. * 42,112 472,497 Parametric Technology Corp. * 1,200 3,744 Peoplesoft, Inc. * 2690 48,931 Siebel Systems, Inc. * 3540 34,409 ------------ 4,351,583 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- CONSUMER PRODUCTS (0.15%) American Greetings * 550 $ 10,687 Clorox Co. 2,312 106,051 Tupperware Corp. 581 7,774 ------------ 124,512 ------------ CONTAINERS (0.14%) Ball Corp. 660 35,640 Bemis Co. 745 33,004 Pactiv Corp. * 768 15,575 Sealed Air Corp. * 705 33,297 ------------ 117,516 ------------ COSMETICS & TOILETRIES (2.83%) Alberto-Culver Co. 1,120 65,878 Avon Products, Inc. 2,568 165,790 Colgate-Palmolive Co. 5,598 312,872 Gillette Co. 8,908 284,878 Kimberly-Clark Corp. 5,546 284,621 Procter & Gamble Co. 12,682 1,177,143 ------------ 2,291,182 ------------ DISTRIBUTION/WHOLESALE (0.17%) Genuine Parts Co. 1,840 58,843 W.W. Grainger, Inc. 1,750 83,213 ------------ 142,056 ------------ DIVERSIFIED FINANCIAL SERVICES (8.39%) American Express Co. 11,788 531,167 Bear Stearns Cos., Inc. 1,267 94,772 Capital One Financial Corp. 2,230 127,199 Charles Schwab Corp. 8,615 102,605 Citigroup, Inc. 45,276 2,060,511 Countrywide Financial Corp. 1,480 115,854 Fannie Mae 9,261 650,122 Federated Investors, Inc. 470 13,019 Franklin Resources, Inc. 2,460 108,757 Freddie Mac 6,418 335,982 Goldman Sachs Group, Inc. 4,910 411,949 Janus Capital Group, Inc. 1,160 16,205 J.P. Morgan Chase & Co. 17,625 605,066 Lehman Brothers Holdings, Inc. 2,480 171,318 MBNA Corp. 10,137 231,124 Merrill Lynch & Co. 8,514 455,754 Morgan Stanley 9,914 500,260 Providian Financial Corp. * 1,622 19,123 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- SLM Corp. 4,740 $ 184,670 T. Rowe Price Group, Inc. 1,300 53,638 ------------ 6,789,095 ------------ DIVERSIFIED MACHINERY (0.64%) Caterpillar, Inc. 3,592 247,273 Cummins, Inc. 640 28,435 Deere & Co. 2,588 137,966 Dover Corp. 2,020 71,447 Rockwell Automation, Inc. 1,296 34,020 ------------ 519,141 ------------ DIVERSIFIED MANUFACTURING (5.65%) 3M Co. 8,904 614,999 Cooper Industries Ltd. 1,334 64,072 Crane Co. 250 5,853 Danaher Corp. 1,950 144,027 Eaton Corp. 1,580 140,020 General Electric Co. 85,718 2,555,254 Honeywell International, Inc. 7,198 189,667 Illinois Tool Works, Inc. 4,036 267,425 Ingersoll-Rand Co. 2,013 107,574 ITT Industries, Inc. 1,348 80,664 Pall Corp. 539 12,095 Textron, Inc. 1,650 65,092 Tyco International Ltd. 15,864 324,102 ------------ 4,570,844 ------------ E-COMMERCE SERVICES (0.44%) eBay, Inc. * 6,100 325,130 Monster Worldwide, Inc. * 1,120 28,202 ------------ 353,332 ------------ ELECTRIC PRODUCTS (0.39%) Emerson Electric Co. 5,026 264,619 Molex, Inc. 1,692 48,374 ------------ 312,993 ------------ ELECTRONIC COMPONENTS (0.38%) Agilent Technologies, Inc. * 3,860 85,345 American Power Conversion 900 15,426 Jabil Circuit, Inc. * 1,530 39,856 Parker Hannifin Corp. 1,501 67,095 Power-One, Inc. * 350 3,602 Sanmina-SCI Corp. * 2,520 24,444 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Solectron Corp. * 3,140 $ 18,369 Symbol Technologies, Inc. 1,555 18,582 Tektronic, Inc. 390 9,653 Thermo Electron Corp. * 1,072 23,262 Thomas & Betts Corp. * 205 3,249 ------------ 308,883 ------------ ENGINEERING & CONSTRUCTION (0.04%) Fluor Corp. 890 33,224 ------------ FOOD (2.09%) Albertson's, Inc. 3,432 70,596 Archer-Daniels-Midland Co. 5,711 74,871 Campbell Soup Co. 5,044 133,666 General Mills, Inc. 4,378 206,072 H.J. Heinz Co. 5,277 180,896 Hershey Foods Corp. 2,620 190,422 Kellogg Co. 4,980 166,083 Kroger Co. * 5,774 103,181 McCormick & Co. 900 24,678 Safeway, Inc. * 4,430 101,624 Supervalu, Inc. 1,480 35,313 Sysco Corp. 5,946 194,494 Wm. Wrigley Jr. Co. 1,150 11,098 Winn-Dixie Stores, Inc. 3,620 200,186 ------------ 1,693,180 ------------ FOREST & PAPER PRODUCTS (0.56%) Boise Cascade Corp. 165 4,554 Georgia-Pacific Corp. 1,636 39,657 International Paper Co. 4,401 171,727 Louisiana-Pacific Corp. * 330 4,547 MeadWestvaco Corp. 1,512 38,556 Temple-Inland, Inc. 820 39,811 Weyerhaeuser Co. 2,674 156,295 ------------ 455,147 ------------ HEALTHCARE PRODUCTS (3.79%) Bausch & Lomb, Inc. 725 32,009 Baxter International, Inc. 5,306 154,192 Becton Dickinson & Co. 2,490 89,939 Biomet, Inc. 2,332 78,379 Boston Scientific Corp. * 3,792 241,930 C.R. Bard, Inc. 1,020 72,420 Guidant Corp. 3,196 149,733 Johnson & Johnson 26,729 1,323,620 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Medtronic, Inc. 11,342 $ 532,167 St. Jude Medical, Inc. * 1,884 101,303 Stryker Corp. 2,370 178,485 Zimmer Holdings, Inc.* 2,090 115,159 ------------ 3,069,336 ------------ HEALTHCARE SERVICES (0.32%) Anthem, Inc. * 1,680 119,834 Health Management Associates, Inc. 1,740 37,949 Manor Care, Inc. 815 24,450 Quest Diagnostics * 1,320 80,045 ------------ 262,278 ------------ HOME BUILDERS (0.22%) Centex Corp. 930 72,428 KB HOME 730 43,552 Pulte Homes, Inc. 890 60,529 ------------ 176,509 ------------ HOME FURNISHINGS (0.10%) Leggett & Platt, Inc. 1,170 25,307 Newell Rubbermaid 2,588 56,082 ------------ 81,389 ------------ HOTELS & MOTELS (0.28%) Hilton Hotels Corp. 1,880 30,494 Marriott International, Inc. 2,803 120,613 Starwood Hotels & Resorts Worldwide, Inc. 2,210 76,908 ------------ 228,015 ------------ HUMAN RESOURCES (0.03%) Robert Half International, Inc. * 1,170 22,815 ------------ INSTRUMENTS/CONTROLS (0.10%) Applera Corp - Applied Biosystems Group 1,960 43,728 PerkinElmer, Inc. 690 10,564 Waters Corp. * 1,070 29,350 ------------ 83,642 ------------ INSURANCE (4.87%) ACE Ltd. 2,030 67,152 Aflac, Inc. 4,400 142,120 Allstate Corp. 5,736 209,536 AMBAC Financial Group, Inc. 1,420 90,880 American International Group 23,379 1,348,968 AON Corp. 2,334 48,664 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Chubb Corp. 2,140 $ 138,843 Cincinnati Financial Corp. 1,470 58,741 Hartford Financial Services Group, Inc. 3,038 159,890 Jefferson-Pilot Corp. 2,118 93,997 John Hancock Financial Services, Inc. 2,400 81,120 Lincoln National Corp. 1,778 62,906 Marsh & McLennan Cos., Inc. 5,576 265,473 MBIA, Inc. 1,670 91,800 Metlife, Inc. 6,040 169,422 MGIC Investment Corp. 1,340 69,774 Principal Financial Group 2,600 80,574 Progressive Corp. 2,220 153,424 Prudential Financial, Inc. 4,600 171,856 Safeco Corp. 1,109 39,103 St. Paul Cos 1,920 71,098 Torchmark Corp. 1,340 54,458 Travelers Property Casualty Corp. 6,262 99,441 UnumProvident Corp. 2,140 31,608 XL Capital Ltd. 1,870 144,813 ------------ 3,945,661 ------------ LEISURE & RECREATIONAL PRODUCTS (0.14%) Brunswick Corp. 894 22,958 Hasbro, Inc. 1,085 20,268 Mattel, Inc. 3,571 67,706 ------------ 110,932 ------------ LINEN SUPPLY (0.08%) Cintas Corp. 1,820 67,049 ------------ MEDIA (3.05%) AOL Time Warner, Inc. * 36,800 556,048 Clear Channel Communications, Inc. 6,110 234,013 Comcast Corp. * 19,582 604,692 Dow Jones & Co., Inc. 1,535 72,682 Gannett Co., Inc. 4,004 310,550 Knight-Ridder, Inc. 1,949 129,998 McGraw-Hill Cos., Inc. 3,030 188,254 Meredith Corp. 1,038 47,924 New York Times Co. 1,964 85,355 Tribune Co. 3,497 160,512 Univision Communications, Inc. * 2,380 75,993 ------------ 2,466,021 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- METAL FABRICATION (0.01%) Worthington Industries 480 $ 6,029 ------------ MINING (0.49%) Alcoa, Inc. 7,038 184,114 Freeport-McMoRan Copper & Gold, Inc. 750 24,825 Newmont Mining Corp. 3,488 136,346 Phelps Dodge Corp. * 1,025 47,970 ------------ 393,255 ------------ MOTORCYCLE MANUFACTURER (0.20%) Harley-Davidson, Inc. 3,300 159,060 ------------ OFFICE AUTOMATION & EQUIPMENT (0.33%) Avery Dennison Corp. 1,711 86,440 Pitney Bowes, Inc. 3,394 130,058 Xerox Corp. * 5,182 53,167 ------------ 269,665 ------------ OIL & GAS (5.81%) Amerada Hess Corp. 1,338 67,034 Anadarko Petroleum Corp. 2,163 90,327 Apache Corp. 1,812 125,644 Baker Hughes, Inc. 2,370 70,128 BJ Services Co. * 1,030 35,195 Burlington Resources, Inc. 1,777 85,651 ChevronTexaco Corp. 10,939 781,592 ConocoPhillips 7,054 386,207 Devon Energy Corp. 2,210 106,500 EOG Resources, Inc. 750 31,305 Exxon Mobil Corp. 57,692 2,111,527 Halliburton Co. 2,688 65,184 Kerr-McGee Corp. 1,250 55,800 Marathon Oil Corp. 2,346 66,861 Nabors Industries Ltd. * 1,200 44,712 Nicor, Inc. 780 27,409 Noble Corp. * 790 26,852 Occidental Petroleum Corp. 2,163 76,202 Peoples Energy Corp. 530 21,931 Rowan Cos., Inc. * 70 1,721 Schlumberger Ltd. 6,100 295,240 Sunoco, Inc. 840 33,784 Transocean, Inc. * 2,037 40,740 Unocal Corp. 1,662 52,386 ------------ 4,699,932 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- PHARMACEUTICALS (7.89%) Abbott Laboratories 14,206 $ 604,465 Allergan, Inc. 1,720 135,416 AmerisourceBergan Corp. 1,340 72,427 Bristol-Myers Squibb Co. 16,448 422,056 Cardinal Health, Inc. 4,480 261,587 Eli Lilly & Co. 10,625 631,125 Forest Laboratories, Inc. * 3,530 181,619 King Pharmaceuticals, Inc. * 1,736 26,300 Medco Health Solutions, Inc. * 2,311 59,924 Medimmune, Inc. * 2,300 75,923 Merck & Co., Inc. 20,600 1,042,772 Pfizer, Inc. 68,505 2,081,182 Schering-Plough Corp. 12,280 187,147 Watson Pharmaceuticals, Inc. * 1,050 43,775 Wyeth 12,200 562,420 ------------ 6,388,138 ------------ PHOTOGRAPHY EQUIPMENT (0.09%) Eastman Kodak Co. 3,514 73,583 ------------ PIPELINES (0.20%) Dynegy, Inc. 2,570 9,252 El Paso Corp. 3,821 27,893 Kinder Morgan, Inc. 1,690 91,277 Williams Cos., Inc. 3,280 30,898 ------------ 159,320 ------------ REAL ESTATE INVESTMENT TRUSTS (0.31%) Apartment Investment & Management Co. 1,060 41,722 Equity Office Properties Trust 2,720 74,882 Equity Residential Properties Trust 1,540 45,091 Plum Creek Timber Co., Inc. 710 18,062 Simon Property Group, Inc. 1,710 74,522 ------------ 254,279 ------------ RETAIL STORES (6.97%) Autonation, Inc. * 810 14,207 Autozone, Inc. * 1,297 116,120 Bed Bath & Beyond, Inc. * 2,910 111,104 Best Buy Co., Inc. * 3,065 145,649 Big Lots, Inc. * 450 7,114 Circuit City Stores, Inc. 1,160 11,055 Costco Wholesale Corp. * 4,060 126,185 CVS Corp. 3,494 108,524 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Dillard's, Inc. 370 $ 5,173 Dollar General Corp. 2,661 53,220 Family Dollar Stores 1,710 68,212 Federated Department Stores 2,187 91,635 Gap, Inc. 6,795 116,330 Home Depot, Inc. 20,149 641,746 J.C. Penney Co., Inc. Holding Co. 2,047 43,744 Kohl's Corp. * 3,530 188,855 Lowe's Cos., Inc. 7,436 385,928 Ltd. Brands 3,540 53,383 May Department Stores Co. 3,038 74,826 Nordstrom, Inc. 780 19,352 Office Depot, Inc. * 1,900 26,695 RadioShack Corp. 1,660 47,161 Sears Roebuck and Co. 2,994 130,928 Staples, Inc. * 3,650 86,687 Target Corp. 8,458 318,275 Tiffany & Co. 1,500 55,995 TJX Cos., Inc. 3,730 72,437 Toys R US, Inc. * 1,181 14,207 Walgreen Co. 9,086 2,225,511 Wal-Mart Stores, Inc. 39,848 278,395 ------------ 5,638,653 ------------ SEMICONDUCTORS (3.93%) Advanced Micro Devices, Inc. * 2,038 22,642 Altera Corp. * 2,870 54,243 Analog Devices, Inc. * 3,500 133,070 Applied Materials, Inc. * 13,330 241,806 Applied Micro Circuits Corp. * 1,380 6,721 Broadcom Corp. * 2,520 67,082 Intel Corp. 56,494 1,554,150 Kla-Tencor Corp. * 2,260 116,164 Linear Technology Corp. 3,200 114,592 LSI Logic Corp. * 1,820 16,361 Maxim Integrated Products 3,390 133,905 Micron Technology, Inc. * 4,866 65,302 National Semiconductor Corp. * 1,580 51,018 Novellus Systems, Inc. * 1,720 58,050 Nvidia Corp. * 1,370 21,798 PMC - Sierra, Inc.* 1,340 17,676 QLogic Corp. * 1,230 57,822 Teradyne, Inc. * 1,510 28,086 Texas Instruments, Inc. 14,548 331,694 Xilinx, Inc. * 3,000 85,530 ------------ 3,177,712 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- STEEL PRODUCERS (0.08%) Allegheny Technologies, Inc. 446 $ 2,921 Nucor Corp. 1,201 55,102 United States Steel Corp. 413 7,591 ------------ 65,614 ------------ TELECOMMUNICATIONS (5.68%) ADC Telecommunications, Inc. * 3,790 8,831 Alltel Corp. 3,958 183,414 Andrew Corp. * 362 4,449 AT&T Corp. 6,528 140,678 AT&T Wireless Services, Inc. * 18,774 153,571 Avaya, Inc. * 1,474 16,067 BellSouth Corp. 15,986 378,548 CenturyTel, Inc. 1,450 49,141 CIENA Corp. * 1,870 11,052 Cisco Systems, Inc. * 59,468 1,162,005 Citizens Communications Co. * 1,020 11,434 Comverse Technology, Inc. * 1,350 20,196 Corning * 8,729 82,227 JDS Uniphase * 6,810 24,516 Lucent Technologies, Inc. * 17,691 38,213 Motorola, Inc. 16,738 200,354 Nextel Communications, Inc. * 7,960 156,732 Qualcomm, Inc. 7,080 294,811 Qwest Communications International * 9,996 33,986 SBC Communications, Inc. 28,085 624,891 Scientific-Atlanta, Inc. 1,330 41,430 Sprint Corp.-FON Group 5,560 31,859 Sprint Corp.-PCS Group * 7,452 112,525 Tellabs, Inc. * 2,172 14,748 Verizon Communications, Inc. 24,771 803,571 ------------ 4,599,249 ------------ TOOLS (0.11%) Black & Decker Corp. 1,011 40,996 Snap-On, Inc. 580 16,037 Stanley Works 1,130 33,358 ------------ 90,391 ------------ TRANSPORTATION (1.58%) Burlington Northern Santa Fe Corp. 2,864 82,684 CSX Corp. 1,865 54,551 FedEx Corp. 3,246 209,140 Norfolk Southern Corp. 2,506 46,361 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Union Pacific Corp. 3,463 $ 201,443 United Parcel Service, Inc. 10,740 685,212 ------------ 1,279,391 ------------ TRAVEL SERVICES (0.04%) Sabre Holdings Corp. 1,624 34,900 ------------ TRUCKING & LEASING (0.02%) Ryder System, Inc. 440 12,901 ------------ UTILITIES (3.16%) AES Corp. * 3,060 22,705 Allegheny Energy, Inc. 1,800 16,452 Ameren Corp. 2,328 99,894 American Electric Power Co., Inc. 3,864 115,920 Calpine Corp. * 1,780 8,704 Centerpoint Energy, Inc. 2,430 22,283 Cinergy Corp. 1,774 65,106 CMS Energy Corp. 630 4,643 Consolidated Edison, Inc. 2,559 104,305 Constellation Energy Group, Inc. 1,379 49,341 Dominion Resources, Inc. 4,154 257,133 DTE Energy Co. 2,159 79,646 Duke Energy Corp. 7,266 129,407 Edison International * 1,826 34,877 Entergy Corp. 2,905 157,306 Exelon Corp. 4,134 262,509 FirstEnergy Corp. 2,875 91,712 FPL Group, Inc. 3,219 203,441 KeySpan Corp. 1,650 57,882 Nisource, Inc. 1,300 25,974 PG&E Corp. * 3,259 77,890 Pinnacle West Capital Corp. 1,160 41,180 PPL Corp. 1,675 68,591 Progress Energy, Inc. 2,774 123,332 Public Service Enterprise Group, Inc. 2,777 116,634 Sempra Energy 1,365 40,076 Southern Co. 5,900 172,988 TECO Energy, Inc. 710 9,812 TXU Corp. 2,551 60,102 Xcel Energy, Inc. 2,250 34,808 ------------ 2,554,653 ------------ WASTE DISPOSAL (0.18%) Allied Waste Industries, Inc. * 640 6,912 Waste Management, Inc. 5,183 135,639 ------------ 142,551 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND LARGE CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TOTAL COMMON STOCK (COST $92,701,077) $ 79,099,623 ------------ MISCELLANEOUS INVESTMENTS (1.48%) SPDR Trust Series 1 (COST $1,235,974) 12,000 1,199,040 ------------ SHORT TERM INVESTMENTS (0.59%) Fifth Third Institutional Government Money Market Fund, 0.95% ** (COST $474,269) 474,269 474,269 ------------ TOTAL INVESTMENTS (COST $94,411,284) (99.80%) $ 80,772,932 OTHER ASSETS IN EXCESS OF LIABILITIES, (0.20%) 161,124 ------------ NET ASSETS (100%) $ 80,934,056 ============ Cost for federal income tax at September 30, 2003 was $94,525,896 and net unrealized depreciation consisted of: Gross unrealized appreciation $ 4,648,072 Gross unrealized depreciation (18,401,036) ------------ Net unrealized depreciation $(13,752,964) ============ * Non-income producing investment ** Variable rate security; rate shown represents the rate at September 30, 2003. THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK (98.14%) ADVERTISING (0.25%) Advo, Inc. * 1,555 $ 64,735 ------------ AEROSPACE/DEFENSE (1.61%) AAR Corp. * 1,332 10,683 Alliant Techsystems, Inc. * 2,777 133,435 Armor Holdings, Inc. * 1,490 24,958 Curtiss-Wright Corp. 1,090 76,976 DRS Technologies, Inc. * 1,480 35,712 EDO Corp. 1,080 21,870 Esterline Technologies Corp. * 1,080 20,833 GenCorp, Inc. 1,490 13,335 Kaman Corp. 1,053 13,647 Teledyne Technologies, Inc. * 1,600 23,280 Triumph Group, Inc. * 1,180 35,164 ------------ 409,893 ------------ AGRICULTURE (0.22%) Delta & Pine Land Co. 2,406 55,362 ------------ AIRLINES (0.46%) Atlantic Coast Airlines Holdings, Inc. * 2,510 21,360 Frontier Airlines, Inc. * 1,550 25,513 Mesa Air Group, Inc. * 910 10,101 Skywest, Inc. 3,440 59,581 ------------ 116,555 ------------ APPAREL (1.51%) Gymboree Corp. * 1,330 18,740 Haggar Corp. 640 9,888 Kellwood Co. 1,310 47,147 K-Swiss, Inc. 2,070 69,241 Oshkosh B'Gosh, Inc. 1,010 25,977 Oxford Industries, Inc. 910 58,422 Phillips-Van Heusen 1,310 19,663 Quiksilver, Inc. * 3,520 56,144 Russell Corp. 1,380 22,494 Stride Rite Corp. 1,700 18,360 Wolverine World Wide, Inc. 1,948 37,791 ------------ 383,867 ------------ APPLIANCES (0.06%) Applica, Inc. 1,060 6,413 Salton, Inc. * 810 8,059 ------------ 14,472 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- AUTO PARTS & EQUIPMENT (0.18%) Midas, Inc. * 1,150 $ 15,134 Standard Motor Products, Inc. 1,746 17,635 Tower Automotive, Inc. * 2,800 12,600 ------------ 45,369 ------------ AUTOMOBILE MANUFACTURERS (0.55%) Oshkosh Truck Corp. 2,900 114,869 Wabash National Corp. * 1,560 24,882 ------------ 139,751 ------------ BANKS (5.68%) Boston Private Financial Holdings, Inc. 1,390 32,748 Chittenden Corp. 2,565 76,309 Community First Bankshares, Inc. 2,500 66,075 East-West Bancorp, Inc. 2,120 90,630 First Bancorp Puerto Rico 2,785 85,639 First Midwest Bancorp, Inc. 3,256 96,737 First Republic Bank 1,260 38,846 Fremont General Corp. 3,842 48,832 GBC Bancorp 1,120 42,952 Hudson United Bancorp 3,697 130,023 Irwin Financial Corp. 1,580 38,394 Provident Bankshares Corp. 1,726 48,760 Riggs National Corp. 1,286 20,255 South Financial Group, Inc. 2,570 63,967 Southwest Bancorp of Texas, Inc. 2,740 100,037 Sterling Bancshares, Inc. 1,080 12,884 Susquehanna Bancshares, Inc. 2,245 57,696 Trustco Bank Corp. NY 2,534 31,320 UCBH Holdings, Inc. 3,250 98,248 United Bankshares, Inc. 3,180 95,241 Whitney Holding Corp. 3,257 110,738 Wintrust Financial Corp. 1,560 58,765 ------------ 1,445,096 ------------ BATTERY SYSTEM ( 0.04%) Wilson Greatbatch Technologies * 280 10,094 ------------ BIOTECHNOLOGY (0.71%) Arqule, Inc. * 960 4,416 Cryolife, Inc. 1,105 6,807 Enzo Biochem, Inc. * 1,858 36,250 Integra LifeSciences Holdings Corp. * 1,670 47,244 Osteotech, Inc. * 610 4,996 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Possis Medical, Inc. * 860 $ 13,416 Regeneron Pharmaceutical, Inc. * 2,920 51,596 Savient Pharmaceuticals, Inc. * 3,310 16,716 ------------ 181,441 ------------ BUILDING MATERIALS (1.42%) Apogee Enterprises, Inc. 1,540 15,893 Butler Manufacturing Co. * 855 12,987 ElkCorp 1,160 27,330 Florida Rock Industries, Inc. 2,320 115,072 Lennox International, Inc. 2,700 39,447 Simpson Manufacturing Co., Inc. * 2,090 85,460 Texas Industries, Inc. 1,540 37,884 Universal Forest Products, Inc. 1,140 27,668 ------------ 361,741 ------------ CHEMICALS (1.05%) Schulman (A.), Inc. 730 11,578 Arch Chemicals, Inc. 1,290 26,832 HB Fuller Co. 1,840 44,657 Georgia Gulf Corp. 1,950 45,532 MacDermid, Inc. 2,160 57,132 OM Group, Inc. * 1,551 22,707 Omnova Solutions, Inc. * 1,030 3,615 Penford Corp. 570 7,410 Polyone Corp. * 4,310 16,938 Quaker Chemical Corp. 750 17,445 Wellnan, Inc. 1,690 12,692 ------------ 266,538 ------------ COMMERCIAL SERVICES (3.70%) Aaron Rents, Inc. 2,250 47,138 ABM Industries, Inc. 2,860 40,469 Administaff, Inc. * 1,380 12,268 Angelica Corp. 330 6,270 Arbitron, Inc. * 2,170 76,601 Bowne & Co., Inc. 1,594 23,830 CDI Corp. 1,399 37,815 Central Parking Corp. 2,085 25,541 Coinstar, Inc. * 1,430 19,234 Consolidated Graphics, Inc. * 880 22,378 CPI Corp. 840 15,456 G&K Services, Inc. 1,687 59,045 Heidrick & Struggles, Inc. * 1,100 18,623 Hooper Holmes, Inc. 3,140 20,881 Insurance Auto Auctions, Inc. * 740 8,325 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Kroll, Inc. * 2,510 $ 46,686 Labor Ready, Inc. * 1,810 18,191 MAXIMUS, Inc. * 1,610 55,465 Memberworks, Inc. * 920 29,274 NCO Group, Inc. * 1,540 36,144 On Assignment, Inc. * 1,320 6,970 Paraxel International Corp. * 1,160 17,771 Pharmaceutical Product Development, Inc. * 3,550 85,165 Pre-Paid Legal Services, Inc. * 1,140 26,699 PRG-Schultz International, Inc. * 2,805 15,932 Sourcecorp * 1,220 28,365 Spherion Corp. * 3,956 27,534 Startek, Inc. 1,120 35,840 The Nautilus Group, Inc. 1,630 20,571 Volt Information Sciences, Inc. * 990 16,335 Watson Wyatt & Co. Holdings * 1,820 40,968 ------------ 941,784 ------------ COMMUNICATIONS SERVICES (0.20%) Webex Communications * 2,630 49,944 ------------ COMPUTER HARDWARE (0.33%) Hutchinson Technology, Inc. * 1,850 61,235 Talx Corp. 940 23,143 ------------ 84,378 ------------ COMPUTER SERVICES (1.20%) CACI International, Inc. * 2,130 91,271 Carreker Corp. * 1,050 8,453 Ciber, Inc. * 3,430 26,068 Factset Research Systems, Inc. 2,390 105,997 Manhattan Associates, Inc. * 2,090 54,110 Rainbow Technologies, Inc. * 1,340 12,248 SCM Microsystems, Inc. * 830 6,067 ------------ 304,214 ------------ COMPUTER SOFTWARE (3.83%) American Management Systems * 2,208 28,152 Ansys, Inc. * 1,290 45,847 Avid Technology, Inc. * 2,010 106,208 Barra, Inc. * 1,530 57,451 Captaris, Inc. * 1,160 6,136 Concerto Software, Inc. * 940 7,990 Concord Communications, Inc. * 990 12,959 eFunds Corp. * 1,900 23,465 EPIQ Systems, Inc. * 920 15,603 Filenet Corp. * 2,312 46,402 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Global Payments, Inc. 2,660 $ 95,760 Hyperion Solutions Corp. * 2,626 75,813 Inter-Tel, Inc. 1,740 42,717 JDA Software Group, Inc. * 1,610 23,941 Mapinfo Corp. * 650 6,233 Midway Games, Inc. * 2,250 6,660 MRO Software, Inc. * 1,340 18,291 Netegrity, Inc. * 1,550 15,515 PC-Tel, Inc. * 1,560 16,645 Phoenix Technologies Ltd. * 1,340 8,402 Pinnacle Systems, Inc. * 3,130 26,386 Progress Software Corp. * 1,906 40,979 Roxio, Inc. * 940 8,150 Serena Software, Inc. * 2,540 47,244 SPSS, Inc. * 1,050 17,714 Take-Two Interactive Software * 2,900 99,093 THQ, Inc. * 2,375 38,997 Verity, Inc. * 2,030 26,532 Zix Corp. * 1,120 9,083 ------------ 974,368 ------------ COMPUTERS-INTEGRATED SYSTEMS (0.96%) Agilysys, Inc. 1,390 12,190 Brooktrout, Inc. * 1,010 7,777 Catapult Communications Corp. * 790 9,938 Kronos, Inc. * 1,550 82,010 Mercury Computer Systems, Inc. * 1,430 30,502 Micros Systems, Inc. * 1,400 47,810 NYFIX, Inc. * 1,560 8,736 Radiant Systems, Inc. * 1,490 9,327 Radisys Corp. * 1,110 20,024 Systems & Computer Technology Corp. * 1,610 16,792 ------------ 245,106 ------------ CONSUMER PRODUCTS (1.24%) Fossil, Inc. * 3,160 76,567 Russ Berrie & Co., Inc. 1,948 65,628 Scotts Co. * 2,529 138,336 Wd-40 Co. 1,110 35,176 ------------ 315,707 ------------ DISTRIBUTION/WHOLESALE (1.26%) Advanced Marketing Services 890 9,096 Bell Microproducts, Inc. * 840 5,468 Hughes Supply, Inc. 1,805 58,572 Owens & Minor, Inc. 1,924 46,368 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- SCP Pool Corp. * 2,890 $ 80,400 United Stationers, Inc. * 2,490 93,823 Watsco, Inc. 1,445 27,614 ------------ 321,341 ------------ DIVERSIFIED FINANCIAL SERVICES (1.58%) Financial Federal Corp. * 1,360 41,494 Idine Rewards Network Financial 1,060 17,225 Jefferies Group, Inc. 4,260 122,475 New Century Financial Corp. 2,399 67,940 Raymond James Financial, Inc. 3,701 134,531 SWS Group, Inc. 985 19,414 ------------ 403,079 ------------ DIVERSIFIED HOLDINGS (0.15%) CP HOLDRS 40 2,070 Roto-Rooter, Inc. 1,045 37,150 ------------ 39,220 ------------ DIVERSIFIED MANUFACTURING (1.94%) Acuity Brands, Inc. 1,680 30,341 AO Smith Corp. 2,192 61,398 Aptargroup, Inc. 2,828 103,759 Barnes Group, Inc. 1,390 36,084 Griffon Corp. * 1,230 22,091 Lydall, Inc. * 90 1,081 Myers Industries, Inc. 1,490 14,915 Roper Industries, Inc. 2,566 111,749 SPS Technologies, Inc. * 1,248 56,160 Standex International Corp. 1,100 26,730 Tredegar Corp. 1,974 29,709 ------------ 494,017 ------------ E-COMMERCE (0.04%) QRS Corp. * 1,120 9,520 ------------ ELECTRICAL COMPONENTS (0.64%) Advanced Energy Industries, Inc. * 2,280 43,024 Artesyn Technologies, Inc. * 2,390 18,116 Belden, Inc. 1,290 22,536 Brillian Corp. * 287 2,586 C&D Technologies, Inc. 1,520 28,758 Intermagnetics General Corp. * 1,088 24,328 Magnetek, Inc. * 460 2,277 Vicor Corp. * 2,099 20,003 ------------ 161,628 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- ELECTRONIC COMPONENTS (1.30%) Bel Fuse, Inc. 920 $ 24,306 Benchmark Electronics, Inc. * 1,800 76,086 CTS Corp. 1,290 15,880 Cubic Corp. 1,650 41,448 DSP Group, Inc. * 1,880 46,831 Methode Electronics 1,910 22,557 Planar Systems, Inc. * 970 20,806 Rogers Corp. * 1,310 40,636 Technitrol, Inc. * 2,330 42,895 ------------ 331,445 ------------ ELECTRONIC INSTRUMENTS (1.56%) BEI Technologies, Inc. 670 10,452 Coherent, Inc. * 2,030 49,999 Cymer, Inc. * 2,580 106,296 Dionex Corp. * 1,658 65,259 Electro Scientific Industries, Inc. * 1,930 40,665 Meade Instruments Corp. * 1,160 3,851 Photon Dynamics, Inc. * 1,230 35,855 Watts Industries, Inc. 1,320 23,258 Woodward Governor Co. 1,210 52,889 X-Rite, Inc. 750 8,490 ------------ 397,014 ------------ ELECTRONIC MEASURING INSTRUMENTS (1.05%) Analogic Corp. 1,430 68,640 FEI Co. * 2,310 53,915 Flir Systems, Inc. * 2,340 59,951 Itron, Inc. * 1,290 25,890 Keithley Instruments, Inc. 690 9,764 Trimble Navigation Ltd. * 2,150 49,773 ------------ 267,933 ------------ ELECTRONICS (1.59%) Brady Corp. 1,900 60,439 Checkpoint Systems, Inc. * 1,460 23,068 Harman International Industries, Inc. 2,390 235,057 Invision Technologies, Inc. * 1,120 27,261 Park Electrochemical Corp. 1,424 32,396 Paxar Corp. * 1,669 21,363 SBS Technologies, Inc. * 500 5,425 ------------ 405,009 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- ENGINEERING SERVICES (0.48%) EMCOR Group, Inc. * 1,350 $ 57,443 Insituform Technologies, Inc. * 1,300 23,088 URS Corp. * 2,160 41,904 ------------ 122,435 ------------ ENVIRONMENTAL CONTROL (0.61%) Ionics, Inc. * 1,125 27,518 Tetra Tech, Inc. * 2,783 55,410 Waste Connections, Inc. * 2,040 71,584 ------------ 154,512 ------------ FILTRATION PRODUCTS (0.58%) Clarcor, Inc. 2,150 83,850 Cuno, Inc. * 1,610 63,096 ------------ 146,946 ------------ FOOD (2.16%) American Italian Pasta Co. * 1,470 56,874 Corn Products International, Inc. 2,440 77,714 Flowers Industries, Inc. 2,790 63,612 Great Atlantic & Pacific Tea Co. * 2,440 19,788 Hain Celestial Group, Inc. * 1,820 32,997 International Multifoods Corp. * 1,120 26,152 J&J Snack Foods Corp. * 940 32,712 Nash Finch Co. 720 11,160 Performance Food Group Co. * 3,270 133,122 Ralcorp Holdings, Inc. * 1,780 49,306 United Natural Foods, Inc. * 1,360 45,138 ------------ 548,575 ------------ FOREST PRODUCTS & PAPER (0.39%) Buckeye Technologies, Inc. * 1,750 15,906 Caraustar Industries, Inc. * 1,735 15,147 Deltic Timber Corp. 1,090 31,523 Pope & Talbot, Inc. 1,115 16,859 Rock-Tenn Co. 1,430 20,850 ------------ 100,285 ------------ GARDEN PRODUCTS (0.40%) Toro Co. 2,278 102,510 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- HAND/MACHINE TOOLS (0.30%) Baldor Electric Co. 1,980 $ 41,798 Milacron, Inc. 1,770 4,071 Regal-Beloit Corp. 1,538 31,375 ------------ 77,244 ------------ HEALTHCARE PRODUCTS (6.22%) Advanced Medical Optics, Inc. * 1,000 17,960 American Healthways, Inc. * 1,070 44,929 American Medical Systems Holdings, Inc. * 1,880 40,796 Arthrocare Corp. * 1,340 23,879 Biosite, Inc. * 1,090 30,934 Centene Corp. * 1,230 37,380 Conmed Corp. * 1,840 37,978 Cooper Cos., Inc. 2,100 85,575 Cross Country Healthcare, Inc. * 1,690 23,812 Datascope Corp. 1,110 34,121 Diagnostic Products Corp. 2,110 76,656 Haemonetics Corp. * 1,400 33,054 Hologic, Inc. * 860 11,722 ICU Medical, Inc. * 1,010 27,482 Idexx Laboratories, Inc. * 2,399 101,934 Inamed Corp. * 1,590 116,785 Invacare Corp. 2,296 86,284 Mentor Corp. * 2,696 61,469 Natures Sunshine Products, Inc. 170 1,411 NBTY, Inc.* 4,323 100,942 Odyssey Healthcare, Inc. * 2,325 69,331 PolyMedica Corp. 1,900 50,350 Resmed, Inc. * 2,350 103,353 Respironics, Inc. * 2,420 101,108 Sola International, Inc. * 1,610 25,760 SurModics, Inc. * 1,240 33,282 Sybron Dental Specialties, Inc. * 2,100 52,647 Techne Corp. * 2,840 90,284 Viasys Healthcare, Inc. * 1,660 33,532 Vital Signs, Inc. 973 28,509 ------------ 1,583,259 ------------ HEALTHCARE SERVICES (2.48%) AMERIGROUP Corp. * 1,400 62,482 Amsurg Corp. * 1,280 42,227 Curative Health Services, Inc. * 590 10,543 Mid Atlantic Medical Services * 3,150 162,004 Orthodontic Centers Of America * 2,790 21,985 Pediatrix Medical Group, Inc. * 1,680 77,364 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Province Healthcare Co. * 2,520 $ 32,634 RehabCare Group, Inc. * 940 16,027 Renal Care Group, Inc. * 3,220 109,963 Sierra Health Services * 1,710 35,141 Sunrise Assisted Living, Inc. * 1,280 33,574 US Oncology, Inc. * 3,660 26,755 ------------ 630,699 ------------ HOME BUILDERS (3.14%) Champion Enterprises, Inc. * 2,105 13,367 Coachmen Industries, Inc. 850 9,953 Fleetwood Enterprises, Inc. * 2,300 21,321 MDC Holdings, Inc. 2,236 120,744 Monaco Coach Corp. * 1,725 28,549 NVR, Inc. * 590 275,235 Ryland Group, Inc. 1,918 140,225 Skyline Corp. 990 31,700 Standard-Pacific Corp. 2,340 88,686 Winnebago Industries 1,560 69,545 ------------ 799,325 ------------ HOME FURNISHINGS (0.76%) Bassett Furniture Industries, Inc. 988 13,387 Ethan Allen Interiors, Inc. 2,946 106,056 La-Z-Boy, Inc. 3,323 73,771 ------------ 193,214 ------------ HOTELS & MOTELS (0.09%) Prime Hospitality Corp. * 2,500 21,725 ------------ HOUSEWARES (0.25%) Libbey, Inc. 1,050 29,200 National Presto Industries, Inc. 980 33,653 ------------ 62,853 ------------ INTERNET SERVICES & SOFTWARE (0.38%) J2 Global Communications, Inc. * 1,670 63,176 Websense, Inc. * 1,550 32,968 ------------ 96,144 ------------ INSURANCE (2.11%) Delphi Financial Group 1,742 81,038 Hilb Rogal & Hamilton Co. 2,310 71,702 Landamerica Financial Group, Inc. 1,550 71,052 Philadelphia Consolidated Holding Co. * 1,680 77,616 Presidential Life Corp. 1,490 22,544 RLI Corp. 1,720 56,622 SCPIE Holdings, Inc. 610 6,100 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Selective Insurance Group 1,698 $ 50,532 Stewart Information Services Corp. * 1,150 32,476 UICI * 2,260 28,340 Zenith National Insurance Corp. 1,388 38,614 ------------ 536,636 ------------ LEISURE & RECREATION (0.24%) Bally Total Fitness Holding Corp. * 1,680 14,532 K2, Inc. * 1,440 21,384 Pegasus Solutions, Inc. * 1,750 24,202 ------------ 60,118 ------------ MACHINERY-DIVERSIFIED (3.25%) Albany International Corp. 2,260 69,698 Applied Industrial Technologies, Inc. 1,230 24,440 Astec Industries, Inc. * 1,180 12,154 Briggs & Stratton 1,980 116,345 Brooks-PRI Automation, Inc. * 2,530 52,877 Cognex Corp. 2,957 77,740 Gardner Denver, Inc. * 1,000 21,010 Gerber Scientific, Inc. * 1,491 10,586 IDEX Corp. 2,640 96,202 JLG Industries, Inc. 2,210 25,459 Lindsay Manufacturing Co. 829 16,663 Manitowoc Co. 1,907 41,363 Robbins & Meyers, Inc. 920 20,461 Stewart & Stevenson Services 1,190 17,874 Thomas Industries, Inc. 1,380 39,358 Zebra Technologies Corp. * 3,564 183,795 ------------ 826,025 ------------ MEDIA (0.17%) 4kids Entertainment, Inc. * 870 18,357 Information Holdings, Inc. * 1,230 24,637 ------------ 42,994 ------------ MEDICAL INFORMATION SYSTEMS (0.62%) Cerner Corp. * 2,540 78,410 Dendrite International, Inc. * 2,365 35,924 NDCHealth Corp. 2,086 43,702 ------------ 158,036 ------------ METAL FABRICATION (1.49%) AM Castle & Co. * 757 3,361 Commercial Metals Co. 2,070 38,026 Intermet Corp. 260 1,118 Kaydon Corp. 1,930 45,818 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Lawson Products 1,010 $ 27,118 Maverick Tube Corp. * 2,420 37,558 Mueller Industries, Inc. * 2,342 59,604 Quanex Corp. 1,398 46,973 Shaw Group, Inc. * 2,230 23,437 Timken Co. 4,290 65,380 Valmont Industries, Inc. 1,330 26,321 Wolverine Tube, Inc. * 825 3,490 ------------ 378,204 ------------ METALS (0.44%) Cleveland-Cliffs, Inc. * 900 23,040 Material Sciences Corp. 630 6,439 Reliance Steel & Aluminum Co. 1,965 43,603 Ryerson Tull, Inc. 500 3,900 Steel Dynamics, Inc. * 2,090 31,643 Steel Technologies, Inc. 280 3,486 ------------ 112,111 ------------ MILITARY DEFENSE (0.31%) Engineered Support Systems, Inc. 1,320 79,860 ------------ MINING (0.35%) Brush Engineered Materials, Inc. * 1,030 10,557 Century Aluminum Co. * 680 7,378 Commonwealth Industries, Inc. * 930 4,418 Massey Energy Co. 4,230 56,259 RTI International Metal, Inc. * 980 10,310 ------------ 88,922 ------------ OFFICE EQUIPMENT (0.33%) Global Imaging Systems, Inc. * 1,520 37,392 Imagistics International, Inc. * 1,210 35,066 Interface, Inc. * 2,068 11,209 ------------ 83,667 ------------ OFFICE SUPPLIES (0.39%) John H. Harland Co. 1,760 46,587 New England Business Services, Inc. 1,080 28,750 Standard Register Co. 1,510 25,066 ------------ 100,403 ------------ OIL & GAS (4.91%) Atwood Oceanics, Inc. * 1,350 32,386 Cabot Oil & Gas Corp. 1,971 51,246 CAL Dive International, Inc. * 2,050 39,852 CARBO Ceramics, Inc. 1,480 53,517 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Cimarex Energy Co. * 2,220 $ 43,512 Dril-Quip, Inc. * 810 13,689 Eagle Geophysical, Inc. * 65 0 Evergreen Resources, Inc. * 3,420 92,340 Frontier Oil Corp. 1,310 19,257 Hydril Co. * 1,230 24,920 Input/Output, Inc. * 2,224 8,696 Lone Star Technologies * 1,790 24,147 Newfield Exploration Co. * 4,082 157,443 Nuevo Energy Co. * 1,380 25,075 Oceaneering International, Inc. * 1,616 38,008 Patina Oil & Gas Corp. 2,438 88,353 Plains Resources, Inc. * 1,250 15,562 Prima Energy Corp. * 820 20,705 Remington Oil & Gas Corp. * 1,200 21,780 Seacor Smit, Inc. * 1,750 63,297 Southwestern Energy Co. * 1,080 19,548 Spinaker Exploration Co. * 2,170 52,080 St. Mary Land & Exploration Co. 1,810 45,829 Stone Energy Corp. * 2,070 73,030 Swift Energy Co. * 1,180 16,650 Tetra Technologies, Inc. * 1,755 36,188 Tom Brown, Inc. * 2,500 64,250 Unit Corp. * 2,020 38,057 Veritas DGC, Inc. * 1,680 13,406 Vintage Petroleum, Inc 3,286 35,752 W-H Energy Services, Inc. * 1,160 20,648 ------------ 1,249,223 ------------ PACKAGING & CONTAINERS (0.10%) Chesapeake Corp. 1,070 24,118 ------------ PHARMACEUTICALS (2.07%) Accredo Health, Inc. * 3,050 85,369 Alpharma, Inc. 3,050 56,730 Cephalon, Inc. * 3,750 172,200 Cima Labs, Inc. * 1,000 27,950 Medicis Pharmaceutical 2,010 117,786 Noven Pharmaceuticals, Inc. * 1,210 13,794 Priority Healthcare Corp. * 2,608 53,568 ------------ 527,397 ------------ PHOTOGRAPHY EQUIPMENT (0.04%) Concord Camera Photo Equipment 840 8,946 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- REAL ESTATE INVESTMENT TRUST (2.34%) Capital Automotive REIT 2,150 $ 65,597 Colonial Properties Trust 2,550 91,877 Essex Property Trust, Inc. 2,710 169,944 Gables Residential * 2,470 79,830 Glenborough Realty Trust, Inc. 470 8,864 Kilroy Realty Corp. 2,020 57,671 Shurgard Storage Centers, Inc. 3,450 121,785 ------------ 595,568 ------------ RECREATIONAL VEHICLES (1.12%) Arctic Cat, Inc. 1,220 23,583 Polaris Industries, Inc. 1,870 138,661 Thor Industries, Inc. 2,260 122,085 ------------ 284,329 ------------ RETAIL-APPAREL (3.02%) AnnTaylor Stores Corp. * 3,190 102,527 Brown Shoe Co., Inc. 1,399 44,348 Burlington Coat Factory Warehouse Corp. 2,530 47,311 Cato Corp. 1,600 32,272 Childrens Place * 1,750 30,013 Christopher & Banks Corp. 2,550 60,843 Dress Barn, Inc. * 2,132 29,208 Footstar, Inc. * 1,190 8,044 Genesco, Inc. * 1,220 19,593 Goody's Family Clothing, Inc. 600 5,916 HOT Topic, Inc. * 3,255 73,368 Men's Wearhouse, Inc. * 2,735 70,153 Pacific Sunwear Of California * 5,163 106,668 Stein Mart, Inc. * 2,190 11,979 Too, Inc. * 2,090 30,786 Urban Outfitters, Inc. * 3,000 78,180 Wet Seal, Inc. * 1,750 17,587 ------------ 768,796 ------------ RETAIL-AUTO PARTS (0.53%) Group 1 Automotive, Inc. * 1,680 58,027 PEP Boys-Manny Moe & Jack 3,140 48,042 TBC Corp. * 1,130 28,307 ------------ 134,376 ------------ RETAIL-BEDDING (0.28%) Linens 'N Things, Inc. * 3,030 72,053 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- RETAIL-COMPUTER EQUIPMENT (0.38%) Electronics Boutique Holdings Corp. * 1,870 $ 53,426 Insight Enterprises, Inc. * 2,825 42,997 ------------ 96,423 ------------ RETAIL-CONSUMER ELECTRONICS (0.03%) Ultimate Electronics, Inc. * 780 7,402 ------------ RETAIL-CONVENIENCE STORE (0.13%) Casey's General Stores, Inc. 2,322 32,578 ------------ RETAIL-DISCOUNT (0.50%) Fred's, Inc. 2,770 91,299 ShopKo Stores, Inc. * 2,324 34,860 ------------ 126,159 ------------ RETAIL-DRUG STORE (0.08%) Duane Reade, Inc. * 1,350 21,533 ------------ RETAIL-FABRIC STORE (0.24%) Hancock Fabrics, Inc. 1,180 18,620 Jo-Ann Stores, Inc. * 1,495 41,711 ------------ 60,331 ------------ RETAIL-GARDENING PRODUCTS (0.34%) Tractor Supply * 2,660 87,275 ------------ RETAIL-HAIR SALONS (0.62%) Regis Corp. 4,935 158,413 ------------ RETAIL-HOME FURNISHINGS (0.31%) Cost Plus, Inc. * 1,640 60,549 Haverty Furniture Cos., Inc. 940 17,183 ------------ 77,732 ------------ RETAIL-JEWELRY (0.41%) Zale Corp. * 2,340 103,919 ------------ RETAIL-MAIL ORDER (0.05%) J. Jill Group, Inc. * 1,140 13,110 ------------ RETAIL-OFFICE SUPPLIES (0.15%) School Specialty, Inc. * 1,330 37,519 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- RETAIL-PAWN (0.07%) Cash America International, Inc. 1,050 $ 17,220 ------------ RETAIL-RESTAURANTS (1.61%) CEC Entertainment, Inc. * 2,292 89,846 Ihop Corp. 1,850 60,773 Landry's Restaurants, Inc. 1,770 36,462 P.F. Chang's China Bistro, Inc. * 1,330 32,997 Panera Bread Co. * 2,060 93,421 Papa John's International, Inc. * 2,350 96,256 ------------ 409,755 ------------ RETAIL-VIDEO RENTAL (0.14%) Movie Gallery, Inc. * 1,800 35,370 ------------ SAVINGS & LOANS (2.40%) Anchor Bancorp Wisconsin, Inc. 1,040 24,419 Bankunited Financial Corp. * 1,440 30,355 Commercial Federal Corp. 2,830 68,911 Dime Community Bancshares 1,655 38,065 Downey Financial Corp. 2,436 113,834 FirstFed Financial Corp. * 1,750 69,125 Flagstar Bancorp, Inc. 3,340 76,653 MAF Bancorp, Inc. 2,290 87,478 Seacoast Financial Services Corp. 790 16,361 Staten Island Bancorp, Inc. 3,740 72,743 Waypoint Financial Corp 651 13,020 ------------ 610,964 ------------ SCHOOLS (0.58%) ITT Educational Services, Inc. * 3,090 148,073 ------------ SEMICONDUCTORS (3.31%) Actel Corp. * 1,970 47,221 Alliance Semiconductor Corp. * 2,220 12,077 ATMI, Inc. * 2,330 58,879 Axcelis Technologies, Inc. * 4,350 35,931 Cohu, Inc. 1,490 29,144 Dupont Photomasks, Inc. * 1,560 35,428 ESS Technology * 2,260 24,363 Exar Corp. * 2,190 30,945 Helix Technology Corp. 1,590 26,028 Kopin Corp. * 3,060 21,206 Kulicke & Soffa Industries, Inc. * 2,730 29,593 Microsemi Corp. * 1,830 27,889 Pericom Semiconductor Corp. * 1,270 12,700 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Photronics, Inc. * 2,290 $ 48,685 Power Integrations, Inc. * 2,150 71,466 Rudolph Technologies, Inc. * 1,130 21,820 Skyworks Solutions, Inc. * 7,860 71,526 Standard Microsystems Corp. * 1,200 32,376 Supertex, Inc. * 790 14,173 Three-Five Systems, Inc. * 1,150 6,337 Ultratech Stepper, Inc. * 1,710 48,256 Varian Semiconductor Equipment Associates, Inc. * 2,580 96,621 Veeco Instruments, Inc. * 2,000 39,920 ------------ 842,584 ------------ STORAGE/WAREHOUSING (0.07%) Mobile Mini, Inc. * 860 16,589 ------------ TELECOMMUNICATIONS (1.40%) Adaptec, Inc. * 5,410 40,900 Aeroflex, Inc. * 2,795 24,736 Anixter International, Inc. * 2,316 52,735 Audiovox Corp. * 2,060 26,018 Black Box Corp. 1,530 60,909 Boston Communications Group * 800 7,977 Cable Design Technologies Corp. * 2,570 20,560 C-COR.net Corp. * 2,010 13,266 Commonwealth Telephone Enterprises, Inc. * 430 17,256 General Communication * 1,740 14,477 Harmonic, Inc. * 3,020 18,935 Metro One Telecommunications * 1,540 5,359 Network Equipment Technologies, Inc. * 970 8,876 Symmetricom, Inc. * 1,165 7,374 Tollgrade Communications, Inc. * 790 12,695 Viasat, Inc. * 1,400 24,934 ------------ 357,007 ------------ THERAPEUTICS (0.33%) MGI Pharma, Inc. * 2,000 78,520 Theragenics Corp. * 1,150 6,555 ------------ 85,075 ------------ TOY/GAMES/HOBBIES (0.25%) Action Performance Cos., Inc. 1,250 30,550 Department 56 * 1,500 19,050 Jakks Pacific, Inc. * 1,230 14,994 ------------ 64,594 ------------ TRANSPORTATION (2.36%) Arkansas Best Corp. 1,630 44,825 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Forward Air Corp. * 1,520 $ 42,028 Heartland Express, Inc. 2,944 70,715 Kansas City Southern * 2,490 27,564 Kirby Corp. * 1,657 47,556 Knight Transportation, Inc. * 2,360 59,165 Landstar System, Inc. * 1,470 89,699 Offshore Logistics, Inc. * 1,190 24,157 Roadway Corp. 1,460 71,204 SCS Transportation, Inc. * 1 15 USF Corp. 2,032 63,947 Yellow Corp. * 1,966 58,744 ------------ 599,619 ------------ UTILITIES (3.72%) American States Water Co. 1,095 25,809 Atmos Energy Corp. 2,156 51,615 Avista Corp. 2,600 40,508 Cascade Natural Gas Corp. 1,380 27,048 Central Vermont Public Sevice Corp. 1,950 43,251 CH Energy Group, Inc. 2,050 90,200 Cleco Corp. 1,650 26,961 El Paso Electric Co. * 1,090 12,590 Energen Corp. 2,480 89,726 Green Mountain Power Corp. 670 15,109 Laclede Group, Inc. 1,120 30,251 New Jersey Resources Corp. 2,094 75,468 Northwest Natural Gas Co. 1,542 44,718 NUI Corp. 980 14,651 Piedmont Natural Gas Co. 2,699 105,261 Southern Union Co. * 3,040 51,680 Southwest Gas Corp. 1,679 38,113 UGI Corp. 3,000 86,790 UIL Holdings Corp. 1,501 52,520 Unisource Energy Corp. 1,320 25,106 ------------ 947,375 ------------ TOTAL COMMON STOCK (COST $23,894,000) 24,968,748 ------------ MISCELLANEOUS INVESTMENTS (1.65%) Midcap SPDR Trust Series 1 4,500 420,210 Other Investments 1,500 42 ------------ TOTAL MISCELLANEOUS INVESTMENTS (COST $430,980) 420,252 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND SMALL CAP EQUITY FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- TOTAL INVESTMENTS (COST $24,324,980) (99.79%) $ 25,389,000 OTHER ASSETS IN EXCESS OF LIABILITIES, (0.21%) 54,518 ------------ NET ASSETS (100%) $ 25,443,518 ============ Cost for federal income tax at September 30, 2003 was $24,385,271 and net unrealized appreciation consisted of: Gross unrealized appreciation $ 4,082,309 Gross unrealized depreciation (3,078,580) ------------ Net unrealized appreciation $ 1,003,729 ============ * Non-income producing investment THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- COMMON STOCK (97.12%) ARGENTINA (0.10%) YPF Sociedad Anonima SA ADR 470 $ 12,596 ------------ AUSTRIA (0.17%) Telekom Austria AG ADR * 1,010 21,463 ------------ AUSTRALIA (5.84%) Amcor Ltd. ADR 3,270 77,960 Ansell Ltd. ADR 1,150 20,700 Australia & New Zealand Banking Group Ltd. ADR 2,090 127,177 BHP Billiton Ltd. ADR 3,800 53,884 Coles Myer Ltd. ADR 1,730 71,665 CSR Ltd. ADR 1,360 7,364 James Hardie Industries NV ADR 1,720 43,602 National Australia Bank Ltd. ADR 1,210 126,239 Westpac Banking Corp. ADR 3,690 204,500 ------------ 733,091 ------------ BELGIUM (0.29%) Delhaize Group ADR 890 36,268 ------------ BRITAIN (25.07%) Amersham Plc ADR 1,130 50,567 Amvescap Plc ADR 1,180 17,924 AstraZeneca Plc ADR 4,110 178,374 Barclays Plc ADR 4,390 136,090 BG Group Plc ADR 3,260 70,057 BOC Group Plc ADR 2,490 69,172 Boots Group Plc ADR 2,340 50,190 BP Plc ADR 8,510 358,271 British Airways Plc ADR 590 16,650 British Sky Broadcasting Plc ADR * 1,080 44,496 BT Group Plc ADR 2,550 77,265 Bunzl Plc ADR 1,370 52,581 Carnival Plc ADR 696 22,161 Galen Holdings Plc ADR 320 14,560 GlaxoSmithKline Plc ADR 7,460 316,304 Hanson Plc ADR 1,270 40,615 HSBC Holdings Plc ADR 6,010 396,660 Imperial Chemical Industries Plc ADR 1,120 12,488 International Power Plc ADR * 950 21,043 Kingfisher Plc ADR 333 2,884 Lloyds TSB Group Plc ADR 4,290 118,619 National Grid Transco Plc ADR 2,890 94,416 Prudential Plc ADR 3,080 42,658 Rentokil Initial Plc ADR 1,800 31,886 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Reuters Group Plc ADR 890 $ 19,295 Rexam Plc ADR 1,090 36,906 Rio Tinto Plc ADR 890 78,098 Scottish Power Plc ADR 2,350 55,695 Shell Transport & Trading Co. Plc ADR 1,820 68,723 Signet Group Plc ADR 560 29,864 Smith & Nephew Plc ADR 510 33,966 Tate & Lyle Plc ADR 390 8,423 Tesco Plc ADR 4,570 54,895 Unilever Plc ADR 2,420 83,829 United Utilities Plc ADR 3,410 53,810 Vodafone Group Plc ADR 14,570 295,043 Wolseley Plc ADR 920 54,832 WPP Group Plc ADR 930 39,265 ------------ 3,148,575 ------------ CHINA (0.40%) PetroChina Co. Ltd. ADR 1,100 36,905 Yanzhou Coal Mining Co. ADR 500 13,850 ------------ 50,755 ------------ DENMARK (0.36%) Novo-Nordisk A/S ADR 1,220 45,006 ------------ FRANCE (8.24%) Alcatel SA ADR 2,440 28,865 Aventis SA ADR 2,460 128,658 AXA ADR 5,160 87,668 Business Objects SA ADR * 480 11,976 Dassault Systemes SA ADR 580 20,428 Groupe Danone ADR 3,030 92,476 Lafarge SA ADR 3,160 51,666 Pechiney SA ADR 1,250 34,188 PSA Peugeot Citroen ADR 1,420 60,342 Publicis Groupe ADR 1,010 27,846 Sanofi-Synthelabo SA ADR 2,590 78,270 Sodexho Alliance SA ADR 1,110 30,303 Suez SA ADR 3,420 54,378 Technip-Coflexip SA ADR 970 23,862 Thomson ADR 1,040 18,117 Total Fina Elf SA ADR 3,090 234,222 Valeo SA ADR 1,130 20,627 Vivendi Environment ADR 1,370 30,811 ------------ 1,034,703 ------------ GERMANY (6.05%) Allianz AG ADR 4,460 39,426 BASF AG ADR 2,520 110,275 Bayer AG ADR 3,470 74,848 Deutsche Telekom AG ADR * 4,990 72,056 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- E.ON AG ADR 2,290 $ 111,752 Infineon Technologies ADR 1,100 14,179 Pfeiffer Vacuum Technology AG ADR 590 17,871 RWE AG ADR 2,090 55,493 SAP AG ADR 2,140 65,077 Schering AG ADR 1,380 59,961 Siemens AG ADR 2,330 138,425 ------------ 759,363 ------------ HONG KONG (1.65%) CNOOC Ltd. ADR 1,830 62,897 Huaneng Power International, Inc. ADR 270 14,769 Hutchison Whampoa Ltd. ADR 3,560 129,872 ------------ 207,538 ------------ IRELAND (1.40%) Allied Irish Banks Plc ADR 2,370 70,271 Bank of Ireland ADR 1,440 70,171 Icon Plc ADR * 320 12,122 Ryanair Holdings Plc ADR * 560 22,680 ------------ 175,244 ------------ ITALY (3.41%) Benetton Group SpA ADR 1,700 35,632 Ducati Motor Holding SpA ADR * 1,830 30,012 Enel SpA ADR 3,420 106,362 ENI SpA ADR 2,100 160,713 Sanpaolo IMI SpA ADR 4,780 95,361 ------------ 428,080 ------------ JAPAN (17.39%) Advantest Corp. ADR 1,510 25,066 Bridgestone Corp. ADR 1,230 32,920 Canon, Inc. ADR 2,820 137,390 Casio Computer Co. Ltd. ADR 300 22,933 CSK Corp. ADR 670 22,881 Fuji Photo Film Co. Ltd. ADR 2,320 67,744 Fujitsu Ltd. ADR 2,170 56,719 Hitachi Ltd. ADR 1,880 103,193 Honda Motor Co. Ltd. ADR 4,390 88,502 Ito-Yokado Co. Ltd. ADR 1,260 30,089 Konami Corp. ADR 640 19,718 Kubota Corp. ADR 1,910 32,852 Kyocera Corp. ADR 740 43,912 Matsushita Electric Industrial Co. Ltd. ADR 6,010 71,880 Millea Holdings, Inc. ADR 1,980 110,407 Mitsubishi Corp. ADR 2,890 49,514 Mitsui & Co. Ltd. ADR 590 82,010 Nidec Corp. ADR 420 34,755 Nintendo Co. Ltd. ADR 2,640 27,885 Nippon Telegraph & Telephone Corp. ADR 4,070 92,145 CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- Nissan Motor Co. Ltd. ADR 3,460 $ 75,151 Nomura Holdings, Inc. ADR 6,740 108,110 NTT DoCoMo, Inc. ADR 4,390 107,248 Olympus Optical Co. Ltd. ADR 1,690 40,240 ORIX Corp. ADR 1,600 63,360 Pioneer Corp. ADR 1,340 33,500 Ricoh Co. Ltd. ADR 690 61,755 Sanyo Electric Co. Ltd. ADR 1,720 36,550 Sharp Corp. ADR 3,440 50,346 Shiseido Co. Ltd. ADR 1,760 20,071 Sony Corp. ADR 2,580 89,784 TDK Corp. ADR 670 39,798 Trend Micro, Inc. ADR * 550 11,110 Toyota Motor Corp. ADR 3,820 227,481 Wacoal Corp. ADR 1,570 66,913 ------------ 2,183,932 ------------ NETHERLANDS (8.74%) ABN Amro Holding NV ADR 5,350 98,814 Aegon NV ADR 3,307 38,692 Akzo Nobel NV ADR 1,940 60,819 ASM Lithography Holding NV ADR * 1,080 14,180 Equant NV ADR * 2,680 45,292 Gucci Group NV 280 23,604 ING Groep NV ADR 6,300 116,550 Koninklijke Ahold NV ADR 2,400 22,896 Koninklijke KPN NV ADR * 3,910 29,325 Koninklijke Philips Electronics NV 3,450 79,074 Reed Elsevier NV ADR 1,900 43,282 Reed Elsevier Plc ADR 1,620 51,192 Royal Dutch Petroleum Co. ADR 5,570 246,194 TPG NV ADR 2,660 50,912 Unilever NV 2,050 121,319 VNU NV ADR 1,270 37,226 Wolters Kluwer NV ADR 1,320 18,938 ------------ 1,098,309 ------------ NEW ZEALAND (0.69%) Telecom Corp of New Zealand Ltd. ADR 3,540 86,447 ------------ NORWAY (0.97%) Norsk Hydro ASA ADR 2,380 122,237 ------------ PORTUGAL (0.95%) Banco Comercial Portugues SA ADR 2,030 18,311 Electricidade de Portugal SA ADR 4,400 101,112 ------------ 119,423 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- SINGAPORE (0.74%) DBS Group Holdings Ltd. ADR 1,870 $ 55,822 United Overseas Bank Ltd. ADR 2,400 37,210 ------------ 93,032 ------------ SPAIN (3.73%) Banco Bilbao Vizcaya Argentaria SA ADR 9,310 96,265 Banco Santander Central Hispano SA ADR 5,480 46,635 Endesa SA ADR 5,220 81,171 Repsol YPF SA ADR 4,250 69,998 Telefonica SA ADR 4,934 174,910 ------------ 468,979 ------------ SWEDEN (2.17%) Electrolux AB ADR 860 37,625 Modern Times Group AB ADR * 600 9,540 SKF AB ADR 1,050 33,120 Svenska Cellulosa AB ADR 1,570 56,830 Tele2 AB ADR * 760 33,060 Telefonaktiebolaget LM Ericsson ADR * 3,400 49,912 Volvo AB ADR 2,270 52,846 ------------ 272,933 ------------ SWITZERLAND (8.76%) Centerpulse Ltd. ADR * 440 12,644 Ciba Specialty Chemicals AG ADR 2,400 80,976 Compagnie Fianciere Richemont AG ADR 2,490 49,493 Converium Holding AG ADR 1,490 34,121 Credit Suisse Group ADR 3,760 120,207 Logitech International SA ADR * 430 13,330 Novartis AG ADR 8,160 316,934 Roche Holding AG ADR 2,790 231,333 Serono SA ADR 1,010 16,544 STMicroelectronics NV 1,880 45,214 Swiss Reinsurance ADR 1,500 95,295 Swisscom AG ADR 1,950 57,096 Syngenta AG ADR 2,530 27,678 ------------ 1,100,865 ------------ TOTAL COMMON STOCK (COST $10,612,850) 12,198,839 ------------ PREFERRED STOCK (0.70%) Premier Farnell Plc ADR (COST $70,760) 3,860 88,201 ------------ MISCELLANEOUS INVESTMENTS (1.68%) Ishares MSCI EAFE Index Fund (COST $217,512) 1,800 210,690 ------------ CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND INTERNATIONAL FUND SCHEDULE OF INVESTMENTS - SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- SHARES VALUE ------ ----- SHORT TERM INVESTMENTS (0.00%) Fifth Third Institutional Government Money Market Fund, 0.95% ** (COST $102) 102 $ 102 ------------ TOTAL INVESTMENTS (Cost $10,901,224) (99.50%) $ 12,497,832 OTHER ASSETS IN EXCESS OF LIABILITIES (0.50%) 62,883 ------------ NET ASSETS (100%) $ 12,560,715 ============ Cost for federal income tax at September 30, 2003 was $11,198,368 and net unrealized appreciation consisted of: Gross unrealized appreciation $ 1,698,328 Gross unrealized depreciation (398,864) ------------ Net unrealized appreciation $ 1,299,464 ============ * Non-income producing investment ** Variable rate security; rate shown represents rate at September 30, 2003. ADR - American depository receipt THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
THE CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND STATEMENTS OF ASSETS AND LIABILITIES SEPTEMBER 30, 2003 --------------------------------------------------------------------------------------------------------------------------------- SHORT-TERM BOND BOND LARGE CAP SMALL CAP INTERNATIONAL FUND FUND EQUITY FUND EQUITY FUND FUND ------------ ------------ ------------ ------------ ------------ ASSETS: Investments, at value (identified cost $29,256,446, $56,764,106, $94,411,284, $24,324,980 and $10,901,224, respectively) (Note 2) $ 29,591,857 $ 60,575,186 $ 80,772,932 $ 25,389,000 $ 12,497,832 Receivables: Investments sold -- -- 136,964 187,011 24,103 Fund Share sold 13,721 11,727 18,241 15,488 4,659 Collateral for securities loaned, at fair value (Note 8) 9,598,300 17,303,878 919,376 1,019,590 101,900 Dividends and interest 405,113 742,672 81,333 18,037 41,474 Prepaid expenses 12,556 22,647 20,786 17,424 18,148 ------------ ------------ ------------ ------------ ------------ Total assets 39,621,547 78,656,110 81,949,632 26,646,550 12,688,116 ------------ ------------ ------------ ------------ ------------ LIABILITIES: Payables: Fund Share $ -- $ 27,819 $ 28,308 $ 7,380 $ 6,576 12b-1 fees 504 11,760 10,192 3,554 2,467 Due to Custodian 10,149 1,800 5,592 145,035 2,386 Due to Advisor 5,580 11,081 15,157 4,883 2,367 Accrued expenses 13,177 32,847 36,951 22,590 11,705 Payables upon return of securities loaned (Note 8) 9,598,300 17,303,878 919,376 1,019,590 101,900 ------------ ------------ ------------ ------------ ------------ Total liabilities 9,627,710 17,389,185 1,015,576 1,203,032 127,401 ------------ ------------ ------------ ------------ ------------ NET ASSETS $ 29,993,837 $ 61,266,925 $ 80,934,056 $ 25,443,518 $ 12,560,715 ============ ============ ============ ============ ============ NET ASSETS CONSIST OF: Paid-in Capital $ 29,558,188 $ 58,333,459 $102,885,692 $ 25,288,836 $ 26,414,082 Undistributed net investment income -- 51,629 8,128 4,563 -- Undistributed realized gain (loss) on investments 100,238 (929,243) (8,321,412) (913,901) (15,450,482) Net unrealized appreciation (depreciation) on: Investments 335,411 3,811,080 (13,638,352) 1,064,020 1,596,608 Translation of assets and liabilities in foreign currencies -- -- -- -- 507 ------------ ------------ ------------ ------------ ------------ NET ASSETS $ 29,993,837 $ 61,266,925 $ 80,934,056 $ 25,443,518 $ 12,560,715 ============ ============ ============ ============ ============ CLASS A SHARES (NOTE 1): Net assets for 24,973, 1,798,467, 2,208,476, 594,830 and 497,353 shares outstanding, respectively $ 636,227 $ 46,473,576 $ 50,585,169 $ 16,688,658 $ 8,101,972 Net asset value, offering and redemption price per Class A Share $ 25.48 $ 25.84 $ 22.91 $ 28.06 $ 16.29 CLASS C SHARES (NOTE 1): Net assets for 1,153,314, 570,331, 1,318,843, 310,072 and 272,232 shares outstanding, respectively $ 29,357,610 $ 14,793,349 $ 30,348,887 $ 8,754,860 $ 4,458,743 Net asset value, offering and redemption price per Class C share $ 25.46 $ 25.94 $ 23.01 $ 28.23 $ 16.38
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
THE CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUE FUND STATEMENTS OF OPERATIONS FOR THE YEAR ENDED SEPTEMBER 30, 2003 ----------------------------------------------------------------------------------------------------------------------------------- SHORT-TERM BOND BOND LARGE CAP SMALL CAP INTERNATIONAL FUND FUND EQUITY FUND EQUITY FUND FUND ------------ ------------ ------------ ------------ ------------ INVESTMENT INCOME: Interest $ 1,038,200 $ 3,154,407 $ 5,354 $ 2,525 $ 34,618 Dividends (net of foreign taxes withheld of $9,452 for the International Fund) -- -- 1,333,972 234,372 381,448 Other income 7,945 2,310 1,640 9,662 1,182 ------------ ------------ ------------ ------------ ------------ Total Investment Income 1,046,145 3,156,717 1,340,966 246,559 417,248 ------------ ------------ ------------ ------------ ------------ EXPENSES: Investment advisory fees (Note 4) 54,585 95,652 113,429 38,439 30,636 Administration fee (Note 4) 27,292 47,701 56,715 19,220 15,318 Accounting fee 30,861 45,619 52,090 20,919 19,972 Custodian fees 42,574 16,110 23,219 9,437 45,176 Transfer agency fees 12,605 18,633 21,276 8,544 8,157 Distribution fees - Class A (Note 5) 1,230 104,448 96,164 30,586 16,349 Trustee expense 12,012 19,620 24,366 2,341 5,662 Audit fees 6,066 20,579 19,273 12,576 5,897 Legal fees 5,603 45,421 11,034 2,767 2,604 Consulting fees 7,984 14,314 16,977 6,957 5,096 Pricing fees 3,116 11,386 18,461 6,484 7,728 Registration fees 12,680 14,805 19,422 14,658 12,727 Reports to shareholders 3,357 11,166 6,742 1,335 1,609 Other 9,428 24,831 27,462 8,025 11,756 ------------ ------------ ------------ ------------ ------------ Total expenses 229,393 490,285 506,630 182,288 188,687 ------------ ------------ ------------ ------------ ------------ Net investment income 816,752 2,666,432 834,336 64,271 228,561 ------------ ------------ ------------ ------------ ------------ REALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY: Net realized gain (loss) on: Investments 100,237 (166,756) (607,203) (263,926) (4,238,453) Redemption in kind -- 2,422,668 (43,646,584) (6,889,572) (19,731,356) Foreign currency transactions -- -- -- -- (17,216) Net unrealized appreciation (depreciation) during the period on: Investments (360,874) (3,285,505) 68,660,427 14,852,488 29,342,597 Translation of assets and liabilities in foreign currencies -- -- -- -- (2,809) ------------ ------------ ------------ ------------ ------------ Net gain (loss) on investments and foreign currency (260,637) (1,029,593) 24,406,640 7,698,990 5,352,763 ------------ ------------ ------------ ------------ ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 556,115 $ 1,636,839 $ 25,240,976 $ 7,763,261 $ 5,581,324 ============ ============ ============ ============ ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
THE CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUE FUND STATEMENTS OF CHANGES IN NET ASSETS ----------------------------------------------------------------------------------------------------------------------------------- SHORT-TERM BOND BOND LARGE CAP SMALL CAP INTERNATIONAL For the Year Ended September 30, 2003 FUND FUND EQUITY FUND EQUITY FUND FUND ------------ ------------ ------------ ------------ ------------ Decrease in Net Assets Operations: Net investment income $ 816,752 $ 2,666,432 $ 834,336 $ 64,271 $ 228,561 Net realized gain (loss) on: Investments 100,237 (166,756) (607,203) (263,926) (4,238,453) Redemption in kind -- 2,422,668 (43,646,584) (6,889,572) (19,731,356) Foreign currency transactions -- -- -- -- (17,216) Net unrealized appreciation (depreciation) during the period on: Investments (360,874) (3,285,505) 68,660,427 14,852,488 29,342,597 Translation of assets and liabilities in foreign currencies -- -- -- -- (2,809) ------------ ------------ ------------ ------------ ------------ Net increase in net assets resulting from operations 556,115 1,636,839 25,240,976 7,763,261 5,581,324 ------------ ------------ ------------ ------------ ------------ Distributions to shareholders from: Net investment income Class A (11,188) (1,903,612) (472,401) (30,686) (113,932) Class C (839,850) (777,583) (409,509) (29,022) (108,310) Net realized gain Class A (2,513) -- -- (395,330) -- Class C (259,990) -- -- (2,809,844) -- ------------ ------------ ------------ ------------ ------------ Total Distributions (1,113,541) (2,681,195) (881,910) (3,264,882) (222,242) ------------ ------------ ------------ ------------ ------------ Decrease in net assets from Fund share transactions (Note 6) (692,846) (41,307,173) (91,027,008) (53,895,508) (45,290,561) ------------ ------------ ------------ ------------ ------------ Decrease in net assets (1,250,272) (42,351,529) (66,667,942) (49,397,129) (39,931,479) NET ASSETS: Beginning of period 31,244,109 103,618,454 147,601,998 74,840,647 52,492,194 ------------ ------------ ------------ ------------ ------------ End of period $ 29,993,837 $ 61,266,925 $ 80,934,056 $ 25,443,518 $ 12,560,715 ============ ============ ============ ============ ============ FOR THE YEAR ENDED SEPTEMBER 30, 2002 Decrease in Net Assets Operations: Net investment income $ 1,231,833 $ 4,928,753 $ 2,054,256 $ 335,464 $ 855,735 Net realized gain (loss) on: Investments 427,020 (179,060) (6,763,721) 3,100,912 (4,842,401) Foreign currency transactions -- -- -- -- (15,253) Net unrealized appreciation (depreciation) during the period on: Investments (248,068) 3,763,191 (34,656,222) (4,659,728) (5,562,731) Translation of assets and liabilities in foreign currencies -- -- -- -- 2,697 ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in net assets resulting from operations 1,410,785 8,512,884 (39,365,687) (1,223,352) (9,561,953) ------------ ------------ ------------ ------------ ------------ Distributions to shareholders from: Net investment income Class A (6,649) (1,251,843) (256,054) (19,905) (60,005) Class C (1,231,151) (3,676,231) (1,756,926) (330,356) (817,192) Net realized gain Class A -- -- (108,714) (726,705) -- Class C -- -- (750,522) (8,579,316) -- ------------ ------------ ------------ ------------ ------------ Total Distributions (1,237,800) (4,928,074) (2,872,216) (9,656,282) (877,197) ------------ ------------ ------------ ------------ ------------ Increase in net assets from Fund share transactions (Note 6) 2,814,789 8,215,349 16,873,655 9,923,456 1,130,790 ------------ ------------ ------------ ------------ ------------ Increase (decrease) in net assets 2,987,774 11,800,159 (25,364,248) (956,178) (9,308,360) NET ASSETS: Beginning of period 28,256,335 91,818,295 172,966,246 75,796,825 61,800,554 ------------ ------------ ------------ ------------ ------------ End of period $ 31,244,109 $103,618,454 $147,601,998 $ 74,840,647 $ 52,492,194 ============ ============ ============ ============ ============
THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS SHORT-TERM BOND FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS A ------- For the Year For the Year For the Year For the Year For the Period Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 25.87 $ 25.66 $ 24.70 $ 24.68 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 0.52 * 1.04 * 1.14 1.35 * 0.68 Net realized and unrealized gain (loss) on investments and foreign currency transactions (0.11)* 0.13 * 1.21 (0.05)* (0.23) ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.41 1.17 2.35 1.30 0.45 ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (0.57) (0.96) (1.39) (1.28) (0.77) From net realized capital gain (0.22) -- -- -- -- From return of capital (0.01) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.80) (0.96) (1.39) (1.28) (0.77) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 25.48 $ 25.87 $ 25.66 $ 24.70 $ 24.68 ========== ========== ========== ========== ========== TOTAL RETURN 1.61% 4.68% 9.74% 5.42% 1.84% Ratios of expenses to average net assets: before fee waivers 0.88% 0.81% 0.74% 0.72% 0.79% 1 after fee waivers 0.88% 0.81% 0.74% 0.72% 0.61% 1 Ratios of net investment income to average net assets: before fee waivers 2.00% 4.04% 5.32% 5.25% 4.34% 1 after fee waivers 2.00% 4.04% 5.32% 5.25% 4.52% 1 Portfolio turnover rate 776.35% 27.77% 36.76% 55.28% 47.85% Net assets, end of period $ 636,227 $ 292,996 $ 497,078 $ 26,583 $ 727
1 Annualized * Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS SHORT-TERM BOND FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS C ------- For the Year For the Year For the Year For the Year For the Period Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 25.85 $ 25.70 $ 24.74 $ 24.72 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 0.58 * 1.09 1.44 1.35 0.80 Net realized and unrealized gain (loss) on investments and foreign currency transactions (0.11)* 0.15 0.97 -- (0.30) ---------- ---------- ---------- ---------- ---------- Total from investment operations 0.47 1.24 2.41 1.35 0.50 ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (0.63) (1.09) (1.45) (1.33) (0.78) From net realized capital gain (0.22) -- -- -- -- From return of capital (0.01) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.86) (1.09) (1.45) (1.33) (0.78) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 25.46 $ 25.85 $ 25.70 $ 24.74 $ 24.72 ========== ========== ========== ========== ========== TOTAL RETURN 1.86% 4.97% 9.98% 5.63% 2.05% Ratios of expenses to average net assets: before fee waivers 0.63% 0.56% 0.49% 0.47% 0.54% 1 after fee waivers 0.63% 0.56% 0.49% 0.47% 0.36% 1 Ratios of net investment income to average net assets: before fee waivers 2.25% 4.29% 5.57% 5.50% 4.59% 1 after fee waivers 2.25% 4.29% 5.57% 5.50% 4.77% 1 Portfolio turnover rate 776.35% 27.77% 36.76% 55.28% 47.85% Net assets, end of period $29,357,610 $30,951,113 $27,759,257 $28,913,208 $25,927,109
1 Annualized * Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS BOND FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS A ------- For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 25.91 $ 25.08 $ 23.51 $ 23.36 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 1.05 * 1.31 1.33 1.27 * 1.06 Net realized and unrealized gain (loss) on investments and foreign currency transactions 0.05 * 0.81 1.57 0.11 * (1.57) ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.10 2.12 2.90 1.38 (0.51) ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (1.17) (1.29) (1.33) (1.23) (1.13) ---------- ---------- ---------- ---------- ---------- Total distributions (1.17) (1.29) (1.33) (1.23) (1.13) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 25.84 $ 25.91 $ 25.08 $ 23.51 $ 23.36 ========== ========== ========== ========== ========== TOTAL RETURN 4.33% 8.76% 12.56% 6.08% (2.04)% Ratios of expenses to average net assets: before fee waivers 0.86% 0.67% 0.64% 0.66% 0.62% after fee waivers 0.86% 0.67% 0.64% 0.66% 0.62% Ratios of net investment income to average net assets: before fee waivers 4.10% 5.10% 5.39% 5.31% 4.69% after fee waivers 4.10% 5.10% 5.39% 5.31% 4.69% Portfolio turnover rate 94.61% 5.09% 8.94% 25.64% 17.09% Net assets, end of period $46,473,576 $33,961,123 $17,461,376 $6,521,024 $ 8,466
* Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS BOND FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS C ------- For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 25.99 $ 25.16 $ 23.57 $ 23.40 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 1.14 * 1.38 1.38 * 1.30 1.16 Net realized and unrealized gain (loss) on investments and foreign currency transactions 0.04 * 0.80 1.59 * 0.14 (1.62) ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.18 2.18 2.97 1.44 (0.46) ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (1.23) (1.35) (1.38) (1.27) (1.14) ---------- ---------- ---------- ---------- ---------- Total distributions (1.23) (1.35) (1.38) (1.27) (1.14) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 25.94 $ 25.99 $ 25.16 $ 23.57 $ 23.40 ========== ========== ========== ========== ========== TOTAL RETURN 4.64% 8.98% 12.86% 6.34% (1.83)% Ratios of expenses to average net assets: before fee waivers 0.61% 0.42% 0.39% 0.41% 0.37% after fee waivers 0.61% 0.42% 0.39% 0.41% 0.37% Ratios of net investment income to average net assets: before fee waivers 4.35% 5.35% 5.64% 5.56% 4.94% after fee waivers 4.35% 5.35% 5.64% 5.56% 4.94% Portfolio turnover rate 94.61% 5.09% 8.94% 25.64% 17.09% Net assets, end of period $14,793,349 $69,657,331 $74,356,919 $72,055,471 $60,335,227
* Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS LARGE CAP EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS A ------- For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 18.76 $ 24.08 $ 34.49 $ 31.75 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 0.22 0.23 * 0.19 * 0.16 * 0.22 Net realized and unrealized gain (loss) on investments and foreign currency transactions 4.18 (5.20)* (9.10)* 3.68 * 6.80 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.40 (4.97) (8.91) 3.84 7.02 ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (0.25) (0.23) (0.20) (0.22) (0.27) From net realized capital gain -- (0.12) (1.30) (0.88) -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.25) (0.35) (1.50) (1.10) (0.27) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 22.91 $ 18.76 $ 24.08 $ 34.49 $ 31.75 ========== ========== ========== ========== ========== TOTAL RETURN 23.57% (20.97)% (26.64)% 12.07% 28.10% Ratios of expenses to average net assets: before fee waivers 0.79% 0.64% 0.62% 0.63% 0.63% after fee waivers 0.79% 0.64% 0.62% 0.63% 0.63% Ratios of net investment income to average net assets: before fee waivers 0.99% 0.89% 0.66% 0.54% 0.74% after fee waivers 0.99% 0.89% 0.66% 0.54% 0.74% Portfolio turnover rate 43.12% 9.76% 12.70% 36.64% 142.56% Net assets, end of period $50,585,169 $26,477,099 $19,301,451 $10,619,367 $ 99,888
* Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS LARGE CAP EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS C ------- For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 18.82 $ 24.15 $ 34.57 $ 31.79 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 0.26 * 0.28 * 0.27 * 0.26 0.30 Net realized and unrealized gain (loss) on investments and foreign currency transactions 4.22 * (5.22)* (9.13)* 3.67 6.79 ---------- ---------- ---------- ---------- ---------- Total from investment operations 4.48 (4.94) (8.86) 3.93 7.09 ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (0.29) (0.27) (0.26) (0.27) (0.30) From net realized capital gain -- (0.12) (1.30) (0.88) -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.29) (0.39) (1.56) (1.15) (0.30) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 23.01 $ 18.82 $ 24.15 $ 34.57 $ 31.79 ========== ========== ========== ========== ========== TOTAL RETURN 23.92% (20.80)% (26.42)% 12.34% 28.35% Ratios of expenses to average net assets: before fee waivers 0.54% 0.39% 0.37% 0.38% 0.38% after fee waivers 0.54% 0.39% 0.37% 0.38% 0.38% Ratios of net investment income to average net assets: before fee waivers 1.24% 1.14% 0.91% 0.79% 0.99% after fee waivers 1.24% 1.14% 0.91% 0.79% 0.99% Portfolio turnover rate 43.12% 9.76% 12.70% 36.64% 142.56% Net assets, end of period $30,348,887 $121,124,899 $153,664,795 $187,806,297 $132,381,985
* Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS SMALL CAP EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS A ------- For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 23.40 $ 26.51 $ 34.52 $ 29.17 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 0.04 * 0.05 0.05 * 0.01 0.14 Net realized and unrealized gain (loss) on investments and foreign currency transactions 5.68 * 0.09 (3.82)* 6.94 4.17 ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.72 0.14 (3.77) 6.95 4.31 ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (0.06) (0.07) (0.05) (0.05) (0.14) From net realized capital gain (1.00) (3.18) (4.19) (1.55) -- ---------- ---------- ---------- ---------- ---------- Total distributions (1.06) (3.25) (4.24) (1.60) (0.14) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 28.06 $ 23.40 $ 26.51 $ 34.52 $ 29.17 ========== ========== ========== ========== ========== TOTAL RETURN 25.31% (1.66)% (12.00)% 24.68% 17.27% Ratios of expenses to average net assets: before fee waivers 0.85% 0.70% 0.69% 0.66% 0.66% after fee waivers 0.85% 0.70% 0.69% 0.66% 0.66% Ratios of net investment income to average net assets: before fee waivers 0.12% 0.15% 0.14% 0.09% 0.31% after fee waivers 0.12% 0.15% 0.14% 0.09% 0.31% Portfolio turnover rate 42.18% 35.33% 49.43% 53.16% 41.02% Net assets, end of period $16,688,658 $8,989,110 $5,216,136 $2,428,801 $ 28,060
* Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS SMALL CAP EQUITY FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS C ------- For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 23.47 $ 26.59 $ 34.59 $ 29.21 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 0.08 * 0.13 0.12 0.11 0.16 Net realized and unrealized gain (loss) on investments and foreign currency transactions 5.78 * 0.07 (3.81) 6.93 4.21 ---------- ---------- ---------- ---------- ---------- Total from investment operations 5.86 0.20 (3.69) 7.04 4.37 ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (0.10) (0.14) (0.12) (0.11) (0.16) From net realized capital gain (1.00) (3.18) (4.19) (1.55) -- ---------- ---------- ---------- ---------- ---------- Total distributions (1.10) (3.32) (4.31) (1.66) (0.16) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 28.23 $ 23.47 $ 26.59 $ 34.59 $ 29.21 ========== ========== ========== ========== ========== TOTAL RETURN 25.85% (1.46)% (11.75)% 24.98% 17.49% Ratios of expenses to average net assets: before fee waivers 0.60% 0.45% 0.44% 0.41% 0.41% after fee waivers 0.60% 0.45% 0.44% 0.41% 0.41% Ratios of net investment income to average net assets: before fee waivers 0.37% 0.40% 0.39% 0.34% 0.56% after fee waivers 0.37% 0.40% 0.39% 0.34% 0.56% Portfolio turnover rate 42.18% 35.33% 49.43% 53.16% 41.02% Net assets, end of period $8,754,860 $65,851,537 $70,580,689 $88,360,329 $67,544,211
* Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS INTERNATIONAL FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS A ------- For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 14.55 $ 17.62 $ 26.03 $ 30.54 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 0.20 0.21 0.33 * 1.70 * 0.84 Net realized and unrealized gain (loss) on investments and foreign currency transactions 1.78 (3.06) (8.14)* (1.64)* 7.00 ---------- ---------- ---------- ---------- ---------- Total from investment operations 1.98 (2.85) (7.81) 0.06 7.84 ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (0.22) (0.22) (0.37) (1.14) (0.92) From net realized capital gain -- -- (0.23) (3.43) (1.38) From return of capital (0.02) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.24) (0.22) (0.60) (4.57) (2.30) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 16.29 $ 14.55 $ 17.62 $ 26.03 $ 30.54 ========== ========== ========== ========== ========== TOTAL RETURN 13.68% (16.36)% (30.39)% (1.22)% 31.98% Ratios of expenses to average net assets: before fee waivers 1.10% 0.77% 0.71% 0.71% 0.64% after fee waivers 1.10% 0.77% 0.71% 0.71% 0.64% Ratios of net investment income to average net assets: before fee waivers 0.95% 1.12% 1.62% 4.44% 3.12% after fee waivers 0.95% 1.12% 1.62% 4.44% 3.12% Portfolio turnover rate 414.62% 29.48% 68.11% 48.13% 52.42% Net assets, end of period $8,101,972 $4,616,210 $3,331,656 $1,748,773 $ 10,038
* Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS.
CAPSTONE SOCIAL, ETHICS, AND RELIGIOUS VALUES FUND FINANCIAL HIGHLIGHTS INTERNATIONAL FUND ------------------------------------------------------------------------------------------------------------------------------------ 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. CLASS C ------- For the Year For the Year For the Year For the Year For the Year Ended Ended Ended Ended Ended September 30, September 30, September 30, September 30, September 30, 2003 2002 2001 2000 1999 ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - BEGINNING OF PERIOD $ 14.58 $ 17.65 $ 26.06 $ 30.55 $ 25.00 ---------- ---------- ---------- ---------- ---------- INVESTMENT OPERATIONS: Net investment income 0.37 0.25 0.41 1.37 * 0.99 Net realized and unrealized gain (loss) on investments and foreign currency transactions 1.70 (3.07) (8.17) (1.24)* 6.91 ---------- ---------- ---------- ---------- ---------- Total from investment operations 2.07 (2.82) (7.76) 0.13 7.90 ---------- ---------- ---------- ---------- ---------- Distributions: From net investment income (0.25) (0.25) (0.42) (1.19) (0.97) From net realized capital gain -- -- (0.23) (3.43) (1.38) From return of capital (0.02) -- -- -- -- ---------- ---------- ---------- ---------- ---------- Total distributions (0.27) (0.25) (0.65) (4.62) (2.35) ---------- ---------- ---------- ---------- ---------- NET ASSET VALUE - END OF PERIOD $ 16.38 $ 14.58 $ 17.65 $ 26.06 $ 30.55 ========== ========== ========== ========== ========== TOTAL RETURN 14.26% (16.18)% (30.19)% (0.98)% 32.23% Ratios of expenses to average net assets: before fee waivers 0.85% 0.52% 0.46% 0.46% 0.39% after fee waivers 0.85% 0.52% 0.46% 0.46% 0.39% Ratios of net investment income to average net assets: before fee waivers 1.20% 1.37% 1.87% 4.69% 3.37% after fee waivers 1.20% 1.37% 1.87% 4.69% 3.37% Portfolio turnover rate 414.62% 29.48% 68.11% 48.13% 52.42% Net assets, end of period $4,458,743 $47,875,984 $58,468,898 $72,121,697 $41,838,180
* Based on the average daily number of shares outstanding throughout each period THE ACCOMPANYING NOTES ARE AN INTEGRAL PART OF THE FINANCIAL STATEMENTS. CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (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 five diversified series: 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, caffeinated beverages or tobacco products, meat packing, pornography, or casinos and other gambling concerns. 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/Credit 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. CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (2) INVESTMENT OBJECTIVES - (CONTINUED) The Large Cap Equity Fund's objective is to provide capital growth and income by attempting to match the performance, before expenses, of a widely recognized index of large cap equities, which will be specified by the Advisory Committee from time to time. 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, before expenses, of a widely recognized index of small cap equities, which will be specified by the Advisory Committee from time to time. 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. (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. Money market securities held by the 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. CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (3) SIGNIFICANT ACCOUNTING POLICIES - (CONTINUED) 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. Income and capital gains of the Funds are determined in accordance with both tax regulations and accounting principles generally accepted in the United States of America. 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. 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. Dividend income and distributions to shareholders are recorded on the ex-dividend date. 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. As of September 30, 2003 there were no forward exchange contracts outstanding. CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (3) SIGNIFICANT ACCOUNTING POLICIES - (CONTINUED) 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. As of September 30, 2003, there were no future contracts outstanding. 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. All ongoing registration expenses will be paid by the Funds. I. SECURITY LOANS The Funds may receive fees or retain a portion of interest on the cash received as collateral for lending securities. A Fund also continues to receive interest or dividends on the securities loaned. Securities loaned are secured by collateral whose market value must always exceed the market value of the securities loaned plus accrued interest. Gains or losses in the market price of the securities loaned that may occur during the term of the loan are reflected in the value of the Fund. J. USE OF ESTIMATES In preparing financial statements in accordance with accounting principles generally accepted in the United States of America, 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 and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (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 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 million 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 0.075% of each Fund's average daily net assets. (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 0.25% of the average daily net assets of the Class A shares of each Fund. Certain officers of the Trust are also officers of Capstone and the Distributor. (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 year from October 1, 2002 to September 30, 2003 were as follows: CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (6) SHARES OF CAPITAL STOCK - (CONTINUED)
CLASS A CLASS C ------- ------- SHARES DOLLARS SHARES DOLLARS -------------- -------------- -------------- -------------- SHORT-TERM BOND FUND: Sold 58,780 $ 1,500,998 18,735,978 $ 480,899,879 Reinvested 524 13,394 38,023 972,070 Redeemed (45,655) (1,165,507) (18,817,815) (482,913,680) -------------- -------------- -------------- -------------- Net Increase (decrease) 13,649 $ 348,885 (43,814) $ (1,041,731) ============== ============== ============== ============== BOND FUND: Sold 957,471 $ 24,788,162 5,194,084 $ 135,291,364 Reinvested 73,366 1,891,367 16,843 436,435 Redeemed (543,316) (14,037,125) (7,320,645) (189,677,376) -------------- -------------- -------------- -------------- Net Increase (decrease) 487,521 $ 12,642,404 (2,109,718) $ (53,949,577) ============== ============== ============== ============== LARGE CAP EQUITY FUND: Sold 919,898 $ 19,652,394 242,399 $ 4,927,528 Reinvested 22,184 472,363 15,889 340,029 Redeemed (145,237) (3,115,635) (5,375,371) (113,303,687) -------------- -------------- -------------- -------------- Net Increase 796,845 $ 17,009,122 (5,117,083) $ (108,036,130) ============== ============== ============== ============== SMALL CAP EQUITY FUND: Sold 248,655 $ 6,173,194 30,963 $ 835,036 Reinvested 17,977 425,444 57,548 1,371,184 Redeemed (56,008) (1,389,799) (2,583,735) (61,310,567) -------------- -------------- -------------- -------------- Net Increase 210,624 $ 5,208,839 (2,495,224) $ (59,104,347) ============== ============== ============== ============== INTERNATIONAL FUND: Sold 1,151,348 $ 17,952,278 39,961,640 $ 626,002,219 Reinvested 7,126 113,933 6,132 95,185 Redeemed (978,346) (15,293,361) (42,978,264) (674,160,815) -------------- -------------- -------------- -------------- Net Increase (decrease) 180,128 $ 2,772,850 (3,010,492) $ (48,063,411) ============== ============== ============== ==============
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 fiscal year from October 1, 2001 to September 30, 2002 were as follows:
CLASS A CLASS C ------- ------- SHARES DOLLARS SHARES DOLLARS -------------- -------------- -------------- -------------- SHORT-TERM BOND FUND: Sold 135,690 $ 3,491,498 700,102 $ 18,077,361 Reinvested 223 5,705 43,541 1,110,346 Redeemed (143,963) (3,707,338) (626,724) (16,162,783) -------------- -------------- -------------- -------------- Net Increase (decrease) (8,050) $ (210,135) $ 116,919 $ 3,024,924 ============== ============== ============== ==============
CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (6) SHARES OF CAPITAL STOCK - (CONTINUED)
CLASS A CLASS C ------- ------- SHARES DOLLARS SHARES DOLLARS -------------- -------------- -------------- -------------- BOND FUND: Sold 548,782 $ 13,803,903 349,309 $ 8,997,268 Issued in acquisition 108,909 2,669,069 196,392 4,784,036 Reinvested 50,097 1,249,941 33,317 830,350 Redeemed (93,095) (2,320,428) (854,592) (21,798,790) -------------- -------------- -------------- -------------- Net Increase (decrease) 614,693 $ 15,402,485 (275,574) $ (7,187,136) ============== ============== ============== ============== LARGE CAP EQUITY FUND: Sold 649,445 $ 15,564,124 392,766 $ 9,385,558 Reinvested 15,461 364,096 25,219 621,564 Redeemed (54,673) (1,278,914) (344,291) (7,782,773) -------------- -------------- -------------- -------------- Net Increase 610,233 $ 14,649,306 73,694 $ 2,224,349 ============== ============== ============== ============== SMALL CAP EQUITY FUND: Sold 197,223 $ 5,636,173 142,647 $ 3,846,713 Reinvested 26,231 746,580 139,027 3,984,858 Redeemed (36,007) (963,697) (131,018) (3,327,171) -------------- -------------- -------------- -------------- Net Increase 187,447 $ 5,419,056 150,656 $ 4,504,400 ============== ============== ============== ============== INTERNATIONAL FUND: Sold 170,171 $ 3,039,240 2,878,471 $ 48,640,619 Reinvested 3,503 59,728 3,857 66,242 Redeemed (45,520) (815,262) (2,912,713) (49,859,777) -------------- -------------- -------------- -------------- Net Increase (decrease) 128,154 $ 2,283,706 (30,385) $ (1,152,916) ============== ============== ============== ==============
(7) INVESTMENT TRANSACTIONS Purchases and sales of investment securities (excluding short-term securities) by the Funds for the year ended September 30, 2003 were as follows: ---------------------------------------------------------------------- PURCHASES SALES --------- ----- ---------------------------------------------------------------------- Short-Term Bond Fund $221,832,488 $219,652,264 ---------------------------------------------------------------------- Bond Fund 57,768,995 95,872,894 ---------------------------------------------------------------------- Large Cap Equity Fund 34,388,621 123,940,012 ---------------------------------------------------------------------- Small Cap Equity Fund 12,015,870 68,594,522 ---------------------------------------------------------------------- International Fund 71,138,740 115,290,789 ---------------------------------------------------------------------- CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (8) SECURITIES LENDING As of September 30, 2003, each Fund had loaned securities in return for cash collateral, which was invested in various short-term, fixed income securities such as repurchase agreements, commercial paper and government and corporate notes and bonds. The risks to the Fund from securities lending are that the borrower may not provide additional collateral when required or return the securities when due or when called by the Fund. The value of the securities on loan and the value of the related collateral were as follows: ---------------------------------------------------------------------- SECURITIES COLLATERAL ---------- ---------- ---------------------------------------------------------------------- Short-Term Bond Fund $ 9,365,036 $ 9,598,300 ---------------------------------------------------------------------- Bond Fund 16,957,248 17,303,878 ---------------------------------------------------------------------- Large Cap Equity Fund 867,308 919,376 ---------------------------------------------------------------------- Small Cap Equity Fund 956,061 1,019,590 ---------------------------------------------------------------------- International Fund 98,905 101,900 ---------------------------------------------------------------------- (9) TAX MATTERS As of September 30, 2003, the components of distributable earnings on a tax basis for each Fund were as follows: ---------------------------------------------------------------------- UNDISTRIBUTED UNDISTRIBUTED UNREALIZED ORDINARY INCOME LONG-TERM GAIN APPRECIATION/ (DEPRECIATION) ---------------------------------------------------------------------- Short-Term Bond Fund $ -- $ 109,682 $ 325,967 ---------------------------------------------------------------------- Bond Fund 51,629 -- 3,802,910 ---------------------------------------------------------------------- Large Cap Equity Fund 8,128 -- (13,752,964) ---------------------------------------------------------------------- Small Cap Equity Fund 4,563 -- 1,003,729 ---------------------------------------------------------------------- International Fund -- -- 1,299,464 ---------------------------------------------------------------------- Net investment income and realized gains and losses for federal income tax purposes differ from that reported in the financial statements because of permanent and temporary book and tax differences. The difference between book basis and tax-basis unrealized appreciation (depreciation) is attributable primarily to the tax deferral of losses on wash sales. As of September 30, 2003 the Funds had capital loss carryforwards and deferrals available for federal income tax purposes as follows: CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (9) TAX MATTERS - (CONTINUED)
-------------------------------------------------------------------------------------------------------------------------- DEFERRED FOR CAPITAL LOSS CARRYFORWARDS EXPIRING TAX PURPOSES SEPTEMBER 30, -------------------------------------------------------------------------------------------------------------------------- 2008 2009 2010 2011 TOTAL -------------------------------------------------------------------------------------------------------------------------- Short-Term Bond Fund $ -- $ -- $ -- $ -- $ -- $ (9,444) -------------------------------------------------------------------------------------------------------------------------- Bond Fund (127,397) (448,959) -- (182,388) (758,744) (170,499) -------------------------------------------------------------------------------------------------------------------------- Large Cap Equity Fund -- -- (1,366,325) (6,803,986) (8,170,311) (151,101) -------------------------------------------------------------------------------------------------------------------------- Small Cap Equity Fund -- -- -- (846,350) (846,350) (67,551) -------------------------------------------------------------------------------------------------------------------------- International Fund -- (1,659,946) (4,744,263) (8,667,933) (15,072,142) (378,340) --------------------------------------------------------------------------------------------------------------------------
The losses deferred for tax purposes consist of losses on wash sales and post-October capital losses. (10) DISTRIBUTIONS TO SHAREHOLDERS The tax character of distributions paid for the years ended September 30, 2003 and 2002 were as follows: Distributions paid during the year ended September 30, 2003: ---------------------------------------------------------------------- Ordinary Long Term Tax Return Income Capital Gain of Capital ---------------------------------------------------------------------- Short-Term Bond Fund $ 834,033 $ 262,503 $ 17,005 ---------------------------------------------------------------------- Bond Fund 2,681,195 -- -- ---------------------------------------------------------------------- Large Cap Equity Fund 881,910 -- -- ---------------------------------------------------------------------- Small Cap Equity Fund 59,708 3,205,174 -- ---------------------------------------------------------------------- International Fund 208,572 -- 13,670 ---------------------------------------------------------------------- Distributions paid during the year ended September 30, 2002: ---------------------------------------------------------------------- Long Term Ordinary Income Capital Gain ---------------------------------------------------------------------- Short-Term Bond Fund $1,237,800 $ 859,236 ---------------------------------------------------------------------- Bond Fund 4,928,074 -- ---------------------------------------------------------------------- Large Cap Equity Fund 2,012,980 -- ---------------------------------------------------------------------- Small Cap Equity Fund 1,097,633 8,558,649 ---------------------------------------------------------------------- International Fund 877,197 -- ---------------------------------------------------------------------- CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTES TO FINANCIAL STATEMENTS - (CONTINUED) SEPTEMBER 30, 2003 -------------------------------------------------------------------------------- (11) RECLASS OF CAPITAL ACCOUNTS In accordance with accounting pronouncements, the Bond, Large Cap, Small Cap and International Funds have recorded capital gain (loss) reclassifications in the capital accounts. The primary reason for the reclassifications was a redemption in kind completed on November 5, 2002. These reclassifications have no impact on the net asset value of the Funds and are designed generally to present undistributed capital gains (accumulated losses) during the period on a tax basis which is considered to be more informative to the shareholder. As of September 30, 2003, the Funds recorded the following reclassifications to increase (decrease) the capital accounts listed below: ------------------------------------------------------------------------ Net realized gain Undistributed Net (Accumulated Paid-in Investment Income losses) Capital ------------------------------------------------------------------------ Bond Fund $ -- $ (2,422,668) $ 2,422,668 ------------------------------------------------------------------------ Large Cap Equity Fund -- 43,646,584 (43,646,584) ------------------------------------------------------------------------ Small Cap Equity Fund -- 6,889,572 (6,889,572) ------------------------------------------------------------------------ International Fund (19,989) 19,751,345 (19,731,356) ------------------------------------------------------------------------ (12) REDEMPTION IN KIND In October, 2002, Capstone Social and Ethic Religious Values Fund received a request for a significant redemption from the Funds within the Trust. The Funds exercised their right to pay the redemption proceeds in securities from the Funds' portfolios rather than in cash. On November 5, 2002 the redemption in kind was completed. As a result of the redemption in kind, the Bond, Large Cap Equity, Small Cap Equity and International Funds incurred realized gains (losses) as follows: --------------------------------------------------------------------------- Net Realized Gain (Loss) on Redemption In Kind --------------------------------------------------------------------------- Bond Fund $ 2,442,668 --------------------------------------------------------------------------- Large Cap Equity Fund (43,646,584) --------------------------------------------------------------------------- Small Cap Equity Fund (6,889,572) --------------------------------------------------------------------------- International Fund (19,731,356) --------------------------------------------------------------------------- BRIGGS BUNTING & DOUGHERTY, LLP -------------------------------------------------------------------------------- Certified Public Accountants and Business Advisors 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 Short-Term Bond Fund, the Bond Fund, the Large Cap Equity Fund, the Small Cap Equity Fund, and the International Fund), including the schedules of investments, as of September 30, 2003, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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 ours audits in accordance with auditing standards generally accepted in the United States of America. 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, 2003, by correspondence with the custodian and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the Funds comprising Capstone Social Ethics and Religious Values Fund as of September 30, 2003, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. BRIGGS, BUNTING & DOUGHERTY, LLP PHILADELPHIA, PENNSYLVANIA OCTOBER 24, 2003 CAPSTONE SOCIAL ETHICS AND RELIGIOUS VALUES FUND NOTICE TO SHAREHOLDERS (UNAUDITED) The Short Term Bond Fund hereby designates $262,503 as a capital gain distribution. The Small Cap Equity Fund hereby designates $3,205,174 as a capital gain distribution. For the fiscal year ended September 30, 2003, certain dividends paid by the Large Cap Equity, Small Cap Equity and International Funds may be subject to a maximum tax rate of 15%, as provided by the Jobs and Growth Tax Relief Reconciliation Act of 2003 ("the Act"). The Funds intend to designate up to the maximum amount of such dividends allowable under the Act. Complete information will be reported in conjunction with your 2003 Form 1099-DIV. TRUSTEES AND OFFICERS The following tables set forth information concerning the trustees and officers of the Trust. All persons named as trustees and officers also serve in similar capacities for other funds administered or managed by Capstone Asset Management Company. The Statement of Additional Information includes additional information about fund trustees and is available upon request, without charge, by calling 1-800-262-6631.
OTHER TERM OF NUMBER OF PORTFOLIOS DIRECTORSHIPS/ OFFICE AND IN FUND COMPLEX TRUSTEESHIPS POSITION(S) LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY HELD BY NAME, ADDRESS AND AGE HELD WITH FUND TIME SERVED DURING PAST 5 YEARS DIRECTOR/TRUSTEE DIRECTOR/TRUSTEE --------------------- -------------- ----------- ------------------- ---------------- ---------------- INTERESTED TRUSTEE ------------------ Edward L. Jaroski* ** Trustee, Since 1998 President and Director of 7 None 5847 San Felipe, Suite President & Capstone Asset 4100 Chairman of Management; President and Houston, TX 77057 the Board Director of Capstone Age: 56 Asset Planning Company and Capstone Financial Services, Inc. INDEPENDENT TRUSTEE ------------------- John R. Parker Trustee Since 1998 Self-employed Investor 7 None 5847 San Felipe, Suite Consultant 4100 Houston, TX 77057 Age: 57 Bernard J. Vaughan Trustee Since 1998 Retired 7 None 200 N. Wynnewood Avenue #A-112 Wynnewood, PA 19096 Age: 74 James F. Leary Trustee Since 1998 Financial Consultant; 7 Director-Prospect 15851 N. Dallas Managing Director of Street High Parkway #500 Benefit Capital Southwest Income Fund and Addison, TX 75001 Prospect Street Age: 73 Income Fund; Director-Associate Materials, Inc. (1988-2001); Director-Pacesetter Capital Group Leonard B. Melley, Jr. Trustee Since 2001 CEO/President of Freedom 7 None ** Stores, Inc. 6216 Yadkin Road Fayetteville, NC 28303 Age: 43 EXECUTIVE OFFICERS ------------------ Dan E. Watson Executive Since 1998 Executive Vice N/A None 5847 San Felipe, Suite Vice President President/CIO of Capstone 4100 Asset Management Company Houston, TX 77057 & Capstone Financial Age 54 Services, Inc.; Vice President of Capstone Asset Planning Company & Officer of Capstone Funds OTHER TERM OF NUMBER OF PORTFOLIOS DIRECTORSHIPS/ OFFICE AND IN FUND COMPLEX TRUSTEESHIPS POSITION(S) LENGTH OF PRINCIPAL OCCUPATION(S) OVERSEEN BY HELD BY NAME, ADDRESS AND AGE HELD WITH FUND TIME SERVED DURING PAST 5 YEARS DIRECTOR/TRUSTEE DIRECTOR/TRUSTEE --------------------- -------------- ----------- ------------------- ---------------- ---------------- Donald R. McFadden Sr. Vice Since 1998 Sr. Vice President of N/A None 5847 San Felipe, Suite President Capstone Asset Management 4100 Company and Capstone Houston, TX 77057 Asset Planning Company; Age: 47 Officer of Capstone Funds Howard S. Potter Sr. Vice Since 1998 Managing N/A None 5847 San Felipe, Suite President Director/Portfolio 4100 Manager of Capstone Asset Houston, TX 77057 Management Company; Age: 52 Managing Director of Capstone Financial Services, Inc.; Vice President of Capstone Asset Planning Company; Officer of Capstone Funds John R. Wolf Sr. Vice Since 1998 Sr. Vice N/A None 5847 San Felipe, Suite President President/Portfolio 4100 Manager of Capstone Asset Houston, TX 77057 Management Company; Sr. Age: 41 Vice President of Capstone Asset Planning Company; Officer of Capstone Funds Robert A. Karisch Assistant Since 1998 Assistant Vice President, N/A None 5847 San Felipe, Suite Vice President Sales of Capstone Asset 4100 Management Company; Houston, TX 77057 Assistant Vice President Age: 37 of Capstone Asset Planning Company; Officer of Capstone Funds Linda G. Giuffre Secretary/ Since 1998 Vice President, N/A None 5847 San Felipe, Suite Treasurer Compliance of Capstone 4100 Asset Management Company, Houston, TX 77057 and Capstone Asset Age 41 Planning Company; Officer of Capstone Funds David F. Ganley Assistant Since 2002 Managing Director of N/A None 630 Fitzwatertown Road Secretary InCap Group, Inc.; Chief Willow Grove, PA 19090 Administrative Officer of Age: 56 InCap Service Company; President and Treasurer of InCap Securities, Inc.; Officer of Capstone Funds
* Mr. Jaroski is an "interested person" of SERV as defined in the Investment Company Act of 1940, because of his position with the Adviser and Distributor. ** These individuals are brothers-in-law. ITEM 2. CODE OF ETHICS. As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to its Boards of Directors/Trustees of the Funds. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. Audit Committee Financial Expert - Bernard J. Vaughan Mr. Vaughan is independent under applicable rules. ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. CAPSTONE SOCIAL ETHICS & RELIGIOUS VALUES FUND N-CSR DISCLOSURE SEPTEMBER 30, 2003 Item 4 2003 2002 ------------------- A. Audit Fees 45,500 44,000 FEES FOR SERV ONLY B. Audit Related Fees -- -- C. Tax Fees 7,500 6,000 TAX COMPLIANCE - SERV ONLY D. All Other Fees -- -- E. Preapproval policies are in place and will be forwarded upon request. 100% of service described in b through d were pre-approved by the audit committee F. Not applicable - All work performed by BBD's principal employees G. 2002 - 32,000 - For audit and tax services to Capstone Financial Services, Inc. (and its wholly-owned subsidiaries Capstone Asset Management Co. and Capstone Asset Planning Company). Also includes an audit of CAMCO's investment performance in accordance with AIMR Performance Presentation Standards. 2003 - 31,800 - For audit and tax services to Capstone Financial Services, Inc. (and its wholly-owned subsidiaries Capstone Asset Management Co. and Capstone Asset Planning Company). Also includes an audit of CAMCO's investment performance in accordance with AIMR Performance Presentation Standards. H. Not applicable - All non-audit services rendered to the registrant's investment adviser were pre-approved. ITEMS 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. Not applicable ITEM 6. RESERVED ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. Not applicable. ITEM 8. RESERVED ITEM 9. CONTROLS AND PROCEDURES. (a) The registrant's principal executive office and principal financial officer has concluded that the registrant's disclosure controls and procedures (as defined in rule 30a-2(c) under the Investment Company Act of 1940, as amended (the "1940 Act") are effective based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of this document. (b) There were so significant changes in the registrant's internal controls or in other factors that could affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. ITEM 10. EXHIBITS. (a) Code of Ethics for the Boards of Directors/Trustees of the Funds is filed herewith. (b) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) in the exact form set forth below: SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) Capstone Social Ethics & Religious Values Fund ------------------------------------------------------------------- By (Signature and Title)* /s/ Edward L. Jaroski President ------------------------------------------------------ Date December 15, 2003 --------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Edward L. Jaroski, President ------------------------------------------------------ Date December 15, 2003 --------------------------------------------------------------------------- By (Signature and Title)* /s/ Linda G. Giuffre, Secretary/Treasurer ------------------------------------------------------ Date December 15, 2003 --------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature.